10-Q 1 gpff-20190331x10q.htm 10-Q gpff_Current folio_10Q

 

 

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, 2019

 

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 every Interactive Data File required to be submitted 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 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.

 

 

 

 

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 ☒

 

Securities registered pursuant to Section 12(b) of the Act:

 

 

 

Title of each class

Trading Symbol(s)

Name of each exchange on which registered

Class A Units

Class B Units

Legacy 1 Class Units

Legacy 2 Class Units

Global Alternative Markets 1 Class Units

Global Alternative Markets 2 Class Units

Global Alternative Markets 3 Class Units

None

None

None

None

None

None

None

None

None

None

None

None

None

None

 

 

 

 


 

 


 

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

 

QUARTER ENDED March 31, 2019

 

INDEX

 

PART I – FINANCIAL INFORMATION 

 

 

 

ITEM 1. 

Financial Statements

 

 

 

 

 

Consolidated Statements of Financial Condition as of March 31, 2019 (unaudited)
and December 31, 2018

2

 

 

 

 

Consolidated Condensed Schedule of Investments as of March 31, 2019 (unaudited)

3

 

 

 

 

Consolidated Condensed Schedule of Investments as of December 31, 2018

5

 

 

 

 

Consolidated Statements of Operations for the three months ended
March 31, 2019 and 2018 (unaudited)

7

 

 

 

 

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)
for the three months ended March 31, 2019 and 2018 (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, 

 

 

 

2019

    

2018

 

 

 

 

(Unaudited)

 

 

 

 

Assets

 

 

 

 

 

 

 

Equity in brokers' trading accounts:

 

 

 

 

 

 

 

Cash

 

$

11,468,696

 

$

12,858,812

 

Net unrealized gain (loss) on open futures contracts

 

 

2,088,023

 

 

1,727,541

 

Net unrealized gain (loss) on open forward currency contracts

 

 

(22,986)

 

 

(41,428)

 

Net unrealized gain (loss) on open swap contracts

 

 

1,702,191

 

 

1,933,109

 

Total equity in brokers' trading accounts

 

 

15,235,924

 

 

16,478,034

 

Cash and cash equivalents

 

 

16,179,767

 

 

2,519,703

 

Securities owned, at fair value (cost $45,724,611 and $60,715,159, respectively)

 

 

45,857,445

 

 

60,736,458

 

Interest and dividend receivable, net

 

 

3,241

 

 

13,919

 

Total assets

 

$

77,276,377

 

$

79,748,114

 

Liabilities and Partners' Capital (Net Asset Value)

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

Brokerage charge payable

 

$

374,945

 

$

389,272

 

Accrued incentive fees

 

 

31,371

 

 

0  

 

Organization and offering costs payable

 

 

18,527

 

 

19,125

 

Accrued operating expenses

 

 

16,094

 

 

16,593

 

Redemptions payable to limited partners

 

 

2,991,538

 

 

1,388,425

 

Total liabilities

 

 

3,432,475

 

 

1,813,415

 

Partners' Capital (Net Asset Value)

 

 

 

 

 

 

 

General Partner

 

 

 

 

 

 

 

Class A (307.34 units outstanding at both March 31, 2019 and December 31, 2018)

 

 

295,052

 

 

290,822

 

Legacy 1 Class (0.00 and 574.13 units outstanding at March 31, 2019 and December 31, 2018, respectively)

 

 

0  

 

 

445,722

 

Legacy 2 Class (263.13 units outstanding at both March 31, 2019 and December 31, 2018)

 

 

202,748

 

 

199,013

 

Global 1 Class (392.74 and 469.97 units outstanding at March 31, 2019 and December 31, 2018, respectively)

 

 

311,480

 

 

365,357

 

Global 2 Class (231.81 units outstanding at both March 31, 2019 and December 31, 2018)

 

 

179,588

 

 

176,000

 

 

 

 

 

 

 

 

 

Limited Partners

 

 

 

 

 

 

 

Class A (4,418.85 and 4,655.70 units outstanding at March 31, 2019 and December 31, 2018, respectively)

 

 

4,242,103

 

 

4,405,397

 

Class B (62,897.34 and 66,834.11 units outstanding at March 31, 2019 and December 31, 2018, respectively)

