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EX-31.1 - EX-31.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPgpff-20160630ex3117e8fb0.htm
EX-32.1 - EX-32.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPgpff-20160630ex3218932f2.htm
EX-31.2 - EX-31.2 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPgpff-20160630ex3121daa5e.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 June 30, 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 JUNE 30, 2016

 

INDEX

 

PART I – FINANCIAL INFORMATION 

 

 

 

ITEM 1. 

Financial Statements

 

 

 

 

 

Consolidated Statements of Financial Condition as of June 30, 2016 (unaudited)
and December 31, 2015 (audited)

2

 

 

 

 

Consolidated Condensed Schedule of Investments as of June 30, 2016 (unaudited)

3

 

 

 

 

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

5

 

 

 

 

Consolidated Statements of Operations for the three and six months ended
June 30, 2016 and 2015 (Unaudited)

7

 

 

 

 

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

31

 

 

 

ITEM 3. 

Quantitative and Qualitative Disclosures About Market Risk

42

 

 

 

ITEM 4. 

Controls and Procedures

47

 

PART II – OTHER INFORMATION 

 

 

 

ITEM 1A.  

Risk Factors

48

 

 

 

ITEM 2.  

Unregistered Sales of Equity Securities and Use of Proceeds

48

 

 

 

ITEM 6.  

Exhibits

50

 

 

 

SIGNATURES 

51

CERTIFICATIONS

 

 

 


 

PART I - FINANCIAL INFORMATION

 

Item 1.  Financial Statements

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Financial Condition

 

 

 

 

 

 

 

 

 

 

    

June 30, 

    

December 31, 

 

 

 

2016

    

2015

 

 

 

 

(Unaudited)

 

 

 

 

Assets

 

 

 

 

 

 

 

Equity in brokers' trading accounts:

 

 

 

 

 

 

 

Cash

 

$

31,741,266

 

$

38,781,351

 

Net unrealized gain (loss) on open futures contracts

 

 

8,110,991

 

 

827,595

 

Net unrealized gain (loss) on open forward currency contracts

 

 

723,770

 

 

(240,659)

 

Net unrealized gain (loss) on open swap contracts

 

 

(3,386,676)

 

 

1,168,100

 

Total equity in brokers' trading accounts

 

 

37,189,351

 

 

40,536,387

 

Cash and cash equivalents

 

 

64,457,003

 

 

64,625,503

 

Securities owned, at fair value (cost $101,007,230 and $116,001,074, respectively)

 

 

101,310,345

 

 

116,297,654

 

Interest receivable, net

 

 

13,950

 

 

13,737

 

Total assets

 

$

202,970,649

 

$

221,473,281

 

Liabilities and Partners' Capital (Net Asset Value)

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

Brokerage charge payable

 

$

974,391

 

$

1,158,521

 

Accrued incentive fees

 

 

497,427

 

 

674

 

Organization and offering costs payable

 

 

48,955

 

 

53,225

 

Accrued operating expenses

 

 

42,267

 

 

46,118

 

Pending limited partner additions

 

 

36,001

 

 

 —

 

Redemptions payable to limited partners

 

 

3,983,867

 

 

6,479,904

 

Total liabilities

 

 

5,582,908

 

 

7,738,442

 

Partners' Capital (Net Asset Value)

 

 

 

 

 

 

 

General Partner

 

 

 

 

 

 

 

Class A (307.34 units outstanding at both June 30, 2016 and December 31, 2015)

 

 

352,129

 

 

335,868

 

Legacy 1 Class (574.13 and 1,025.00 units outstanding at June 30, 2016 and December 31, 2015, respectively)

 

 

509,353

 

 

858,478

 

Legacy 2 Class (263.13 units outstanding at both June 30, 2016 and December 31, 2015)

 

 

228,843

 

 

216,344

 

Global 1 Class (1,372.89 units outstanding at both June 30, 2016 and December 31, 2015)

 

 

1,199,295

 

 

1,122,622

 

Global 2 Class (231.81 and 1,329.58 units outstanding at June 30, 2016 and December 31, 2015, respectively)

 

 

198,949

 

 

1,067,693

 

 

 

 

 

 

 

 

 

Limited Partners

 

 

 

 

 

 

 

Class A (8,708.79 and 9,757.99 units outstanding at June 30, 2016 and December 31, 2015, respectively)

 

 

9,977,772

 

 

10,663,559

 

Class B (121,555.51 and 133,628.66 units outstanding at June 30, 2016 and December 31, 2015, respectively)

 

 

114,784,641

 

 

120,817,860

 

Legacy 1 Class (1,003.22 and 1,262.14 units outstanding at June 30, 2016 and December 31, 2015, respectively)

 

 

890,029

 

 

1,057,091

 

