Attached files
UNITED
STATES
SECURITIES
AND EXCHANGE COMMISSION
Washington,
D.C. 20549
FORM
10-K
(Mark
One)
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ý
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ANNUAL
REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT
OF 1934
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For the
Fiscal Year Ended December 31, 2009
or
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¨
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TRANSITION
REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT
OF 1934
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For the
transition period from ___________ to __________
Commission
File Number 0-50316
GRANT
PARK FUTURES FUND LIMITED PARTNERSHIP
(Exact
name of Registrant as specified in its charter)
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Illinois
(State
or other jurisdiction
of
incorporation or organization)
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36-3596839
(I.R.S.
Employer
Identification
Number)
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c/o
Dearborn Capital Management, L.L.C.
626
West Jackson Boulevard, Suite 600
Chicago,
Illinois
(Address
of Principal Executive Offices)
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60661
(Zip
Code)
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(312) 756-4450
(Registrant’s
telephone number, including area code)
Securities
registered pursuant to Section 12(b) of the
Act: None
Securities
registered pursuant to Section 12(g) of the Act:
Class A
Limited Partnership Units; Class B Limited Partnership Units; Legacy 1
Class Units; Legacy 2 Class Units; Global Alternative Markets 1 Class Units;
Global Alternative Markets 2 Class Units;
Global
Alternative Markets 3 Class Units
(Title of
Class)
Indicate
by check mark if the registrant is a well-known seasoned issuer, as defined in
Rule 405 of the Securities Act. Yes ¨ No
ý
Indicate
by check mark if the registrant is not required to file reports pursuant to
Section 13 or Section 15(d) of the Act. Yes ¨ No
ý
Indicate
by check mark whether the Registrant (1) has filed all reports required to
be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934
during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to
such filing requirements for the past 90 days. Yes
ý
No ¨
Indicate
by check mark whether the registrant has submitted electronically and posted on
its corporate Web site, if any, every Interactive Date File required to be
submitted and posted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this
chapter) during the preceding 12 months (or for such shorter period that the
registrant was required to submit and post such files). Yes ¨ No
o
Indicate
by check mark if the disclosure of delinquent filers pursuant to Item 405
of Regulation S-K is not contained herein, and will not be contained, to
the best of the Registrant’s knowledge, in definitive proxy or information
statements incorporated by reference in Part III of this Form 10-K or
any amendment to this Form 10-K. ý
Indicate
by check mark whether the Registrant is a large accelerated filer, an
accelerated filer, a non-accelerated filer or a smaller reporting
company. See the definitions of “large accelerated filer”,
“accelerated filer” and “smaller reporting company” in Rule 12b-2 of the
Exchange Act. (Check one): Large accelerated filer¨ Accelerated
filer¨ Non-accelerated
filerý Smaller
reporting company¨
Indicate
by check mark whether the Registrant is a shell company (as defined in Rule
12b-2 of the Securities Exchange Act of 1934). Yes ¨ No
ý
The
Registrant has no voting stock. As of December 31, 2009, there
were 51,365.25 Class A Limited Partnership Units, 571,020.05 Class B
Limited Partnership Units, 4,876.25 Legacy 1 Class Limited Partnership Units,
4,122.95 Legacy 2 Class Limited Partnership units, 4,403.26 Global Alternative
Markets 1 Class Units, 8,042.80 Global Alternative Markets 2 Class Units, and
40,828.60 Global Alternative Markets 3 Class Units issued and
outstanding.
DOCUMENTS
INCORPORATED BY REFERENCE
Portions
of the Prospectus dated March 25, 2009 filed with the SEC on
March 26, 2009, and as
supplemented from time-to-time, are incorporated by reference into Part I
of this Form 10-K.
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36
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BUSINESS
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Grant
Park Futures Fund Limited Partnership, which is referred to in this report as
Grant Park, is a multi-advisor commodity pool organized to pool assets of
investors for the purpose of investing those assets in U.S. and foreign
financial markets. Grant Park, which is not registered as a mutual
fund under the Investment Company Act of 1940, has been in continuous operation
since January 1989. It is managed by its general partner,
Dearborn Capital Management, L.L.C., and invests through independent
professional commodity trading advisors.
Grant
Park conducts its business in one operating segment and has been organized to
pool assets of investors for the purpose of trading in the U.S. and
international spot derivatives markets for currencies, interest rates, stock
indices, agricultural and energy products, precious and base metals and other
commodities and underliers. In trading on these markets, Grant Park
may enter into: 1) exchange-traded derivatives, such as futures contracts,
options on futures contracts, security futures contracts and listed option
contracts; 2) over-the-counter (“OTC”) derivatives, such as forwards, swaps,
options and structured financial products; and 3) contracts on cash, or spot,
commodities. Grant Park’s general partner, commodity pool operator
and sponsor is Dearborn Capital Management, L.L.C., an Illinois limited
liability company. The limited partnership agreement requires the
general partner to own units in Grant Park in an amount at least equal to the
greater of (1) 1% of the aggregate capital contributions of all limited
partners or (2) $25,000, during any time that units in Grant Park are
publicly offered for sale. The managing member of Dearborn Capital
Management, L.L.C. is Dearborn Capital Management, Ltd., an Illinois corporation
whose sole shareholder is David M. Kavanagh.
Dearborn
Capital Management, L.L.C., along with its managing member and predecessor as
general partner and commodity pool operator, Dearborn Capital Management Ltd.,
has had management responsibility for Grant Park since its
inception. The general partner has been registered as a commodity
pool operator and a commodity trading advisor under the Commodity Exchange Act
and has been a member of the NFA since December 1995. Dearborn
Capital Management Ltd., which served as Grant Park’s general partner, commodity
pool operator and sponsor from 1989 through 1995, was registered as a commodity
pool operator between August 1988 and March 1996 and as a commodity
trading advisor between September 1991 and March 1996 and was a member
of the NFA between August 1988 and March 1996.
As a
result of recent changes in the rules and regulations of the Financial Industry
Regulatory Authority (“FINRA”) affecting commodity pools, the general partner
has made certain changes to the organization of Grant Park, including the
creation of additional classes of units, and has terminated the offering and
sale of any new Class A and Class B units. The reorganization was
completed on April 1, 2009.
As part
of the reorganization, Grant Park continues to invest through different
commodity trading advisors retained by the general partner. However,
instead of each trading advisor maintaining a separate account in the name of
Grant Park, as was historically the case, the assets of Grant Park are invested
in various trading companies, each of which is organized as a limited liability
company. Each trading company allocates those assets to one of the
commodity trading advisors retained by the general partner. See
“MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS—Reorganization of Grant Park”.
Through
December 31, 2008 a portion of Grant Park’s net assets was previously
allocated to the Dearborn Select Master Fund, SPC – Winton Segregated Portfolio
– Class GP (the “GP Class”). Dearborn Select Master Fund, SPC
(“Dearborn Select”) was incorporated under the laws of the Cayman
Islands
on April 7, 2006 and is a private investment fund organized as a segregated
portfolio company with limited liability. The GP Class allocated the
assets invested by Grant Park to Winton Capital Management Limited (“Winton”)
through one or more managed accounts, traded pursuant to Winton’s Diversified
Program. Grant Park owned all of the outstanding Class GP units of
the GP Class. The general partner of Grant Park was also the
Investment Manager of Dearborn Select. As of December 31, 2008,
the investment in the GP Class was redeemed and is shown on the statement of
financial condition as a redemption receivable. Effective
January 1, 2009, the portion of Grant Park’s net assets allocated to the GP
Class was reallocated to one of Grant Park’s trading companies, GP 1, LLC (“GP
1”), a Delaware limited liability company. GP 1 will allocate assets
to Winton to be traded pursuant to Winton’s Diversified
Program. There have been no changes to the existing clearing broker
arrangements/brokerage charge and no material changes to the other fees and
expenses allocated to Grant Park as a result of this reallocation.
Effective
April 1, 2009, in addition to the assets allocated by Grant Park to GP 1,
Grant Park allocates assets to each of its following subsidiary limited
liability trading companies (each a Trading Company and collectively, the
“Trading Companies”):
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GP
3, LLC (“GP 3”)
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GP
7, LLC (“GP 7”)
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GP
11, LLC (“GP 11”)
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GP
4, LLC (“GP 4”)
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GP
8, LLC (“GP 8”)
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GP
12, LLC (“GP 12”)
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GP
5, LLC (“GP 5”)
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GP
9, LLC (“GP 9”)
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GP
14, LLC (“GP 14”)
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GP
6, LLC (“GP 6”)
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GP
10, LLC (“GP 10”)
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Assets of Grant
Park will not be invested in GP 12 until the first quarter of 2010 or in GP 14
until the second quarter of 2010.
Presently,
through their respective Trading Companies, Rabar Market Research, Inc.
(“Rabar”), EMC Capital Management, Inc. (“EMC”), Eckhardt Trading Company
(“ETC”), Graham Capital Management, L.P. (“Graham”), Welton Investment
Corporation (“Welton”), Winton Capital Management Limited (“Winton”), Global
Advisors Jersey Limited (“Global Advisors”), Transtrend B.V. (“Transtrend”),
Quantitative Investment Management LLC (“QIM”), and Revolution Capital
Management, LLC (“RCM”), serve as Grant Park’s commodity trading
advisors. Effective January 1, 2010, Sunrise Capital Partners,
LLC (“Sunrise”) through its Trading Company began trading on behalf of Grant
Park and will serve as a commodity trading advisor with respect to all
outstanding classes of Grant Park’s units. Sunrise will be allocated
less than 10 percent of Grant Park’s net assets to manage. As of
December 31, 2009, the general partner allocated Grant Park’s net assets
through the respective Trading Companies among its core trading advisors EMC,
Winton and Welton and non-core trading advisors ETC, Graham, Global Advisors,
Rabar, RCM, Transtrend and QIM. No more than twenty per cent of Grant
Park’s assets are allocated to any one Trading Company and, in turn, any one
trading advisor. Each of the trading advisors employs technical and
trend-following trading strategies through proprietary trading programs, in an
effort to achieve capital appreciation while controlling risk and
volatility. As a result of recent changes in the rules and
regulations of the Financial Industry Regulatory Authority (“FINRA”) affecting
commodity pools, the general partner has made certain changes to the
organization of Grant Park, including the creation of additional classes of
units, and has terminated the offering and sale of any new Class A and Class B
as of April 1, 2009.
Since its
inception and through February 28, 2003, Grant Park offered its beneficial
interests exclusively to qualified investors on a private placement
basis. Effective June 30, 2003, Grant Park began publicly
offering both Class A and Class B units for sale and as of
April 1, 2009 Grant Park has terminated the offering and sale of any new
Class A and Class B units. Effective April 1, 2009, Grant Park
began publicly offering Legacy 1 Class, Legacy 2 Class, Global Alternative
Markets 1 (“Global 1”) Class, Global Alternative Markets 2 (“Global 2”) Class
and Global Alternative Markets 3 (“Global 3”) Class units for sale.
As of
December 31, 2009, Grant Park had a net asset value of approximately $831.3
million and 23,836 limited partners. As of the close of business on
December 31, 2009, the net asset value per unit of the Class A units
was $1,425.20, the net asset value of the Class B units was $1,224.35, the
net asset value of the Legacy 1 Class units was $966.12, the net asset
value of the Legacy 2 Class units was $964.54, the net asset value of the
Global 1 Class units was $956.82, the net asset value of the Global 2
Class units was $953.60 and the net asset value of the Global 3
Class units was $939.64.
There
have been no material administrative, civil or criminal actions within the past
five years against the general partner or its principals and no such actions
currently are pending.
Since its
inception and through February 28, 2003, Grant Park offered its beneficial
interests exclusively to qualified investors on a private placement basis.
Effective June 30, 2003, Grant Park registered up to an aggregate of
$200 million of Class A and Class B units pursuant to a
Registration Statement on Form S-1 (File No. 333-104317), and began
publicly offering both Class A and Class B units for sale. Grant Park
subsequently registered up to an additional $200 million in aggregate of
Class A and Class B units for sale on a Registration Statement on
Form S-1 (File No. 333-113297) on March 30, 2004, and an
additional $700 million in aggregate of Class A and Class B units for sale on a
Registration Statement of Form S-1 (File No. 333-119338) on
December 1, 2004. Effective April 1, 2009, Grant Park
registered up to an aggregate of $1,150,000,000 of Legacy 1 Class, Legacy 2
Class, Global 1 Class, Global 2 Class and Global 3 Class units pursuant to
Registration Statement on Form S-1 (File No. 333-153862) (the “Registration
Statement”). From July 1, 2003 through
December 31, 2009, the Fund has raised approximately $1,054,196,000 of
new capital and is continuing to offer up to an additional $1,088,534,000
of units pursuant to the Registration Statement, on a continuous basis at a
price equal to the net asset value per unit as of the close of business on each
applicable closing date, which is the last business day of each
month. The proceeds of the offering are deposited in Grant Park’s
bank and brokerage accounts for the purpose of engaging in trading activities in
accordance with Grant Park’s trading policies and its trading advisors’
respective trading strategies.
The
affairs of Grant Park will be wound up and Grant Park will be liquidated upon
the happening of any of the following events: (1) expiration of
Grant Park’s term on December 31, 2027, (2) a decision by the limited
partners to liquidate Grant Park, (3) withdrawal or dissolution of the
general partner and the failure of the limited partners to elect a substitute
general partner to continue Grant Park, or (4) assignment for the benefit
of creditors or adjudication of bankruptcy of the general partner or appointment
of a receiver for or seizure by a judgment creditor of the general partner’s
interest in Grant Park.
Regulation
Under the
Commodity Exchange Act, as amended (the “Act”), commodity exchanges and
commodity futures trading are subject to regulation by the Commodity Futures
Trading Commission (the “CFTC”). The National Futures Association
(the “NFA”), a registered futures association under the Act, is the only
non-exchange self-regulatory organization for commodity industry
professionals. The CFTC has delegated to the NFA responsibility for
the registration of “commodity trading advisors,” “commodity pool operators,”
“futures commission merchants,” “introducing brokers” and their respective
associated persons and “floor brokers.” The Act requires “commodity
pool operators,” and “commodity trading advisors” such as Dearborn Capital
Management, L.L.C., and commodity brokers or “futures commission merchants” such
as Grant Park’s commodity brokers to be registered and to comply with various
reporting and recordkeeping requirements. Dearborn Capital Management
L.L.C. and Grant Park’s
commodity
brokers are members of the NFA. The CFTC may suspend a commodity pool
operator’s or trading advisor’s registration if it finds that its trading
practices tend to disrupt orderly market conditions, or as the result of
violations of the Act or rules and regulations promulgated
thereunder. In the event Dearborn Capital Management L.L.C.’s
registration as a commodity pool operator or commodity trading advisor were
terminated or suspended, Dearborn Capital Management L.L.C. would be unable to
continue to manage the business of Grant Park. Should Dearborn
Capital Management L.L.C.’s registration be suspended, termination of Grant Park
might result.
In
addition to such registration requirements, the CFTC and certain commodity
exchanges have established limits on the maximum net long and net short
positions which any person, including Grant Park, may hold or control in
particular commodities. Most exchanges also limit the maximum changes
in futures contract prices that may occur during a single trading
day. Grant Park also trades in dealer markets for forward and swap
contracts, which are not regulated by the CFTC. Federal and state
banking authorities also do not regulate forward trading or forward
dealers. In addition, Grant Park trades on foreign commodity
exchanges, which are not subject to regulation by any United States government
agency.
Operations
A
description of the business of Grant Park, including trading approaches, rights
and obligations of the unitholders, compensation arrangements and fees and
expenses is contained in Grant Park’s prospectus dated March 25, 2009 filed
with the SEC on March 26, 2009, as supplemented from time-to-time, (the
“Prospectus”), under the sections captioned “Summary,” “Risk Factors,” “The
General Partner,” “The Trading Advisors,” “Conflicts of Interest” and “Fees and
Expenses,” and such description is incorporated herein by reference from the
Prospectus.
Commodity
Interests
Grant
Park conducts its business in one industry segment which trades in U.S. and
foreign commodity interests. The commodities underlying commodity
interest contracts may include security indices, interest rates, credit, foreign
currencies, events (such as weather, real estate, carbon or
predictions) or physical commodities (such as agricultural products,
energy products or metals). Grant Park does not engage in sales of
goods and services. A brief description of Grant Park’s main types of
investments is set forth below.
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A
futures contract is a standardized, exchange-traded contract to buy or
sell a commodity for a specified price in the
future.
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A
forward contract is a bilaterally-negotiated contract to buy or sell
something (i.e., the underlier) at
a specified price in the future.
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An
option on a futures contract, forward contract, swap or a commodity gives
the buyer of the option the right, but not the obligation, to buy or sell
a futures contract, forward contract or a commodity, as applicable, at a
specified price on or before a specified date. Options on
futures contracts are standardized contracts traded on an exchange, while
options on forward contracts and commodities, referred to collectively in
this prospectus as OTC options, generally are bilaterally-negotiated,
principal-to-principal contracts not traded on an
exchange.
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A
swap is a bilaterally-negotiated agreement between two parties to exchange
cash flows based upon an asset, rate or something else (i.e., the
underlier).
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A
spot contract is a cash market transaction in which the buyer and seller
agree to the immediate purchase and sale of a commodity, usually with a
two-day settlement. Spot contracts are not uniform and not
exchange-traded. [Note: Securities, for example, are spot contracts traded
on an exchange.]
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A
security futures contract is a futures contract on a single equity
security or a narrow-based security index. Security futures
contracts are relatively new financial instruments, having only begun
trading in the United States in November 2002. Security
futures contracts are exchange-traded. A trading advisor
generally may choose to trade security futures contracts for Grant Park’s
account if the trading advisor determines that the market for the
particular contract is sufficiently liquid and that trading the contract
is consistent with the trading advisor’s trading
program.
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ITEM 1A. RISK
FACTORS
Grant Park’s performance, trading activities, operating
results, financial condition and net asset value could be negatively impacted by
a number of risks and uncertainties, including those outlined below, which may
affect the value of your investment in Grant Park. The following list
of risk factors should not be considered a comprehensive list of all potential
risks and uncertainties relating to Grant Park. You should also refer
to the other information included in this Form 10-K, including our consolidated
financial statements and related notes for the year ended December 31,
2009, and
information incorporated by reference herein, including the risks described in
the Prospectus under the section captioned “Risk
Factors.”
Several risk
factors include, but are not limited to:
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An
investment in Grant Park is speculative and leveraged; as a result of this
leverage, small movements in the price of a commodity interest may cause
you to incur significant losses.
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Performance
can be volatile; rapid and substantial fluctuations in commodity interest
prices could cause Grant Park’s trading positions to suddenly turn
unprofitable and cause you to lose all or substantially all of your
investment in Grant Park.
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Trading
in the futures markets, from a macro perspective, results in a zero-sum
economic outcome, in that every gain is an offset by an equal and opposite
loss. Grant Park therefore bears the risk that, on every trade,
it will incur the loss.
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Grant
Park’s past performance is not necessarily indicative of future
performance.
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Grant
Park’s use of multiple trading advisors may result in Grant Park taking
offsetting trading positions, thereby incurring additional expenses with
no net change in holdings.
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No
secondary market exists for the units; redemptions of the units are
prohibited during the first three months following an initial and each
subsequent investment and, in the case of the Global 3 Class units,
redemptions prior to the first anniversary date of an investment will
result in early redemption fees.
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Grant
Park may not always be able to liquidate its commodity interest positions
at the desired price. It is difficult to execute a trade at a
specific price when there is a relatively small volume of buy and sell
orders in a market. Unexpected market illiquidity may cause
major losses to investors at any time or from time to
time.
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OTC
transactions are subject to little, if any, regulation and may be subject
to the risk of counterparty default. The lack of regulation in
these markets could expose Grant Park in certain circumstances to
significant losses in the event of trading abuses or financial failure by
participants.
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Based
largely on the financial market turmoil of 2007 – 2009, the commodity
interest markets are the subject of unprecedented regulatory scrutiny,
from both a national and international perspective. Certain
such proposals could adversely impact Grant Park’s ability to trade
speculatively and implement its trading
strategies.
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The
clearing brokers could fail and have been subject to disciplinary
action.
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Grant
Park pays substantial fees and expenses, including fees paid to its
trading advisors, that must be offset by trading profits and interest
income.
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A
substantial portion of the trades executed for Grant Park takes place
outside of the U.S., much of which exposes Grant Park to substantial
credit, regulatory and foreign exchange
risk.
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You
will have no right to participate in the management of Grant
Park.
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The
structure and operation of Grant Park involve several conflicts of
interest.
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Based
largely on the financial market turmoil of 2007-09, the commodity interest
markets are the subject of unprecedented regulatory scrutiny, from both a
national and international perspective and certain proposals could
adversely impact Grant Park’s ability to trade speculatively and implement
its trading strategies.
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ITEM
1B. UNRESOLVED STAFF
COMMENTS
None.
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PROPERTIES
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Grant
Park does not own or use any physical properties in the conduct of its
business. Its assets currently consist of U.S. and international
futures and forward contracts and other interests in commodities, including
options contracts on futures, forwards and commodities, spot contracts and
security futures contracts. Grant Park’s main office is located at
626 West Jackson Boulevard, Suite 600, Chicago, Illinois 60661.
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LEGAL
PROCEEDINGS
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Grant
Park is not a party to any pending material legal proceedings.
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SUBMISSION
OF MATTERS TO A VOTE OF SECURITY
HOLDERS
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None.
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MARKET
FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER
PURCHASES OF EQUITY SECURITIES
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There is
no established trading market for any of Grant Park’s units. All
units may be transferred or redeemed subject to the conditions imposed by Grant
Park’s Third Amended and Restated Limited Partnership Agreement (the
“Partnership Agreement”). As of
January 31,
2010 there were 430
Class A unit holders, 21,260 Class B unit holders, 145 Legacy 1 Class
unit holders, 124 Legacy 2 Class unit holders, 191 Global 1 Class unit holders,
308 Global 2 Class unit holders, 1,704 Global 3 Class unit holders and 50,852.96
Class A units, 567,702.06 Class B units,
5,339.78 Legacy 1 Class units, 4,574.45 Legacy 2 Class units, 4,948,13 Global 1
Class units, 10,758.19 Global 2 Class units and 53,062.08 Global 3 Class units
outstanding.
Dearborn
Capital Management L.L.C. has sole discretion in determining what distributions,
if any, Grant Park will make to its unit holders. Grant Park has not
made any distributions as of the date hereof.
Class A
and Class B units are no longer being offered. Legacy 1 Class, Legacy
2 Class, Global 1 Class, Global 2 Class and Global 3 Class units are being
offered on a continuous basis at subsequent closing dates at a price equal to
the net asset value per unit as of the close of business on each applicable
closing date, which is the last business day of each month. Sales of the Legacy
1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class, Global 3 Class, units
during the fourth quarter 2009 were as follows:
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Units
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October
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November
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December
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Legacy
1 Class Units
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Units
sold
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740.41 | 479.22 | 365.76 | |||||||||
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Net
asset value
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$ | 982.95 | $ | 959.12 | $ | 997.91 | ||||||
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Legacy
2 Class Units
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Units
sold
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493.33 | 627.38 | 579.84 | |||||||||
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Net
asset value
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$ | 981.95 | $ | 957.95 | $ | 996.61 | ||||||
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Global
1 Class Units
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Units
sold
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334.40 | 600.97 | 318.21 | |||||||||
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Net
asset value
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$ | 994.74 | $ | 962.74 | $ | 998.85 | ||||||
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Global
2 Class Units
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Units
sold
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1,189.72 | 1,771.11 | 1,434.98 | |||||||||
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Net
asset value
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$ | 992.54 | $ | 960.41 | $ | 995.05 | ||||||
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Global
3 Class Units
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Units
sold
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6,985.09 | 5,433.41 | 8,496.19 | |||||||||
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Net
asset value
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$ | 982.22 | $ | 949.03 | $ | 982.47 | ||||||
The
proceeds of the offering are deposited in Grant Park’s bank and brokerage
accounts for the purpose of engaging in trading activities in accordance with
Grant Park’s trading policies and its trading advisors’ respective trading
strategies.
Issuer
Purchases of Equity Securities
The following table provides
information regarding the total Class A, Class B, Legacy 1 Class, Legacy 2
Class, Global 1 Class, Global 2 Class and Global 3 Class units redeemed by Grant
Park during the three months ended December 31, 2009.
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Period
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Total
Number
of
Class A
Units
Redeemed
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Weighted
Average
Price
Paid
per Unit
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Total
Number
of
Class B
Units
Redeemed
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Weighted
Average
Price
Paid
per Unit
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Total
Number
of
Legacy 1
Class
Units
Redeemed
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Weighted
Average
Price
Paid
per Unit
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Total
Number
of
Legacy 2
Class
Units
Redeemed
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Weighted
Average
Price
Paid
per Unit
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10/01/09
through 10/31/09
|
249.36 | $ | 1,417.80 | 2,800.24 | $ | 1,219.33 | 10.43 | $ | 959.12 | 65.02 | $ | 957.95 | ||||||||||||||||||||
|
11/01/09
through 11/30/09
|
491.92 | $ | 1,477.91 | 2,963.33 | $ | 1,270.43 | — | $ | 997.91 | 106.72 | $ | 996.61 | ||||||||||||||||||||
|
12/01/09
through 12/31/09
|
557.51 | $ | 1,425.20 | 3,932.50 | $ | 1,224.35 | — | $ | 966.12 | 0.26 | $ | 964.54 | ||||||||||||||||||||
|
Total
|
1,298.79 | $ | 1,443.74 | 9,696.07 | $ | 1,236.98 | 10.43 | $ | 959.12 | 172.00 | $ | 981.95 | ||||||||||||||||||||
|
Period
|
Total
Number
of
Global
1
Class
Units
Redeemed
|
Weighted
Average
Price
Paid
per
Unit
|
Total
Number
of
Global
2
Class
Units
Redeemed
|
Weighted
Average
Price
Paid
per
Unit
|
Total
Number
of
Global
3
Class
Units
Redeemed
|
Weighted
Average
Price
Paid
per
Unit
|
Total
Number
of
Units
Redeemed
as
Part
of
Publicly
Announced
Plans
or
Programs(1)
|
Maximum
Number
of
Units
that
May
Yet Be
Redeemed
Under
the
Plans/
Program(1)
|
||||||||||||||||||||||||
|
10/01/09
through 10/31/09
|
11.89 | $ | 962.74 | — | $ | 960.41 | — | $ | 949.03 | 3,136.93 | (2) | |||||||||||||||||||||
|
11/01/09
through 11/30/09
|
75.09 | $ | 998.85 | — | $ | 995.05 | 15.02 | $ | 982.47 | 3,652.08 | (2) | |||||||||||||||||||||
|
12/01/09
through 12/31/09
|
71.54 | $ | 956.82 | 39.15 | $ | 953.60 | 33.82 | $ | 939.64 | 4,634.78 | (2) | |||||||||||||||||||||
|
Total
|
158.52 | $ | 977.17 | 39.15 | $ | 953.60 | 48.84 | $ | 952.81 | 11,423.79 | (2) | |||||||||||||||||||||
_______________
|
(1)
|
As
previously disclosed, pursuant to the Partnership Agreement, investors in
Grant Park may redeem their units for an amount equal to the net asset
value per unit at the close of business on the last business day of any
calendar month if at least 10 days prior to the redemption date, or at an
earlier date if required by the investor’s selling agent, the general
partner receives a written request for redemption from the
investor. Generally, redemptions are paid in the month
subsequent to the month requested. The general partner may
permit earlier redemptions in its
discretion.
|
|
(2)
|
Not
determinable.
|
|
SELECTED
FINANCIAL DATA
|
The
selected financial information for the years ended December 31, 2009, 2008,
2007, 2006 and 2005 is taken from the financial statements of Grant Park audited
by McGladrey & Pullen, LLP, Grant Park’s independent registered public
accountant. You should read this information in conjunction with
“Management’s Discussion and Analysis of Financial Condition and Results of
Operations” and our financial statements and the related notes included
elsewhere in this report. Results from past periods are not
necessarily indicative of results that may be expected for any future period.
|
For
the Year Ended December 31,
|
||||||||||||||||||||
|
2009
|
2008
|
2007
|
2006
|
2005
|
||||||||||||||||
|
Total
assets
|
$ | 857,602,108 | $ | 684,995,026 | $ | 467,212,443 | $ | 407,930,032 | $ | 307,245,733 | ||||||||||
|
Total
partners’ capital
|
831,270,498 | 643,595,209 | 455,685,796 | 382,252,995 | 289,897,819 | |||||||||||||||
|
Net
gains (losses) from trading
|
(29,071,663 | ) | 127,520,875 | 57,385,145 | 37,071,404 | 2,673,678 | ||||||||||||||
|
Income
allocated from Dearborn Select Master Fund, SPC – Winton Segregated
Portfolio
|
– | 16,714,939 | 9,417,448 | – | – | |||||||||||||||
|
Loss
allocated from
GP
1, LLC*
|
(2,740,621 | ) | – | – | – | – | ||||||||||||||
|
Interest
income
|
6,395,208 | 12,681,834 | 17,475,172 | 16,093,168 | 8,436,400 | |||||||||||||||
|
Total
expenses
|
61,253,534 | 60,900,881 | 33,855,319 | 26,850,877 | 21,466,551 | |||||||||||||||
|
Net
income (loss)
|
(86,670,610 | ) | 96,016,767 | 50,422,446 | 26,313,695 | (10,356,473 | ) | |||||||||||||
|
Net
income (loss) per General Partner & Limited
Partner:
|
||||||||||||||||||||
|
Class
A Unit
|
(145.00 | ) | 263.77 | 148.80 | 98.75 | (36.11 | ) | |||||||||||||
|
Class
B Unit
|
(134.12 | ) | 223.70 | 125.29 | 82.71 | (35.34 | ) | |||||||||||||
|
Legacy
1 Class Unit**
|
(33.88 | ) | N/A | N/A | N/A | N/A | ||||||||||||||
|
Legacy
2 Class Unit**
|
(35.46 | ) | N/A | N/A | N/A | N/A | ||||||||||||||
|
Global
1 Class Unit**
|
(43.18 | ) | N/A | N/A | N/A | N/A | ||||||||||||||
|
Global
2 Class Unit**
|
(46.40 | ) | N/A | N/A | N/A | N/A | ||||||||||||||
|
Global
3 Class Unit**
|
(60.36 | ) | N/A | N/A | N/A | N/A | ||||||||||||||
|
Increase
(decrease) in net asset value per General Partner & Limited
Partner:
|
||||||||||||||||||||
|
Class
A Unit
|
(145.00 | ) | 260.73 | 146.87 | 97.03 | (37.96 | ) | |||||||||||||
|
Class
B Unit
|
(134.12 | ) | 215.79 | 120.26 | 78.14 | (41.89 | ) | |||||||||||||
|
Legacy
1 Class Unit
|
(33.88 | ) | N/A | N/A | N/A | N/A | ||||||||||||||
|
Legacy
2 Class Unit
|
(35.46 | ) | N/A | N/A | N/A | N/A | ||||||||||||||
|
Global
1 Class Unit
|
(43.18 | ) | N/A | N/A | N/A | N/A | ||||||||||||||
|
Global
2 Class Unit
|
(46.40 | ) | N/A | N/A | N/A | N/A | ||||||||||||||
|
Global
3 Class Unit
|
(60.36 | ) | N/A | N/A | N/A | N/A | ||||||||||||||
_____________
|
*
|
Loss
allocated from GP 1, LLC is only for first quarter of
2009.
|
|
**
|
Legacy
1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class
units began trading on April 1, 2009. The financial
results are based on weighted average number of units outstanding during
the period.
|
Supplementary
Quarterly Financial Information
The
following summarized quarterly financial information presents Grant Park’s
results of operations for the three-month periods ended March 31,
June 30, September 30, and December 31, 2009 and
2008.
