Attached files
| file | filename |
|---|---|
| EX-31.2 - EX-31.2 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIP | gpff-20180331ex312555dc8.htm |
| EX-32.1 - EX-32.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIP | gpff-20180331ex32193a4e5.htm |
| EX-31.1 - EX-31.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIP | gpff-20180331ex3112a0898.htm |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
☒QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF
THE SECURITIES EXCHANGE ACT OF 1934
For the Quarterly Period Ended March 31, 2018
☐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 March 31, 2018
PART I - FINANCIAL INFORMATION
Grant Park Futures Fund Limited Partnership
Consolidated Statements of Financial Condition
|
|
|
March 31, |
|
December 31, |
|
||
|
|
|
2018 |
|
2017 |
|
||
|
|
|
|
(Unaudited) |
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
Equity in brokers' trading accounts: |
|
|
|
|
|
|
|
|
Cash |
|
$ |
25,722,520 |
|
$ |
29,435,769 |
|
|
Net unrealized gain (loss) on open futures contracts |
|
|
640,526 |
|
|
2,644,659 |
|
|
Net unrealized gain (loss) on open forward currency contracts |
|
|
149,098 |
|
|
25,627 |
|
|
Net unrealized gain (loss) on open swap contracts |
|
|
1,474,132 |
|
|
1,179,312 |
|
|
Total equity in brokers' trading accounts |
|
|
27,986,276 |
|
|
33,285,367 |
|
|
Cash and cash equivalents |
|
|
4,097,811 |
|
|
8,358,825 |
|
|
Securities owned, at fair value (cost $70,506,731 and $74,547,232, respectively) |
|
|
69,613,814 |
|
|
74,642,951 |
|
|
Interest and dividend receivable, net |
|
|
14,715 |
|
|
11,512 |
|
|
Total assets |
|
$ |
101,712,616 |
|
$ |
116,298,655 |
|
|
Liabilities and Partners' Capital (Net Asset Value) |
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
Brokerage charge payable |
|
$ |
473,985 |
|
$ |
563,127 |
|
|
Accrued incentive fees |
|
|
- |
|
|
68,968 |
|
|
Organization and offering costs payable |
|
|
24,397 |
|
|
27,937 |
|
|
Accrued operating expenses |
|
|
21,193 |
|
|
24,331 |
|
|
Redemptions payable to limited partners |
|
|
2,247,628 |
|
|
2,130,670 |
|
|
Total liabilities |
|
|
2,767,203 |
|
|
2,815,033 |
|
|
Partners' Capital (Net Asset Value) |
|
|
|
|
|
|
|
|
General Partner |
|
|
|
|
|
|
|
|
Class A (307.34 units outstanding at both March 31, 2018 and December 31, 2017) |
|
|
303,941 |
|
|
322,836 |
|
|
Legacy 1 Class (574.13 units outstanding at both March 31, 2018 and December 31, 2017) |
|
|
457,828 |
|
|
483,449 |
|
|
Legacy 2 Class (263.13 units outstanding at both March 31, 2018 and December 31, 2017) |
|
|
204,802 |
|
|
216,389 |
|
|
Global 1 Class (469.97 units outstanding at both March 31, 2018 and December 31, 2017) |
|
|
373,730 |
|
|
392,629 |
|
|
Global 2 Class (231.81 units outstanding at both March 31, 2018 and December 31, 2017) |
|
|
180,373 |
|
|
189,644 |
|
|
|
|
|
|
|
|
|
|
|
Limited Partners |
|
|
|
|
|
|
|
|
Class A (5,929.50 and 6,818.01 units outstanding at March 31, 2018 and December 31, 2017, respectively) |
|
|
5,863,815 |
|
|
7,161,658 |
|
|
Class B (79,832.87 and 84,494.74 units outstanding at March 31, 2018 and December 31, 2017, respectively) |
|
|
64,334,616 |
|
|
72,443,010 |
|
|
Legacy 1 Class (777.22 units outstanding at both March 31, 2018 and December 31, 2017) |
|
|
619,774 |
|
|
654,458 |
|
|
Legacy 2 Class (219.09 units outstanding at both March 31, 2018 and December 31, 2017) |
|
|
170,525 |
|
|
180,172 |
|
|
Global 1 Class (29,875.54 and 30,151.86 units outstanding at March 31, 2018 and December 31, 2017, respectively) |
|
|
23,757,346 |
|
|
25,189,596 |
|
|
Global 2 Class (1,032.41 and 1,069.68 units outstanding at March 31, 2018 and December 31, 2017, respectively) |
|
|
803,344 |
|
|
875,122 |
|
|
Global 3 Class (2,819.22 and 7,650.73 units outstanding at March 31, 2018 and December 31, 2017, respectively) |
|
|
1,875,319 |
|
|
5,374,659 |
|
|
Total partners' capital (net asset value) |
|
|
98,945,413 |
|
|
113,483,622 |
|
|
Total liabilities and partners' capital (net asset value) |
|
$ |
101,712,616 |
|
$ |
116,298,655 |
|
The accompanying notes are an integral part of these consolidated financial statements.