Legacy 2 Class (453.96 and 515.52 units outstanding at June 30, 2016 and December 31, 2015, respectively)

 

 

394,803

 

 

423,853

 

Global 1 Class (24,232.94 and 22,503.69 units outstanding at June 30, 2016 and December 31, 2015, respectively)

 

 

21,168,763

 

 

18,401,384

 

Global 2 Class (2,557.12 and 3,493.52 units outstanding at June 30, 2016 and December 31, 2015, respectively)

 

 

2,194,677

 

 

2,805,404

 

Global 3 Class (60,121.13 and 78,419.57 units outstanding at June 30, 2016 and December 31, 2015, respectively)

 

 

45,488,487

 

 

55,964,683

 

Total partners' capital (net asset value)

 

 

197,387,741

 

 

213,734,839

 

Total liabilities and partners' capital (net asset value)

 

$

202,970,649

 

$

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

June 30, 2016

(Unaudited)

 

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

 

$

33,737

 

0.02

%  

$

185,176

 

0.09

%  

$

218,913

 

0.11

%

Currencies

 

$

434,110

 

0.22

%  

$

556,317

 

0.28

%  

$

990,427

 

0.50

%

Energy

 

$

131,537

 

0.07

%  

$

24,848

 

0.01

%  

$

156,385

 

0.08

%

Interest rates

 

$

2,410,745

 

1.22

%  

$

(159,929)

 

(0.08)

%  

$

2,250,816

 

1.14

%

Meats

 

$

(67,605)

 

(0.03)

%  

$

(30,589)

 

(0.02)

%  

$

(98,194)

 

(0.05)

%

Metals

 

$

692,394

 

0.35

%  

$

(70,723)

 

(0.04)

%  

$

621,671

 

0.31

%

Soft commodities

 

$

210,304

 

0.11

%  

$

29,570

 

0.01

%  

$

239,874

 

0.12

%

Stock indices and single stock futures

 

$

609,530

 

0.30

%  

$

(207,053)

 

(0.10)

%  

$

402,477

 

0.20

%

Total U.S. Futures Positions

 

$

4,454,752

 

 

 

$

327,617

 

 

 

$

4,782,369

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

(3,404)

 

0.00

%  

$

4,850

 

0.00

%  

$

1,446

 

0.00

%

Energy

 

$

(26,293)

 

(0.01)

%  

$

(15,346)

 

(0.01)

%  

$

(41,639)

 

(0.02)

%

Interest rates

 

$

3,197,845

 

1.62

%  

$

(134,160)

 

(0.07)

%  

$

3,063,685

 

1.55

%

Metals

 

$

1,061,726

 

0.54

%  

$

(1,554,552)

 

(0.79)

%  

$

(492,826)

 

(0.25)

%

Soft commodities

 

$

16,366

 

0.01

%  

$

(78)

 

0.00 

%  

$

16,288

 

0.01

%

Stock indices

 

$

595,582

 

0.31

%  

$

186,086

 

0.09

%  

$

781,668

 

0.40

%

Total Foreign Futures Positions

 

$

4,841,822

 

 

 

$

(1,513,200)

 

 

 

$

3,328,622

 

 

 

Total Futures Contracts

 

$

9,296,574

 

4.71

%  

$

(1,185,583)

 

(0.60)

%  

$

8,110,991

 

4.11

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

(195,686)

 

(0.10)

%  

$

919,456

 

0.47

%  

$

723,770

 

0.37

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date March 29, 2019

 

$

114,970

 

0.05

%  

$

 —

 

0.00

%  

$

114,970

 

0.05 

%

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

 

$

(3,501,646)

 

(1.77)

%  

$

 —

 

0.00

%  

$

(3,501,646)

 

(1.77)

%

Total Swap Contracts

 

$

(3,386,676)

 

(1.72)

%  

$

 —

 

0.00

%

$

(3,386,676)

 

(1.72)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$

5,714,212

 

2.89

%  

$

(266,127)

 

(0.13)

%  

$

5,448,085

 

2.76

%

*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)

June 30, 2016

(Unaudited)

 

Securities owned

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

50,500,000

 

4/20/2018-6/27/2019

 

Federal Farm Credit Banks, 1.1-1.3%

 

$

50,626,465

 

25.65

%

$

18,235,000

 

7/27/2018-4/29/2019

 

Federal Home Loan Banks, 1.2-1.3%

 

$

18,313,404

 

9.28

%

 

 

 

Total U.S. Government-sponsored enterprises (cost of $68,738,842)

 

 

 

$

68,939,869

 

34.93

%

 

U.S. Corporate bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

2,000,000

 

2/16/2018

 

American Honda Finance Co, 1.5%

 

$

2,014,113

 

1.02

%

$

2,000,000

 

11/1/2016

 

Dominion Gas, 1.2%

 

