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Table of Contents

 

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

x      QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

 

For the Quarterly Period Ended:  June 30, 2015

 

o         TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

 

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)

 

Illinois

 

36-3596839

(State or other jurisdiction of
incorporation or organization)

 

(I.R.S. Employer
Identification No.)

 

c/o Dearborn Capital Management, L.L.C.
555 West Jackson Boulevard, Suite 600
Chicago, Illinois 60661

(Address of principal executive offices, including zip code)

 

Registrant’s telephone number, including area code: (312) 756-4450

 

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 x  No o

 

Indicate by check mark whether the Registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data 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 x  No o

 

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 definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

 

Large accelerated filer o

 

Accelerated filer o

 

 

 

Non-accelerated filer x

 

Smaller reporting company o

 

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 o  No x

 

 

 



Table of Contents

 

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

 

QUARTER ENDED JUNE 30, 2015

 

INDEX

 

PART I - FINANCIAL INFORMATION

 

 

 

 

 

 

Item 1.

Financial Statements

 

 

 

 

 

 

 

Consolidated Statements of Financial Condition as of June 30, 2015 (unaudited) and December 31, 2014 (audited)

 

1

 

 

 

 

 

Consolidated Condensed Schedule of Investments as of June 30, 2015 (unaudited)

 

2

 

 

 

 

 

Consolidated Condensed Schedule of Investments as of December 31, 2014 (audited)

 

4

 

 

 

 

 

Consolidated Statements of Operations for the three and six months ended June 30, 2015 and 2014 (Unaudited)

 

6

 

 

 

 

 

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value) for the six months ended June 30, 2015 and 2014 (unaudited)

 

7

 

 

 

 

 

Notes to Consolidated Financial Statements (unaudited)

 

9

 

 

 

 

Item 2.

Management’s Discussion and Analysis of Financial Condition and Results of Operations

 

26

 

 

 

 

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

 

34

 

 

 

 

Item 4.

Controls and Procedures

 

38

 

 

 

 

PART II - OTHER INFORMATION

 

 

 

 

 

 

Item 1A.

Risk Factors

 

39

 

 

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

 

39

 

 

 

 

Item 6.

Exhibits

 

41

 

 

 

 

SIGNATURES

 

42

CERTIFICATIONS

 

 

 



Table of Contents

 

PART I - FINANCIAL INFORMATION

 

Item 1.  Financial Statements

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Financial Condition

 

 

 

June 30,

 

December 31,

 

 

 

2015

 

2014

 

 

 

(Unaudited)

 

 

 

Assets

 

 

 

 

 

Equity in brokers’ trading accounts:

 

 

 

 

 

Securities owned, at fair value (cost $9,498,839 and $12,393,731, respectively)

 

$

9,497,084

 

$

12,395,634

 

Cash

 

19,965,965

 

3,436,216

 

Net unrealized gain (loss) on open futures contracts

 

563,748

 

11,549,467

 

Total equity in brokers’ trading accounts

 

30,026,797

 

27,381,317

 

Cash and cash equivalents

 

132,639,188

 

173,204,949

 

Securities owned, at fair value (cost $98,566,765 and $111,958,454, respectively)

 

98,778,724

 

112,187,759

 

Net unrealized gain (loss) on open forward currency contracts

 

316,222

 

(181,222

)

Interest receivable, net

 

18,919

 

31,132

 

Total assets

 

$

261,779,850

 

$

312,623,935

 

Liabilities and Partners’ Capital (Net Asset Value)

 

 

 

 

 

Liabilities

 

 

 

 

 

Brokerage charge payable

 

$

1,372,095

 

$

1,679,754

 

Accrued incentive fees

 

12

 

5,188,240

 

Organization and offering costs payable

 

63,038

 

74,324

 

Accrued operating expenses

 

54,492

 

64,150

 

Pending limited partner additions

 

155,934

 

115,000

 

Redemptions payable to limited partners

 

3,183,907

 

6,973,279

 

Total liabilities

 

4,829,478

 

14,094,747

 

Partners’ Capital (Net Asset Value)

 

 

 

 

 

General Partner

 

 

 

 

 

Class A (307.34 units outstanding at both June 30, 2015 and December 31, 2014)

 

355,986

 

383,435

 

Legacy 1 Class (1,025.00 units outstanding at both June 30, 2015 and December 31, 2014)

 

899,516

 

958,529

 

Legacy 2 Class (263.13 units outstanding at both June 30, 2015 and December 31, 2014)