2
Grant Park Futures Fund Limited Partnership
Consolidated Condensed Schedule of Investments
(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 |
|
$ |
8,773 |
|
0.01 |
% |
$ |
(18,501) |
|
(0.02) |
% |
$ |
(9,728) |
|
(0.01) |
% |
|
Currencies |
|
$ |
(22,969) |
|
(0.02) |
% |
$ |
(12,336) |
|
(0.01) |
% |
$ |
(35,305) |
|
(0.03) |
% |
|
Energy |
|
$ |
546,833 |
|
0.55 |
% |
$ |
(28,660) |
|
(0.03) |
% |
$ |
518,173 |
|
0.52 |
% |
|
Interest rates |
|
$ |
55,156 |
|
0.05 |
% |
$ |
(250,035) |
|
(0.25) |
% |
$ |
(194,879) |
|
(0.20) |
% |
|
Meats |
|
$ |
— |
|
— |
% |
$ |
79,383 |
|
0.08 |
% |
$ |
79,383 |
|
0.08 |
% |
|
Metals |
|
$ |
(97,538) |
|
(0.10) |
% |
$ |
36,763 |
|
0.04 |
% |
$ |
(60,775) |
|
(0.06) |
% |
|
Soft commodities |
|
$ |
92,369 |
|
0.09 |
% |
$ |
343,376 |
|
0.35 |
% |
$ |
435,745 |
|
0.44 |
% |
|
Stock indices and single stock futures |
|
$ |
(536,923) |
|
(0.54) |
% |
$ |
9,067 |
|
0.01 |
% |
$ |
(527,856) |
|
(0.53) |
% |
|
Total U.S. Futures Positions |
|
$ |
45,701 |
|
|
|
$ |
159,057 |
|
|
|
$ |
204,758 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Futures Positions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agriculturals |
|
$ |
136 |
|
— |
% |
$ |
(1,281) |
|
— |
% |
$ |
(1,145) |
|
— |
% |
|
Currencies |
|
$ |
462 |
|
— |
% |
$ |
25,114 |
|
0.03 |
% |
$ |
25,576 |
|
0.03 |
% |
|
Energy |
|
$ |
— |
|
— |
% |
$ |
(1,229) |
|
— |
% |
$ |
(1,229) |
|
— |
% |
|
Interest rates |
|
$ |
740,163 |
|
0.75 |
% |
$ |
(55,607) |
|
(0.06) |
% |
$ |
684,556 |
|
0.69 |
% |
|
Metals |
|
$ |
(609,339) |
|
(0.61) |
% |
$ |
357,211 |
|
0.36 |
% |
$ |
(252,128) |
|
(0.25) |
% |
|
Soft commodities |
|
$ |
— |
|
— |
% |
$ |
30,823 |
|
0.03 |
% |
$ |
30,823 |
|
0.03 |
% |
|
Stock indices |
|
$ |
(92,772) |
|
(0.09) |
% |
$ |
42,087 |
|
0.04 |
% |
$ |
(50,685) |
|
(0.05) |
% |
|
Total Foreign Futures Positions |
|
$ |
38,650 |
|
|
|
$ |
397,118 |
|
|
|
$ |
435,768 |
|
|
|
|
Total Futures Contracts |
|
$ |
84,351 |
|
0.09 |
% |
$ |
556,175 |
|
0.56 |
% |
$ |
640,526 |
|
0.65 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Contracts * |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies |
|
$ |
(154,723) |
|
(0.16) |
% |
$ |
303,821 |
|
0.31 |
% |
$ |
149,098 |
|
0.15 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deutsche Bank total return swap, Termination date March 29, 2019 |
|
$ |
(639,007) |
|
(0.65) |
% |
$ |
— |
|
— |
% |
$ |
(639,007) |
|
(0.65) |
% |
|
Deutsche Bank total return swap, Termination date July 1, 2020 |
|
$ |
2,113,139 |
|
2.14 |
% |
$ |
— |
|
— |
% |
$ |
2,113,139 |
|
2.14 |
% |
|
Total Swap Contracts |
|
$ |
1,474,132 |
|
1.49 |
% |
$ |
— |
|
— |
% |
$ |
1,474,132 |
|
1.49 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Futures, Forward and |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap Contracts |
|
$ |
1,403,760 |
|
1.42 |
% |
$ |
859,996 |
|
0.87 |
% |
$ |
2,263,756 |
|
2.29 |
% |
*No individual futures and forward contract position constituted greater than 1 percent of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented.