For the quarters
ended June 30, 2009 and September 30, 2009, classes of Grant Park which had a
controlling or majority equity interest in a Trading Company were consolidated
by two groups of classes (A, B and Legacy class units (“LAB”) and Global class
units). At that time, management believed that such presentation was
the most meaningful presentation to an investor in Grant
Park. Subsequent to filing the September 30, 2009 Form 10-Q, Grant
Park considered published guidance, including the recently issued final ruling
released by the Commodity Futures Trading Commission effective December 9, 2009,
17 CFT Part 4 Commodity Pool
Operator Periodic Account Statements and Annual Financial Reports, which
distinguished between series and multi-class funds with a limitation on
liability among such different series or classes of a fund compared to series
and multi-class funds that are not structured with a limitation on liability
among the different series or classes. The ruling states that the
periodic account statements and annual report of a fund structured without a
limitation on liability among its different series or classes should include
information for the fund as a whole as well as for each series or
class. Grant Park’s two groups of classes
of units (LAB and Global units) were not intended to separate or segregate the
assets and liabilities of one class from another. Accordingly,
pursuant to this new ruling, Grant Park has presented consolidated financial
statements for the fund as a whole as of December 31, 2009 and for the year then
ended.
|
1st Quarter
2009
|
2nd Quarter
2009
|
3rd Quarter
2009
|
4th Quarter
2009
|
|||||||||||||
|
(unaudited)
|
(unaudited)
|
(unaudited)
|
(unaudited)
|
|||||||||||||
|
Gains
(losses) from trading
|
$ | (28,802,751 | ) | $ | (16,390,322 | ) | $ | 22,589,266 | $ | (6,467,856 | ) | |||||
|
Net
income (loss)
|
(42,783,464 | ) | (31,491,967 | ) | 7,473,826 | (19,869,005 | ) | |||||||||
|
Net
income (loss) per General Partner & Limited
Partner:
|
||||||||||||||||
|
Class
A Unit**
|
(77.13 | ) | (52.58 | ) | 15.03 | (30.32 | ) | |||||||||
|
Class
B Unit**
|
(69.49 | ) | (47.43 | ) | 10.91 | (28.11 | ) | |||||||||
|
Legacy
1 Class Unit**
|
N/A | (30.54 | ) | 13.49 | (16.83 | ) | ||||||||||
|
Legacy
2 Class Unit**
|
N/A | (31.36 | ) | 13.31 | (17.41 | ) | ||||||||||
|
Global
1 Class Unit**
|
N/A | (15.31 | ) | 10.05 | (37.92 | ) | ||||||||||
|
Global
2 Class Unit**
|
N/A | (16.27 | ) | 8.81 | (38.94 | ) | ||||||||||
|
Global
3 Class Unit**
|
N/A | (22.25 | ) | 4.47 | (42.58 | ) | ||||||||||
|
Increase
(decrease) in net asset value per General Partner & Limited
Partner:
|
||||||||||||||||
|
Class
A Unit
|
(77.13 | ) | (52.58 | ) | 15.03 | (30.32 | ) | |||||||||
|
Class
B Unit
|
(69.49 | ) | (47.43 | ) | 10.91 | (28.11 | ) | |||||||||
|
Legacy
1 Class Unit
|
N/A | (30.54 | ) | 13.49 | (16.83 | ) | ||||||||||
|
Legacy
2 Class Unit
|
N/A | (31.36 | ) | 13.31 | (17.41 | ) | ||||||||||
|
Global
1 Class Unit
|
N/A | (15.31 | ) | 10.05 | (37.92 | ) | ||||||||||
|
Global
2 Class Unit
|
N/A | (16.27 | ) | 8.81 | (38.94 | ) | ||||||||||
|
Global
3 Class Unit
|
N/A | (22.25 | ) | 4.47 | (42.58 | ) | ||||||||||
|
Net
asset value per General Partner & Limited
Partner:
|
||||||||||||||||
|
Class
A Unit
|
1,493.07 | 1,440.49 | 1,455.52 | 1,425.20 | ||||||||||||
|
Class
B Unit
|
1,288.98 | 1,241.55 | 1,252.46 | 1,224.35 | ||||||||||||
|
Legacy
1 Class Unit
|
N/A | 969.46 | 982.95 | 966.12 | ||||||||||||
|
Legacy
2 Class Unit
|
N/A | 968.64 | 981.95 | 964.54 | ||||||||||||
|
Global
1 Class Unit
|
N/A | 984.69 | 994.74 | 956.82 | ||||||||||||
|
Global
2 Class Unit
|
N/A | 983.73 | 992.54 | 953.60 | ||||||||||||
|
Global
3 Class Unit
|
N/A | 977.75 | 982.22 | 939.64 | ||||||||||||
|
1st Quarter
2008
|
2nd Quarter
2008
|
3rd Quarter
2008
|
4th Quarter
2008
|
|||||||||||||
|
(unaudited)
|
(unaudited)
|
(unaudited)
|
(unaudited)
|
|||||||||||||
|
Gains
(losses) from trading
|
$ | 57,815,049 | $ | 33,745,709 | $ | (19,860,656 | ) | $ | 55,820,773 | |||||||
|
Net
income (loss)
|
53,627,759 | 27,202,378 | (35,815,585 | ) | 51,002,215 | |||||||||||
|
Net
income (loss) per General Partner & Class A Unit Limited
Partner **
|
153.78 | 75.39 | (93.39 | ) | 128.01 | |||||||||||
|
Net
income (loss) per Class B Unit Limited Partner **
|
132.70 | 64.11 | (82.55 | ) | 109.43 | |||||||||||
|
Increase
(decrease) in net asset value per General Partner & Class A Unit
Limited Partner
|
153.03 | 74.62 | (94.13 | ) | 127.21 | |||||||||||
|
Increase
(decrease) in net asset value per Class B Unit Limited
Partner
|
130.79 | 62.10 | (84.47 | ) | 107.37 | |||||||||||
|
Net
asset value per General Partner & Class A Unit Limited
Partner
|
1,462.50 | 1,537.12 | 1,442.99 | 1,570.20 | ||||||||||||
|
Net
asset value per Class B Unit Limited Partner
|
1,273.47 | 1,335.57 | 1,251.10 | 1,358.47 | ||||||||||||
_____________
|
**
|
Based
on weighted average number of units outstanding during the
period.
|
|
MANAGEMENT’S
DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS
|
Introduction
Grant
Park is a multi-advisor commodity pool organized to pool assets of its investors
for purpose of trading in the U.S. and international spot and
derivatives markets for currencies, interest rates, stock indices,
agricultural and energy products, precious
and base metals and other commodities and underliers. Grant
Park has been in continuous operation since it commenced trading on
January 1, 1989. Grant Park’s general partner, commodity pool
operator and sponsor is Dearborn Capital Management, L.L.C., an Illinois limited
liability company. The managing member of Dearborn Capital
Management, L.L.C. is Dearborn Capital Management, Ltd., an Illinois corporation
whose sole shareholder is David M. Kavanagh.
Reorganization
of Grant Park
As a
result of recent changes in the rules and regulations of the Financial Industry
Regulatory Authority (“FINRA”) affecting commodity pools, the general partner,
has made certain changes to the organization of Grant Park, including the
creation of additional classes of units, and has terminated the offering and
sale of any new Class A and Class B units as of April 1, 2009.
As part of
the reorganization, Grant Park continues to invest through different commodity
trading advisors retained by the general partner. However, effective
April 1, 2009, instead of each trading advisor maintaining a separate account in
the name of Grant Park, as was historically the case, the assets of Grant Park
are invested in various trading companies, each of which is organized as a
limited liability company. Each trading company will then allocate
its assets to one of the commodity trading advisors retained by the general
partner.
Additionally,
a separate cash management multiple member limited liability company was created
to collectively manage and invest excess cash not required to be held at the
clearing brokers for
each
individual trading advisor. Effectively, this new structure
segregates and isolates one trading advisor from another, reducing cross
liabilities of the trading advisors. The reorganization was completed
at no additional cost to the limited partners.
Through
December 31, 2008 a portion of Grant Park’s net assets was allocated to the
GP Class. Dearborn Select was incorporated under the laws of the
Cayman Islands on April 7, 2006 and is a private investment fund organized
as a segregated portfolio company with limited liability. The GP
Class allocated the assets invested by Grant Park to Winton through one or more
managed accounts, traded pursuant to Winton’s Diversified
Program. Grant Park owned all of the outstanding Class GP units of
the GP Class. The general partner of Grant Park was also the
Investment Manager of Dearborn Select. As of December 31, 2008,
the investment in the GP Class was redeemed and is shown on the statement of
financial condition as a redemption receivable. Effective
January 1, 2009, the portion of Grant Park’s net assets allocated to the GP
Class was reallocated to one of Grant Park’s trading companies, GP 1, a Delaware
limited liability company. GP 1's assets allocated to Winton are
traded pursuant to Winton’s Diversified Program. There have been no
changes to the existing clearing broker arrangements/brokerage charge and no
material changes to the other fees and expenses allocated to Grant Park as a
result of this reallocation.
Effective
April 1, 2009, in addition to the assets allocated by Grant Park to GP 1,
Grant Park allocates assets to each of its following subsidiary limited
liability trading companies: GP 3, GP
4, GP 5, GP 6, GP 7, GP 8, GP 9, GP 10 and GP 11. Assets of
Grant Park will not be invested in GP 12 until the
first quarter of 2010 or in GP 14 until the
second quarter of 2010.
Grant
Park invests through the Trading Companies with independent professional
commodity trading advisors retained by the general partner. Rabar
Market Research, Inc., EMC Capital Management, Inc., Eckhardt Trading Company,
Graham Capital Management, L.P., Winton Capital Management Limited, Welton
Investment Corporation, Global Advisors Jersey Limited, Transtrend B.V.,
Quantitative Investment Management LLC, and Revolution Capital Management, LLC,
serve as Grant Park’s commodity trading advisors. Effective
January 1, 2010, Sunrise Capital Partners, LLC, through its Trading
Company, began trading on behalf of Grant Park and will serve as a commodity
trading advisor with respect to all outstanding classes of Grant Park’s
units. Sunrise will be allocated less than 10 percent of Grant Park’s
net assets to manage. Each of the trading advisors is registered as a
commodity trading advisor under the Commodity Exchange Act and is a member of
the NFA. As of December 31, 2009, the general partner allocated
Grant Park’s net assets through the respective Trading Companies among its core
trading advisors EMC, Winton and Welton and non-core trading advisors Rabar,
ETC, Graham, Global Advisors, Transtrend, QIM and RCM. No more than
twenty percent of Grant Park’s assets are allocated to any one Trading Company
and, in turn, any one trading advisor. The general partner may
terminate or replace the trading advisors or retain additional trading advisors
in its sole discretion.
Critical
Accounting Policies
Grant
Park’s most significant accounting policy is the valuation of its assets
invested in other commodity investment pools and in U.S. and international
futures and forward contracts, options contracts and other interests in
commodities. The substantial majority of these investments are
exchange-traded contracts, valued based upon exchange settlement
prices. The remainder of its investments are non-exchange-traded
contracts with valuation of those investments based on third-party quoted dealer
values on the Interbank market. With the valuation of the investments
easily obtained, there is little or no judgment or uncertainty involved in the
valuation of investments, and accordingly, it is unlikely that materially
different amounts would be reported under different conditions using different
but reasonably plausible assumptions.
The
preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those
estimates. Grant Park’s significant accounting policies are described
in detail in Note 1 of the financial statements.
Effective
January 1, 2009, Grant Park has changed its accounting policy with respect
to organization and offering costs. Prior to that date, Grant Park
charged organization and offering costs directly to partners’
capital. Grant Park charges organization and offering costs to
expense from operations as opposed to taking a direct charge to partners’
capital. This change was done on a prospective basis starting
January 1, 2009. The effect of the change on net income (loss)
is an increase in expense from operations of $2,839,077 and no change to
partners’ capital for the twelve months ended December 31,
2009. There is no cumulative effect of the change on the net asset
value of Grant Park.
Valuation
of Financial Instruments
Grant
Park follows the provisions of FASB ASC 820, Fair Value
Measurements and Disclosures. FASB ASC 820 defines fair value,
establishes a framework for measuring fair value and expands disclosures about
fair value measurement and also emphasizes that fair value is a market-based
measurement, not an entity-specific measurement. FASB ASC 820 defines
fair value as the price that would be received to sell an asset or paid to
transfer a liability in an orderly transaction between market participants at
the measurement date and sets out a fair value hierarchy. The fair
value hierarchy gives the highest priority to quoted prices in active markets
for identical assets or liabilities (Level 1) and the lowest priority to
unobservable inputs (Level 3). Inputs are broadly defined under FASB
ASC 820 as assumptions market participants would use in pricing an asset or
liability. The three levels of the fair value hierarchy under FASB ASC 820 are
described below:
Level
1. Unadjusted quoted prices in active markets for identical assets or
liabilities that the reporting entity has the ability to access at the
measurement date.
Level
2. Inputs other than quoted prices within Level 1 that are observable
for the asset or liability, either directly or indirectly. A
significant adjustment to a Level 2 input could result in the Level 2
measurement becoming a Level 3 measurement.
Level
3. Inputs are unobservable for the asset or liability.
The
following section describes the valuation techniques used by Grant Park to
measure different financial instruments at fair value and includes the level
within the fair value hierarchy in which the financial instrument is
categorized.
13
Fair
value of exchange-traded contracts is based upon exchange settlement
prices. Fair value of non-exchange-traded contracts is based on third
party quoted dealer values on the Interbank market. U.S. Government
securities, Government-sponsored enterprises and commercial paper are stated at
cost plus accrued interest, which approximates fair value based on quoted market
prices in an active market. These financial instruments are
classified in Level 1 of the fair value hierarchy.
Grant
Park values the certificates of deposit at face value plus accrued interest,
which approximates fair value, and these financial instruments are classified in
Level 2 of the fair value hierarchy.
The
following table presents Grant Park’s fair value hierarchy for those assets and
liabilities measured at fair value on a recurring basis as of December 31,
2009:
|
Assets
|
Level
1
|
Level
2
|
Level
3
|
Total
|
||||||||||||
|
Equity
in brokers’ trading accounts
|
||||||||||||||||
|
U.S.
Government securities
|
$ | 89,970,252 | $ | – | $ | – | $ | 89,970,252 | ||||||||
|
Futures
contracts
|
13,472,467 | – | – | 13,472,467 | ||||||||||||
|
Forward
contracts
|
542,054 | – | – | 542,054 | ||||||||||||
|
Options
on futures contracts
|
(5,130 | ) | – | – | (5,130 | ) | ||||||||||
|
Cash
and cash equivalents
|
||||||||||||||||
|
Certificates
of deposit
|
– |
20,042,688
|
– |
20,042,688
|
||||||||||||
|
Commercial
paper
|
6,761,718
|
– | – |
6,761,718
|
||||||||||||
|
Certificates
of deposit
|
– | 15,755,711 | – | 15,755,711 | ||||||||||||
|
Government-sponsored
enterprises
|
596,671,609 | – | – | 596,671,609 | ||||||||||||
|
U.S.
Government securities
|
74,755,744 | – | – | 74,755,744 | ||||||||||||
The
following table presents Grant Park’s fair value hierarchy for those assets and
liabilities measured at fair value on a recurring basis as of December 31,
2008:
|
Assets
|
Level
1
|
Level
2
|
Level
3
|
Total
|
||||||||||||
|
Equity
in brokers’ trading accounts
|
||||||||||||||||
|
U.S.
Government securities
|
$ | 29,215,898 | $ | – | $ | – | $ | 29,215,898 | ||||||||
|
Government-sponsored
enterprises
|
15,695,417 | – | – | 15,695,417 | ||||||||||||
|
Futures
contracts
|
6,603,439 | – | – | 6,603,439 | ||||||||||||
|
Forward
contracts
|
(1,393,208 | ) | – | – | (1,393,208 | ) | ||||||||||
|
Cash
and cash equivalents
|
||||||||||||||||
|
Certificates
of deposit
|
– | 40,655,321 | – | 40,655,321 | ||||||||||||
|
Commercial
paper
|
89,383,455 | – | – | 89,383,455 | ||||||||||||
|
Government-sponsored
enterprises
|
4,993,389 | – | – | 4,993,389 | ||||||||||||
|
Certificates
of deposit
|
– | 28,525,736 | – | 28,525,736 | ||||||||||||
|
Commercial
paper
|
9,979,833 | – | – | 9,979,833 | ||||||||||||
|
Government-sponsored
enterprises
|
311,078,226 | – | – | 311,078,226 | ||||||||||||
Results
of Operations
Grant
Park’s returns, which are Grant Park’s trading gains plus interest income less
brokerage fees, performance fees, operating costs and offering costs borne by
Grant Park, for the years ended December 31, 2009, 2008 and 2007 are set
forth in the table below:
|
2009
|
2008
|
2007
|
||||||||||
|
Total
return – Class A units
|
(9.2 | )% | 19.9 | % | 12.6 | % | ||||||
|
Total
return – Class B units
|
(9.9 | )% | 18.9 | % | 11.8 | % | ||||||
|
Total
return – Legacy 1 Class units*
|
(3.4 | )% | − | − | ||||||||
|
Total
return – Legacy 2 Class units*
|
(3.6 | )% | − | − | ||||||||
|
Total
return – Global 1 Class units*
|
(4.3 | )% | − | − | ||||||||
|
Total
return – Global 2 Class units*
|
(4.6 | )% | − | − | ||||||||
|
Total
return – Global 3 Class units*
|
(6.0 | )% | − | − | ||||||||
|
*
Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global
3 Class units began trading April 1, 2009, and accordingly, the total
return represents the return from April 1, 2009 through
December 31, 2009.
|
||||||||||||
Grant
Park’s total net asset value at December 31, 2009, 2008 and 2007 was $831.3
million, $643.6 million, $455.7 million, respectively. Results
from past periods are not indicative of results that may be expected for any
future period.
The table
below sets forth Grant Park’s trading gains or losses which include the
investment in the GP Class by sector for each of the years ended
December 31, 2009, 2008 and 2007.
|
%
Gain (Loss)
|
||||||||||||
|
Year
Ended December 31,
|
||||||||||||
|
Sector
|
2009
|
2008
|
2007
|
|||||||||
|
Interest
Rates
|
(4.1 | )% | 8.6 | % | 7.2 | % | ||||||
|
Currencies
|
(0.7 | ) | 0.1 | 5.7 | ||||||||
|
Stock
Indices
|
3.6 | 5.6 | (2.3 | ) | ||||||||
|
Energy
|
(3.2 | ) | 8.4 | 5.0 | ||||||||
|
Agriculturals
|
— | 3.0 | 4.1 | |||||||||
|
Meats
|
— | 0.3 | (0.6 | ) | ||||||||
|
Metals
|
2.5 | 3.0 | 0.7 | |||||||||
|
Softs
|
(0.1 | ) | 1.5 | (1.8 | ) | |||||||
|
Total
|
(2.0 | )% | 30.5 | % | 18.0 | % | ||||||
Year
ended December 31, 2009
Throughout
2009, opportunities for profitable trading in the futures markets were difficult
to identify. Investors constantly shifted their risk appetite,
thereby preventing the development of sustainable price trends throughout the
year.
During
the first quarter of 2009, Grant Park’s traders incurred trading losses across
various sectors. Prices in grains markets rose following
better-than-expected economic indicators for increased future demand for
grains. Additionally, conflicts between soybean farmers and the
Argentine government added to the market rally. These factors moved
prices against Grant Park’s short grains positions. The U.S.
government’s attempts to use quantitative easing to prompt a recovery in the
financial markets caused an oversupply of debt which moved the market against
Grant Park’s long debt positions. This governmental action coincided
with a rally in the equity markets and created losses against Grant Park’s
short
positions. The rising equity prices, in turn, served as a
bullish indicator for the metals markets and drove prices in the base metals
sector up and contrary to Grant Park’s short positions. The energy
sector was profitable for Grant Park in the first quarter. Increased
natural gas inventories caused by low industrial demand in 2008 pushed prices
lower which benefitted Grant Park’s short positions.
During
the second quarter of 2009, the downtrend in the fixed-income markets continued
again moving against Grant Park’s long positions. The European
Central Bank cut interest rates by 25 basis points. This move sparked
risk appetite amongst investors and prompted liquidations in the debt
markets. Renewed hopes of economic recovery caused share prices to
rise across the equity markets and were supported by better-than-expected
earnings reports from key European financial firms. Consequently,
Grant Park’s long positions were profitable. In the currency markets,
strong earnings results from Credit Suisse strengthened the Swiss franc and
moved prices against Grant Park’s short Swiss franc positions. In
Japan, an unexpected trade surplus bode well for the Japanese yen, moving it
against short positions. During May, performance turned
positive as Grant Park posted profits for the month. International
investors showed increased risk appetite and drove greater demand for
higher-yielding currencies, benefitting short dollar
positions. Investors who had remained on the investing sidelines
reentered the equity markets based on confidence the Global markets were
beginning to recover. This activity drove equity prices up, alongside
Grant Park’s long positions. Conversely, Grant Park experienced minor
setbacks in the fixed-income markets as investors liquidated debt to establish
positions in riskier assets. Optimism towards the economy continued
into June and Grant Park’s short debt positions met with
setbacks. In effect, the positive sentiment in the equity sector
caused liquidations in the fixed-income sector and Grant Park’s fixed-income
positions lost value. This was evident in the losses incurred in the
long positions Grant Park held in the short-term interest rates
markets.
During
the third quarter of 2009, the majority of losses early in the quarter came
predominantly from the crude oil markets. The intra month volatility
moved against Grant Park’s long positions. The release of an Energy
Information Administration report showing large U.S. crude oil inventories was a
major factor that drove prices lower. Grant Park’s short positions in
the natural gas markets were able to partially offset losses in the energy
sector during the quarter. Natural gas prices fell during this period
because of news of increased U.S. energy supplies. In August, Grant
Park profited on another round of renewed investor appetite as Global equity
markets rallied alongside long positions. Firm economic data,
including strong housing starts and durable goods orders, lifted share prices in
North America and Europe. Grant Park’s long positions in the sugar
markets were another major contributor to performance in August. Weak
sugar supply from Brazil coupled with strong demand from Southeast Asia was a
consistent theme throughout 2009. Optimism concerning the Global
economy continued throughout August and helped Grant Park finish the
quarter on a positive note. Grant Park’s short U.S. dollar positions
earned profits as investors sought higher-yielding currencies, including the
Australian and New Zealand dollars, in a shift away from
risk-aversion. In the energy markets, forecasts for cold weather in
the U.S. and improving industrial production data caused prices to rise in the
natural gas markets. This information reversed the downward price
trend and moved the markets against Grant Park’s short positions.
During
the fourth quarter of 2009, falling prices in the debt markets moved against
Grant Park’s long positions in the fixed-income markets. U.S. Federal
Reserve Chairman Ben Bernanke stated any interest rate changes would come after
2009 and weighed heavily on debt prices. A sharp reversal in the
equities markets occurred during the last week in October and weighed on
Grant Park’s performance. In November, the bulk of Grant Park’s
profits came from long positions in the gold markets. Speculators
drove gold prices to all-time highs in reaction to a weakening U.S. dollar and
in pursuit of a hedge against inflation concerns. The gold rally was
further supported when several nations announced they would increase gold
holdings in order to hedge their dollar-based assets. Grant Park also
profited from its long positions in the fixed-income
markets. Concerns the U.S. government might halt stimulus initiatives
increased
demand for more risk-averse debt instruments. At year-end, the
fixed-income markets underwent another sharp price reversal and moved against
Grant Park’s long positions. Rallies in the equity markets, coupled
with optimistic unemployment reports, improved investor confidence and prompted
liquidations in the U.S. and European fixed-income markets. Concerns
over potential defaults in the Dubai debt markets also had an adverse affect on
Global fixed-income products. Partially offsetting setbacks were
positions in the equity and the base metals markets. The portfolio
profited from strong up-trends in major U.S. and European benchmark
indices. Strong share prices directly led to gains on Grant Park’s
long base metals positions as strength in the equity markets improved industrial
demand forecasts.
For the
year ended December 31, 2009, Grant Park had a negative return of 9.2% for
the Class A units, a negative return of 9.9% for the Class B units, a negative
return of 3.4% for the Legacy 1 Class units, a negative return of 3.6% for the
Legacy 2 Class units, a negative return of 4.3% for the Global 1 Class units, a
negative return of 4.6% for the Global 2 Class units, and a negative return of
6.0% for the Global 3 Class units. On a combined basis prior to
expenses, approximately 2.0% resulted from trading losses which was offset by
approximately 0.8% of interest income. These trading losses were
further increased by approximately 8.7% in combined total brokerage fees,
performance fees and offering costs borne by Grant Park. An analysis
of the 2.0% trading losses by sector is as follows:
|
Sector
|
%
Gain (Loss)
|
|||
|
Interest
Rates
|
(4.1 | )% | ||
|
Currencies
|
(0.7 | ) | ||
|
Stock
Indices
|
3.6 | |||
|
Energy
|
(3.2 | ) | ||
|
Agriculturals
|
— | |||
|
Meats
|
— | |||
|
Metals
|
2.5 | |||
|
Softs
|
(0.1 | ) | ||
|
Miscellaneous
|
— | |||
|
Total
|
(2.0 | )% | ||
Year
ended December 31, 2008
Grant
Park began 2008 on a positive note. The ongoing effect of the 2007
credit crisis played a large role in the portfolio’s positive performance in the
first quarter. Fueled by uncertainty surrounding the future of the
U.S. economy and a 150 basis point interest rate cut, the U.S. dollar weakened
steadily against many of its major counterparts. Short dollar
positions directly benefited from the decline as the euro, British pound, and
New Zealand dollar all rose steadily against the U.S. dollar. A weak
dollar also served Grant Park’s commodity positions well, as the devalued
currency drove metals prices upwards alongside long
positions. Speculators bid up the gold markets as a hedge against
expected inflation increases resulting in profits for long
positions. Long grains positions were among the top performers
throughout the quarter. U.S. Department of Agriculture (“USDA”)
reports announcing lower than expected grain inventory levels, combined with
news from China that weather conditions had hurt the farming regions, propelled
a strong uptrend in the grains markets. An abundance of poor economic
data put steady pressure on the equity markets benefiting the portfolio’s short
positions. The effects of slumping home sales, reduced industrial
production, and weak consumer confidence pushed Global share prices
lower. In attempts to shore up the faltering Global economy the U.S.
Federal Reserve, as well as other major central banks, began commenting on the
continued need to ease interest rates in the near future. Speculation
of interest rate cuts sent prices on fixed income products upwards, resulting in
profits for long positions.
The
portfolio started out the second quarter quietly with a slight loss in
April. Gains in the energy markets were overcome by setbacks in the
fixed income and equity indices markets. After reaping the benefits
of declining stock prices early in 2008, a shift in investor sentiment resulted
in losses for Grant Park’s short stock indices positions. Capital
infusions into major financial institutions like Lehman Brothers and UBS ignited
a spark in the equity markets resulting in a steady rally across the
sector. A firming in the U.S. equity markets drove up the U.S. dollar
which put pressure on the metals and agricultural markets adding to
setbacks. Long positions in the copper and corn markets were
negatively impacted as technical selling in response to a strong dollar drove
down prices. As April ended, performance for the portfolio began
to change for the better. The bulk of gains came from long positions
in the crude oil markets where supply constraints stemming from violence in
Nigeria and a hawkish OPEC sent prices steadily upwards. In the fixed
income sector, strong economic data out of the Eurozone supported a bullish
outlook for the economy, causing investors to liquidate more risk-averse fixed
income positions. The reduced demand for fixed income products pushed
prices lower resulting in profits for the portfolio’s short
positions. Long grains positions further added to gains, as bad
weather swept across the Midwestern U.S. rallied prices. Vicious
rainstorms left America’s key farming regions under as much as 6 inches of water
fueling a bearish forecast for 2008’s corn and soybean
crop. Positioned on the short side of the equity indices markets,
Grant Park benefited from weak share prices. Poor earnings reports
from leading financial institutions coupled with waning consumer confidence put
pressure on the major indices forcing them sharply lower.
Market
shifts in the third quarter of 2008 proved to be trying for
performance. A reversal in the commodities markets, headlined by a
sharp decline in the price of crude oil, moved against Grant Park’s long
positions. Contrary to forecasts, Hurricane Bertha narrowly missed
key energy producing facilities in the Gulf of Mexico resulting in a massive
unwinding of speculative long positions pushing prices lower resulting in losses
for the portfolio. After reaching all-time highs early in the year,
prices across the agricultural sector slid sharply due to improved weather
patterns in the Midwest. Speculation of possible government
intervention in the futures markets also weighed on commodity
prices. Fearing that intervention would adversely affect commodities
holdings, major institutions began massive liquidations, especially in the gold
markets, driving prices lower against
positions. September marked a positive shift in performance for
the portfolio. Short positions in the equity markets posted gains as
the failure and government takeover of mortgage giants Fannie Mae and Freddie
Mac put substantial pressure on the share markets. The announcement
of the creation of the $700 billion Troubled Asset Relief Program (TARP) and the
failure of Washington Mutual and Lehman Brothers drove the equity markets
sharply downwards. By the end of the third quarter the majority of
Grant Park’s commodity positions reversed to the short side to take advantage of
the downward trending markets. Positions in the metals markets were
among the strongest source of profits due to price declines stemming from
reduced demand from emerging nations such as Brazil, Russia, India, and
China. Improved harvesting conditions across U.S. farmlands negated
prior supply constraints driving prices in the grains markets
lower. Forecasted supply concerns in Nigeria resulted in losses for
Grant Park’s short energy positions. Renewed threats of violence on
major Nigerian crude oil refineries by rebel group MEND (Movement for the
Emancipation of the Niger Delta) called into question the region’s production
capabilities driving prices higher.
Turmoil
in the financial markets continued into the start of the fourth quarter boding
well for performance. Tight credit markets and rapidly decreasing
consumer confidence caused investors to flee equity positions driving prices
lower. Major indices falling in excess of 20% caused an increase in
demand for safer fixed income markets driving up prices across the sector in
line with long positions. Falling share prices spurred mass
liquidations in the commodities markets driving prices
downwards. Positioned on the short side of the metals and
agriculturals markets, the portfolio was able to capitalize on the downtrend
through most of October. Reduced production due to lack of capital in
the credit markets furthered declines in the commodities
markets. With Global manufacturing nearing all-time lows, demand for
energy and base metals declined resulting in profits for Grant Park’s short
positions. The
bulk of
the portfolio’s gains throughout November came from long fixed income
positions. Speculators responding to monetary policy shifts from a
number of central banks and turbulence in the equity markets fueled strong
uptrends in the debt markets resulting in profits for long
positions. Positions in the equity indices sector also proved to be a
strong source of profits. In the equity markets, a revision to the
TARP, which moved the focus of the program away from buying toxic financial
assets, weighed heavily on the share prices of financial firms driving most
major North American equity indices lower. Commodities markets
continued their steady decline into year-end. Slowing production and
reduced demand for industrial commodities weighed heavily on
prices. One of the rare exceptions was prices on gold which
experienced a near 15% increase for the month of November. Short
positions in gold markets endured losses as speculators bid up the gold markets
in attempts to hedge positions in the financial markets. Grant Park
finished 2008 with a strong December. As occurred during the month
before, the bulk of gains came from long fixed income
positions. Yields on U.S. Treasuries breached all-time lows as the
U.S. Federal Reserve brought interest rates to near 0% driving prices
upwards. Although gains were made in the fixed income sector, the
Federal Reserve’s decision to slash rates weighed heavily on the U.S.
dollar. Long dollar positions against a number of emerging currencies
posted losses as the dollar weakened.