 

226,966

 

242,148

 

Global 1 Class (1,372.89 units outstanding at both June 30, 2015 and December 31, 2014)

 

1,178,276

 

1,253,774

 

Global 2 Class (1,329.58 units outstanding at both June 30, 2015 and December 31, 2014)

 

1,121,934

 

1,194,874

 

 

 

 

 

 

 

Limited Partners

 

 

 

 

 

Class A (11,784.52 and 12,125.34 units outstanding at June 30, 2015 and December 31, 2014, respectively)

 

13,649,552

 

15,127,238

 

Class B (147,775.78 and 155,869.84 units outstanding at June 30, 2015 and December 31, 2014, respectively)

 

142,075,531

 

161,924,013

 

Legacy 1 Class (1,674.26 and 1,802.74 units outstanding at June 30, 2015 and December 31, 2014, respectively)

 

1,469,290

 

1,685,836

 

Legacy 2 Class (555.75 and 724.42 units outstanding at June 30, 2015 and December 31, 2014, respectively)

 

479,364

 

666,651

 

Global 1 Class (20,933.66 and 9,206.57 units outstanding at June 30, 2015 and December 31, 2014, respectively)

 

17,966,166

 

8,407,766

 

Global 2 Class (4,821.67 and 5,196.84 units outstanding at June 30, 2015 and December 31, 2014, respectively)

 

4,068,646

 

4,670,326

 

Global 3 Class (97,107.17 and 125,561.73 units outstanding at June 30, 2015 and December 31, 2014, respectively)

 

73,459,145

 

102,014,598

 

Total partners’ capital (net asset value)

 

256,950,372

 

298,529,188

 

Total liabilities and partners’ capital (net asset value)

 

$

261,779,850

 

$

312,623,935

 

 

The accompanying notes are an integral part of these consolidated financial statements.

 

1



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

June 30, 2015

(Unaudited)

 

Futures and Forwards Contracts

 

 

 

Unrealized
gain/(loss) on
open long
contracts

 

Percent of
Partners’
Capital (Net
Asset Value)

 

Unrealized
gain/(loss) on
open short
contracts

 

Percent of
Partners’
Capital (Net
Asset Value)

 

Net unrealized
gain/(loss) on
open contracts

 

Percent of
Partners’
Capital (Net
Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

1,651,102

 

0.64

%

$

(676,375

)

(0.26

)%

$

974,727

 

0.38

%

Currencies

 

$

(154,607

)

(0.06

)%

$

185,933

 

0.07

%

$

31,326

 

0.01

%

Energy

 

$

(19,173

)

(0.01

)%

$

(46,740

)

(0.02

)%

$

(65,913

)

(0.03

)%

Interest rates

 

$

462,728

 

0.18

%

$

(12,242

)

(0.00

)%

$

450,486

 

0.18

%

Meats

 

$

(247,147

)

(0.10

)%

$

(11,499

)

(0.00

)%

$

(258,646

)

(0.10

)%

Metals

 

$

(13,327

)

(0.01

)%

$

639,125

 

0.25

%

$

625,798

 

0.24

%

Soft commodities

 

$

237,132

 

0.09

%

$

(141,591

)

(0.06

)%

$

95,541

 

0.03

%

Stock indices and single stock futures

 

$

(721,943

)

(0.28

)%

$

91,897

 

0.04

%

$

(630,046

)

(0.24

)%

Total U.S. Futures Positions

 

$

1,194,765

 

 

 

$

28,508

 

 

 

$

1,223,273

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

63,495

 

0.02

%

$

(16

)

(0.00

)%

$

63,479

 

0.02

%

Energy

 

$

(9,077

)

(0.00

)%

$

4,234

 

0.00

%

$

(4,843

)

(0.00

)%

Interest rates

 

$

125,232

 

0.05

%

$

3,964

 

0.00

%

$

129,196

 

0.05

%

Metals

 

$

(3,228,542

)

(1.25

)%

$

2,929,890

 

1.14

%

$

(298,652

)

(0.11

)%

Soft commodities

 

$

50,608

 

0.02

%

$

(4,922

)

(0.00

)%

$

45,686

 

0.02

%

Stock indices

 

$

(971,323

)

(0.38

)%

$

376,932

 

0.15

%

$

(594,391

)

(0.23

)%

Total Foreign Futures Positions

 

$

(3,969,607

)

 

 

$

3,310,082

 

 

 

$

(659,525

)

 

 

Total Futures Contracts

 

$

(2,774,842

)

(1.08

)%

$

3,338,590

 

1.30

%

$

563,748

 

0.22

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

(157,967

)

(0.06

)%

$

474,189

 

0.18

%

$

316,222

 

0.12

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures and Forward Contracts

 

$

(2,932,809

)

(1.14

)%

$

3,812,779

 

1.48

%

$

879,970

 

0.34

%

 


*  No individual futures and forward contract position constituted greater than 1 percent of partners’ capital (net asset value).  Accordingly, the number of contracts and expiration dates are not presented.

