GRANT PARK FUTURES FUND LIMITED PARTNERSHIP - FORM 10-Q

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP - FORM 10-Q - May 15, 2018

Attached files

Attached files

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP Reports

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

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 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 ☒

Table of Contents

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

QUARTER ENDED March 31, 2018

INDEX

PART I – FINANCIAL INFORMATION

ITEM 1.	Financial Statements

	Consolidated Statements of Financial Condition as of March 31, 2018 (unaudited) and December 31, 2017 (audited)	2

	Consolidated Condensed Schedule of Investments as of March 31, 2018 (unaudited)	3

	Consolidated Condensed Schedule of Investments as of December 31, 2017 (audited)	5

	Consolidated Statements of Operations for the three months ended March 31, 2018 and 2017 (Unaudited)	7

	Consolidated Statements of Changes in Partners’ Capital (Net Asset Value) for the three months ended March 31, 2018 and 2017 (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	38

ITEM 4.	Controls and Procedures	43

PART II – OTHER INFORMATION

ITEM 1A.	Risk Factors	44

ITEM 2.	Unregistered Sales of Equity Securities and Use of Proceeds	44

ITEM 6.	Exhibits	46

SIGNATURES		47
CERTIFICATIONS

Table of Contents

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

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.

Table of Contents

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

March 31, 2018

(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.

Table of Contents

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	%

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, 2017

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	%

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, 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	%

**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
	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
Change in unrealized		(936,374)		—
Net gains (losses) from securities		(936,374)		—

Net trading gains (losses)		(4,878,605)		336,791

Net investment income (loss)
Income
Interest income		216,241		304,088
Dividend income		25,189		—
Total income		241,430		304,088
Expenses from operations
Brokerage charge		1,235,419		1,845,327
Incentive fees		4,621		136,221
Organizational and offering costs		79,508		116,224
Operating expenses		69,128		100,785
Total expenses		1,388,676		2,198,557
Net investment loss	$	(1,147,246)	$	(1,894,469)
Net income (loss)	$	(6,025,851)	$	(1,557,678)



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	$	(61.48)	$	(11.11)
General Partner & Limited Partner Class B Units	$	(51.50)	$	(10.57)
General Partner & Limited Partner Legacy 1 Class Units	$	(44.63)	$	(3.84)
General Partner & Limited Partner Legacy 2 Class Units	$	(44.03)	$	(4.28)
General Partner & Limited Partner Global 1 Class Units	$	(40.21)	$	(3.32)
General Partner & Limited Partner Global 2 Class Units	$	(40.00)	$	(3.77)
General Partner & Limited Partner Global 3 Class Units	$	(37.31)	$	(6.43)

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)

Three Months Ended March 31, 2018

(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, 2017	307.34	$	322,836	6,818.01	$	7,161,658	—	$	—	84,494.74	$	72,443,010	574.13	$	483,449	777.22	$	654,458	263.13	$	216,389	219.09	$	180,172
Contributions	—		—	—		—	—		—	—		—	—		—	—		—	—		—	—		—
Redemptions	—		—	(888.51)		(1,004,155)	—		—	(4,661.87)		(3,941,112)	—		—	-		—	—		—	—		—
Net income (loss)	—		(18,895)	—		(293,688)	—		—	—		(4,167,282)	—		(25,621)	—		(34,684)	—		(11,587)	—		(9,647)
Partners’ capital,
March 31, 2018	307.34	$	303,941	5,929.50	$	5,863,815	—	$	—	79,832.87	$	64,334,616	574.13	$	457,828	777.22	$	619,774	263.13	$	204,802	219.09	$	170,525


Net asset value per unit at December 31, 2017		$	1,050.40					$	857.37					$	842.06					$	822.36

Net asset value per unit at March 31, 2018		$	988.92					$	805.87					$	797.43					$	778.33


	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, 2017	469.97	$	392,629	30,151.86	$	25,189,596	231.81	$	189,644	1,069.68	$	875,122	—	$	—	7,650.73	$	5,374,659	$	113,483,622
Contributions	—		—	2,683.69		2,350,057	—		—	—		—	—		—	—		—		2,350,057
Redemptions	—		—	(2,960.01)		(2,425,901)	—		—	(37.27)		(29,267)	—		—	(4,831.51)		(3,461,980)		(10,862,415)
Net income (loss)	—		(18,899)	—		(1,356,406)	—		(9,271)	—		(42,511)	—		—	—		(37,360)		(6,025,851)
Partners’ capital,
March 31, 2018	469.97	$	373,730	29,875.54	$	23,757,346	231.81	$	180,373	1,032.41	$	803,344	—	$	—	2,819.22	$	1,875,319	$	98,945,413


Net asset value per unit at December 31, 2017		$	835.42					$	818.12					$	702.50

Net asset value per unit at March 31, 2018		$	795.21					$	778.12					$	665.19

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) (continued)

Three Months Ended March 31, 2017

(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, 2016	307.34	$	333,239	8,520.61	$	9,238,467	—	$	—	111,286.78	$	99,127,541	574.13	$	487,634	942.38	$	800,410	263.13	$	218,807	300.83	$	250,158
Contributions	—		—	—		—	—		—	—		—	—		—	—		—	—		—	—		—
Redemptions	—		—	(394.71)		(429,289)	—		—	(6,908.05)		(6,091,834)	—		—	(37.93)		(31,627)	—		—	(52.19)		(43,175)
Net income (loss)	—		(3,417)	—		(88,993)	—		—	—		(1,164,807)	—		(2,204)	—		(4,064)	—		(1,126)	—		(1,286)
Partners’ capital,
March 31, 2017	307.34	$	329,822	8,125.90	$	8,720,185	—	$	—	104,378.73	$	91,870,900	574.13	$	485,430	904.45	$	764,719	263.13	$	217,681	248.64	$	205,697


Net asset value per unit at December 31, 2016		$	1,084.25					$	890.74					$	849.35					$	831.55

Net asset value per unit at March 31, 2017		$	1,073.14					$	880.17					$	845.51					$	827.27


