GRANT PARK FUTURES FUND LIMITED PARTNERSHIP - FORM 10-Q

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP - FORM 10-Q - November 14, 2016

Attached files

Attached files

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP Reports

file	filename
EX-32.1 - EX-32.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIP	gpff-20160930ex3213a99a1.htm
EX-31.2 - EX-31.2 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIP	gpff-20160930ex3127c1f4e.htm
EX-31.1 - EX-31.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIP	gpff-20160930ex311e3ba78.htm

Table of Contents

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 September 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 ☒

Table of Contents

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

QUARTER ENDED SEPTEMBER 30, 2016

INDEX

PART I – FINANCIAL INFORMATION

ITEM 1.	Financial Statements

	Consolidated Statements of Financial Condition as of September 30, 2016 (unaudited) and December 31, 2015 (audited)	2

	Consolidated Condensed Schedule of Investments as of September 30, 2016 (unaudited)	3

	Consolidated Condensed Schedule of Investments as of December 31, 2015 (audited)	5

	Consolidated Statements of Operations for the three and nine months ended September 30, 2016 and 2015 (Unaudited)	7

	Consolidated Statements of Changes in Partners’ Capital (Net Asset Value) for the nine months ended September 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	43

ITEM 4.	Controls and Procedures	48

PART II – OTHER INFORMATION

ITEM 1A.	Risk Factors	49

ITEM 2.	Unregistered Sales of Equity Securities and Use of Proceeds	49

ITEM 6.	Exhibits	51

SIGNATURES		52
CERTIFICATIONS

Table of Contents

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Financial Condition


	September 30,		December 31,
	2016		2015
Assets
Equity in brokers' trading accounts:
Cash	$	39,893,502	$	38,781,351
Net unrealized gain (loss) on open futures contracts		3,048,052		827,595
Net unrealized gain (loss) on open forward currency contracts		325,677		(240,659)
Net unrealized gain (loss) on open swap contracts		(2,694,638)		1,168,100
Total equity in brokers' trading accounts		40,572,593		40,536,387
Cash and cash equivalents		59,888,654		64,625,503
Securities owned, at fair value (cost $85,236,030 and $116,001,074, respectively)		85,472,665		116,297,654
Interest receivable, net		22,173		13,737
Total assets	$	185,956,085	$	221,473,281
Liabilities and Partners' Capital (Net Asset Value)
Liabilities
Brokerage charge payable	$	914,388	$	1,158,521
Accrued incentive fees		56,180		674
Organization and offering costs payable		44,737		53,225
Accrued operating expenses		38,674		46,118
Pending limited partner additions		—		—
Redemptions payable to limited partners		3,164,792		6,479,904
Total liabilities		4,218,771		7,738,442
Partners' Capital (Net Asset Value)
General Partner
Class A (307.34 units outstanding at both September 30, 2016 and December 31, 2015)		340,687		335,868
Legacy 1 Class (574.13 and 1,025.00 units outstanding at September 30, 2016 and December 31, 2015, respectively)		495,657		858,478
Legacy 2 Class (263.13 units outstanding at both September 30, 2016 and December 31, 2015)		222,550		216,344
Global 1 Class (924.77 and 1,372.89 units outstanding at September 30, 2016 and December 31, 2015, respectively)		786,864		1,122,622
Global 2 Class (231.81 and 1,329.58 units outstanding at September 30, 2016 and December 31, 2015, respectively)		193,709		1,067,693

Limited Partners
Class A (8,551.10 and 9,757.99 units outstanding at September 30, 2016 and December 31, 2015, respectively)		9,478,765		10,663,559
Class B (117,117.69 and 133,628.66 units outstanding at September 30, 2016 and December 31, 2015, respectively)		106,825,695		120,817,860
Legacy 1 Class (1,015.59 and 1,262.14 units outstanding at September 30, 2016 and December 31, 2015, respectively)		876,773		1,057,091
Legacy 2 Class (422.94 and 515.52 units outstanding at September 30, 2016 and December 31, 2015, respectively)		357,713		423,853
Global 1 Class (35,870.44 and 22,503.69 units outstanding at September 30, 2016 and December 31, 2015, respectively)		30,521,194		18,401,384
Global 2 Class (2,365.54 and 3,493.52 units outstanding at September 30, 2016 and December 31, 2015, respectively)		1,976,784		2,805,404
Global 3 Class (40,439.83 and 78,419.57 units outstanding at September 30, 2016 and December 31, 2015, respectively)		29,660,923		55,964,683
Total partners' capital (net asset value)		181,737,314		213,734,839
Total liabilities and partners' capital (net asset value)	$	185,956,085	$	221,473,281

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

Table of Contents

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

September 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	$	(136,578)	(0.07)	%	$	150,502	0.08	%	$	13,924	0.01	%
Currencies	$	454,573	0.25	%	$	161,116	0.09	%	$	615,689	0.34	%
Energy	$	70,346	0.04	%	$	(217,199)	(0.12)	%	$	(146,853)	(0.08)	%
Interest rates	$	(2,235)	0.00	%	$	(26,832)	(0.02)	%	$	(29,067)	(0.02)	%
Meats	$	(6,610)	0.00	%	$	522,976	0.28	%	$	516,366	0.28	%
Metals	$	(198,812)	(0.11)	%	$	(19,113)	(0.01)	%	$	(217,925)	(0.12)	%
Soft commodities	$	636,964	0.35	%	$	107,385	0.06	%	$	744,349	0.41	%
Stock indices and single stock futures	$	531,763	0.29	%	$	55,167	0.03	%	$	586,930	0.32	%
Total U.S. Futures Positions	$	1,349,411			$	734,002			$	2,083,413

Foreign Futures Positions:
Agriculturals	$	4,653	0.00	%	$	2,880	0.00	%	$	7,533	0.00	%
Energy	$	232,630	0.12	%	$	(98,295)	(0.05)	%	$	134,335	0.07	%
Interest rates	$	877,547	0.48	%	$	(224,362)	(0.12)	%	$	653,185	0.36	%
Metals	$	1,240,030	0.68	%	$	(1,159,513)	(0.64)	%	$	80,517	0.04	%
Soft commodities	$	(1,111)	0.00	%	$	(6,291)	(0.00)	%	$	(7,402)	(0.00)	%
Stock indices	$	217,519	0.12	%	$	(121,048)	(0.07)	%	$	96,471	0.05	%
Total Foreign Futures Positions	$	2,571,268			$	(1,606,629)			$	964,639
Total Futures Contracts	$	3,920,679	2.16	%	$	(872,627)	(0.48)	%	$	3,048,052	1.68	%

Forward Contracts *
Currencies	$	232,165	0.13	%	$	93,512	0.05	%	$	325,677	0.18	%

Swap Contracts
Deutsche Bank total return swap, Termination date March 29, 2019	$	(346,786)	(0.20)	%	$	—	0.00	%	$	(346,786)	(0.20)	%
Deutsche Bank total return swap, Termination date July 1, 2020	$	(2,347,852)	(1.29)	%	$	—	0.00	%	$	(2,347,852)	(1.29)	%
Total Swap Contracts	$	(2,694,638)	(1.49)	%	$	—	0.00	%	$	(2,694,638)	(1.49)	%

Total Futures, Forward and
Swap Contracts	$	1,458,206	0.80	%	$	(779,115)	(0.43)	%	$	679,091	0.37	%

*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.

Table of Contents

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2016

(Unaudited)

Securities owned

U.S. Government-sponsored enterprises


						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	47,500,000	9/28/2018-8/1/2019	Federal Farm Credit Banks, 1.1-1.3%	$	47,605,045	26.19	%
$	16,000,000	8/24/2018-8/22/2019	Federal Home Loan Banks, 1.1-1.3%	$	16,046,713	8.83	%
$	2,500,000	7/19/2019	Federal Agricultural Mortgage Corp., 1.1%	$	2,505,700	1.38	%
		Total U.S. Government-sponsored enterprises (cost of $65,999,520)		$	66,157,458	36.40	%

U.S. Corporate bonds


						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	1,900,000	6/1/2017	American Electric Power, 1.8%	$	1,971,515	1.08	%
$	2,000,000	2/16/2018	American Honda Finance Co, 1.5%	$	2,005,791	1.10	%
$	1,840,000	12/1/2017	AT&T Inc., 1.8%	$	1,840,572	1.01	%
$	2,000,000	11/1/2016	Dominion Gas, 1.2%	$	2,008,568	1.11	%
$	1,905,000	3/4/2017	GATX Corporation, 1.8%	$	1,902,498	1.05	%
$	2,000,000	2/1/2018	Wells Fargo & Company, 1.7%	$	2,124,621	1.17	%
$	3,075,000	1/15/2017-9/22/2017	Others, 1.2-1.5% **	$	3,092,257	1.70	%
		Total U.S. Corporate bonds (cost of $14,881,611)		$	14,945,822	8.22	%

Commercial paper


						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description		Fair Value	(net asset value)
$	3,150,000	1/3/2017-1/9/2017	U.S. Commercial Paper, 0.9-1.4% **	$	3,140,642	1.73	%
$	1,230,000	11/10/2016	Foreign Commercial Paper, 0.9%	$	1,228,743	0.68	%
		Total Commercial paper (cost of $4,354,899)		$	4,369,385	2.41	%

** 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.

Table of Contents

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	%

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

Table of Contents

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	%

**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.

Table of Contents

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Operations


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2016		2015		2016		2015
	(Unaudited)				(Unaudited)
Net trading gains (losses)
Net gain (loss) from futures trading
Realized	$	1,523,704	$	(4,068,248)	$	16,121,355	$	22,467
Change in unrealized		(5,062,938)		6,729,583		2,220,457		(4,256,137)
Commissions		(714,283)		(937,167)		(2,269,123)		(3,111,958)
Net gains (losses) from futures trading		(4,253,517)		1,724,168		16,072,689		(7,345,628)

Net gain (loss) from forward trading
Realized	$	220,489	$	(734,802)	$	(163,404)	$	(1,812,839)
Change in unrealized		(398,093)		(796,665)		566,336		(299,220)
Commissions		(599)		(1,354)		(2,434)		(4,817)
Net gains (losses) from forward trading		(178,203)		(1,532,821)		400,498		(2,116,876)

Net gain (loss) from swap trading
Change in unrealized	$	692,037	$	411,108	$	(3,862,738)	$	411,108
Net gains (losses) from swap trading		692,037		411,108		(3,862,738)		411,108

Net trading gains (losses)		(3,739,683)		602,455		12,610,449		(9,051,396)

Net investment income (loss)
Income
Interest income		315,806		299,081		1,011,725		987,837
Expenses from operations
Brokerage charge		2,293,183		3,170,861		7,517,779		10,657,787
Incentive fees		86,439		4,438		685,579		2,560,842
Organizational and offering costs		140,050		182,058		446,843		602,272
Operating expenses		120,999		157,497		385,937		520,538
Total expenses		2,640,671		3,514,854		9,036,138		14,341,439
Net investment loss	$	(2,324,865)	$	(3,215,773)	$	(8,024,413)	$	(13,353,602)
Net income (loss)	$	(6,064,548)	$	(2,613,318)	$	4,586,036	$	(22,404,998)


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	$	(37.22)	$	(11.64)	$	15.69	$	(100.95)
General Partner & Limited Partner Class B Units	$	(32.18)	$	(11.22)	$	7.99	$	(88.63)
General Partner & Limited Partner Legacy 1 Class Units	$	(23.85)	$	(3.86)	$	25.78	$	(61.43)
General Partner & Limited Partner Legacy 2 Class Units	$	(23.91)	$	(4.31)	$	23.59	$	(62.01)
General Partner & Limited Partner Global 1 Class Units	$	(22.68)	$	(4.57)	$	33.16	$	(59.57)
General Partner & Limited Partner Global 2 Class Units	$	(22.60)	$	(4.94)	$	32.63	$	(59.80)
General Partner & Limited Partner Global 3 Class Units	$	(23.15)	$	(7.67)	$	19.80	$	(63.66)

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

Table of Contents

Grant Park Futures Fund Limited Partnership

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

Nine Months Ended September 30, 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	307.34	$	335,868	9,757.99	$	10,663,559	—	$	—	133,628.66	$	120,817,860	1,025.00	$	858,478	1,262.14	$	1,057,091	263.13	$	216,344	515.52	$	423,853
Contributions	—		—	—		—	—		—	—		—	—		—	63.13		55,000	—		—	—		—
Redemptions	—		—	(1,206.89)		(1,351,447)	—		—	(16,510.97)		(15,483,763)	(450.87)		(400,000)	(309.68)		(271,171)	—		—	(92.58)		(80,261)
Net income (loss)	—		4,819	—		166,653	—		—	—		1,491,598	—		37,179	—		35,853	—		6,206	—		14,121
Partners’ capital,
September 30, 2016	307.34	$	340,687	8,551.10	$	9,478,765	—	$	—	117,117.69	$	106,825,695	574.13	$	495,657	1,015.59	$	876,773	263.13	$	222,550	422.94	$	357,713


Net asset value per unit at December 31, 2015		$	1,092.80					$	904.13					$	837.54					$	822.19

Net asset value per unit at September 30, 2016		$	1,108.49					$	912.12					$	863.32					$	845.78


	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,
December 31, 2015	1,372.89	$	1,122,622	22,503.69	$	18,401,384	1,329.58	$	1,067,693	3,493.52	$	2,805,404	—	$	—	78,419.57	$	55,964,683	$	213,734,839
Contributions	—		—	20,046.20		17,496,250	—		—	—		—	—		—	—		—		17,551,250
Redemptions	(448.12)		(400,000)	(6,679.45)		(5,754,282)	(1,097.77)		(900,000)	(1,127.98)		(944,227)	—		—	(37,979.74)		(28,549,660)		(54,134,811)
Net income (loss)	—		64,242	—		377,842	—		26,016	—		115,607	—		—	—		2,245,900		4,586,036
Partners’ capital,
September 30, 2016	924.77	$	786,864	35,870.44	$	30,521,194	231.81	$	193,709	2,365.54	$	1,976,784	—	$	—	40,439.83	$	29,660,923	$	181,737,314


Net asset value per unit at December 31, 2015		$	817.71					$	803.03					$	713.66

Net asset value per unit at September 30, 2016		$	850.87					$	835.66					$	733.46

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

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Grant Park Futures Fund Limited Partnership

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

Nine Months Ended September 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,
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	—		—	(566.57)		(672,171)	—		—	(14,692.40)		(14,653,792)	—		—	(450.36)		(403,028)	—		—	(208.90)		(187,697)
Net income (loss)	—		(31,028)	—		(1,201,578)	—		—	—		(13,122,523)	—		(62,964)	—		(101,206)	—		(16,316)	—		(36,513)
Partners’ capital,
September 30, 2015	307.34	$	352,407	11,558.77	$	13,253,489	—	$	—	141,177.44	$	134,147,698	1,025.00	$	895,565	1,352.38	$	1,181,602	263.13	$	225,832	515.52	$	442,441


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 September 30, 2015		$	1,146.62					$	950.21					$	873.72					$	858.25


	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,
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	—		—	18,923.49		17,198,219	—		—	—		—	—		—	1,989.95		1,624,956		18,823,175
Redemptions	—		—	(4,366.00)		(3,892,787)	—		—	(630.41)		(550,241)	—		—	(41,333.44)		(33,122,764)		(53,482,480)
Net income (loss)	—		(81,772)	—		(1,426,467)	—		(79,501)	—		(289,347)	—		—	—		(5,955,783)		(22,404,998)
Partners’ capital,
September 30, 2015	1,372.89	$	1,172,002	23,764.06	$	20,286,731	1,329.58	$	1,115,373	4,566.43	$	3,830,738	-	$	—	86,218.24	$	64,561,007	$	241,464,885


Net asset value per unit at December 31, 2014		$	913.24					$	898.69					$	812.47

Net asset value per unit at September 30, 2015		$	853.67					$	838.89					$	748.81

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

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Note 1. Nature of Business and Significant Accounting Policies

Nature of business: Grant Park Futures Fund Limited Partnership (the “Partnership”) was organized as a limited partnership under Illinois law in August 1988 and will continue until December 31, 2027, unless terminated sooner as provided for in its Limited Partnership Agreement. As a commodity investment pool, the Partnership is subject to the regulations of the Commodity Futures Trading Commission (“CFTC”), an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Partnership executes transactions. Additionally, the Partnership is subject to the requirements of futures commission merchants (“FCMs”) and interbank and other market makers through which the Partnership trades. The Partnership is a registrant with the Securities and Exchange Commission (“SEC”), and, accordingly is subject to the regulatory requirements under the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended.

