Attached files
| file | filename |
|---|---|
| 8-K - GRANT PARK FUTURES FUND LIMITED PARTNERSHIP | rrd324239.htm |
Grant Park Fund Weekly Commentary
For the Week Ended October 21, 2011
Current Month Rolling Performance* Rolling Risk Metrics* (Nov 2006 - Oct 2011)
|
Class |
Week ROR |
MTD |
YTD |
1 yr Ann ROR |
3 yr Ann ROR |
5 yr Ann |
10 yr Ann ROR |
Annualized ROR |
Annualized Standard Deviation |
Maximum |
Sharpe |
Sortino Ratio |
||
|
A |
0.6% |
-2.3% |
-10.4% |
-8.7% |
-4.1% |
3.3% |
3.8% |
3.3% |
12.5% |
-16.4% |
0.3 |
0.4 |
||
|
B** |
0.5% |
-2.3% |
-10.8% |
-9.2% |
-4.7% |
2.6% |
N/A |
2.6% |
12.5% |
-17.1% |
0.3 |
0.3 |
||
|
Legacy 1*** |
0.6% |
-2.1% |
-8.7% |
-6.7% |
N/A |
N/A |
N/A |
-2.5% |
11.2% |
-11.9% |
-0.2 |
-0.3 |
||
|
Legacy 2*** |
0.6% |
-2.2% |
-9.1% |
-7.2% |
N/A |
N/A |
N/A |
-2.9% |
11.2% |
-12.2% |
-0.2 |
-0.3 |
||
|
Global 1*** |
0.6% |
-2.0% |
-9.0% |
-7.7% |
N/A |
N/A |
N/A |
-4.2% |
10.5% |
-13.3% |
-0.4 |
-0.5 |
||
|
Global 2*** |
0.5% |
-2.0% |
-9.2% |
-8.0% |
N/A |
N/A |
N/A |
-4.5% |
10.4% |
-13.5% |
-0.4 |
-0.5 |
||
|
Global 3*** |
0.5% |
-2.1% |
-10.6% |
-9.6% |
N/A |
N/A |
N/A |
-6.3% |
10.4% |
-16.5% |
-0.6 |
-0.7 |
||
|
S&P 500 Total Return Index**** |
1.1% |
9.6% |
0.1% |
6.8% |
11.0% |
0.0% |
3.6% |
0.0% |
18.8% |
-50.9% |
0.1 |
0.0 |
||
|
Barclays Capital U.S. Long Gov Index**** |
-0.4% |
-4.5% |
21.1% |
15.1% |
12.5% |
9.3% |
7.5% |
9.3% |
12.7% |
-12.3% |
0.8 |
1.3 |
* Performance metrics are calculated using month-to-date performance estimates. All performance data is subject to verification.
** Units began trading in August 2003.
*** Units began trading in April 2009.
**** Index is unmanaged & is not available for direct investment. Please see Indices Overview (below) for more information. Weekly RORs are calculated using data acquired through Bloomberg.
|
Portfolio for A, B and Legacy units |
Portfolio for Global units |
||||||||||
|
Sector |
Sector |
Market |
Sector |
Market |
|||||||
|
Exposure |
Position |
Contract |
Exposure |
Position |
Exposure |
Position |
Contract |
Exposure |
Position |
||
|
COMMODITIES |
46% |
42% |
|||||||||
|
Energy |
13% |
Short |
Natural Gas |
3.5% |
Short |
13% |
Short |
Natural Gas |
3.3% |
Short |
|
|
Gas Oil |
2.3% |
Long |
Brent Crude Oil |
2.5% |
Long |
||||||
|
Grains/Foods |
17% |
Short |
Sugar |
2.9% |
Long |
14% |
Short |
Sugar |
2.5% |
Long |
|
|
Wheat |
2.5% |
Short |
Wheat |
2.3% |
Short |
||||||
|
Metals |
16% |
Short |
Copper |
4.7% |
Short |
15% |
Short |
Copper |
4.6% |
Short |
|
|
Aluminum |
4.1% |
Short |
Aluminum |
3.8% |
Short |
||||||
|
FINANCIALS |
54% |
58% |
|||||||||
|
Currencies |
24% |
Short $ |
Japanese Yen |
3.5% |
Long |
24% |
Short $ |
Japanese Yen |
3.6% |
Long |
|
|
British Pound |
1.3% |
Short |
British Pound |
1.3% |
Short |
||||||
|
Equities |
13% |
Long |
Nasdaq |
2.6% |
Long |
16% |
Long |
Nasdaq |
3.4% |
Long |
|
|
Hang Seng |
1.9% |
Short |
S&P 500 |
1.9% |
Long |
||||||
|
Fixed Income |
17% |
Long |
U.S. 2-Year Treasury Notes |
2.7% |
Long |
18% |
Long |
U.S. 2-Year Treasury Notes |
3.0% |
Long |
|
|
Bunds |
2.5% |
Long |
U.S. 5-Year Treasury Notes |
2.6% |
Long |
||||||
Market Commentary
(Largest price movements within each sector)|
Sector/Market |
|
|
Energy |
Crude oil prices registered modest profits as rallies in the U.S. equity markets prompted buying. Natural gas markets fell 2% due to selling by speculators forecasting an increase in U.S. inventories. Weak manufacturing data early also added to the decline in natural gas. |
|
Grains/Foods |
Wheat and corn prices moved higher as depressed inventories and weather concerns in the Midwest weighed on supply forecasts. Soybean prices fell nearly 5% following the release of data showing slow third-quarter growth in China, the world's largest soybean buyer. Sugar markets declined due to industry reports predicting global sugar output will outpace demand. |
|
Metals |
Gold and silver markets declined following news the French and German officials were nearing an agreement on a European rescue fund designed to aid the ailing Eurozone debt markets put pressure on safe haven demand. Base metals markets also fell, driven lower by fears concerning depressed demand from China following the recent release of weak Chinese growth data. |