For the
year ended December 31, 2008, Grant Park had a positive return of 19.9% for
the Class A units and a positive return of 18.9% for the Class B
units. On a combined basis prior to expenses, approximately 30.5%
resulted from trading gains and approximately 2.9% was due to interest
income. These gains are offset by approximately 14.3% in combined
total brokerage fees, performance fees and offering costs borne by Grant
Park. An analysis of the 30.5% trading gains by sector is as
follows:
|
Sector
|
%
Gain (Loss)
|
|||
|
Interest
Rates
|
8.6 | % | ||
|
Currencies
|
0.1 | |||
|
Stock
Indices
|
5.6 | |||
|
Energy
|
8.4 | |||
|
Agriculturals
|
3.0 | |||
|
Meats
|
0.3 | |||
|
Metals
|
3.0 | |||
|
Softs
|
1.5 | |||
|
Miscellaneous
|
— | |||
|
Total
|
30.5 | % | ||
Year
ended December 31, 2007
Grant
Park began 2007 on a positive
note after interest rate hikes in the Euro-zone and concerns over inflation in
the U.S. forced fixed income prices lower, benefiting short positions in
government debt markets. Speculation that OPEC would not push for
production cuts resulted in gains for shorts in crude oil while an upswing in
U.S. fuel inventories did the same for similar positions in unleaded
gasoline. The drop in energy prices sparked buying on Global share
markets that produced gains for Grant Park’s long equity index
positions. Metals positions, which were somewhat disparate at the
beginning of January, were also a source of income after a downturn in the U.S.
housing market weakened copper prices and the threat of a strike at a Canadian
mine put a bid into the nickel market. Gains recorded by Grant Park
over the first month were erased quickly over the next two months as a dramatic
drop in share prices led to losses for Grant Park’s equity, interest rate and
currency positions. In February, a massive single-session plunge in
the Chinese equity market (the apparent result of worries over whether the
government there would impose stricter regulations on investments) spilled over
into European and North American share markets. The sell-off
continued into March, further influenced by
rising
energy prices that were partly the result of growing tension between the United
States and Iran over the latter’s nuclear ambitions. The volatile
downturn in equities markets sparked losses in the interest rate sector after
investors fled stocks for the relative safety of government debt instruments;
weak reports on U.S. GDP, new home sales and manufacturing drove bond prices
higher still, adding to losses. The Japanese yen rallied violently as investors
strapped for the cash needed to cover massive stock market losses liquidated
profitable carry trades in which they had initially borrowed the yen in order to
purchase currencies from economies offering higher rates of
return. Short positions in the dollar were also unprofitable after
the greenback rallied on a drop in the February U.S. unemployment
rate. Longs in the soft/agricultural commodities, which had produced
somewhat neutral results during the first two months of the year, ended the
first quarter with net losses after USDA reports pointing to an increase in
acreage dedicated to corn production sent grain prices lower. Grant
Park’s losses over the opening quarter were rounded out after the weakness in
equities led to lower gold prices.
April 2007
began a streak of three straight profitable months for Grant Park after
investors, encouraged by optimistic forecasts on Global economic growth, began
to wade back into equities markets. Gains continued into May as
positive earnings reports, an increase in merger and acquisition activity and
lower reports on U.S. inflation had investors convinced that stocks had turned
the corner. Positions in the currency sector gained over the second
quarter, particularly the short bias in the U.S. dollar, which depreciated
against the euro and British pound in response to weak domestic economic
data. Speculation that U.S. interest rates might be headed lower
while European rates moved higher pushed the dollar lower
still. Short positions in the Japanese yen also gained as the
stability of equities markets allowed currency traders, already emboldened by
anemic data on Japanese consumer prices and industrial production, to resume the
carry trade in an effort to take advantage of the low cost of borrowing in
yen. Short positions in the interest rate sector got out of the box
slowly in April after the drop in U.S. consumer prices resulted in a bond
rally but rebounded and posted gains over the next two months as Global bond
prices fell in response to forecasts for greater European economic growth and a
confirmed rise in Canadian inflation. Gains came for the
soft/agricultural commodities sector after short positions in the cotton market
benefited from a jump in inventories during April; long positions in the grain
markets provided the bulk of gains during May and June when prices in
the soybean complex surged on a lack of rain and the prospect of increased
demand for bio-fuel. Metals positions experienced a period of
directionless trade during the second quarter. A jump in Chinese
demand for copper and concerns over nickel supplies resulted in April gains
that were somewhat mitigated in May when base metals prices fell on news
that the Chinese government, which was worried about an overheating economy,
increased the stamp tax in an effort to dampen stock market
speculation. Advancing nickel inventories during June added to
losses. Energy positions also entered a period of sideways trade
during the second quarter. Rising prices as the result of Iran’s
stand-off with the West signaled a change in Grant Park’s energy bias from short
to long that resulted in gains after unleaded gasoline rallied on reports of
contracted inventories. Long positions in natural gas that were
unprofitable during May were reversed by Grant Park’s traders during
June and were able to recoup some of the previous month’s losses after
prices continued lower by quarter’s end on reports of rising fuel
stocks.
The third
quarter of
2007 represented a period of high volatility across Global financial markets
that led to losses for Grant Park in July and August. Standard and Poor’s
decision to downgrade European collateralized debt obligations that were tied to
defaulting U.S. sub-prime mortgages resulted in setbacks for short positions in
the fixed income sector as investors’ uncertainty about the corporate sector’s
exposure to sub-prime debt sparked heavy buying in more secure government bond
markets. Equities markets, which had held their ground for the better
part of July, plunged near month’s end on worries that the rapidly developing
mortgage crisis could result in a Global credit crunch. The sell-off
in stocks hurt Grant Park’s equity long positions and further exacerbated losses
in the fixed income sector as investors sought safe haven in government
securities. As was the case in February, investors once again were
forced to liquidate positions in the profitable Japanese yen carry trade in
order to compensate for equities
losses. Grant
Park’s positions in the cross-rates sustained losses as the New Zealand dollar
fell violently against the yen. Long positions in the euro sustained
losses after the European Central Bank injected billions of euros into the
banking system in an effort to head off a shortage of cash. Worries
over the availability of credit translated into losses for Grant Park’s long
positions in the metals sector after investors’ aversion to risk and a rising
U.S. dollar sent gold prices tumbling. Base metals prices fell on
concerns that an economic slowdown would accompany the dilemma facing credit
markets. Long energy positions gained ground in July after
reports of falling inventories and sectarian strife in Nigeria rallied crude
prices; those same positions were dealt losses in August after prices fell
when Hurricane Dean failed to disrupt refinery operations in the Gulf of
Mexico. Heavy rains over the Midwest in July and
August caused losses to Grant Park’s long positions in the soybean
complex.
September marked
a change in direction for Grant Park’s performance and market
exposure. Positions in the interest rate sector, which had been
net-short for the majority of the 2007 calendar year, were reversed by Grant
Park’s trading advisors as a result of the material change in price direction
brought about by the flight to government debt as an alternative to corporate
bonds. Long positions in domestic markets were immediately rewarded
after an unexpected drop in August U.S. payrolls, along with downward
revisions to July and June payrolls, prompted the U.S. Federal Reserve
Bank (the “Federal Reserve”) to cut short-term interest rates by 50 basis
points. Long positions in the euro and Canadian dollar (which reached
parity with the U.S. dollar for the first time in thirty years) reported gains
as the greenback plunged on the Federal Reserve’s intervention. Wheat
prices, which had begun to rise at the end of August, provided the bulk of gains
for soft/agricultural positions on a spike in demand from India and the Middle
East. The Federal Reserve’s decision to cut rates sparked a rally
that saw gold prices trade above $700 for the first time in sixteen months,
adding to Grant Park’s gains. Speculation that lower interest rates
and a lower dollar would translate into greater demand for energy benefited long
crude positions as oil traded above the $80 mark for the first time. Long stock
index positions, which had been pared considerably by the end of September, were
profitable after Asian stocks rallied on news that the Chinese government had
relaxed investment restrictions on its citizens. By the end of
September, Grant Park reported gains in every sector and had all but erased the
losses sustained during July and August.
Grant
Park’s trading advisors recorded gains during the fourth quarter after the bulk
of Grant Park’s positions continued to post advances throughout
October. Tremors from the effects of failing sub-prime mortgages
continued to reverberate across Global financial markets while a number of
highly rated lending institutions were forced to disclose the depth of their
exposure to the risky loans. In an effort to stabilize financial
markets the Federal Reserve cut short term rates by another 25 basis points in
October, a move that resulted in another down move for the
beleaguered U.S. dollar and gains for euro, pound and Canadian dollar
longs. Uncertainty as to how far the mortgage crisis reached
continued to benefit long positions in the interest rate sector as investors
shunned corporate issues for the safety of government bonds. Long
positions in the energy sector gained ground over the final quarter as a lower
dollar combined with geopolitical concerns and growing seasonal fuel demand
pushed crude oil prices to all-time highs above $95 per
barrel. Soft/agricultural commodities sector reported losses during
October after wheat prices, which had established new all-time highs above
$9 per bushel in September, fell on speculation that record prices would result
in a dramatic increase in acreage dedicated to the crop. Grant Park’s
long positions in the sector were rewarded during November and
December as dry growing conditions and increased foreign demand for grain
sustained the upward trend in soybean and corn prices. Metals markets
reported gains during this period after gold rallied to its highest levels in 27
years as investors sought protection from the weak dollar and rising energy
costs. Reports of bloated copper inventories resulted in losses
during November but these were quickly recovered after gold rallied
throughout December in response to higher energy costs. The
Federal Reserve’s rate cut, along with additional cash infusions on behalf of
the European Central Bank’s effort to stave off a liquidity meltdown resulted in
gains for the equity index sector during October but these were erased over
the final
two
months of the year as the expanding credit calamity and recessionary fears
continued to send stock investors to the exits.
For the
year ended December 31, 2007, Grant Park had a positive return of 12.6% for
the Class A units and a positive return of 11.8% for the Class B
units. On a combined basis prior to expenses, approximately 18.0%
resulted from trading gains and approximately 4.8% was due to interest
income. These gains are offset by approximately 10.9% in combined
total brokerage fees, performance fees and offering costs borne by Grant
Park. An analysis of the 18.0% trading gains by sector is as
follows:
|
Sector
|
%
Gain (Loss)
|
|||
|
Interest
Rates
|
7.2 | % | ||
|
Currencies
|
5.7 | |||
|
Stock
Indices
|
(2.3 | ) | ||
|
Energy
|
5.0 | |||
|
Agriculturals
|
4.1 | |||
|
Meats
|
(0.6 | ) | ||
|
Metals
|
0.7 | |||
|
Softs
|
(1.8 | ) | ||
|
Miscellaneous
|
— | |||
|
Total
|
18.0 | % | ||
The
general partner has agreed to rebate back to Grant Park a portion of Grant
Park’s operating, organization and offering expenses to the extent actual
expenses were less than the actual amount Grant Park paid the general
partner. For 2007, the general partner reimbursed Grant Park a total
of $750,000, of which $250,000 related to operating expenses and $500,000
related to organization and offering expenses.
Capital
Resources
Grant
Park plans to raise additional capital only through the sale of units pursuant
to the continuous offering and does not intend to raise any capital through
borrowing. Due to the nature of Grant Park’s business, it does not
make any capital expenditures and does not have any capital assets that are not
operating capital or assets.
Liquidity
Most U.S.
futures exchanges limit fluctuations in some futures and options contract prices
during a single day by regulations referred to as daily price fluctuation limits
or daily limits. During a single trading day, no trades may be
executed at prices beyond the daily limit. Once the price of a
contract has reached the daily limit for that day, positions in that contract
can neither be taken nor liquidated. Futures prices have occasionally
moved to the daily limit for several consecutive days with little or no
trading. Similar occurrences could prevent Grant Park from promptly
liquidating unfavorable positions and subject Grant Park to substantial losses
that could exceed the margin initially committed to those trades. In
addition, even if futures or options prices do not move to the daily limit,
Grant Park may not be able to execute trades at favorable prices, if little
trading in the contracts is taking place. Other than these
limitations on liquidity, which are inherent in Grant Park’s futures and options
trading operations, Grant Park’s assets are expected to be highly
liquid.
Off-Balance
Sheet Risk
Off-balance
sheet risk refers to an unrecorded potential liability that, even though it does
not appear on the balance sheet, may result in future obligation or
loss. Grant Park trades in futures and other commodity interest
contracts and is therefore a party to financial instruments with elements of
off-balance sheet market and credit risk. In entering into these
contracts, Grant Park faces the market risk that these contracts may be
significantly influenced by market conditions, such as interest rate volatility,
resulting in such contracts being less valuable. If the markets
should move against all of the commodity interest positions of Grant Park at the
same time, and if Grant Park were unable to offset positions, Grant Park could
lose all of its assets and the limited partners would realize a 100%
loss. Grant Park minimizes market risk through real-time monitoring
of open positions, diversification of the portfolio and maintenance of a
margin-to-equity ratio that rarely exceeds 25%. All positions of
Grant Park are valued each day on a mark-to-market basis.
In
addition to market risk, when entering into commodity interest contracts there
is a credit risk that a counterparty will not be able to meet its obligations to
Grant Park. The counterparty for futures and options on futures
contracts traded in the United States and on most non-U.S. futures exchanges is
the clearing organization associated with such exchange. In general,
clearing organizations are backed by the corporate members of the clearing
organization who are required to share any financial burden resulting from the
non-performance by one of their members and, as such, should significantly
reduce this credit risk.
In cases
where the clearing organization is not backed by the clearing members, like some
non-U.S. exchanges, it is normally backed by a consortium of banks or other
financial institutions.
In the
case of forward contracts, over-the-counter options contracts or swap contracts,
which are traded on the interbank or other institutional market rather than on
exchanges, the counterparty is generally a single bank or other financial
institution, rather than a central clearing organization backed by a group of
financial institutions. As a result, there likely will be greater
counterparty credit risk in these transactions. Grant Park trades
only with those counterparties that it believes to be
creditworthy. Nonetheless, the clearing member, clearing organization
or other counterparty to these transactions may not be able to meet its
obligations to Grant Park, in which case Grant Park could suffer significant
losses on these contracts.
In the
normal course of business, Grant Park enters into contracts and agreements that
contain a variety of representations and warranties and which provide general
indemnifications. Grant Park’s maximum exposure under these
arrangements is unknown, as this would involve future claims that may be made
against Grant Park that have not yet occurred. Grant Park expects the
risk of any future obligation under these indemnifications to be
remote.
Contractual
Obligations
None.
|
QUANTITATIVE
AND QUALITATIVE DISCLOSURES ABOUT MARKET
RISK
|
Introduction
Grant
Park is a speculative commodity pool. The market sensitive
instruments held by it are acquired for speculative trading purposes, and all or
a substantial amount of Grant Park’s assets are subject to the risk of trading
loss. Unlike an operating company, the risk of market sensitive
instruments is integral, not incidental, to Grant Park’s business.
Market
movements result in frequent changes in the fair market value of Grant Park’s
open positions and, consequently, in its earnings and cash
flow. Grant Park’s market risk is influenced by a wide variety of
factors, including the level and volatility of exchange rates, interest rates,
equity price levels, the market value of financial instruments and contracts,
market prices for base and precious metals, energy complexes and other
commodities, the diversification effects among Grant Park’s open positions and
the liquidity of the markets in which it trades.
Grant
Park rapidly acquires and liquidates both long and short positions in a wide
range of different markets. Consequently, it is not possible to
predict how a particular future market scenario will affect
performance. Grant Park’s current trading advisors all employ
trend-following strategies that rely on sustained movements in
price. Erratic, choppy, sideways trading markets and sharp reversals
in movements can materially and adversely affect Grant Park’s
results. Grant Park’s past performance is not necessarily indicative
of its future results.
Value at
risk is a measure of the maximum amount that Grant Park could reasonably be
expected to lose in a given market sector in a given day. However,
the inherent uncertainty of Grant Park’s speculative trading and the recurrence
in the markets traded by Grant Park of market movements far exceeding
expectations could result in actual trading or non-trading losses far beyond the
indicated value at risk or Grant Park’s experience to date. This risk
is often referred to as the risk of ruin. In light of the foregoing
as well as the risks and uncertainties intrinsic to all future projections, the
inclusion of the quantification included in this section should not be
considered to constitute any assurance or representation that Grant Park’s
losses in any market sector will be limited to value at risk or by Grant Park’s
attempts to manage its market risk. Moreover, value at risk may be
defined differently as used by other commodity pools or in other
contexts.
Materiality,
as used in this section, is based on an assessment of reasonably possible market
movements and the potential losses caused by such movements, taking into account
the leverage, and multiplier features of Grant Park’s market sensitive
instruments.
The
following quantitative and qualitative disclosures regarding Grant Park’s market
risk exposures contain forward-looking statements. All quantitative
and qualitative disclosures in this section are deemed to be forward-looking
statements, except for statements of historical fact and descriptions of how
Grant Park manages its risk exposure. Grant Park’s primary market
risk exposures, as well as the strategies used and to be used by its trading
advisors for managing such exposures are subject to numerous uncertainties,
contingencies and risks, any one of which could cause the actual results of
Grant Park’s risk controls to differ materially from the objectives of such
strategies. Government interventions,
defaults
and expropriations, illiquid markets, the emergence of dominant fundamental
factors, political upheavals, changes in historical price relationships, an
influx of new market participants, increased regulation and many other factors
could result in material losses as well as in material changes to the risk
exposures and the risk management strategies of Grant Park. Grant
Park’s current market exposure and/or risk management strategies may not be
effective in either the short-or long-term and may change
materially.
Quantitative
Market Risk
Trading
Risk
Grant
Park’s approximate risk exposure in the various market sectors traded by its
trading advisors is quantified below in terms of value at risk. Due
to Grant Park’s mark-to-market accounting, any loss in the fair value of Grant
Park’s open positions is directly reflected in Grant Park’s earnings, realized
or unrealized.
Exchange
maintenance margin requirements have been used by Grant Park as the measure of
its value at risk. Maintenance margin requirements are set by
exchanges to equal or exceed the maximum losses reasonably expected to be
incurred in the fair value of any given contract in 95% to 99% of any one-day
interval. The maintenance margin levels are established by brokers,
dealers and exchanges using historical price studies as well as an assessment of
current market volatility and economic fundamentals to provide a probabilistic
estimate of the maximum expected near-term one-day price
fluctuation. Maintenance margin has been used rather than the more
generally available initial margin, because initial margin includes a credit
risk component that is not relevant to value at risk.
In the
case of market sensitive instruments that are not exchange-traded, including
currencies and some energy products and metals in the case of Grant Park, the
margin requirements for the equivalent futures positions have been used as value
at risk. In those cases in which a futures-equivalent margin is not
available, dealers’ margins have been used.
In the
case of contracts denominated in foreign currencies, the value at risk figures
include foreign currency margin amounts converted into U.S. dollars with an
incremental adjustment to reflect the exchange rate risk inherent to Grant Park,
which is valued in U.S. dollars, in expressing value at risk in a functional
currency other than U.S. dollars.
In
quantifying Grant Park’s value at risk, 100% positive correlation in the
different positions held in each market risk category has been
assumed. Consequently, the margin requirements applicable to the open
contracts have simply been aggregated to determine each trading category’s
aggregate value at risk. The diversification effects resulting from
the fact that Grant Park’s positions are rarely, if ever, 100% positively
correlated have not been reflected.
Value
at Risk by Market Sectors
The
following tables indicate the trading value at risk associated with the GP Class
and Grant Park’s open positions by market category as of December 31, 2009
and December 31, 2008 and the trading gains/losses by market category for
the years ended December 31, 2009 and 2008. All open position
trading risk exposures of the GP Class and Grant Park have been included in
calculating the figures set forth below. As of December 31,
2009, Grant Park’s net asset value was approximately $831.3
million. As of December 31, 2008, Grant Park’s net asset value
was approximately $643.6 million.
|
December 31,
2009
|
||||||||||||
|
Market
Sector
|
Value
at Risk
|
%
of Total Capitalization
|
Trading
Gain/(Loss)
|
|||||||||
|
Stock
Indices
|
$ | 25,520,439 | 3.1 | % | 3.6 | % | ||||||
|
Interest
Rates
|
17,130,191 | 2.0 | (4.1 | ) | ||||||||
|
Currencies
|
16,432,426 | 2.0 | (0.7 | ) | ||||||||
|
Metals
|
12,236,815 | 1.5 | 2.5 | |||||||||
|
Energy
|
7,154,450 | 0.9 | (3.2 | ) | ||||||||
|
Softs
|
5,200,402 | 0.6 | (0.1 | ) | ||||||||
|
Agriculturals
|
4,119,283 | 0.5 | — | |||||||||
|
Meats
|
742,017 | 0.1 | — | |||||||||
|
Total
|
$ | 88,536,023 | 10.7 | % | (2.0 | )% | ||||||
|
December 31,
2008
|
||||||||||||
|
Market
Sector
|
Value
at Risk
|
%
of Total Capitalization
|
Trading
Gain/(Loss)
|
|||||||||
|
Interest
Rates
|
$ | 14,965,191 | 2.3 | % | 8.6 | % | ||||||
|
Currencies
|
5,596,368 | 0.9 | 0.1 | |||||||||
|
Metals
|
3,323,166 | 0.5 | 3.0 | |||||||||
|
Stock
Indices
|
2,393,475 | 0.4 | 5.6 | |||||||||
|
Energy
|
1,509,880 | 0.2 | 8.4 | |||||||||
|
Agriculturals
|
642,068 | 0.1 | 3.0 | |||||||||
|
Softs
|
603,856 | 0.1 | 1.5 | |||||||||
|
Meats
|
240,495 | — | 0.3 | |||||||||
|
Total
|
$ | 29,274,499 | 4.5 | % | 30.5 | % | ||||||
Material
Limitations on Value at Risk as an Assessment of Market Risk
The face
value of the market sector instruments held by Grant Park is typically many
times the applicable maintenance margin requirement, which generally ranges
between approximately 1% and 10% of contract face value, as well as many times
the capitalization of Grant Park. The magnitude of Grant Park’s open
positions creates a risk of ruin not typically found in most other investment
vehicles. Because of the size of its positions, certain market
conditions—unusual, but historically recurring from time to time—could cause
Grant Park to incur severe losses over a short period of time. The
value at risk table above, as well as the past performance of Grant Park, gives
no indication of this risk of ruin.
Non-Trading
Risk
Grant
Park has non-trading market risk on its foreign cash balances not needed for
margin. However, these balances, as well as the market risk they
represent, are immaterial. Grant Park also has non-trading market
risk as a result of investing a substantial portion of its available assets in
U.S. Treasury bills and Treasury repurchase agreements. The market
risk represented by these investments is also immaterial.
Qualitative
Market Risk
Trading
Risk
The
following were the primary trading risk exposures of Grant Park as of
December 31, 2009, by market sector.
Stock
Indices
Grant
Park’s primary equity exposure is due to equity price risk in the G-7 countries
as well as other jurisdictions including Hong Kong, Taiwan, Africa, India,
Singapore, South Korea, and Australia. The stock index futures
contracts currently traded by Grant Park are generally futures on broadly based
indices, although Grant Park also trades narrow-based stock index or
single-stock futures contracts. As of December 31, 2009, Grant
Park was predominantly long indices in Australia, South Africa, Europe, the
U.S., U.K., South Korea, Mexico, India, Taiwan, Japan, and
Singapore. The portfolio does maintain a few short positions in
several select U.S. and Japanese equity markets. Grant Park is
primarily exposed to the risk of adverse price trends or static markets in the
major North American, European, and Asian indices. Static markets
would not cause major market changes but would make it difficult for Grant Park
to avoid being “whipsawed” into numerous small losses.
Interest
Rates
Interest
rate risk is a principal market exposure of Grant Park. Interest rate
movements directly affect the price of the futures positions held by Grant Park
and indirectly the value of its stock index and currency
positions. Interest rate movements in one country as well as relative
interest rate movements between countries materially impact Grant Park’s
profitability. Grant Park’s primary interest rate exposure is due to
interest rate fluctuations in the United States and the other G-7
countries. Grant Park also takes futures positions on the government
debt of smaller nations, such as Australia, New Zealand, and
Mexico. The general partner anticipates that G-7 interest rates will
remain the primary market exposure of Grant Park for the foreseeable
future. As of December 31, 2009, Grant Park was predominantly
long interest rate instruments in the Mexico, New Zealand, the Eurozone, and
Japan. The portfolio had short positions in U.S., Australian,
Canadian, and U.K. interest rate products.
Currencies
Exchange
rate risk is a significant market exposure of Grant Park. Grant
Park’s currency exposure is due to exchange rate fluctuations, primarily
fluctuations that disrupt the historical pricing relationships between different
currencies and currency pairs. These fluctuations are influenced by interest
rate changes as well as political and general economic
conditions. Grant Park trades in a large number of currencies,
including cross-rates, which are positions between two currencies other than the
U.S. dollar. The general partner anticipates that the currency sector
will remain one of the primary market exposures for Grant Park for the
foreseeable future. As of December 31, 2009, Grant Park was
short the U.S. dollar against various major currencies including the Australian
dollar, Canadian dollar, Mexican peso, and New Zealand dollar, but was long the
U.S. dollar against the British pound, Euro, Swiss franc, and Japanese
yen. In general, with the exception of the British pound, Euro, Swiss
franc, and Japanese yen, a weaker U.S. dollar against most major currencies
would benefit Grant Park.
Metals
Grant
Park’s metals market exposure is due to fluctuations in the price of both
precious metals, including gold and silver, as well as base metals including
aluminum, copper, nickel and zinc. As of December 31, 2009, in the precious
metals sector Grant Park had long positions in gold, silver, palladium, and
platinum. In the base metals markets, Grant Park was long aluminum,
copper, lead, nickel, and zinc, but had short positions in tin.
Energy
Grant
Park’s primary energy market exposure is due to gas and oil price movements,
often resulting from political developments in the Middle East, Nigeria, Russia,
and South America. As of December 31, 2009, the energy market
exposure of Grant Park was predominantly long in the natural gas, crude oil,
Brent crude oil, gasoline, heating oil, kerosene, gas oil, and unleaded gasoline
markets. Oil and gas prices can be volatile and substantial profits
and losses have been and are expected to continue to be experienced in this
market.
Agricultural/Meats/Softs
Grant
Park’s primary commodities exposure is due to agricultural price movements,
which are often directly affected by severe or unexpected weather conditions as
well as other factors. As of December 31, 2009, in the grains
markets, Grant Park had long positions in the corn, soybean, soybean oil, and
soybean meal markets, and short positions in the wheat and canola
markets. In the livestock markets, Grant Park was short feeder cattle
and long live cattle and lean hogs. In the softs/industrials sectors,
Grant Park was long sugar, cocoa, cotton, coffee, and rubber.
Non-Trading
Risk Exposure
The
following were the only non-trading risk exposures of Grant Park as of
December 31, 2009.
Foreign
Currency Balances
Grant
Park’s primary foreign currency balances are in Japanese yen, British pounds,
Euros and Australian dollars. The trading advisors regularly convert
foreign currency balances to U.S. dollars in an attempt to control Grant Park’s
non-trading risk.
Cash
Management
Grant
Park maintains a portion of its assets at its clearing brokers, as well as at
Lake Forest Bank & Trust Company. These assets, which may
range from 5% to 25% of Grant Park’s value, are held in U.S. Treasury securities
and/or Government-sponsored enterprises. The balance of Grant Park’s
assets, which range from 75% to 95%, are invested in investment grade money
market investments purchased by Middleton Dickinson Capital Management, LLC
which are held in a separate, segregated account at State Street Bank and Trust
Company. Violent fluctuations in prevailing interest rates or changes
in other economic conditions could cause mark-to-market losses on Grant Park’s
cash management income.
Managing
Risk Exposure
The
general partner monitors and controls Grant Park’s risk exposure on a daily
basis through financial, credit and risk management monitoring systems and,
accordingly, believes that it has effective procedures for evaluating and
limiting the credit and market risks to which Grant Park is
subject.
The
general partner monitors Grant Park’s performance and the concentration of its
open positions, and consults with the trading advisors concerning Grant Park’s
overall risk profile. If the general partner felt it necessary to do
so, the general partner could require the trading advisors to close out
individual positions as well as enter positions traded on behalf of Grant
Park. However, any intervention would be a highly unusual
event. The general partner primarily relies on the trading advisors’
own risk control policies while maintaining a general supervisory overview of
Grant Park’s market risk exposures. The trading advisors apply their
own risk management policies to their trading. The trading advisors
often
follow diversification guidelines, margin limits and stop loss points to exit a
position. The trading advisors’ research of risk management often
suggests ongoing modifications to their trading programs.
As part
of the general partner’s risk management, the general partner periodically meets
with the trading advisors to discuss their risk management and to look for any
material changes to the trading advisors’ portfolio balance and trading
techniques. The trading advisors are required to notify the general
partner of any material changes to their programs.
General
From time
to time, certain regulatory or self-regulatory organizations have proposed
increased margin requirements on futures contracts. Because Grant
Park generally will use a small percentage of assets as margin, Grant Park does
not believe that any increase in margin requirements, as proposed, will have a
material effect on Grant Park’s operations.
|
FINANCIAL
STATEMENTS AND SUPPLEMENTARY DATA
|
Financial
statements meeting the requirements of Regulation S-X appear beginning on
page F-1 of this report. The supplementary financial information
specified by Item 302 of Regulation S-K is included in this report
under the heading “Selected Financial Data” above.
|
CHANGES
IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL
DISCLOSURE
|
None.
|
CONTROLS
AND
PROCEDURES
|
See Item
9A(T) below.
ITEM 9A(T). CONTROLS AND
PROCEDURES
Evaluation
of Disclosure Controls and Procedures
As of the
end of the period covered by this report, the general partner carried out an
evaluation, under the supervision and with the participation of the general
partner’s management including its principal executive officer and principal
financial officer, of the effectiveness of the design and operation of Grant
Park’s disclosure controls and procedures as contemplated by Rule 13a-15 of the
Securities Exchange Act of 1934, as amended. Based on, and as of the
date of that evaluation, the general partner’s principal executive officer and
principal financial officer concluded that Grant Park’s disclosure controls and
procedures are effective, in all material respects, in timely alerting them to
material information relating to Grant Park required to be included in the
reports required to be filed or submitted by Grant Park with the SEC under the
Exchange Act.
Changes
in Internal Control over Financial Reporting
There
were no changes in Grant Park’s internal control over financial reporting during
the quarter ended December 31, 2009 that have materially affected, or are
reasonably likely to materially affect, Grant Park’s internal control over
financial reporting.
Report
on Management’s Assessment of Internal Control Over Financial
Reporting
The
general partner, on behalf of Grant Park, is responsible for establishing and
maintaining adequate internal control over financial reporting, as such term is
defined in Exchange Act Rules 13a-15(f) and 15d-15(f). Under the
supervision and with the participation of the general partner’s management,
including its principal executive officer and principal financial officer, we
conducted an evaluation of the effectiveness of Grant Park’s internal control
over financial reporting as of December 31, 2009 based on the framework in
Internal Control—Integrated Framework issued by the Committee of Sponsoring
Organizations of the Treadway Commission (COSO). Based on that evaluation, the
general partner concluded that Grant Park’s internal control over financial
reporting was effective as of December 31, 2009.
This
Annual Report on Form 10-K does not include an attestation report of Grant
Park’s registered public accounting firm regarding internal control over
financial reporting. The general partner’s report was not subject to
attestation by Grant Park’s registered public accounting firm pursuant to
temporary rules of the SEC that permit Grant Park to provide only the general
partner’s report in this Annual Report on Form 10-K.