The Partnership engages in the speculative trading of futures and forward contracts for commodities, financial instruments or currencies, any rights pertaining thereto and any options thereon, or on physical commodities, equities, listed options, swap transactions and broad based exchange-traded funds. The Partnership may also engage in hedge, arbitrage and cash trading of commodities and futures.

The Partnership is a multi-advisor commodity pool that invests the assets of each class of the Partnership in the Partnership’s subsidiary limited liability trading companies (each, a “Trading Company” and collectively, the “Trading Companies”) which (i) enter into advisory agreements with the independent commodity trading advisors retained by the general partner; (ii) enter into swap transactions or derivative instruments tied to the performance of such trading advisors; and/or (iii) allocate assets to the Partnership’s cash management trading company. The Partnership’s general partner, commodity pool operator and sponsor is Dearborn Capital Management, L.L.C. (“the General Partner”), an Illinois limited liability company. The Trading Companies were set up to, among other things, segregate risk by commodity trading advisor. Effectively, this structure isolates one trading advisor from another and any losses from one Trading Company will not carry over to the other Trading Companies. The following is a list of the Trading Companies, for which the Partnership is the sole member and all of which were organized as Delaware limited liability companies:

GP 1, LLC (“GP 1”) GP 5, LLC (“GP 5”) GP 9, LLC (“GP 9”) GP 15, LLC (“GP 15”)

GP 3, LLC (“GP 3”) GP 6, LLC (“GP 6”) GP 11, LLC (“GP 11”) GP 17, LLC (“GP 17”)

GP 4, LLC (“GP 4”) GP 8, LLC (“GP 8”) GP 14, LLC (“GP 14”) GP 18, LLC (“GP 18”)

There were no assets allocated to GP 3, GP 6 and GP 15 as of September 30, 2016 and December 31, 2015.

Additionally, GP Cash Management, LLC (“GP Cash Management”) was created as a Delaware limited liability company to collectively manage and invest excess cash not required to be held at clearing brokers. The members of GP Cash Management are the Trading Companies.

Classes of interests: The Partnership has seven classes of limited partner interests (each, a “Class” and collectively, the “Interests”), Class A, Class B, Legacy 1 Class, Legacy 2 Class, Global Alternative Markets 1 (“Global 1”) Class, Global Alternative Markets 2 (“Global 2”) Class and Global Alternative Markets 3 (“Global 3”) Class units.

The Class A and Class B units are outstanding but are no longer offered by the Partnership. Both Class A and Class B units are traded pursuant to identical trading programs and differ only in respect to the brokerage charge payable to the General Partner.

The Legacy 1 Class and Legacy 2 Class units are traded pursuant to trading programs pursuing a technical trend trading philosophy, which is the same trading philosophy used for the Class A and Class B units. The Legacy 1 Class and Legacy 2 Class units differ in respect to the General Partner’s brokerage charge and organization and offering costs. The Legacy 1 Class and Legacy 2 Class units are offered only to investors who are represented by approved

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Notes to Consolidated Financial Statements

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selling agents who are directly compensated by the investor for services rendered in connection with an investment in the Partnership (such arrangements commonly referred to as “wrap-accounts”).

The Global 1 Class, Global 2 Class and Global 3 Class units are traded pursuant to trading programs pursuing technical trend trading philosophies. The Global 1 Class, Global 2 Class and Global 3 Class units differ in respect to the General Partner’s brokerage charge. The Global 1 Class and Global 2 Class units are offered only to investors in wrap accounts.

The Partnership’s significant accounting policies are as follows:

Accounting Principles: Pursuant to rules and regulations of the SEC, audited consolidated financial statements of the Partnership are prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). The Partnership is an investment company and follows accounting and reporting guidance under the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies.

Consolidation: The Partnership is the sole member of each of the Trading Companies. The Trading Companies, in turn, are the only members of GP Cash Management. The Partnership presents consolidated financial statements, which include the accounts of the Trading Companies and GP Cash Management. All material inter-company accounts and transactions are eliminated in consolidation.

Use of estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.

Cash and cash equivalents: Cash and cash equivalents may include cash, overnight investments, commercial paper, U.S. treasury bills, money market funds and short-term investments in interest-bearing demand deposits with banks and cash managers with original maturities of three months or less at the date of acquisition.

Valuation of investments: All investments are used for trading purposes and recorded at their estimated fair value, as described in Note 2. Substantially all of the Partnership’s assets and liabilities are considered financial instruments and are recorded at fair value or at carrying amounts that approximate fair value because of the short maturity of the instruments.

Investment transactions, investment income and expenses: Futures contracts, forward contracts and options on futures and forward contracts are recorded on a trade date basis and realized gains or losses are recognized when contracts/positions are liquidated. Unrealized gains or losses on open contracts/positions (the difference between contract trade price and market price) or securities are reported in the consolidated statement of financial condition as a net unrealized gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with FASB ASC 210-20, Balance Sheet, Offsetting. Any change in net unrealized gain or loss from the preceding period is reported in the consolidated statement of operations. Interest income and expense is recognized under the accrual basis.

Set forth in Note 10 are instruments and transactions eligible for offset in the consolidated statement of financial condition and which are subject to derivative clearing agreements with the Partnership’s clearing brokers. Each clearing broker nets margin held on behalf of the Partnership or payment obligations of the clearing broker to the Partnership against any payment obligations of the Partnership to the clearing broker. The Partnership is required to deposit margin at each clearing broker to meet the original and maintenance requirements established by that clearing broker, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded. The derivative clearing agreements give each clearing broker a security interest in this margin to secure any liabilities owed to the clearing broker arising from a default by the Partnership.

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Notes to Consolidated Financial Statements

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Commissions: Commissions and other trading fees are expensed when contracts are opened and closed, and are reflected separately in the consolidated statement of operations.

Redemptions payable: Pursuant to the provisions of FASB ASC 480, Distinguishing Liabilities from Equity, redemptions approved by the General Partner prior to month end with a fixed effective date and fixed amount are recorded as redemptions payable as of month end.

Income taxes: No provision for income taxes has been made in these consolidated financial statements as each partner is individually responsible for reporting income or loss based on its respective share of the Partnership’s income and expenses as reported for income tax purposes.

The Partnership follows the provisions of ASC 740, Income Taxes. FASB guidance requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and liability in the current year. If a tax position does not meet the minimum statutory threshold to avoid payment of penalties, an expense for the amount of the statutory penalty and interest, if applicable, shall be recognized in the consolidated statement of operations in the period in which the position is claimed or expected to be claimed. As of September 30, 2016, management has determined that there are no material uncertain income tax positions and, accordingly, has not recorded a liability. The Partnership is generally not subject to examination by U.S. federal or state taxing authorities for tax years before 2013.

Organization and offering costs: All expenses incurred in connection with the organization and the ongoing public offering of partnership interests are paid by the General Partner and are reimbursed to the General Partner by the Partnership. This reimbursement is made monthly. In its discretion, the General Partner may require the Partnership to reimburse the General Partner in any subsequent calendar year for amounts that exceed the limits in Note 5 in any calendar year, provided that the maximum amount reimbursed by the Partnership will not exceed the overall limit. Amounts reimbursed by the Partnership with respect to ongoing public offering expenses are charged to expense from operations at the time of reimbursement or accrual. Any amounts reimbursed by the Partnership with respect to organizational expenses are expensed at the time the reimbursement is incurred or accrued. If the Partnership terminates prior to completion of payment of the calculated amounts to the General Partner, the General Partner will not be entitled to any additional payments, and the Partnership will have no further obligation to the General Partner. At September 30, 2016 and December 31, 2015, all organization and offering costs incurred by the General Partner have been reimbursed.

Foreign currency transactions: The Partnership’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the consolidated statement of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income currently.

The Partnership does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.

Swap contracts: Certain Trading Companies of the Partnership strategically allocate a portion or all of their assets to total return swaps selected at the direction of the General Partner. A swap is a bilaterally negotiated agreement between two parties to exchange cash flows based upon an asset, rate or some other reference index. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are

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Notes to Consolidated Financial Statements

(Unaudited)

calculated with respect to a “notional amount” (i.e., the amount or value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of commodities or other investments representing a particular index. Changes in the value of the swap agreement are recognized as unrealized gains or losses in the consolidated statement of operations by marking to market on a daily basis to reflect the value of the swap agreement at the end of each day as reported by the swap counterparty. Realized gains and losses from a decrease in the notional value of the swap are recognized on trade date. A liquidation payment received or made at the termination of the swap agreement will first be offset against the swap balance outstanding at the time the position is liquidated, with the remainder being recorded as a realized gain or loss in the consolidated statement of operations. Through its Trading Companies the Partnership has entered into total return swaps with Deutsche Bank AG. The Partnership maintains cash as collateral to secure its obligations under the swaps. As of September 30, 2016 and December 31, 2015, the notional value of the swaps was $60,638,617 and $20,000,000, respectively, and the cash margin balance was $12,996,500 and $4,000,000, respectively. The swaps were effective July 1, 2015 and April 5, 2016 and have a term of five years and three years, respectively.

Statement of cash flows: The Partnership has elected not to provide statements of cash flows as permitted by FASB ASC 230, Statement of Cash Flows. The Partnership noted that as of and for the period ended September 30, 2016 and 2015, substantially all investments are carried at fair value and classified as Level 1 and Level 2 measurements, the Partnership carried no debt, and the statements of changes in partners’ capital (net asset value) is presented.

Reclassification: Certain amounts in the 2015 consolidated financial statements have been reclassified to conform with the 2016 presentation.

Recent accounting pronouncements: In February 2015, the FASB issued ASU 2015-02, Consolidation (Topic 810) containing guidance for reporting entities that are required to evaluate whether they should consolidate certain legal entities. The guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2015. The Partnership adopted ASU 2015-02 as of January 1, 2016 and the adoption did not have a material impact on its consolidated financial statements.

In August 2014, the FASB issued ASU 2014-15 – Presentation of Financial Statement – Going Concern (Subtopic 205-40) containing guidance on management’s responsibility in evaluating whether there is substantial doubt about a company’s ability to continue as a going concern and about related footnote disclosures. The guidance is effective for annual periods ending after December 15, 2016, and interim periods within annual periods beginning after December 15, 2016. The Partnership is currently evaluating the impact this pronouncement would have on its consolidated financial statements.

In August 2015, the FASB issued ASU 2015-14, Revenue from Contracts with Customers (Topic 606) – Deferral of Effective Date, which defers the effective date of ASU 2014-09, Revenue from Contracts with Customers (Topic 606). The amendments in ASU 2014-09 affect any entity that enters into contracts with customers to transfer goods or services or enters into contracts for the transfer of nonfinancial assets unless those contracts are within the scope of other standards. In March 2016, April 2016 and May 2016, the FASB issued ASU 2016-08 Revenue from Contracts with Customers (Topic 606): Principal versus Agent Considerations (Reporting Revenue Gross versus Net), ASU 2016-10 Revenue from Contracts with Customers (Topic 606): Identifying Performance Obligations and Licensing, and ASU 2016-12 Revenue from Contracts with Customers (Topic 606): Narrow-Scope Improvements and Practical Expedients, respectively. The amendments in these updates affect entities with transactions included within the scope of Topic 606. The scope of that Topic includes entities that enter into contracts with customers to transfer goods or services (that are an output of the entity’s ordinary activities) in exchange for consideration. The guidance is effective for annual reporting periods beginning after December 15, 2017. The Partnership is currently evaluating the impact these pronouncements would have on its consolidated financial statements.

In January 2016, the FASB issued ASU 2016-01 Financial Instruments – Overall (Subtopic 825-10) Recognition and Measurement of Financial Assets and Liabilities. The amendments in this update affect all entities that

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Notes to Consolidated Financial Statements

(Unaudited)

hold financial assets or owe financial liabilities. The guidance is effective for fiscal years beginning after December 15, 2017. The Partnership is currently evaluating the impact this pronouncement would have on its consolidated financial statements.

In March 2016, the FASB issued ASU 2016-05 Derivatives and Hedging (Topic 815) Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships. The amendments in this update apply to all reporting entities for which there is a change in the counterparty to a derivative instrument that has been designated as a hedging instrument under Topic 815. The guidance is effective for fiscal years beginning after December 15, 2016, and interim periods with those fiscal years. The adoption of ASU 2016-05 is not expected to have an impact on the Partnership’s consolidated financial statements.

Note 2. Fair Value Measurements

As described in Note 1, the Partnership follows the provisions of FASB ASC 820, Fair Value Measurements and Disclosures. FASB ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date and sets out a fair value hierarchy. The Partnership utilizes valuation techniques to maximize the use of observable inputs and minimize the use of unobservable inputs. Assets and liabilities recorded at fair value are categorized within the fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Inputs are broadly defined as assumptions market participants would use in pricing an asset or liability. The three levels of the fair value hierarchy are described below:

Level 1. Unadjusted quoted prices in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level 2. Inputs other than quoted prices within Level 1 that are observable for the asset or liability, either directly or indirectly. A significant adjustment to a Level 2 input could result in the Level 2 measurement becoming a Level 3 measurement.

Level 3. Inputs that are unobservable for the asset or liability. The Partnership does not have any assets classified as Level 3.

The following section describes the valuation techniques used by the Partnership to measure different financial instruments at fair value and includes the level within the fair value hierarchy in which the financial instrument is categorized.

Fair value of exchange-traded futures contracts and options on futures contracts are based upon exchange settlement prices as of the last business day of the reporting period. These financial instruments are classified in Level 1 of the fair value hierarchy.

The Partnership values forward contracts and options on forward contracts based on the average bid and ask price of quoted forward spot prices obtained as of the last business day of the reporting period, and forward contracts and options on forward contracts are classified in Level 2 of the fair value hierarchy.

The Partnership values bank deposits, which consist of interest bearing demand deposits and are included in cash and cash equivalents in the statements of financial condition, at face value plus accrued interest, which approximates fair value based on prevailing interest rates, and these financial instruments are classified in Level 1 of the fair value hierarchy.

The fair value of money market funds are based upon exchange settlement prices as of the last business day of the reporting period. These financial instruments are classified in Level 1 of the fair value hierarchy.

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Notes to Consolidated Financial Statements

(Unaudited)

U.S. Government securities, U.S. Government-sponsored enterprise securities and commercial paper are stated at cost plus accrued interest, which approximates fair value based on quoted market prices in an active market. The Partnership compares market prices quoted by dealers to the cost plus accrued interest to ensure a reasonable approximation of fair value. These securities are classified in Level 2 of the fair value hierarchy.

The Partnership values corporate bonds at cost plus accrued interest, which approximates fair value. Corporate bonds purchased are of a high credit quality and have observable market price quotations. The fair value of corporate bonds is evaluated considering market prices of the issuer quoted by dealers. Corporate bonds are classified in Level 2 of the fair value hierarchy.

The investments in total return swaps are reported at fair value based on daily price reporting from the swap counterparty. The Partnership’s swap transactions are a two-party contract entered into primarily to exchange the returns earned or realized on particular pre-determined investments or instruments. The gross returns to be exchanged or swapped between parties are calculated with respect to a notional amount. The total return swaps have inputs which are transparent and can generally be corroborated by market data and therefore are classified within Level 2 of the fair value hierarchy.

The following table presents the Partnership’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of September 30, 2016:


Assets	Level 1		Level 2		Level 3		Total
Equity in brokers' trading accounts
U.S. and foreign futures contracts	$	3,048,052	$	—	$	—	$	3,048,052
Forward currency contracts		—		325,677		—		325,677
Swap contracts		—		(2,694,638)		—		(2,694,638)
Cash and cash equivalents
U.S. money market fund		2,359,646						2,359,646
Foreign commercial paper		—		6,007,054		—		6,007,054
U.S. commercial paper		—		51,545,851		—		51,545,851
Securities owned
Foreign commercial paper		—		1,228,743		—		1,228,743
U.S. commercial paper		—		3,140,642		—		3,140,642
U.S. Government-sponsored enterprises		—		66,157,458		—		66,157,458
U.S. corporate bonds		—		14,945,822		—		14,945,822
Total	$	5,407,698	$	140,656,609	$	—	$	146,064,307

The gross presentation of the fair value of the Partnership’s derivatives by contract type is shown in Note 10. See the consolidated condensed schedule of investments for detail by sector.

