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EX-32.1 - EX-32.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPgpff-20160331ex3211a3c10.htm
EX-31.1 - EX-31.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPgpff-20160331ex311b84b0d.htm
EX-31.2 - EX-31.2 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPgpff-20160331ex312cda159.htm

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF

THE SECURITIES EXCHANGE ACT OF 1934

 

For the Quarterly Period Ended March 31, 2016

 

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

 

(I.R.S. Employer

incorporation or organization)

 

Identification Number)

 

 

 

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   No 

 

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   No 

 

 

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 comp any” in Rule 12b -2 of the Exchange Act. (Check one):

 

 

 

 

Large accelerated filer 

 

Accelerated filer 

 

 

 

Non accelerated filer 

 

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 

 

 

 

 


 

 


 

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

 

QUARTER ENDED MARCH 31, 2016

 

INDEX

 

PART I – FINANCIAL INFORMATION 

 

 

 

ITEM 1. 

Financial Statements

 

 

 

 

 

Consolidated Statements of Financial Condition as of March 31, 2016 (unaudited)
and December 31, 2015 (audited)

2

 

 

 

 

Consolidated Condensed Schedule of Investments as of March 31, 2016 (unaudited)

3

 

 

 

 

Consolidated Condensed Schedule of Investments as of December 31, 2015 (audited)

5

 

 

 

 

Consolidated Statements of Operations for the three months ended
March 31, 2016 and 2015 (Unaudited)

7

 

 

 

 

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)
for the three months ended March 31, 2016 and 2015 (unaudited)

8

 

 

 

 

Notes to Consolidated Financial Statements (unaudited)

10

 

 

 

ITEM 2. 

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

29

 

 

 

ITEM 3. 

Quantitative and Qualitative Disclosures About Market Risk

37

 

 

 

ITEM 4. 

Controls and Procedures

41

 

PART II – OTHER INFORMATION 

 

 

 

ITEM 1A.  

Risk Factors

43

 

 

 

ITEM 2.  

Unregistered Sales of Equity Securities and Use of Proceeds

43

 

 

 

ITEM 6.  

Exhibits

45

 

 

 

SIGNATURES 

46

CERTIFICATIONS

 

 

 


 

PART I - FINANCIAL INFORMATION

 

Item 1.  Financial Statements

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Financial Condition

 

 

 

 

 

 

 

 

 

 

    

March 31, 

    

December 31, 

 

 

 

2016

    

2015

 

 

 

 

(Unaudited)

 

 

 

 

Assets

 

 

 

 

 

 

 

Equity in brokers' trading accounts:

 

 

 

 

 

 

 

Cash

 

$

35,910,146

 

$

38,781,351

 

Net unrealized gain (loss) on open futures contracts

 

 

2,170,019

 

 

827,595

 

Net unrealized gain (loss) on open forward currency contracts

 

 

80,142

 

 

(240,659)

 

Net unrealized gain (loss) on open swap contracts

 

 

(1,893,713)

 

 

1,168,100

 

Total equity in brokers' trading accounts

 

 

36,266,594

 

 

40,536,387

 

Cash and cash equivalents

 

 

78,305,979

 

 

64,625,503

 

Securities owned, at fair value (cost $100,794,191 and $116,001,074, respectively)

 

 

101,090,570

 

 

116,297,654

 

Interest receivable, net

 

 

16,641

 

 

13,737

 

Total assets

 

$

215,679,784

 

$

221,473,281

 

Liabilities and Partners' Capital (Net Asset Value)

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

Brokerage charge payable

 

$

1,105,825

 

$

1,158,521

 

Accrued incentive fees

 

 

254,511

 

 

674

 

Organization and offering costs payable

 

 

51,774

 

 

53,225

 

Accrued operating expenses

 

 

44,724

 

 

46,118

 

Redemptions payable to limited partners

 

 

5,104,483

 

 

6,479,904

 

Total liabilities

 

 

6,561,317

 

 

7,738,442

 

Partners' Capital (Net Asset Value)

 

 

 

 

 

 

 

General Partner

 

 

 

 

 

 

 

Class A (307.34 units outstanding at both March 31, 2016 and December 31, 2015)

 

 

349,700

 

 

335,868

 

Legacy 1 Class (1,025.00 units outstanding at both March 31, 2016 and December 31, 2015)

 

 

898,398

 

 

858,478

 

Legacy 2 Class (263.13 units outstanding at both March 31, 2016 and December 31, 2015)

 

 

226,277

 

 

216,344

 

Global 1 Class (1,372.89 units outstanding at both March 31, 2016 and December 31, 2015)

 

 

1,179,626

 

 

1,122,622

 