ITEM
9B. OTHER
INFORMATION
None.
|
DIRECTORS, EXECUTIVE
OFFICERS AND CORPORATE GOVERNANCE
|
Grant
Park has no directors or executive officers and also does not have any
employees. Grant Park is managed solely by Dearborn Capital
Management, L.L.C. in its capacity as general partner. Dearborn
Capital Management, L.L.C. has been registered as a commodity pool operator and
a commodity trading advisor under the Act and has been a member of the NFA since
December 1995.
The
principals of the general partner are Dearborn Capital Management Ltd., Centum
Prata Holdings, Inc, David M. Kavanagh, Patrick J. Meehan, Maureen
O’Rourke and Abdullah Mohammed Al Rayes. Only the officers of
Dearborn Capital Management, L.L.C., Mr. Kavanagh, Mr. Meehan and
Ms. O’Rourke, have management responsibility and control over the general
partner.
Mr. Kavanagh,
president of Dearborn Capital Management, L.L.C., has been responsible for
overseeing all operations and activities of the general partner since its
formation. Commencing in October 1998, Mr. Kavanagh also
became president, a principal and an associated person of Dearborn Capital
Brokers Ltd., an independent introducing broker. From 1983 to 2003,
Mr. Kavanagh was a member in good standing of the Chicago Board of
Trade. Between 1983 and October 1998, Mr. Kavanagh served
as an institutional salesman in the financial futures area on behalf of Refco
and Conti Commodity Services, Inc., which was acquired by Refco in
1984. His clients included large hedge funds and financial
institutions. Since October 1998, Mr. Kavanagh has from
time to time continued to perform introducing brokerage services for Man
Financial Inc., formerly Refco, Inc., through Dearborn Capital
Brokers. Neither Dearborn Capital Brokers nor Mr. Kavanagh
provides brokerage services to Grant Park’s trading account. In the
past, from time to time Mr. Kavanagh has provided brokerage services to
Financial Consortium International LLC, a registered introducing broker,
commodity pool operator and broker-dealer, since
October 1999. In 1980, Mr. Kavanagh received an MBA from
the University of Notre Dame, and in 1978, graduated with a B.S. in business
administration from John Carroll University.
Mr. Meehan,
chief operating officer of the general partner, is primarily responsible for the
day to day operations of Dearborn. Mr. Meehan became listed as a
principal of Dearborn effective January 2009. Prior to joining
the general partner in April 2008, Mr. Meehan was a member of the
senior executive team at Houghton Mifflin Company in Boston, MA, beginning in
March 1999. His assignments focused on leading technology and
operational organizations and included a three year assignment as the President
of the business unit that was the largest provider of professional testing and
licensure services to State Regulatory Agencies in the United
States. He also served as the Chief Information/Technology Officer of
the company for three years, responsible for directing an annual technology
portfolio in excess of $100 million. Mr. Meehan began his career
as a commissioned officer in the United States Marine Corps, retiring after 20
years in the grade of Lieutenant Colonel. He received an AB degree
from John Carroll University, an MBA from Webster University and holds Series
22, 31, and 63 licenses.
Ms. O’Rourke,
chief financial officer of the general partner, is responsible for financial
reporting and compliance issues. Prior to joining the general partner
in May 2003, Ms. O’Rourke was employed as assistant vice president at
MetLife Investors Life Insurance Company from 1992 to
September 2001. Before that, Ms. O’Rourke was employed as a
tax senior at KPMG LLP (formerly KPMG Peat Marwick LLP) from 1987 to
1991. Ms. O’Rourke is a certified public
accountant. She received a B.B.A. in accounting from the University
of Notre Dame in 1987 and received a M.S. in Taxation from DePaul University in
1996.
Code
of Ethics
Grant
Park has not adopted a code of ethics because it does not have any officers or
employees. The general partner of Grant Park has adopted a Code of
Ethics for all employees.
Section 16(a)
Beneficial Ownership Reporting Compliance
Section 16
of the Securities Exchange Act of 1934, as amended, requires an issuer’s
directors and certain executive officers and certain other beneficial owners of
the issuer’s equity securities to periodically file notices of changes in their
beneficial ownership with the SEC. Grant Park does not have any
directors or officers. However, the officers of Grant Park’s general
partner, as well as the general partner itself, file such notices regarding
their beneficial ownership in Grant Park, if any. Grant Park believes
that for 2009, all required
filings were timely filed by each of these persons.
|
EXECUTIVE
COMPENSATION
|
Grant
Park has no directors or officers. Its affairs are managed by
Dearborn Capital Management, L.L.C., its general partner, which receives
compensation for its services from Grant Park, as follows:
Each of
the Class A, Class B, Legacy 1, Legacy 2, Global 1, Global 2 and Global 3 units
pay the general partner a monthly brokerage charge. Class A units pay the
general partner a monthly brokerage charge equal to a rate of 0.6292%, a rate of
7.55% annually, of Class A’s month-end adjusted net
assets. Class B units pay the general partner a monthly charge
equal to 0.6667%, a rate of 8.0% annually, of Class B’s month-end adjusted net
assets. Effective April 1, 2009, Class A units pay the general
partner a monthly brokerage commission equal to a rate of 0.625%, a rate of
7.50% annually, of Class A’s month-end net assets. Class B units pay
the general partner a monthly brokerage commission equal to a rate of 0.6625%, a
rate of 7.95% annually, of Class B’s month-end net assets. Legacy 1
Class units pay the general partner a monthly brokerage commission equal to a
rate of 0.4167%, a rate of 5.00% annually, of Legacy 1’s month-end net
assets. Legacy 2 Class units pay the general partner a monthly
brokerage commission equal to a rate of 0.4375%, a rate of 5.25% annually, of
Legacy 2’s month-end net assets.
Global 1
Class units pay the general partner a monthly brokerage commission equal to a
rate of 0.3708%, a rate of 4.45% annually, of Global 2’s month-end net
assets. Global 2 units pay the general partner a monthly
brokerage commission equal to a rate of 0.3917%, a rate of 4.70% annually, of
Global 2’s month-end net assets. Global 3 Class units pay the
general partner a monthly brokerage commission equal to a rate of 0.5375%, a
rate of 6.45% annually, of Global 3’s month-end net assets.
All
expenses incurred in connection with the organization and the initial and
ongoing public offering of Grant Park interests are paid by the general partner
and are reimbursed to the general partner by Grant Park. Effective
April 1, 2009, Class A units bear organization and offering expenses at a
monthly rate of 0.0083%, a rate of .10% annually, of the adjusted net assets of
the Class A units, calculated and payable monthly on the basis of month-end
adjusted net assets. Legacy 1 Class, Legacy 2 Class, Global 1 Class,
Global 2 Class, Global 3 Class and, effective April 1, 2009, Class B units
bear these expenses at a monthly rate of 0.025%, a rate of 0.30% annually, of
the adjusted net assets of the Legacy 1 Class, Legacy 2 Class, Global 1 Class,
Global 2 Class, Global 3 Class and Class B units, respectively, calculated and
payable monthly on the basis of month-end adjusted net assets. Prior
to April 1, 2009, Class A units and Class B units bore these expenses at an
annual rate of 0.20% and 0.60%, respectively, of the adjusted net assets of the
Class A and Class B units, respectively, calculated and payable monthly on the
basis of month-end adjusted net assets.
Operating
expenses of Grant Park are paid for by the general partner and reimbursed by
Grant Park. Each of the Class A, Class B, Legacy 1, Legacy 2, Global
1, Global 2 and Global 3 units bear monthly operating expenses at a rate of
0.02083%, a rate of 0.25% annually, of the average month-end net assets of the
each respective Class. This reimbursement is made
monthly.
The
brokerage charge, organization and offering expense reimbursement and operating
expense reimbursement paid to the general partner amounted to $64,822,792 for
the year ended December 31, 2009, $44,833,225 for the year ended
December 31, 2008, and $33,467,384 for the year ended December 31,
2007.
The
general partner pays from the brokerage charge all clearing, execution and
give-up, floor brokerage, exchange and NFA fees, any other transaction costs,
selling agent compensation and consulting fees to the trading
advisors. The payments to the clearing brokers are based upon a
specified amount per round-turn for each commodity interest transaction executed
on behalf of Grant Park. The amounts paid to selling agents, trading
advisors or others may be based upon a specified percentage of Grant Park’s net
asset value or round-turn transactions. A round-turn is both the
purchase, or sale, of a commodity interest contract and the subsequent
offsetting sale, or purchase, of the contract. The balance of the
brokerage charge not paid out to other parties is retained by the general
partner as payment for its services to Grant Park.
Grant
Park pays the general partner the brokerage charge, which is based on a fixed
percentage of net assets, regardless of whether actual transaction costs were
less than or exceeded this fixed percentage or whether the number of trades
significantly increases. For the Legacy 1 Class units, assuming
Grant Park’s brokerage charge was expressed on a per-transaction basis, the
brokerage charge equates to round-turn commissions of approximately $25.20 based
on the average trading activity of the Legacy 1 Class units’ trading advisors
for the last three calendar years and assuming current allocations to the
trading advisors.
For the
Legacy 2 Class units, assuming Grant Park’s brokerage charge was expressed on a
per-transaction basis, the brokerage charge equates to round-turn commissions of
approximately $26.70 based on the average trading activity of the Legacy 2 Class
units’ trading advisors for the last three calendar years and assuming current
allocations to the trading advisors.
For the
Global 1 Class units, assuming Grant Park’s brokerage charge was expressed on a
per-transaction basis, the brokerage charge equates to round-turn commissions of
approximately $19.90 based on the average trading activity of the Global 1 Class
units’ trading advisors for the last three calendar years and assuming current
allocations.
For the
Global 2 Class units, assuming Grant Park’s brokerage charge was expressed on a
per-transaction basis, the brokerage charge equates to round-turn commissions of
approximately $21.31 based on the average trading activity of the Global 2 Class
units’ trading advisors for the last three calendar years and assuming current
allocations.
For the
Global 3 Class units, assuming Grant Park’s brokerage charge was expressed on a
per-transaction basis, the brokerage charge equates to round-turn commissions of
approximately $29.18 based on the average trading activity of the Global 3 Class
units’ trading advisors for the last three calendar years and assuming current
allocations of net assets to the trading advisors.
The
clearing brokers are also paid by the general partner, out of its brokerage
charge, an average of between approximately $5.00 and $10.00 per round turn
transaction entered into by Grant Park. This round turn commission
includes all clearing, exchange and NFA fees.
The
Guidelines for the Registration of Commodity Pool Programs developed by the
North American Securities Administrators Association, Inc., or NASAA Guidelines,
require that the brokerage charge payable by Grant Park will not be greater than
(1) 80% of the published retail commission rate plus pit brokerage fees, or
(2) 14% annually of Grant Park’s average net assets, including pit
brokerage fees. Net assets for purposes of this limitation exclude
assets not directly related to trading activity, if any. The general
partner intends to operate Grant Park so as to comply with these
limitations.
Additionally,
all expenses incurred in connection with the organization and the ongoing
offering of the units are paid by the general partner and then reimbursed to the
general partner by Grant Park. The limited partnership agreement
provides that Grant Park shall be entitled to reimbursement for organization and
offering expenses at a rate of up to 1.0% per annum, computed monthly, of which
up to 10% of such amount is reimbursable by Class A and 90% is reimbursable by
Class B. Effective April 1, 2004, Class A units bear
organization and offering expenses at an annual rate of 20 basis points (0.20%)
of the adjusted net assets of the Class A units calculated and payable monthly
on the basis of month-end adjusted net assets. Effective
September 1, 2005, Class B units bear these expenses at an annual rate of
60 basis points (0.60%) of the adjusted net assets of the Class B units,
calculated and payable monthly on the basis of month-end adjusted net
assets. Effective April 1, 2009, Class A units bear organization
and offering expenses at an annual rate of 10 basis points (0.10%) of the
adjusted net assets of the Class A units, calculated and payable monthly on the
basis of month-end adjusted net assets, and Class B, Legacy 1 class, Legacy 2
Class, Global 1 Class, Global 2 Class and Global 3 Class units bear organization
and offering expenses at an annual rate of 30 basis points (0.30%) of the
adjusted net assets of each respective Class of units, calculated and payable
monthly on the basis of month-end adjusted net assets. In
no event, however, will the reimbursement from Grant Park to the general partner
exceed 1.0% per annum of the average month-end net assets of Grant
Park. The general partner has the discretion to change the amounts
assessed to each class for organization and offering expenses, provided the
amounts do not exceed the limits set forth in the limited partnership
agreement. In its discretion, the general partner may require Grant
Park to reimburse the general partner in any subsequent calendar year for
amounts that exceed these limits in any calendar year, provided that the maximum
amount reimbursed by Grant Park in any calendar year will not exceed the overall
limits set forth above.
The NASAA
Guidelines require that the organization and offering expenses of Grant Park
will not exceed 15% of the total subscriptions accepted. The general
partner, and not Grant Park, will be responsible for any expenses in excess of
that limitation. Since the general partner has agreed to limit
Grant
Park’s responsibility for these expenses to a total of 1% per annum of Grant
Park’s average month-end net assets, the general partner does not expect the
NASAA Guidelines limit of 15% of total subscriptions to be reached.
|
SECURITY
OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED
STOCKHOLDER MATTERS
|
Grant
Park has no officers or directors. Its affairs are managed by its
general partner, Dearborn Capital Management, L.L.C. Set forth in the
table below is information regarding the beneficial ownership of the officers of
Grant Park’s general partner in Grant Park as of December 31,
2009.
|
Name
|
Number
of Class A Limited Partnership Units
|
Number
of Class B Limited Partnership Units
|
Number
of Legacy 1 Class Limited Partnership Units
|
Number
of Legacy 2 Class Limited Partnership Units
|
Number
of Global 1 Class Limited Partnership Units
|
Number
of Global 2 Class Limited Partnership Units
|
Number
of Global 3 Class Limited Partnership Units
|
Number
of General Partnership Units
|
||||||||||||||||||||||||
|
Dearborn
Capital Management, LLC
|
2,707.791 | 384.311 | 922.500 | 900.000 | 940.193 | 638.077 | 450.000 | 771.430 | ||||||||||||||||||||||||
|
David
M. Kavanagh
|
2,707.791 | (1) | 384.311 | (1) | 922.500 | (1) | 900.000 | (1) | 940.193 | (1) | 638.077 | (1) | 450.800 | (1) | 771.430 | (1) | ||||||||||||||||
|
Patrick J.
Meehan
|
135.123 | — | — | — | 150.000 | — | — | — | ||||||||||||||||||||||||
|
Maureen
O’Rourke
|
— | — | 24.734 | — | 25.000 | — | — | — | ||||||||||||||||||||||||
|
Name
|
Percentage
of Outstanding Class A Limited Partnership Units
|
Percentage
of Outstanding Class B Limited Partnership Units
|
Percentage
of Outstanding Legacy 1 Class Limited Partnership
Units
|
Percentage
of Outstanding Legacy 2 Class Limited Partnership
Units
|
Percentage
of Outstanding Global 1 Class Limited Partnership
Units
|
Percentage
of Outstanding Global 2 Class Limited Partnership
Units
|
Percentage
of Outstanding Global 3 Class Limited Partnership
Units
|
Percentage
of General Partnership Units
|
||||||||||||||||||||||||
|
Dearborn
Capital Management, LLC
|
5.30 | % | 0.07 | % | 19.32 | % | 22.37 | % | 21.87 | % | 8.00 | % | 1.10 | % | 100.00 | % | ||||||||||||||||
|
David
M. Kavanagh
|
5.30 | % | 0.07 | % | 19.32 | % | 22.37 | % | 21.87 | % | 8.00 | % | 1.10 | % | 100.00 | % | ||||||||||||||||
|
Patrick J.
Meehan
|
0.26 | % | — | — | — | 3.49 | % | — | — | — | ||||||||||||||||||||||
|
Maureen
O’Rourke
|
— | — | 0.52 | % | — | 0.58 | % | — | — | — | ||||||||||||||||||||||
_______________
|
(1)
|
Represents
units directly held by Dearborn Capital Management, L.L.C., the general
partner of Grant Park. The managing member of Dearborn Capital
Management, L.L.C. is Dearborn Capital Management
Ltd. Mr. Kavanagh is the sole shareholder of Dearborn
Capital Management Ltd.
|
Grant
Park has no securities authorized for issuance under equity compensation
plans.
|
CERTAIN
RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR
INDEPENDENCE
|
See Item
10, “Directors, Executive Officers and Corporate Governance”, Item 11,
“Executive Compensation” and Item 12, “Security Ownership of Certain
Beneficial Owners and Management.”
|
PRINCIPAL
ACCOUNTING FEES AND SERVICES
|
The
following table sets forth the fees billed to Grant Park for professional audit
services provided by McGladrey & Pullen, LLP, Grant Park’s independent
registered public accountant, for the audit of Grant Park’s annual financial
statements for the years ended December 31, 2009 and 2008, and fees billed
for other professional services rendered by McGladrey & Pullen, LLP and
RSM McGladrey, Inc. (an associated entity of McGladrey & Pullen, LLP)
during those years.
|
Fee
Category
|
2009
|
2008
|
||||||
|
Audit
Fees(1)
|
$ | 201,100 | $ | 162,120 | ||||
|
Audit-Related
Fees
|
43,360 | 28,286 | ||||||
|
Tax
Fees(2)
|
6,500 | 6,800 | ||||||
|
All
Other Fees
|
— | — | ||||||
|
Total
Fees
|
$ | 250,960 | $ | 197,206 | ||||
_____________
|
(1)
|
Audit
fees consist of fees for professional services rendered for the audit of
Grant Park’s financial statements and review of financial statements
included in Grant Park’s quarterly reports, as well as services normally
provided by the independent accountant in connection with statutory and
regulatory filings or engagements.
|
|
(2)
|
Tax
fees consist of compliance fees for the preparation of original tax
returns.
|
The Audit
Committee of Grant Park’s general partner, Dearborn Capital Management, L.L.C.,
pre-approves all audit and permitted non-audit services of Grant Park’s
independent accountants, including all engagement fees and terms. The
Audit Committee of Dearborn approved all the services provided by
McGladrey & Pullen, LLP and RSM McGladrey, Inc. (collectively
“McGladrey”) during 2009 and 2008 to Grant Park described above. The
Audit Committee has determined that the payments made to McGladrey for these
services during 2009 and 2008 are compatible with maintaining that firm’s
independence.
|
EXHIBITS AND
FINANCIAL STATEMENT SCHEDULES
|
(a) The
following documents are filed as part of this report:
|
|
(1)
|
See
Financial Statements beginning on page F-1
hereof.
|
|
|
(2)
|
Schedules:
|
Financial
statement schedules have been omitted because they are not included in the
financial statements or notes hereto applicable or because equivalent
information has been included in the financial statements or notes
thereto.
|
|
(3)
|
Exhibits
|
|
Exhibit
Number
|
Description of Document
|
|
3.1(1)
|
Third
Amended and Restated Limited Partnership Agreement of the
Registrant.
|
|
3.2(2)
|
Certificate
of Limited Partnership of the Registrant.
|
|
10.1(3)
|
Form
of Advisory Contract among the Registrant, Dearborn Capital Management,
L.L.C., the trading advisor and the trading company
|
|
10.2(4)
|
Subscription
Agreement and Power of Attorney.
|
|
10.3(5) |
Request
for Redemption Form. |
|
10.4(3)
|
Operating
Agreement of GP Cash Management, LLC. |
|
10.5(3)
|
Form
of LLC operating agreement governing each Trading
Company. |
|
24.1
|
Power
of Attorney (included on signature page).
|
|
31.1
|
Certification
of Principal Executive Officer pursuant to Rule 13a-14(a) under the
Securities Exchange Act of 1934.
|
|
31.2
|
Certification
of Principal Financial Officer pursuant to Rule 13a-14(a) under the
Securities Exchange Act of 1934.
|
|
32.1
|
Certification
pursuant to 18 U.S.C. Section 1350, as adopted pursuant to
Section 906 of the Sarbanes-Oxley Act of
2002.
|
_____________
|
(1)
|
Included
as Appendix A to the prospectus which is part of the Registrant’s
Registration Statement on Form S-1 (File No. 333-153862) and
incorporated herein by reference.
|
|
(2)
|
Filed
as an Exhibit to the Registrant’s Registration Statement on
Form S-1 (File No. 333-104317) and incorporated herein by
reference.
|
|
(3)
|
Filed
as an Exhibit to the Registrant’s Registration Statement on Form S-1
(File No. 333-153862) and incorporated herein by
reference.
|
|
(4)
|
Included
as Appendix B to the prospectus which is part of the Registrant’s
Registration Statement on Form S-1 (File No. 333-153862).
|
|
(5)
|
Included
as Appendix D to the prospectus which is part of the Registrant’s
Registration Statement on Form S-1 (File No. 333-153862).
|
36
INDEX TO FINANCIAL STATEMENTS
|
Grant
Park Futures Fund Limited Partnership
|
|
|
Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio
|
|
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING
FIRM
To the
Partners
Grant
Park Futures Fund Limited Partnership
We have
audited the accompanying consolidated statements of financial condition,
including the consolidated condensed schedules of investments, of Grant Park
Futures Fund Limited Partnership (the Partnership) as of December 31, 2009
and 2008, and the related consolidated statements of operations and changes in
partners’ capital for each of the three years in the period ended
December 31, 2009. These financial statements are the
responsibility of the Partnership’s management. Our responsibility is
to express an opinion on these financial statements based on our
audits.
We
conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We
believe that our audits provide a reasonable basis for our opinion.
In our
opinion, the consolidated financial statements referred to above present fairly,
in all material respects, the financial position of Grant Park Futures Fund
Limited Partnership as of December 31, 2009 and 2008, and the results of
their operations for each of the three years in the period ended
December 31, 2009, in conformity with U.S. generally accepted accounting
principles.
As discussed in
Note 1 to the consolidated financial statements, the Partnership has elected to
change its method of accounting for organization and offering costs as of and
for the year ended December 31, 2009.
We were
not engaged to examine management’s assessment of the effectiveness of Grant
Park Futures Fund Limited Partnership’s internal control over financial
reporting as of December 31, 2009 included in the accompanying Report on
Management’s Assessment of Internal Control Over Financial Reporting and,
accordingly, we do not express an opinion thereon.
| /s/ McGladrey & Pullen, LLP | |
|
Chicago,
Illinois
February 22,
2010
|
Grant
Park Futures Fund Limited Partnership
Consolidated Statements of Financial
Condition|
2009
|
2008
|
|||||||
|
Assets
|
||||||||
|
Equity
in brokers’ trading accounts:
|
||||||||
|
U.S.
Government securities, at fair value
|
$ | 89,970,252 | $ | 29,215,898 | ||||
|
Government-sponsored
enterprises, at fair value
|
– | 15,695,417 | ||||||
|
Cash
|
24,103,516 | 11,972,086 | ||||||
|
Unrealized
gain on open contracts, net
|
14,009,391 | 5,210,231 | ||||||
|
Deposits
with brokers
|
128,083,159 | 62,093,632 | ||||||
|
Cash
and cash equivalents
|
42,335,885 | 157,740,416 | ||||||
|
Certificates
of deposit, at fair value
|
15,755,711 | 28,525,736 | ||||||
|
Commercial
paper, at fair value
|
– | 9,979,833 | ||||||
|
Government-sponsored
enterprises, at fair value
|
596,671,609 | 311,078,226 | ||||||
|
U.S.
Government securities, at fair value
|
74,755,744 | |||||||
|
Redemption
receivable
|
– | 115,343,975 | ||||||
|
Interest
receivable
|
– | 233,208 | ||||||
|
Total
assets
|
$ | 857,602,108 | $ | 684,995,026 | ||||
|
Liabilities
and Partners’ Capital
|
||||||||
|
Liabilities
|
||||||||
|
Brokerage
commission payable
|
$ | 5,153,201 | $ | 3,928,422 | ||||
|
Accrued
incentive fees
|
203,427 | 8,324,848 | ||||||
|
Organization
and offering costs payable
|
197,909 | 297,332 | ||||||
|
Accrued
operating expenses
|
175,169 | 136,617 | ||||||
|
Pending
partner additions
|
15,517,679 | 22,690,889 | ||||||
|
Redemptions
payable
|
5,084,225 | 6,021,709 | ||||||
|
Total
liabilities
|
26,331,610 | 41,399,817 | ||||||
|
Partners’
Capital
|
||||||||
|
General
Partner
|
||||||||
|
Class
A (units outstanding December 31, 2009 – 3,008.66, December 31,
2008 – 4,348.18)
|
4,287,922 | 6,827,509 | ||||||
|
Class
B (units outstanding December 31, 2009 –
427.01)
|
522,813 | – | ||||||
|
Legacy
1 Class (units outstanding December 31, 2009 –
1,025.00)
|
990,276 | – | ||||||
|
Legacy
2 Class (units outstanding December 31, 2009 –
1,000.00)
|
964,540 | – | ||||||
|
Global
1 Class (units outstanding December 31, 2009 –
1,044.66)
|
999,554 | – | ||||||
|
Global
2 Class (units outstanding December 31, 2009 –
708.97)
|
676,076 | – | ||||||
|
Global
3 Class (units outstanding December 31, 2009 –
500.00)
|
469,821 | – | ||||||
|
Limited
Partners
|
||||||||
|
Class
A (units outstanding December 31, 2009 – 48,356.59, December 31,
2008 – 52,408.70)
|
68,917,549 | 82,292,140 | ||||||
|
Class
B (units outstanding December 31, 2009 – 570,593.04,
December 31, 2008 – 408,160.74)
|
698,607,417 | 554,475,560 | ||||||
|
Legacy
1 Class (units outstanding December 31, 2009 –
3,851.25)
|
3,720,780 | – | ||||||
|
Legacy
2 Class (units outstanding December 31, 2009 –
3,122.95)
|
3,012,215 | – | ||||||
|
Global
1 Class (units outstanding December 31, 2009 –
3,358.60)
|
3,213,581 | – | ||||||
|
Global
2 Class (units outstanding December 31, 2009 –
7,333.83)
|
6,993,517 | – | ||||||
|
Global
3 Class (units outstanding December 31, 2009 –
40,328.60)
|
37,894,437 | – | ||||||
|
Total
partners’ capital
|
831,270,498 | 643,595,209 | ||||||
|
Total
liabilities and partners’ capital
|
$ | 857,602,108 | $ | 684,995,026 | ||||
The
accompanying notes are an integral part of these consolidated financial
statements.
Grant
Park Futures Fund Limited Partnership
Consolidated Condensed Schedule of
Investments
December 31,
2009
|
Unrealized
gain/(loss) on open long contracts
|
Percent
of Partners’ Capital
|
Unrealized
gain/(loss) on open short contracts
|
Percent
of Partners’ Capital
|
Net
unrealized gain/(loss) on open contracts
|
Percent
of Partners’ Capital
|
|||||||||||||||||||
|
Futures
Contracts *
|
||||||||||||||||||||||||
|
U.S.
Futures Positions:
|
||||||||||||||||||||||||
|
Currencies
|
(1,345,719 | ) | (0.2 | )% | 1,691,679 | 0.2 | % | 345,960 | ** | |||||||||||||||
|
Energy
|
1,459,685 | 0.2 | % | (1,100,365 | ) | (0.1 | )% | 359,320 | ** | |||||||||||||||
|
Grains
|
655,296 | 0.1 | % | (704,834 | ) | (0.1 | )% | (49,538 | ) | ** | ||||||||||||||
|
Interest
rates
|
(462,911 | ) | (0.1 | )% | 1,076,800 | 0.1 | % | 613,889 | 0.1 | % | ||||||||||||||
|
Meats
|
397,832 | ** | (215,832 | ) | ** | 182,000 | ** | |||||||||||||||||
|
Metals
|
(1,273,379 | ) | (0.2 | )% | (35,959 | ) | ** | (1,309,338 | ) | (0.2 | )% | |||||||||||||
|
Soft
commodities
|
6,528,998 | 0.8 | % | (4,543,342 | ) | (0.5 | )% | 1,985,656 | 0.2 | % | ||||||||||||||
|
Stock
indices and single stock futures
|
656,609 | 0.1 | % | 54,186 | ** | 710,795 | 0.1 | % | ||||||||||||||||
|
Total
U.S. Futures Positions
|
6,616,411 | (3,777,667 | ) | 2,838,744 | ||||||||||||||||||||
|
Foreign
Futures Positions:
|
||||||||||||||||||||||||
|
Energy
|
469,717 | 0.1 | % | 24,716 | ** | 494,433 | 0.1 | % | ||||||||||||||||
|
Grains
|
(9,180 | ) | ** | 5,150 | ** | (4,030 | ) | ** | ||||||||||||||||
|
Interest
rates
|
(2,198,937 | ) | (0.3 | )% | 630,585 | 0.1 | % | (1,568,352 | ) | (0.2 | )% | |||||||||||||
|
Metals
|
23,381,126 | 2.8 | % | (16,423,105 | ) | (2.0 | )% | 6,958,021 | 0.8 | % | ||||||||||||||
|
Soft
commodities
|
362,063 | ** | (27,893 | ) | ** | 334,170 | ** | |||||||||||||||||
|
Stock
indices
|
4,719,890 | 0.6 | % | (300,409 | ) | ** | 4,419,481 | 0.5 | % | |||||||||||||||
|
Total
Foreign Futures Positions
|
26,724,679 | (16,090,956 | ) | 10,633,723 | ||||||||||||||||||||
|
Total
Futures Contracts
|
$ | 33,341,090 | 4.0 | % | $ | (19,868,623 | ) | (2.4 | )% | $ | 13,472,467 | 1.6 | % | |||||||||||
|
Forward
Contracts *
|
||||||||||||||||||||||||
|
Currencies
|
$ | (804,012 | ) | (0.1 | )% | $ | 1,346,066 | 0.2 | % | $ | 542,054 | 0.1 | % | |||||||||||
|
Option
on Futures Contracts *
|
||||||||||||||||||||||||
|
U.S.
Stock Indices
|
$ | 3,955 | ** | $ | (9,085 | ) | ** | $ | (5,130 | ) | ** | |||||||||||||
|
Total
Futures, Forward and Option on Futures Contracts
|
$ | 32,541,033 | 3.9 | % | $ | (18,531,642 | ) | (2.2 | )% | $ | 14,009,391 | 1.7 | % | |||||||||||
_______________
|
|
*
|
No
individual futures, forward and option on futures contract position
constituted greater than 1 percent of partners’
capital. Accordingly, the number of contracts and
expiration dates are not presented.
|
|
|
**
|
Represents
less than 0.1% of partners’
capital.
|
|
Certificates
of deposit
|
||||||||||||
|
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent
of Partners’ Capital
|
||||||||
| $ | 15,000,000 |
2/2/2010
|
Harris
Bank, 2.0%
|
$ | 15,270,562 | 1.8 | % | |||||
| 245,000 |
6/24/2010
|
Western
Bank, 1.5%
|
245,081 | ** | ||||||||
| 240,000 |
11/24/2010
|
R-G
Premier Bank, 1.3%
|
240,068 | ** | ||||||||
|
Total
Certificates of deposit
|
$ | 15,755,711 | 1.8 | % | ||||||||
_______________
|
**
|
Represents
less than 0.1% of partners’
capital.
|
The
accompanying notes are an integral part of these consolidated financial
statements.