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Notes to Consolidated Financial Statements

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The following table presents the Partnership’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of December 31, 2015:


Assets	Level 1		Level 2		Level 3		Total
Equity in brokers' trading accounts
U.S. and foreign futures contracts	$	827,595	$	—	$	—	$	827,595
Forward currency contracts		—		(240,659)		—		(240,659)
Swap contracts		—		1,168,100		—		1,168,100
Cash and cash equivalents
Bank deposits		1,101,389		—		—		1,101,389
Foreign commercial paper		—		5,547,926		—		5,547,926
U.S. commercial paper		—		57,976,698		—		57,976,698
Securities owned
Foreign commercial paper		—		4,008,509		—		4,008,509
U.S. commercial paper		—		15,173,266		—		15,173,266
U.S. Government-sponsored enterprises		—		82,472,451		—		82,472,451
U.S. corporate bonds		—		14,643,428		—		14,643,428
Total	$	1,928,984	$	180,749,719	$	—	$	182,678,703

The gross presentation of the fair value of the Partnership’s derivatives by contract type is shown in Note 10. See the consolidated condensed schedule of investments for detail by sector.

The Partnership assesses the level of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Partnership’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among Levels 1, 2, and 3 during the three and nine months ended September 30, 2016 and year ended December 31, 2015.

Note 3. Deposits with Brokers and Interbank Market Makers

The Partnership, through the Trading Companies, deposits assets with UBS Securities LLC, SG Americas Securities, LLC, formerly Newedge USA, LLC, and Wells Fargo Securities, LLC subject to CFTC regulations and various exchange and broker requirements. Margin requirements may be satisfied by the deposit of U.S. Treasury bills, Government- sponsored enterprise securities and/or cash with such clearing brokers. The Partnership may earn interest income on its assets deposited with the clearing brokers.

The Partnership, through the Trading Companies, has entered into a relationship with Sociètè Gènèrale Newedge UK Limited and UBS AG for the clearing of its OTC foreign currency transactions and with Deutsche Bank AG for its swap transactions. The Partnership has entered into an International Swaps and Derivatives Association, Inc. master agreement with Deutsche Bank AG, Sociètè Gènèrale Newedge UK Limited and UBS AG. Margin requirements may be satisfied by the deposit of U.S. Treasury bills and/or cash with such interbank market makers or swap counterparties. The Partnership may earn interest income on its assets deposited with the interbank market makers.

Note 4. Commodity Trading Advisors

The Partnership, through the Trading Companies, allocates assets to the commodity trading advisors or through swap transactions based on reference programs of such advisors. Each trading advisor that receives a direct allocation from the Partnership has entered into an advisory contract with the Partnership. The commodity trading advisors are Amplitude Capital International Limited (“Amplitude”), EMC Capital Advisors, LLC (“EMC”), H2O Asset Management, LLP (“H2O”), Lynx Asset Management AB (“Lynx”), Quantica Capital AG (“Quantica”), Rabar Market Research, Inc. (“Rabar”), Revolution Capital Management, LLC (“RCM”), Transtrend B.V.(“Transtrend”), and Winton

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Capital Management Limited (“Winton”) (collectively, the “Advisors”). The Advisors are paid a consulting fee, either monthly or quarterly, directly or through swap transactions, ranging from 0 percent to 2 percent per annum of the Partnership’s month-end allocated net assets and a quarterly or semi-annual incentive fee, directly or through swap transactions, ranging from 20 percent to 24.5 percent of the new trading profits on the allocated net assets of the Advisor.

Note 5. General Partner and Related Party Transactions

The General Partner shall at all times, so long as it remains a general partner of the Partnership, own Units in the Partnership: (i) in an amount sufficient, in the opinion of counsel for the Partnership, for the Partnership to be taxed as a partnership rather than as an association taxable as a corporation; and (ii) during such time as the Units are registered for sale to the public, in an amount at least equal to the greater of: (a) 1 percent of all capital contributions of all Partners to the Partnership; or (b) $25,000; or such other amount satisfying the requirements then imposed by the North American Securities Administrators Association, Inc. (NASAA) Guidelines. Further, during such time as the Units are registered for sale to the public, the General Partner shall, so long as it remains a general partner of the Partnership, maintain a net worth (as such term may be defined in the NASAA Guidelines) at least equal to the greater of: (i) 5 percent of the total capital contributions of all partners and all limited partnerships to which it is a general partner (including the Partnership) plus 5 percent of the Units being offered for sale in the Partnership; or (ii) $50,000; or such other amount satisfying the requirements then imposed by the NASAA Guidelines. In no event, however, shall the General Partner be required to maintain a net worth in excess of $1,000,000 or such other maximum amount satisfying the requirements then imposed by the NASAA Guidelines.

Ten percent of the General Partners limited partnership interest in the Partnership is characterized as a general partnership interest. Notwithstanding, the general partnership interest will continue to pay all fees associated with a limited partnership interest.

The Partnership pays the General Partner a monthly brokerage charge, organization and offering costs and operating expenses as presented in the table below:


			Organization and Offering
	Brokerage charge*		Reimbursement*		Operating Expense*
Class A units	7.00	%	0.10	%	0.25	%
Class B units	7.45	%	0.30	%	0.25	%
Legacy 1 Class units	4.50	%	0.30	%	0.25	%
Legacy 2 Class units	4.75	%	0.30	%	0.25	%
Global 1 Class units	3.95	%	0.30	%	0.25	%
Global 2 Class units	4.20	%	0.30	%	0.25	%
Global 3 Class units	5.95	%	0.30	%	0.25	%

*The fees are calculated and payable monthly on the basis of month-end adjusted net assets. “Adjusted net assets” is defined as the month-end net assets of the particular class before accruals for fees and expenses and redemptions.

Included in the total brokerage charge are amounts paid to the clearing brokers for execution and clearing costs, which are reflected in the commissions line of the consolidated statements of operations, and the remaining amounts are management fees paid to the Advisors, compensation to the selling agents and an amount to the General Partner for management services rendered, which are reflected in the brokerage charge line on the consolidated statements of operations. The brokerage charge in the amount of $2,293,183 and $7,517,779, respectively, for the three and nine months ended September 30, 2016 and $3,170,861 and $10,657,787, respectively, for the three and nine months ended September 30, 2015, are shown on the consolidated statements of operations.

Transaction costs and consulting fees are taken into account in determining the net amount the Partnership receives or pays in connection with swap transactions, but such costs or fees are not directly charged to the Partnership or any of its trading companies. The general partner will reduce (but not below zero) the brokerage charge by the amount

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of such costs and fees. Each class of units pays a fee to a counterparty in respect of any swap transaction of up to 0.50% of the notional amount of such swap transaction.

Ongoing organization and offering costs of the Partnership are paid for by the General Partner and reimbursed by the Partnership. The organization and offering costs in the amounts of $140,050 and $446,843, respectively, for the three and nine months ended September 30, 2016, and $182,058 and $602,272, respectively, for the three and nine months ended September 30, 2015, are shown on the consolidated statement of operations.

Operating expenses of the Partnership are paid for by the General Partner and reimbursed by the Partnership. To the extent operating expenses are less than 0.25 percent of the Partnership’s average month-end net assets during the year, the difference may be reimbursed pro rata to record-holders as of December 31 of each year. The operating expenses in the amounts of $120,999 and $385,937, respectively, for the three and nine months ended September 30, 2016 and $157,497 and $520,538, respectively, for the three and nine months ended September 30, 2015, are shown on the consolidated statement of operations.

An entity owned in part and controlled by Mr. Kavanagh, who indirectly controls and is president of Dearborn Capital Management, L.L.C., the general partner of the Partnership, and in part by Mr. Al Rayes, who is a principal of the general partner, and an entity owned in part and controlled by Mr. Meehan, the chief operating officer of the general partner, purchased a minority ownership interest in EMC, which is one of the commodity trading advisors of the Partnership. The general partner, on behalf of the Partnership, pays EMC a quarterly consulting fee and a quarterly incentive fee based on new trading profits, if any, achieved on EMC’s allocated net assets at the end of each period. For the three and nine months ended September 30, 2016, EMC was paid approximately $111,300 and $370,200, respectively, in consulting fees and $0 and $47,500, respectively, in incentive fees. For the three and nine months ended September 30, 2015, EMC was paid approximately $116,700 and $369,100, respectively, in consulting fees and $4,000 and $59,800, respectively, in incentive fees.

Note 6. Subscriptions, Redemptions and Allocation of Net Income or Loss

Subscriptions received in advance, if any, represent cash received prior to September 30 for contributions of the subsequent month and do not participate in earnings of the Partnership until the following July.

Class A, Class B, Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class Limited Partners have the right to redeem units as of any month-end upon ten (10) days’ prior written notice to the Partnership. The General Partner, however, may permit earlier redemptions in its discretion. Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class Limited Partners are prohibited from redeeming such units for the three months following the subscription for units. Global 3 Class Limited Partners who redeem their units after the three-month lock-up, but prior to the one-year anniversary of their subscriptions for the redeemed units, will pay the applicable early redemption fee. There are no redemption fees applicable to Legacy 1 Class, Legacy 2 Class, Global 1 Class and Global 2 Class Limited Partners or to Global 3 Class Limited Partners who redeem their units on or after the one-year anniversary of their subscription. Redemptions will be made as of the last day of the month for an amount equal to the net asset value per unit, as defined, represented by the units to be redeemed. The right to obtain redemption is also contingent upon the Partnership’s having property sufficient to discharge its liabilities on the redemption date and may be delayed if the General Partner determines that earlier liquidation of commodity interest positions to meet redemption payments would be detrimental to the Partnership or nonredeeming Limited Partners.

In addition, the General Partner may at any time cause the redemption of all or a portion of any Limited Partner’s units upon fifteen (15) days’ written notice. The General Partner may also immediately redeem any Limited Partner’s units without notice if the General Partner believes that (i) the redemption is necessary to avoid having the assets of the Partnership deemed Plan Assets under the Employee Retirement Income Security Act of 1974, as amended (“ERISA”), (ii) the Limited Partner made a misrepresentation in connection with its subscription for the units, or (iii) the redemption is necessary to avoid a violation of law by the Partnership or any Partner.

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In accordance with the Third Amended and Restated Limited Partnership Agreement, net income or loss of the Partnership is allocated to partners according to their respective interests in the Partnership as of the beginning of the month.

Note 7. Financial Highlights

The following financial highlights reflect activity related to the Partnership. Total return is based on the change in value during the period of a theoretical investment made by a limited partner at the beginning of each calendar month during the period and is not annualized. Individual limited partners’ ratios may vary from these ratios based on various factors, including but not limited to the timing of capital transactions.


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2016		2015		2016		2015

Total return – Class A Units	(3.25)	%	(1.01)	%	1.44	%	(8.09)	%
Total return – Class B Units	(3.41)	%	(1.17)	%	0.88	%	(8.53)	%
Total return – Legacy 1 Class Units	(2.69)	%	(0.44)	%	3.08	%	(6.57)	%
Total return – Legacy 2 Class Units	(2.75)	%	(0.50)	%	2.87	%	(6.74)	%
Total return – Global 1 Class Units	(2.60)	%	(0.53)	%	4.06	%	(6.52)	%
Total return – Global 2 Class Units	(2.63)	%	(0.58)	%	4.06	%	(6.65)	%
Total return – Global 3 Class Units	(3.06)	%	(1.01)	%	2.77	%	(7.83)	%
Ratios as a percentage of average net assets:
Expenses prior to incentive fees (1)	5.34	%	5.64	%	5.51	%	5.72	%
Incentive fees (2)	0.05	%	0.00	%	0.34	%	0.93	%
Total expenses	5.39	%	5.64	%	5.85	%	6.65	%
Net investment loss (1) (3)	(4.68)	%	(5.16)	%	(4.85)	%	(5.24)	%

(1)

Annualized.

(2)

Not annualized.

(3)

Excludes incentive fee.

The expense ratios above are computed based upon the weighted average net assets of the Partnership for the three and nine months ended September 30, 2016 and 2015 (annualized).

The following per unit performance calculations reflect activity related to the Partnership for the three and nine months ended September 30, 2016 and 2015.


Class A Units	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2016		2015		2016		2015

Per Unit Performance
(for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	1,145.71	$	1,158.26	$	1,092.80	$	1,247.57
Income (loss) from operations
Net realized and change in unrealized gain (loss) from trading*		(22.77)		3.69		61.38		(41.25)
Expenses net of interest income*		(14.45)		(15.33)		(45.69)		(59.70)
Total income (loss) from operations		(37.22)		(11.64)		15.69		(100.95)
Net asset value per unit at end of period	$	1,108.49	$	1,146.62	$	1,108.49	$	1,146.62

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Class B Units	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2016		2015		2016		2015

Per Unit Performance
(for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	944.30	$	961.43	$	904.13	$	1,038.84
Income (loss) from operations
Net realized and change in unrealized gain (loss) from trading*		(18.67)		3.13		50.92		(33.80)
Expenses net of interest income*		(13.51)		(14.35)		(42.93)		(54.83)
Total income (loss) from operations		(32.18)		(11.22)		7.99		(88.63)
Net asset value per unit at end of period	$	912.12	$	950.21	$	912.12	$	950.21


Legacy 1 Class Units	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2016		2015		2016		2015

Per Unit Performance
(for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	887.17	$	877.58	$	837.54	$	935.15
Income (loss) from operations
Net realized and change in unrealized gain (loss) from trading*		(17.73)		2.88		47.72		(30.92)
Expenses net of interest income*		(6.12)		(6.74)		(21.94)		(30.51)
Total income (loss) from operations		(23.85)		(3.86)		25.78		(61.43)
Net asset value per unit at end of period	$	863.32	$	873.72	$	863.32	$	873.72


Legacy 2 Class Units	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2016		2015		2016		2015

Per Unit Performance
(for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	869.69	$	862.56	$	822.19	$	920.26
Income (loss) from operations
Net realized and change in unrealized gain (loss) from trading*		(17.32)		2.81		46.16		(29.86)
Expenses net of interest income*		(6.59)		(7.12)		(22.57)		(32.15)
Total income (loss) from operations		(23.91)		(4.31)		23.59		(62.01)
Net asset value per unit at end of period	$	845.78	$	858.25	$	845.78	$	858.25

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Global 1 Class Units	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2016		2015		2016		2015

Per Unit Performance
(for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	873.55	$	858.24	$	817.71	$	913.24
Income (loss) from operations
Net realized and change in unrealized gain (loss) from trading*		(17.73)		1.07		51.65		(34.53)
Expenses net of interest income*		(4.95)		(5.64)		(18.49)		(25.04)
Total income (loss) from operations		(22.68)		(4.57)		33.16		(59.57)
Net asset value per unit at end of period	$	850.87	$	853.67	$	850.87	$	853.67


Global 2 Class Units	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2016		2015		2016		2015

Per Unit Performance
(for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	858.26	$	843.83	$	803.03	$	898.69
Income (loss) from operations
Net realized and change in unrealized gain (loss) from trading*		(17.24)		0.84		51.23		(32.63)
Expenses net of interest income*		(5.36)		(5.78)		(18.60)		(27.17)
Total income (loss) from operations		(22.60)		(4.94)		32.63		(59.80)
Net asset value per unit at end of period	$	835.66	$	838.89	$	835.66	$	838.89


Global 3 Class Units	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2016		2015		2016		2015

Per Unit Performance
(for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	756.61	$	756.48	$	713.66	$	812.47
Income (loss) from operations
Net realized and change in unrealized gain (loss) from trading*		(15.11)		0.71		45.63		(28.31)
Expenses net of interest income*		(8.04)		(8.38)		(25.83)		(35.35)
Total income (loss) from operations		(23.15)		(7.67)		19.80		(63.66)
Net asset value per unit at end of period	$	733.46	$	748.81	$	733.46	$	748.81

* Expenses net of interest income per unit are calculated by dividing the expenses net of interest income by the average number of units outstanding during the period. The net realized and change in unrealized gain (loss) from trading is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

Note 8. Trading Activities and Related Risks

The Partnership, through its Advisors or swap transactions based on reference programs of such advisors, engages in the speculative trading of a variety of instruments, including U.S. and foreign futures contracts, options on U.S. and foreign futures contracts and forward contracts and other derivative instruments including swap contracts (collectively, derivatives; see Note 10). These derivatives include both financial and nonfinancial contracts held as part of a diversified trading strategy. Additionally, the Partnership’s speculative trading includes equities and exchange-

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traded funds. The Partnership is exposed to both market risk, the risk arising from changes in the market value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

The purchase and sale of futures and options on futures contracts require margin deposits with FCMs. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than the total of cash and other property deposited. The Partnership utilizes UBS Securities LLC, SG Americas Securities, LLC and Wells Fargo Securities, LLC as its clearing brokers.

