GRANT PARK FUTURES FUND LIMITED PARTNERSHIP files 10-Q

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP filed 10-Q with SEC. Read ‘s full filing at 000155837019008157.

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. In addition, the General Partner continues to compensate wholesalers for services rendered to Limited Partners. This reimbursement is made monthly and the reimbursement amounts are listed by class in Note 5. In no event, however, will the monthly reimbursement from the Partnership to the General Partner exceed 0.083%, or 1.0% annually, of the net asset value of the Partnership. In its discretion, the General Partner may require the Partnership to reimburse the General Partner in any subsequent calendar year for amounts that exceed these limits in any prior year, provided that the maximum amount reimbursed by the Partnership will not exceed the overall limit set forth above. Amounts reimbursed by the Partnership with respect to the organization and the ongoing public offering expenses are charged to expense from operations at the time of reimbursement or accrual. 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. As of June 30, 2019, unreimbursed organization and offering costs incurred by the General Partner were approximately $351,000 and may be reimbursed by the Partnership in the future.

The Partnership pays the General Partner a monthly brokerage charge, organization and offering reimbursement and operating expenses. The annualized brokerage charge, organization and offering reimbursement and operating expenses are presented in the table below. *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 $830,346 and $1,711,765, respectively, for the three and six months ended June 30, 2019 and $1,099,437 and $2,334,856, respectively, for the three and six months ended June 30, 2018, 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 $52,829 and $108,468, respectively, for the three and six months ended June 30, 2019 and $69,467 and $148,975, respectively, for the three and six months ended June 30, 2018, 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 $45,955 and $94,275, respectively, for the three and six months ended June 30, 2019 and $60,463 and $129,591, respectively, for the three and six months ended June 30, 2018, 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 and six months ended June 30, 2019, EMC was paid approximately $18,200 and $39,700, respectively, in consulting fees and no incentive fees. For the three and six months ended June 30, 2018, EMC was paid approximately $34,200 and $74,400, respectively, in consulting fees and no incentive fees.

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.

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 June 30, 2019 and December 31, 2018 was $11,330,834 and $12,858,812, respectively, which was 16.35% and 16.50% of the net asset value, respectively, and is included in equity in brokers’ trading accounts on the consolidated statements of financial condition.

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%.

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%.

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. Grant Park also engages in trading of 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. Effective April 1, 2019, Grant Park is no longer offering its limited partnership units for sale. For existing investors in Grant Park, business has been and will continue to be conducted as usual. There was no change in the trading, operations, or monthly statements, etc., and redemption requests will continue to be offered on a monthly basis. 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 11, GP 14 and GP 17 as of June 30, 2019. 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. EMC Capital Advisors LLC, Episteme Capital Partners (UK) LLP, Quantica Capital AG, Sterling Partners Quantitative Investments 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 June 30, 2019, the general partner allocated between 5% to 25% of Grant Park’s net assets through the respective Trading Companies among its trading advisors to EMC, Episteme, Quantica, Sterling 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. As of May 1, 2019, Amplitude Capital International Limited is no longer a trading advisor of Grant Park. The assets of Grant Park previously allocated to Amplitude were reallocated to Grant Park’s existing trading advisors as of that date. Effective June 14, 2019, Episteme was added as a trading advisor of Grant Park.

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. EMC Capital Advisors LLC, Episteme Capital Partners (UK) LLP, Quantica Capital AG, Sterling Partners Quantitative Investments 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 June 30, 2019, the general partner allocated between 5% to 25% of Grant Park’s net assets through the respective Trading Companies among its trading advisors to EMC, Episteme, Quantica, Sterling 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. As of May 1, 2019, Amplitude Capital International Limited is no longer a trading advisor of Grant Park. The assets of Grant Park previously allocated to Amplitude were reallocated to Grant Park’s existing trading advisors as of that date. Effective June 14, 2019, Episteme was added as a trading advisor of Grant Park.

Grant Park had trading gains of 3.3% which were decreased by lossess of 0.2% from swap transactions and increased by gains of 0.4% from interest and dividend income. These trading gains were decreased by 2.0% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park. For the same period in 2018, Grant Park had a negative return of 0.2% for the Class A units, a negative return of 0.4% for the Class B units, a positive return of 0.4% for the Legacy 1 Class units, a positive return of 0.3% for the Legacy 2 Class units, a positive return of 0.5% for the Global 1 Class units, a positive return of 0.4% for the Global 2 Class units, and a return of 0% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading gains of 0.7% which were increased by gains of 0.7% from swap transactions and increased by gains of 0.2% from interest and dividend income. These trading gains were decreased by 1.8% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park.

