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EX-32.1 - EX-32.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPgpff-20170930ex32191040f.htm
EX-31.2 - EX-31.2 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPgpff-20170930ex3125ca091.htm
EX-31.1 - EX-31.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPgpff-20170930ex311127867.htm

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

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

THE SECURITIES EXCHANGE ACT OF 1934

 

For the Quarterly Period Ended September 30, 2017

 

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

 

 

 

 

Large accelerated filer ☐

 

Accelerated filer ☐

 

 

 

Non accelerated filer ☒

 

Smaller reporting company ☐                  Emerging growth company ☐

 

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

 

Indicate by check mark whether the Registrant is a shell company (as defined in Rule 12b -2 of the Securities Exchange Act of 1934). Yes ☐  No ☒

 

 

 


 

 


 

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

 

QUARTER ENDED September 30, 2017

 

INDEX

 

PART I – FINANCIAL INFORMATION 

 

 

 

ITEM 1. 

Financial Statements

 

 

 

 

 

Consolidated Statements of Financial Condition as of September 30, 2017 (unaudited)
and December 31, 2016 (audited)

2

 

 

 

 

Consolidated Condensed Schedule of Investments as of September 30, 2017 (unaudited)

3

 

 

 

 

Consolidated Condensed Schedule of Investments as of December 31, 2016 (audited)

5

 

 

 

 

Consolidated Statements of Operations for the three and nine months ended
September 30, 2017 and 2016 (Unaudited)

7

 

 

 

 

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)
for the nine months ended September 30, 2017 and 2016 (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

47

 

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

 

 

 


 

PART I - FINANCIAL INFORMATION

 

Item 1.  Financial Statements

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Financial Condition

 

 

 

 

 

 

 

 

 

    

September 30, 

    

December 31, 

 

 

 

2017

    

2016

 

 

 

 

(Unaudited)

 

 

 

 

Assets

 

 

 

 

 

 

 

Equity in brokers' trading accounts:

 

 

 

 

 

 

 

Cash

 

$

35,435,737

 

$

31,854,126

 

Net unrealized gain (loss) on open futures contracts

 

 

297,253

 

 

2,279,924

 

Net unrealized gain (loss) on open forward currency contracts

 

 

(514,397)

 

 

705

 

Net unrealized gain (loss) on open swap contracts

 

 

(137,441)

 

 

(734,698)

 

Total equity in brokers' trading accounts

 

 

35,081,152

 

 

33,400,057

 

Cash and cash equivalents

 

 

4,209,775

 

 

49,647,370

 

Securities owned, at fair value (cost $82,163,255 and $87,212,372, respectively)

 

 

82,280,025

 

 

87,511,963

 

Interest and other receivable, net

 

 

164,705

 

 

30,508

 

Total assets

 

$

121,735,657

 

$

170,589,898

 

Liabilities and Partners' Capital (Net Asset Value)

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

Brokerage charge payable

 

$

584,478

 

$

858,221

 

Accrued incentive fees

 

 

881

 

 

128,365

 

Organization and offering costs payable

 

 

29,134

 

 

41,026

 

Accrued operating expenses

 

 

25,339

 

 

35,530

 

Redemptions payable to limited partners

 

 

2,876,088

 

 

4,161,818

 

Total liabilities

 

 

3,515,920

 

 

5,224,960

 

Partners' Capital (Net Asset Value)

 

 

 

 

 

 

 

General Partner

 

 

 

 

 

 

 

Class A (307.34 units outstanding at both September 30, 2017 and December 31, 2016)

 

 

305,557

 

 

333,239

 

Legacy 1 Class (574.13 units outstanding at both September 30, 2017 and December 31, 2016)

 

 

454,941

 

 

487,634

 

Legacy 2 Class (263.13 units outstanding at both September 30, 2017 and December 31, 2016)

 

 

203,753

 

 

218,807

 

Global 1 Class (469.97 and 924.77 units outstanding at September 30, 2017 and December 31, 2016, respectively)

 

 

369,388

 

 

775,716

 

Global 2 Class (231.81 units outstanding at both September 30, 2017 and December 31, 2016 )

 

 

178,462

 

 

190,820

 

 

 

 

 

 

 