The accompanying notes are an integral part of these consolidated financial statements.
3
Grant Park Futures Fund Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
March 31, 2018
(Unaudited)
Securities owned
U.S. Government-sponsored enterprises
|
|
|
|
|
|
|
|
|
|
|
Percent of |
|
|
|
|
|
|
|
|
|
|
|
|
Partners' Capital |
|
|
Face Value |
|
Maturity Dates |
|
Description |
|
Fair Value |
|
(net asset value) |
|
||
|
$ |
38,000,000 |
|
10/15/2018-8/1/2019 |
|
Federal Farm Credit Banks, 1.1-1.3% |
|
$ |
38,105,265 |
|
38.51 |
% |
|
$ |
19,000,000 |
|
8/24/2018-12/2/2019 |
|
Federal Home Loan Banks, 1.1-1.5% |
|
$ |
19,061,588 |
|
19.27 |
% |
|
$ |
2,500,000 |
|
7/19/2019 |
|
Federal Agricultural Mortgage Corp., 1.1% |
|
$ |
2,505,700 |
|
2.53 |
% |
|
|
|
|
Total U.S. Government-sponsored enterprises (cost $59,497,750) |
|
|
|
$ |
59,672,553 |
|
60.31 |
% |
U.S. Mutual fund
|
|
|
|
|
|
|
|
|
|
|
Percent of |
|
|
|
|
|
|
|
|
|
|
|
|
Partners' Capital |
|
|
Shares |
|
Description |
|
|
|
|
Fair Value |
|
(net asset value) |
|
|
|
|
689,730 |
|
Grant Park Absolute Return Fund - Class I (cost $7,779,984) |
|
|
|
$ |
6,731,761 |
|
6.80 |
% |
U.S. Exchange-traded funds
|
|
|
|
|
|
|
|
|
|
|
Percent of |
|
|
|
|
|
|
|
|
|
|
|
|
Partners' Capital |
|
|
Shares |
|
Description |
|
|
|
|
Fair Value |
|
(net asset value) |
|
|
|
|
60,000 |
|
Highland / iBoxx Senior Loan ETF |
|
|
|
$ |
1,099,200 |
|
1.11 |
% |
|
|
10,000 |
|
PIMCO Enhanced Short Maturity Active ETF |
|
|
|
$ |
1,015,500 |
|
1.02 |
% |
|
|
40,000 |
|
SPDR Bloomberg Barclays Short Term High Yield Bond ETF |
|
|
|
$ |
1,094,800 |
|
1.11 |
% |
|
|
|
|
Total Exchange-traded funds (cost $3,228,997) |
|
|
|
$ |
3,209,500 |
|
3.24 |
% |
|
|
|
|
|
|
Percent of |
|
|
|
|
|
|
|
Partners' Capital |
|
|
|
|
Fair Value |
|
(net asset value) |
|
|
|
Total securities owned (cost of $70,506,731) |
$ |
69,613,814 |
70.35 |
% |
||
The accompanying notes are an integral part of these consolidated financial statements.