For the six months ended June 30, 2019, Grant Park had a positive return of 2.9% for the Class A units, a positive return of 2.6% for the Class B units, a positive return of 4.0% for the Legacy 1 Class units, a positive return of 3.8% for the Legacy 2 Class units, a positive return of 4.1% for the Global 1 Class units, a positive return of 4.1% for the Global 2 Class units, and a positive return of 3.3% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading gains of 6.7% which were decreased by losses of 0.5% from swap transactions and increased by gains of 0.8% from interest and dividend income. These trading gains were decreased by 4.0% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park. For the same period in 2018, Grant Park had a negative return of 6.0% for the Class A units, a negative return of 6.4% for the Class B units, a negative return of 5.0% for the Legacy 1 Class units, a negative return of 5.1% for the Legacy 2 Class units, a negative return of 4.3% for the Global 1 Class units, a negative return of 4.5% 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 3.5% which were decreased by gains of 1.0% from swap transactions and decreased by gains of 0.5% from interest and dividend income. These trading losses were increased by 3.8% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park.

January. Grant Park recorded losses during the month. Class A units were down 1.33%, Class B units were down 1.39%, Legacy 1 Class units were down 1.14%, Legacy 2 Class units were down 1.16%, Global 1 Class units were down 1.10%, Global 2 Class units were down 1.12% and Global 3 Class units were down 1.26%. The U.S. dollar weakened slightly compared to the Australian and New Zealand dollars after the Federal Reserve said it would slow the pace of future interest rate hikes. The Canadian dollar strengthened on rising oil prices. The British pound strengthened on growing expectations that Britain can avoid a no-deal Brexit. Crude oil prices rose over 18% as domestic crude oil inventories rose less than expected and after the U.S. imposed sanctions on Venezuela. Natural gas prices declined on elevated supplies. Global equity markets rose due to the Federal Reserve’s announcement concerning interest rate hikes, on optimism for trade talks between the U.S. and China and due to stronger-than-expected earnings for the fourth quarter. Global fixed income markets rose in reaction to the Federal Reserve’ policy announcement and the European Central Bank indicated it would leave interest rates at current levels at least through the summer. Wheat markets rose in anticipation of reopening trade with China and as Russia considered reducing exports. Soybean prices rose as poor weather in Brazil threatened to reduce crop yields. Cocoa markets fell over 10% as weather conditions in West Africa improved and eased supply concerns. Coffee prices rose when the Brazilian government projected this year’s coffee crop would experience a significant decline compared to last year’s record harvest. Gold and precious metals markets rose as the Federal Reserve left interest rates unchanged and indicated a slower pace for raising interest rates. Copper and other base metal prices rose on firming demand, on optimism that Beijing’s stimulus will help China’s economy and on optimism about the resolution of the U.S.-China trade negotiations.

February. Grant Park recorded gains during the month. Class A units were up 0.80%, Class B units were up 0.74%, Legacy 1 Class units were up 0.99%, Legacy 2 Class units were up 0.97%, Global 1 Class units were up 1.04%, Global 2 Class units were up 1.02% and Global 3 Class units were up 0.87%. The U.S. dollar strengthened on hopes for progress in trade talks between the U.S. and China. The Australian and New Zealand dollars weakened after Australia’s central bank considered a possible rate cut as it acknowledged growing economic risks. The Japanese yen fell following data of weakening economic performance. The British pound strengthened after Prime Minister Theresa May said Parliament will be allowed to vote on a “no-deal” Brexit or delay. Crude oil prices rose due to new U.S. imposed sanctions on Venezuela, reduced output by OPEC and a continued slowdown in U.S. drilling activity. Heating oil prices moved higher on lower inventories. Global equity markets rose on reports of progress in trade talks between the U.S. and China and a boost in energy stocks amid rising oil prices. Global fixed income markets declined slightly on optimism for a U.S.-China trade deal and easing Brexit fears. Wheat and corn markets fell on muted demand and abundant supplies. Coffee prices declined over 10% due to excess supplies and a weaker Brazilian real. Cocoa markets moved higher as demand increased and concerns arose about poor weather conditions in the Ivory Coast. Cotton markets moved higher on optimism about a possible trade deal between the U.S. and China. Gold and silver markets moved lower as a stronger dollar reduced demand for the safe-haven assets. Copper and other base metal prices rose on firming demand and hopes of a U.S.-China trade deal.