 

 

Limited Partners

 

 

 

 

 

 

 

Class A (7,330.04 and 8,520.61 units outstanding at September 30, 2017 and December 31, 2016, respectively)

 

 

7,287,377

 

 

9,238,467

 

Class B (91,417.12 and 111,286.78 units outstanding at September 30, 2017 and December 31, 2016, respectively)

 

 

74,299,358

 

 

99,127,541

 

Legacy 1 Class (867.54 and 942.38 units outstanding at September 30, 2017 and December 31, 2016, respectively)

 

 

687,443

 

 

800,410

 

Legacy 2 Class (219.09 and 300.83 units outstanding at September 30, 2017 and December 31, 2016, respectively)

 

 

169,651

 

 

250,158

 

Global 1 Class (33,064.25 and 39,439.76 units outstanding at September 30, 2017 and December 31, 2016, respectively)

 

 

25,987,608

 

 

33,082,784

 

Global 2 Class (1,520.99 and 2,264.59 units outstanding at September 30, 2017 and December 31, 2016, respectively)

 

 

1,170,990

 

 

1,864,195

 

Global 3 Class (10,701.23 and 26,405.78 units outstanding at September 30, 2017 and December 31, 2016, respectively)

 

 

7,105,209

 

 

18,995,167

 

Total partners' capital (net asset value)

 

 

118,219,737

 

 

165,364,938

 

Total liabilities and partners' capital (net asset value)

 

$

121,735,657

 

$

170,589,898

 

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

 

2


 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

September 30, 2017

(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

 

$

(36,881)

 

(0.03)

%  

$

(36,488)

 

(0.03)

%  

$

(73,369)

 

(0.06)

%

Currencies

 

$

(461,712)

 

(0.39)

%  

$

16,739

 

0.01

%  

$

(444,973)

 

(0.38)

%

Energy

 

$

78,901

 

0.07

%  

$

(54,744)

 

(0.05)

%  

$

24,157

 

0.02

%

Interest rates

 

$

(348,149)

 

(0.29)

%  

$

117,530

 

0.10

%  

$

(230,619)

 

(0.20)

%

Meats

 

$

(1,905)

 

 —

%  

$

(6,441)

 

(0.01)

%  

$

(8,346)

 

(0.01)

%

Metals

 

$

(468,715)

 

(0.40)

%  

$

7,715

 

0.01

%  

$

(461,000)

 

(0.39)

%

Soft commodities

 

$

8,958

 

0.01

%  

$

139,233

 

0.12

%  

$

148,191

 

0.13

%

Stock indices and single stock futures

 

$

697,804

 

0.59

%  

$

(173,697)

 

(0.15)

%  

$

524,107

 

0.44

%

Total U.S. Futures Positions

 

$

(531,699)

 

 

 

$

9,847

 

 

 

$

(521,852)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

(4,799)

 

 —

%  

$

2,439

 

 —

%  

$

(2,360)

 

 —

%

Currencies

 

$

103

 

 —

%  

$

2,274

 

 —

%  

$

2,377

 

 —

%

Energy

 

$

3,578

 

 —

%  

$

 —

 

 —

%  

$

3,578

 

 —

%

Interest rates

 

$

(536,343)

 

(0.45)

%  

$

301,687

 

0.26

%  

$

(234,656)

 

(0.20)

%

Metals

 

$

579,454

 

0.49

%  

$

(108,129)

 

(0.09)

%  

$

471,325

 

0.40

%

Soft commodities

 

$

(2,626)

 

 —

%  

$

5,825

 

 —

%  

$

3,199

 

 —

%

Stock indices

 

$

690,938

 

0.58

%  

$

(115,296)

 

(0.10)

%  

$

575,642

 

0.49

%

Total Foreign Futures Positions

 

$

730,305

 

 

 

$

88,800

 

 

 

$

819,105

 

 

 

Total Futures Contracts

 

$

198,606

 

0.17

%  

$

98,647

 

0.08

%  

$

297,253

 

0.25

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

(689,883)

 

(0.58)

%  

$

175,486

 

0.15

%  

$

(514,397)

 

(0.43)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$

(1,970,452)

 

(1.67)

%  

$

 —

 