The amount of required margin and good faith deposits with the FCMs, interbank market makers and swap counterparties usually ranges from 5% to 35% of the Partnership’s net asset value. The cash deposited with the FCMs, interbank market makers and swap counterparties at September 30, 2016 and December 31, 2015 was $39,893,502 and $38,781,351, respectively, which was 21.95% and 18.14% of the net asset value, respectively.

For derivatives, risks arise from changes in the fair value of the contracts. Theoretically, the Partnership is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short. As both a buyer and seller of options, the Partnership pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid.

In addition to market risk, trading futures, forwards and swap contracts entails a credit risk that a counterparty will not be able to meet its obligations to the Partnership. The counterparty for futures and options on futures contracts traded in the United States and on most non-U.S. futures exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases in which the clearinghouse is not backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions.

In the case of forward contracts, over-the-counter options contracts or swap contracts, which are traded on the interbank or other institutional markets rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a clearinghouse backed by a group of financial institutions; thus, there likely will be greater counterparty credit risk. The Partnership trades only with those counterparties that it believes to be creditworthy. All positions of the Partnership are valued each day on a mark-to-market basis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Partnership.

Unlike futures and options on futures contracts, most swap contracts currently are not traded on or cleared by an exchange or clearinghouse. The CFTC currently requires only a limited class of swap contracts (certain interest rate and credit default swaps) to be cleared and executed on an exchange or other organized trading platform. In accordance with the Dodd-Frank Act, the CFTC will determine in the future whether other classes of swap contracts will be required to be cleared and executed on an exchange or other organized trading platform. Until such time as these transactions are cleared, the Partnership will be subject to a greater risk of counterparty default on its swaps. Because swaps do not generally involve the delivery of underlying assets or principal, the amount payable upon default and early termination is usually calculated by reference to the current market value of the contract. Swap dealers and major swap participants require the Partnership to deposit initial margin and variation margin as collateral to support such obligation under the swap agreement but may not themselves provide collateral for the benefit of the Partnership. If the counterparty to such a swap agreement defaults, the Partnership would be a general unsecured creditor for any termination amounts owed by

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the counterparty to the Partnership as well as for any collateral deposits in excess of the amounts owed by the Partnership to the counterparty, which would result in losses to the Partnership.

There are no limitations on daily price movements in swap transactions. Speculative position limits are not currently applicable to swaps, but in the future may be applicable for swaps on certain commodities. In addition, participants in swap markets are not required to make continuous markets in the swaps they trade, and determining a market value for calculation of termination amounts can lead to uncertain results.

Securities sold short represent obligations of the Partnership to deliver specific securities and thereby create a liability to purchase these instruments in the open market at prevailing prices. These transactions may result in market risk not reflected in the consolidated statement of financial condition as the Partnership’s ultimate obligation to satisfy its obligation for trading liabilities may exceed the amount reflected in the consolidated statement of financial condition.

The Partnership maintains deposits with high quality financial institutions in amounts that are in excess of federally insured limits; however, the Partnership does not believe it is exposed to any significant credit risk.

The General Partner has established procedures to actively monitor and minimize market and credit risks. The Limited Partners bear the risk of loss only to the extent of the fair value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

Note 9. Indemnifications

In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. The Partnership’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Partnership that have not yet occurred. The Partnership expects the risk of any future obligation under these indemnifications to be remote.

Note 10. Derivative Instruments

The Partnership follows the provisions of FASB ASC 815, Derivatives and Hedging. FASB ASC 815 is intended to improve transparency in financial reporting by requiring enhanced disclosures of an entity’s derivative instruments and hedging activities and their effects on the entity’s financial position, financial performance, and cash flows. FASB ASC 815 applies to all derivative instruments within the scope of FASB ASC 815-10-05. It also applies to non-derivative hedging instruments and all hedged items designated and qualifying as hedges under FASB ASC 815-10-05. FASB ASC 815 amends the current qualitative and quantitative disclosure requirements for derivative instruments and hedging activities set forth in FASB ASC 815-10-05 and generally increases the level of disaggregation that will be required in an entity’s financial statements. FASB ASC 815 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements (see Trading Activities and Related Risks, Note 8).

The Partnership’s business is speculative trading. The Partnership intends to close out all futures, options on futures and forward contracts prior to their expiration. The Partnership trades in futures and other commodity interest contracts and is therefore a party to financial instruments with elements of off-balance sheet market risk and credit risk. In entering into these contracts, the Partnership faces the market risk that these contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. The Partnership minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 25%.

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In addition to market risk, in entering into commodity interest contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Partnership. In general, clearing organizations are backed by the corporate members of the clearing organization who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases in which the clearing organization is not backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions.

In the case of forward contracts, over-the-counter options contracts or swap contracts, which are traded on the interbank or other institutional market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a central clearing organization backed by a group of financial institutions. As a result, there will likely be greater counterparty credit risk in these transactions. The Partnership trades only with those counterparties that it believes to be creditworthy. Nonetheless, the clearing member, clearing organization or other counterparty to these transactions may not be able to meet its obligations to the Partnership, in which case the Partnership could suffer significant losses on these contracts.

The Partnership does not designate any derivative instruments as hedging instruments under FASB ASC 815-10-05.

For the three and nine months ended September 30, 2016, the monthly average futures contracts bought and sold was approximately 46,743 and 51,975, respectively, and the monthly average forward contracts bought and sold was approximately 532 and 515, respectively. For the three and nine months ended September 30, 2015, the monthly average futures contracts bought and sold was approximately 51,231 and 66,124, respectively, and the monthly average forward contracts bought and sold was approximately 2,168 and 11,460, respectively. The following tables summarize the quantitative information required by FASB ASC 815:

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Fair Values of Derivative Instruments at September 30, 2016 and December 31, 2015


	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	9/30/2016		9/30/2016		Fair Value

Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	371,472	$	(350,015)	$	21,457

Currencies contracts	Net Unrealized gain (loss) on open futures contracts		865,168		(249,479)		615,689

Energy contracts	Net Unrealized gain (loss) on open futures contracts		481,360		(493,878)		(12,518)

Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		1,247,686		(623,568)		624,118

Meats contracts	Net Unrealized gain (loss) on open futures contracts		523,313		(6,947)		516,366

Metals contracts	Net Unrealized gain (loss) on open futures contracts		1,401,880		(1,539,288)		(137,408)

Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		799,247		(62,300)		736,947

Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		1,221,736		(538,335)		683,401

		$	6,911,862	$	(3,863,810)	$	3,048,052

Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	562,149	$	(236,472)	$	325,677

Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	—	$	(2,694,638)	$	(2,694,638)

*At September 30, 2016, the sector exposure of the CTA indices underlying the swaps was:

Deutsche Bank total return swap, termination date July 1, 2020
Interest rate contracts	43%
Forward currency contracts	42%
Stock indices	15%
Total	100%

Deutsche Bank total return swap, termination date March 29, 2019
Agricultural contracts	1%
Energy contracts	1%
Interest rate contracts	72%
Forward currency contracts	16%
Metals contracts	3%
Stock indices	7%
Total	100%

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	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	12/31/2015		12/31/2015		Fair Value

Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	708,940	$	(192,304)	$	516,636

Currencies contracts	Net Unrealized gain (loss) on open futures contracts		1,586,035		(488,106)		1,097,929

Energy contracts	Net Unrealized gain (loss) on open futures contracts		1,861,351		(1,035,133)		826,218

Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		853,598		(2,119,167)		(1,265,569)

Meats contracts	Net Unrealized gain (loss) on open futures contracts		18,294		(165,939)		(147,645)

Metals contracts	Net Unrealized gain (loss) on open futures contracts		1,206,519		(912,776)		293,743

Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		101,389		(273,791)		(172,402)

Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		614,583		(935,898)		(321,315)

		$	6,950,709	$	(6,123,114)	$	827,595

Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	682,325	$	(922,984)	$	(240,659)

Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	1,168,100	$	—	$	1,168,100

*At December 31, 2015, the sector exposure of the CTA indices underlying the swap was:

Interest rate contracts	43%
Forward currency contracts	42%
Stock indices and stock index options	15%
Total	100%

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

The Effect of Derivative Instruments on the Consolidated Statement of Operations for the Three and Nine Months Ended September 30, 2016 and 2015


		Three Months Ended		Three Months Ended		Nine Months Ended		Nine Months Ended
Type of Contract		September 30, 2016		September 30, 2015		September 30, 2016		September 30, 2015

Agriculturals contracts	Net gain (loss) from futures trading	$	(344,464)	$	(3,642,108)	$	1,705,400	$	(5,673,825)
Currencies contracts	Net gain (loss) from futures trading		(1,179,735)		(907,715)		(2,620,498)		(224,472)
Energy contracts	Net gain (loss) from futures trading		(3,845,918)		3,494,867		(1,192,066)		(481,619)
Interest rates contracts	Net gain (loss) from futures trading		(2,588,887)		6,881,657		21,639,195		7,219,014
Meats contracts	Net gain (loss) from futures trading		726,212		1,290,101		305,094		1,080,496
Metals contracts	Net gain (loss) from futures trading		(1,077,129)		3,250,322		(3,357,713)		(952,507)
Soft commodities contracts	Net gain (loss) from futures trading		495,726		(316,326)		(506,213)		(529,454)
Stock indices	Net gain (loss) from futures trading		4,274,961		(7,389,463)		2,368,613		(4,671,303)
Forward Currency Contracts	Net gain (loss) from forward trading		(177,604)		(1,531,467)		402,932		(2,112,059)
Swap Contracts	Net gain (loss) from swap trading		692,037		411,108		(3,862,738)		411,108

		$	(3,024,801)	$	1,540,976	$	14,882,006	$	(5,934,621)

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)


Line Item in Consolidated Statement of Operations	Three Months Ended				Nine Months Ended
	September 30, 2016		September 30, 2015		September 30, 2016		September 30, 2015

Net gain (loss) from futures trading
Realized	$	1,523,704	$	(4,068,248)	$	16,121,355	$	22,467
Change in unrealized		(5,062,938)		6,729,583		2,220,457		(4,256,137)
Total realized and changed in unrealized net gain (loss) from futures trading	$	(3,539,234)	$	2,661,335	$	18,341,812	$	(4,233,670)

Net gain (loss) from forward trading
Realized	$	220,489	$	(734,802)	$	(163,404)	$	(1,812,839)
Change in unrealized		(398,093)		(796,665)		566,336		(299,220)
Total realized and changed in unrealized net gain (loss) from forward trading	$	(177,604)	$	(1,531,467)	$	402,932	$	(2,112,059)

Net gain (loss) from swap trading
Change in unrealized	$	692,037	$	411,108	$	(3,862,738)	$	411,108
Total realized and changed in unrealized net gain (loss) from swap trading	$	692,037	$	411,108	$	(3,862,738)	$	411,108

Total realized and changed in unrealized net gain (loss) from futures, forward and swap trading	$	(3,024,801)	$	1,540,976	$	14,882,006	$	(5,934,621)

The tables below show the gross amounts of recognized derivative assets and gross amounts offset in the accompanying Consolidated Statements of Financial Condition:

Offsetting of Derivative Assets

As of September 30, 2016


					Net Amount of
			Gross Amounts		Unrealized Gain
			Offset in the		Presented in
	Gross Amount of		Consolidated		the Consolidated
	Recognized		Statement of		Statement of
Type of Instrument	Assets		Financial Condition		Financial Condition

U.S. and foreign futures contracts	$	6,911,862	$	(3,863,810)	$	3,048,052
Forward contracts		562,149		(236,472)		325,677
Swap contracts		—		(2,694,638)		(2,694,638)
Total derivatives	$	7,474,011	$	(6,794,920)	$	679,091

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Offsetting of Derivative Liabilities

As of September 30, 2016


					Net Amount of
			Gross Amounts		Unrealized Gain
			Offset in the		Presented in
	Gross Amount of		Consolidated		the Consolidated
	Recognized		Statement of		Statement of
Type of Instrument	Liabilities		Financial Condition		Financial Condition

U.S. and foreign futures contracts	$	3,863,810	$	(3,863,810)	$	—
Forward contracts		236,472		(236,472)		—
Swap contracts		2,694,638		(2,694,638)		—
Total derivatives	$	6,794,920	$	(6,794,920)	$	—

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of September 30, 2016


			Gross Amounts Not Offset in the Consolidated
			Statement of Financial Condition
	Net Amount of
	Unrealized Gain
	Presented in
	the Consolidated
	Statement of		Financial		Cash Collateral
Counterparty	Financial Condition		Instruments		Received		Net Amount

Deutsche Bank AG	$	(2,694,638)	$	—	$	—	$	(2,694,638)
SG Americas Securities, LLC		1,889,067		—		—		1,889,067
UBS Securities LLC		283,805		—		—		283,805
Wells Fargo Securities, LLC		1,200,857		—		—		1,200,857
Total	$	679,091	$	—	$	—	$	679,091

Offsetting of Derivative Assets

As of December 31, 2015


					Net Amount of
			Gross Amounts		Unrealized Gain
			Offset in the		Presented in
	Gross Amount of		Consolidated		the Consolidated
	Recognized		Statement of		Statement of
Type of Instrument	Assets		Financial Condition		Financial Condition

U.S. and foreign futures contracts	$	6,950,709	$	(6,123,114)	$	827,595
Forward contracts		682,325		(922,984)		(240,659)
Swap contracts		1,168,100		—		1,168,100
Total derivatives	$	8,801,134	$	(7,046,098)	$	1,755,036

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Offsetting of Derivative Liabilities

As of December 31, 2015


					Net Amount of
			Gross Amounts		Unrealized Gain
			Offset in the		Presented in
	Gross Amount of		Consolidated		the Consolidated
	Recognized		Statement of		Statement of
Type of Instrument	Liabilities		Financial Condition		Financial Condition

U.S. and foreign futures contracts	$	6,123,114	$	(6,123,114)	$	—
Forward contracts		922,984		(922,984)		—
Swap contracts		—		—		—
Total derivatives	$	7,046,098	$	(7,046,098)	$	—

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of December 31, 2015


			Gross Amounts Not Offset in the Consolidated
			Statement of Financial Condition
	Net Amount of
	Unrealized Gain
	Presented in
	the Consolidated
	Statement of		Financial		Cash Collateral
Counterparty	Financial Condition		Instruments		Received		Net Amount

Deutsche Bank AG	$	1,168,100	$	—	$	—	$	1,168,100
ED&F Man Capital Markets Inc		525,206						525,206
SG Americas Securities, LLC		281,024		—		—		281,024
UBS Securities LLC		(219,294)		—		—		(219,294)
Total	$	1,755,036	$	—	$	—	$	1,755,036

Note 11. Subsequent Events

The Partnership has evaluated subsequent events for potential recognition and/or disclosure. Subsequent to September 30, 2016, there were contributions and redemptions totaling approximately $7,611,000 and $7,511,000, respectively.

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ITEM 2.MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Introduction

Grant Park is a multi-advisor commodity pool organized to pool assets of its investors for the purpose of trading in the U.S. and international spot and derivatives markets for currencies, interest rates, stock indices, agricultural and energy products, precious and base metals and other commodities and underliers. The Partnership also engages in equity securities, listed options, broad-based exchange traded funds, hedge, arbitrage and cash trading of commodities, futures and swap contracts. Grant Park has been in continuous operation since it commenced trading on January 1, 1989. Grant Park’s general partner, commodity pool operator and sponsor is Dearborn Capital Management, L.L.C., an Illinois limited liability company. The manager of Dearborn Capital Management, L.L.C. is David M. Kavanagh, its President.

