Illinois
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000-50316
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36-3596839
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(State or other jurisdiction
of incorporation)
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(Commission file number)
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(I.R.S. employer
identification no.)
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c/o Dearborn Capital Management, L.L.C.
626 West Jackson Blvd., Suite 600
Chicago, Illinois
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60661
(Zip Code)
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(Address of principal executive offices)
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¨
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Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
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¨
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Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
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¨
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Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
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¨
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Pre-commencement communications pursuant to Rule 20e-4(c) under the Exchange Act (17 CFR 240.20e-4(c))
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GRANT PARK FUTURES FUND LIMITED
PARTNERSHIP |
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By:
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Dearborn Capital Management, L.L.C.
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Date: August 26, 2014
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By:
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/s/ Maureen O’Rourke
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Maureen O’Rourke
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Chief Financial Officer
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Exhibit
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99.1
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Weekly Commentary for the Week Ended August 22, 2014
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Current Month | Rolling Performance* | Rolling Risk Metrics* (September 2009 – August 2014) | ||||||||||||
Class
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Week ROR
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MTD
ROR
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YTD
ROR
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1 yr
Ann
ROR
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3 yr
Ann
ROR
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5 yr
Ann
ROR
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10 yr
Ann
ROR
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Annualized
ROR
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Annualized Standard Deviation
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Maximum
Drawdown
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Sharpe
Ratio
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Sortino Ratio
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A
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1.6%
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2.7%
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-3.1%
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0.7%
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-6.6%
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-4.7%
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1.4%
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-4.7%
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10.3%
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-28.6%
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-0.4
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-0.6
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B**
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1.6%
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2.7%
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-3.5%
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0.1%
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-7.1%
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-5.3%
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0.7%
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-5.3%
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10.4%
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-29.9%
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-0.5
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-0.7
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Legacy 1***
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1.6%
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2.8%
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-1.8%
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2.6%
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-4.5%
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-2.7%
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N/A
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-2.7%
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10.2%
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-23.7%
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-0.2
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-0.4
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Legacy 2***
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1.6%
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2.8%
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-2.0%
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2.5%
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-4.8%
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-3.0%
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N/A
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-3.0%
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10.1%
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-24.4%
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-0.3
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-0.4
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Global 1***
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1.6%
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2.8%
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-1.7%
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3.0%
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-3.9%
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-3.5%
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N/A
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-3.5%
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9.7%
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-21.9%
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-0.3
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-0.5
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Global 2***
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1.6%
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2.8%
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-1.8%
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2.8%
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-4.2%
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-3.8%
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N/A
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-3.8%
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9.7%
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-22.4%
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-0.4
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-0.5
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Global 3***
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1.6%
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2.7%
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-2.8%
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1.2%
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-5.8%
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-5.5%
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N/A
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-5.5%
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9.7%
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-27.9%
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-0.5
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-0.7
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S&P 500 Total Return Index****
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1.8%
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3.2%
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9.0%
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24.3%
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20.3%
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16.7%
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8.3%
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16.7%
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13.2%
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-16.3%
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1.2
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2.1
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Barclays Capital U.S. Long Gov Index****
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-0.4%
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2.7%
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15.8%
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12.8%
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5.4%
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7.6%
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6.9%
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7.6%
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11.3%
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-15.5%
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0.7
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1.2
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****
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Index is unmanaged & is not available for direct investment. Please see Indices Overview (below) for more information. Weekly RORs are calculated using data acquired through Bloomberg.
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Portfolio for A, B and Legacy units
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Portfolio for Global units
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||||||||||
Sector
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Sector
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Market
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Sector
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Market |
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||||||
Exposure
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Position
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Contract
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Exposure
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Position
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Exposure
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Position
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Contract
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Exposure
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Position
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COMMODITIES
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25%
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25%
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|||||||||
Energy
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6%
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Short
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Brent Crude Oil
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1.5%
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Short
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6%
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Short
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Brent Crude Oil
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1.4%
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Short
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Heating Oil
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1.4%
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Short
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Heating Oil
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1.3%
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Short
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Grains/Foods
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13%
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Short
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Sugar
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2.5%
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Short
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13%
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Short
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Sugar
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2.5%
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Short
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Corn
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1.4%
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Short
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Corn
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1.4%
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Short
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Metals
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6%
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Long
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Gold
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2.1%
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Short
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6%
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Long
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Gold
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2.1%
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Short
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Zinc LME
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1.1%
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Long
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Zinc LME
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1.1%
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Long
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||||||
FINANCIALS
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75%
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75%
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Currencies
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22%
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Long $
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Euro
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5.0%
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Short
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22%
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Long $
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Euro
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5.0%
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Short
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Japanese Yen
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3.3%
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Short
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Japanese Yen
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3.3%
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Short
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Equities
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24%
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Long
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S&P 500
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5.2%
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Long
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24%
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Long
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S&P 500
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5.1%
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Long
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Nasdaq
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2.8%
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Long
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Nasdaq
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2.8%
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Long
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||||||
Fixed Income
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29%
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Long
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Schatz
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5.5%
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Long
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29%
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Long
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Schatz
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5.4%
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Long
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Bunds
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4.2%
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Long
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Bunds
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4.2%
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Long
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Sector/Market
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Energy
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Crude oil markets fell nearly 4% as easing geo-political tensions in Ukraine and the Middle East alleviated recent supply concerns. Elevated crude oil inventories in the U.S. also contributed to lower prices. Natural gas markets rose in anticipation of increased demand that could result from an expected heat wave across the U.S. and by a potential increase in tropical storm activity off the East Coast.
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Grains/Foods
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Soybean markets rallied due to bullish sales data which beat estimates. Cotton markets moved over 6% higher due to supply concerns fostered by hot and dry weather in key farming regions in Texas. Sugar prices fell to six-month lows, under pressure from strong global supplies and waning demand.
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Metals
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Gold prices fell almost 2% due to an abundance of bullish economic data from the U.S., a sign an interest rate hike may come sooner than expected. Base metals prices rallied due to strong U.S. housing and Chinese growth data.
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Currencies
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The Japanese yen weakened after the government reported a larger-than-expected expansion of the nation’s trade deficit. The euro also weakened, driven lower by speculation economic concerns in the Eurozone will result in more quantitative easing from the ECB. The U.S. dollar strengthened after the minutes from the most recent Federal Open Market Committee meeting showed members are becoming more hawkish and may take steps towards a contractionary monetary policy sooner-than-expected.
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Equities
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Japanese stocks rallied sharply, fueled by weakness in the yen and by bullish Chinese data. The S&P 500 rallied to record highs as a result of bullish U.S. housing and employment data. European share markets moved higher because of strong earnings reports from several key Eurozone firms and hopes the situation in Ukraine may be easing.
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Fixed Income
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Global fixed-income markets generally fell after bullish economic data and strength in the global equity markets decreased safe-haven demand. Liquidations fostered by uncertainty ahead of the Federal Reserve’s conference in Jackson Hole on Friday also played a role in driving fixed-income prices down.
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