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EX-31.2 - EX-31.2 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPgpff-20180331ex312555dc8.htm
EX-32.1 - EX-32.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPgpff-20180331ex32193a4e5.htm
EX-31.1 - EX-31.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPgpff-20180331ex3112a0898.htm

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

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

THE SECURITIES EXCHANGE ACT OF 1934

 

For the Quarterly Period Ended March 31, 2018

 

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

THE SECURITIES EXCHANGE ACT OF 1934

 

For the Transition Period From                        to                    

 

Commission File Number:  0-50316

 

GRANT PARK FUTURES FUND

LIMITED PARTNERSHIP

(Exact name of registrant as specified in its charter)

 

 

 

 

Illinois

 

36-3596839

(State or other jurisdiction of

 

(I.R.S. Employer

incorporation or organization)

 

Identification Number)

 

 

 

c/o Dearborn Capital Management, L.L.C.

555 West Jackson Boulevard, Suite 600

Chicago, Illinois 60661

(Address of Principal Executive Offices, including Zip Code)

 

Registrant’s telephone number, including area code: (312) 756-4450

 

 

 

Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes ☒  No ☐

 

Indicate by check mark whether the Registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during   the preceding 12 months (or for such shorter period that the Registrant was required to submit and post such files). Yes ☒  No ☐

 

 

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

 

 

 

 

Large accelerated filer ☐

 

Accelerated filer ☐

 

 

 

Non accelerated filer ☒

 

Smaller reporting company ☐                  Emerging growth company ☐

 

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

 

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

 

 

 


 

 


 

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

 

QUARTER ENDED March 31, 2018

 

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

 

 

 


 

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.

 

2


 

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.

3


 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2018

(Unaudited)

 

Securities owned

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

 

(net asset value)

 

$

38,000,000

 

10/15/2018-8/1/2019

 

Federal Farm Credit Banks, 1.1-1.3%

 

$

38,105,265

 

38.51

%

$

19,000,000

 

8/24/2018-12/2/2019

 

Federal Home Loan Banks, 1.1-1.5%

 

$

19,061,588

 

19.27

%

$

2,500,000

 

7/19/2019

 

Federal Agricultural Mortgage Corp., 1.1%

 

$

2,505,700

 

2.53

%

 

 

 

Total U.S. Government-sponsored enterprises (cost $59,497,750)

 

 

 

$

59,672,553

 

60.31

%

 

U.S. Mutual fund

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Shares

    

Description

    

 

    

 

Fair Value

 

(net asset value)

 

 

689,730

 

Grant Park Absolute Return Fund - Class I (cost $7,779,984)

 

 

 

$

6,731,761

 

6.80

%

 

U.S. Exchange-traded funds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Shares

    

Description

    

 

    

 

Fair Value

 

(net asset value)

 

 

60,000

 

Highland / iBoxx Senior Loan ETF

 

 

 

$

1,099,200

 

1.11

%

 

10,000

 

PIMCO Enhanced Short Maturity Active ETF

 

 

 

$

1,015,500

 

1.02

%

 

40,000

 

SPDR Bloomberg Barclays Short Term High Yield Bond ETF

 

 

 

$

1,094,800

 

1.11

%

 

 

 

Total Exchange-traded funds (cost $3,228,997)

 

 

 

$

3,209,500

 

3.24

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

Partners' Capital

 

 

  

Fair Value

   

(net asset value)

 

Total securities owned (cost of $70,506,731)

 

$

69,613,814

 

70.35

%

 

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

4


 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

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

%

 

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

 

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

5


 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2017

 

Securities owned

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

38,000,000

 

10/15/2018-8/1/2019

 

Federal Farm Credit Banks, 1.1-1.3%

 

$

38,103,115

 

33.58

%

$

19,000,000

 

8/24/2018-12/2/2019

 

Federal Home Loan Banks, 1.1-1.5%

 

$

19,067,301

 

16.80

%

$

2,500,000

 

7/19/2019

 

Federal Agricultural Mortgage Corp., 1.1%

 

$

2,512,825

 

2.21

%

 

 

 

Total U.S. Government-sponsored enterprises (cost $59,497,750)

 

 

 

$

59,683,241

 

52.59

%

 

U.S. Corporate bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

2,000,000

 

2/16/2018

 

American Honda Finance Co, 1.5%

 

$

2,012,166

 

1.77

%

$

2,000,000

 

2/1/2018

 

Wells Fargo & Company, 1.7%

 

$

2,054,557

 

1.81

%

 

 

 

Total U.S. Corporate bonds (cost $4,040,501)

 

 

 

$

4,066,723

 

3.58

%

U.S. Mutual fund

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Shares

    

Description

    

 

    

 

Fair Value

 

(net asset value)

 

 

689,730

 

Grant Park Absolute Return Fund - Class I  (cost $7,779,984)

 

$

7,683,587

 

6.77

%

U.S. Exchange-traded funds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Shares

    

Description

    

 

    

 

Fair Value

 

(net asset value)

 

 

110,000

 

Exchange-traded funds (cost $3,228,997) **

 

 

 

$

3,209,400

 

2.83

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

Partners' Capital

 

 

    

Fair Value

    

(net asset value)

 

Total securities owned (cost of $74,547,232)

 

$

74,642,951

 

65.77

%

 

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

 

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

 

6


 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Operations

 

 

 

 

 

 

 

 

 

 

    

Three Months Ended

 

 

 

 

March 31, 

 

 

 

 

2018

 

2017

    

 

 

 

(Unaudited)

 

 

Net trading gains (losses)

 

 

 

 

 

 

 

 

Net gain (loss) from futures trading

 

 

 

 

 

 

 

 

Realized

 

$

(1,918,046)

 

$

2,661,434

 

 

Change in unrealized

 

 

(2,004,133)

 

 

(1,649,420)

 

 

Commissions

 

 

(393,739)

 

 

(583,312)

 

 

Net gains (losses) from futures trading

 

 

(4,315,918)

 

 

428,702

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from forward trading

 

 

 

 

 

 

 

 

Realized

 

 

(44,397)

 

 

(67,154)

 

 

Change in unrealized

 

 

123,471

 

 

(478,502)

 

 

Commissions

 

 

(207)

 

 

(488)

 

 

Net gains (losses) from forward trading

 

 

78,867

 

 

(546,144)

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from swap trading

 

 

 

 

 

 

 

 

Change in unrealized

 

 

294,820

 

 

454,233

 

 

Net gains (losses) from swap trading

 

 

294,820

 

 

454,233

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from securities

 

 

 

 

 

 

 

 

Change in unrealized

 

 

(936,374)