Global 2 Class (1,329.58 units outstanding at both March 31, 2016 and December 31, 2015)

 

 

1,122,017

 

 

1,067,693

 

 

 

 

 

 

 

 

 

Limited Partners

 

 

 

 

 

 

 

Class A (9,428.67 and 9,757.99 units outstanding at March 31, 2016 and December 31, 2015, respectively)

 

 

10,728,025

 

 

10,663,559

 

Class B (127,451.61 and 133,628.66 units outstanding at March 31, 2016 and December 31, 2015, respectively)

 

 

119,783,163

 

 

120,817,860

 

Legacy 1 Class (1,137.45 and 1,262.14 units outstanding at March 31, 2016 and December 31, 2015, respectively)

 

 

996,959

 

 

1,057,091

 

Legacy 2 Class (453.96 and 515.52 units outstanding at March 31, 2016 and December 31, 2015, respectively)

 

 

390,376

 

 

423,853

 

Global 1 Class (23,020.54 and 22,503.69 units outstanding at March 31, 2016 and December 31, 2015, respectively)

 

 

19,779,833

 

 

18,401,384

 

Global 2 Class (3,104.15 and 3,493.52 units outstanding at March 31, 2016 and December 31, 2015, respectively)

 

 

2,619,556

 

 

2,805,404

 

Global 3 Class (68,319.49 and 78,419.57 units outstanding at March 31, 2016 and December 31,2015, respectively)

 

 

51,044,537

 

 

55,964,683

 

Total partners' capital (net asset value)

 

 

209,118,467

 

 

213,734,839

 

Total liabilities and partners' capital (net asset value)

 

$

215,679,784

 

$

221,473,281

 

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

2


 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

March 31, 2016

(Unaudited)

 

Futures, Forwards and Swap 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

 

$

380,074

 

0.18

%  

$

80,564

 

0.04

%  

$

460,638

 

0.22

%

Currencies

 

$

1,132,390

 

0.54

%  

$

(527,016)

 

(0.25)

%  

$

605,374

 

0.29

%

Energy

 

$

(69,351)

 

(0.04)

%  

$

33,636

 

0.02

%  

$

(35,715)

 

(0.02)

%

Interest rates

 

$

767,864

 

0.37

%  

$

(313,191)

 

(0.15)

%  

$

454,673

 

0.22

%

Meats

 

$

(72,674)

 

(0.04)

%  

$

(7,972)

 

0.00

%  

$

(80,646)

 

(0.04)

%

Metals

 

$

(53,342)

 

(0.03)

%  

$

(3,083)

 

0.00

%  

$

(56,425)

 

(0.03)

%

Soft commodities

 

$

(133,814)

 

(0.06)

%  

$

105,031

 

0.05

%  

$

(28,783)

 

(0.01)

%

Stock indices and single stock futures

 

$

1,080,234

 

0.52

%  

$

60,268

 

0.03

%  

$

1,140,502

 

0.55

%

Total U.S. Futures Positions

 

$

3,031,381

 

 

 

$

(571,763)

 

 

 

$

2,459,618

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

589

 

0.00

%  

$

1,144

 

0.00

%  

$

1,733

 

0.00

%

Energy

 

$

(27,630)

 

(0.01)

%  

$

(40,478)

 

(0.02)

%  

$

(68,108)

 

(0.03)

%

Interest rates

 

$

680,359

 

0.32

%  

$

(68,035)

 

(0.03)

%  

$

612,324

 

0.29

%

Metals

 

$

5,125

 

0.00

%  

$

(699,065)

 

(0.33)

%  

$

(693,940)

 

(0.33)

%

Soft commodities

 

$

(3,243)

 

0.00

%  

$

622

 

0.00

%  

$

(2,621)

 

0.00

%

Stock indices

 

$

27,327

 

0.01

%  

$

(166,314)

 

(0.08)

%  

$

(138,987)

 

(0.07)

%

Total Foreign Futures Positions

 

$

682,527

 

 

 

$

(972,126)

 

 

 

$

(289,599)

 

 

 

Total Futures Contracts

 

$

3,713,908

 

1.78

%  

$

(1,543,889)

 

(0.74)

%  

$

2,170,019

 

1.04

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

64,831

 

0.03

%  

$

15,311

 

0.01

%  

$

80,142

 

0.04

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date July 1, 2020

 

$

(1,893,713)

 

(0.91)

%  

$

 —

 

0.00

%  

$

(1,893,713)

 

(0.91)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$

1,885,026

 

0.90

%  

$

(1,528,578)

 

(0.73)

%  

$

356,448

 

0.17

%

*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.