 

 

48,883,913

 

 

51,282,621

 

Legacy 1 Class (723.53 and 726.20 units outstanding at March 31, 2019 and December 31, 2018, respectively)

 

 

572,978

 

 

563,781

 

Legacy 2 Class (166.90 units outstanding at both March 31, 2019 and December 31, 2018)

 

 

128,596

 

 

126,227

 

Global 1 Class (22,575.04 and 24,310.14 units outstanding at March 31, 2019 and December 31, 2018, respectively)

 

 

17,904,166

 

 

18,898,570

 

Global 2 Class (709.12 and 736.07 units outstanding at March 31, 2019 and December 31, 2018, respectively)

 

 

549,387

 

 

558,876

 

Global 3 Class (881.18 and 971.50 units outstanding at March 31, 2019 and December 31, 2018, respectively)

 

 

573,891

 

 

622,313

 

Total partners' capital (net asset value)

 

 

73,843,902

 

 

77,934,699

 

Total liabilities and partners' capital (net asset value)

 

$

77,276,377

 

$

79,748,114

 

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, 2019

(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

 

$

 —

 

 —

%  

$

223,383

 

0.30

%  

$

223,383

 

0.30

%

Currencies

 

 

(53,744)

 

(0.07)

%  

 

42,724

 

0.06

%  

 

(11,020)

 

(0.01)

%

Energy

 

 

(7,340)

 

(0.01)

%  

 

(13,343)

 

(0.02)

%  

 

(20,683)

 

(0.03)

%

Interest rates

 

 

429,209

 

0.58

%  

 

(71,084)

 

(0.10)

%  

 

358,125

 

0.48

%

Meats

 

 

(30,568)

 

(0.04)

%  

 

(4,696)

 

(0.01)

%  

 

(35,264)

 

(0.05)

%

Metals

 

 

(38,319)

 

(0.05)

%  

 

18,251

 

0.02

%  

 

(20,068)

 

(0.03)

%

Soft commodities

 

 

(307)

 

 —

%  

 

80,937

 

0.11

%  

 

80,630

 

0.11

%

Stock indices and single stock futures

 

 

221,473

 

0.30

%  

 

(7,842)

 

(0.01)

%  

 

213,631

 

0.29

%

Total U.S. Futures Positions

 

 

520,404

 

 

 

 

268,330

 

 

 

 

788,734

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

 

963

 

 —

%  

 

3,783

 

0.01

%  

 

4,746

 

0.01

%

Currencies

 

 

(9,796)

 

(0.01)

%  

 

(280)

 

 —

%  

 

(10,076)

 

(0.01)

%

Energy

 

 

514

 

 —

%  

 

1,569

 

 —

%  

 

2,083

 

 —

%

Interest rates

 

 

1,323,094

 

1.79

%  

 

(25,630)

 

(0.03)

%  

 

1,297,464

 

1.76

%

Metals

 

 

149,420

 

0.20

%  

 

(230,339)

 

(0.31)

%  

 

(80,919)

 

(0.11)

%

Soft commodities

 

 

 —

 

 —

%  

 

16,422

 

0.02

%  

 

16,422

 

0.02

%

Stock indices

 

 

78,799

 

0.10

%  

 

(9,230)

 

(0.01)

%  

 

69,569

 

0.09

%

Total Foreign Futures Positions

 

 

1,542,994

 

 

 

 

(243,705)

 

 

 

 

1,299,289

 

 

 

Total Futures Contracts

 

$

2,063,398

 

2.79

%  

$

24,625

 

0.03

%  

$

2,088,023

 

2.82

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

(4,290)

 

(0.01)

%  

$

(18,696)

 

(0.02)

%  

$

(22,986)

 

(0.03)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date April 30, 2019

 

$

(561,698)

 

(0.76)

%  

$

 —

 

 —

%  

$

(561,698)

 

(0.76)

%

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

 

 

2,263,889

 

3.07

%  

 

 —

 

 —

%  

 

2,263,889

 

3.07

%

Total Swap Contracts

 

$

1,702,191

 

2.31

%  

$

 —

 

 —

%

$

1,702,191

 

2.31

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$

3,761,299

 

5.09

%  

$

5,929

 