	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, 2016	924.77	$	775,716	39,439.76	$	33,082,784	231.81	$	190,820	2,264.59	$	1,864,195	—	$	—	26,405.78	$	18,995,167	$	165,364,938
Contributions	—		—	2,334.56		1,950,017	—		—	—		—	—		—	82.41		59,925		2,009,942
Redemptions	(201.26)		(165,000)	(4,948.00)		(4,147,434)	—		—	(388.56)		(319,110)	—		—	(5,482.96)		(3,919,993)		(15,147,462)
Net income (loss)	—		(6,224)	—		(116,926)	—		(873)	—		(7,818)	—		—	—		(159,940)		(1,557,678)
Partners’ capital,
March 31, 2017	723.51	$	604,492	36,826.32	$	30,768,441	231.81	$	189,947	1,876.03	$	1,537,267	-	$	—	21,005.23	$	14,975,159	$	150,669,740


Net asset value per unit at December 31, 2016		$	838.82					$	823.19					$	719.36

Net asset value per unit at March 31, 2017		$	835.50					$	819.42					$	712.93

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

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Notes to Consolidated Financial Statements

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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 certain reference traders; 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 or reference trader. Effectively, this structure isolates one trading advisor or reference trader 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 11, LLC (“GP 11”) GP 18, LLC (“GP 18”)

GP 3, LLC (“GP 3”) GP 8, LLC (“GP 8”) GP 14, LLC (“GP 14”)

GP 4, LLC (“GP 4”) GP 9, LLC (“GP 9”) GP 17, LLC (“GP 17”)

There were no assets allocated to GP 3 as of March 31, 2018 and December 31, 2017.

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 excess cash is held in a separate account in the name of GP Cash Management, LLC and custodied at State Street Bank and Trust Company or invested in mutual funds. 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

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costs. The Legacy 1 Class and Legacy 2 Class units are offered only to investors who are represented by approved 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, 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 and securities 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. Dividend income is recognized on the ex-dividend date.

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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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 March 31, 2018, 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 2014.

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 March 31, 2018 and December 31, 2017, unreimbursed organization and offering costs incurred by the General Partner were approximately $320,000 and $268,000, respectively, and may be reimbursed by the Partnership in the future.

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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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. The notional value of the swaps was $56,138,617 and the cash margin balance was $13,982,500 as of both March 31, 2018 and December 31, 2017. 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 March 31, 2018 and 2017, 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.

Recent accounting pronouncements: 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 adopted the accounting standard updates to Topic 606 as of January 1, 2018, and the adoption did not have a material impact 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 hold financial assets or owe financial liabilities. The guidance will impact the accounting for equity investments, financial liabilities under the fair value option, and the presentation and disclosure requirements for financial instruments. The guidance is effective for fiscal years beginning after December 15, 2017. The Partnership adopted ASU 2016-01 as of January 1, 2018, and the adoption did not have a material impact on its 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

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Notes to Consolidated Financial Statements

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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, options on futures contracts and exchange-traded 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.

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 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.

Fair value of mutual funds is based upon quoted prices as of the last business day of the reporting period. These financial instruments are classified in Level 1 of the fair value hierarchy.

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 investment in total return swaps are reported at fair value based on daily price reporting from the swap counterparty, which uses exchange prices to value most futures positions and the remaining positions are valued using proprietary pricing models of the 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.

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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 March 31, 2018:


Assets	Level 1		Level 2		Level 3		Total
Equity in brokers' trading accounts
U.S. and foreign futures contracts	$	640,526	$	—	$	—	$	640,526
Forward currency contracts		—		149,098		—		149,098
Swap contracts		—		1,474,132		—		1,474,132
Cash and cash equivalents
U.S. money market fund		157,846						157,846
U.S. commercial paper		—		3,939,741		—		3,939,741
Securities owned
U.S. Government-sponsored enterprises		—		59,672,553		—		59,672,553
U.S. mutual fund		6,731,761		—		—		6,731,761
U.S. Exchange-traded funds		3,209,500		—		—		3,209,500
Total	$	10,739,633	$	65,235,524	$	—	$	75,975,157

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 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, 2017:


Assets	Level 1		Level 2		Level 3		Total
Equity in brokers' trading accounts
U.S. and foreign futures contracts	$	2,644,659	$	—	$	—	$	2,644,659
Forward currency contracts		—		25,627		—		25,627
Swap contracts		—		1,179,312		—		1,179,312
Cash and cash equivalents
U.S. money market fund		2,543,917						2,543,917
U.S. commercial paper		—		5,815,806				5,815,806
Securities owned
U.S. Government-sponsored enterprises		—		59,683,241		—		59,683,241
U.S. corporate bonds		—		4,066,723		—		4,066,723
U.S. mutual fund		7,683,587		—		—		7,683,587
U.S. Exchange-traded funds		3,209,400		—		—		3,209,400
Total	$	16,081,563	$	70,770,709	$	—	$	86,852,272

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 months ended March 31, 2018 and year ended December 31, 2017.

Note 3. Deposits with Brokers and Interbank Market Makers

The Partnership, through the Trading Companies, deposits assets with SG Americas Securities, LLC and Wells Fargo Securities, LLC subject to CFTC regulations and various exchange and broker requirements. Margin requirements

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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 International 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 International 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 and Reference Traders

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”), Lynx Asset Management AB (“Lynx”), Quantica Capital AG (“Quantica”), Rabar Market Research, Inc. (“Rabar”), Revolution Capital Management, LLC (“RCM”) and Transtrend B.V. (“Transtrend”) (collectively, the “Advisors”). The Partnership will obtain the equivalent of net profits or net losses generated by H2O AM LLP (“H2O”) and Winton Capital Management Limited (“Winton”) as reference traders (“collectively, the “Reference Traders”) through off-exchange swap transactions and will not allocate assets to H2O or Winton directly. The Advisors and Reference Traders are paid a consulting fee, either monthly or quarterly, directly or through swap transactions, ranging from 0.5 percent to 1 percent per annum of the Partnership’s month-end allocated net assets and a quarterly, semi-annual or annual incentive fee, directly or through swap transactions, ranging from 16 percent to 24.5 percent of the new trading profits on the allocated net assets of the Advisor or Reference Trader.

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.

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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 amounts of $1,235,419 and $1,845,327 for the three months ended March 31, 2018 and 2017, respectively, 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 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 $79,508 and $116,224 for the three months ended March 31, 2018 and 2017, respectively, 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 $69,128 and $100,785 for the three months ended March 31, 2018 and 2017, respectively, 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 months ended March 31, 2018 and 2017, EMC was paid approximately $40,200 and $90,400, respectively, in consulting fees and no incentive fees.