$

2,002,773

 

1.01

%

$

2,000,000

 

2/1/2018

 

Wells Fargo & Company, 1.7%

 

$

2,173,148

 

1.10

%

$

10,034,000

 

9/21/2016-12/1/2017

 

Others, 1.2-1.8% **

 

$

10,154,916

 

5.15

%

 

 

 

Total U.S. Corporate bonds (cost of $16,272,809)

 

 

 

$

16,344,950

 

8.28

%

 

Commercial paper

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

 

Fair Value

    

(net asset value)

 

$

11,578,000

 

7/8/2016-1/3/2017

 

U.S. Commercial Paper,  0.8-1.4% **

 

$

11,554,627

 

5.85

%

$

4,480,000

 

8/9/2016-11/10/2016

 

Foreign Commercial Paper,  0.9% **

 

$

4,470,899

 

2.27

%

 

 

 

Total Commercial paper  (cost of $15,995,579)

 

 

 

$

16,025,526

 

8.12

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

Partners' Capital

 

 

    

Fair Value

    

(net asset value)

 

Total securities owned

 

$

101,310,345

 

51.33

%

 

** 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)

 

$

4,010,000

 

1/5/2016-2/1/2016

 

Foreign commercial paper,  0.5-0.8%  **

 

$

4,008,509

 

1.87

%

 

 

 

 

 

 

 

 

 

 

 

 

$

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

 

Six Months Ended

 

 

 

June 30, 

 

June 30, 

 

 

 

2016

 

2015

    

2016

    

2015

 

 

 

(Unaudited)

 

(Unaudited)

 

Net trading gains (losses)

 

 

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from futures trading

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

 

$

(13,313)

 

$

(17,645,279)

 

$

14,597,651

 

$

4,090,715

 

Change in unrealized

 

 

5,940,971

 

 

(6,370,198)

 

 

7,283,395

 

 

(10,985,720)

 

Commissions

 

 

(737,125)

 

 

(1,028,549)

 

 

(1,554,840)

 

 

(2,174,790)

 

Net gains (losses) from futures trading

 

 

5,190,533

 

 

(25,044,026)

 

 

20,326,206

 

 

(9,069,795)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from forward trading

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

 

$

(267,066)

 

$

(1,034,277)

 

$

(383,893)

 

$

(1,078,037)

 

Change in unrealized

 

 

643,629

 

 

755,034

 

 

964,429

 

 

497,445

 

Commissions

 

 

(682)

 

 

(1,387)

 

 

(1,835)

 

 

(3,464)

 

Net gains (losses) from forward trading

 

 

375,881

 

 

(280,630)

 

 

578,701

 

 

(584,056)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from swap trading

 

 

 

 

 

 

 

 

 

 

 

 

 

Change in unrealized

 

$

(1,492,962)

 

$

 —

 

$

(4,554,775)

 

$

 —

 

Net gains (losses) from swap trading

 

 

(1,492,962)

 

 

 —

 

 

(4,554,775)

 

 

 —

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net trading gains (losses)

 

 

4,073,452

 

 

(25,324,656)

 

 

16,350,132

 

 

(9,653,851)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

Income

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest income

 

 

343,960

 

 

339,023

 

 

695,919

 

 

688,756

 

Expenses from operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Brokerage charge

 

 

2,452,780

 

 

3,528,078

 

 

5,224,596

 

 

7,486,926

 

Incentive fees

 

 

336,402

 

 

(298,357)

 

 

599,140

 

 

2,556,403

 

Organizational and offering costs

 

 

146,016

 

 

198,576

 

 

306,793

 

 

420,214

 

Operating expenses

 

 

126,124

 

 

171,656

 

 

264,938

 

 

363,042

 

Total expenses

 

 

3,061,322

 

 

3,599,953

 

 

6,395,467

 

 

10,826,585

 

Net investment loss

 

$

(2,717,362)

 

$

(3,260,930)

 

$

(5,699,548)

 

$

(10,137,829)

 

Net income (loss) 

 

$

1,356,090

 

$

(28,585,586)

 

$

10,650,584

 

$

(19,791,680)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$

7.90

 

$

(125.80)

 

$

52.91

 

$

(89.31)

 

General Partner & Limited Partner Class B Units

 

$

4.47

 

$

(106.21)

 

$

40.17

 

$

(77.41)

 

General Partner & Limited Partner Legacy 1 Class Units

 

$

10.68

 

$

(89.50)

 

$

49.63

 

$

(57.57)

 

General Partner & Limited Partner Legacy 2 Class Units

 

$

9.75

 

$

(88.59)

 

$

47.50

 

$

(57.70)

 

General Partner & Limited Partner Global 1 Class Units

 

$

14.32

 

$

(87.59)

 

$

55.84

 

$

(55.00)