 

The accompanying notes are an integral part of these consolidated financial statements.

 

2



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

June 30, 2015

(Unaudited)

 

U.S. Government securities in brokers’ trading accounts**

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Date

 

Description

 

Fair Value

 

(net asset value)

 

$

9,500,000

 

12/17/2015

 

U.S. Treasury Bills, 0.1% (cost of $9,498,839)

 

$

9,497,084

 

3.70

%

 

Securities owned

 

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Dates

 

Description

 

Fair Value

 

(net asset value)

 

$

25,000,000

 

7/21/2017-6/18/2018

 

Federal Farm Credit Banks, 1.1-1.4%

 

$

25,068,486

 

9.76

%

$

54,000,000

 

8/25/2017-6/29/2018

 

Federal Home Loan Banks, 1.1-1.4%

 

54,126,507

 

21.06

%

$

2,500,000

 

12/22/2017

 

Federal Agricultural Mortgage Corp., 1.3%

 

2,500,837

 

0.97

%

Total U.S. Government-sponsored enterprises (cost of $81,496,517)

 

$

81,695,830

 

31.79

%

 

U.S. Commercial paper

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Date

 

Description

 

Fair Value

 

(net asset value)

 

$

4,800,000

 

8/18/2015

 

National Grid USA Service Company, Inc., 0.5%

 

$

4,797,120

 

1.87

%

$

3,250,000

 

9/14/2015

 

Xcel Energy, Inc., 0.4%

 

3,247,292

 

1.26

%

$

7,000,000

 

8/24/2015-10/30/2015

 

Others, 0.3-0.6% ***

 

6,992,673

 

2.72

%

Total U.S. Commercial paper (cost of $15,030,130)

 

$

15,037,085

 

5.85

%

 

Corporate Bonds

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Dates

 

Description

 

Fair Value

 

(net asset value)

 

$

2,000,000

 

10/1/2015

 

U.S. corporate bonds, 1.1% (cost of $2,040,118)

 

$

2,045,809

 

0.80

%

 

 

 

 

 

Percent of Partners’ Capital

 

 

 

Fair Value

 

(net asset value)

 

Total securities owned

 

$

98,778,724

 

38.44

%

 


**Pledged as collateral for the trading of futures and forward contracts.

*** No individual position constituted greater than 1 percent of partners’ capital (net asset value).

 

The accompanying notes are an integral part of these consolidated financial statements.

 

3



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2014

 

Futures and Forward Contracts

 

 

 

Unrealized
gain/(loss) on
open long
contracts

 

Percent of
Partners’ Capital
(Net Asset Value)

 

Unrealized
gain/(loss) on
open short
contracts

 

Percent of
Partners’
Capital (Net
Asset Value)

 

Net unrealized
gain/(loss) on
open contracts

 

Percent of
Partners’
Capital (Net
Asset Value)

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

(211,896

)

(0.07

)%

$

(18,577

)

(0.01

)%

$

(230,473

)

(0.08

)%

Currencies

 

$

52,169

 

0.02

%

$

1,925,431

 

0.64

%

$

1,977,600

 

0.66

%

Energy

 

$

(308,415

)

(0.10

)%

$

1,437,870

 

0.48

%

$

1,129,455

 

0.38

%

Interest rates

 

$

360,243

 

0.12

%

$

(58,553

)

(0.02

)%

$

301,690

 

0.10

%

Meats

 

$

(136,100

)

(0.05

)%

$

42,279

 

0.01

%

$

(93,821

)

(0.04

)%

Metals

 

$

(20,303

)

(0.01

)%

$

428,534

 

0.14

%

$

408,231

 

0.13

%

Soft commodities

 

$

(50,394

)

(0.01

)%

$

850,654

 

0.28

%

$

800,260

 

0.27

%

Stock indices and single stock futures

 