Grant
Park Futures Fund Limited Partnership
Consolidated
Condensed Schedule of Investments (continued)
December 31,
2009
Government-sponsored
enterprises
|
Face Value
|
Maturity
Date
|
Description
|
Fair Value
|
Percent
of Partners’ Capital
|
||||||||
| $ | 20,000,000 |
2/5/2010
|
Federal
Home Loan Bank, 1.0%
|
$ | 20,080,976 | 2.4 | % | |||||
| 12,700,000 |
2/19/2010
|
Federal
Home Loan Bank, 3 month LIBOR minus 3.5 basis points quarterly
reset
|
12,700,914 | 1.5 | % | |||||||
| 20,000,000 |
3/4/2010
|
Federal
Home Loan Bank, 1.1%
|
20,068,250 | 2.4 | % | |||||||
| 20,000,000 |
8/5/2010
|
Fannie
Mae, 3 month LIBOR minus 5 basis points quarterly reset
|
20,006,326 | 2.4 | % | |||||||
| 25,000,000 |
8/24/2010
|
Freddie
Mac, 3 month LIBOR minus 2 basis points quarterly reset
|
25,006,391 | 3.0 | % | |||||||
| 25,000,000 |
9/3/2010
|
Freddie
Mac, 3 month LIBOR minus 2 basis points quarterly reset
|
25,004,739 | 3.0 | % | |||||||
| 25,000,000 |
9/24/2010
|
Freddie
Mac, 3 month LIBOR minus 3 basis points quarterly reset
|
25,001,215 | 3.0 | % | |||||||
| 10,000,000 |
11/8/2010
|
Federal
Home Loan Bank, 3 month LIBOR minus 19 basis points quarterly
reset
|
10,001,260 | 1.2 | % | |||||||
| 24,500,000 |
11/26/2010
|
Federal
Home Loan Bank, 3 month LIBOR minus 15 basis points quarterly
reset
|
24,499,530 | 3.0 | % | |||||||
| 14,500,000 |
12/6/2010
|
Federal
Home Loan Bank, 3 month LIBOR minus 15 basis points quarterly
reset
|
14,501,099 | 1.7 | % | |||||||
| 25,000,000 |
2/1/2011
|
Freddie
Mac, 3 month LIBOR minus 13 basis points quarterly reset
|
25,005,153 | 3.0 | % | |||||||
| 20,000,000 |
2/14/2011
|
Federal
Farm Credit Bank, 1 month LIBOR minus 3 basis points monthly
reset
|
19,995,250 | 2.4 | % | |||||||
| 9,700,000 |
3/29/2011
|
Federal
Home Loan Bank, 0.5%
|
9,712,394 | 1.2 | % | |||||||
| 20,000,000 |
5/27/2011
|
Fannie
Mae, 3 month LIBOR plus 10 basis points quarterly reset
|
20,005,787 | 2.4 | % | |||||||
| 25,000,000 |
6/17/2011
|
Freddie
Mac, 3 month LIBOR plus 10 basis points quarterly reset
|
25,003,436 | 3.0 | % | |||||||
| 20,000,000 |
7/7/2011
|
Freddie
Mac, 1.6%
|
20,142,217 | 2.4 | % | |||||||
| 25,000,000 |
7/20/2011
|
Federal
Home Loan Bank, 1.0%
|
25,111,806 | 3.0 | % | |||||||
| 24,500,000 |
8/24/2011
|
Freddie
Mac, 1.5%
|
24,629,646 | 3.0 | % | |||||||
| 24,500,000 |
8/24/2011
|
Federal
Home Loan Bank, 1.2%
|
24,603,717 | 3.0 | % | |||||||
| 9,500,000 |
9/2/2011
|
Freddie
Mac, 1.8%
|
9,554,955 | 1.2 | % | |||||||
| 19,500,000 |
10/5/2011
|
Federal
Home Loan Bank, 1.0%
|
19,546,583 | 2.4 | % | |||||||
| 18,475,000 |
10/13/2011
|
Federal
Home Loan Bank, 1.3%
|
18,525,036 | 2.2 | % | |||||||
| 19,500,000 |
10/19/2011
|
Federal
Home Loan Bank, 1.4%
|
19,553,625 | 2.4 | % | |||||||
| 30,000,000 |
11/18/2011
|
Freddie
Mac, 1.5%
|
30,053,750 | 3.6 | % | |||||||
| 19,800,000 |
11/25/2011
|
Fannie
Mae, 1.4%
|
19,826,730 | 2.4 | % | |||||||
| 9,000,000 |
12/7/2011
|
Federal
Home Loan Bank, 1.0%
|
9,006,000 | 1.1 | % | |||||||
| 15,000,000 |
12/15/2011
|
Federal
Home Loan Bank, 1.2%
|
15,008,000 | 1.8 | % | |||||||
| 10,000,000 |
12/15/2011
|
Freddie
Mac, 1.3%
|
10,005,556 | 1.2 | % | |||||||
| 30,000,000 |
12/21/2011
|
Freddie
Mac, 1.3%
|
30,010,417 | 3.6 | % | |||||||
| 24,500,000 |
12/30/2011
|
Fannie
Mae, 1.3%
|
24,500,851 | 2.9 | % | |||||||
|
Total
Government-sponsored enterprises
|
$ | 596,671,609 | 71.8 | % | ||||||||
U.S.
Government securities
|
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent
of
Partners’ Capital
|
||||||||
| $ | 30,000,000 |
9/23/2010
|
U.S.
Treasury Bills, 0.4% (cost $29,875,633)
|
$ | 29,909,458 | 3.6 | % | |||||
| 25,000,000 |
10/21/2010
|
U.S.
Treasury Bills, 0.4% (cost $24,909,000)
|
24,926,750 | 3.0 | % | |||||||
| 20,000,000 |
12/16/2010
|
U.S.
Treasury Bills, 0.4% (cost $19,918,614)
|
19,919,536 | 2.4 | % | |||||||
|
Total
U.S. Government securities
|
$ | 74,755,744 | 9.0 | % | ||||||||
The
accompanying notes are an integral part of these consolidated financial
statements.
Grant
Park Futures Fund Limited Partnership
Consolidated
Condensed Schedule of Investments (continued)
December 31,
2009
U.S.
Government securities in brokers’ trading accounts***
|
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent
of Partners’ Capital
|
||||||||
| $ | 32,500,000 |
1/14/2010
|
U.S.
Treasury Bills, 0.0%-0.3% (cost $32,485,255)
|
$ | 32,498,740 | 3.9 | % | |||||
| 3,500,000 |
2/4/2010
|
U.S.
Treasury Bills, 0.3% (cost $3,495,353)
|
3,498,996 | 0.4 | % | |||||||
| 10,000,000 |
3/4/2010
|
U.S.
Treasury Bills, 0.2% (cost $9,991,203)
|
9,996,291 | 1.2 | % | |||||||
| 1,300,000 |
3/11/2010
|
U.S.
Treasury Bills, 0.2% (cost $1,298,718)
|
1,299,470 | 0.2 | % | |||||||
| 4,000,000 |
4/1/2010
|
U.S.
Treasury Bills, 0.1% (cost $3,998,666)
|
3,999,036 | 0.5 | % | |||||||
| 13,000,000 |
4/8/2010
|
U.S.
Treasury Bills, 0.1% (cost $12,991,489)
|
12,994,035 | 1.6 | % | |||||||
| 500,000 |
4/15/2010
|
U.S.
Treasury Notes, 0.1% (cost $499,797)
|
499,839 | 0.1 | % | |||||||
| 1,000,000 |
4/22/2010
|
U.S.
Treasury Bills, 0.1% (cost $999,512)
|
999,607 | 0.1 | % | |||||||
| 6,500,000 |
5/6/2010
|
U.S
Treasury Bills, 0.2% (cost $6,495,109)
|
6,495,914 | 0.8 | % | |||||||
| 2,000,000 |
5/27/2010
|
U.S
Treasury Bills, 0.1% (cost $1,998,714)
|
1,998,714 | 0.2 | % | |||||||
| 10,000,000 |
6/3/2010
|
U.S
Treasury Bills, 0.1% (cost $9,995,094)
|
9,994,717 | 1.2 | % | |||||||
| 3,500,000 |
6/10/2010
|
U.S
Treasury Bills, 0.2% (cost $3,497,336)
|
3,497,308 | 0.4 | % | |||||||
| 2,000,000 |
7/1/2010
|
U.S
Treasury Bills, 0.2% (cost $1,998,382)
|
1,998,382 | 0.2 | % | |||||||
| 200,000 |
12/16/2010
|
U.S
Treasury Bills, 0.4% (cost $199,203)
|
199,203 | ** | ||||||||
|
Total
U.S. Government securities
|
$ | 89,970,252 | 10.8 | % | ||||||||
_______________
|
**
|
Represents
less than 0.1% of partners’
capital.
|
|
***
|
Pledged
as collateral for the trading of futures, forward and option on futures
contracts.
|
The
accompanying notes are an integral part of these consolidated financial
statements.
Grant
Park Futures Fund Limited Partnership
Condensed Schedule of Investments
December 31,
2008
|
No.
of contracts
|
||||||||||||||||||||||||||||||||||||
|
Expiration
Date
|
Long
|
Short
|
Unrealized
gain/(loss) on open long contracts
|
Percent
of Partners’ Capital
|
Unrealized
gain/(loss) on open short contracts
|
Percent
of Partners’ Capital
|
Net
unrealized gain/(loss) on open contracts
|
Percent
of Partners’ Capital
|
||||||||||||||||||||||||||||
|
Futures
Contracts *
|
||||||||||||||||||||||||||||||||||||
|
U.S.
Futures Positions:
|
||||||||||||||||||||||||||||||||||||
|
Currencies
|
$ | (375,126 | ) | (0.1 | )% | $ | 47,001 | ** | $ | (328,125 | ) | (0.1 | )% | |||||||||||||||||||||||
|
Energy
|
5,640 | ** | (145,915 | ) | ** | (140,275 | ) | ** | ||||||||||||||||||||||||||||
|
Grains
|
57,264 | ** | (207,024 | ) | ** | (149,760 | ) | ** | ||||||||||||||||||||||||||||
|
Interest
rates
|
(150,471 | ) | ** | (1,063 | ) | ** | (151,534 | ) | ** | |||||||||||||||||||||||||||
|
Meats
|
332 | ** | (77,490 | ) | ** | (77,158 | ) | ** | ||||||||||||||||||||||||||||
|
Metals
|
57,033 | ** | (123,818 | ) | ** | (66,785 | ) | ** | ||||||||||||||||||||||||||||
|
Soft
commodities
|
(1,690 | ) | ** | (116,292 | ) | ** | (117,982 | ) | ** | |||||||||||||||||||||||||||
|
Stock
indices
|
81,725 | ** | 12,201 | ** | 93,926 | ** | ||||||||||||||||||||||||||||||
|
Total
U.S. Futures Positions
|
(325,293 | ) | (612,400 | ) | (937,693 | ) | ||||||||||||||||||||||||||||||
|
Foreign
Futures Positions:
|
||||||||||||||||||||||||||||||||||||
|
Energy
|
– | ** | 188,636 | ** | 188,636 | ** | ||||||||||||||||||||||||||||||
|
Grains
|
– | ** | (1,016 | ) | ** | (1,016 | ) | ** | ||||||||||||||||||||||||||||
|
Interest
rates
|
5,693,855 | 0.9 | % | (244,950 | ) | ** | 5,448,905 | 0.8 | % | |||||||||||||||||||||||||||
|
Metals
|
||||||||||||||||||||||||||||||||||||
|
Aluminum
|
03/09 | 449 | 471 | (6,717,297 | ) | (1.0 | )% | 8,461,295 | 1.3 | % | 1,743,998 | 0.3 | % | |||||||||||||||||||||||
|
Other
Metals
|
(8,929,298 | ) | (1.4 | )% | 9,148,339 | 1.4 | % | 219,041 | ** | |||||||||||||||||||||||||||
|
Soft
commodities
|
95,511 | ** | 15,170 | ** | 110,681 | ** | ||||||||||||||||||||||||||||||
|
Stock
indices
|
49,768 | ** | (218,881 | ) | ** | (169,113 | ) | ** | ||||||||||||||||||||||||||||
|
Total
Foreign Futures Positions
|
(9,807,461 | ) | 17,348,593 | 7,541,132 | ||||||||||||||||||||||||||||||||
|
Total
Futures Contracts
|
$ | (10,132,754 | ) | (1.6 | )% | $ | 16,736,193 | 2.6 | % | $ | 6,603,439 | 1.0 | % | |||||||||||||||||||||||
|
Forward
Contracts *
|
||||||||||||||||||||||||||||||||||||
|
Currencies
|
$ | 336,467 | 0.1 | % | $ | (1,729,675 | ) | (0.3 | )% | $ | (1,393,208 | ) | (0.2 | )% | ||||||||||||||||||||||
|
Total
Futures and Forward Contracts
|
$ | (9,796,287 | ) | (1.5 | )% | $ | 15,006,518 | 2.3 | % | $ | 5,210,231 | 0.8 | % | |||||||||||||||||||||||
_______________
|
|
*
|
No
individual futures and forward contract position, other than those
presented, constituted greater than 1 percent of partners’
capital. Accordingly, the number of contracts and
expiration dates are not presented.
|
|
|
**
|
Represents
less than 0.1% of partners’
capital.
|
|
Certificates
of deposit
|
||||||||||||
|
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent
of Partners’ Capital
|
||||||||
| $ | 12,000,000 |
5/1/2009
|
Comerica
Bank, 1 month LIBOR plus 15 basis points
|
$ | 12,021,183 | 1.9 | % | |||||
| 15,000,000 |
5/4/2009
|
Bank
of America, 2.6%
|
15,060,417 | 2.3 | % | |||||||
| 240,000 |
8/14/2009
|
Amcore
Bank, 3.5%
|
241,120 | * | ||||||||
| 240,000 |
11/12/2009
|
Huntington
National Bank, 3.8%
|
241,250 | * | ||||||||
| 240,000 |
11/17/2009
|
Mercantile
Bank of Michigan, 3.6%
|
241,065 | * | ||||||||
| 240,000 |
12/17/2009
|
Goldman
Sachs Bank, 2.6%
|
240,246 | * | ||||||||
| 240,000 |
12/18/2009
|
GE
Money Bank, 2.6%
|
240,238 | * | ||||||||
| 240,000 |
12/18/2009
|
Anchorbank
FSB, 2.5%
|
240,217 | * | ||||||||
|
Total
Certificates of deposit
|
$ | 28,525,736 | 4.4 | % | ||||||||
_______________
|
|
*
|
Represents
less than 0.1% of partners’
capital.
|
The
accompanying notes are an integral part of these consolidated financial
statements.
Grant
Park Futures Fund Limited Partnership
Condensed
Schedule of Investments (continued)
December 31,
2008
|
Commercial
paper
|
||||||||||||
|
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent
of Partners’ Capital
|
||||||||
| $ | 10,000,000 |
2/3/2009
|
Hewlett-Packard
Co., 2.2%
|
$ | 9,979,833 | 1.6 | % | |||||
|
Total
Commercial paper
|
$ | 9,979,833 | 1.6 | % | ||||||||
|
Government-sponsored
enterprises
|
||||||||||||
|
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent
of Partners’ Capital
|
||||||||
| $ | 10,000,000 |
1/2/2009
|
Federal
Farm Credit Bank, 3 month US Treasury bill plus 82 basis points weekly
reset
|
$ | 10,030,603 | 1.6 | % | |||||
| 10,000,000 |
1/2/2009
|
Federal
Home Loan Bank, 3.8%
|
10,093,944 | 1.6 | % | |||||||
| 8,000,000 |
1/14/2009
|
Federal
Home Loan Bank, 3 month LIBOR minus 20 basis points quarterly
reset
|
8,081,089 | 1.3 | % | |||||||
| 10,000,000 |
1/29/2009
|
Fannie
Mae Discount Note, 2.3%
|
9,982,500 | 1.6 | % | |||||||
| 7,500,000 |
2/13/2009
|
Federal
Home Loan Bank Discount Note, 3.2%
|
7,472,229 | 1.2 | % | |||||||
| 10,000,000 |
2/18/2009
|
Freddie
Mac Discount Note, 2.3%
|
9,970,000 | 1.5 | % | |||||||
| 10,000,000 |
2/24/2009
|
Freddie
Mac Discount Note, 2.6%
|
9,961,150 | 1.5 | % | |||||||
| 10,000,000 |
3/20/2009
|
Federal
Home Loan Bank Discount Note, 2.9%
|
9,939,333 | 1.5 | % | |||||||
| 8,000,000 |
4/1/2009
|
Farmer
Mac, 2.3%
|
8,046,000 | 1.3 | % | |||||||
| 8,000,000 |
4/7/2009
|
Freddie
Mac, 2.4%
|
8,044,911 | 1.3 | % | |||||||
| 10,000,000 |
4/15/2009
|
Federal
Home Loan Bank Discount Note, 3.0%
|
9,917,378 | 1.5 | % | |||||||
| 10,500,000 |
4/17/2009
|
Federal
Home Loan Bank Discount Note, 3.2%
|
10,404,158 | 1.6 | % | |||||||
| 10,000,000 |
4/24/2009
|
Federal
Home Loan Bank, 1 month LIBOR minus 8 basis points monthly
reset
|
9,998,363 | 1.6 | % | |||||||
| 8,000,000 |
4/24/2009
|
Farmer
Mac, 2.3%
|
8,034,244 | 1.2 | % | |||||||
| 10,000,000 |
4/27/2009
|
Federal
Home Loan Bank Discount Note, 2.8%
|
9,909,778 | 1.5 | % | |||||||
| 10,000,000 |
4/30/2009
|
Federal
Home Loan Bank, 2.6%
|
10,044,479 | 1.6 | % | |||||||
| 10,000,000 |
5/4/2009
|
Federal
Home Loan Bank Discount Note, 1.7%
|
9,943,625 | 1.5 | % | |||||||
| 10,000,000 |
5/11/2009
|
Federal
Home Loan Bank Discount Note, 3.0%
|
9,895,278 | 1.5 | % | |||||||
| 10,000,000 |
5/13/2009
|
Fannie
Mae Discount Note, 1.2%
|
9,956,000 | 1.5 | % | |||||||
| 12,000,000 |
5/20/2009
|
Federal
Home Loan Bank, 3 month LIBOR minus 18 basis points quarterly
reset
|
12,025,644 | 1.9 | % | |||||||
| 8,000,000 |
5/20/2009
|
Federal
Home Loan Bank Discount Note, 1.4%
|
7,958,300 | 1.2 | % | |||||||
| 8,000,000 |
6/30/2009
|
Federal
Home Loan Bank, 3.0%
|
8,000,667 | 1.2 | % | |||||||
| 8,000,000 |
7/14/2009
|
Federal
Home Loan Bank, 3.2%
|
8,116,755 | 1.3 | % | |||||||
| 10,000,000 |
8/20/2009
|
Federal
Home Loan Bank, 3.1%
|
10,109,167 | 1.6 | % | |||||||
| 8,500,000 |
10/5/2009
|
Federal
Home Loan Bank, 3 month LIBOR minus 4 basis points quarterly
reset
|
8,587,338 | 1.3 | % | |||||||
| 12,500,000 |
10/19/2009
|
Freddie
Mac, 1 month LIBOR minus 6 basis points monthly reset
|
12,501,579 | 1.9 | % | |||||||
| 7,000,000 |
11/25/2009
|
Freddie
Mac, 2.1%
|
7,014,292 | 1.1 | % | |||||||
| 10,000,000 |
12/1/2009
|
Federal
Home Loan Bank, 2.0%
|
10,016,667 | 1.6 | % | |||||||
| 11,000,000 |
12/15/2009
|
Federal
Home Loan Bank, 1.8%
|
11,008,996 | 1.7 | % | |||||||
| 11,000,000 |
12/16/2009
|
Freddie
Mac, 1.9%
|
11,008,708 | 1.7 | % | |||||||
| 15,000,000 |
12/30/2009
|
Farmer
Mac, 1.0%
|
15,000,417 | 2.3 | % | |||||||
| 10,000,000 |
2/9/2010
|
Federal
Home Loan Bank, 3 month LIBOR minus 3.5 basis points
|
10,004,634 | 1.6 | % | |||||||
|
Total
Government-sponsored enterprises
|
$ | 311,078,226 | 48.3 | % | ||||||||
The
accompanying notes are an integral part of these consolidated financial
statements.
Grant
Park Futures Fund Limited Partnership
Condensed
Schedule of Investments (continued)
December 31,
2008
|
U.S.
Government securities***
|
||||||||||||
|
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent of Partners’
Capital
|
||||||||
| $ | 5,500,000 |
6/4/2009
|
U.S.
Treasury Bills, 0.2% (cost $5,493,705)
|
$ | 5,497,798 | 0.8 | % | |||||
| 23,000,000 |
12/15/2009
|
U.S.
Treasury Notes, 3.5% (cost $23,682,812)
|
23,718,100 | 3.7 | % | |||||||
|
Total
U.S. Government securities
|
$ | 29,215,898 | 4.5 | % | ||||||||
|
Government-sponsored
enterprises in brokers’ trading accounts***
|
||||||||||||
|
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent of Partners’
Capital
|
||||||||
| $ | 6,700,000 |
1/2/2009
|
Federal
Home Loan Bank Discount Note, 0.4%
|
$ | 6,699,993 | 1.0 | % | |||||
| 4,000,000 |
3/9/2009
|
Freddie
Mac Discount Note, 2.7%
|
3,998,295 | 0.6 | % | |||||||
| 5,000,000 |
5/4/2009
|
Federal
Home Loan Bank Discount Note, 1.7%
|
4,997,129 | 0.8 | % | |||||||
|
Total
Government-sponsored enterprises
|
$ | 15,695,417 | 2.4 | % | ||||||||
_______________
*** Pledged
as collateral for the trading of futures, forward and option
contracts.
The
accompanying notes are an integral part of these consolidated financial
statements.
Grant
Park Futures Fund Limited Partnership
Consolidated Statements of
Operations
Years
Ended December 31, 2009, 2008 and 2007
|
2009
|
2008
|
2007
|
||||||||||
|
Net
trading gains (losses)
|
||||||||||||
|
Net
gain (loss) from trading
|
||||||||||||
|
Realized
|
$ | (26,368,046 | ) | $ | 135,271,602 | $ | 67,015,724 | |||||
|
Change
in unrealized
|
9,175,197 | (926,609 | ) | (4,124,643 | ) | |||||||
|
Commissions
|
(11,878,814 | ) | (6,824,118 | ) | (5,505,936 | ) | ||||||
|
Net
gains (losses) from trading
|
(29,071,663 | ) | 127,520,875 | 57,385,145 | ||||||||
|
Income
allocated from Dearborn Select Master Fund, SPC – Winton Segregated
Portfolio
|
– | 16,714,939 | 9,417,448 | |||||||||
|
Loss
allocated from GP 1, LLC
|
(2,740,621 | ) | − | − | ||||||||
|
Total
trading gains (losses)
|
(31,812,284 | ) | 144,235,814 | 66,802,593 | ||||||||
|
Net
investment income
|
||||||||||||
|
Income
|
||||||||||||
|
Interest
income
|
6,395,208 | 12,681,834 | 17,475,172 | |||||||||
|
Expenses
|
||||||||||||
|
Brokerage
commission
|
51,808,133 | 34,156,316 | 26,032,412 | |||||||||
|
Incentive
fees
|
4,545,390 | 25,332,013 | 7,017,463 | |||||||||
|
Operating
expenses
|
2,060,934 | 1,412,552 | 805,444 | |||||||||
|
Organizational
and offering costs
|
2,839,077 | − | − | |||||||||
|
Total
expenses
|
61,253,534 | 60,900,881 | 33,855,319 | |||||||||
|
Net
investment loss
|
$ | (54,858,326 | ) | $ | (48,219,047 | ) | $ | (16,380,147 | ) | |||
|
Net
income (loss)
|
$ | (86,670,610 | ) | $ | 96,016,767 | $ | 50,422,446 | |||||
|
Net
income (loss) per unit from operations (based on weighted average number
of units outstanding during the period):
|
||||||||||||
|
General
Partner & Limited Partner Class A Units
|
$ | (145.00 | ) | $ | 263.77 | $ | 148.80 | |||||
|
General
Partner & Limited Partner Class B Units
|
$ | (134.12 | ) | $ | 223.70 | $ | 125.29 | |||||
|
General
Partner & Limited Partner Legacy 1 Class Units
|
$ | (33.88 | ) | $ | N/A | $ | N/A | |||||
|
General
Partner & Limited Partner Legacy 2 Class Units
|
$ | (35.46 | ) | $ | N/A | $ | N/A | |||||
|
General
Partner & Limited Partner Global 1 Class Units
|
$ | (43.18 | ) | $ | N/A | $ | N/A | |||||
|
General
Partner & Limited Partner Global 2 Class Units
|
$ | (46.40 | ) | $ | N/A | $ | N/A | |||||
|
General
Partner & Limited Partner Global 3 Class Units
|
$ | (60.36 | ) | $ | N/A | $ | N/A | |||||
|
Increase
(decrease) in net asset value per unit for the period:
|
||||||||||||
|
General
Partner & Limited Partner Class A Units
|
$ | (145.00 | ) | $ | 260.73 | $ | 146.87 | |||||
|
General
Partner & Limited Partner Class B Units
|
$ | (134.12 | ) | $ | 215.79 | $ | 120.26 | |||||
|
General
Partner & Limited Partner Legacy 1 Class Units
|
$ | (33.88 | ) | $ | N/A | $ | N/A | |||||
|
General
Partner & Limited Partner Legacy 2 Class Units
|
$ | (35.46 | ) | $ | N/A | $ | N/A | |||||
|
General
Partner & Limited Partner Global 1 Class Units
|
$ | (43.18 | ) | $ | N/A | $ | N/A | |||||
|
General
Partner & Limited Partner Global 2 Class Units
|
$ | (46.40 | ) | $ | N/A | $ | N/A | |||||
|
General
Partner & Limited Partner Global 3 Class Units
|
$ | (60.36 | ) | $ | N/A | $ | N/A | |||||
The
accompanying notes are an integral part of these consolidated financial
statements.
Grant
Park Futures Fund Limited Partnership
Consolidated Statements of Changes in Partners’
Capital (Net Asset Value)
Years
Ended December 31, 2009, 2008 and 2007
|
Class
A
|
Class
B
|
|||||||||||||||||||||||||||||||
|
General
Partner
|
Limited
Partners
|
General
Partner
|
Limited
Partners
|
|||||||||||||||||||||||||||||
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
|||||||||||||||||||||||||
|
Partners’
capital,
December 31,
2006
|
3,398.73 | $ | 3,951,351 | 46,628.21 | $ | 54,209,869 | — | — | 316,983.72 | $ | 324,091,775 | |||||||||||||||||||||
|
Contributions
|
272.96 | 320,000 | 14,176.17 | 16,618,602 | — | — | 56,817.78 | 59,046,420 | ||||||||||||||||||||||||
|
Redemptions
|
— | — | (9,432.45 | ) | (11,166,190 | ) | — | — | (38,092.81 | ) | (40,048,152 | ) | ||||||||||||||||||||
|
Offering
costs
|
— | — | — | (106,370 | ) | — | — | — | (1,653,955 | ) | ||||||||||||||||||||||
|
Net
income (loss)
|
— | 536,614 | — | 7,714,031 | — | — | — | 42,171,801 | ||||||||||||||||||||||||
|
Partners’
capital,
December 31,
2007
|
3,671.69 | 4,807,965 | 51,371.93 | 67,269,942 | — | — | 335,708.69 | 383,607,889 | ||||||||||||||||||||||||
|
Contributions
|
676.49 | 1,000,000 | 14,070.43 | 20,802,983 | — | — | 105,026.40 | 134,317,181 | ||||||||||||||||||||||||
|
Redemptions
|
— | — | (13,033.66 | ) | (19,201,221 | ) | — | — | (32,574.35 | ) | (41,963,683 | ) | ||||||||||||||||||||
|
Offering
costs
|
— | — | — | (163,756 | ) | — | — | — | (2,898,858 | ) | ||||||||||||||||||||||
|
Net
income (loss)
|
— | 1,019,544 | — | 13,584,192 | — | — | — | 81,413,031 | ||||||||||||||||||||||||
|
Partners’
capital,
December 31,
2008
|
4,348.18 | 6,827,509 | 52,408.70 | 82,292,140 | — | — | 408,160.74 | 554,475,560 | ||||||||||||||||||||||||
|
Contributions
|
— | — | 1,656.55 | 2,601,110 | 2,001.08 | 2,677,822 | 199,443.69 | 267,164,784 | ||||||||||||||||||||||||
|
Redemptions
|
(1,339.52 | ) | (2,000,000 | ) | (5,708.66 | ) | (8,424,365 | ) | (1,574.07 | ) | (2,028,133 | ) | (37,011.39 | ) | (46,695,477 | ) | ||||||||||||||||
|
Net
income (loss)
|
— | (539,587 | ) | — | (7,551,336 | ) | — | (126,876 | ) | — | (76,337,450 | ) | ||||||||||||||||||||
|
Partners’
capital,
December 31,
2009
|
3,008.66 | $ | 4,287,922 | 48,356.59 | $ | 68,917,549 | 427.01 | $ | 522,813 | 570,593.04 | $ | 698,607,417 | ||||||||||||||||||||
|
Net
asset value per unit at
December 31,
2006
|
$ | 1,162.60 | $ | 1,022.42 | ||||
|
Net
asset value per unit at
December 31,
2007
|
$ | 1,309.47 | $ | 1,142.68 | ||||
|
Net
asset value per unit at
December 31,
2008
|
$ | 1,570.20 | $ | 1,358.47 | ||||
|
Net
asset value per unit at
December 31,
2009
|
$ | 1,425.20 | $ | 1,224.35 |
|
Legacy
1 Class
|
Legacy
2 Class
|
|||||||||||||||||||||||||||||||
|
General
Partner
|
Limited
Partners
|
General
Partner
|
Limited
Partners
|
|||||||||||||||||||||||||||||
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
|||||||||||||||||||||||||
|
Partners’
capital,
December 31,
2006
|
— | $ | — | — | $ | — | — | $ | — | — | $ | — | ||||||||||||||||||||
|
Contributions
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Redemptions
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Offering
costs
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Net
income (loss)
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Partners’
capital,
December 31,
2007
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Contributions
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Redemptions
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Offering
costs
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Net
income (loss)
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Partners’
capital,
December 31,
2008
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Contributions
|
1,025.00 | 1,025,000 | 3,861.68 | 3,768,594 | 1,000.00 | 1,000,000 | 3,295.20 | 3,228,114 | ||||||||||||||||||||||||
|
Redemptions
|
(10.43 | ) | (10,000 | ) | (172.25 | ) | (167,161 | ) | ||||||||||||||||||||||||
|
Net
income (loss)
|
— | (34,724 | ) | — | (37,814 | ) | — | (35,460 | ) | — | (48,738 | ) | ||||||||||||||||||||
|
Partners’
capital,
December 31,
2009
|
1,025.00 | $ | 990,276 | 3,851.25 | $ | 3,720,780 | 1,000.00 | $ | 964,540 | 3,122.95 | $ | 3,012,215 | ||||||||||||||||||||
|
Net
asset value per unit at
December 31,
2006
|
$ | — | $ | — | ||||
|
Net
asset value per unit at
December 31,
2007
|
$ | — | $ | — | ||||
|
Net
asset value per unit at
December 31,
2008
|
$ | — | $ | — | ||||
|
Net
asset value per unit at
December 31,
2009
|
$ | 966.12 | $ | 964.54 |
The
accompanying notes are an integral part of these consolidated financial
statements.