4
Grant Park Futures Fund Limited Partnership
Consolidated Condensed Schedule of Investments
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 |
|
$ |
(11,912) |
|
(0.01) |
% |
$ |
149,021 |
|
0.13 |
% |
$ |
137,109 |
|
0.12 |
% |
|
Currencies |
|
$ |
391,917 |
|
0.35 |
% |
$ |
(65,662) |
|
(0.06) |
% |
$ |
326,255 |
|
0.29 |
% |
|
Energy |
|
$ |
1,144,493 |
|
1.01 |
% |
$ |
(98,244) |
|
(0.09) |
% |
$ |
1,046,249 |
|
0.92 |
% |
|
Interest rates |
|
$ |
19,476 |
|
0.02 |
% |
$ |
274,668 |
|
0.24 |
% |
$ |
294,144 |
|
0.26 |
% |
|
Meats |
|
$ |
30,083 |
|
0.03 |
% |
$ |
963 |
|
— |
% |
$ |
31,046 |
|
0.03 |
% |
|
Metals |
|
$ |
497,533 |
|
0.44 |
% |
$ |
(111,735) |
|
(0.10) |
% |
$ |
385,798 |
|
0.34 |
% |
|
Soft commodities |
|
$ |
217,286 |
|
0.19 |
% |
$ |
(23,266) |
|
(0.02) |
% |
$ |
194,020 |
|
0.17 |
% |
|
Stock indices and single stock futures |
|
$ |
355,178 |
|
0.31 |
% |
$ |
(41,722) |
|
(0.03) |
% |
$ |
313,456 |
|
0.28 |
% |
|
Total U.S. Futures Positions |
|
$ |
2,644,054 |
|
|
|
$ |
84,023 |
|
|
|
$ |
2,728,077 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Futures Positions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agriculturals |
|
$ |
— |
|
— |
% |
$ |
13,080 |
|
0.01 |
% |
$ |
13,080 |
|
0.01 |
% |
|
Currencies |
|
$ |
19,742 |
|
0.02 |
% |
$ |
47,586 |
|
0.04 |
% |
$ |
67,328 |
|
0.06 |
% |
|
Energy |
|
$ |
(484) |
|
— |
% |
$ |
— |
|
— |
% |
$ |
(484) |
|
— |
% |
|
Interest rates |
|
$ |
(580,554) |
|
(0.51) |
% |
$ |
(53,365) |
|
(0.05) |
% |
$ |
(633,919) |
|
(0.56) |
% |
|
Metals |
|
$ |
922,460 |
|
0.81 |
% |
$ |
(672,078) |
|
(0.59) |
% |
$ |
250,382 |
|
0.22 |
% |
|
Soft commodities |
|
$ |
— |
|
— |
% |
$ |
15,274 |
|
0.01 |
% |
$ |
15,274 |
|
0.01 |
% |
|
Stock indices |
|
$ |
153,925 |
|
0.14 |
% |
$ |
50,996 |
|
0.04 |
% |
$ |
204,921 |
|
0.18 |
% |
|
Total Foreign Futures Positions |
|
$ |
515,089 |
|
|
|
$ |
(598,507) |
|
|
|
$ |
(83,418) |
|
|
|
|
Total Futures Contracts |
|
$ |
3,159,143 |
|
2.78 |
% |
$ |
(514,484) |
|
(0.45) |
% |
$ |
2,644,659 |
|
2.33 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Contracts * |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies |
|
$ |
179,608 |
|
0.16 |
% |
$ |
(153,981) |
|
(0.14) |
% |
$ |
25,627 |
|
0.02 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deutsche Bank total return swap, Termination date March 29, 2019 |
|
$ |
56,614 |
|
0.05 |
% |
$ |
— |
|
— |
% |
$ |
56,614 |
|
0.05 |
% |
|
Deutsche Bank total return swap, Termination date July 1, 2020 |
|
$ |
1,122,698 |
|
0.99 |
% |
$ |
— |
|
— |
% |
$ |
1,122,698 |
|
0.99 |
% |
|
Total Swap Contracts |
|
$ |
1,179,312 |
|
1.04 |
% |
$ |
— |
|
— |
% |
$ |
1,179,312 |
|
1.04 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Futures, Forward and |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap Contracts |
|
$ |
4,518,063 |
|
3.98 |
% |
$ |
(668,465) |
|
(0.59) |
% |
$ |
3,849,598 |
|
3.39 |
% |
*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, 2017
Securities owned
U.S. Government-sponsored enterprises