0.01

%  

$

3,767,228

 

5.10

%

*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, 2019

(Unaudited)

 

Securities owned

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

 

(net asset value)

 

$

2,500,000

 

7/19/2019

 

Federal Agricultural Mortgage Corp., 1.1%

 

$

2,505,700

 

3.39

%

 

8,000,000

 

6/27/2019-8/1/2019

 

Federal Farm Credit Banks, 1.2%

 

 

8,018,778

 

10.86

%

 

16,000,000

 

4/29/2019-12/2/2019

 

Federal Home Loan Banks, 1.1-1.5%

 

 

16,057,827

 

21.75

%

 

 

 

Total U.S. Government-sponsored enterprises (cost $26,500,000)

 

 

 

$

26,582,305

 

36.00

%

 

U.S. Government securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                   

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

 

(net asset value)

 

$

15,000,000

 

6/20/2019-12/5/2019

 

U.S. Treasury bills, 2.5%-2.7% (cost $14,706,559)

 

$

14,833,190

 

20.09

%

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Exchange-traded funds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Shares

    

Description

    

 

Fair Value

 

(net asset value)

 

 

75,000

 

Highland / iBoxx Senior Loan ETF

 

 

 

$

1,320,750

 

1.79

%

 

20,000

 

PIMCO Enhanced Short Maturity Active ETF

 

 

 

 

2,031,200

 

2.75

%

 

40,000

 

SPDR Bloomberg Barclays Short Term High Yield Bond ETF

 

 

 

 

1,090,000

 

1.47

%

 

 

 

Total Exchange-traded funds (cost $4,518,052)

 

 

 

$

4,441,950

 

6.01

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

Partners' Capital

 

 

  

Fair Value

   

(net asset value)

 

Total securities owned (cost of $45,724,611)

 

$

45,857,445

 

62.10

%

 

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, 2018

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

 

$

(5,122)

 

(0.01)

%  

 

115,643

 

0.15

%  

$

110,521

 

0.14

%

Currencies

 

 

(15,142)

 

(0.02)

%  

 

47,136

 

0.06

%  

 

31,994

 

0.04

%

Energy

 

 

(28,466)

 

(0.04)

%  

 

212,013

 

0.27

%  

 

183,547

 

0.23

%

Interest rates

 

 

687,228

 

0.88

%  

 

(193,906)

 

(0.25)

%  

 

493,322

 

0.63

%

Meats

 

 

27,198

 

0.03

%  

 

(13,968)

 

(0.01)

%  

 

13,230

 

0.02

%

Metals

 

 

90,510

 

0.11

%  

 

6,144

 

0.01

%  

 

96,654

 

0.12

%

Soft commodities

 

 

(3,636)

 

 —

%  

 

132,494

 

0.17

%  

 

128,858

 

0.17

%

Stock indices and single stock futures

 

 

(182,098)

 

(0.23)

%  

 

10,867

 

0.01

%  

 

(171,231)

 

(0.22)

%

Total U.S. Futures Positions

 

 

570,472

 

 

 

 

316,423

 

 

 

 

886,895

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

 

4,956

 

0.01

%  

 

560

 

 —

%  

 

5,516

 

0.01

%

Currencies

 

 

5,618

 

0.01

%  

 

3,108

 

 —

%  

 

8,726

 

0.01

%

Interest rates

 

 

769,472

 

0.99

%  

 

(20,778)

 

(0.03)

%  

 

748,694

 

0.96

%

Metals

 

 

(123,260)

 

(0.16)

%  

 

292,388

 

0.38

%  

 

169,128

 

0.22

%

Soft commodities

 

 

 —

 

 —

%  

 

(4,958)

 

(0.01)

%  

 

(4,958)

 

(0.01)

%

Stock indices

 

 

(164,812)

 

(0.21)

%  

 

78,352

 

0.10

%  

 

(86,460)

 

(0.11)

%

Total Foreign Futures Positions

 

 

491,974

 

 

 

 

348,672

 

 

 

 

840,646

 

 

 

Total Futures Contracts

 

$

1,062,446

 

1.36

%  

$

665,095

 

0.85

%  

$

1,727,541

 

2.21

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

19,404

 

0.03

%  

$

(60,832)

 

(0.08)

