Grant Park Managed Futures Fund, LP

Grant Park Managed Futures Fund, LP

Grant Park Managed Futures Fund, LP

Class Daily NAV 08/16/2018 MTD YTD 1 Yr RoR* 3 Yr RoR* 5 Yr RoR* 10 Yr RoR*
A $998.88 0.04% 1.02% -4.91% -1.82% -5.20% -3.08% -4.34%
B $811.98 0.04% 1.00% -5.29% -2.45% -5.83% -3.70% -4.96%
Global 1 $811.94 0.05% 1.15% -2.81% 1.31% -2.35% -0.36%
Global 2 $793.73 0.05% 1.14% -2.98% 1.08% -2.52% -0.55%
Global 3 $674.12 0.05% 1.07% -4.04% -0.68% -4.20% -2.20%
Legacy 1 $812.50 0.05% 1.13% -3.51% 0.49% -3.02% -0.98%
Legacy 2 $792.29 0.05% 1.11% -3.66% 0.24% -3.27% -1.19%

Monthly Performance (Class A)

 

 

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

YTD

2018

7.89%

-11.74%

-1.13%

1.08%

-3.19%

1.98%

0.15%

 

 

 

 

 

 -5.94%

2017

-2.50%

3.64%

-2.06%

-1.69%

-0.64%

-4.12%

0.34%

2.63%

-3.93%

6.89%

-0.98%

-0.18%

-3.12%

2016

4.27%

2.95%

-3.01%

-2.03%

-2.12%

5.00%

1.93%

-3.14%

-2.00%

-3.64%

-0.69%

2.21%

-0.78%

2015

2.80%

-0.26%

0.40%

-4.01%

-1.46%

-4.64%

2.33%

-6.15%

3.09%

-2.29%

3.44%

-5.70%

-12.38%

2014

-4.77%

1.19%

-2.85%

0.12%

0.94%

0.56%

-0.89%

4.22%

2.23%

0.57%

4.92%

0.62%

6.65%

2013

1.47%

-2.86%

1.22%

1.01%

-2.83%

-3.12%

-0.24%

-2.22%

-0.87%

1.63%

2.24%

0.89%

-3.84%

2012

0.00%

0.80%

-2.21%

0.00%

6.19%

-4.88%

3.56%

-1.30%

-2.13%

-5.64%

-0.63%

0.52%

-6.13%

2011

-0.52%

2.26%

-2.48%

3.79%

-6.93%

-3.79%

3.02%

-1.81%

-1.64%

-4.51%

-0.57%

-0.05%

-12.95%

2010

-7.95%

0.63%

4.08%

1.80%

-3.83%

-0.21%

-1.66%

2.77%

3.24%

4.33%

-2.58%

4.57%

4.45%

2009

-0.91%

-0.80%

-3.26%

-1.73%

1.64%

-3.41%

-1.26%

1.15%

1.17%

-2.59%

4.24%

-3.57%

-9.23%

2008

2.49%

9.66%

-0.63%

-0.13%

2.11%

3.06%

-5.06%

-2.41%

1.31%

4.76%

2.76%

1.08%

19.91%

2007

1.25%

-4.18%

-4.55%

5.23%

4.60%

4.16%

-3.72%

-3.71%

8.78%

5.23%

-0.66%

0.63%

12.63%

2006

3.49%

-3.28%

4.06%

9.46%

-0.81%

-2.85%

-3.66%

2.20%

-1.10%

-0.64%

3.59%

-0.92%

9.11%

2005

-5.96%

3.42%

-0.51%

-5.05%

3.98%

1.89%

-1.96%

1.97%

-0.04%

-3.38%

4.16%

-1.36%

-3.44%

2004

0.38%

7.33%

-1.40%

-11.66%

-4.75%

-4.47%

-3.36%

-0.32%

1.07%

3.43%

8.45%

-0.89%

-7.58%

2003

2.72%

5.77%

-7.47%

2.57%

9.68%

-1.26%

-0.49%

0.19%

0.13%

2.52%

-0.91%

6.00%

20.03%

2002

-0.87%

-5.95%

2.26%

-3.07%

5.17%

10.07%

6.63%

1.57%

2.87%

-6.04%

-2.53%

5.58%

15.25%

2001

1.86%

0.53%

6.63%

-4.51%

-0.47%

-2.66%

0.12%

2.88%

3.69%

5.30%

-7.80%

2.14%

7.00%

2000

-1.12%

0.69%

-1.70%

-3.84%

1.80%

-3.51%

-1.60%

4.36%

-2.30%

0.80%

8.91%

9.00%

10.97%

1999

-2.02%

7.95%

-5.18%

2.92%

-5.51%

0.22%

-2.68%

-1.16%

1.54%

-8.65%

2.10%

3.05%

-8.24%

1998

1.96%

2.62%

-1.08%

-7.46%

3.13%

-0.37%

-0.30%

24.62%

6.23%

-4.64%

-3.21%

2.09%

22.40%

1997

6.82%

7.61%

1.06%

-8.45%

-0.91%

0.34%

15.73%

-8.17%

2.92%

-5.18%

0.81%

6.10%

17.31%

1996

-1.09%

-13.59%

-1.34%

4.97%

-4.35%

2.32%

-1.48%

-2.53%

3.81%

14.82%

7.80%

-6.99%

-0.59%

1995

-10.69%

16.37%

20.67%

10.88%

14.93%

-1.82%

-14.36%

-11.29%

-10.54%

-5.40%

2.77%

18.69%

23.04%

1994

-13.74%

-9.39%

23.25%

2.31%

14.29%

14.25%

-5.96%

-6.26%

2.76%

-7.54%

15.50%

-0.17%

24.30%

1993

2.38%

18.13%

1.57%

15.69%

2.30%

-2.34%

20.56%

0.16%

-3.99%

-5.39%

4.57%

13.15%

84.25%

1992

-15.23%

-5.32%

-2.32%

-4.13%

-2.34%

8.33%

16.34%

7.34%

-11.40%

-0.72%

2.41%

-5.55%

-15.50%

1991

-12.36%

-13.31%

1.75%

-6.52%

-1.90%

3.93%

-10.99%

-1.85%

6.76%

0.12%

-0.21%

35.80%

-6.77%

1990

5.20%

6.32%

22.20%

31.10%

-15.80%

14.00%

16.03%

22.83%

14.76%

5.49%

2.83%

-2.65%

197.04%

1989

0.97%

-3.29%

17.34%

-9.51%

26.07%

-3.31%

0.70%

-21.72%

-1.68%

-18.43%

5.37%

29.00%

8.61%

*Estimated returns for July 31, 2018

Fund Objective

Grant Park is a multi-manager fund, which means the fund allocates capital to a group of Commodity Trading Advisers (CTAs), each of whom have established a successful record of trading investor capital, complying with extensive regulatory requirements, and have successfully completed a comprehensive due diligence process established by the Fund’s general partner.