Organization of Grant Park

Grant Park invests the assets of each class of Grant Park in various Trading Companies which (i) enter into advisory agreements with the independent commodity trading advisors retained by the general partner; (ii) enter into swap transactions or derivative instruments tied to the performance of such trading advisors; and/or (iii) allocate assets to Grant Park’s cash management trading company. The following is a list of the Trading Companies, for which Grant Park is the sole member and all of which were organized as Delaware limited liability companies:

GP 1, LLC (“GP 1”) GP 5, LLC (“GP 5”) GP 9, LLC (“GP 9”) GP 15, LLC (“GP 15”)

GP 3, LLC (“GP 3”) GP 6, LLC (“GP 6”) GP 11, LLC (“GP 11”) GP 17, LLC (“GP 17”)

GP 4, LLC (“GP 4”) GP 8, LLC (“GP 8”) GP 14, LLC (“GP 14”) GP 18, LLC (“GP 18”)

There were no assets allocated to GP 3, GP 6, and GP 15 as of September 30, 2016

Grant Park invests through the Trading Companies with independent professional commodity trading advisors or through swap transactions based on reference programs of such advisors. Amplitude Capital International Limited, EMC Capital Advisors LLC, H2O Asset Management LLP, Lynx Asset Management AB, Quantica Capital AG, Rabar Market Research, Inc., Revolution Capital Management LLC, Transtrend B.V. and Winton Capital Management Limited serve as Grant Park’s commodity trading advisors or through swap transactions based on reference programs of such advisors. Each of the trading advisors that receives a direct allocation of assets from Grant Park is registered as a commodity trading advisor under the Commodity Exchange Act and is a member of the NFA. As of September 30, 2016, the general partner allocated between 5% to 25% of Grant Park’s net assets through the respective Trading Companies among its trading advisors or through swap transactions based on reference programs of such advisors to Amplitude, EMC, H2O, Lynx, Quantica, Rabar, RCM, Transtrend and Winton. No more than 25% of Grant Park’s assets are allocated to any one Trading Company and, in turn, any one trading advisor. The general partner may terminate or replace the trading advisors or retain additional trading advisors in its sole discretion.

The table below illustrates the trading advisors for each class of Grant Park’s outstanding limited partnership units as of September 30, 2016:

Amplitude

EMC

H2O

Lynx

Quantica

Rabar

RCM

Transtrend

Winton

Class A

Class B

Legacy 1

Legacy 2

Global 1

Global 2

Global 3

The trading advisors for the Legacy 1 Class and, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class units pursue a technical trend trading philosophy, which is the same trading philosophy the trading advisors have historically used for the Class A and Class B units.

The general partner may, in its sole discretion, reallocate assets among the trading advisors upon termination of a trading advisor or retention of any new trading advisors, or at the commencement of any month.

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Critical Accounting Policies

Grant Park’s most significant accounting policy is the valuation of its assets invested in U.S. and international futures and forward contracts, options contracts, swap transactions, other interests in commodities, and fixed income products. The majority of these investments are exchange-traded contracts, valued based upon exchange settlement prices. The remainder of its investments are non-exchange-traded contracts with valuation of those investments based on quoted forward spot prices, swap transactions with the valuation based on daily price reporting from the swap counterparty, and fixed income products, including securities of U.S. Government-sponsored enterprises, corporate bonds and commercial paper, which are stated at cost plus accrued interest, which approximates fair value based on quoted market prices in an active market. With the valuation of the investments easily obtained, there is little or no judgment or uncertainty involved in the valuation of investments, and accordingly, it is unlikely that materially different amounts would be reported under different conditions using different but reasonably plausible assumptions.

The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. Grant Park’s significant accounting policies are described in detail in Note 1 of the consolidated financial statements.

Grant Park is the sole member of each of the Trading Companies. The Trading Companies, in turn, are the only members of GP Cash Management, LLC. Grant Park presents consolidated financial statements which include the accounts of the Trading Companies and GP Cash Management, LLC. All material inter-company accounts and transactions are eliminated in consolidation.

Valuation of Financial Instruments

Grant Park follows the provisions of FASB ASC 820, Fair Value Measurements and Disclosures. Grant Park utilizes valuation techniques that are consistent with the market approach per the requirement of ASC 820 for the valuation of futures (exchange traded) contracts, forward (non-exchange traded) contracts, option contracts, swap transactions, other interests in commodities and fixed income products. FASB ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurement and also emphasizes that fair value is a market-based measurement, not an entity-specific measurement. Grant Park records all investments at fair value in the financial statements. Changes in fair value from the prior period are recorded as unrealized gain or losses and are reported in the consolidated statement of operations. Fair value of exchange-traded futures contracts and options on futures contracts are based upon exchange settlement prices. Grant Park values forward contracts and options on forward contracts based on the average bid and ask price of quoted forward spot prices obtained. U.S. Government securities, securities of U.S. Government-sponsored enterprises, corporate bonds and commercial paper are stated at cost plus accrued interest, which approximates fair value based on quoted market prices in an active market. Grant Park compares market prices quoted by dealers to the cost plus accrued interest to ensure a reasonable approximation of fair value. Grant Park values bank deposits at face value plus accrued interest, which approximates fair value. The investment in the total return swap is reported at fair value based on daily price reporting from the swap counterparty.

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Results of Operations

Grant Park’s returns, which are Grant Park’s trading gains plus interest income less brokerage fees, performance fees, operating costs and offering costs borne by Grant Park, for the three and nine months ended September 30, 2016 and 2015, are set forth in the table below:


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2016		2015		2016		2015
Total return – Class A Units	(3.25)	%	(1.01)	%	1.44	%	(8.09)	%
Total return – Class B Units	(3.41)	%	(1.17)	%	0.88	%	(8.53)	%
Total return – Legacy 1 Class Units	(2.69)	%	(0.44)	%	3.08	%	(6.57)	%
Total return – Legacy 2 Class Units	(2.75)	%	(0.50)	%	2.87	%	(6.74)	%
Total return – Global 1 Class Units	(2.60)	%	(0.53)	%	4.06	%	(6.52)	%
Total return – Global 2 Class Units	(2.63)	%	(0.58)	%	4.06	%	(6.65)	%
Total return – Global 3 Class Units	(3.06)	%	(1.01)	%	2.77	%	(7.83)	%

Grant Park’s total net asset value at September 30, 2016 was approximately $181.7 million, at December 31, 2015 was approximately $213.7 million, and at September 30, 2015 was approximately $241.5 million, respectively. Results from past periods are not indicative of results that may be expected for any future period.

The table below sets forth Grant Park’s trading gains or losses by sector, excluding the swap transactions, for the three and nine months ended September 30, 2016 and 2015.


	% Gain (Loss)		% Gain (Loss)		% Gain (Loss)
	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2016		2015		2016		2015

Agriculturals	(0.2)	%	(1.5)	%	0.9	%	(2.4)	%
Currencies	(0.7)		(0.4)		(1.4)		(0.1)
Energy	(2.1)		1.5		(0.7)		(0.2)
Interest rates	(1.4)		2.8		11.9		3.0
Meats	0.4		0.5		0.2		0.4
Metals	(0.6)		1.3		(1.8)		(0.4)
Soft commodities	0.3		(0.1)		(0.3)		(0.2)
Stock indices	2.3		(3.1)		1.3		(1.9)
Forward Currency Contracts	(0.1)		(0.6)		0.2		(0.9)

Total	(2.1)	%	0.4	%	10.3	%	(2.7)	%

Three months ended September 30, 2016 compared to three months ended September 30, 2015

For the three months ended September 30, 2016, Grant Park had a negative return of approximately 3.3% for the Class A units, a negative return of approximately 3.4% for the Class B units, a negative return of approximately 2.7% for the Legacy 1 Class units, a negative return of approximately 2.8% for the Legacy 2 Class units, a negative return of approximately 2.6% for the Global 1 Class units, a negative return of approximately 2.6% for the Global 2 Class units, and a negative return of approximately 3.1% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading losses of approximately 2.1% which were decreased by gains of approximately 0.4% from swap transactions and decreased by gains of approximately 0.2% from interest income. These trading profits were decreased by approximately 1.7% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park. For the same period in 2015, Grant Park had a negative return of approximately 1.0% for the Class A units, a negative return of approximately 1.2% for the Class B units, a negative return of approximately 0.4% for the Legacy 1 Class units, a negative return of approximately 0.5% for the Legacy 2 Class units, a negative return of approximately 0.5% for the Global 1 Class units, a negative return of approximately 0.6% for the Global 2 Class units and a negative return of approximately 1.0% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had

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trading gains of approximately 0.4%, which were increased by gains of approximately 0.2% from swap transactions and 0.1% from interest income. These trading gains were decreased by approximately 1.7% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park.

Nine months ended September 30, 2016 compared to nine months ended September 30, 2015

For the nine months ended September 30, 2016, Grant Park had a positive return of approximately 1.4% for the Class A units, a positive return of approximately 0.9% for the Class B units, a positive return of approximately 3.1% for the Legacy 1 Class units, a positive return of approximately 2.9% for the Legacy 2 Class units, a positive return of approximately 4.1% for the Global 1 Class units, a positive return of approximately 4.1% for the Global 2 Class units, and a positive return of approximately 2.8% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading profits of approximately 10.3% which were decreased by losses of approximately 2.1% from swap transactions and increased by approximately 0.6% from interest income. These trading profits were decreased by approximately 7.0% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park. For the same period in 2015, Grant Park had a negative return of approximately 8.1% for the Class A units, a negative return of approximately 8.5% for the Class B units, a negative return of approximately 6.6% for the Legacy 1 Class units, a negative return of approximately 6.7% for the Legacy 2 Class units, a negative return of approximately 6.5% for the Global 1 Class units, a negative return of approximately 6.7% for the Global 2 Class units and a negative return of approximately 7.8% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading losses of approximately 2.7%, which were decreased by gains of approximately 0.2% from swap transactions and 0.4% from interest income. These trading losses were increased by approximately 6.0% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park.

Three and nine months ended September 30, 2016

Grant Park registered losses in the third quarter as gains in the equities, agriculturals and softs sectors were offset by losses in the energy, fixed income, metals and currencies sectors.

For July, positive performance was driven by investments in the equities markets. Grant Park's long exposure capitalized as equities rebounded from post-Brexit declines during the beginning of July. The markets moved lower and traded within a narrow range during the middle of the month, during which corporate earnings reports in the U.S. generally contained smaller-than-expected declines in quarterly earnings and rallied to end the month higher. Long positions in metals added to gains as metals prices moved higher due to political unrest in Turkey and the Eurozone. Long dollar positions partially offset gains with losses in the Japanese yen as its value decreased in anticipation of quantitative easing, only to reverse direction after the Bank of Japan unexpectedly declined to announce any actions.

August's performance was negative and largely driven by positions in energy, metals, fixed income and currencies markets. An increase in prices across the energy sector moved against Grant Park’s existing short positions in heating oil, crude oil, and gas oil positions. The majority of energy positions were liquidated as prices increased and overall exposure to the sector was reduced by month-end. The Federal Reserve’s ambiguous commitment to raising interest rates negatively impacted multiple markets. Yields in the fixed-income markets rose as investors anticipated an interest rate increase in September. Grant Park’s long exposure to the sector lost value and overall exposure to the sector was reduced from 25% to 21%. The prospect of higher interest rates also caused precious metals prices to fall, which further added to Grant Park’s losses.

Grant Park’s performance was negative in September because of negative performance in the fixed income, energy, metals and equities markets. Long exposure to the fixed-income markets experienced losses as the price for U.S. 30-Year Treasury Bonds fell due to concerns about inflation and a December rate hike. Long exposure to metals markets registered losses as prices fell following economic data that showed a robust economy and hawkish comments by Federal Reserve officials. In the energy sector, OPEC issued guidance near the end of September that suggested future production cuts. The announcement firmed current price levels and increased the odds for more price stability in the future. Long positions in the equities sector lost value as indices performed poorly on concerns about the stability of the financial sector.

Key trading developments for Grant Park during the first nine months of 2016 included the following:

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January. Grant Park recorded gains during the month. Class A units were up 4.27%, Class B units were up 4.20%, Legacy 1 Class units were up 4.27%, Legacy 2 Class units were up 4.25%, Global 1 Class units were up 4.32%, Global 2 Class units were up 4.37% and Global 3 Class units were up 4.24%. Commodity currencies, including the Australian, New Zealand, and Canadian dollars, weakened as prices in the commodities sectors fell. The Canadian dollar also fell due to weakness in the energy markets. The British pound moved lower in anticipation the Bank of England will continue to delay raising interest rates. The Japanese yen declined after the Bank of Japan announced new stimulus initiatives. Prices in the crude oil markets fell on speculation sanctions against Iran will be lifted, which would further expand global supplies. Oil markets also fell as downtrends in the Chinese equity markets weighed on forecasts for demand globally. Natural gas and heating oil prices declined due to forecasts for warmer weather. Global equity markets finished a volatile month lower due to ongoing concerns surrounding the Chinese economy and due to the impact of steep price declines in the crude oil markets. U.S. Treasury markets moved sharply higher after the Bank of Japan announced further stimulus measures. Investors also drove debt prices higher on speculation the recent volatility in the global economy, coupled with aggressive stimulus efforts abroad, could cause the Federal Reserve to delay raising interest rates. Disappointing U.S. economic indicators also pushed debt prices higher. U.K fixed income markets rallied on increased demand for safe-haven assets amid downturns in the European equity markets. Corn prices rose as production in India and South Africa fell and because of an improved outlook for economic growth and consumer demand. Sugar markets fell on weak global demand and on heavy selling by large commodity funds. Cocoa markets declined to multi-month lows due to improved forecasts for crop output from the Ivory Coast. Coffee markets fell due to increased production from Vietnam. Gold and silver prices rose in anticipation the downturns in the U.S. economy and equity markets may cause the Federal Reserve to delay raising interest rates. Base metals markets fell because of continued elevated global supplies and reduced demand concerns fostered by equity market declines.

February. Grant Park recorded gains during the month. Class A units were up 2.95%, Class B units were up 2.94%, Legacy 1 Class units were up 3.05%, Legacy 2 Class units were up 3.04%, Global 1 Class units were up 3.16%, Global 2 Class units were up 3.17% and Global 3 Class units were up 3.05%. The U.S. dollar weakened against its global counterparts as mixed U.S. economic data caused speculation the Federal Reserve could delay an additional increase in interest rates. The Canadian dollar strengthened with a rally in the oil markets. The euro and British pound weakened as concerns of a British exit from the European Union weighed on the currencies. Prices in the crude oil markets rose slightly after data showed the number of oil-drilling rigs in the U.S. decreased and on reports OPEC members and Russia agreed to meet to discuss capping crude production at January levels. Natural gas markets fell over 25% due to excess supplies and on forecasts for milder weather across the U.S. U.S. and U.K. equity markets finished a volatile month slightly higher after revised data showed fourth-quarter growth in the U.S. economy was stronger than expected; a rally in oil prices also helped lift the equity markets. Concerns about the strength of the Chinese economy caused Asian equity markets to decline. Global fixed income markets moved higher on increased demand for safe-haven assets amidst rising concerns about global economic growth and the possibility England might exit the European Union. Volatility in the equity markets added to the demand for fixed income investments. Corn and wheat prices declined as supplies exceeded demand and the USDA forecasted increased plantings. Soybean markets finished lower as supplies increased amidst weak sales and forecasts of low prices for another year. Sugar prices rose over 10% on projections that weather-disrupted supplies may not keep up with overall demand. Cocoa markets rose as inclement weather threatened to reduce supplies from Ghana, the world’s second largest cocoa producing country. Precious metals prices rose, driven by increased demand for safe-haven assets amidst equity market volatility and a weaker U.S. dollar. Copper and base metal prices rose slightly on expectations of increased demand as China’s government announced several tax reductions which could lead to increased property sales. Copper also benefitted from positive U.S. economic data, declining inventories and a weaker U.S. dollar.

March. Grant Park recorded losses during the month. Class A units were down 3.01%, Class B units were down 3.09%, Legacy 1 Class units were down 2.61%, Legacy 2 Class units were down 2.63%, Global 1 Class units were down 2.36%, Global 2 Class units were down 2.40% and Global 3 Class units were down 2.54%. The U.S. dollar fell against its global counterparts following the Federal Reserve's announcement it increase interest rates more slowly than previously discussed. The Canadian dollar strengthened on the continued rally in crude oil markets. The British pound strengthened as concerns eased over a British exit from the European Union. The Australian dollar rose to its highest levels since August as GDP exceeded expectations. Prices in the crude oil markets rose over 13% as U.S. production continued to fall and discussions continued among major oil producers about a potential output freeze. Natural gas markets rose over 14% as U.S. storage levels fell and on forecasts for cooler weather in the U.S. which would boost heating-related demand. Global equity markets rose, fueled by rising oil and commodity prices and by a weaker U.S.