During July 2017, the Partnership invested $7.3 million of its cash balances previously held in GP Cash Management in Class I shares of the Grant Park Absolute Return Fund (“GPARF”) and has reinvested dividends received from GPARF in the amount of approximately $480,000. The fair value of the Partnership’s investment in GPARF at March 31, 2018 and December 31, 2017 was $6,731,761 and $7,683,587, respectively. GPARF is one among

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several series of Northern Lights Fund Trust, a Delaware statutory trust organized on January 19, 2005. The Trust is registered under the Investment Company Act of 1940 as an open-ended mutual fund. The General Partner of the Partnership is registered as an investment adviser with the SEC under the Investment Advisers Act of 1940, and acts as investment adviser to GPARF. RCM, which is also one of the Partnership’s trading advisors, acts as sub-adviser to GPARF. GPARF’s investment objective is to allocate its assets between two independent, underlying strategies: an investment growth strategy and a fixed income strategy. The general partner credits the dollar amount of any fees it earns as investment adviser of GPARF with respect to the Partnership’s assets invested in GPARF towards the portion of the Partnership’s brokerage charge retained by the general partner. For the three months ended March 31, 2018, the credit amounted to $15,352 and is included in net gains (losses) from securities in the consolidated statement of operations.

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

Subscriptions received in advance, if any, represent cash received prior to March 31 for contributions of the subsequent month and do not participate in earnings of the Partnership until the following April.

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.

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

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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
	March 31,
	2018		2017

Total return – Class A Units	(5.85)	%	(1.03)	%
Total return – Class B Units	(6.01)	%	(1.19)	%
Total return – Legacy 1 Class Units	(5.30)	%	(0.45)	%
Total return – Legacy 2 Class Units	(5.35)	%	(0.51)	%
Total return – Global 1 Class Units	(4.81)	%	(0.40)	%
Total return – Global 2 Class Units	(4.89)	%	(0.46)	%
Total return – Global 3 Class Units	(5.31)	%	(0.89)	%
Ratios as a percentage of average net assets:
Expenses prior to incentive fees (1)	5.10	%	5.21	%
Incentive fees (2)	0.00	%	0.09	%
Total expenses	5.10	%	5.30	%
Net investment loss (1) (3)	(4.21)	%	(4.44)	%

(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 months ended March 31, 2018 and 2017 (annualized).

The following per unit performance calculations reflect activity related to the Partnership for the three months ended March 31, 2018 and 2017.


Class A Units	Three Months Ended
	March 31,
	2018		2017

Per Unit Performance
(for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	1,050.40	$	1,084.25
Income (loss) from operations
Net realized and change in unrealized gain (loss) from trading*		(49.35)		2.71
Expenses net of interest and dividend income*		(12.13)		(13.82)
Total income (loss) from operations		(61.48)		(11.11)
Net asset value per unit at end of period	$	988.92	$	1,073.14

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Class B Units	Three Months Ended
	March 31,
	2018		2017

Per Unit Performance
(for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	857.37	$	890.74
Income (loss) from operations
Net realized and change in unrealized gain (loss) from trading*		(40.38)		2.26
Expenses net of interest and dividend income*		(11.12)		(12.83)
Total income (loss) from operations		(51.50)		(10.57)
Net asset value per unit at end of period	$	805.87	$	880.17


Legacy 1 Class Units	Three Months Ended
	March 31,
	2018		2017

Per Unit Performance
(for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	842.06	$	849.35
Income (loss) from operations
Net realized and change in unrealized gain (loss) from trading*		(40.03)		2.04
Expenses net of interest and dividend income*		(4.60)		(5.88)
Total income (loss) from operations		(44.63)		(3.84)
Net asset value per unit at end of period	$	797.43	$	845.51


Legacy 2 Class Units	Three Months Ended
	March 31,
	2018		2017

Per Unit Performance
(for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	822.36	$	831.55
Income (loss) from operations
Net realized and change in unrealized gain (loss) from trading*		(39.03)		2.14
Expenses net of interest and dividend income*		(5.00)		(6.42)
Total income (loss) from operations		(44.03)		(4.28)
Net asset value per unit at end of period	$	778.33	$	827.27

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Global 1 Class Units	Three Months Ended
	March 31,
	2018		2017

Per Unit Performance
(for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	835.42	$	838.82
Income (loss) from operations
Net realized and change in unrealized gain (loss) from trading*		(36.75)		1.41
Expenses net of interest and dividend income*		(3.46)		(4.73)
Total income (loss) from operations		(40.21)		(3.32)
Net asset value per unit at end of period	$	795.21	$	835.50


Global 2 Class Units	Three Months Ended
	March 31,
	2018		2017

Per Unit Performance
(for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	818.12	$	823.19
Income (loss) from operations
Net realized and change in unrealized gain (loss) from trading*		(36.17)		1.41
Expenses net of interest and dividend income*		(3.83)		(5.18)
Total income (loss) from operations		(40.00)		(3.77)
Net asset value per unit at end of period	$	778.12	$	819.42


Global 3 Class Units	Three Months Ended
	March 31,
	2018		2017

Per Unit Performance
(for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	702.50	$	719.36
Income (loss) from operations
Net realized and change in unrealized gain (loss) from trading*		(30.70)		1.09
Expenses net of interest and dividend income*		(6.61)		(7.52)
Total income (loss) from operations		(37.31)		(6.43)
Net asset value per unit at end of period	$	665.19	$	712.93

* Expenses net of interest and dividend 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 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 March 31, 2018 and December 31, 2017 was $25,722,520 and $29,435,769, respectively, which was 26.00% and 25.94% 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 months ended March 31, 2018, the monthly average futures contracts bought and sold was 23,756 and the monthly average forward contracts bought and sold was 461. For the three months ended March 31, 2017, the monthly average futures contracts bought and sold was 45,903 and the monthly average forward contracts bought and sold was 435. The following tables summarize the quantitative information required by FASB ASC 815:

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Notes to Consolidated Financial Statements

(Unaudited)