and greater-than-expected crop plantings. Soybean markets fell on reports of elevated storage levels. Cotton prices rose over 8% in response to a 2% reduction in plantings and in anticipation a trade deal between the U.S. and China would lead to increased exports. Lean hog markets rose over 38% as China made its biggest purchase of the commodity from the U.S. in nearly two years. Gold and precious metals markets moved lower as a stronger dollar reduced demand for the safe-haven assets. Copper and other base metal prices were down on concerns about China’s exports, growth and slow trade negotiations with the U.S. April. Grant Park recorded gains during the month. Class A units were up 2.67%, Class B units were up 2.65%, Legacy 1 Class units were up 2.89%, Legacy 2 Class units were up 2.83%, Global 1 Class units were up 2.90%, Global 2 Class units were up 2.88% and Global 3 Class units were up 2.75%. Overall Grant Park performance was positive, led by profitable positions in the equities, currencies, agriculturals, energies and metals sectors. Performance in the fixed income sector was negative. Positive equity performance was led by positions in the S&P 500 Index, the Nasdaq 100 Index, the Dax Index and the Eurostoxx Index. The currencies sector was positive, led by positions in the Mexican peso, Swiss franc and Japanese yen. In the agriculturals sector, positions in coffee, wheat and soybeans led positive performance. Performance in the energy sector was slightly positive, where gains in natural gas and gasoline blendstock positions were partially offset by losses in gas oil positions. Performance in the metals sector was essentially unchanged, with gains in aluminum offset by losses in zinc, copper, platinum and gold. The fixed income sector performance was negative, led by losses in German Bunds, U.S. Treasury Bonds and Short Sterling positions. Positive performance by Australian 3-Year Treasury Bonds and Australian Treasury Bills partially offset sector losses. May. Grant Park recorded losses during the month. Class A units were down 2.21%, Class B units were down 2.29%, Legacy 1 Class units were down 2.04%, Legacy 2 Class units were down 2.02%, Global 1 Class units were down 1.97%, Global 2 Class units were down 1.98% and Global 3 Class units were down 2.15%. Overall Grant Park performance was negative, led by losses in the equities, agriculturals, energies and currencies sectors. Performance in the fixed income and metals sectors was positive. Negative equity performance was driven by positions in the S&P 500, Nasdaq 100, MSCI EM, Dow and Nikkei indices. In the agriculturals sector, positions in corn, wheat and coffee led negative performance. Performance in the energy sector was negative, where losses in brent oil, gas oil, crude oil and gasoline blendstock positions were partially offset by gains in natural gas positions. The currencies sector was slightly negative, led by positions in the Mexican peso and Japanese yen. The fixed income sector performance was positive, led by gains in German Bunds, Eurodollars and Australian 10-Year Treasury Bonds. Performance in the metals sector was slightly positive, where gains in copper, lead, platinum and silver were partially offset by losses in zinc and palladium. June. Grant Park recorded gains during the month. Class A units were up 0.98%, Class B units were up 0.98%, Legacy 1 Class units were up 1.14%, Legacy 2 Class units were up 1.12%, Global 1 Class units were up 1.19%, Global 2 Class units were up 1.17% and Global 3 Class units were up 1.04%. Fixed income performance was driven by positions in Italian government bonds, German bunds and eurodollars. Positive equity performance was driven by positions in the S&P 500, Nasdaq 100, FTSE, Dow and Euro Stoxx indices. In the metals sector, positive performance in gold and palladium positions was slightly offset by negative performance in lead, nickel and copper. Performance in the energy sector was positive, led by positions in crude oil and natural gas. Positions in heating oil and Brent oil offset some positive performance. The currencies sector performance was negative, led by losses in the euro, Canadian, U.S., New Zealand and Australian dollars. Performance in the agriculturals/softs/meats sector was slightly negative, led by losses in coffee, sugar and soybeans. Three and six months ended June 30, 2018 Grant Park registered small losses across multiple sectors in the second quarter. For April, performance was positive and was driven by gains in the energy sector. Losses in currencies and metals partly offset overall Grant Park performance. Grant Park’s long positions in the energy markets were profitable as prices moved higher on OPEC production cuts and in reaction to the potential for new U.S. sanctions on Iran. Grant Park’s long positions in the British pound lost value as markets moved lower as investors there ruled out the possibility of an interest rate hike during May. Grant Park’s long positions in base metals lost value, particularly in zinc and nickel. Slight losses in equities and fixed income sectors also slightly offset positive performance.