$

873,633

 

0.29

%

$

(76,935

)

(0.02

)%

$

796,698

 

0.27

%

Total U.S. Futures Positions

 

$

558,937

 

 

 

$

4,530,703

 

 

 

$

5,089,640

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

3,862

 

0.00

%

$

(962

)

(0.00

)%

$

2,900

 

0.00

%

Energy

 

$

1,536

 

0.00

%

$

1,641,340

 

0.55

%

$

1,642,876

 

0.55

%

Interest rates

 

$

4,365,656

 

1.46

%

$

(39,414

)

(0.01

)%

$

4,326,242

 

1.45

%

Metals

 

$

(1,449,798

)

(0.48

)%

$

1,267,292

 

0.42

%

$

(182,506

)

(0.06

)%

Soft commodities

 

$

12,861

 

0.00

%

$

7,155

 

0.00

%

$

20,016

 

0.00

%

Stock indices

 

$

728,296

 

0.24

%

$

(77,997

)

(0.02

)%

$

650,299

 

0.22

%

Total Foreign Futures Positions

 

$

3,662,413

 

 

 

$

2,797,414

 

 

 

$

6,459,827

 

 

 

Total Futures Contracts

 

$

4,221,350

 

1.41

%

$

7,328,117

 

2.46

%

$

11,549,467

 

3.87

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

357,025

 

0.12

%

$

(538,247

)

(0.18

)%

$

(181,222

)

(0.06

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures and Forward Contracts

 

$

4,578,375

 

1.53

%

$

6,789,870

 

2.28

%

$

11,368,245

 

3.81

%

 


*  No individual futures, forward, and options on futures and forward contract position constituted greater than 1 percent of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented.

 

The accompanying notes are an integral part of these consolidated financial statements.

 

4



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2014

 

U.S. Government securities in brokers’ trading accounts**

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Date

 

Description

 

Fair Value

 

(net asset value)

 

$

12,400,000

 

6/18/2015

 

U.S. Treasury Bills, 0.1% (cost of $12,393,731)

 

$

12,395,634

 

4.15

%

 

Securities owned

 

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Dates

 

Description

 

Fair Value

 

(net asset value)

 

$

20,000,000

 

7/21/2017-10/23/2017

 

Federal Farm Credit Banks, 1.1%

 

$

20,069,167

 

6.72

%

$

66,700,000

 

3/27/2017-12/19/2017

 

Federal Home Loan Banks, 1-1.3%

 

66,813,621

 

22.38

%

$

2,500,000

 

12/22/2017

 

Federal Agricultural Mortgage Corp., 1.3%

 

2,500,837

 

0.84

%

 

 

Total U.S. Government-sponsored enterprises (cost of $89,200,000)

 

$

89,383,625

 

29.94

%

 

Corporate Bonds

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Dates

 

Description

 

Fair Value

 

(net asset value)

 

$

1,542,000

 

2/3/2015

 

Foreign corporate bonds, 0.8%

 

$

1,553,227

 

0.52

%

$

10,283,000

 

1/15/2015-10/1/2015

 

U.S. corporate bonds, 0.7-1.1%

 

10,563,619

 

3.54

%

 

 

Total Corporate bonds (cost of $12,077,022) ***

 

$

12,116,846

 

4.06

%

 

Commercial paper

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Date

 

Description

 

Fair Value

 

(net asset value)

 

$

2,584,000

 

4/10/2015

 

Foreign commercial paper, 0.5%

 

$

2,580,625

 

0.86

%

$

8,110,000

 

2/6/2015-2/23/2015

 

U.S. commercial paper, 0.3-0.4%

 

8,106,663

 

2.72

%

 

 

Total Commercial paper (cost of $10,681,432) ***

 

$

10,687,288

 

3.58

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

 

 

 

 

 

 

Fair Value

 

(net asset value)

 

Total securities owned

 

 

 

$

112,187,759

 

37.58

%

 


**Pledged as collateral for the trading of futures and forward contracts.

*** No individual position constituted greater than 1 percent of partners’ capital (net asset value).

 

The accompanying notes are an integral part of these consolidated financial statements.