3


 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2016

(Unaudited)

 

Securities owned

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Fair Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

38,500,000

 

4/20/2018-2/22/2019

 

Federal Farm Credit Banks, 1.1-1.4%

 

$

38,628,175

 

18.47

%

$

40,735,000

 

4/20/2018-12/28/2018

 

Federal Home Loan Banks, 1.1-1.5%

 

 

40,843,291

 

19.53

%

 

 

 

Total U.S. Government-sponsored enterprises (cost of $79,232,550)

 

 

 

$

79,471,466

 

38.00

%

 

U.S. Commercial paper

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Fair Value

    

Maturity Dates

    

Description

    

 

Fair Value

    

(net asset value)

 

$

3,500,000

 

6/21/2016

 

Sempra Global,  1.1%

 

$

3,491,731

 

1.67

%

$

3,564,000

 

7/8/2016-8/31/2016

 

Others,  1.0-1.1% **

 

 

3,551,648

 

1.70

%

 

 

 

Total U.S. Commercial paper (cost of $7,037,160)

 

 

 

$

7,043,379

 

3.37

%

 

U.S. Corporate bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Fair Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

2,000,000

 

2/1/2018

 

Wachovia Corp, 1.7%

 

$

2,163,660

 

1.03

%

$

12,284,000

 

9/21/2016-2/16/2018

 

Others,  1.2-1.8%  **

 

 

12,412,065

 

5.94

%

 

 

 

Total U.S. Corporate bonds (cost of $14,524,481)

 

 

 

$

14,575,725

 

6.97

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

Partners' Capital

 

 

    

Fair Value

    

(net asset value)

 

Total securities owned

 

$

101,090,570

 

48.34

%

 

** 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.

4


 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2015

Futures, Forward and Swap 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

 

$

(186,020)

 

(0.09)

%  

$

660,432

 

0.31

%  

$

474,412

 

0.22

%

Currencies

 

$

97,771

 

0.05

%  

$

1,000,158

 

0.46

%  

$

1,097,929

 

0.51

%

Energy

 

$

11,957

 

0.01

%  

$

(227,645)

 

(0.11)

%  

$

(215,688)

 

(0.10)

%

Interest rates

 

$

(407,958)

 

(0.19)

%  

$

78,618

 

0.04

%  

$

(329,340)

 

(0.15)

%

Meats

 

$

(860)

 

0.00

%  

$

(146,785)

 

(0.07)

%  

$

(147,645)

 

(0.07)

%

Metals

 

$

(29,400)

 

(0.01)

%  

$

156,442

 

0.07

%  

$

127,042

 

0.06

%

Soft commodities

 

$

(48,181)

 

(0.02)

%  

$

(129,485)

 

(0.06)

%  

$

(177,666)

 

(0.08)

%

Stock indices and single stock futures

 

$

(69,770)

 

(0.03)

%  

$

(42,987)

 

(0.02)

%  

$

(112,757)

 

(0.05)

%

Total U.S. Futures Positions

 

$

(632,461)

 

 

 

$

1,348,748

 

 

 

$

716,287

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

29,425

 

0.01

%  

$

12,799

 

0.01

%  

$

42,224

 

0.02

%

Energy

 

$

 -

 

0.00

%  

$

1,041,906

 

0.49

%  

$

1,041,906

 

0.49

%

Interest rates

 

$

(827,562)

 

(0.39)

%  

$

(108,667)

 

(0.05)

%  

$

(936,229)

 

(0.44)

%

Metals

 

$

(110,937)

 

(0.05)

%  

$

277,638

 

0.13

%  

$

166,701

 

0.08

%

Soft commodities

 

$

161

 

0.00

%  

$

5,103

 

0.00

%  

$

5,264

 

0.00

%

Stock indices

 

$

(10,771)

 

(0.01)

%  

$

(197,787)

 

(0.09)

%  

$

(208,558)

 

(0.10)

%

Total Foreign Futures Positions

 

$

(919,684)

 

 

 

$

1,030,992

 

 

 

$

111,308

 

 

 

Total Futures Contracts

 

$

(1,552,145)

 

(0.73)

%  

$

2,379,740

 

1.12

%  

$

827,595

 

0.39

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

7,642

 

0.00

%  

$

(248,301)

 

(0.12)

%  

$

(240,659)

 

(0.12)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date July 1, 2020

 

$

1,168,100

 

0.55

%  

$

 -

 

0.00

%  

$

1,168,100

 

0.55

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$

(376,403)

 

(0.18)

%  

$

2,131,439

 

1.00

%  

$

1,755,036

 

0.82

%

 

*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.