Fair Values of Derivative Instruments at March 31, 2018 and December 31, 2017


	Consolidated	Asset			Liability
	Statements of Financial	Derivatives			Derivatives
	Condition Location	3/31/2018			3/31/2018		Fair Value

Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	74,110		$	(84,983)	$	(10,873)

Currencies contracts	Net Unrealized gain (loss) on open futures contracts		214,555			(224,284)		(9,729)

Energy contracts	Net Unrealized gain (loss) on open futures contracts		581,547			(64,603)		516,944
				.
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		972,293			(482,616)		489,677

Meats contracts	Net Unrealized gain (loss) on open futures contracts		82,091			(2,708)		79,383

Metals contracts	Net Unrealized gain (loss) on open futures contracts		512,038			(824,941)		(312,903)

Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		524,236			(57,668)		466,568

Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		211,346			(789,887)		(578,541)

		$	3,172,216		$	(2,531,690)	$	640,526

Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	397,363		$	(248,265)	$	149,098

Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	2,113,139		$	(639,007)	$	1,474,132

*At March 31, 2018, the sector exposure of the CTA indices underlying the swaps was:

Deutsche Bank total return swap, termination date March 29, 2019
Agricultural contracts	3%
Energy contracts	5%
Interest rate contracts	68%
Metals contracts	2%
Stock indices contracts	5%
Forward currency contracts	17%
Total	100%

Deutsche Bank total return swap, termination date July 1, 2020
Interest rate contracts	46%
Stock indices contracts	11%
Forward currency contracts	43%
Total	100%

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Notes to Consolidated Financial Statements

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	Consolidated	Asset			Liability
	Statements of Financial	Derivatives			Derivatives
	Condition Location	12/31/2017			12/31/2017		Fair Value

Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	192,152		$	(41,963)	$	150,189

Currencies contracts	Net Unrealized gain (loss) on open futures contracts		607,592			(214,009)		393,583

Energy contracts	Net Unrealized gain (loss) on open futures contracts		1,202,346			(156,581)		1,045,765
				.
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		480,661			(820,436)		(339,775)

Meats contracts	Net Unrealized gain (loss) on open futures contracts		37,013			(5,967)		31,046

Metals contracts	Net Unrealized gain (loss) on open futures contracts		1,464,763			(828,583)		636,180

Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		371,081			(161,787)		209,294

Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		867,587			(349,210)		518,377

		$	5,223,195		$	(2,578,536)	$	2,644,659

Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	573,423		$	(547,796)	$	25,627

Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	1,179,312		$	—	$	1,179,312

*At December 31, 2017, the sector exposure of the CTA indices underlying the swaps was:

Deutsche Bank total return swap, termination date March 29, 2019
Agricultural contracts	3%
Energy contracts	3%
Interest rate contracts	54%
Metals contracts	4%
Stock indices contracts	16%
Forward currency contracts	20%
Total	100%

Deutsche Bank total return swap, termination date July 1, 2020
Interest rate contracts	44%
Stock indices contracts	14%
Forward currency contracts	42%
Total	100%

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Notes to Consolidated Financial Statements

(Unaudited)

The Effect of Derivative Instruments on the Consolidated Statement of Operations for the Three Months Ended March 31, 2018 and 2017


		Three Months Ended		Three Months Ended
Type of Contract		March 31, 2018		March 31, 2017

Agriculturals contracts	Net gain (loss) from futures trading	$	(736,354)	$	(646,957)
Currencies contracts	Net gain (loss) from futures trading		112,083		(1,578,888)
Energy contracts	Net gain (loss) from futures trading		(437,551)		(3,111,188)
Interest rates contracts	Net gain (loss) from futures trading		457,206		(3,155,183)
Meats contracts	Net gain (loss) from futures trading		(108,284)		(7,808)
Metals contracts	Net gain (loss) from futures trading		(899,375)		55,883
Soft commodities contracts	Net gain (loss) from futures trading		657,094		377,913
Stock indices	Net gain (loss) from futures trading		(2,966,998)		9,078,242
Forward Currency Contracts	Net gain (loss) from forward trading		79,074		(545,656)
Swap Contracts	Net gain (loss) from swap trading		294,820		454,233

		$	(3,548,285)	$	920,591


Line Item in Consolidated Statement of Operations	Three Months Ended
	March 31, 2018		March 31, 2017

Net gain (loss) from futures trading
Realized	$	(1,918,046)	$	2,661,434
Change in unrealized		(2,004,133)		(1,649,420)
Total realized and change in unrealized net gain (loss) from futures trading	$	(3,922,179)	$	1,012,014

Net gain (loss) from forward trading
Realized	$	(44,397)	$	(67,154)
Change in unrealized		123,471		(478,502)
Total realized and change in unrealized net gain (loss) from forward trading	$	79,074	$	(545,656)

Net gain (loss) from swap trading
Change in unrealized	$	294,820	$	454,233
Total realized and change in unrealized net gain (loss) from swap trading	$	294,820	$	454,233

Total realized and change in unrealized net gain (loss) from futures, forward and swap trading	$	(3,548,285)	$	920,591

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Notes to Consolidated Financial Statements

(Unaudited)

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 March 31, 2018


					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	$	3,172,216	$	(2,531,690)	$	640,526
Forward contracts		397,363		(248,265)		149,098
Swap contracts		2,113,139		(639,007)		1,474,132
Total derivatives	$	5,682,718	$	(3,418,962)	$	2,263,756

Offsetting of Derivative Liabilities

As of March 31, 2018


					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	$	2,531,690	$	(2,531,690)	$	—
Forward contracts		248,265		(248,265)		—
Swap contracts		639,007		(639,007)		—
Total derivatives	$	3,418,962	$	(3,418,962)	$	—

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of March 31, 2018


			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	$	1,474,132	$	—	$	—	$	1,474,132
SG Americas Securities, LLC		715,080		—		—		715,080
UBS AG		4,009		—		—		4,009
Wells Fargo Securities, LLC		70,535		—		—		70,535
Total	$	2,263,756	$	—	$	—	$	2,263,756

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Notes to Consolidated Financial Statements

(Unaudited)

Offsetting of Derivative Assets

As of December 31, 2017


					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	$	5,223,195	$	(2,578,536)	$	2,644,659
Forward contracts		573,423		(547,796)		25,627
Swap contracts		1,179,312		—		1,179,312
Total derivatives	$	6,975,930	$	(3,126,332)	$	3,849,598