 

5


 


Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Operations

 

 

 

Three Months Ended

 

Six Months Ended

 

 

 

June 30,

 

June 30,

 

 

 

2015

 

2014

 

2015

 

2014

 

 

 

(Unaudited)

 

(Unaudited)

 

Net trading gains (losses)

 

 

 

 

 

 

 

 

 

Net gain (loss) from futures trading

 

 

 

 

 

 

 

 

 

Realized

 

$

(17,645,279

)

$

9,903,478

 

$

4,090,715

 

$

9,058,358

 

Change in unrealized

 

(6,370,198

)

4,390,846

 

(10,985,720

)

(14,261,858

)

Commissions

 

(1,029,936

)

(1,377,490

)

(2,178,254

)

(2,949,782

)

Net gains (losses) from futures trading

 

(25,045,413

)

12,916,834

 

(9,073,259

)

(8,153,282

)

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from forward trading

 

 

 

 

 

 

 

 

 

Realized

 

(1,034,277

)

(734,880

)

(1,078,037

)

(2,375,129

)

Change in unrealized

 

755,034

 

(472,975

)

497,445

 

(302,130

)

Net gains (losses) from forward trading

 

(279,243

)

(1,207,855

)

(580,592

)

(2,677,259

)

 

 

 

 

 

 

 

 

 

 

Net trading gains (losses)

 

$

(25,324,656

)

$

11,708,979

 

$

(9,653,851

)

$

(10,830,541

)

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

 

 

 

 

 

 

 

 

Income

 

 

 

 

 

 

 

 

 

Interest income

 

339,023

 

269,383

 

688,756

 

574,787

 

 

 

 

 

 

 

 

 

 

 

Expenses from operations

 

 

 

 

 

 

 

 

 

Brokerage charge

 

3,528,078

 

4,726,865

 

7,486,926

 

10,073,413

 

Incentive fees

 

(298,357

)

834,656

 

2,556,403

 

835,439

 

Organizational and offering costs

 

198,576

 

266,669

 

420,214

 

570,955

 

Operating expenses

 

171,656

 

229,582

 

363,042

 

491,631

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

3,599,953

 

6,057,772

 

10,826,585

 

11,971,438

 

 

 

 

 

 

 

 

 

 

 

Net investment loss

 

$

(3,260,930

)

$

(5,788,389

)

$

(10,137,829

)

$

(11,396,651

)

 

 

 

 

 

 

 

 

 

 

Net income (loss)

 

$

(28,585,586

)

$

5,920,590

 

$

(19,791,680

)

$

(22,227,192

)

 

 

 

 

 

 

 

 

 

 

Net income (loss) per unit (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period:

 

 

 

 

 

 

 

 

 

General Partner & Limited Partner Class A Units

 

$

(125.80

)

$

17.76

 

$

(89.31

)

$

(56.95

)

General Partner & Limited Partner Class B Units

 

$

(106.21

)

$

13.59

 

$

(77.41

)

$

(50.46

)

General Partner & Limited Partner Legacy 1 Class Units

 

$

(89.50

)

$

17.23

 

$

(57.57

)

$

(33.07

)

General Partner & Limited Partner Legacy 2 Class Units

 

$

(88.59

)

$

16.54

 

$

(57.70

)

$

(33.50

)

General Partner & Limited Partner Global 1 Class Units

 

$

(87.59

)

$

17.98

 

$

(55.00

)

$

(30.62

)

General Partner & Limited Partner Global 2 Class Units

 

$

(86.41

)

$

17.24

 

$

(54.86

)

$

(31.16

)

General Partner & Limited Partner Global 3 Class Units

 

$

(81.26

)

$

12.76

 

$

(55.99

)

$

(34.80

)

 

The accompanying notes are an integral part of these consolidated financial statements.

 

6


 


Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)

Six Months Ended June 30, 2015

(Unaudited)

 

 

 

Class A

 

Class B

 

Legacy 1 Class

 

Legacy 2 Class

 

 

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

 

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ capital, (net asset value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2014

 

307.34

 

$

383,435

 

12,125.34

 

$

15,127,238

 

 

$

 

155,869.84

 

$

161,924,013

 

1,025.00

 

$

958,529

 

1,802.74

 

$

1,685,836

 

263.13

 

$

242,148

 

724.42

 

$

666,651

 

Contributions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Redemptions

 

 

 

(340.82

)

(418,590

)

 

 

(8,094.06

)

(8,369,177

)

 

 

(128.48

)

(117,384

)

 

 

(168.67

)

(153,170

)

Net income (loss)

 

 

(27,449

)

 

(1,059,096

)

 

 

 

(11,479,305

)

 

(59,013

)

 

(99,162

)

 

(15,182

)

 

(34,117

)

Partners’ capital, (net asset value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2015