and greater-than-expected crop plantings. Soybean markets fell on reports of elevated storage levels. Cotton prices rose over 8% in response to a 2% reduction in plantings and in anticipation a trade deal between the U.S. and China would lead to increased exports. Lean hog markets rose over 38% as China made its biggest purchase of the commodity from the U.S. in nearly two years. Gold and precious metals markets moved lower as a stronger dollar reduced demand for the safe-haven assets. Copper and other base metal prices were down on concerns about China’s exports, growth and slow trade negotiations with the U.S.

April. Grant Park recorded gains during the month. Class A units were up 2.67%, Class B units were up 2.65%, Legacy 1 Class units were up 2.89%, Legacy 2 Class units were up 2.83%, Global 1 Class units were up 2.90%, Global 2 Class units were up 2.88% and Global 3 Class units were up 2.75%. Overall Grant Park performance was positive, led by profitable positions in the equities, currencies, agriculturals, energies and metals sectors. Performance in the fixed income sector was negative. Positive equity performance was led by positions in the S&P 500 Index, the Nasdaq 100 Index, the Dax Index and the Eurostoxx Index. The currencies sector was positive, led by positions in the Mexican peso, Swiss franc and Japanese yen. In the agriculturals sector, positions in coffee, wheat and soybeans led positive performance. Performance in the energy sector was slightly positive, where gains in natural gas and gasoline blendstock positions were partially offset by losses in gas oil positions. Performance in the metals sector was essentially unchanged, with gains in aluminum offset by losses in zinc, copper, platinum and gold. The fixed income sector performance was negative, led by losses in German Bunds, U.S. Treasury Bonds and Short Sterling positions. Positive performance by Australian 3-Year Treasury Bonds and Australian Treasury Bills partially offset sector losses.

May. Grant Park recorded losses during the month. Class A units were down 2.21%, Class B units were down 2.29%, Legacy 1 Class units were down 2.04%, Legacy 2 Class units were down 2.02%, Global 1 Class units were down 1.97%, Global 2 Class units were down 1.98% and Global 3 Class units were down 2.15%. Overall Grant Park performance was negative, led by losses in the equities, agriculturals, energies and currencies sectors. Performance in the fixed income and metals sectors was positive. Negative equity performance was driven by positions in the S&P 500, Nasdaq 100, MSCI EM, Dow and Nikkei indices. In the agriculturals sector, positions in corn, wheat and coffee led negative performance. Performance in the energy sector was negative, where losses in brent oil, gas oil, crude oil and gasoline blendstock positions were partially offset by gains in natural gas positions. The currencies sector was slightly negative, led by positions in the Mexican peso and Japanese yen. The fixed income sector performance was positive, led by gains in German Bunds, Eurodollars and Australian 10-Year Treasury Bonds. Performance in the metals sector was slightly positive, where gains in copper, lead, platinum and silver were partially offset by losses in zinc and palladium.

June. Grant Park recorded gains during the month. Class A units were up 0.98%, Class B units were up 0.98%, Legacy 1 Class units were up 1.14%, Legacy 2 Class units were up 1.12%, Global 1 Class units were up 1.19%, Global 2 Class units were up 1.17% and Global 3 Class units were up 1.04%. Fixed income performance was driven by positions in Italian government bonds, German bunds and eurodollars. Positive equity performance was driven by positions in the S&P 500, Nasdaq 100, FTSE, Dow and Euro Stoxx indices. In the metals sector, positive performance in gold and palladium positions was slightly offset by negative performance in lead, nickel and copper. Performance in the energy sector was positive, led by positions in crude oil and natural gas. Positions in heating oil and Brent oil offset some positive performance. The currencies sector performance was negative, led by losses in the euro, Canadian, U.S., New Zealand and Australian dollars. Performance in the agriculturals/softs/meats sector was slightly negative, led by losses in coffee, sugar and soybeans.