5


 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2015

 

Securities owned

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

38,500,000

 

4/20/2018-11/16/2018

 

Federal Farm Credit Banks, 1.1-1.4%

 

$

38,605,179

 

18.06

%

$

43,735,000

 

3/29/2018-12/28/2018

 

Federal Home Loan Banks, 1.1-1.5%

 

 

43,867,272

 

20.53

%

 

 

 

Total U.S. Government-sponsored enterprises (cost of $82,242,670)

 

 

 

$

82,472,451

 

38.59

%

 

U.S. Corporate bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

2,000,000

 

2/1/2018

 

Wachovia Corp, 1.7%

 

$

2,211,634

 

1.03

%

$

12,284,000

 

9/21/2016-2/16/2018

 

Others,  1.2-1.8%  **

 

 

12,431,794

 

5.82

%

 

 

 

Total U.S. Corporate bonds (cost of $14,599,766)

 

 

 

$

14,643,428

 

6.85

%

 

Commercial paper

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

 

Foreign Commercial paper

 

 

 

 

 

 

 

 

 

 

$

4,010,000

 

1/5/2016-2/1/2016

 

Foreign commercial paper,  0.5-0.8%  **

 

$

4,008,509

 

1.87

%

 

U.S. Commercial paper

 

 

 

 

 

 

 

 

 

 

$

4,000,000

 

1/13/2016

 

National Grid PLC,  0.5%

 

 

3,999,320

 

1.87

%

$

11,180,000

 

1/4/2016-3/18/2016

 

Others,  0.4-0.9% **

 

 

11,173,946

 

5.23

%

 

 

 

 

 

Total U.S. Commercial paper

 

$

15,173,266

 

7.10

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Commercial paper (cost of $19,158,638)

 

 

 

$

19,181,775

 

8.97

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

Partners' Capital

 

 

    

Fair Value

    

(net asset value)

 

Total securities owned

 

$

116,297,654

 

54.41

%

 

**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.

 

6


 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Operations

 

 

 

 

 

 

 

 

 

 

Three Months Ended

 

 

 

March 31, 

 

 

    

2016

    

2015

 

 

 

(Unaudited)

 

Net trading gains (losses)

 

 

 

 

 

 

 

Net gain (loss) from futures trading

 

 

 

 

 

 

 

Realized

 

$

14,610,964

 

$

21,735,994

 

Change in unrealized

 

 

1,342,424

 

 

(4,615,522)

 

Commissions

 

 

(817,715)

 

 

(1,146,241)

 

Net gains (losses) from futures trading

 

 

15,135,673

 

 

15,974,231

 

 

 

 

 

 

 

 

 

Net gain (loss) from forward trading

 

 

 

 

 

 

 

Realized

 

$

(116,827)

 

$

(43,760)

 

Change in unrealized

 

 

320,800

 

 

(257,589)

 

Commissions

 

 

(1,153)

 

 

(2,077)

 

Net gains (losses) from forward trading

 

 

202,820

 

 

(303,426)

 

 

 

 

 

 

 

 

 

Net gain (loss) from swap trading

 

 

 

 

 

 

 

Change in unrealized

 

$

(3,061,813)

 

$

 —

 

Net gains (losses) from swap trading

 

 

(3,061,813)

 

 

 —

 

 

 

 

 

 

 

 

 

Net trading gains (losses)

 

 

12,276,680

 

 

15,670,805

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

 

 

 

 

 

 

Income

 

 

 

 

 

 

 

Interest income

 

 

351,959

 

 

349,733

 

Expenses from operations

 

 

 

 

 

 

 

Brokerage charge

 

 

2,771,816

 

 

3,958,848

 

Incentive fees

 

 

262,738

 

 

2,854,760

 

Organizational and offering costs

 

 

160,777

 

 

221,638

 

Operating expenses

 

 

138,814

 

 

191,386

 

Total expenses

 

 

3,334,145

 

 

7,226,632

 

Net investment loss

 

$

(2,982,186)

 

$

(6,876,899)

 

Net income

 

$

9,294,494

 

$

8,793,906

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$

45.01

 

$

36.49

 

General Partner & Limited Partner Class B Units

 

$

35.70

 

$

28.80

 

General Partner & Limited Partner Legacy 1 Class Units

 

$

38.95

 

$

31.93

 

General Partner & Limited Partner Legacy 2 Class Units

 

$

37.75

 

$

30.89

 

General Partner & Limited Partner Global 1 Class Units

 

$

41.52

 

$

32.59

 

General Partner & Limited Partner Global 2 Class Units

 

$

40.86

 

$

31.55

 

General Partner & Limited Partner Global 3 Class Units

 

$

33.49

 

$

25.27

 

 

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

 

 

7


 

Grant Park Futures Fund Limited Partnership

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

Three Months Ended March 31, 2016

(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,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2015