GRANT PARK FUTURES FUND LIMITED PARTNERSHIP - FORM 8-K - EX-99.1 - WEEKLY COMMENTARY FOR THE WEEK ENDED DECEMBER 31, 2015

Attached files

file	filename
8-K - FORM 8-K - GRANT PARK FUTURES FUND LIMITED PARTNERSHIP	f8k_010516.htm

EXHIBIT 99.1

Grant Park Fund Weekly Commentary

For the Week Ended December 31, 2015

Current Month					Rolling Performance				Rolling Risk Metrics* (January 2011 – December 2015)
Class		Week ROR	MTD ROR	YTD ROR	1 yr Ann ROR	3 yr Ann ROR	5 yr Ann ROR	10 yr Ann ROR	Annualized ROR	Annualized Standard Deviation	Maximum Drawdown	Sharpe Ratio	Sortino Ratio
A		-0.1%	-5.7%	-12.4%	-12.4%	-3.5%	-6.0%	0.2%	-6.0%	10.2%	-28.7%	-0.6	-0.7
B**		-0.1%	-5.8%	-13.0%	-13.0%	-4.1%	-6.6%	-0.4%	-6.6%	10.2%	-30.8%	-0.6	-0.8
Legacy 1***		-0.1%	-5.5%	-10.5%	-10.5%	-1.5%	-4.0%	N/A	-4.0%	10.1%	-23.7%	-0.4	-0.5
Legacy 2***		-0.1%	-5.6%	-10.7%	-10.7%	-1.7%	-4.2%	N/A	-4.2%	10.1%	-24.4%	-0.4	-0.5
Global 1***		0.0%	-5.5%	-10.5%	-10.5%	-1.1%	-3.6%	N/A	-3.6%	9.9%	-21.9%	-0.3	-0.5
Global 2***		0.0%	-5.6%	-10.7%	-10.7%	-1.3%	-3.9%	N/A	-3.9%	9.9%	-22.4%	-0.3	-0.5
Global 3***		-0.1%	-5.7%	-12.2%	-12.2%	-2.9%	-5.5%	N/A	-5.5%	9.9%	-26.2%	-0.5	-0.7

S&P 500 Total Return Index****		-0.8%	-1.6%	1.4%	1.4%	15.1%	12.6%	7.3%	12.6%	11.7%	-16.3%	1.1	1.8
Barclays Capital U.S. Long Gov Index****		-0.7%	-0.1%	-1.2%	-1.2%	2.5%	7.6%	6.7%	7.6%	11.4%	-15.5%	0.7	1.2
*	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 Positions by Sectors and Markets (Two largest positions within each sector)

Portfolio for A, B and Legacy units

Portfolio for Global units

Sector

Market

Sector

Market

Exposure

Position

Contract

Exposure

Position

Exposure

Position

Contract

Exposure

Position

COMMODITIES

35%

Energy

15%

Short

Crude Oil

3.8%

Short

15%

Short

Crude Oil

3.9%

Short

Brent Crude Oil

3.5%

Short

Brent Crude Oil

3.6%

Short

Grains/Foods

Short

Corn

1.5%

Short

Corn

1.5%

Short

Soybean Meal

1.4%

Short

Soybean Meal

1.5%

Short

Metals

11%

Short

Gold

3.6%

Short

11%

Short

Gold

3.6%

Short

Copper

1.6%

Short

Copper

1.6%

Short

FINANCIALS

65%

Currencies

24%

Long $

Euro

4.7%

Short

24%

Long $

Euro

4.8%

Short

Canadian Dollar

3.6%

Short

Canadian Dollar

3.7%

Short

Equities

21%

Short

DJ Eurostoxx 50 Index

2.7%

Long

21%

Short

S&P 500

2.6%

Long

S&P 500

2.5%

Long

DJ Eurostoxx 50 Index

2.5%

Long

Fixed Income

20%

Long

Bunds

2.0%

Long

20%

Long

Bunds

2.0%

Long

Japanese Gov't Bonds

1.8%

Long

Japanese Gov't Bonds

1.9%

Long

Market Commentary (Largest price movements within each sector)

Sector/Market
Energy	Natural gas markets rallied over 15% as forecasts for colder weather in the U.S. strengthened demand. Crude oil markets finished lower due to elevated global supplies and concerns surrounding European and Chinese industrial demand.
Grains/Foods	Wheat markets moved higher as cold weather in key farming regions threatened future supplies. Corn markets declined in anticipation the easing of grain export limitations in Argentina will further add to ample global supplies. Sugar prices moved higher because of weak supply forecasts prompted by recent dry weather in India.
Metals	Precious metals markets declined due to strength in the U.S. dollar. Copper markets rallied to a six-week high following news several large Chinese copper manufacturers were reducing output in early 2016.
Currencies	The U.S. dollar and Japanese yen strengthened following declines in the U.S. stock markets and on increased demand for safe-haven assets.
Equities	U.S. equity markets fell due to concerns regarding fourth quarter earnings and on the uncertainty surrounding the impact of a stronger U.S. dollar on exports. Conversely, the German Dax index finished modestly higher in anticipation declines in the euro could boost key European export industries. Hong Kong’s Hang Seng Index fell over 1% on concerns regarding Chinese economic growth.
Fixed Income	U.S. fixed-income markets declined following weak demand during a Treasury auction. German Bund markets rallied due to beliefs the European Central Bank will continue to expand monetary stimulus and after steep declines in energy prices reduced inflation forecasts.

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.

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.

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP - FORM 8-K - EX-99.1 - WEEKLY COMMENTARY FOR THE WEEK ENDED DECEMBER 31, 2015 - January 5, 2016

Attached files

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP Reports