Grant
Park Futures Fund Limited Partnership
Consolidated
Statements of Changes in Partners’ Capital (Net Asset Value)
Years
Ended December 31, 2009, 2008 and 2007 (continued)
|
Global
1 Class
|
Global
2 Class
|
|||||||||||||||||||||||||||||||
|
General
Partner
|
Limited
Partners
|
General
Partner
|
Limited
Partners
|
|||||||||||||||||||||||||||||
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
|||||||||||||||||||||||||
|
Partners’
capital,
December 31,
2006
|
— | $ | — | — | $ | — | — | $ | — | — | $ | — | ||||||||||||||||||||
|
Contributions
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Redemptions
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Offering
costs
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Net
income (loss)
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Partners’
capital,
December 31,
2007
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Contributions
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Redemptions
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Offering costs
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Net
income (loss)
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Partners’
capital,
December 31,
2008
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
Contributions
|
1,044.66 | 1,045,000 | 3,517.12 | 3,464,764 | 708.97 | 705,000 | 7,373.24 | 7,242,488 | ||||||||||||||||||||||||
|
Redemptions
|
— | — | (158.52 | ) | (154,906 | ) | — | — | (39.41 | ) | (37,588 | ) | ||||||||||||||||||||
|
Net
income (loss)
|
— | (45,446 | ) | — | (96,277 | ) | — | (28,924 | ) | — | (211,383 | ) | ||||||||||||||||||||
|
Partners’
capital,
December 31,
2009
|
1,044.66 | $ | 999,554 | 3,358.60 | $ | 3,213,581 | 708.97 | $ | 676,076 | 7,333.83 | $ | 6,993,517 | ||||||||||||||||||||
|
Net
asset value per unit at
December 31,
2006
|
$ | — | $ | — | ||||
|
Net
asset value per unit at
December 31,
2007
|
$ | — | $ | — | ||||
|
Net
asset value per unit at
December 31,
2008
|
$ | — | $ | — | ||||
|
Net
asset value per unit at
December 31,
2009
|
$ | 956.82 | $ | 953.60 |
|
Global
3 Class
|
||||||||||||||||||||
|
General
Partner
|
Limited
Partners
|
|||||||||||||||||||
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
Total
Amount
|
||||||||||||||||
|
Partners’
capital,
December 31, 2006
|
— | $ | — | — | $ | — | $ | 382,252,995 | ||||||||||||
|
Contributions
|
— | — | — | — | 75,985,022 | |||||||||||||||
|
Redemptions
|
— | — | — | — | (51,214,342 | ) | ||||||||||||||
|
Offering costs
|
— | — | — | — | (1,760,325 | ) | ||||||||||||||
|
Net income (loss)
|
— | — | — | — | 50,422,446 | |||||||||||||||
|
Partners’
capital,
December 31,
2007
|
— | — | — | — | 455,685,796 | |||||||||||||||
|
Contributions
|
— | — | — | — | 156,120,164 | |||||||||||||||
|
Redemptions
|
— | — | — | — | (61,164,904 | ) | ||||||||||||||
|
Offering costs
|
— | — | — | — | (3,062,614 | ) | ||||||||||||||
|
Net
income (loss)
|
— | — | — | — | 96,016,767 | |||||||||||||||
|
Partners’
capital,
December 31,
2008
|
— | — | — | — | 643,595,209 | |||||||||||||||
|
Contributions
|
500.00 | 500,000 | 40,377.44 | 39,486,889 | 333,909,565 | |||||||||||||||
|
Redemptions
|
— | — | (48.84 | ) | (46,036 | ) | (59,563,666 | ) | ||||||||||||
|
Net
income (loss)
|
— | (30,179 | ) | — | (1,546,416 | ) | (86,670,610 | ) | ||||||||||||
|
Partners’
capital,
December 31,
2009
|
500.00 | $ | 469,821 | 40,328.60 | $ | 37,894,437 | $ | 831,270,498 | ||||||||||||
|
Net
asset value per unit at
December 31,
2006
|
$ | — | ||
|
Net
asset value per unit at
December 31,
2007
|
$ | — | ||
|
Net
asset value per unit at
December 31,
2008
|
$ | — | ||
|
Net
asset value per unit at
December 31,
2009
|
$ | 939.64 |
The
accompanying notes are an integral part of these consolidated financial
statements.
Grant
Park Futures Fund Limited Partnership
Notes to Consolidated Financial
Statements
NOTE
1. NATURE OF BUSINESS AND SIGNIFICANT ACCOUNTING
POLICIES
Nature of
business: Grant Park Futures Fund Limited Partnership (the
“Partnership”) was organized as a limited partnership in Illinois in
August 1988 and will continue until December 31, 2027, unless sooner
terminated as provided for in the Limited Partnership Agreement. As a
commodity investment pool, the Partnership is subject to the regulations of the
Commodity Futures Trading Commission, an agency of the United States (U.S.)
government which regulates most aspects of the commodity futures industry; rules
of the National Futures Association, an industry self-regulatory organization;
and the requirements of the various commodity exchanges where the Partnership
executes transactions. Additionally, the Partnership is subject to
the requirements of futures commission merchants (“FCMs”), interbank and other
market makers through which the Partnership trades. Effective
June 30, 2003, the Partnership became registered with the Securities and
Exchange Commission (“SEC”), accordingly, as a registrant, the Partnership is
subject to the regulatory requirements under the Securities Act of 1933 and the
Securities Exchange Act of 1934.
The
Partnership’s business is to trade, buy, sell, margin or otherwise acquire, hold
or dispose of futures and forward contracts for commodities, financial
instruments or currencies, any rights pertaining thereto and any options
thereon, or on physical commodities. The Partnership may also engage
in hedge, arbitrage and cash trading of commodities and futures.
The
Partnership is a multi-advisor pool that carries out its purpose through trading
by independent professional commodity trading advisors retained by Dearborn
Capital Management, L.L.C. (the “General Partner”), the Partnership and,
effective April 1, 2009, the Partnership’s subsidiary trading companies
(each a “Trading Company” and collectively, the “Trading
Companies”). The Trading Companies were set up to, among other
things, segregate risk by commodity trading advisor. Effectively,
this new structure isolates one trading advisor from another and any losses from
one Trading Company will not carry over to the other Trading
Companies. The following is a list of the Trading Companies,
for which the Partnership is the sole member and all of which were organized as
Delaware limited liability companies:
|
GP
3, LLC (“GP 3”)
|
GP
7, LLC (“GP 7”)
|
GP
11, LLC (“GP 11”)
|
|
GP
4, LLC (“GP 4”)
|
GP
8, LLC (“GP 8”)
|
GP
12, LLC (“GP 12”)
|
|
GP
5, LLC (“GP 5”)
|
GP
9, LLC (“GP 9”)
|
GP
14, LLC (“GP 14”)
|
|
GP
6, LLC (“GP 6”)
|
GP
10, LLC (“GP 10”)
|
Assets of Grant
Park will not be invested in GP 12 until the first quarter of 2010 or in GP 14
until the second quarter of 2010.
Additionally,
GP Cash Management, LLC was created on February 6, 2009 as a Delaware
limited liability company to collectively manage and invest excess cash not
required to be held at clearing brokers. The members of GP Cash
Management, LLC are the Trading Companies.
Classes of
interests: The Partnership has seven classes of limited
partner interests (each a “Class” and collectively, the “Interests”), Class A,
Class B, Legacy 1 Class, Legacy 2 Class, Global 1 (“Global 1”) Class, Global 2
(“Global 2”) Class and Global 3 (“Global 3”) Class units.
Grant
Park Futures Fund Limited Partnership
Notes
to Consolidated Financial Statements
The Class
A and Class B units, are outstanding, but are no longer offered by the
Partnership. Both Class A and Class B units are traded pursuant to
identical trading programs and differ only in respect to the General Partner’s
brokerage commission.
The
Legacy 1 Class and Legacy 2 Class units are traded pursuant to trading programs
pursuing a technical trend trading philosophy, which is the same trading
philosophy used for the Class A and Class B units. The Legacy 1 Class
and Legacy 2 Class units differ in respect to the General Partner’s brokerage
commission. The Legacy 1 Class and Legacy 2 Class units are initially
being offered only to investors who are represented by approved selling agents
who are directly compensated by the investor for services rendered in connection
with an investment in the Partnership (such arrangements commonly referred to as
“wrap-accounts”).
The
Global 1 Class, Global 2 Class and Global 3 Class units are traded pursuant to
trading programs pursuing technical trend trading philosophies, as well as
pattern recognition philosophies, focused on relatively shorter timeframes than
the Legacy 1 Class and Legacy 2 Class units. The Global 1 Class,
Global 2 Class and Global 3 Class units differ in respect to the General
Partner’s brokerage commission. The Global 1 Class and Global 2 Class
units are initially being offered only to investors in
wrap-accounts.
Significant
accounting policies are as follows:
Accounting
Principles: In June 2009, the FASB issued FASB ASC 105,
Generally Accepted Accounting
Principles, which establishes the FASB Accounting Standards Codification
as the single source of authoritative nongovernmental U.S. GAAP. The
Codification is effective for interim and annual periods ending after
September 15, 2009. The Codification combines all authoritative
standards into a comprehensive, topically organized online
database. After the Codification launch on July 1, 2009 only one
level of authoritative GAAP exists, other than guidance issued by the
SEC. All other accounting literature excluded from the Codification
is considered non-authoritative. The Codification impacts the
Partnership’s financial statement disclosures since all future references to
authoritative accounting literature will be references in accordance with the
Codification. The adoption of FASB ASC 105 did not impact the
Partnership’s financial condition or results of operations.
Consolidation: The
Partnership is the sole member of each of the Trading Companies. The Trading
Companies, in turn, are the only members of GP Cash Management,
LLC. The Partnership will present consolidated financial statements
for the Partnership which include the accounts of the Trading Companies and GP
Cash Management, LLC. All material inter-company accounts and
transactions are eliminated in consolidation. Recent FASB guidance
under FASB ASC 810 establishes accounting and reporting requirements for
noncontrolling interests, which the Partnership previously referred to as
minority interests. This guidance requires noncontrolling interests
to be reported as a component of partners’ capital on the consolidated statement
of financial condition and the amount of net income attributable to
noncontrolling interests to be identified on the consolidated statement of
operations. The Partnership adopted the provisions of this guidance,
which had no material impact, effective January 1, 2009.
Use of
estimates: The preparation of financial statements in
conformity with generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of revenue and expenses during
the reporting period. Actual results could differ from those
estimates.
Grant
Park Futures Fund Limited Partnership
Notes
to Consolidated Financial Statements
Cash and cash
equivalents: Cash and cash equivalents include cash, overnight
investments, U.S. treasury bills and short-term investments in interest-bearing
demand deposits with banks and cash managers with original maturities of three
months or less at the date of acquisition. The Partnership maintains
deposits with high quality financial institutions in amounts that are in excess
of federally insured limits; however, the Partnership does not believe it is
exposed to any significant credit risk.
Revenue
recognition: Futures, options on futures, and forward
contracts are recorded on a trade date basis and realized gains or losses are
recognized when contracts are liquidated. Unrealized gains or losses
on open contracts (the difference between contract trade price and market price)
are reported in the statement of financial condition as a net unrealized gain or
loss, as there exists a right of offset of unrealized gains or losses in
accordance with FASB ASC 210-20, Balance Sheet,
Offsetting. Any change in net unrealized gain or loss from the
preceding period is reported in the statement of operations. Fair
value of exchange-traded contracts is based upon exchange settlement
prices. Fair value of non-exchange-traded contracts is based on third
party quoted dealer values on the Interbank market. U.S. Government
securities, Government-sponsored enterprises and commercial paper are stated at
cost plus accrued interest, which approximates fair value based on quoted prices
in an active market.
Redemptions
payable: Pursuant to the provisions of FASB ASC 480, Distinguishing Liabilities from
Equity, redemptions approved by the General Partner prior to month end
with a fixed effective date and fixed amount are recorded as redemptions payable
as of month end.
Income
taxes: No provision for income taxes has been made in these
financial statements as each partner is individually responsible for reporting
income or loss based on its respective share of the Partnership’s income and
expenses as reported for income tax purposes.
The Partnership
follows the provisions of ASC 740, Income
Taxes. The Partnership is not subject to examination by U.S.
federal or state taxing authorities for tax years before 2006. As of
December 31, 2009, the Partnership has no uncertain tax positions, and
accordingly, has not recorded a liability for the payment of interest or
penalties.
Organization and offering
costs: All expenses incurred in connection with the
organization and the initial and ongoing public offering of partnership
interests are paid by the General Partner and are reimbursed to the General
Partner by the Partnership. This reimbursement is made
monthly. Effective April 1, 2009, Class A units bear
organization and offering expenses at an annual rate of 10 basis points (0.10
percent) of the adjusted net assets of the Class A units, calculated and payable
monthly on the basis of month-end adjusted net assets. Legacy 1
Class, Legacy 2 Class, Global 1 Class, Global 2 Class, Global 3 Class and,
effective April 1, 2009, Class B units bear these expenses at an annual
rate of 30 basis points (0.30 percent) of the adjusted net assets of the Legacy
1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class, Global 3 Class and
Class B units, respectively, calculated and payable monthly on the basis of
month-end adjusted net assets. Prior to April 1, 2009, Class A
units and Class B units bore these expenses at an annual rate of 20 basis points
(0.20 percent) and 60 basis points (0.60 percent), respectively, of the adjusted
net assets of the Class A and Class B units, respectively, calculated and
payable monthly on the basis of month-end adjusted net assets. “Adjusted net
assets” is defined as the month-end net assets of the particular class before
accruals for fees and expenses and redemptions. In its discretion,
the General Partner may require the Partnership to reimburse the General Partner
in any subsequent calendar year for amounts that exceed these limits in any
calendar year, provided that the maximum amount reimbursed by the Partnership
will not exceed the overall limit. Amounts reimbursed by the
Partnership with respect to the initial and ongoing public offering expenses are
charged against partners’ capital at the time of reimbursement or
accrual. Any amounts reimbursed by the Partnership with respect to
organization expenses are expensed at the time the reimbursement is incurred or
accrued. If the Partnership terminates prior to completion of payment
of the calculated amounts to the General
Grant
Park Futures Fund Limited Partnership
Notes
to Consolidated Financial Statements
Partner,
the General Partner will not be entitled to any additional payments, and the
Partnership will have no further obligation to the General
Partner. At December 31, 2009, all organization and offering
costs incurred by the General Partner have been reimbursed.
Effective
January 1, 2009, the Partnership has changed its accounting policy with
respect to organization and offering costs. Prior to that date, the
Partnership charged organization and offering costs directly to partners’
capital. The Partnership charges organization and offering costs to
expense from operations as opposed to taking a direct charge to partners’
capital. This change was done on a prospective basis starting
January 1, 2009. The effect of the change on net income (loss)
is an increase in expense from operations of $2,839,077 and no change to
partners’ capital for the twelve months ended December 31,
2009. There is no cumulative effect of the change on the net asset
value of the Partnership.
Foreign currency
transactions: The Partnership’s functional currency is the
U.S. dollar, however, it transacts business in currencies other than the U.S.
dollar. Assets and liabilities denominated in currencies other than
the U.S. dollar are translated into U.S. dollars at the rates in effect at the
date of the statement of financial condition. Income and expense
items denominated in currencies other than the U.S. dollar are translated into
U.S. dollars at the rates in effect during the period. Gains and
losses resulting from the translation to U.S. dollars are reported in income
currently.
Reclassification: Certain
amounts in the 2008 and 2007 financial statements have been reclassified to
conform with the 2009 presentation.
Statement of Cash
Flows: The Partnership has elected not to provide statements
of cash flows as permitted by FASB ASC 230, Statement of Cash
Flows.
Subsequent
Events: The Partnership follows the provisions of FASB ASC
855, Subsequent Events,
which establishes general standards of accounting for and disclosure of events
that occur after the balance sheet date but before financial statements are
issued. The provisions of FASB ASC 855 were effective for interim and
annual periods ending after June 15, 2009. See Note
12.
NOTE
2. FAIR VALUE MEASUREMENTS
The
Partnership follows the provisions of FASB ASC 820, Fair Value Measurements and
Disclosures. FASB ASC 820 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair value
measurement and also emphasizes that fair value is a market-based measurement,
not an entity-specific measurement. FASB ASC 820 defines fair value
as the price that would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants at the
measurement date and sets out a fair value hierarchy. The fair value
hierarchy gives the highest priority to quoted prices in active markets for
identical assets or liabilities (Level 1) and the lowest priority to
unobservable inputs (Level 3). Inputs are broadly defined under FASB
ASC 820 as assumptions market participants would use in pricing an asset or
liability. The three levels of the fair value hierarchy under FASB ASC 820 are
described below:
Level
1. Unadjusted quoted prices in active markets for identical assets or
liabilities that the reporting entity has the ability to access at the
measurement date.
Level
2. Inputs other than quoted prices within Level 1 that are observable
for the asset or liability, either directly or indirectly. A
significant adjustment to a Level 2 input could result in the Level 2
measurement becoming a Level 3 measurement.
Level
3. Inputs are unobservable for the asset or liability.
Grant
Park Futures Fund Limited Partnership
Notes
to Consolidated Financial Statements
The
following section describes the valuation techniques used by the Partnership to
measure different financial instruments at fair value and includes the level
within the fair value hierarchy in which the financial instrument is
categorized.
Fair value of exchange-traded contracts
is based upon exchange settlement prices. Fair value of
non-exchange-traded contracts is based on third party quoted dealer values on
the Interbank market. U.S. Government securities,
Government-sponsored enterprises and commercial paper are stated at cost plus
accrued interest, which approximates fair value based on quoted market prices in
an active market. These financial instruments are classified in Level
1 of the fair value hierarchy.
The
Partnership values the certificates of deposit at face value plus accrued
interest, which approximates fair value, and these financial instruments are
classified in Level 2 of the fair value hierarchy.
The following table presents the
Partnership’s fair value hierarchy for those assets and liabilities measured at
fair value on a recurring basis as of December 31, 2009:
|
Assets
|
Level
1
|
Level
2
|
Level
3
|
Total
|
||||||||||||
|
Equity
in brokers’ trading accounts
|
||||||||||||||||
|
U.S.
Government securities
|
$ | 89,970,252 | $ | – | $ | – | $ | 89,970,252 | ||||||||
|
Futures
contracts
|
13,472,467 | – | – | 13,472,467 | ||||||||||||
|
Forward
contracts
|
542,054 | – | – | 542,054 | ||||||||||||
|
Options
on futures contracts
|
(5,130 | ) | – | – | (5,130 | ) | ||||||||||
|
Cash
and cash equivalents
|
||||||||||||||||
|
Certificates
of deposit
|
– |
20,042,688
|
– |
20,042,688
|
||||||||||||
|
Commercial
paper
|
6,761,718
|
– | – |
6,761,718
|
||||||||||||
|
Certificates
of deposit
|
– | 15,755,711 | – | 15,755,711 | ||||||||||||
|
Government-sponsored
enterprises
|
596,671,609 | – | – | 596,671,609 | ||||||||||||
|
U.S.
Government securities
|
74,755,744 | – | – | 74,755,744 | ||||||||||||
The
following table presents the Partnership’s fair value hierarchy for those assets
and liabilities measured at fair value on a recurring basis as of
December 31, 2008:
|
Assets
|
Level
1
|
Level
2
|
Level
3
|
Total
|
||||||||||||
|
Equity
in brokers’ trading accounts
|
||||||||||||||||
|
U.S.
Government securities
|
$ | 29,215,898 | $ | – | $ | – | $ | 29,215,898 | ||||||||
|
Government-sponsored
enterprises
|
15,695,417 | – | – | 15,695,417 | ||||||||||||
|
Futures
contracts
|
6,603,439 | – | – | 6,603,439 | ||||||||||||
|
Forward
contracts
|
(1,393,208 | ) | – | – | (1,393,208 | ) | ||||||||||
|
Cash
and cash equivalents
|
||||||||||||||||
|
Certificates
of deposit
|
– | 40,655,321 | – | 40,655,321 | ||||||||||||
|
Commercial
paper
|
89,383,455 | – | – | 89,383,455 | ||||||||||||
|
Government-sponsored
enterprises
|
4,993,389 | – | – | 4,993,389 | ||||||||||||
|
Certificates
of deposit
|
– | 28,525,736 | – | 28,525,736 | ||||||||||||
|
Commercial
paper
|
9,979,833 | – | – | 9,979,833 | ||||||||||||
|
Government-sponsored
enterprises
|
311,078,226 | – | – | 311,078,226 | ||||||||||||
Grant
Park Futures Fund Limited Partnership
Notes
to Consolidated Financial Statements
NOTE
3. DEPOSITS WITH BROKERS
The Partnership, through the Trading
Companies, deposits assets with brokers subject to Commodity Futures Trading
Commission regulations and various exchange and broker
requirements. Margin requirements are satisfied by the deposit of
U.S. Treasury bills, U.S. Treasury notes, Government-sponsored enterprises and
cash with such brokers. The Partnership earns interest income on its
assets deposited with the brokers.
NOTE
4. COMMODITY TRADING ADVISORS
In the
first quarter of 2009, in addition to its investment in GP 1, LLC through which
a portion of its assets are managed by Winton Capital Management, the
Partnership has entered into advisory contracts with Rabar Market Research,
Inc., EMC Capital Management, Inc., Eckhardt Trading Co., Graham Capital
Management, L.P., Welton Investment Corporation, Global Advisors Jersey
Limited, Transtrend B.V., Quantitative Investment Management LLC and
Revolution Capital Management, LLC (the “Advisors”) pursuant to which the
Advisors act as the Partnership’s commodity trading advisors. The
Advisors are paid a quarterly management fee ranging from 0 percent to 2 percent
per annum of the Partnership’s month-end allocated net assets, which is paid by
the General Partner from the brokerage commission (Note 5).
Additionally, the Advisors receive a
quarterly incentive fee ranging from 20 percent to 26 percent of the new trading
profits on the allocated net assets of the Advisor, which amounted to fees of
$4,545,390, $25,332,013, and $7,017,463 for the years ended December 31,
2009, 2008, and 2007, respectively.
Effective
April 1, 2009, the Partnership reallocated the Partnership’s assets managed
by the Advisors to the Partnership’s Trading Companies. Each Trading
Company has entered into an advisory contract with its own Advisor on the same
or substantially similar terms as the Partnership to manage all or a portion of
such Trading Company’s assets.
NOTE
5. GENERAL PARTNER AND RELATED PARTY TRANSACTIONS
The
General Partner shall at all times, so long as it remains a general partner of
the Partnership, own Units in the Partnership: (i) in an amount
sufficient, in the opinion of counsel for the Partnership, for the Partnership
to be taxed as a partnership rather than as an association taxable as a
corporation; and (ii) during such time as the Units are registered for sale
to the public, in an amount at least equal to the greater
of: (a) 1 percent of all capital contributions of all Partners
to the Partnership; or (b) $25,000; or such other amount satisfying the
requirements then imposed by the North American Securities Administrators
Association, Inc.(NASAA) Guidelines. Further, during such time as the
Units are registered for sale to the public, the General Partner shall, so long
as it remains a general partner of the Partnership, maintain a net worth (as
such term may be defined in the NASAA Guidelines) at least equal to the greater
of: (i) 5 percent of the total capital contributions of all
partners and all limited partnerships to which it is a general partner
(including the Partnership) plus 5 percent of the Units being offered for sale
in the Partnership; or (ii) $50,000; or such other amount satisfying the
requirements then imposed by the NASAA Guidelines. In no event,
however, shall the General Partner be required to maintain a net worth in excess
of $1,000,000 or such other maximum amount satisfying the requirements then
imposed by the NASAA Guidelines.
Ten
percent of the General Partner limited partnership interest in the Grant Park
Futures Fund Limited Partnership is characterized as a general partnership
interest. Notwithstanding, the general partnership interest will
continue to pay all fees associated with a limited partnership
interest.
Grant
Park Futures Fund Limited Partnership
Notes
to Consolidated Financial Statements
Through
March 31, 2009, the Partnership paid the General Partner a monthly
brokerage commission equal to one twelfth of 7.55 percent (7.55 percent
annualized) of month-end net assets for Class A units and one twelfth of 8.00
percent (8.00 percent annualized) of month-end net assets for Class B
units. Effective April 1, 2009, the Partnership pays the General
Partner a monthly brokerage commission equal to one twelfth of 7.50 percent
(7.50 percent annualized) of month-end net assets for Class A units, one twelfth
of 7.95 percent (7.95 percent annualized) of month-end net assets for Class B
units, one twelfth of 5.00 percent (5.00 percent annualized) of month-end net
assets for Legacy 1 Class units, one twelfth of 5.25 (5.25 percent annualized)
of month-end net assets for Legacy 2 Class units, one twelfth of 4.45 percent
(4.45 percent annualized) of month-end net assets for Global 1 Class units, one
twelfth of 4.70 percent (4.70 percent annualized) of month-end net assets for
Global 2 Class units, one twelfth of 6.45 percent (6.45 percent annualized) of
month-end net assets for Global 3 Class units. Included in the total
brokerage commission are amounts paid to the clearing brokers for execution and
clearing costs which are reflected in the commissions line of the consolidated
statements of operations, and the remaining amounts are management fees paid to
the Advisors, compensation to the selling agents and an amount to the General
Partner for management services rendered which are reflected in the brokerage
commission line on the consolidated statements of operations.
NOTE
6. OPERATING EXPENSES
Operating
expenses of the Partnership are paid for by the General Partner and reimbursed
by the Partnership. Operating expenses of the Partnership are limited
to 0.25 percent per year of the average month-end net assets of the
Partnership.
NOTE
7. REDEMPTIONS
Class A
and Class B Limited Partners have the right to redeem units as of any month-end
upon ten (10) days’ prior written notice to the Partnership. The
General Partner, however, may permit earlier redemptions in its
discretion. There are no redemption fees applicable to Class A
Limited Partners or to Class B Limited Partners who redeem their units on or
after the one-year anniversary of their subscription. Class B Limited
Partners who redeem their units prior to the one-year anniversary of their
subscriptions will pay the applicable early redemption fee. Legacy 1
Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class Limited
Partners are prohibited from redeeming such units for the three months following
the subscription for units. There are no redemption fees applicable
to Legacy 1 Class, Legacy 2 Class, Global 1 Class and Global 2 Class Limited
Partners or to Global 3 Class Limited Partners who redeem their units on or
after the one-year anniversary of their subscription. Global 3 Class
Limited Partners who redeem their units after the three-month lock-up, but prior
to the one-year anniversary of their subscriptions for the redeemed units will
pay the applicable early redemption fee. Redemptions will be made on
the last day of the month for an amount equal to the net asset value per unit,
as defined, represented by the units to be redeemed. The right to
obtain redemption is also contingent upon the Partnership’s having property
sufficient to discharge its liabilities on the redemption date and may be
delayed if the General Partner determines that earlier liquidation of commodity
interest positions to meet redemption payments would be detrimental to the
Partnership or nonredeeming Limited Partners.
In
addition, the General Partner may at any time cause the redemption of all or a
portion of any Limited Partner’s units upon fifteen (15) days written
notice. The General Partner may also immediately redeem any Limited
Partner’s units without notice if the General Partner believes that (i) the
redemption is necessary to avoid having the assets of the Partnership deemed
Plan Assets under the Employee Retirement Income Security Act of 1974, as
amended (“ERISA”), (ii) the Limited Partner made a misrepresentation in
connection with its subscription for the units, or (iii) the redemption is
necessary to avoid a violation of law by the Partnership or any
Partner.
Grant
Park Futures Fund Limited Partnership
Notes
to Consolidated Financial Statements
NOTE
8. FINANCIAL HIGHLIGHTS
The
following financial highlights reflect activity related to the
Partnership. Total return is based on the change in value during the
period of a theoretical investment made at the beginning of each calendar month
during the year. Individual investor’s ratios may vary from these
ratios based on various factors, including and among others, the timing of
capital transactions.
|
2009
|
2008
|
2007
|
||||||||||
|
Total
return – Class A Units
|
(9.23 | )% | 19.91 | % | 12.63 | % | ||||||
|
Total
return – Class B Units
|
(9.87 | )% | 18.88 | % | 11.76 | % | ||||||
|
Total
return – Legacy 1 Class Units
|
(3.39 | )% | − | − | ||||||||
|
Total
return – Legacy 2 Class Units
|
(3.55 | )% | − | − | ||||||||
|
Total
return – Global 1 Class Units
|
(4.32 | )% | − | − | ||||||||
|
Total
return – Global 2 Class Units
|
(4.64 | )% | − | − | ||||||||
|
Total
return – Global 3 Class Units
|
(6.04 | )% | − | − | ||||||||
|
Ratios
as a percentage of average net assets: *
|
||||||||||||
|
Interest
income
|
0.80 | % | 2.32 | % | 4.24 | % | ||||||
|
Expenses
prior to incentive fees
|
7.08 | % | 6.52 | % | 6.52 | % | ||||||
|
Incentive
fees
|
0.57 | % | 4.64 | % | 1.70 | % | ||||||
|
Total
expenses
|
7.65 | % | 11.16 | % | 8.22 | % | ||||||
|
Net
investment loss **
|
(6.28 | )% | (4.20 | )% | (2.28 | )% | ||||||
_______________
* Legacy
1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class Units
began trading April 1, 2009 and, accordingly, the total return represents
the return from April 1, 2009 through December 31,
2009. These units exclude the classes of the Partnership’s
proportionate share of expenses and net investment income (loss) from GP 1, LLC
from January 1, 2009 to March 31, 2009, and Dearborn Select Master
Fund, SPC – Winton Segregated Portfolio for 2008.
**
Excludes incentive fee.
The
interest income and expense ratios above are computed based upon the weighted
average net assets of the limited partners for the years ended December 31,
2009, 2008 and 2007.
Grant
Park Futures Fund Limited Partnership
Notes
to Consolidated Financial Statements
The
following per unit performance calculations reflect activity related to the
Partnership.
|
Class
A Units
|
Class
B Units
|
Legacy
1 Class Units
|
Legacy
2 Class Units
|
|||||||||||||
|
Per
Unit Performance
(for
unit outstanding throughout the entire period):
|
||||||||||||||||
|
Net
asset value per unit at December 31, 2006
|
$ | 1,162.60 | $ | 1,022.42 | N/A | N/A | ||||||||||
|
Income
(loss) from operations
|
||||||||||||||||
|
Net
realized and change in unrealized gain (loss) from trading
|
191.82 | 167.87 | N/A | N/A | ||||||||||||
|
Expenses
net of interest income*
|
(43.02 | ) | (42.58 | ) | N/A | N/A | ||||||||||
|
Total
income (loss) from operations
|
148.80 | 125.29 | N/A | N/A | ||||||||||||
|
Organization
and offering costs*
|
(1.93 | ) | (5.03 | ) | N/A | N/A | ||||||||||
|
Net
asset value per unit at December 31, 2007
|
1,309.47 | 1,142.68 | N/A | N/A | ||||||||||||
|
Income
(loss) from operations
|
||||||||||||||||
|
Net
realized and change in unrealized gain from trading
|
389.13 | 336.88 | N/A | N/A | ||||||||||||
|
Expenses
net of interest income*
|
(125.36 | ) | (113.18 | ) | N/A | N/A | ||||||||||
|
Total
income (loss) from operations
|
263.77 | 223.70 | N/A | N/A | ||||||||||||
|
Organization
and offering costs*
|
(3.04 | ) | (7.91 | ) | N/A | N/A | ||||||||||
|
Net
asset value per unit at December 31, 2008**
|
1,570.20 | 1,358.47 | $ | 1,000.00 | $ | 1,000.00 | ||||||||||
|
Income
(loss) from operations
|
||||||||||||||||
|
Net
realized and change in unrealized gain (loss) from trading
|
(54.61 | ) | (45.74 | ) | 2.72 | 1.58 | ||||||||||
|
Expenses
net of interest income*
|
(90.39 | ) | (88.38 | ) | (36.60 | ) | (37.04 | ) | ||||||||
|
Total
income (loss) from operations
|
(145.00 | ) | (134.12 | ) | (33.88 | ) | (35.46 | ) | ||||||||
|
Net
asset value per unit at December 31, 2009
|
$ | 1,425.20 | $ | 1,224.35 | $ | 966.12 | $ | 964.54 | ||||||||
|
Global
1 Class Units
|
Global
2 Class Units
|
Global
3 Class Units
|
||||||||||
|
Per
Unit Performance
(for
unit outstanding throughout the entire period):
|
||||||||||||
|
Net
asset value per unit at December 31, 2006
|
N/A | N/A | N/A | |||||||||
|
Income
(loss) from operations
|
||||||||||||
|
Net
realized and change in unrealized gain from trading
|
N/A | N/A | N/A | |||||||||
|
Expenses
net of interest income*
|
N/A | N/A | N/A | |||||||||
|
Total
income (loss) from operations
|
N/A | N/A | N/A | |||||||||
|
Organization
and offering costs*
|
N/A | N/A | N/A | |||||||||
|
Net
asset value per unit at December 31, 2007
|
N/A | N/A | N/A | |||||||||
|
Income
(loss) from operations
|
||||||||||||
|
Net
realized and change in unrealized gain from trading
|
N/A | N/A | N/A | |||||||||
|
Expenses
net of interest income*
|
N/A | N/A | N/A | |||||||||
|
Total
income (loss) from operations
|
N/A | N/A | N/A | |||||||||
|
Organization
and offering costs*
|
N/A | N/A | N/A | |||||||||
|
Net
asset value per unit at December 31, 2008**
|
$ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||
|
Income
(loss) from operations
|
||||||||||||
|
Net
realized and change in unrealized gain (loss) from trading
|
(10.96 | ) | (13.73 | ) | (14.17 | ) | ||||||
|
Expenses
net of interest income*
|
(32.22 | ) | (32.67 | ) | (46.19 | ) | ||||||
|
Total
income (loss) from operations
|
(43.18 | ) | (46.40 | ) | (60.36 | ) | ||||||
|
Net
asset value per unit at December 31, 2009
|
$ | 956.82 | $ | 953.60 | $ | 939.64 | ||||||
_______________
* Expenses
net of interest income per unit and organization and offering costs per unit are
calculated by dividing the expenses net of interest income and organization and
offering costs by the average number of units outstanding during the
period. The net realized and change in unrealized gain from trading
is a balancing amount necessary to reconcile the change in net asset value per
unit with the other per unit information.