%  

$

(41,428)

 

(0.05)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$

(595,870)

 

(0.76)

%  

$

 —

 

 —

%  

$

(595,870)

 

(0.76)

%

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

 

 

2,528,979

 

3.24

%  

 

 —

 

 —

%  

 

2,528,979

 

3.24

%

Total Swap Contracts

 

$

1,933,109

 

2.48

%  

$

 —

 

 —

%

$

1,933,109

 

2.48

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$

3,014,959

 

3.87

%  

$

604,263

 

0.77

%  

$

3,619,222

 

4.64

%

 

*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, 2018

 

Securities owned

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

2,500,000

 

7/19/2019

 

Federal Agricultural Mortgage Corp., 1.1%

 

$

2,512,825

 

3.22

%

 

23,000,000

 

2/22/2019-8/1/2019

 

Federal Farm Credit Banks, 1.2-1.3%

 

 

23,067,965

 

29.60

%

 

16,000,000

 

4/29/2019-12/2/2019

 

Federal Home Loan Banks, 1.1-1.5%

 

 

16,054,389

 

20.60

%

 

 

 

Total U.S. Government-sponsored enterprises (cost $41,497,750)

 

 

 

$

41,635,179

 

53.42

%

 

U.S. Government securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                   

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

 

(net asset value)

 

$

15,000,000

 

3/28/2019-12/5/2019

 

U.S. Treasury bills, 2.1%-2.7% (cost $14,699,357)

 

$

14,752,579

 

18.93

%

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Exchange-traded funds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Shares

    

Description

    

 

Fair Value

 

(net asset value)

 

 

75,000

 

Highland / iBoxx Senior Loan ETF

 

 

 

$

1,288,500

 

1.65

%

 

20,000

 

PIMCO Enhanced Short Maturity Active ETF

 

 

 

 

2,019,000

 

2.59

%

 

40,000

 

SPDR Bloomberg Barclays Short Term High Yield Bond ETF

 

 

 

 

1,041,200

 

1.34

%

 

 

 

Total Exchange-traded funds (cost $4,518,052)

 

 

 

$

4,348,700

 

5.58

%

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

Partners' Capital

 

 

    

Fair Value

    

(net asset value)

 

Total securities owned (cost of $60,715,159)

 

$

60,736,458

 

77.93

%

 

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, 

 

 

 

 

2019

 

2018

    

 

 

 

(Unaudited)

 

 

Net trading gains (losses)

 

 

 

 

 

 

 

 

Net gain (loss) from futures trading

 

 

 

 

 

 

 

 

Realized

 

$

1,887,583

 

$

(1,918,046)

 

 

Change in unrealized

 

 

360,482

 

 

(2,004,133)

 

 

Commissions

 

 

(276,498)

 

 

(393,739)

 

 

Net gains (losses) from futures trading

 

 

1,971,567

 

 

(4,315,918)

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from forward trading

 

 

 

 

 

 

 

 

Realized

 

 

17,913

 

 

(44,397)

 

 

Change in unrealized

 

 

18,442

 

 

123,471

 

 

Commissions

 

 

(206)

 

 

(207)

 

 

Net gains (losses) from forward trading

 

 

36,149

 

 

78,867

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from swap trading

 

 

 

 

 

 

 

 

Change in unrealized

 

 

(230,918)

 

 

294,820

 

 

Net gains (losses) from swap trading

 

 

(230,918)

 

 

294,820

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from securities

 

 

 

 

 

 

 

 

Realized

 

 

2,215

 

 

15,352

 

 

Change in unrealized

 

 

93,250

 

 

(951,726)

 

 

Net gains (losses) from securities

 

 

95,465

 

 

(936,374)

 

 

 

 

 

 

 

 

 

 

 

Net trading gains (losses)

 

 

1,872,263

 

 

(4,878,605)

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

 

 

 

 

 

 

 

Income

 

 

 

 

 

 

 

 

Interest income

 

 

207,203

 

 

216,241

 

 

Dividend income

 

 

56,974

 

 

25,189

 

 

Total income

 

 

264,177

 

 

241,430

 

 

Expenses from operations

 

 

 

 

 

 

 

 

Brokerage charge

 

 

881,419

 

 

1,235,419