Offsetting of Derivative Liabilities

As of December 31, 2017


					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	$	2,578,536	$	(2,578,536)	$	—
Forward contracts		547,796		(547,796)		—
Swap contracts		—		—		—
Total derivatives	$	3,126,332	$	(3,126,332)	$	—

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of December 31, 2017


			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	$	1,179,312	$	—	$	—	$	1,179,312
SG Americas Securities, LLC		1,805,261		—		—		1,805,261
UBS AG		(60,011)		—		—		(60,011)
Wells Fargo Securities, LLC		925,036		—		—		925,036
Total	$	3,849,598	$	—	$	—	$	3,849,598

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Note 11. Subsequent Events

The Partnership has evaluated subsequent events for potential recognition and/or disclosure through date of issuance. Subsequent to March 31, 2018, there were contributions and redemptions totaling approximately $166 and $0, 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 certain reference traders; 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 11, LLC (“GP 11”) GP 18, LLC (“GP 18”)

GP 3, LLC (“GP 3”) GP 8, LLC (“GP 8”) GP 14, LLC (“GP 14”)

GP 4, LLC (“GP 4”) GP 9, LLC (“GP 9”) GP 17, LLC (“GP 17”)

There were no assets allocated to GP 3 as of March 31, 2018.

Grant Park invests through the Trading Companies with independent professional commodity trading advisors or through swap transactions based on reference programs of certain reference traders. Amplitude Capital International Limited, EMC Capital Advisors LLC, Lynx Asset Management AB, Quantica Capital AG, Rabar Market Research, Inc., Revolution Capital Management LLC and Transtrend B.V. serve as Grant Park’s commodity trading advisors. Grant Park obtains the equivalent of net profits or net losses generated by H2O AM LLP and Winton Capital Management Limited as reference traders through off-exchange swap transactions and does not allocate assets to H2O or Winton directly. 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 March 31, 2018, the general partner allocated between 5% to 25% of Grant Park’s net assets through the respective Trading Companies among its trading advisors to Amplitude, EMC, Lynx, Quantica, Rabar, RCM and Transtrend, and the swap transactions through which H2O and Winton are reference traders are similarly within this range. No more than 25% of Grant Park’s assets are allocated to any one Trading Company and, in turn, any one trading advisor or reference trader. The general partner may terminate or replace the trading advisors and/or enter into swap transactions related to the performance of reference traders or retain additional trading advisors in its sole discretion.

The table below illustrates the trading advisors or reference traders for each class of Grant Park’s outstanding limited partnership units as of March 31, 2018:

Amplitude

EMC

H2O*

Lynx

Quantica

Rabar

RCM

Transtrend

Winton*

Class A

Class B

Legacy 1

Legacy 2

Global 1

Global 2

Global 3

*Reference trader.

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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.

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, mutual funds, exchange-traded funds 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, mutual funds, exchange-traded funds 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, options on futures contracts and exchange-traded funds 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 which uses exchange prices to value most futures positions and the remaining positions are valued using proprietary pricing models of the counterparty. The investment in mutual funds is reported at fair value based on quoted market prices as of the last day of the reporting period.

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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 months ended March 31, 2018 and 2017, are set forth in the table below:


	Three Months Ended
	March 31,
	2018		2017
Total return – Class A Units	(5.85)	%	(1.03)	%
Total return – Class B Units	(6.01)	%	(1.19)	%
Total return – Legacy 1 Class Units	(5.30)	%	(0.45)	%
Total return – Legacy 2 Class Units	(5.35)	%	(0.51)	%
Total return – Global 1 Class Units	(4.81)	%	(0.40)	%
Total return – Global 2 Class Units	(4.89)	%	(0.46)	%
Total return – Global 3 Class Units	(5.31)	%	(0.89)	%

Grant Park’s total net asset value at March 31, 2018 was approximately $98.9 million, at December 31, 2017 was approximately $113.5 million, and at March 31, 2017 was approximately $150.7 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 months ended March 31, 2018 and 2017.


	% Gain (Loss)
	Three Months Ended
	March 31,
	2018		2017

Agriculturals	(0.7)	%	(0.4)	%
Currencies	0.1		(1.0)
Energy	(0.4)		(2.1)
Interest rates	0.4		(2.1)
Meats	(0.1)		—
Metals	(0.9)		—
Soft commodities	0.6		0.3
Stock indices	(3.0)		6.0
Forward currency contracts	0.1		(0.4)

Total	(3.9)	%	0.3	%

Three months ended March 31, 2018 compared to three months ended March 31, 2017

For the three months ended March 31, 2018, Grant Park had a negative return of 5.9% for the Class A units, a negative return of 6.0% for the Class B units, a negative return of 5.3% for the Legacy 1 Class units, a negative return of 5.4% for the Legacy 2 Class units, a negative return of 4.8% for the Global 1 Class units, a negative return of 4.9% for the Global 2 Class units, and a negative return of 5.3% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading losses of 3.9% which were decreased by gains of 0.3% from swap transactions and decreased by gains of 0.2% from interest and dividend income. These trading losses were increased by 2.3% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park. For the same period in 2017, Grant Park had a negative return of 1.0% for the Class A units, a negative return of 1.2% for the Class B units, a negative return of 0.5% for the Legacy 1 Class units, a negative return of 0.5% for the Legacy 2 Class units, a negative return of 0.4% for the Global 1 Class units, a negative return of 0.5% for the Global 2 Class units, and a negative return of 0.9% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading gains of 0.3% which were increased by gains of 0.3% from swap transactions and increased by gains of 0.2% from interest income. These

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trading profits were decreased by 1.8% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park.

Three months ended March 31, 2018

Grant Park registered losses in the first quarter as losses in the energies, metals, energies and agriculturals markets were slightly offset by gains in the currencies and fixed income sectors.

For January, performance in the equity, currency, and energy markets was positive. Grant Park benefited from rallies in global markets that were driven by accelerating economic growth, strong earnings, and changes in the U.S. tax structure. In currencies, long positions in the euro and the British pound benefited from a weak U.S. dollar and added to gains. Long positions in the energy complex benefitted as crude oil prices continued to rise on a weaker U.S. dollar and on rising optimism OPEC and its allies will cooperate to lower production beyond 2018. Small gains in the fixed income and metals sectors were slightly offset by losses in agriculturals. Long positions in gold and copper added to gains as prices rose on U.S. dollar weakness.