** Legacy 1 Class, Legacy 2 Class, Global
1 Class, Global 2 Class and Global 3 Class units began trading April 1,
2009.
Grant
Park Futures Fund Limited Partnership
Notes
to Consolidated Financial Statements
NOTE
9. TRADING ACTIVITIES AND RELATED RISKS
The
Partnership, through its Advisors, engages in the speculative trading of U.S.
and foreign futures contracts, options on U.S. and foreign futures contracts,
and forward contracts (collectively, derivatives). These derivatives
include both financial and nonfinancial contracts held as part of a diversified
trading strategy. The Partnership is exposed to both market risk, the
risk arising from changes in the market value of the contracts; and credit risk,
the risk of failure by another party to perform according to the terms of a
contract.
The
purchase and sale of futures and options on futures contracts require margin
deposits with FCMs. Additional deposits may be necessary for any loss on
contract value. The Commodity Exchange Act requires an FCM to
segregate all customer transactions and assets from the FCM’s proprietary
activities. A customer’s cash and other property (for example, U.S.
Treasury bills) deposited with an FCM are considered commingled with all other
customer funds subject to the FCM’s segregation requirements. In the
event of an FCM’s insolvency, recovery may be limited to a pro rata share of
segregated funds available. It is possible that the recovered amount
could be less than the total of cash and other property deposited.
Net
trading results from derivatives for the years ended December 31, 2009,
2008 and 2007, are reflected in the statements of operations. Such
trading results reflect the net gain arising from the Partnership’s speculative
trading of futures contracts, options on futures contract, and forward
contracts.
For
derivatives, risks arise from changes in the market value of the
contracts. Theoretically, the Partnership is exposed to a market risk
equal to the value of futures and forward contracts purchased and unlimited
liability on such contracts sold short. As both a buyer and seller of
options, the Partnership pays or receives a premium at the outset and then bears
the risk of unfavorable changes in the price of the contract underlying the
option. Written options expose the Partnership to potentially
unlimited liability; for purchased options the risk of loss is limited to the
premiums paid.
In
addition to market risk, in entering into commodity interest contracts there is
a credit risk that a counterparty will not be able to meet its obligations to
the Partnership. The counterparty for futures and options on futures
contracts traded in the United States and on most non-U.S. futures exchanges is
the clearinghouse associated with such exchange. In general,
clearinghouses are backed by the corporate members of the clearinghouse who are
required to share any financial burden resulting from the nonperformance by one
of their members and, as such, should significantly reduce this credit
risk. In cases where the clearinghouse is not backed by the clearing
members, like some non-U.S. exchanges, it is normally backed by a consortium of
banks or other financial institutions.
In the
case of forward contracts, over-the-counter options contracts or swap contracts,
which are traded on the interbank or other institutional market rather than on
exchanges, the counterparty is generally a single bank or other financial
institution, rather than a clearinghouse backed by a group of financial
institutions; thus, there likely will be greater counterparty credit
risk. The Partnership trades only with those counterparties that it
believes to be creditworthy. All positions of the Partnership are
valued each day on a mark-to-market basis. There can be no assurance
that any clearing member, clearinghouse or other counterparty will be able to
meet its obligations to the Partnership.
Grant
Park Futures Fund Limited Partnership
Notes
to Consolidated Financial Statements
The
unrealized gain (loss) on open futures, forward and option contracts is
comprised of the following:
|
Futures
Contracts
(exchange-traded)
|
Forward
Contracts
(non-exchange-traded)
|
|||||||||||||||
|
December 31,
2009
|
December 31,
2008
|
December 31,
2009
|
December 31,
2008
|
|||||||||||||
|
Gross
unrealized gains
|
$ | 51,128,960 | $ | 27,066,816 | $ | 6,513,328 | $ | 1,785,615 | ||||||||
|
Gross
unrealized (losses)
|
(37,656,493 | ) | (20,463,377 | ) | (5,971,274 | ) | (3,178,823 | ) | ||||||||
|
Net
unrealized gain (loss)
|
$ | 13,472,467 | $ | 6,603,439 | $ | 542,054 | $ | (1,393,208 | ) | |||||||
|
Option
Contracts
(exchange-traded)
|
Total
|
|||||||||||||||
|
December 31,
2009
|
December 31,
2008
|
December 31,
2009
|
December 31,
2008
|
|||||||||||||
|
Gross
unrealized gains
|
$ | 3,955 | $ | – | $ | 57,646,243 | $ | 28,852,431 | ||||||||
|
Gross
unrealized (losses)
|
(9,085 | ) | – | (43,636,852 | ) | (23,642,200 | ) | |||||||||
|
Net
unrealized gain (loss)
|
$ | (5,130 | ) | $ | – | $ | 14,009,391 | $ | 5,210,231 | |||||||
The
General Partner has established procedures to actively monitor and minimize
market and credit risks. The limited partners bear the risk of loss
only to the extent of the market value of their respective investments and, in
certain specific circumstances, distributions and redemptions
received.
NOTE
10. INDEMNIFICATIONS
In the
normal course of business, the Partnership enters into contracts and agreements
that contain a variety of representations and warranties and which provide
general indemnifications. The Partnership’s maximum exposure under
these arrangements is unknown, as this would involve future claims that may be
made against the Partnership that have not yet occurred. The
Partnership expects the risk of any future obligation under these
indemnifications to be remote.
NOTE
11. DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES
The Partnership adopted the provisions
of FASB ASC 815, Derivatives
and Hedging, effective January 1, 2009. FASB ASC 815 is
intended to improve transparency in financial reporting by requiring enhanced
disclosures of an entity’s derivative instruments and hedging activities and
their effects on the entity’s financial position, financial performance, and
cash flows. FASB ASC 815 applies to all derivative instruments within
the scope of FASB ASC 815-10-05. It also applies to non-derivative
hedging instruments and all hedged items designated and qualifying as hedges
under FASB ASC 815-10-05. FASB ASC 815 amends the current qualitative
and quantitative disclosure requirements for derivative instruments and hedging
activities set forth in FASB ASC 815-10-05 and generally increases the level of
disaggregation that will be required in an entity’s financial
statements. FASB ASC 815 requires qualitative disclosures about
objectives and strategies for using derivatives, quantitative disclosures about
fair value amounts of gains and losses on derivative instruments, and
disclosures about credit-risk related contingent features in derivative
agreements.
The
Partnership’s business is speculative trading. The Partnership does
not designate any derivative instruments as hedging instruments under FASB ASC
815-10-05. For the twelve months ended December 31, 2009, the
monthly average futures contracts, forward contracts and option contracts bought
and sold was approximately 3,015 and 2,981, respectively. The
following tables summarize the quantitative information required by FASB ASC
815:
Grant
Park Futures Fund Limited Partnership
Notes
to Consolidated Financial Statements
Fair
Values of Derivative Instruments
|
Asset
Derivatives* 12/31/2009
|
Liability
Derivatives* 12/31/2009
|
Fair
Value
|
Statement
of Financial Position Location
|
||||||||||
|
Currencies
contracts
|
$ |
9,791,450
|
$ |
(8,903,436
|
) | $ | 888,014 |
Unrealized
gain (loss) on open contracts, net
|
|||||
|
Energy
contracts
|
3,238,790
|
(2,385,037
|
) | 853,753 |
Unrealized
gain (loss) on open contracts, net
|
||||||||
|
Grains
contracts
|
1,318,059
|
(1,371,627 | ) | (53,568 | ) |
Unrealized
gain (loss) on open contracts, net
|
|||||||
|
Interest
rates contracts
|
3,716,428
|
(4,670,891 | ) | (954,463 | ) |
Unrealized
gain (loss) on open contracts, net
|
|||||||
|
Meats
contracts
|
465,512
|
(283,512
|
) | 182,000 |
Unrealized
gain (loss) on open contracts, net
|
||||||||
|
Metals
contracts
|
25,182,087
|
(19,533,404
|
) | 5,648,683 |
Unrealized
gain (loss) on open contracts, net
|
||||||||
|
Soft
commodities contracts
|
7,672,469
|
(5,352,643
|
) | 2,319,826 |
Unrealized
gain (loss) on open contracts, net
|
||||||||
|
Stock
indices contracts
|
6,261,448
|
(1,136,302
|
) | 5,125,146 |
Unrealized
gain (loss) on open contracts, net
|
||||||||
| $ |
$57,646,243
|
$ | (43,636,852 | ) | $ | 14,009,391 |
Unrealized
gain (loss) on open contracts,
net
|
||||||
|
*The
fair values of all asset and liability derivatives, including currencies,
energy, grains, interest rates, meats, metals, soft commodities and stock
indices contracts, are included in equity in broker trading accounts in
the consolidated statement of financial
condition.
|
The
Effect of Derivative Instruments on the Consolidated Statement of Operations for
the Year Ended
December 31,
2009
|
Type of contract
|
Location of Gain or Loss in Consolidated Statement
of Operations
|
Year Ended December 31,
2009
|
|||
|
Currencies
contracts
|
Realized
and Change in unrealized gains (losses) on trading
|
$ | (3,908,974 | ) | |
|
Energy
contracts
|
Realized
and Change in unrealized gains (losses) on trading
|
(27,770,298 | ) | ||
|
Grains
contracts
|
Realized
and Change in unrealized gains (losses) on trading
|
(4,428,202 | ) | ||
|
Interest
rates contracts
|
Realized
and Change in unrealized gains (losses) on trading
|
(33,040,510 | ) | ||
|
Meats
contracts
|
Realized
and Change in unrealized gains (losses) on trading
|
(729,433 | ) | ||
|
Metals
contracts
|
Realized
and Change in unrealized gains (losses) on trading
|
21,225,706 | |||
|
Softs
commodities contracts
|
Realized
and Change in unrealized gains (losses) on trading
|
3,968,216 | |||
|
Stock
indices contracts
|
Realized
and Change in unrealized gains (losses) on trading
|
27,490,646 | |||
|
Realized
and Change in unrealized gains (losses) on trading
|
$ | (17,192,849 | ) | ||
|
Line Item in Consolidated Statement of
Operations
|
Year Ended December 31,
2009
|
|||
|
Realized
|
$ | (26,368,046 | ) | |
|
Change
in unrealized
|
9,175,197 | |||
| $ | (17,192,849 | ) | ||
Grant
Park Futures Fund Limited Partnership
Notes
to Consolidated Financial Statements
NOTE
12. SUBSEQUENT EVENTS
Management
of the Partnership evaluated subsequent events through February 22, 2010,
the date these financial statements were issued. From January 1,
2010 to February 22, 2010, there were contributions and redemptions
totaling approximately $26,900,000 and $4,449,000 respectively.
Effective
January 1, 2010, Sunrise Capital Partners, LLC (“Sunrise”) began trading on
behalf of the Partnership and will serve as a commodity trading advisor with
respect to all outstanding classes of the Partnership’s
units. Sunrise will be allocated less than 10 percent of the
Partnership’s net assets to manage.
To the
Directors and Shareholders
Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio
Grand
Cayman, Cayman Islands
We have
audited the accompanying statements of financial condition, including the
condensed schedules of investments of Dearborn Select Master Fund, SPC – Winton
Segregated Portfolio (the “Company”), as of December 31, 2008 and 2007, and
the related statements of operations, changes in shareholders’ equity and cash
flows for the year ended December 31, 2008 and the period from June 1,
2007 (commencement of operations) through December 31,
2007. These financial statements are the responsibility of the
Company’s management. Our responsibility is to express an opinion on
these financial statements based on our audit.
We
conducted our audit in accordance with auditing standards generally accepted in
the United States of America. Those standards require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe
that our audit provides a reasonable basis for our opinion.
In our
opinion, the financial statements referred to above present fairly, in all
material respects, the financial position of Dearborn Select Master Fund, SPC –
Winton Segregated Portfolio as of December 31, 2008 and 2007, and the
results of its operations and its cash flows for the year ended
December 31, 2008 and the period from June 1, 2007 (commencement of
operations) through December 31, 2007 in conformity with accounting
principles generally accepted in the United States of America.
| /s/ McGladrey & Pullen, LLP | |
|
Chicago,
Illinois
March
4, 2009
|
McGladrey &
Pullen, LLP is a member firm of RSM International –
an
affiliation of separate and independent legal entities.
Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio
Statements of Financial
Condition
December 31,
2008 and 2007
|
Assets
|
2008
|
2007
|
||||||
|
Equity
in broker trading account:
|
||||||||
|
Cash
|
$ | 6,632,155 | $ | 7,377,530 | ||||
|
U.S.
Government securities, at fair value
|
2,998,799 | 12,469,108 | ||||||
|
Unrealized
gain on open futures contracts, net
|
1,958,960 | 1,250,392 | ||||||
|
Deposits
with broker
|
11,589,914 | 21,097,030 | ||||||
|
Cash
and cash equivalents
|
26,404,426 | 27,614,107 | ||||||
|
Certificates
of deposit, at fair value
|
3,728,731 | 20,270,349 | ||||||
|
Commercial
paper, at fair value
|
2,573,970 | 8,458,676 | ||||||
|
Government-sponsored
enterprises, at fair value
|
71,749,054 | 22,731,032 | ||||||
|
Interest
receivable
|
34,484 | 81,634 | ||||||
|
Total
assets
|
$ | 116,080,579 | $ | 100,252,828 | ||||
|
Liabilities
and Shareholders’ Equity
|
||||||||
|
Liabilities
|
||||||||
|
Brokerage
commission payable
|
$ | 327,555 | $ | 258,428 | ||||
|
Accrued
incentive fee
|
396,993 | 1,175,356 | ||||||
|
Management
fee payable
|
– | 1,948 | ||||||
|
Redemption
payable
|
115,343,975 | – | ||||||
|
Other
payables
|
12,056 | 28,100 | ||||||
|
Total
liabilities
|
116,080,579 | 1,463,832 | ||||||
|
Shareholders’
equity
|
||||||||
|
Class
GP
|
– | 98,629,036 | ||||||
|
Class
A
|
– | 159,960 | ||||||
|
Total
shareholders’ equity
|
– | 98,788,996 | ||||||
|
Total
liabilities and shareholders’ equity
|
$ | 116,080,579 | $ | 100,252,828 | ||||
The
accompanying notes are an integral part of these financial
statements.
Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio
December 31,
2008
(Expressed
in U.S. dollars)
|
Unrealized
gain/(loss) on open long contracts
|
Percent
of Shareholders’ Equity*
|
Unrealized
gain/(loss) on open short contracts
|
Percent
of Shareholders’ Equity*
|
Net
unrealized gain/(loss) on open
contracts
|
Percent
of Shareholders’ Equity*
|
|||||||||||||||||||
|
Futures
Contacts**
|
||||||||||||||||||||||||
|
UU.S.
Futures Positions:
|
||||||||||||||||||||||||
|
Currencies
|
$ | 198,481 | 0.2 | % | $ | (611,431 | ) | (0.5 | )% | $ | (412,950 | ) | (0.3 | )% | ||||||||||
|
Energy
|
─
|
*** | 40,428 | *** | 40,428 | *** | ||||||||||||||||||
|
Grains
|
─
|
*** | (539,362 | ) | (0.5 | )% | (539,362 | ) | (0.5 | )% | ||||||||||||||
|
Interest
rates
|
1,037,902 | 0.9 | % | – | *** | 1,037,902 | 0.9 | % | ||||||||||||||||
|
Meats
|
5,160 | *** | 25,800 | *** | 30,960 | *** | ||||||||||||||||||
|
Metals
|
─
|
*** | (60,808 | ) | (0.1 | )% | (60,808 | ) | (0.1 | )% | ||||||||||||||
|
Soft
commodities
|
2,290 | *** | 15,225 | *** | 17,515 | *** | ||||||||||||||||||
|
Stock
indices
|
(3,540 | ) | *** | (20,075 | ) | *** | (23,615 | ) | *** | |||||||||||||||
|
Total
U.S. Futures Positions
|
1,240,293 | (1,150,223 | ) | 90,070 | ||||||||||||||||||||
|
Foreign Futures Positions:
|
||||||||||||||||||||||||
|
Energy
|
$ | 12,585 | *** | $ | 17,810 | *** | $ | 30,395 | *** | |||||||||||||||
|
Grains
|
─
|
*** | (1,188 | ) | *** | (1,188 | ) | *** | ||||||||||||||||
|
Interest
rates
|
1,363,347 | 1.2 | % | (2,633 | ) | *** | 1,360,714 | 1.2 | % | |||||||||||||||
|
Metals
|
(71,206 | ) | (0.1 | )% | 528,609 | 0.5 | % | 457,403 | 0.4 | % | ||||||||||||||
|
Soft
commodities
|
45,705 | *** | 2,430 | *** | 48,135 | *** | ||||||||||||||||||
|
Stock
indices
|
─
|
*** | (26,569 | ) | *** | (26,569 | ) | *** | ||||||||||||||||
|
Total
Foreign Futures Positions
|
1,350,431 | 518,459 | 1,868,890 | |||||||||||||||||||||
|
Total
Futures Contracts
|
$ | 2,590,724 | 2.2 | % | $ | (631,764 | ) | (0.5 | )% | $ | 1,958,960 | 1.7 | % | |||||||||||
_______________
|
*
|
Represents
the percent of shareholders’ equity on December 31, 2008 before
redemption.
|
|
**
|
No
individual futures and option contract position constituted greater than 5
percent of shareholders’ equity. Accordingly, the number
of contracts and expiration dates are not
presented.
|
|
***
|
Represents
less than 0.1% of shareholders’
equity.
|
|
Certificates
of deposit
|
||||||||||||
|
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent
of Shareholders’
Equity*
|
||||||||
| $ | 3,000,000 |
5/1/2009
|
Comerica
Bank, 1 month LIBOR plus 15 basis points
|
$ | 3,005,296 | 2.6 | % | |||||
| 240,000 |
8/14/2009
|
Amcore
Bank, 3.5%
|
241,120 | 0.2 | % | |||||||
| 240,000 |
11/12/2009
|
Huntington
National Bank, 4.0%
|
241,250 | 0.2 | % | |||||||
| 240,000 |
11/17/2009
|
Mercantile
Bank of Michigan, 3.6%
|
241,065 | 0.2 | % | |||||||
|
Total
Certificates of deposit
|
$ | 3,728,731 | 3.2 | % | ||||||||
|
*
|
Represents
the percent of shareholders’ equity on December 31, 2008 before
redemption.
|
The
accompanying notes are an integral part of these financial
statements
Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio
Condensed
Schedule of Investments (continued)
December 31,
2008
(Expressed
in U.S. dollars)
|
Commercial
paper
|
||||||||||||
|
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent
of Shareholders’ Equity*
|
||||||||
| $ | 2,575,000 |
1/9/2009
|
Conoco
Phillips Co., 1.8%
|
$ | 2,573,970 | 2.2 | % | |||||
|
Total
Commercial paper
|
$ | 2,573,970 | ||||||||||
_______________
|
*
|
Represents
the percent of shareholders’ equity on December 31, 2008 before
redemption.
|
|
Government-sponsored
enterprises
|
||||||||||||
|
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent
of Shareholders’
Equity*
|
||||||||
| $ | 2,500,000 |
1/2/2009
|
Federal
Home Loan Bank, 3.8%
|
$ | 2,523,486 | 2.2 | % | |||||
| 2,500,000 |
1/2/2009
|
Federal
Farm Credit Bank, 3 month U.S. Treasury bill plus 82 basis points weekly
reset
|
2,507,651 | 2.2 | % | |||||||
| 2,000,000 |
1/14/2009
|
Federal
Home Loan Bank, 3 month LIBOR minus 20 basis points quarterly
reset
|
2,020,272 | 1.8 | % | |||||||
| 2,500,000 |
1/29/2009
|
Fannie
Mae Discount Note, 2.3%
|
2,495,625 | 2.2 | % | |||||||
| 2,000,000 |
2/24/2009
|
Freddie
Mac Discount Note, 2.6%
|
1,992,230 | 1.7 | % | |||||||
| 2,500,000 |
3/20/2009
|
Federal
Home Loan Bank Discount Note, 2.9%
|
2,484,833 | 2.2 | % | |||||||
| 2,000,000 |
4/1/2009
|
Farmer
Mac, 2.3%
|
2,010,930 | 1.7 | % | |||||||
| 2,000,000 |
4/7/2009
|
Freddie
Mac, 2.4%
|
2,011,228 | 1.7 | % | |||||||
| 2,500,000 |
4/15/2009
|
Federal
Home Loan Bank Discount Note, 3.0%
|
2,479,345 | 2.2 | % | |||||||
| 2,000,000 |
4/17/2009
|
Federal
Home Loan Discount Note, 3.2%
|
1,981,744 | 1.7 | % | |||||||
| 2,500,000 |
4/24/2009
|
Federal
Home Loan Bank, 1 month LIBOR minus 8 basis points monthly
reset
|
2,499,586 | 2.2 | % | |||||||
| 2,000,000 |
4/24/2009
|
Farmer
Mac, 2.3%
|
2,008,561 | 1.7 | % | |||||||
| 2,500,000 |
4/30/2009
|
Federal
Home Loan Bank 2.6%
|
2,511,120 | 2.2 | % | |||||||
| 2,500,000 |
4/27/2009
|
Federal
Home Loan Bank Discount Note, 2.8%
|
2,477,445 | 2.2 | % | |||||||
| 2,000,000 |
5/13/2009
|
Fannie
Mae Discount Note, 1.2%
|
1,991,200 | 1.7 | % | |||||||
| 2,500,000 |
5/11/2009
|
Federal
Home Loan Bank Discount Note, 3.0%
|
2,473,819 | 2.1 | % | |||||||
| 1,000,000 |
5/18/2009
|
Federal
Home Loan Bank, 1.7%
|
993,531 | 0.9 | % | |||||||
| 3,000,000 |
5/20/2009
|
Federal
Home Loan Bank, 3 month LIBOR minus 18 basis points quarterly
reset
|
3,006,806 | 2.6 | % | |||||||
| 2,000,000 |
5/20/2009
|
Federal
Home Loan Bank Discount Note, 1.4%
|
1,989,575 | 1.7 | % | |||||||
| 2,000,000 |
6/30/2009
|
Federal
Home Loan Bank, 3.0%
|
2,000,167 | 1.7 | % | |||||||
| 2,500,000 |
8/20/2009
|
Federal
Home Loan Bank, 3.1%
|
2,527,292 | 2.2 | % | |||||||
| 2,000,000 |
7/14/2009
|
Federal
Home Loan Bank, 3.2%
|
2,029,189 | 1.8 | % | |||||||
| 1,500,000 |
10/5/2009
|
Federal
Home Loan Bank, 3 month LIBOR minus 4 basis points quarterly
reset
|
1,518,666 | 1.3 | % | |||||||
| 2,500,000 |
10/19/2009
|
Freddie
Mac, 1 month LIBOR minus 6 basis points monthly reset
|
2,500,315 | 2.2 | % | |||||||
| 2,000,000 |
11/25/2009
|
Freddie
Mac, 2.1%
|
2,004,083 | 1.7 | % | |||||||
| 2,000,000 |
12/1/2009
|
Federal
Home Loan Bank, 2.0%
|
2,003,333 | 1.7 | % | |||||||
| 3,500,000 |
12/15/2009
|
Federal
Home Loan Bank, 1.8%
|
3,502,862 | 3.0 | % | |||||||
| 3,500,000 |
12/16/2009
|
Freddie
Mac, 1.9%
|
3,502,771 | 3.0 | % | |||||||
| 5,000,000 |
12/30/2009
|
Farmer
Mac, 1.0%
|
5,000,138 | 4.3 | % | |||||||
| 2,700,000 |
2/19/2010
|
Federal
Home Loan Bank, 3 month LIBOR minus 3.5 basis points
|
2,701,251 | 2.4 | % | |||||||
|
Total
Government-sponsored enterprises
|
$ | 71,749,054 | 62.2 | % | ||||||||
_______________
|
*
|
Represents
the percent of shareholders’ equity on December 31, 2008 before
redemption.
|
Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio
Condensed
Schedule of Investments (continued)
December 31,
2008
(Expressed
in U.S. dollars)
|
U.S.
Government Securities**
|
||||||||||||
|
Face Value
|
Maturity
Date
|
Description
|
Fair Value
|
Percent
of Shareholders’ Equity*
|
||||||||
| $ | 3,000,000 |
6/4/2009
|
U.S.
Treasury bills, 0.2% (cost $2,996,562)
|
$ | 2,998,799 | 2.6 | % | |||||
|
Total
U.S. Government Securities
|
$ | 2,998,799 | ||||||||||
_______________
* Represents
the percent of shareholders’ equity on December 31, 2008 before
redemption.
** Pledged
as collateral for the trading of futures, forward and option
contracts.
The
accompanying notes are an integral part of these financial
statements
Dearborn
Select Master Fund, SPC- Winton Segregated Portfolio
December 31,
2007
(Expressed
in U.S. dollars)
|
Unrealized
gain/(loss) on open long contracts
|
Percent
of Shareholders’ Equity
|
Unrealized
gain/(loss) on open short contracts
|
Percent
of Shareholders’ Equity
|
Net
unrealized gain/(loss) on open
contracts
|
Percent
of Shareholders’ Equity
|
|||||||||||||||||||
|
Futures
Contacts*
|
||||||||||||||||||||||||
|
U
U.S. Futures Positions:
|
||||||||||||||||||||||||
|
Currencies
|
$ | 77,274 | 0.1 | % | $ | (34,803 | ) | ** | $ | 42,471 | ** | |||||||||||||
|
Energy
|
339,275 | 0.3 | % | (72,290 | ) | (0.1 | )% | 266,985 | 0.3 | % | ||||||||||||||
|
Grains
|
1,015,644 | 1.0 | % | – | ** | 1,015,644 | 1.0 | % | ||||||||||||||||
|
Interest
rates
|
(102,891 | ) | (0.1 | )% | – | ** | (102,891 | ) | (0.1 | )% | ||||||||||||||
|
Meats
|
(13,028 | ) | ** | 32,560 | ** | 19,532 | ** | |||||||||||||||||
|
Metals
|
390,270 | 0.4 | % | – | ** | 390,270 | 0.4 | % | ||||||||||||||||
|
Soft
commodities
|
3,065 | ** | (170,296 | ) | (0.2 | )% | (167,231 | ) | (0.2 | )% | ||||||||||||||
|
Stock
indices
|
(123,104 | ) | (0.1 | )% | – | ** | (123,104 | ) | (0.1 | )% | ||||||||||||||
|
Total
U.S. Futures Positions
|
1,586,505 | (244,829 | ) | 1,341,676 | ||||||||||||||||||||
|
F
Foreign Futures Positions:
|
||||||||||||||||||||||||
|
Energy
|
$ | 170,530 | 0.2 | % | – | ** | 170,530 | 0.2 | % | |||||||||||||||
|
Interest
rates
|
(132,569 | ) | (0.1 | )% | (39,128 | ) | ** | (171,697 | ) | (0.2 | )% | |||||||||||||
|
Metals
|
(620,144 | ) | (0.6 | )% | 316,710 | 0.3 | % | (303,434 | ) | (0.3 | )% | |||||||||||||
|
Soft
commodities
|
3,420 | ** | (11,605 | ) | ** | (8,185 | ) | ** | ||||||||||||||||
|
Stock
indices
|
203,780 | 0.2 | % | 17,722 | ** | 221,502 | 0.2 | % | ||||||||||||||||
|
Total
Foreign Futures Positions
|
(374,983 | ) | 283,699 | (91,284 | ) | |||||||||||||||||||
|
Total
Futures Contracts
|
$ | 1,211,522 | 1.2 | % | $ | 38,870 | ** | $ | 1,250,392 | 1.3 | % | |||||||||||||
_______________
|
*
|
No
individual futures and option contract position constituted greater than 5
percent of shareholders’ equity. Accordingly, the number
of contracts and expiration dates are not
presented.
|
|
**
|
Represents
less than 0.1% of shareholders’
equity.
|
|
Certificates
of deposit
|
||||||||||||
|
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent
of Shareholders’
Equity
|
||||||||
| $ | 3,000,000 |
1/7/2008
|
Abbey
National Bank, 5.3%
|
$ | 3,079,506 | 3.1 | % | |||||
| 3,000,000 |
2/7/2008
|
Wilmington
Trust, 5.3%
|
3,064,435 | 3.1 | % | |||||||
| 2,500,000 |
4/28/2008
|
Comerica
Bank, 4.7%
|
2,521,868 | 2.5 | % | |||||||
| 5,000,000 |
6/5/2008
|
Associated
Bank, 3 month LIBOR less 4 basis points
|
5,019,162 | 5.1 | % | |||||||
| 1,500,000 |
6/20/2008
|
Washington
Mutual Bank, 5.4%
|
1,543,631 | 1.6 | % | |||||||
| 3,000,000 |
7/28/2008
|
Regions
Bank, 4.7%
|
3,026,158 | 3.1 | % | |||||||
| 2,000,000 |
11/3/2008
|
Marshall &
Ilsley Bank, 4.6%
|
2,015,589 | 2.0 | % | |||||||
|
Total
Certificates of deposit
|
$ | 20,270,349 | 20.5 | % | ||||||||
The
accompanying notes are an integral part of these financial
statements.
|
Dearborn
Select Master Fund, SPC – Winton Segregated
Portfolio
|
|
Condensed
Schedule of Investments
(Continued)
|
|
December 31,
2007
|
|
(Expressed
in U.S. dollars)
|
|
Commercial
paper
|
||||||||||||
|
Face Value
|
Maturity
Date
|
Description
|
Fair Value
|
Percent
of Shareholders’ Equity
|
||||||||
| $ | 2,000,000 |
1/10/2008
|
Progress
Energy Co., 5.5%
|
$ | 1,997,335 | 2.0 | % | |||||
| 3,500,000 |
2/8/2008
|
Zions
Banc Corp., 5.2%
|
3,481,491 | 3.5 | % | |||||||
| 3,000,000 |
2/22/2008
|
GE
Capital, 4.8%
|
2,979,850 | 3.0 | % | |||||||
|
Total
Commercial paper
|
$ | 8,458,676 | 8.5 | % | ||||||||
|
Government-sponsored
enterprises
|
||||||||||||
|
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent
of Shareholders’ Equity
|
||||||||
| $ | 2,000,000 |
6/15/2008
|
Fannie
Mae, 5.3%
|
$ | 2,004,289 | 2.0 | % | |||||
| 3,500,000 |
7/16/2008
|
Federal
Home Loan Bank, 5.3%
|
3,585,502 | 3.6 | % | |||||||
| 3,000,000 |
8/1/2008
|
Farmer
Mac, 5.3%
|
3,066,692 | 3.1 | % | |||||||
| 3,000,000 |
10/8/2008
|
Farmer
Mac, 4.7%
|
3,031,333 | 3.1 | % | |||||||
| 1,000,000 |
10/30/2008
|
Federal
Home Loan Bank, 4.5%
|
1,007,500 | 1.0 | % | |||||||
| 3,000,000 |
11/19/2008
|
Federal
Home Loan Bank, 4.6%
|
3,016,188 | 3.1 | % | |||||||
| 3,000,000 |
11/24/2008
|
Federal
Home Loan Bank, 1 year constant maturity plus 65 basis
points
|
3,002,328 | 3.1 | % | |||||||
| 2,000,000 |
11/28/2008
|
Federal
Home Loan Bank, 4.6%
|
2,008,342 | 2.0 | % | |||||||
| 2,000,000 |
12/1/2008
|
Federal
Home Loan Bank, 3 month LIBOR minus 23 basis points quarterly
reset
|
2,008,858 | 2.0 | % | |||||||
|
Total
Government-sponsored enterprises
|
$ | 22,731,032 | 23.0 | % | ||||||||
|
U.S.