|
Currencies |
The U.S. dollar declined against counterparts due to optimism surrounding the Eurozone debt markets and renewed speculation the Federal Reserve may impose further monetary easing to stimulate the sluggish U.S. economy. The Swiss franc strengthened on improved trade surplus data and strong consumer confidence data. In Asia, the Japanese yen moved higher as speculators believed the Bank of Japan would not intervene to devalue the currency in the near-term until the fate of the Eurozone debt markets becomes clearer. |
|
Equities |
North American equity markets finished higher, supported by bullish sentiment towards recent corporate earnings and optimism surrounding a new rescue deal in Europe. The Japanese Nikkei 225 Index posted losses due to liquidations caused by investors speculating that the strength in the yen would negatively affect Japan's export-dependent industries. |
|
Fixed Income |
U.S. debt markets rose as investors sought safe-haven investments due to uncertainty surrounding the outcome of this weekend's European summit. Reports showing weak U.S. housing data also played a role in driving fixed-income markets higher. |
Performance Chart
Barclays Capital U.S. Long Government Index (formerly Lehman Brothers U.S. Government Index: Long Subset):
A benchmark comprised of the Barclays Capital U.S. Treasury and U.S. Agency indices. The U.S. Long Government Index includes Treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than ten years) and U.S. agency debentures (publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government). The U.S. Government Index is a component of the Barclays Capital U.S. Government Index.Compounded Annualized Rate of Return (ROR): This is the geometric 12-month mean that assumes the same rate of return for each 12-month period to arrive at the equivalent compound growth rate reflected in the actual return data.
Standard and Poor's 500 Total Return Index (S&P 500 Index): A weighted index of the 500 stocks in the S&P 500 Index, which are chosen by Standard and Poor's based on industry representation, liquidity, and stability. The stocks in the S&P 500 Index are not the 500 largest companies; rather the index is designed to capture the returns of many different sectors of the U.S. economy. The total return calculation includes the price-plus-gross cash dividend return.
Risk Metrics Chart
Drawdown
: A drawdown is any losing period during an investment's performance history. It is defined as the percent retrenchment from an equity peak to an equity valley. Maximum drawdown is simply the largest percentage drawdown that has occurred during the specified time frame. Grant Park's drawdowns are computed based on month-end equity values.Sharpe Ratio: A return/risk measure defined as the average incremental return of an investment over the risk free rate.
Sortino Ratio: A ratio developed to differentiate between good and bad volatility. The calculation provides a risk-adjusted measure of performance without penalizing for upward price changes.
Standard Deviation: Measures the dispersal or uncertainty in a random variable (in this case, investment returns). It measures the degree of variation of returns around the mean, or average, return. The higher the volatility of the investment returns, the higher the standard deviation will be. For this reason, standard deviation is often used as a measure of investment risk.
ALL PERFORMANCE REPORTED IS NET OF FEES AND EXPENSES. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES A HIGH DEGREE OF RISK AND IS NOT SUITABLE FOR ALL INVESTORS. FUTURES TRADING INVOLVES A HIGH DEGREE OF RISK, INCLUDING LIQUIDITY RISKS, NO SECONDARY MARKET EXISTS, RESTRICTIONS ON REDEMPTIONS, AND THE RISK OF FOREIGN SECURITIES. THIS DOES NOT CONSTITUTE AN OFFER OF ANY SECURITY FOR SALE. OFFERING BY PROSPECTUS ONLY. INFORMATION IN THIS COMMENTARY IS DRAWN FROM VARIOUS SOURCES THAT ARE DEEMED TO BE RELIABLE. HOWEVER, THE INFORMATION IS NOT AUDITED BY DEARBORN CAPITAL. IN ADDITION, DEARBORN CAPITAL DRAWS UPON THIS INFORMATION TO MAKE ITS OWN ASSUMPTIONS WHICH COULD BE CONSIDERED DEARBORN CAPITAL'S OPINION. DEARBORN CAPITAL BELIEVES THAT ANY SUCH STATEMENTS OF OPINION HAVE A REASONABLE BASIS IN FACT.