Performance for February was negative and was driven by large reversals in the equities, currencies and energies sectors. U.S. equity markets experienced a volatile, 12% correction early in the month, which negatively impacted Grant Park’s long equity positions. The reversal was triggered by investor concerns an increase in bond yields could signal the end of the long bull market and on concerns the U.S. would implement more protectionist trade policies. Energy prices reversed sharply lower, against Grant Park’s long positions, as stockpiles of U.S. crude steadily increased and domestic production reached record levels. Long positions in the British pound lost value as the pound weakened amidst uncertainty about the extended Brexit transition period. Long positions in the Australian dollar added to losses as the currency fell on declining Asian stock markets and on a disappointing Australian capital expenditure report. Fixed income positions were positive contributors. Positive economic growth and the plans for the Federal Reserve to unwind its balance sheet contributed to expectations the Federal Reserve would maintain its program for increasing interest rates.

Grant Park’s performance for March was negative, primarily due to losses in the equity and metals sectors; gains in the energies sector partially offset losses. Long equity positions suffered as investors weighed the implications of tariffs and a potential trade war, either of which could slow global economic growth. Headlines regarding increased regulation and oversight of large-cap technology companies and their usage of customer data also had a negative impact on equity performance. Long positions in base metals lost value as prices declined on muted demand. Positions in the energy complex gained in value as crude oil prices moved higher after China launched its yuan-denominated crude oil futures contract, an event many traders were anticipating as they sought to tap China's bustling commodity markets.

Key trading developments for Grant Park during the first three months of 2018 included the following:

January. Grant Park recorded gains during the month. Class A units were up 7.89%, Class B units were up 7.83%, Legacy 1 Class units were up 8.04%, Legacy 2 Class units were up 7.98%, Global 1 Class units were up 7.73%, Global 2 Class units were up 7.97% and Global 3 Class units were up 7.81%. The U.S. dollar weakened during the month. The Australian dollar and New Zealand dollar each strengthened, benefitting from U.S. dollar weakness and strength in commodity prices. The British pound strengthened on better-than- expected GDP data and on optimism Great Britain and the European Union will negotiate a Brexit agreement that allows the UK economy to grow. The euro strengthened on increased investor optimism for European economic growth and on expectations the European Central Bank will begin to unwind the massive monetary stimulus program beginning in 2018. Crude oil prices continued to move higher on a weaker U.S. dollar and on rising optimism OPEC and its allies will orchestrate lower production beyond 2018. Natural gas prices rose due to tight supplies and because of colder-than-expected winter weather. Except for the FTSE index, global equities moved higher, as strong earnings, the benefits of tax overhaul in the U.S., and accelerating economic growth drove the markets. The FTSE index declined due to a stronger British pound and in reaction to a report which showed the U.K. will be significantly worse off outside the EU, regardless of the final terms of the Brexit agreement. Fixed income prices fell as demand for safe-haven assets decreased due to expectations of accelerating global economic growth, benefits of tax reform and other positive economic indicators. Sugar markets fell over 12% due to excess supplies. Wheat and corn markets rose on a weak U.S. dollar and on strong export data. Cocoa prices rose as global supplies were reported to be smaller than expected. Soybean markets moved higher on concerns that

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dry weather in Argentina – a key producer - would tighten supplies. Precious metals prices rose on a weak U.S. dollar. Copper prices declined on elevated supplies and on lower demand.

February. Grant Park recorded losses during the month. Class A units were down 11.74%, Class B units were down 11.79%, Legacy 1 Class units were down 11.51%, Legacy 2 Class units were down 11.49%, Global 1 Class units were down 10.84%, Global 2 Class units were down 11.09% and Global 3 Class units were down 11.23%. The U.S. dollar strengthened in anticipation the Federal Reserve could raise interest rates four times this year. The Canadian dollar weakened on declining oil prices and in anticipation U.S. corporate tax cuts could hurt Canada’s competitiveness. Uncertainty about a renegotiated North American Free Trade Agreement added to weakness. The Australian dollar weakened on a disappointing Australian capital expenditure report. The British pound moved lower after the European Union’s chief negotiator warned a Brexit transition period for the U.K. was not guaranteed. The Japanese yen strengthened on data showing rising inflation. Crude oil prices fell in reaction to rising U.S. supplies and production. Natural gas and heating oil prices declined due to warmer than expected weather forecasts. Global equities markets moved lower as volatility spiked on investor speculation that increasing bond yields could signal the end of the decade-long equity bull market. Concerns over the prospect of more protectionist trade policies also weighed on the markets. Fixed income prices moved lower on continued pressure from economic growth in the U.S., on rising inflation expectations, and on the unwinding of the Fed’s balance sheet. Bund prices, however, moved higher as political unease in the Eurozone supported demand for safe-haven bonds. Corn markets rose on strong exports. Wheat markets increased on concerns dry weather in key growing regions would damage crops. Cocoa prices rose over 12% on expectations of diminished crops from the top grower, the Ivory Coast. Soybean markets moved higher on continued concerns that dry weather in Argentina would limit production. Precious metals prices declined after the Federal Reserve stated there could be four small interest rate hikes beginning in March. Copper prices declined on lower demand and on doubts about the strength of the economy in China, its top consumer.