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dollar. Equity markets were also helped by easing concerns over global growth, by the Federal Reserve's clarification about interest rate increases and by the European Central Bank's decision to cut interest rates and to increase its quantitative easing initiatives. Global fixed income markets moved lower as positive economic data and gains in the equity and commodity markets reduced demand for the safe haven assets. A weaker dollar also put pressure on the fixed income markets. Wheat prices increased on expectations of smaller crop yields and on speculation a weaker U.S. dollar will enhance U.S. exports. Soybean markets finished higher, bolstered by a weaker U.S. dollar and positive export sales data. Sugar prices rose on increased demand and news that Brazil's sugar production for 2017 would be lower than the market anticipated. Coffee markets rose as erratic weather patterns lowered expectations of future supplies. Gold prices declined after positive U.S. jobs and manufacturing data and gains in the equity markets reduced demand for the safe haven asset. Copper prices rose on a weaker U.S. dollar, production cuts from copper producers and expectations China would unveil additional stimulus measures.

April. Grant Park recorded losses during the month. Class A units were down 2.03%, Class B units were down 2.08%, Legacy 1 Class units were down 1.85%, Legacy 2 Class units were down 1.87%, Global 1 Class units were down 1.79%, Global 2 Class units were down 1.85% and Global 3 Class units were down 2.01%. The U.S. dollar weakened against its global counterparts on expectations the Federal Reserve would proceed cautiously in adjusting interest rates, thereby lowering expectations of a rate hike in April or June. The Japanese yen strengthened after the Bank of Japan left its monetary policy unchanged. The Canadian dollar strengthened in anticipation the next OPEC meeting would announce production caps. Positive housing data also added strength to the currency. The British pound moved higher following better-than-expected economic news out of the Eurozone. Prices in the crude oil markets rose almost 20% after U.S. inventory levels unexpectedly declined and signs showed U.S. production is likely to continue to decrease. Natural gas and heating oil prices rose on forecasts for cooler weather and on reports the number of natural gas rigs are at the lowest levels since November 2009. Global equity markets finished slightly higher despite disappointing earnings reports, particularly in the technology sector. Global equity markets rose on better-than-expected Chinese trade data, lower expectations of an immediate U.S. interest rate hike and positive U.S. employment data. Global fixed income markets moved lower due to positive Chinese trade data, encouraging U.S. employment data and shifting expectations about rate hikes. Corn and soybean markets rose to year-to-date highs caused by three factors: reports from the USDA of strong export sales; indications of economic stabilization in China; and concerns about potentially adverse weather conditions during the upcoming growing season. Sugar prices rose on increased demand and forecasts of a supply deficit, as well as on reports India could begin importing sugar this year. Coffee prices moved lower, pressured by a weaker Brazilian real and expectations of high yields from Brazil’s upcoming harvest. Cocoa prices increased on weaker production data from Europe. Precious metals moved higher as concerns over the strength of the global economy increased demand for the safe haven asset. Copper and base metals prices moved higher as positive economic data from China led to expectations of increased demand.

May. Grant Park recorded losses during the month. Class A units were down 2.12%, Class B units were down 2.17%, Legacy 1 Class units were down 1.93%, Legacy 2 Class units were down 1.95%, Global 1 Class units were down 2.24%, Global 2 Class units were down 2.27% and Global 3 Class units were down 2.41%. The U.S. dollar strengthened against its global counterparts due to speculation about an interest rate increase and on disappointing international economic data which is suggestive of sluggish global growth. The Japanese yen declined ahead of the G7 meeting which discussed potential Japanese plans to weaken their currency. The Canadian dollar fell on disappointing economic data. Crude oil prices rose as demand increased and risks to future supplies were reinforced by a pipeline disruption in Nigeria and wildfires in Alberta, Canada. A decline in the number of active U.S. oil rigs and in U.S. crude stockpiles also moved crude oil markets higher. Natural gas prices rose as forecasts for warm weather raised expectations of increased demand. Global equity markets finished higher on increasing oil prices, better than expected earnings and positive global cues. U.S. fixed income markets were mixed, with shorter-term treasuries down slightly on growing expectations of a possible interest rate hike. U.K fixed income markets rose on increased demand and as investors await a vote over a possible British exit from the European Union. Corn and soybean markets rose on improving demand, on USDA reports of slower planting progress in the U.S. and on smaller crop yields from South America. The USDA also reported soybean supplies were much lower than expected, which bolstered the markets. Cocoa prices fell in anticipation the current ideal crop-growing conditions could cause a potential surplus. Sugar markets rose on increased demand and continued weak supplies. Precious metals markets declined due to three factors: strength in the U.S. dollar, strength in the equity markets and indications the Federal Reserve may increase interest rates in the near term. Copper and base metals prices moved lower amidst concerns over mounting debt and slowing growth in China.

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June. Grant Park recorded gains during the month. Class A units were up 5.00%, Class B units were up 4.89%, Legacy 1 Class units were up 5.15%, Legacy 2 Class units were up 5.12%, Global 1 Class units were up 5.89%, Global 2 Class units were up 6.02% and Global 3 Class units were up 5.90%.The currencies sector reacted to the pressures the Brexit referendum caused in the fixed-income sector and the Fund benefited from a combination of cross-currency investments. The British pound fell over 11% immediately after the voting results were announced and only partially recovered against the U.S. dollar by month's end. Crude oil prices moved within a narrow range throughout the month, rose, and ended the month essentially unchanged. Natural gas prices continued a three-month rise as weather-related demand continued to increase. The global equities markets roiled during post-Brexit trading sessions. Equities in Europe and Asia experienced sharp declines after the British vote but were able to partially recover value before the end of the month. Yields fell on global debt instruments throughout the month, propelled by the Federal Reserve's decision to delay raising interest rates, and were accelerated by the U.K.'s vote to leave the European Union. Various U.S., U.K., German, and Japanese fixed-income instruments reached historic-low yields. Soybean prices traded over a wide price range during the month and ended the month slightly below the intra-month high. Corn and wheat prices fell sharply during the last two weeks of June as continued moderate weather is creating ideal growing conditions and estimates for this season's crop yield continue to increase. Precious metals markets rose sharply as investors sought safe-haven assets in the uncertainty about the implications and timing of the U.K.'s withdrawal from the European Union. General uncertainty about the overall strength of the regional economics caused prices to move erratically.

July. Grant Park recorded gains during the month. Class A units were up 1.93%, Class B units were up 1.87%, Legacy 1 Class units were up 2.12%, Legacy 2 Class units were up 2.10%, Global 1 Class units were up 2.18%, Global 2 Class units were up 2.16% and Global 3 Class units were up 2.01%. Prices across the global currencies markets were stable throughout the month and the U.S. dollar remained strong. The British pound, euro, and Australian dollar finished the month essentially unchanged. The Japanese yen was more volatile, as its value decreased in anticipation of quantitative easing, only to reverse direction after the Bank of Japan unexpectedly declined to announce any additional actions. Crude oil prices continued to fall during the month due to overproduction and abundant supplies and finished the month 14% lower, posting the largest one-month decline in the past year. Equities sectors rebounded from post-Brexit declines during the beginning of July. The markets moved lower and traded within a narrow range during the middle of the month and then rallied to end the month higher due to corporate earnings reports in the U.S. which generally contained smaller-than-expected declines in quarterly earnings. Fixed income markets also traded in narrow ranges during July as global investors assessed whether the Federal Reserve would raise interest rates in September, the Bank of Japan would expand its accommodative monetary policy, and the Bank of England and the ECB would intervene in the aftermath of the Brexit referendum. Prices for corn, soybeans, wheat and cocoa fell slightly during July in the absence of any significant information or adverse weather conditions that would significantly impact the supplies of the commodities. Gold, silver and platinum prices moved higher during the month as political unrest in Turkey and the Eurozone sparked a flight to safety. Uncertainty about the need for and timing of additional quantitative easing initiatives added to demand for precious metals.

August. Grant Park recorded losses during the month. Class A units were down 3.14%, Class B units were down 3.20%, Legacy 1 Class units were down 2.96%, Legacy 2 Class units were down 2.98%, Global 1 Class units were down 2.94%, Global 2 Class units were down 2.96% and Global 3 Class units were down 3.11%. The U.S. dollar ended the month up less than one percent versus both the euro and the Japanese yen amidst a volatile trading environment. Energy prices moved sharply during the month. Rising prices across the sector moved against the Fund’s existing short positions in heating oil, crude oil, and gas oil positions. The majority of positions were liquidated as prices increased and overall exposure to the sector was reduced by month-end. Domestic equity indexes fell slightly as the markets demonstrated unusually low volatility. Reports of slowing consumer spending offset a strong job-growth report. The Hang Seng Index reached new highs on strong capital inflows data. Yields in the fixed-income markets reversed direction and began to rise as investors anticipated an interest rate increase in September. Overall exposure to the sector was reduced. Corn and wheat markets fell to multi-year lows based on projections for record-large harvests. Sugar prices surged higher due to expectations of a significant decrease in output worldwide. Orange juice prices trended strongly upward as a combination of unfavorable weather and a crop infestation in Florida have dramatically reduced the amount of available supplies. Orange juice prices have risen 60% during the last 12 months. Gold, silver and platinum prices moved lower during the month as the prospect of higher interest rates caused precious metals prices to fall.

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September. Grant Park recorded losses during the month. Class A units were down 2.00%, Class B units were down 2.05%, Legacy 1 Class units were down 1.81%, Legacy 2 Class units were down 1.83%, Global 1 Class units were down 1.78%, Global 2 Class units were down 1.78% and Global 3 Class units were down 1.92%. The Australian dollar strengthened on rising crude oil prices, the recovery in European stocks, and on solid Chinese economic data. The Japanese yen strengthened after the Bank of Japan evaluated its negative interest rates policy and decided to leave interest rates unchanged as it evaluated whether to consider further stimulus actions. The British pound continued to weaken following the Brexit vote. Energy prices finished the month virtually unchanged. Prices traded in a narrow range after OPEC announced guidance concerning potential production cuts in the future. Global equities declined as many indices performed poorly on concerns about the overall strength of the global economy. The Hang Seng Index rose, led by energy companies. Yields in the fixed-income markets rose in anticipation the U.S. Federal Reserve will increase interest rates before the year end. The European Central Bank decided not to announce additional stimulus plans and the Bank of Japan evaluated its negative interest rates and economic stimulus policies. Sugar rallied 12% to a four-year high on robust demand and limited production caused by adverse weather conditions in Brazil. Meat prices also rose as demand spiked. Corn and soybean prices rose on reports of strong export sales and on rising demand. Gold, silver, and platinum prices moved lower as the prospect of higher interest rates reduced demand.

Three and nine months ended September 30, 2015

Grant Park experienced minor setbacks as gains from the fixed-income and metals sectors were slightly outweighed by losses in the equity and currency markets.

For July, positions in the metals markets drove positive performance. Grant Park's short positions in the base metals gained value as markets fell sharply after China reported weak economic data, which further depressed industrial demand for non-precious metals. Short positions in the precious metals sector also gained in value after the Federal Reserve indicated it would support an interest rate hike in 2015. The Fed's apparent position reduced demand for dollar-hedging assets which, in turn, drove gold prices lower. The resulting strength in the U.S. dollar benefitted Grant Park’s long-dollar exposure. Positions in the grains markets registered losses after the U.S. Department of Agriculture increased its crop-yield estimates and caused a sharp selloff. Grant Park’s held long positions when the price reversal occurred and the positions lost value.

Grant Park had negative performance in August because of sharp reversals in the equity and currency markets. The Chinese equity markets experienced several downturns throughout the month. These events sparked investor concerns about the state of the global economy and triggered a wide-scale selloff in equity markets worldwide. Grant Park held long positions at the onset of the sharp reversals and lost money as prices trended down. Grant Park reduced its long exposure and was ultimately short for the sector at month's end. Equity market weakness indirectly pressured the U.S. dollar lower and against Grant Park's long exposure as investors doubted the overall strength of the global economy and questioned whether the Federal Reserve would raise interest rates in the near-term. Additionally, short positions in the energy markets experienced losses after an emergency meeting by OPEC supported a potential decline in global production and drove prices in the crude oil complex higher.

September's performance was strong and positive. Long positions in the debt markets profited when tepid economic indicators in the U.S. combined with concerns about economic growth abroad to fuel increased demand for safe-haven assets. The decision by the Federal Reserve to leave interest rates unchanged drove the fixed-income markets higher. Finally, short exposure to the energy sector gained value after energy supplies were reported to have increased, which drove prices lower as demand fell, due, in part, to forecasts for reduced industrial demand from China.

Key trading developments for Grant Park during the first nine months of 2015 included the following:

January. Grant Park recorded gains during the month. Class A units were up 2.82%, Class B units were up 2.77%, Legacy 1 Class units were up 2.91%, Legacy 2 Class units were up 2.89%, Global 1 Class units were up 2.98%, Global 2 Class units were up 2.96% and Global 3 Class units were up 2.83%. Crude oil prices continued to decline as global supplies remained strong amidst weak overall demand. Natural gas markets also fell as inventories declined less than forecast. Grains prices declined after the U.S. Department of Agriculture reported stronger-than expected supplies and weak export sales. Soybean markets moved to a new low as export sales slipped because of large cancellations by China. Gold prices rose with an increase in demand for safe-haven assets as investors attempted to hedge against

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declines in the euro. Copper markets finished lower as global inventories increased and concerns grew over slowing Chinese growth. The Swiss franc rose sharply after the Swiss National Bank unexpectedly announced it would no longer hold the Swiss franc at a fixed exchange rate with the euro. The euro further weakened after the ECB announced its plans to expand quantitative easing. The Canadian dollar declined as weakness in the energy markets drove the currency sharply lower. European equity markets moved higher after the ECB expanded its quantitative easing initiatives. U.S. equity markets weakened following weak economic data, weaker-than-expected corporate earnings and continued declines in the energy sector. U.S. Treasury markets rose due to increased demand for safe-haven assets which was prompted by the uncertainty surrounding economic stability in Europe and steep price declines in the energy markets. Speculation the U.S. Federal Reserve may delay raising interest rates also supported fixed-income markets. The German Bund strengthened after the ECB announced its plans to purchase over €1 trillion of European sovereign debt over the next 2 years.

February. Grant Park recorded gains and losses during the month. Class A units were down 0.26%, Class B units were down 0.31%, Legacy 1 Class units were down 0.04%, Legacy 2 Class units were down 0.06%, Global 1 Class units were up 0.01%, Global 2 Class units were down 0.01% and Global 3 Class units were down 0.14%. Crude oil prices increased as production fell and demand rose. Natural gas and heating oil markets moved higher as demand for heating fuels rose because of cold temperatures in the U.S. Corn and wheat markets rose as weakness in the U.S. dollar made U.S. grains more attractive to international buyers. Concerns about crop damage caused by recent cold weather also supported higher grains prices. Soybean and cocoa markets moved higher because of weak supply forecasts. Coffee prices fell after rains in Brazil eased previous supply concerns. Gold markets fell after the Greek government reached a new debt agreement with its European creditors. Strength in the U.S. dollar and lower demand for safe-haven assets also put pressure on gold. Copper markets moved higher due to stronger-than-expected Chinese manufacturing activity. The U.S dollar strengthened against global counterparts on renewed beliefs the U.S. Federal Reserve will raise interests rates in June. Strong economic indicators, including better-than-expected U.S. jobless claims data and durable goods orders, also strengthened the dollar. The euro declined as investors prepared for the start of the ECB’s new quantitative easing initiatives. Global equity markets rose to all-time highs on upbeat corporate earnings reports in the U.S. and on renewed beliefs the Greek government would not default on its debt obligations. The rallies were strengthened after Federal Reserve Chair Yellen reaffirmed the Federal Reserve would wait to raise U.S. interest rates until at least mid-year. The Japanese Nikkei 225 index finished near a 15-year high due to bullish economic data from the region. U.S. fixed income markets fell as global investors liquidated debt positions and shifted their focus towards riskier assets. Debt prices moved lower after Greek debt negotiations spurred optimism for the Eurozone. U.K. fixed-income markets lost value following reports of significant improvement in the U.K. labor market.