 —

%  

$

(1,970,452)

 

(1.67)

%

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

 

$

1,833,011

 

1.55

%  

$

 —

 

 —

%  

$

1,833,011

 

1.55

%

Total Swap Contracts

 

$

(137,441)

 

(0.12)

%  

$

 —

 

 —

%

$

(137,441)

 

(0.12)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$

(628,718)

 

(0.53)

%  

$

274,133

 

0.23

%  

$

(354,585)

 

(0.30)

%

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

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

3


 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2017

(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%

 

$

47,606,128

 

40.27

%

$

19,000,000

 

8/24/2018-12/2/2019

 

Federal Home Loan Banks, 1.1-1.5%

 

$

19,061,588

 

16.12

%

$

2,500,000

 

7/19/2019

 

Federal Agricultural Mortgage Corp., 1.1%

 

$

2,505,700

 

2.12

%

 

 

 

Total U.S. Government-sponsored enterprises (cost $68,997,750)

 

 

 

$

69,173,416

 

58.51

%

U.S. Corporate bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

2,000,000

 

2/16/2018

 

American Honda Finance Co, 1.5%

 

$

2,004,493

 

1.70

%

$

1,840,000

 

12/1/2017

 

AT&T Inc., 1.8%

 

$

1,847,246

 

1.56

%

$

2,000,000

 

2/1/2018

 

Wells Fargo & Company, 1.7%

 

$

2,045,730

 

1.73

%

 

 

 

Total U.S. Corporate bonds (cost $5,865,505)

 

 

 

$

5,897,469

 

4.99

%

 

U.S. Mutual fund

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Shares

    

Description

    

 

    

 

Fair Value

 

(net asset value)

 

 

647,140

 

Grant Park Absolute Return Fund - Class I (cost $7,300,000)

 

 

 

$

7,209,140

 

6.10

%

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

Partners' Capital

 

 

  

Fair Value

   

(net asset value)

 

Total securities owned (cost of $82,163,255)

 

$

82,280,025

 

69.60

%

 

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

4


 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2016

Futures, Forward and Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized

 

Percent of

 

Unrealized

 

Percent of

 

Net

 

Percent of

 

 

 

gain/(loss)

 

Partners’

 

gain/(loss)

 

Partners’

 

unrealized

 

Partners’

 

 

 

on open

 

Capital

 

on open

 

Capital

 

gain/(loss)

 

Capital

 

 

 

long

 

(Net Asset

 

short

 

(Net Asset

 

on open

 

(Net Asset

 

 

 

contracts

 

Value)

 

contracts

 

Value)

 

contracts

 

Value)

 

Futures Contracts *

    

 

 

    

 

 

 

 

    

 

 

 

 

    

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

(186,627)

 

(0.11)

%  

$

43,391

 

0.02

%  

$

(143,236)

 

(0.09)

%

Currencies

 

$

116,150

 

0.07

$

301,634

 

0.18

$

417,784

 

0.25

%

Energy

 

$

540,550

 

0.32

$

(5,443)

 

 —

$

535,107

 

0.32

%

Interest rates

 

$

21,206

 

0.01

$

(45,121)

 

(0.02)

$

(23,915)

 

(0.01)

%

Meats

 

$

69,709

 

0.04

$

(375)

 

 —

$

69,334

 

0.04

%

Metals

 

$

(74,055)

 

(0.04)

$

143,785

 

0.08

$

69,730

 

0.04

%

Soft commodities

 

$

(22,484)

 

(0.01)

$

256,819

 

0.15

$

234,335

 

0.14

%

Stock indices and single stock futures

 

$

(267,818)

 

(0.16)

$

27,874

 

0.01

$

(239,944)

 

(0.15)

%

Total U.S. Futures Positions

 

$

196,631

 

 

 

$

722,564

 

 

 

$

919,195

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

1,089

 

 —

$

1,439

 

 —

$

2,528

 

 —

%

Energy

 

$

8,773

 

0.01

$

 —

 

 —

$

8,773

 

0.01

%

Interest rates

 

$

307,223

 

0.19

$

(31,790)

 

(0.02)

$

275,433

 

0.17

%

Metals

 

$

(76,499)

 

(0.05)

$

329,003

 