March. Grant Park recorded losses during the month. Class A units were down 1.13%, Class B units were down 1.19%, Legacy 1 Class units were down 0.94%, Legacy 2 Class units were down 0.96%, Global 1 Class units were down 0.90%, Global 2 Class units were down 0.92% and Global 3 Class units were down 1.06%. The U.S. dollar weakened in reaction to uncertainty concerning tariffs and trade agreements. The British pound strengthened on expectations the Bank of England will raise interest rates. The euro moved higher due to strength across the European economy. The Australian dollar weakened on declining commodity prices and an increase in Australian unemployment. Crude oil prices rose after China launched its yuan-denominated crude oil futures contract, an event many traders were anticipating as they sought to access China's bustling commodity markets. Natural gas and heating oil prices rose on continued cold weather. Global equities moved lower on continued volatility, downbeat macro data from Europe and fears of a trade war between the U.S. and China. U.S. fixed income prices rose amidst volatility in the stock markets and concerns over the trade tensions between China and the U.S. Gilts prices rose after the U.K. Debt Management Office announced bond sales during the coming financial year will be the lowest since the financial crisis. Corn markets rose after the U.S. Department of Agriculture forecast an unexpected drop in inventories. Wheat markets declined as favorable weather boosted crops. Sugar prices declined on elevated supplies. Cocoa prices rose over 14% on signs of improving demand and forecasts for a smaller global surplus. Lean hog and live cattle markets moved lower on expectations of rising supplies. Gold prices rose slightly on U.S. dollar weakness. Copper prices declined on muted demand and weak global cues.

Three months ended March 31, 2017

Grant Park registered losses in the first quarter as losses in the energies, fixed income and currencies sectors were offset by gains in the equities sector.

For January, negative performance was driven by a combination of losses in fixed income and gains in the equity markets. Grant Park’s positions in equities markets profited as global equities markets continued to rally, while fixed income markets remained under pressure as investors reacted to what may be the end to a 30-year bull market in bonds. Within the fixed income sector, the bond market reversed direction as market expectations diverged on how quickly the Federal Reserve would raise interest rates. The 10-year U.S. Treasury yield rose, climbing above pre-election levels. In Japan and the Eurozone, central banks decided to forgo short-term bond purchases to steepen the interest rate yield curve. Global equity markets surged to begin the year, driven by expectations of additional fiscal stimulus, the

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hope for regulatory rollback, and for strong U.S. economic data. The month ended with greater uncertainty about those factors as the initial policy initiatives of the Trump administration focused on trade and immigration.

February's performance was positive and was driven by gains across the financial sectors. Grant Park’s positions in equities profited as investors remained optimistic about tax reform, economic policy, and generally positive economic indicators. The markets view on interest rates evolved as economic data and comments from central bankers increased the likelihood of an interest rate hike in the near term. Longer-maturity fixed income prices stabilized and the UK and German positions, in particular, gained value. Grant Park’s long positions in the U.S. dollar produced gains as currency markets shifted back to a preference for the U.S. dollar.

Grant Park’s performance was negative in March because of losses in the fixed income and currency sectors. Grant Park’s positions in equities, grains, and foods were profitable. Longer-term government debt particularly in the Eurozone drove performance along with shifts in currency markets. The markets view on currencies fluctuated with the majority of non-U.S. currencies appreciating against the dollar. The euro and the British pound appreciated on early signs that the Brexit negotiating process may be a difficult one, with central bankers speaking out against the plan citing it as a key risk to the economy. Grant Park’s long positions in the U.S. dollar produced losses, as did short positions in the euro. Equities continued to rally with gains concentrated in more economically sensitive areas as traditionally higher risk portions of the equity landscape outperformed.

Key trading developments for Grant Park during the first three months of 2017 included the following:

January. Grant Park recorded losses during the month. Class A units were down 2.50%, Class B units were down 2.55%, Legacy 1 Class units were down 2.31%, Legacy 2 Class units were down 2.33%, Global 1 Class units were down 2.26%, Global 2 Class units were down 2.29% and Global 3 Class units were down 2.43%. The U.S. dollar weakened as markets consolidated after a strong year and the new U.S. administration advocated for a weaker U.S. dollar policy. The Australian and New Zealand dollars strengthened as markets sought to invest in countries with stable economies and political environments. The Japanese yen strengthened as Japan’s trade surplus exceeded estimates. Crude oil prices fell as inventories grew, despite output cuts from OPEC members. Natural gas and heating oil prices declined amid warmer weather. Global equity markets surged in the beginning of the month, driven by expectations of additional fiscal stimulus, the hope for regulatory rollback, and for strong U.S. economic data. They began to retreat during late‐month due to uncertainty about those factors as the Trump administration initially focused on trade and immigration policy initiatives. The bond market reversed direction as market expectations diverged about how quickly the Federal Reserve would raise interest rates. Prices on 10‐year U.S. Treasury notes and 30‐year U.S. Treasury bonds rose. In Japan and the Eurozone, central banks decided to forgo short‐term bond purchases to steepen the interest‐rate yield curve. Grains prices rose due to adverse growing conditions in South America. Sugar prices rose on tightened supplies and downgrades to production expectations in India. Coffee prices rose after Brazil’s crop estimates were lowered. Cotton markets also rose on strong export sales. Precious metal prices rose following a retreat in U.S. stocks and weakness in the U.S. dollar. Base metal prices increased on rising demand and a weaker U.S. dollar.

February. Grant Park recorded gains during the month. Class A units were up 3.64%, Class B units were up 3.59%, Legacy 1 Class units were up 3.84%, Legacy 2 Class units were up 3.82%, Global 1 Class units were up 3.78%, Global 2 Class units were up 3.75% and Global 3 Class units were up 3.60%. The U.S. dollar strengthened on increased expectations the Federal Reserve will raise interest rates in March. The Canadian dollar weakened in reaction to that expectation and on the likelihood the Bank of Canada will leave interest rates unchanged. The euro weakened amidst the uncertainty of the outcomes in the upcoming elections in France and Holland. Crude oil prices rose slightly as concerns about rising U.S. inventories partially offset the reported OPEC production cuts. Natural gas prices declined as demand fell because of warmer-than-expected weather across the world. Global equity markets continued to rise. Domestically, stock indicies reached all-time highs on improving economic data and continued investor optimism about tax reform and economic policies. The Dow Jones Industrial Index rallied for 11 straight days, its longest streak since 1987. Fixed income markets moved higher as the markets reacted to economic data and comments from U.S. central bankers which increased the likelihood of an interest rate hike by the Federal Reserve. Longer-maturity fixed income prices stabilized and the U.K. and German positions, in particular, gained value. Corn prices rose after the USDA reported better export sales and increased concerns about global supplies. Sugar prices fell on the combination of increased supplies and lower demand. Coffee markets fell in reaction to an overabundance of supplies worldwide; the current surplus is the largest in

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six years. Precious metal prices rose on increased demand for safe-haven assets due to concerns about geopolitics and the ability of the U.S. government to enact a wide range of economy-growing policies.