 

307.34

 

$

355,986

 

11,784.52

 

$

13,649,552

 

 

$

 

147,775.78

 

$

142,075,531

 

1,025.00

 

$

899,516

 

1,674.26

 

$

1,469,290

 

263.13

 

$

226,966

 

555.75

 

$

479,364

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2014

 

 

 

$

1,247.57

 

 

 

 

 

 

 

$

1,038.84

 

 

 

 

 

 

 

$

935.15

 

 

 

 

 

 

 

$

920.26

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2015

 

 

 

$

1,158.26

 

 

 

 

 

 

 

$

961.43

 

 

 

 

 

 

 

$

877.58

 

 

 

 

 

 

 

$

862.56

 

 

 

 

 

 

 

 

Global 1 Class

 

Global 2 Class

 

Global 3 Class

 

 

 

 

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

 

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Total

 

 

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ capital, (net asset value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2014

 

1,372.89

 

$

1,253,774

 

9,206.57

 

$

8,407,766

 

1,329.58

 

$

1,194,874

 

5,196.84

 

$

4,670,326

 

 

$

 

125,561.73

 

$

102,014,598

 

$

298,529,188

 

Contributions

 

 

 

14,680.28

 

13,586,569

 

 

 

 

 

 

 

1,698.43

 

1,403,003

 

14,989,572

 

Redemptions

 

 

 

(2,953.19

)

(2,680,801

)

 

 

(375.17

)

(335,356

)

 

 

(30,152.99

)

(24,702,230

)

(36,776,708

)

Net income (loss)

 

 

(75,498

)

 

(1,347,368

)

 

(72,940

)

 

(266,324

)

 

 

 

(5,256,226

)

(19,791,680

)

Partners’ capital, (net asset value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2015

 

1,372.89

 

$

1,178,276

 

20,933.66

 

$

17,966,166

 

1,329.58

 

$

1,121,934

 

4,821.67

 

$

4,068,646

 

 

$

 

97,107.17

 

$

73,459,145

 

$

256,950,372

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2014

 

 

 

$

913.24

 

 

 

 

 

 

 

$

898.69

 

 

 

 

 

 

 

$

812.47

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2015

 

 

 

$

858.24

 

 

 

 

 

 

 

$

843.83

 

 

 

 

 

 

 

$

756.48

 

 

 

 

 

 

 

 

The accompanying notes are an integral part of these consolidated financial statements.

 

7


 


Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value) (continued)

Six Months Ended June 30, 2014

(Unaudited)

 

 

 

Class A

 

Class B

 

Legacy 1 Class

 

Legacy 2 Class

 

 

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

 

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ capital, (net asset value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2013

 

763.99

 

$

893,603

 

17,492.46

 

$

20,460,216

 

 

$

 

222,772.45

 

$

218,187,750

 

1,025.00

 

$

882,283

 

3,313.23

 

$

2,851,909

 

1,000.00

 

$

847,762

 

5,130.96

 

$

4,349,828

 

Contributions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8.26

 

7,000

 

Redemptions

 

(456.65

)

(500,000

)

(3,637.11

)

(4,012,108

)

 

 

(42,956.71

)

(39,774,299

)

 

 

(940.42

)

(773,397

)

(736.87

)

(600,000

)

(3,454.51

)

(2,793,836

)

Net income (loss)

 

 

(51,619

)

 

(1,031,177

)

 

 

 

(11,371,774

)

 

(33,906

)

 

(114,574

)

 

(33,506

)

 

(191,210

)

Partners’ capital, (net asset value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2014

 

307.34

 

$

341,984

 

13,855.35

 

$

15,416,931

 

 

$

 

179,815.74

 

$

167,041,677

 

1,025.00

 

$

848,377

 

2,372.81

 

$

1,963,938

 

263.13

 

$

214,256

 

1,684.71

 

$

1,371,782

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2013

 

 

 

$

1,169.66

 

 

 

 

 

 

 

$

979.42

 

 

 

 

 

 

 

$

860.76

 

 

 

 

 

 

 

$

847.76

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2014

 

 

 

$

1,112.71

 

 

 

 

 

 

 

$

928.96

 

 

 

 

 

 

 

$

827.69

 

 

 

 

 

 

 

$

814.26

 

 

 

 

 

 

 

 

Global 1 Class

 

Global 2 Class

 

Global 3 Class

 

 

 

 

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

 

 

 

 

Number

 

 

 

Number