|
|
|
|
|
|
|
|
|
|
|
Percent of |
|
|
|
|
|
|
|
|
|
|
|
|
Partners' Capital |
|
|
Face Value |
|
Maturity Dates |
|
Description |
|
Fair Value |
|
(net asset value) |
|
||
|
$ |
38,000,000 |
|
10/15/2018-8/1/2019 |
|
Federal Farm Credit Banks, 1.1-1.3% |
|
$ |
38,103,115 |
|
33.58 |
% |
|
$ |
19,000,000 |
|
8/24/2018-12/2/2019 |
|
Federal Home Loan Banks, 1.1-1.5% |
|
$ |
19,067,301 |
|
16.80 |
% |
|
$ |
2,500,000 |
|
7/19/2019 |
|
Federal Agricultural Mortgage Corp., 1.1% |
|
$ |
2,512,825 |
|
2.21 |
% |
|
|
|
|
Total U.S. Government-sponsored enterprises (cost $59,497,750) |
|
|
|
$ |
59,683,241 |
|
52.59 |
% |
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% |
|
$ |
2,012,166 |
|
1.77 |
% |
|
$ |
2,000,000 |
|
2/1/2018 |
|
Wells Fargo & Company, 1.7% |
|
$ |
2,054,557 |
|
1.81 |
% |
|
|
|
|
Total U.S. Corporate bonds (cost $4,040,501) |
|
|
|
$ |
4,066,723 |
|
3.58 |
% |
U.S. Mutual fund
|
|
|
|
|
|
|
|
|
|
|
Percent of |
|
|
|
|
|
|
|
|
|
|
|
|
Partners' Capital |
|
|
Shares |
|
Description |
|
|
|
|
Fair Value |
|
(net asset value) |
|
|
|
|
689,730 |
|
Grant Park Absolute Return Fund - Class I (cost $7,779,984) |
|
$ |
7,683,587 |
|
6.77 |
% |
||
U.S. Exchange-traded funds
|
|
|
|
|
|
|
|
|
|
|
Percent of |
|
|
|
|
|
|
|
|
|
|
|
|
Partners' Capital |
|
|
Shares |
|
Description |
|
|
|
|
Fair Value |
|
(net asset value) |
|
|
|
|
110,000 |
|
Exchange-traded funds (cost $3,228,997) ** |
|
|
|
$ |
3,209,400 |
|
2.83 |
% |
|
|
|
|
|
|
Percent of |
|
|
|
|
|
|
|
Partners' Capital |
|
|
|
|
Fair Value |
|
(net asset value) |
|
|
|
Total securities owned (cost of $74,547,232) |
|
$ |
74,642,951 |
|
65.77 |
% |
**No individual position constituted greater than 1 percent of partners’ capital (net asset value).
The accompanying notes are an integral part of these consolidated financial statements.
6
Grant Park Futures Fund Limited Partnership
Consolidated Statements of Operations
|
|
|
Three Months Ended |
|
|
||||
|
|
|
March 31, |
|
|
||||
|
|
|
2018 |
|
2017 |
|
|
||
|
|
|
(Unaudited) |
|
|
||||
|
Net trading gains (losses) |
|
|
|
|
|
|
|
|
|
Net gain (loss) from futures trading |
|
|
|
|
|
|
|
|
|
Realized |
|
$ |
(1,918,046) |
|
$ |
2,661,434 |
|
|
|
Change in unrealized |
|
|
(2,004,133) |
|
|
(1,649,420) |
|
|
|
Commissions |
|
|
(393,739) |
|
|
(583,312) |
|
|
|
Net gains (losses) from futures trading |
|
|
(4,315,918) |
|
|
428,702 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gain (loss) from forward trading |
|
|
|
|
|
|
|
|
|
Realized |
|
|
(44,397) |
|
|
(67,154) |
|
|
|
Change in unrealized |
|
|
123,471 |
|
|
(478,502) |
|
|
|
Commissions |
|
|
(207) |
|
|
(488) |
|
|
|
Net gains (losses) from forward trading |
|
|
78,867 |
|
|
(546,144) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gain (loss) from swap trading |
|
|
|
|
|
|
|
|
|
Change in unrealized |
|
|
294,820 |
|
|
454,233 |
|
|
|
Net gains (losses) from swap trading |
|
|
294,820 |
|
|
454,233 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gain (loss) from securities |
|
|
|
|
|
|
|
|