March. Grant Park recorded losses during the month. Class A units were down 2.06%, Class B units were down 2.11%, Legacy 1 Class units were down 1.87%, Legacy 2 Class units were down 1.89%, Global 1 Class units were down 1.80%, Global 2 Class units were down 1.81% and Global 3 Class units were down 1.96%. The U.S. dollar weakened as investors questioned whether failure to pass healthcare reform was an indication the U.S. government would be unable to pass market-friendly legislation. The New Zealand dollar weakened after the Reserve Bank of New Zealand decided not to raise interest rates. The British pound strengthened as the U.K. formally started the process of leaving the European Union. Crude oil prices declined, pressured by a rise in the U.S. oil-rig count and by uncertainty over whether OPEC will extend its production cuts into the second half of the year. Natural gas prices rose 15% on decreasing inventories. U.S. equity markets were mixed on doubts whether the federal government will be able to enact economic plans for tax reform and fiscal stimulus. European equity markets, led by bank stocks and automobile manufacturers, rose after Britain commenced proceedings to exit the European Union. Eurozone fixed income markets moved lower due to a widening differential between interest rate policies of the U.S. and Eurozone central banks. Soybean markets declined over seven percent after crop-planting reports indicated the likelihood of abundant future supplies. Sugar prices fell 12% on expectations of a supply surplus, while cocoa prices rose over seven percent over concerns of reduced inventories. Precious metal prices declined in anticipation the Federal Reserve would raise interest rates. Copper prices fell after supply-related concerns were relieved.

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.

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 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 and exchange-traded funds 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 or are invested in mutual funds. 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.

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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.

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

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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.

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.

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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 March 31, 2018 and December 31, 2017 and the trading gains/losses by market category for the three months ended March 31, 2018 and the year ended December 31, 2017. 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 March 31, 2018, Grant Park’s net asset value was approximately $98.9 million. As of December 31, 2017, Grant Park’s net asset value was approximately $113.5 million.


	March 31, 2018
Market Sector	Value at Risk*		Trading Gain/(Loss)

Energy	0.4	%	(0.4)	%
Interest rates	0.3		0.4
Stock indices	0.3		(3.0)
Currencies & Forward currency contracts	0.2		0.2
Agriculturals/softs/meats	0.2		(0.2)
Metals	0.1		(0.9)

Aggregate/Total	0.8	%	(3.9)	%


	December 31, 2017
Market Sector	Value at Risk*		Trading Gain/(Loss)

Stock indices	0.4	%	21.0	%
Energy	0.4		(4.1)
Agriculturals/softs/meats	0.3		(1.7)
Interest rates	0.3		(7.5)
Metals	0.3		(1.7)
Currencies & Forward currency contracts	0.1		(5.0)

Aggregate/Total	0.9	%	1.0	%

* 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.

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.

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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 March 31, 2018, by market sector.

Energy

Grant Park’s primary energy market risk exposure is due to price movements in the gas and oil markets, which often result from political developments in the Middle East, Nigeria, Russia, and South America. Energy prices can be volatile and substantiatl profits and losses have been and are expected to continue to be experienced in these markets. As of March 31, 2018, in the energy market Grant Park had long exposure to brent crude, crude oil, heating oil and NY harbor RBOB gas and short exposures to natural gas.

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 the Fund 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 and New Zealand. The general partner anticipates that G-7 interest rates will remain the primary market exposure of Grant Park for the foreseeable future. As of March 31, 2018, Grant Park held long positions for interest rate instruments in Canada, Germany, Japan, New Zealand, Australia and the Eurozone and was short interest rate instruments in U.S., U.K and Switzerland.

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, Sweden, Taiwan, Thailand and Turkey. The stock index futures contracts currently traded by Grant Park are futures on broadly-based indices and on narrow-based stock index or single-stock futures contracts. As of March 31, 2018, Grant Park was predominantly long equities in Australia, the Eurozone, Hong Kong, Japan, Singapore, Taiwan, Thailand, Turkey, the U.S., Canada and South Africa and short equities in the U.K. and Sweden.

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 one of the primary market exposures for Grant Park for the foreseeable future. As of March 31, 2018, Grant Park was long the U.S. dollar against the Australian, euro, Canadian dollar and Swiss franc and was short the U.S. dollar against the British pound, Japanese yen, Mexican peso and New Zealand dollar.

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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 March 31, 2018, in the agriculturals, softs and meats markets, Grant Park had long exposure to cocoa, cotton, lumber, soybeans, soybean meal and Grant Park had short exposure to coffee, corn, feeder cattle, milk, live cattle, lean hogs, oats, wheat, orange juice, rough rice, soybean oil and sugar.

Metals

Grant Park’s metals market risk exposure is due to fluctuations in the price of both precious metals, including gold and silver, and on base metals, including aluminum, lead, copper, tin, nickel, palladium and zinc. As of March 31, 2018, in the metals sector Grant Park had long positions in gold, palladium and platinum and short positions in copper and silver.

Non-Trading Risk Exposure

The following were the only non-trading risk exposures of Grant Park as of March 31, 2018.

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.

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.

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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 March 31, 2018 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, 2017, 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 March 31, 2018.


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)

1/1/2018 through 1/31/2018	867.44	$	1,133.32	1,442.20	$	924.54	0.00	$	909.76	0.00	$	887.98	573.07	$	899.97	0.00	$	883.31	602.96	$	757.38	3,485.67	(2)
2/1/2018 through 2/28/2018	19.96	$	1,000.27	1,352.91	$	815.56	0.00	$	805.03	0.00	$	785.91	1,668.89	$	802.42	37.27	$	785.34	3,485.64	$	672.35	6,564.67	(2)
3/1/2018 through 3/30/2018	1.11	$	988.92	1,866.76	$	805.87	0.00	$	797.43	0.00	$	778.33	718.05	$	795.21	0.00	$	778.12	742.91	$	665.19	3,328.83	(2)
Total	888.51	$	1,130.15	4,661.87	$	845.39	0.00	$	837.41	0.00	$	817.41	2,960.01	$	819.56	37.27	$	785.34	4,831.51	$	681.86	13,379.17	(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.

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 March 31, 2018 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: May 15, 2018	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 $70,506,731)