Government Securities***
|
||||||||||||
|
Face Value
|
Maturity
Date
|
Description
|
Fair Value
|
Percent
of Shareholders’ Equity
|
||||||||
| $ | 12,500,000 |
1/31/2008
|
U.S.
Treasury bills, 2.7% (cost $12,466,751)
|
$ | 12,469,108 | 12.6 | % | |||||
|
Total
U.S. Government Securities
|
$ | 12,469,108 | ||||||||||
_______________
|
***
|
Pledged
as collateral for the trading of futures, forward and option
contracts.
|
The
accompanying notes are an integral part of these financial
statements.
Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio
Year
ended December 31, 2008 and the Period from June 1, 2007 (commencement
of operations) through December 31, 2007
(Expressed
in U.S. dollars)
|
2008
|
2007
|
|||||||
|
Investment
Income
|
||||||||
|
Interest
|
$ | 3,041,789 | $ | 2,547,579 | ||||
|
Expenses
|
||||||||
|
Brokerage
commissions
|
3,694,647 | 1,767,930 | ||||||
|
Management
fees
|
3,992 | 1,948 | ||||||
|
Incentive
fees
|
4,834,298 | 2,662,490 | ||||||
|
Total
Expenses
|
8,532,937 | 4,432,368 | ||||||
|
Net
investment loss
|
(5,491,148 | ) | (1,884,789 | ) | ||||
|
Trading
gains
|
||||||||
|
Realized
gains from trading
|
23,467,613 | 10,066,605 | ||||||
|
Change
in unrealized gains from trading
|
(1,250,392 | ) | 1,250,392 | |||||
|
Total
trading gains
|
22,217,221 | 11,316,997 | ||||||
|
Increase
in net assets arising from operations
|
$ | 16,726,073 | $ | 9,432,208 | ||||
The
accompanying notes are an integral part of these financial
statements.
Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio
Year
ended December 31, 2008 and the Period from June 1, 2007 (commencement
of operations) through December 31, 2007
(Expressed
in U.S. dollars)
|
2008
|
2007
|
|||||||
|
Cash
Flows Used In Operating Activities
|
||||||||
|
Increase
in net assets arising from operations
|
$ | 16,726,073 | $ | 9,432,208 | ||||
|
Adjustments
to reconcile net increase in net assets arising from operations to cash
used in operating activities
|
||||||||
|
Net
purchases of investments in U.S. Government securities
|
9,470,309 | (12,469,108 | ) | |||||
|
Net
change in unrealized gain on open futures contracts, net
|
(708,568 | ) | (1,250,392 | ) | ||||
|
Net
sales (purchases) of investments in Certificates of
deposit
|
16,541,618 | (20,270,349 | ) | |||||
|
Net
sales (purchases) of investments in Commercial paper
|
5,884,706 | (8,458,676 | ) | |||||
|
Net
purchases of investments in Government-sponsored
enterprises
|
(49,018,022 | ) | (22,731,032 | ) | ||||
|
Decrease
(Increase) in interest receivable
|
47,150 | (81,634 | ) | |||||
|
Increase
in brokerage commission payable
|
69,127 | 258,428 | ||||||
|
(Decrease)
Increase in accrued incentive fees
|
(778,363 | ) | 1,175,356 | |||||
|
(Decrease)
Increase in management fee payable
|
(1,948 | ) | 1,948 | |||||
|
Increase
in redemption payable
|
115,343,975 | – | ||||||
|
(Decrease)
Increase in other payables
|
(16,044 | ) | 28,100 | |||||
|
Net
cash used in operating activities
|
113,560,013 | (54,365,151 | ) | |||||
|
Cash
Flows Provided by Financing Activities
|
||||||||
|
Proceeds
from issuance of shares
|
– | 89,356,788 | ||||||
|
Payments
for redemptions of shares
|
(115,515,069 | ) | – | |||||
|
Net
cash provided by financing activities
|
(115,515,069 | ) | 89,356,788 | |||||
|
Net
increase (decrease) in cash and cash equivalents
|
(1,955,056 | ) | 34,991,637 | |||||
|
Cash
and cash equivalents
|
||||||||
|
Beginning
of year
|
34,991,637 | – | ||||||
|
End
of year
|
$ | 33,036,581 | $ | 34,991,637 | ||||
|
End
of year cash and cash equivalents consists of:
|
||||||||
|
Cash
in broker trading accounts
|
$ | 6,632,155 | $ | 7,377,530 | ||||
|
Cash
and cash equivalents
|
26,404,426 | 27,614,107 | ||||||
|
Total
end of year cash and cash equivalents
|
$ | 33,036,581 | $ | 34,991,637 | ||||
The
accompanying notes are an integral part of these financial
statements.
Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio
Year
ended December 31, 2008 and the Period from June 1, 2007 (commencement
of operations) through December 31, 2007
(Expressed
in U.S. dollars)
|
Class
GP
|
||||||||||||||||||||
|
|
Number
of Shares
|
Share
Capital
|
Share
Premium
|
Accumulated
Surplus/ (Deficit)
|
Class
GP Total
|
|||||||||||||||
|
Balance
– beginning *
|
— | $ | — | $ | — | $ | — | $ | — | |||||||||||
|
Proceeds
on subscription of shares
|
89,211.59 | 892 | 89,210,696 | — | 89,211,588 | |||||||||||||||
|
Payments
on redemption of shares
|
— | — | — | — | — | |||||||||||||||
|
Net
gain
|
— | — | — | 9,417,448 | 9,417,448 | |||||||||||||||
|
Balance
- December 31, 2007
|
89,211.59 | 892 | 89,210,696 | 9,417,448 | 98,629,036 | |||||||||||||||
|
Proceeds
on subscription of shares
|
— | |||||||||||||||||||
|
Payments
on redemption of shares
|
(89,211.59 | ) | (892 | ) | (89,210,696 | ) | (26,132,387 | ) | (115,343,975 | ) | ||||||||||
|
Net
gain
|
— | — | — | 16,714,939 | 16,714,939 | |||||||||||||||
|
Balance
- December 31, 2008
|
─
|
$ ─
|
$ ─
|
$ ─
|
$ ─
|
|||||||||||||||
|
Net
asset value per share at December 31, 2007
|
$ | 1,105.56 | ||||||||||||||||||
|
Net
asset value per share at December 31, 2008
|
$ ─
|
|||||||||||||||||||
|
Class
A
|
||||||||||||||||||||||||
|
|
Number
of Shares
|
Share
Capital
|
Share
Premium
|
Accumulated
Surplus/ (Deficit)
|
Class
A Total
|
Total
|
||||||||||||||||||
|
Balance
– beginning *
|
— | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
|
Proceeds
on subscription of shares
|
145.20 | 1 | 145,199 | — | 145,200 | 89,356,788 | ||||||||||||||||||
|
Payments
on redemption of shares
|
— | — | — | — | — | |||||||||||||||||||
|
Net
gain
|
— | — | — | 14,760 | 14,760 | 9,432,208 | ||||||||||||||||||
|
Balance
- December 31, 2007
|
145.20 | 1 | 145,199 | 14,760 | 159,960 | $ | 98,788,996 | |||||||||||||||||
|
Proceeds
on subscription of shares
|
— | |||||||||||||||||||||||
|
Payments
on redemption of shares
|
(145.20 | ) | (1 | ) | (145,199 | ) | (25,894 | ) | (171,094 | ) | (115,515,069 | ) | ||||||||||||
|
Net
gain
|
— | — | — | 11,134 | 11,134 | 16,726,073 | ||||||||||||||||||
|
Balance
- December 31, 2008
|
─
|
$ ─
|
$ ─
|
$ ─
|
$ ─
|
$ ─
|
||||||||||||||||||
|
Net
asset value per share at December 31, 2007
|
$ | 1,101.65 | ||||||||||||||||||||||
|
Net
asset value per share at December 31, 2008
|
$ ─
|
|||||||||||||||||||||||
_______________
*Commencement of operations of
Class GP was June 1, 2007 and Class A was August 1, 2007.
The
accompanying notes are an integral part of these financial
statements.
Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio
Notes to Financial Statements
NOTE
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Organization: Dearborn
Select Master Fund, SPC (the “Master Fund”) was formed in April 2006 and is
an exempt segregated portfolio company with limited liability incorporated under
the Companies Law (2004 Revision) of the Cayman Islands. The Master
Fund commenced operations on June 16, 2006. The Master Fund’s
strategy is to achieve capital appreciation of its assets through the investment
and speculative trading of futures contracts, options on futures contracts,
foreign currency and forward contracts, swaps and derivative contracts by
independent trading advisors.
The
Master Fund offers shares of various segregated portfolios, each of which may
use different investment trading methods and strategies as well as different
products. Dearborn Capital Management, L.L.C. (the “Investment
Manager”) serves as investment manager and manages the Master Fund’s assets
pursuant to its trading methods and strategies.
Winton
Segregated Portfolio is a segregated portfolio of the Master Fund and commenced
operations on June 1, 2007. At December 31, 2008 the Master
Fund had no shareholders. At December 31, 2007, Winton Segregated Portfolio
had two shareholders, Dearborn Select Fund, Limited Partnership (“Dearborn
Select”) and Grant Park Futures Fund Limited Partnership (“Grant
Park”).
The
Investment Manager allocated to the Winton Segregated Portfolio which traded in
accordance with Winton’s Diversified Program. The investment
technique of Winton’s Diversified Program consists of trading a portfolio of
more than 100 futures and forward contracts on major commodity exchanges and
forward markets worldwide, employing a computerized, technical, trend-following
trading system developed by its principals.
Significant
accounting policies are as follows:
Use of
estimates: The preparation of financial statements in
conformity with generally accepted accounting principles requires management to
make estimates and assumptions that affect the amounts of assets and liabilities
and disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those
estimates.
Cash and cash
equivalents: Cash and cash equivalents include cash and
short-term investments in interest-bearing demand deposits with banks with
maturities of three months or less. Winton Segregated Portfolio
maintains deposits with high quality financial institutions in amounts that are
in excess of federally insured limits; however, Winton Segregated Portfolio does
not believe it is exposed to any significant credit risk.
Revenue
recognition: Futures, options on futures, and forward
contracts are recorded on a trade date basis and realized gains or losses are
recognized when contracts are liquidated. Unrealized gains or losses
on open contracts (the difference between contract trade price and market price)
are reported in the statement of financial condition as a net unrealized gain or
loss, as there exists a right of offset of unrealized gains or losses in
accordance with Financial Accounting Standards Board (“FASB”) Interpretation
No. 39, Offsetting of
Amounts Related to Certain Contracts. Any change in net
unrealized gain or loss from the preceding period is reported in the statement
of operations.
Recently adopted accounting
pronouncements: In September 2006, the FASB issued
Statement of Financial Accounting Standards No. 157, Fair Value
Measurements (“SFAS No. 157”). SFAS No. 157
Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio
Notes to Financial
Statements
defines
fair value, establishes a framework for measuring fair value and expands
disclosures about fair value measurement and also emphasizes that fair value is
a market-based measurement, not an entity-specific measurement. SFAS
No. 157 is effective for fiscal years beginning after November 15,
2007, except for nonfinancial assets and nonfinancial liabilities that are
recognized or disclosed at fair value in the financial statements on a
nonrecurring basis for which delayed application is permitted until fiscal years
beginning after November 15, 2008. The adoption of SFAS
No. 157 was effective for Winton Segregated Portfolio on January 1,
2008, and did not impact Winton Segregated Portfolio’s financial position,
results of operations or cash flows.
SFAS
No. 157 defines fair value as the price that would be received to sell an
asset or paid to transfer a liability in an orderly transaction between market
participants at the measurement date and sets out a fair value
hierarchy. The fair value hierarchy gives the highest priority to
quoted prices in active markets for identical assets or liabilities (Level 1)
and the lowest priority to unobservable inputs (Level 3). Inputs are
broadly defined under SFAS 157 as assumptions market participants would use in
pricing an asset or liability. The three levels of the fair value hierarchy
under SFAS 157 are described below:
Level
1. Unadjusted quoted prices in active markets for identical assets or
liabilities that the reporting entity has the ability to access at the
measurement date.
Level
2. Inputs other than quoted prices within Level 1 that are observable
for the asset or liability, either directly or indirectly. A
significant adjustment to a Level 2 input could result in the Level 2
measurement becoming a Level 3 measurement.
Level
3. Inputs are unobservable for the asset or liability.
The
following section describes the valuation techniques used by Winton Segregated
Portfolio to measure different financial instruments at fair value and includes
the level within the fair value hierarchy in which the financial instrument is
categorized.
Fair
value of exchange-traded contracts is based upon exchange settlement
prices. U.S. Government securities, Government-sponsored enterprises
and commercial paper are stated at cost plus accrued interest, which
approximates fair value. These financial instruments are classified
in Level 1 of the fair value hierarchy.
Certificates
of deposit are stated at cost plus accrued interest, which approximates fair
value. These financial instruments are classified in Level 2 of the
fair value hierarchy.
The
following table presents Winton Segregated Portfolio’s fair value hierarchy for
those assets and liabilities measured at fair value on a recurring basis as of
December 31, 2008:
|
Assets
|
Level
1
|
Level
2
|
Level
3
|
Total
|
||||||||||||
|
Equity
in brokers’ trading accounts
|
||||||||||||||||
|
U.S.
Government securities
|
$ | 2,998,799 | $ | - | $ | - | $ | 2,998,799 | ||||||||
|
Futures
contracts
|
1,958,960 | - | - | 1,958,960 | ||||||||||||
|
Cash
and cash equivalents
|
||||||||||||||||
|
Certificates
of deposit
|
- | 12,456,183 | - | 12,456,183 | ||||||||||||
|
Commercial
paper
|
12,450,226 | - | - | 12,450,226 | ||||||||||||
|
Government-sponsored
enterprises
|
1,498,017 | - | - | 1,498,017 | ||||||||||||
|
Certificates
of deposit
|
- | 3,728,731 | - | 3,728,731 | ||||||||||||
|
Commercial
paper
|
2,573,970 | - | - | 2,573,970 | ||||||||||||
|
Government-sponsored
enterprises
|
71,749,054 | - | - | 71,749,054 | ||||||||||||
In
April 2007 the FASB issued Interpretation No. 39-1, Amendment of FASB
Interpretation No. 39 (“FIN 39-1”). FIN 39-1 defines “right of
setoff” and specifies what conditions must be met for a derivative contract to
qualify for this right of setoff. It also addresses the applicability of a
right of setoff to derivative instruments and clarifies the circumstances in
which it is appropriate to offset amounts recognized for multiple derivative
instruments executed with the same counterparty under a master netting
arrangement and fair value amounts recognized for the right to reclaim cash
collateral (a receivable) or the obligation to return cash collateral (a
payable) arising from the same master netting arrangement as the derivative
instruments. This interpretation is effective for fiscal years beginning
after November 15, 2007. The adoption of FIN 39-1 did not have a
material impact on Winton Segregated Portfolio’s financial
statements.
NOTE
2. COMMODITY TRADING ADVISOR
The
Master Fund has entered into an advisory contract for itself and on behalf of
the Winton Segregated Portfolio with Winton Capital Management (the “Advisor”)
to act as the Winton Segregated Portfolio’s commodity trading
advisor. The Investment Manager will pay the Advisor out of the
brokerage commission a management fee for the Advisor’s services to the Winton
Segregated Portfolio in accordance with the Offering Memorandum. The
brokerage commission fee is earned at a rate of 3.5% and is included on the
statement of operations.
Additionally,
the Advisor receives a quarterly incentive fee based upon a percentage of new
trading profits on the allocated net assets of the Advisor and such incentive
fee is included on the statement of operations.
NOTE
3. INCOME TAXES
Under the current law of the Cayman
Islands, there are no income, withholding, capital, corporation, inheritance or
estate taxes. The Winton Segregated Portfolio may not be exempt from
withholding tax on dividend and interest income received from its investments in
other jurisdictions.
NOTE
4. DEPOSITS WITH BROKER
Winton Segregated Portfolio deposits
assets with a broker subject to Commodity Futures Trading Commission (“CFTC”)
regulations and various exchange and broker requirements. Margin
requirements are satisfied by the deposit of U.S. treasury bills and cash with
such broker. Winton Segregated Portfolio earns interest income on its
assets deposited with the broker.
NOTE
5. SHAREHOLDER’S EQUITY
The
Master Fund has authorized share capital of $50,000, divided into 10 shares of
voting, non-participating shares (the “Management Shares”) having a par value of
$1 per share and 49,990 redeemable, non-voting participating shares (the
“Shares”) having a par value of $0.01 per share, which are divided into multiple
separate and distinct segregated portfolios. Each portfolio may have
differing investment or trading methods and strategies, and may be subject to
differing rights and obligations.
A
shareholder may redeem part of or all of his shares in the Master Fund on any
day on one business day’s notice. No redemption fees or penalties
will be assessed on redemptions. The Master Fund has the right to
temporarily suspend the right of redemption if it suspends the determination of
its net asset value (NAV) per share.
NOTE
6. REDEMPTIONS
The
Winton Segregated Portfolio Class A ceased operations on September 30, 2008
and the final redemption payment of $171,093 was made on November 13,
2008. The Winton Segregated Portfolio Class GP ceased operations on
December 31, 2008, and the redemption payable on the statement of financial
condition represents the net assets as of such date. Effective
January 1, 2009, the net assets were reallocated to GP 1, LLC, an
affiliated trading company of Grant Park.
NOTE
7. FINANCIAL HIGHLIGHTS
Per share operating performance, total
return and selected ratios for Class GP for the year ended December 31,
2008 and the period from June 1, 2007 through December 31, 2007, and
for Class A for the period from January 1, 2008 through September 30,
2008 and the period from August 1, 2007 through December 31, 2007, are
provided in the tables below. The ratios to average net assets have
not been annualized for the periods presented.
|
Winton Segregated Portfolio
|
||||||||
|
Class GP
|
Class A
|
|||||||
|
2007
|
||||||||
|
Total
return
|
10.56 | % | 10.17 | % | ||||
|
Ratios
to average net assets:
|
||||||||
|
Interest
income
|
2.73 | % | 1.93 | % | ||||
|
Expenses
prior to incentive fees
|
1.90 | % | 1.27 | % | ||||
|
Incentive
fees
|
2.85 | % | 2.57 | % | ||||
|
Total
expenses
|
4.75 | % | 3.84 | % | ||||
|
Net
investment income*
|
0.83 | % | 0.66 | % | ||||
|
2008
|
||||||||
|
Total
return
|
16.95 | % | 6.96 | % | ||||
|
Ratios
to average net assets:
|
||||||||
|
Interest
income
|
2.80 | % | 2.21 | % | ||||
|
Expenses
prior to incentive fees
|
3.40 | % | 2.28 | % | ||||
|
Incentive
fees
|
4.45 | % | 4.07 | % | ||||
|
Total
expenses
|
7.85 | % | 6.35 | % | ||||
|
Net
investment (loss)*
|
(0.60 | )% | (0.07 | )% | ||||
_______________
*Excludes
incentive fee.
The total
return is based on the change in value during the period of a theoretical
investment made at the beginning of each calendar month during the
year. An individual investor’s return may vary from these returns
based on participation in different management fee and incentive allocation
arrangements (as applicable) and the timing of capital
transactions.
|
Winton Segregated Portfolio
|
||||||||
|
Class
GP
|
Class
A
|
|||||||
|
Net
asset value per share – initial subscription*
|
$ | 1,000.00 | $ | 1,000.00 | ||||
|
Net
investment loss*
|
(21.09 | ) | (20.17 | ) | ||||
|
Net
realized and change in unrealized gain from trading*
|
126.65 | 121.82 | ||||||
|
Total
increase in net assets arising from operations
|
105.56 | 101.65 | ||||||
|
Net
asset value per share – December 31, 2007
|
$ | 1,105.56 | $ | 1,101.65 | ||||
|
Net
investment loss*
|
(61.47 | ) | (49.84 | ) | ||||
|
Net
realized and change in unrealized gain from trading*
|
(1,044.09 | ) | (1,051.81 | ) | ||||
|
Total
increase in net assets arising from operations
|
(1,105.56 | ) | (1,101.65 | ) | ||||
|
Net
asset value per share – December 31, 2007
|
$ | – | $ | – | ||||
_______________
*Commencement
of operations for Winton Segregated Portfolio Class GP was June 1, 2007 and
Class A was August 1, 2007.
The net
investment loss per share above is computed based on the average number of
shares outstanding during the period.
The
interest income, expenses prior to incentive fees, and net investment income
ratios are computed based upon the shareholders’ weighted average net assets for
the period from January 1, 2008 through December 31, 2008 and
June 1, 2007 (commencement of operations) through December, 31, 2007 for
Winton Segregated Portfolio Class GP and for the period from January 1,
2008 through September 30, 2008 and August 1, 2007 (commencement of
operations) through December 31, 2007 for Winton Segregated Portfolio Class
A.
NOTE
8. TRADING ACTIVITIES AND RELATED RISKS
The
Winton Segregated Portfolio, through the Advisor, engages in the speculative
trading of futures contracts, options on futures contracts, and forward
contracts, swaps, derivatives and synthetics. These derivatives
include both financial and nonfinancial contracts held as part of a diversified
trading strategy. The Winton Segregated Portfolio is exposed to both
market risk, the risk arising from changes in the market value of the contracts;
and credit risk, the risk of failure by another party to perform according to
the terms of a contract.
The
purchase and sale of futures and options on futures contracts require margin
deposits with futures commission merchants (FCMs). Additional deposits may
be necessary for any loss on contract value. The Commodity Exchange
Act requires an FCM to segregate all customer transactions and assets from the
FCM’s proprietary activities. A customer’s cash and other property
(for example, U.S. Treasury bills) deposited with an FCM are considered
commingled with all other customer funds subject to the FCM’s segregation
requirements. In the event of an FCM’s insolvency, recovery may be
limited to a pro rata share of segregated funds available. It is
possible that the recovered amount could be less than the total of cash and
other property deposited.
Net
trading results from derivatives for the period from January 1, 2008
through December 31, 2008 and June 1, 2007 (commencement of
operations) through December 31, 2007 for the Winton Segregated Portfolio
Class GP and for the period from January 1, 2008 through September 20,
2008 and June 1, 2007 (commencement of operations) through
December 31, 2007 for the Winton Segregated Portfolio Class A are reflected
in the statement of operations. Such trading results reflect the net
gain arising from the Winton Segregated Portfolio’s speculative trading of
futures contracts and options on futures contracts.
For
derivatives, risks arise from changes in the market value of the
contracts. Theoretically, the Winton Segregated Portfolio is exposed
to a market risk equal to the value of futures and forward contracts purchased
and unlimited liability on such contracts sold short. As both a buyer
and seller of options, the Winton Segregated Portfolio pays or receives a
premium at the outset and then bears the risk of unfavorable changes in the
price of the contract underlying the option. Written options expose
the Winton Segregated Portfolio to potentially unlimited liability; for
purchased options the risk of loss is limited to the premiums paid.
In
addition to market risk, in entering into commodity interest contracts there is
a credit risk that a counterparty will not be able to meet its obligations to
the Winton Segregated Portfolio. The counterparty for futures and
options on futures contracts traded in the United States and on most non-U.S.
futures exchanges is the clearinghouse associated with such
exchange. In general, clearinghouses are backed by the corporate
members of the clearinghouse who are required to share any financial burden
resulting from the nonperformance by one of their members and, as such, should
significantly reduce this credit risk. In cases where the
clearinghouse is not backed by the clearing members, like some non-U.S.
exchanges, it is normally backed by a consortium of banks or other financial
institutions. In the case of forward contracts, over-the-counter
options contracts or swap contracts, which are traded on the interbank or other
institutional market rather than on exchanges, the counterparty is generally a
single bank or other financial institution, rather than a clearinghouse backed
by a group of financial institutions; thus, there likely will be greater
counterparty credit risk. The Winton Segregated Portfolio trades only
with those counterparties that it believes to be creditworthy. All
positions of the Winton Segregated Portfolio are valued each day on a
mark-to-market basis. There can be no assurance that any clearing
member, clearinghouse or other counterparty will be able to meet its obligations
to the Winton Segregated Portfolio.
The
unrealized gain (loss) on open futures and option contracts is comprised of the
following:
|
Futures
Contracts
(exchange-traded)
|
Futures
Contracts
(exchange-traded)
|
Total
|
Total
|
|||||||||||||
|
December 31,
2008
|
December 31,
2007
|
December 31,
2008
|
December 31,
2007
|
|||||||||||||
|
Gross
unrealized gains
|
$ | 3,676,858 | $ | 3,499,330 | $ | 3,676,858 | $ | 3,499,330 | ||||||||
|
Gross
unrealized (losses)
|
(1,717,898 | ) | (2,248,938 | ) | (1,717,898 | ) | (2,248,938 | ) | ||||||||
|
Net
unrealized gain
|
$ | 1,958,960 | $ | 1,250,392 | $ | 1,958,960 | $ | 1,250,392 | ||||||||
The
Investment Manager has established procedures to actively monitor and minimize
market and credit risks. The shareholder bears the risk of loss only
to the extent of the market value of his investments and, in certain specific
circumstances, distributions and redemptions received.
NOTE
9. INDEMNIFICATIONS
In the
normal course of business, the Master Fund and the Winton Segregated Portfolio
enter into contracts and agreements that contain a variety of representations
and warranties and which provide general indemnifications. The Master
Fund and the Winton Segregated Portfolio’s maximum exposure under these
arrangements is unknown, as this would involve future claims that may be made
against the Master Fund and the Winton Segregated Portfolio that have not yet
occurred. The Master Fund and the Winton Segregated Portfolio expect
the risk of any future obligation under these indemnifications to be
remote.
Pursuant
to the requirements of Section 13 or 15(d) of the Securities Exchange Act
of 1934, the registrant has duly caused this report to be signed on its behalf
by the undersigned, thereunto duly authorized, in the City of Chicago, State of
Illinois on the 22nd day of
February, 2010.
| GRANT PARK FUTURES FUND LIMITED PARTNERSHIP | |||
|
By:
|
Dearborn Capital Management, L.L.C. | ||
| its general partner | |||
|
|
By:
|
/s/David M. Kavanagh | |
| David M. Kavanagh | |||
| President | |||
POWER
OF ATTORNEY
KNOW ALL
PERSONS BY THESE PRESENTS, that each person whose signature appears below hereby
constitutes and appoints David M. Kavanagh and Maureen O’Rourke, and each
of them, the true and lawful attorneys-in-fact and agents of the undersigned,
with full power of substitution and resubstitution, for and in the name, place
and stead of the undersigned, to sign any and all amendments to this Annual
Report on Form 10-K, and to file the same, with all exhibits thereto and
other documents in connection therewith, with the Securities and Exchange
Commission, and hereby grants to such attorneys-in-fact and agents, and each of
them, full power and authority to do and perform each and every act and thing
requisite and necessary to be done, as fully as to all intents and purposes as
each of the undersigned might or could do in person, hereby ratifying and
confirming all that said attorneys-in-fact and agents, or any of them, or their
or his substitutes, may lawfully do or cause to be done by virtue
hereof.
Pursuant
to the requirements of the Securities Exchange Act of 1934, this report has been
signed below by the following persons on behalf of the registrant and in the
capacities indicated on February 22,
2010.
|
Signature
|
Title
|
|||
|
/s/David
M. Kavanagh
|
President
(Principal Executive Officer)
|
|||
|
David
M. Kavanagh
|
|
|||
| /s/Maureen O’Rourke | Chief Financial Officer (Principal Financial and | |||
|
Maureen
O’Rourke
|
Accounting
Officer)
|
EXHIBIT INDEX
|
Exhibit
Number
|
Description of Document
|
|
3.1(1)
|
Third
Amended and Restated Limited Partnership Agreement of the
Registrant.
|
|
3.2(2)
|
Certificate
of Limited Partnership of the Registrant.
|
|
10.1(3)
|
Form
of Advisory Contract among the Registrant, Dearborn Capital Management,
L.L.C., the trading advisor and the trading company.
|
|
10.2(4)
|
Subscription
Agreement and Power of Attorney.
|
|
10.3(5)
|
Request
for Redemption Form.
|
|
10.4(3) |
Operating
Agreement of GP Cash Management, LLC. |
|
10.5(3) |
Form
of LLC operating agreement governing each Trading
Company. |
|
24.1
|
Power
of Attorney (included on signature page).
|
|
31.1
|
Certification
of Principal Executive Officer pursuant to Rule 13a-14(a) under the
Securities Exchange Act of 1934.
|
|
31.2
|
Certification
of Principal Financial Officer pursuant to Rule 13a-14(a) under the
Securities Exchange Act of 1934.
|
|
32.1
|
Certification
pursuant to 18 U.S.C. Section 1350, as adopted pursuant to
Section 906 of the Sarbanes-Oxley Act of
2002.
|
_______________
|
(1)
|
Included
as Appendix A to the prospectus which is part of the Registrant’s
Registration Statement on Form S-1 (File No. 333-153862)
and incorporated herein by
reference.
|
|
(2)
|
Filed
as an Exhibit to the Registrant’s Registration Statement on
Form S-1 (File No. 333-104317) and incorporated herein by
reference.
|
|
(3)
|
Filed
as an Exhibit to the Registrant’s Registration Statement on Form S-1
(File No. 333-153862) and incorporated herein by
reference.
|
|
(4)
|
Included
as Appendix B to the prospectus which is part of the Registrant’s
Registration Statement on Form S-1 (File No. 333-153862).
|
|
(5)
|
Included
as Appendix D to the prospectus which is part of the Registrant’s
Registration Statement on Form S-1 (File
No. 333-153862).
|