March. Grant Park recorded gains during the month. Class A units were up 0.36%, Class B units were up 0.31%, Legacy 1 Class units were up 0.52%, Legacy 2 Class units were up 0.50%, Global 1 Class units were up 0.56%, Global 2 Class units were up 0.55% and Global 3 Class units were up 0.42%. Crude oil prices fell as beliefs a deal over Iran’s nuclear program could lead to the removal of sanctions and increase global supplies. Natural gas prices moved lower on expectations of reduced demand because of warmer weather in the U.S. Prices were also pressured after the U.S. Energy Information Administration reported a large increase in supplies. Corn and wheat markets fell after the U.S. Department of Agriculture forecasted larger-than-expected plantings and increased supply forecasts for this spring. Coffee and sugar prices moved lower because of improved weather conditions in Brazil and weakness in the Brazilian real. Gold markets rallied as strength in the U.S. dollar reduced demand for assets used to hedge the dollar. Copper markets moved higher mid-month as protests halted production at one of the world’s largest copper mines and spurred supply concerns. Strength in the copper markets was slightly offset by declines caused by worse-than expected U.S. and Chinese manufacturing data.

The U.S dollar strengthened against global counterparts due to a rally prompted by bullish economic data and after comments from Federal Reserve Chair Yellen supported speculation the U.S. would see an interest rate increase far sooner than its international counterparts. The euro fell after the first round of quantitative easing initiatives by the ECB. In the U.K., the British pound fell in reaction to disappointing economic indicators, political uncertainty ahead of the U.K. elections in May, and the Bank of England’s decision to keep interest rates unchanged. U.S. equity markets fell amidst concerns over potential interest rate hikes and forecasts of a weak first quarter earnings season. European equity markets moved higher, led by Germany’s Dax Index, driven by hopes the ECB’s new quantitative easing measures would fuel growth in the Eurozone. In Japan, the Nikkei 225 Index finished higher because of strong corporate earnings. U.S. Treasury markets moved higher after weak U.S. economic data and comments from the Federal Reserve fueled

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speculation a U.S. interest rate hike was not imminent. Increased demand for safe-haven assets amidst geopolitical turmoil in the Middle East and equity market declines also played a role in driving fixed-income prices higher.

April. Grant Park recorded losses during the month. Class A units were down 4.01%, Class B units were down 4.07%, Legacy 1 Class units were down 3.81%, Legacy 2 Class units were down 3.83%, Global 1 Class units were down 3.84%, Global 2 Class units were down 3.83% and Global 3 Class units were down 3.99%. Crude oil markets rallied over 25% and reached a new high for 2015 as both U.S. inventories and active U.S. drilling rigs declined. Continued violence between Saudi Arabia and Yemen contributed to the price increases. Natural gas markets rose following forecasts for abnormally warm temperatures in May. Wheat markets fell to a 5-year low due to a combination of favorable weather in the Midwest and weaker-than-expected export data. Soybean prices rose as protests involving Brazilian truckers spurred supply concerns. Precious metals markets finished lower due to weak demand and on speculation the U.S. Federal Reserve may raise interest rates in the 3rd quarter. Prices for industrial metals generally increased after the Chinese government decided to lower capital reserve requirements and, in turn, supported industrial demand forecasts. The U.S. dollar fell as weaker-than-expected U.S. growth data fueled speculation the Federal Reserve may further delay raising interest rates. The euro strengthened sharply on a favorable economic outlook for the Eurozone and on renewed optimism Greece would be able to renegotiate their debt obligations. Asian equity markets moved sharply higher in anticipation China’s new quantitative easing efforts would bolster growth in the region. U.S. equity markets rallied on strong corporate earnings and hopes for a continuation of the Federal Reserve's ongoing, accommodative economic policy. Global fixed-income markets declined as better-than-expected data from the Eurozone and an expansion of China's quantitative easing initiatives reduced demand for safe-haven assets. U.S. Treasury prices declined as investors liquidated holdings due to uncertainty about potential shifts in monetary policy by the Federal Reserve.

May. Grant Park recorded losses during the month. Class A units were down 1.46%, Class B units were down 1.51%, Legacy 1 Class units were down 1.27%, Legacy 2 Class units were down 1.29%, Global 1 Class units were down 1.27%, Global 2 Class units were down 1.29% and Global 3 Class units were down 1.43%. Natural gas markets fell as supplies increased and temperate weather in the U.S. drove prices lower. Investors attempted to lock-in natural gas profits from recent up-trends, which resulted in increased selling activities that drove prices lower. Crude oil markets rose as U.S. drilling activity declined. Wheat markets finished higher after heavy rains across the Plains states spurred supply concerns. Soybean markets moved lower, driven by robust supply data from South America and by forecasts for a strong U.S. growing season. Sugar and coffee markets each fell nearly 8% on forecasts for elevated global supplies. Lean hogs markets increased nearly 9% because of strong demand and decreased supplies. Gold and silver prices increased after the U.S. unemployment rate rose to a 5-week high and dampened optimism on the health of the labor market. In the base metals markets, copper prices declined because of concerns surrounding Chinese economic growth and on weaker international demand for copper caused by U.S. dollar strength. The U.S. dollar strengthened following the release of strong consumer price data and an increase in new home construction in the U.S., information which reinforced speculation the Federal Reserve will raise interest rates in late 2015. The euro weakened over concerns about Greece’s ability to restructure its debt obligations. Separately, the European Central Bank suggested it may move up asset purchases to support its quantitative easing initiatives, putting further pressure on the euro. U.S. equity markets rose in response to bullish economic data. The Nikkei 225 climbed to a 15-year high after strong corporate earnings were reported. European equity markets rose as weakness in the euro supported export industries. U.S. Treasuries declined as better than expected housing data supported views the Federal Reserve will raise interest rates before year end. German Bund prices declined as speculation for higher inflation and concerns about liquidity caused investors to liquidate holdings.

June. Grant Park recorded losses during the month. Class A units were down 4.64%, Class B units were down 4.69%, Legacy 1 Class units were down 4.45%, Legacy 2 Class units were down 4.47%, Global 1 Class units were down 4.43%, Global 2 Class units were down 4.45% and Global 3 Class units were down 4.59%. Natural gas prices rose due to a smaller-than-expected build up in U.S. supplies and in reaction to forecasts for warmer weather which would result in increased demand. Crude oil markets moved lower due to increased U.S. inventories and the impact of reduced global demand. Corn and wheat markets rose almost 18% and 29%, respectively, due to global supply concerns prompted by forecasts for unfavorable weather in Europe and North America. Soybean markets also moved higher after the U.S. Department of Agriculture reported slower-than-expected plantings and weak crop condition ratings for soybeans. Gold and silver prices declined as positive economic indicators fueled speculation for a September 2015 U.S. interest rate

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hike. Base metal markets fell due to concerns regarding global demand fueled by the ongoing Greek debt situation and concerns the Chinese government would not be able to bolster the nation’s economy. The U.S. dollar finished lower as the Federal Reserve signaled a less aggressive stance on hiking U.S. interest rates. The euro finished slightly higher amidst the on-going Greek debt crisis and as large investors unwound short positions used to hedge their Eurozone equity exposure. The New Zealand dollar fell over 5% when disappointing GDP data fueled speculation the Reserve Bank of New Zealand would reduce interest rates again. The Japanese yen strengthened on increased demand for safe-haven assets amidst turmoil in Europe and on concerns over the strength of the Chinese economy. Global equity prices declined as investor sentiment fell in reaction to the possibility Greece could default on its debt obligations. U.S. Treasury and German Bund markets fell sharply in reaction to reduced demand for safe-haven assets as investors hoped the Greek situation would soon be resolved. U.S. Treasury markets were also pressured by speculation about a near-term U.S. interest rate hike. The U.K. fixed-income markets finished lower after the Bank of England indicated it would raise interest rates sooner than expected.

July. Grant Park recorded gains during the month. Class A units were up 2.33%, Class B units were up 2.27%, Legacy 1 Class units were up 2.52%, Legacy 2 Class units were up 2.50%, Global 1 Class units were up 2.50%, Global 2 Class units were up 2.48% and Global 3 Class units were up 2.33%. The U.S. dollar rallied to a six-week high after the U.S. Federal Reserve reinforced expectations it would raise interest rates as early as September. The value of the Canadian dollar fell amidst the Greece crisis and on speculation the Bank of Canada will further cut interest rates. Economic reports indicating Canada may be in a recession also weakened the currency. The Australian dollar lost value as a result of weak commodity prices and weak Chinese manufacturing data. Natural gas and heating oil markets fell because of an increase in supplies. Crude oil prices declined by almost 20% amidst volatility in the Chinese stock markets and on U.S Energy Information Administration reports which confirmed global production continued to exceed demand. U.S. and Eurozone equity markets moved higher after the Greek Parliament agreed to the austerity measures needed to receive assistance from the Eurozone. Bullish corporate earnings in the U.S., especially in the technology sector, also supported equity market strength. Global fixed-income prices moved higher due to increased demand for safe-haven assets amidst volatility in the global equity markets and on sharp declines in commodity prices. U.S. Treasury markets were also bolstered by increased demand from international investors. Corn, wheat, and soybean markets fell as favorable weather raised harvest forecasts. Sugar prices also declined in reaction to increased supplies and weak demand. Cotton prices moved lower after the U.S. government unexpectedly cut its demand forecast for China. Coffee markets weakened as dry weather supported growing conditions; the fall in value of the Brazilian real also contributed to lower prices. Gold and silver prices fell slightly after Federal Reserve Chairwoman Yellen suggested the U.S. economy was improving and an interest rate hike in 2015 is likely. Platinum prices fell as China’s passenger-vehicle sales declined for the first time in two years. Copper markets declined after Greece's early-month vote against austerity and after data from China raised speculation economic growth may continue to falter.

August. Grant Park recorded losses during the month. Class A units were down 6.15%, Class B units were down 6.20%, Legacy 1 Class units were down 5.97%, Legacy 2 Class units were down 5.99%, Global 1 Class units were down 6.03%, Global 2 Class units were down 6.05% and Global 3 Class units were down 6.18%. The U.S. dollar declined after the Federal Reserve indicated there was uncertainty on when to raise interest rates and signaled that a stronger dollar could hinder U.S. inflation and growth. The euro strengthened after Greece received its third bailout and the Consumer Confidence Index for the Eurozone improved unexpectedly. The Japanese yen finished higher due to increased demand for safe-haven assets amidst volatility in the global equity markets. The New Zealand dollar and the Australian dollar declined amidst concerns about the health of China, a key trading partner of both nations. Gasoline blendstock prices declined over 10% after the U.S. Energy Information Administration reported inventories rose unexpectedly. Crude oil markets rose after Venezuela requested an emergency OPEC meeting to discuss a reduction in global production in response to recent weak oil prices. Global equity markets finished a volatile month lower on speculation weak growth in China could be a harbinger for a global economic slowdown. Hong Kong’s Hang Seng Index was down over 12% on concerns regarding economic growth in the region. Fixed-income markets in the U.S., U.K., and Japan finished the month higher after volatility in both global stock and commodity markets drove investors toward safer assets. German Bund markets finished lower, pressured as monetary easing by the People’s Bank of China fostered optimism and reduced demand for safe-haven assets near month end. Corn, wheat, and soybean markets fell because favorable weather buoyed supply forecasts and because of uncertainty surrounding China’s economy. Lean hog prices fell over 13% due to decline in demand. Sugar moved lower due to abundant supplies, and coffee prices decreased because of weakness in the Brazilian real. Gold and platinum prices rose as demand for safe haven assets

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increased amidst steep losses in global equity markets and on uncertainty surrounding the Federal Reserve's commitment to raising U.S. interest rates. Base metals markets fell as investors worried a weak Chinese economy will lead to a slump in demand for industrial metals.

September. Grant Park recorded gains during the month. Class A units were up 3.09%, Class B units were up 3.03%, Legacy 1 Class units were up 3.28%, Legacy 2 Class units were up 3.26%, Global 1 Class units were up 3.26%, Global 2 Class units were up 3.25% and Global 3 Class units were up 3.10%. The U.S. dollar strengthened on speculation the U.S. Federal Reserve will raise interest rates sooner than its European and Asian counterparts. The British pound fell after weak manufacturing data reinforced views economic growth in the U.K. is slowing. The euro also declined amid speculation the European Central Bank may expand its economic stimulus initiatives to maintain regional growth. The Japanese yen strengthened as declines in the Asian equity markets created a demand for safe-haven assets. Crude oil markets fell due to ongoing concerns regarding global economic growth and on continued over production in the crude oil complex. Natural gas and heating oil prices declined after forecasts for moderate weather weakened demand and the U.S. Energy Information Administration reported an increase in natural gas supplies. Global equity markets finished lower after the Federal Reserve decided not to raise interest rates because of concerns regarding weak global economic growth. The Nikkei 225 Index declined over 7% after weaker-than expected industrial production data was reported. The Dax Index declined over 5% as the Volkswagen emissions-cheating scandal weighed heavily on the nation’s auto manufacturers. Global fixed income markets finished higher as declines in the equity markets and concerns about slowing economic growth, coupled with the Fed’s decision to delay increasing interest rates, increased demand for risk-averse assets. Corn prices rose as adverse weather conditions caused the U.S. Department of Agriculture to reduce its estimates for U.S. production. Wheat markets rose as concerns regarding poor weather in Europe and Australia fostered supply concerns. Sugar markets rose over 13% as heavy rainfall in Brazil impeded production. Cotton prices fell as declining Chinese imports caused concerns about ongoing demand. Lean hog prices increased on speculation supplies may not be as abundant as anticipated. Cattle markets moved over 13% lower on profit-taking and declining wholesale beef prices. Gold markets finished lower due to renewed speculation for a U.S. interest rate hike in 2015. Platinum markets fell over 10% due to decreased demand for the metal’s industrial uses. Copper markets rallied, finishing slightly higher as a result of supply disruptions at key South American mines and a modest increase in global industrial demand.

Capital Resources

Grant Park plans to raise additional capital only through the sale of units pursuant to the continuous offering and does not intend to raise any capital through borrowing. Due to the nature of Grant Park’s business, it does not make any capital expenditures and does not have any capital assets that are not operating capital or assets.

Grant Park maintains 65% to 95% of its net asset value in cash, cash equivalents or other liquid positions over and above that needed to post as collateral for trading. These funds are available to meet redemptions each month.

Liquidity

Most U.S. futures exchanges limit fluctuations in some futures and options contract prices during a single day by regulations referred to as daily price fluctuation limits or daily limits. During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent Grant Park from promptly liquidating unfavorable positions and subject Grant Park to substantial losses that could exceed the margin initially committed to those trades. In addition, even if futures or options prices do not move to the daily limit, Grant Park may not be able to execute trades at favorable prices, if little trading in the contracts is taking place. Other than these limitations on liquidity, which are inherent in Grant Park’s futures and options trading operations, Grant Park’s assets are expected to be highly liquid.

A portion of each Trading Company’s assets is used as margin to support its trading. Margin requirements are satisfied by the deposit of U.S. Treasury bills, obligations of Government-sponsored enterprises and/or cash with brokers subject to CFTC regulations and various exchange and broker requirements.

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Grant Park maintains a portion of its assets at its clearing brokers as well as at Lake Forest Bank & Trust Company. These assets, which may range from 5% to 35% of Grant Park’s value, are held in cash, U.S. Treasury securities, commercial paper and/or securities of Government-sponsored enterprises. The balance of Grant Park’s assets, which range from 65% to 95%, are invested in investment grade money market instruments purchased and managed by Middleton Dickinson Capital Management, LLC which are held in a separate account in the name of GP Cash Management, LLC and custodied at State Street Bank and Trust Company. Violent fluctuations in prevailing interest rates or changes in other economic conditions could cause mark-to-market losses on Grant Park’s cash management income.

Off-Balance Sheet Risk

Off-balance sheet risk refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. Grant Park trades in futures, swap transactions and other commodity interest contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts, Grant Park faces the market risk that these contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the commodity interest positions of Grant Park at the same time, and if Grant Park were unable to offset positions, Grant Park could lose all of its assets and the limited partners would realize a 100% loss. Grant Park minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 25%. All positions of Grant Park are valued each day on a mark-to-market basis.

In addition to market risk, when entering into commodity interest contracts there is a credit risk that a counterparty will not be able to meet its obligations to Grant Park. The counterparty for futures and options on futures contracts traded in the United States and on most non-U.S. futures exchanges is the clearing organization associated with such exchange. In general, clearing organizations are backed by the corporate members of the clearing organization who are required to share any financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk.