0.20

$

252,504

 

0.15

%

Soft commodities

 

$

6,462

 

 —

$

17,276

 

0.01

$

23,738

 

0.01

%

Stock indices

 

$

848,710

 

0.51

$

(50,957)

 

(0.03)

$

797,753

 

0.48

%

Total Foreign Futures Positions

 

$

1,095,758

 

 

 

$

264,971

 

 

 

$

1,360,729

 

 

 

Total Futures Contracts

 

$

1,292,389

 

0.78

$

987,535

 

0.59

$

2,279,924

 

1.37

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

(9,770)

 

(0.01)

$

10,475

 

0.01

$

705

 

 —

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$

(1,139,264)

 

(0.68)

$

 —

 

 —

%  

$

(1,139,264)

 

(0.68)

%

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

 

$

404,566

 

0.24

$

 —

 

 —

%  

$

404,566

 

0.24

%

Total Swap Contracts

 

$

(734,698)

 

(0.44)

$

 —

 

 —

%

$

(734,698)

 

(0.44)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$

547,921

 

0.33

$

998,010

 

0.60

$

1,545,931

 

0.93

%

 

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

 

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

5


 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2016

 

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%

 

$

47,629,368

 

28.80

%

$

19,000,000

 

8/24/2018-12/2/2019

 

Federal Home Loan Banks, 1.1-1.5%

 

$

19,067,300

 

11.53

%

$

2,500,000

 

7/19/2019

 

Federal Agricultural Mortgage Corp., 1.1%

 

$

2,512,825

 

1.52

%

 

 

 

Total U.S. Government-sponsored enterprises (cost $68,999,520)

 

 

 

$

69,209,493

 

41.85

%

 

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%

 

$

1,932,728

 

1.17

%

$

2,000,000

 

2/16/2018

 

American Honda Finance Co, 1.5%

 

$

2,013,468

 

1.22

%

$

1,840,000

 

12/1/2017

 

AT&T Inc., 1.8%

 

$

1,835,800

 

1.11

%

$

1,905,000

 

3/4/2017

 

GATX Corporation, 1.8%

 

$

1,910,867

 

1.16

%

$

2,000,000

 

2/1/2018

 

Wells Fargo & Company, 1.7%

 

$

2,133,790

 

1.29

%

$

1,325,000

 

9/22/2017

 

Other, 1.5%**

 

$

1,331,579

 

0.80

%

 

 

 

Total U.S. Corporate bonds (cost $11,093,510)

 

 

 

$

11,158,232

 

6.75

%

 

U.S. Commercial paper

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

4,000,000

 

3/3/2017

 

Coca-Cola Corp.,0.8%

 

$

3,994,645

 

2.42

%

$

3,150,000

 

1/3/2017-1/9/2017

 

Others,  0.9-1.4% **

 

$

3,149,593

 

1.90

%

 

 

 

Total U.S. Commercial paper (cost $7,119,342)

 

 

 

$

7,144,238

 

4.32

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

Partners' Capital

 

 

    

Fair Value

    

(net asset value)

 

Total securities owned (cost of $87,212,372)

 

$

87,511,963

 

52.92

%

 

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

 

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

 

6


 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Three Months Ended

 

Nine Months Ended

 

 

 

September 30, 

 

September 30, 

 

 

 

2017

 

2016

    

2017

    

2016

 

 

 

(Unaudited)

 

(Unaudited)

 

Net trading gains (losses)

 

 

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from futures trading

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

 

$

(3,624,312)

 

$

1,523,704

 

$

(2,024,091)

 

$

16,121,355

 

Change in unrealized

 

 

3,972,712

 

 

(5,062,938)

 

 

(1,982,669)

 

 

2,220,457

 

Commissions

 

 

(460,527)

 

 

(714,283)

 

 

(1,562,790)

 

 

(2,269,123)

 

Net gains (losses) from futures trading

 

 

(112,127)

 

 

(4,253,517)

 

 

(5,569,550)

 

 

16,072,689

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from forward trading

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

 

$

513,204

 

$

220,489

 

$

(1,134,274)

 

$

(163,404)

 

Change in unrealized

 

 

(526,989)

 

 

(398,093)

 

 

(515,103)