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 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.

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.

April. Grant Park recorded gains during the month. Class A units were up 1.08%, Class B units were up 1.02%, Legacy 1 Class units were up 1.27%, Legacy 2 Class units were up 1.25%, Global 1 Class units were up 1.32%, Global 2 Class units were up 1.30% and Global 3 Class units were up 1.15%. The U.S. dollar strengthened on rising U.S. bond yields. The British pound weakened as poor economic performance in the first quarter reduced expectations the Bank of England will raise rates during May. The Japanese yen weakened as continued global growth reduced demand for the safe haven currency. The New Zealand dollar weakened as New Zealand government bond yields declined and on expectations the central bank will not raise the official cash rate until next year. Crude oil prices moved higher due to OPEC production cuts and the potential for new U.S. sanctions against Iran. Natural gas and heating oil prices rose due to reduced supplies and forecasts for cooler weather. Global equities rose after China’s President Xi Jinping reiterated pledges to open sectors of the Chinese economy to international investment as part of China’s economic globalization. Positive earnings reports also boosted the markets. Global fixed income markets fell after the Federal Reserve confirmed its commitment to raising rates; several officials are in favor of raising rates at a slightly faster pace than is currently planned. The markets also reacted to soft economic data in the U.K. and the Bank of England’s cautionary remarks that a rate hike at the next BOE meeting is not assured. Wheat markets rose over 13% on concerns dry weather in the U.S. southern plains could significantly reduce crop yields. Corn prices rose after the USDA confirmed U.S. corn planting progress was running behind schedule due to adverse weather and poor ground conditions. Coffee prices rose on the possibility an upcoming frost season in Brazil could affect supplies. Cocoa markets declined on an improving crop outlook in the Ivory Coast, a key producer of the crop. Gold and platinum prices declined slightly on U.S. dollar strength. Copper and base metal prices rose on increasing demand.

June. Grant Park recorded gains during the month. Class A units were up 1.98%, Class B units were up 1.92%, Legacy 1 Class units were up 2.17%, Legacy 2 Class units were up 2.15%, Global 1 Class units were up 2.22%, Global 2 Class units were up 2.20% and Global 3 Class units were up 2.05%. The U.S. dollar strengthened as monetary policy tightened and interest rate differentials increased with other economies. The Australian dollar weakened on a slowing Chinese economy and on rising U.S. interest rates. The New Zealand dollar weakened on concerns over rising trade tensions. The Canadian dollar also weakened on trade tensions. Crude oil prices moved higher as OPEC agreed to increase output to compensate for sector-wide losses in production. Natural gas prices declined slightly as rising production and inventories limited the impact of warmer weather. U.S. equities were mixed as the Dow moved lower on concerns about potential trade wars. The S&P finished the month slightly higher, boosted by rising energy stocks. U.K. equities markets moved lower on trade concerns and weaker-than-expected economic data. Global fixed income markets moved slightly lower, despite trade war concerns, with the Federal Reserve restating the case for tighter monetary policy. The Bank of England kept rates unchanged but provided hawkish guidance in its monetary policy statement. Corn, wheat and soybean prices declined due to favorable weather and on concerns about trade disputes with China. Cotton prices also fell due to trade tensions with China. Sugar markets moved lower on excess supply. Coffee markets declined on rising output from Brazil, a top producer. Precious metals prices declined on U.S. dollar strength. Base metal prices declined on low demand and a strong U.S. dollar.

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.

Cash Management, LLC and custodied at State Street Bank and Trust Company or may be 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. 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.

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.

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.

cattle, lumber, orange juice, soybeans, soybean meal, soybean oil, sugar and sunflower seeds. 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. As of June 30, 2019, in the energy market Grant Park had long exposure to carbon emission, crude oil and NY harbor RBOB gas and short exposure to brent crude, gas oil, heating oil, natural gas, UK natural gas. 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 June 30, 2019, in the metals sector Grant Park had long positions in gold, iron ore and palladium and short positions in aluminum, copper, lead, nickel, platinum, silver and zinc. Non-Trading Risk Exposure The following were the only non-trading risk exposures of Grant Park as of June 30, 2019. 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.

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.

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