In cases where the clearing organization is not backed by the clearing members, like some non- U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions.

In the case of forward contracts, over-the-counter options contracts or swap contracts, which are traded on the interbank or other institutional market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a central clearing organization backed by a group of financial institutions. As a result, there likely will be greater counterparty credit risk in these transactions. Grant Park trades only with those counterparties that it believes to be creditworthy. Nonetheless, the clearing member, clearing organization or other counterparty to these transactions may not be able to meet its obligations to Grant Park, in which case Grant Park could suffer significant losses on these contracts.

In the normal course of business, Grant Park enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. Grant Park’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against Grant Park that have not yet occurred. Grant Park expects the risk of any future obligation under these indemnifications to be remote.

ITEM 3.QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Introduction

Grant Park is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount of Grant Park’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to Grant Park’s business.

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Market movements result in frequent changes in the fair market value of Grant Park’s open positions and, consequently, in its earnings and cash flow. Grant Park’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, market prices for base and precious metals, energy complexes and other commodities, the diversification effects among Grant Park’s open positions and the liquidity of the markets in which it trades.

Grant Park rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance. Erratic, choppy, sideways trading markets and sharp reversals in movements can materially and adversely affect Grant Park’s results. Likewise, markets in which a potential price trend may start to develop but reverses before an actual trend is realized may result in unprofitable transactions. Grant Park’s past performance is not necessarily indicative of its future results.

Materiality, as used in this section, is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, and multiplier features of Grant Park’s market sensitive instruments.

The following quantitative and qualitative disclosures regarding Grant Park’s market risk exposures contain forward-looking statements within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative and qualitative disclosures in this section are deemed to be forward-looking statements, except for statements of historical fact and descriptions of how Grant Park manages its risk exposure. Grant Park’s primary market risk exposures, as well as the strategies used and to be used by its trading advisors for managing such exposures, are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of Grant Park’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of Grant Park. Grant Park’s current market exposure and/or risk management strategies may not be effective in either the short-or long-term and may change materially.

Quantitative Market Risk

Trading Risk

Grant Park’s approximate risk exposure in the various market sectors traded by its trading advisors is quantified below in terms of Value at Risk (VaR). Due to Grant Park’s mark-to-market accounting, any loss in the fair value of Grant Park’s open positions is directly reflected in Grant Park’s earnings, realized or unrealized.

Grant Park uses an Aggregate Returns Volatility method to calculate VaR for the portfolio. The method consists of creating a historical price time series for each instrument or its proxy instrument for the past 200 days, and then measuring the standard deviation of that return history. Then, using a normal distribution (a normal distribution curve has a mean of zero and a standard deviation of one), the standard deviation measurement is scaled up in order to achieve a result in line with the 95% degree of confidence, which corresponds to a scaling factor of approximately 1.645 times of standard deviations.

The VaR for each market sector represents the one day risk of loss for the aggregate exposures associated with that sector. The current methodology used to calculate VaR represents the VaR of Grant Park’s open positions across all market sectors and is less than the sum of the VaR of the individual market sectors due to the diversification benefit across all market sectors combined.

Grant Park’s VaR methodology and computation is based on the underlying risk of each contract or instrument in the portfolio and does not distinguish between exchange and non-exchange traded contracts. It is also not based on exchange maintenance margin requirements. VaR does not typically represent the worst case outcome.

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VaR is a measure of the maximum amount that Grant Park could reasonably be expected to lose in a given market sector in a given day; however, VaR does not typically represent the worst case outcome. The inherent uncertainty of Grant Park’s speculative trading and the recurrence in the markets traded by Grant Park of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated value at risk or Grant Park’s experience to date. This risk is often referred to as the risk of ruin. In light of the preceding information, as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that Grant Park’s losses in any market sector will be limited to VaR or by Grant Park’s attempts to manage its market risk. VaR models, including Grant Park’s, are continually evolving as trading portfolios become more diverse and modeling systems and techniques continue to evolve. Moreover, value at risk may be defined differently as used by other commodity pools or in other contexts.

The composition of Grant Park’s trading portfolio, based on the nature of its business of speculative trading of futures, forwards and options, can change significantly, over any period of time, including a single day of trading. These changes can have a positive or negative material impact on the market risk as measured by VaR.

Value at Risk by Market Sectors

The following tables indicate the trading value at risk associated with Grant Park’s open positions by market category as of September 30, 2016 and December 31, 2015 and the trading gains/losses by market category for the nine months ended September 30, 2016 and the year ended December 31, 2015. All open position trading risk exposures of Grant Park, except for the swap transactions, have been included in calculating the figures set forth below. As of September 30, 2016, Grant Park’s net asset value was approximately $181.7 million. As of December 31, 2015, Grant Park’s net asset value was approximately $213.7 million.


	September 30, 2016
Market Sector	Value at Risk*		Trading Gain/(Loss)

Stock indices	0.7	%	1.3	%
Interest rates	0.6		11.9
Currencies & Forward Currency Contracts	0.4		(1.2)
Agriculturals/softs/meats	0.2		0.8
Metals	0.2		(1.8)
Energy	0.1		(0.7)

Aggregate/Total	1.0	%	10.3	%


	December 31, 2015
Market Sector	Value at Risk*		Trading Gain/(Loss)

Currencies & Forward Currency Contracts	0.5	%	(1.5)	%
Energy	0.5		3.5
Interest rates	0.4		(0.3)
Stock indices	0.3		(4.7)
Metals	0.3		(0.2)
Agriculturals/softs/meats	0.2		(3.4)

Aggregate/Total	1.2	%	(6.6)	%

* The VaR for a market sector represents the one day risk of loss for the aggregate exposure for that particular sector. The aggregate VaR represents the VaR of Grant Park’s open positions across all market sectors, excluding the swap transaction, and is less than the sum of the VaR of the individual market sectors due to the diversification benefit across all market sectors combined.

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Material Limitations of Value at Risk as an Assessment of Market Risk

Past market risk factors will not always result in an accurate prediction of future distributions and correlations of future market movements. Changes in the portfolio value caused by market movements may differ from those measured by the VaR model. The VaR model reflects past trading positions, while future risk depends on future trading positions. VaR using a one-day time horizon does not fully capture the market risk of positions that cannot be liquidated within one day. The historical market risk data for the VaR model may provide only limited insight into the losses that could be incurred under unusual market movements. The magnitude of Grant Park’s open positions creates a risk of ruin not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions-unusual, but historically recurring from time to time-could cause Grant Park to incur severe losses over a short period of time. The value at risk table above, as well as the past performance of Grant Park, gives no indication of this risk of ruin.

Non-Trading Risk

Grant Park has non-trading market risk on its foreign cash balances not needed for margin. However, these balances, as well as the market risk they represent, are immaterial. Grant Park also has non-trading market risk as a result of investing a portion of its available assets in U.S. Treasury bills. The market risk represented by these investments is also immaterial.

Qualitative Market Risk

Trading Risk

The following were the primary trading risk exposures of Grant Park as of September 30, 2016, by market sector.

Stock Indices

Grant Park’s primary equity exposure is due to equity price risk in G-7 countries as well as other jurisdictions including Australia, the Eurozone, Hong Kong, Malaysia, Mexico, Poland, Singapore, South Africa, South Korea, Sweden, Taiwan, Thailand and Turkey. The stock index futures contracts currently traded by Grant Park are generally futures on broadly based indices, although Grant Park also trades narrow-based stock index or single-stock futures contracts. As of September 30, 2016, Grant Park was predominantly long equities in Australia, Brazil, Canada, Chile, the Eurozone, Hong Kong, China, India, Korea, Japan, Malaysia, Taiwan, Thailand, Turkey, Sweden, the U.K. and the U.S. and short equities in Argentina, Columbia, Mexico, Poland, South Africa, Singapore and Israel.

Interest Rates

Interest rate risk is a principal market exposure of Grant Park. Interest rate movements directly affect the price of the futures positions held by Grant Park and indirectly affect the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact Grant Park’s profitability. Grant Park’s primary interest rate exposure is due to interest rate fluctuations in the United States and the other G-7 countries. Grant Park also takes futures positions on the government debt of smaller nations, such as Australia, New Zealand, Singapore, and Mexico. The general partner anticipates that G-7 interest rates will remain the primary market exposure of Grant Park for the foreseeable future. As of September 30, 2016, Grant Park was long interest rate instruments in Australia, Canada, the Eurozone, Japan, New Zealand, Spain, the U.K., and the U.S. and short interest rate instruments in Switzerland.

Currencies

Exchange rate risk is a significant market exposure of Grant Park. Grant Park’s currency exposure is due to exchange rate fluctuations, primarily fluctuations that disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. Grant Park trades in a large number of currencies, including cross-rates, which are positions between two currencies other than the U.S. dollar. The general partner anticipates that the currency sector will remain

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one of the primary market exposures for Grant Park for the foreseeable future. As of September 30, 2016, Grant Park was long the U.S. dollar against the euro, British pound, Canadian dollar, Mexican peso and Swiss franc and was short the U.S. dollar against the Australian dollar, Japanese yen and New Zealand dollar.

Agriculturals/Softs/Meats

Grant Park’s primary commodities risk exposure is driven by agricultural price movements, which are often directly affected by severe or unexpected weather conditions as well as other factors. As of September 30, 2016, in the grains markets, Grant Park had long exposure to coffee, cotton, crude palm, lumber, orange juice, rapeseed, rough rice, soybeans, soybean oil and sugar and Grant Park had short exposure to canola, cocoa, corn, feeder cattle, lean hogs, live cattle, red wheat, oats, robust coffee, rubber, soybean meal, white maize and wheat.

Metals

Grant Park’s metals market risk exposure is due to fluctuations in the price of both precious metals, including gold and silver, as well as base metals including aluminum, lead, copper, tin, nickel, and zinc. As of September 30, 2016, in the precious metals sector Grant Park had long positions in gold and short positions in silver and platinum. In the base metals, Grant Park had long positions in aluminum, lead, nickel, tin, palladium and zinc and short positions in copper.

Energy

Grant Park’s primary energy market risk exposure is due to gas and oil price movements, often resulting from political developments in the Middle East, Nigeria, Russia, and South AmericaAs of September 30, 2016, in the energy market Grant Park had long exposure to Brent crude, heating oil, natural gas and Rotterdam coal and had short exposure to crude oil, carbon emissions, new crude oil, new gasoline, gas oil, U.K. natural gas and NY Harbor RBOB gas.

Non-Trading Risk Exposure

The following were the only non-trading risk exposures of Grant Park as of September 30, 2016.

Foreign Currency Balances

Grant Park’s primary foreign currency balances are in Japanese yen, British pounds, euros and Australian dollars. The trading advisors regularly convert foreign currency balances to U.S. dollars in an attempt to control Grant Park’s non-trading risk.

Managing Risk Exposure

The general partner monitors and controls Grant Park’s risk exposure on a daily basis through financial, credit and risk management monitoring systems and, accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which Grant Park is subject.

The general partner monitors Grant Park’s performance and the concentration of its open positions and consults with the trading advisors concerning Grant Park’s overall risk profile. If the general partner felt it necessary to do so, the general partner could require the trading advisors to close out individual positions as well as enter positions traded on behalf of Grant Park. However, any intervention would be a highly unusual event. Approximately 2% to up to 15% of Grant Park’s assets are deposited with over-the-counter counterparties in order to initiate and maintain forward and swap contracts. The general partner primarily relies on the trading advisors’ own risk control policies while maintaining a general supervisory overview of Grant Park’s market risk exposures. The trading advisors apply their own risk management policies to their trading. The trading advisors often follow diversification guidelines, margin limits and stop loss points to exit a position. The trading advisors’ research of risk management often suggests ongoing modifications to their trading programs.

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As part of the general partner’s risk management, the general partner periodically meets with the trading advisors to discuss their risk management and to look for any material changes to the trading advisors’ portfolio balance and trading techniques. The trading advisors are required to notify the general partner of any material changes to their programs.

General

From time to time, certain regulatory or self-regulatory organizations have proposed increased margin requirements on futures contracts. Because Grant Park generally will use a small percentage of assets as margin, Grant Park does not believe that any increase in margin requirements, as proposed, will have a material effect on Grant Park’s operations.

ITEM 4. CONTROLS AND PROCEDURES

Controls and Procedures

As of the end of the period covered by this report, the general partner carried out an evaluation, under the supervision and with the participation of the general partner’s management including its principal executive officer and principal financial officer, of the effectiveness of the design and operation of Grant Park’s disclosure controls and procedures as contemplated by Rule 13a-15 of the Securities Exchange Act of 1934, as amended. Based on, and as of the date of that evaluation, the general partner’s principal executive officer and principal financial officer concluded that Grant Park’s disclosure controls and procedures are effective, in all material respects, in timely alerting them to material information relating to Grant Park required to be included in the reports required to be filed or submitted by Grant Park with the SEC under the Exchange Act.

There were no changes in Grant Park’s internal control over financial reporting during the quarter ended September 30, 2016 that have materially affected, or are reasonably likely to materially affect, Grant Park’s internal control over financial reporting.

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PART II- OTHER INFORMATION

Item 1A. Risk Factors

There have been no material changes to the risk factors relating to Grant Park from those previously disclosed in Grant Park’s Annual Report on Form 10-K for its fiscal year ended December 31, 2015, in response to Item 1A to Part 1 of Form 10-K.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

(a)

None.

(b)

None

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Issuer Purchases of Equity Securities

(c)

The following table provides information regarding the total Class A, Class B, Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class units redeemed by Grant Park during the three months ended September 30, 2016.


Period	Total Number of Class A Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Class B Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Legacy 1 Class Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Legacy 2 Class Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Global 1 Class Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Global 2 Class Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Global 3 Class Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Units Redeemed as Part of Publicly Announced Plans or Programs(1)	Maximum Number of Units that May Yet Be Redeemed Under the Plans/ Program(1)
	Unit			Unit			Unit			Unit			Unit			Unit			Unit

07/01/2016 through 07/31/2016	0.00	$	1,167.77	1,779.54	$	961.95	13.32	$	906.00	22.76	$	887.96	929.78	$	892.62	40.27	$	876.80	5,150.15	$	771.83	7,935.82	(2)
08/01/2016 through 08/31/2016	0.00	$	1,131.07	1,433.78	$	931.21	0.00	$	879.21	8.26	$	861.53	546.54	$	866.34	28.17	$	850.81	11,886.25	$	747.85	13,903.00	(2)
09/01/2016 through 09/30/2016	157.69	$	1,108.49	1,224.50	$	912.12	16.70	$	863.32	0.00	$	845.78	967.76	$	850.87	123.14	$	835.66	2,644.90	$	733.46	5,134.69	(2)
Total	157.69	$	1,108.49	4,437.82	$	938.27	30.02	$	882.26	31.02	$	880.92	2,444.08	$	870.21	191.58	$	846.53	19,681.30	$	752.19	26,973.51	(2)

(1)

As previously disclosed, pursuant to the Partnership Agreement, investors in Grant Park may redeem their units for an amount equal to the net asset value per unit at the close of business on the last business day of any calendar month if at least 10 days prior to the redemption date, or at an earlier date if required by the investor’s selling agent, the general partner receives a written request for redemption from the investor. Generally, redemptions are paid in the month subsequent to the month requested. The general partner may permit earlier redemptions in its discretion.

(2)

Not determinable.

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Item 6. Exhibits

(a)Exhibits


		31.1	Certification of Principal Executive Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934

		31.2	Certification of Principal Financial Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934

		32.1	Certification Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
		101.1	The following financial statements from the Partnership’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2016 formatted in XBRL (eXtensible Business Reporting Language): (i) Consolidated Statements of Financial Condition; (ii) Consolidated Condensed Schedule of Investments; (iii) Consolidated Statements of Operations; (iv) Consolidated Statements of Changes in Partners’ Capital (Net Asset Value); and (v) Notes to Consolidated Financial Statements.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.


		GRANT PARK FUTURES FUND
		LIMITED PARTNERSHIP


Date: November 14, 2016	by:	Dearborn Capital Management, L.L.C.
		its general partner


		By:	/s/ David M. Kavanagh
			David M. Kavanagh
			President
			(principal executive officer)



		By:	/s/ Maureen O’Rourke
			Maureen O’Rourke
			Chief Financial Officer
			(principal financial and accounting officer)

Percent of

Partners' Capital

Fair Value

(net asset value)

Total securities owned (cost of $85,236,030)