Investment Growth

Jan 1, 1989 - June 30, 2018
Investment Growth

Sector Diversification & Top Holdings

As of June 30, 2018
Sector Exposure Position Contract Market Exposure Position
Commodities 30%        
Energy 10% Long

Crude Oil

Brent Crude Oil

2.53%

2.21%

Long

Long

Grains/Foods

11% Short

Soybeans

Coffee

2.24%

1.99%

Short

Short

Metals 9% Short

Gold

Nickel

1.99%

1.52%

Short

Long

Financials 70%        
Currencies 24% Long $

Euro

Canadian Dollar

2.62%

2.16%

Short

Short

Equities 21% Long

S&P 500

Russell 2000 CME

3.16%

1.76%

Long

Short

Fixed Income 25% Long

Bunds

Italian Gov't Bonds ( Long-Term)

5.03%

3.25%

Long

Long

The Fund’s allocations to specific sectors and markets are presented to illustrate examples of the diversity of strategies and sub-strategies accessed by the Fund.  Portfolio holdings are subject to change and should not be considered a recommendation or investment advice.

Fund Overview

The Grant Park Futures Fund has operated since 1989, a period that includes a wide variety of economic and market cycles. Our experience has taught us there are three concepts to appreciate when considering an investment in managed futures. Grant Park, LP is a multi-advisor commodity pool that invests across global financial and commodity markets.

  • Managed futures is a divergent asset class and does not operate in a manner that is similar to equity or fixed income funds.

  • The agnostic nature of price-driven investing allows programs to invest by going long (anticipating prices will rise) or short (anticipating prices will fall). This, in turn, allows for potentially profitable investing when markets are rising or falling.

  • Globally, managed futures markets are regulated, widely traded, and very liquid.

These factors provide the basis for the diversification and non-correlated performance profile that managed futures can contribute to an investor’s portfolio.

Diversification is the most frequent reason managed futures are added to a portfolio and this represents two different elements - the diversification of a portfolio’s overall returns and the diversification of a portfolio’s overall volatility.

The Grant Park Futures Fund track record since inception illustrates the periods during which managed futures have performed similar to or differently than equities.

Rolling 36-Month Returns
Grant Park A Units & S&P 500 TR

Jan 1, 1989 - June 30, 2018

Rolling 36 Month

Past performance is no guarantee of future results.

 

  • The Fund has performed positively for the majority of the period since inception; an individual investor may experience different results depending on their investment holding period.
  • There have been three “crisis” periods during the Fund’s existence.
    • During the Tech Bubble (2002) and the Financial Crisis (2008), the Fund provided downside protection, positive returns and reduced overall portfolio volatility while equity markets violently corrected.
    • During the Liquidity Bubble (2010 - 2015), the implementation of quantitative easing fueled extraordinary growth in equities, created, in part, by the excessive liquidity central banks created with zero- and negative-interest rates. During this unprecedented period, managed futures have made limited positive contribution to a portfolio’s performance but did contribute to a reduction in overall portfolio volatility.
  • The normalization of market-driven interest rates began fitfully during 2015 and is likely to slowly continue for the immediate future. We believe this will enable managed futures performance to return to its historical performance profile.
  • The Grant Park Futures Fund invests on the same core beliefs the Fund has held since inception:
    • Markets move in cycles.
    • The preservation of investor capital through rigorous risk management is equally important as is the pursuit of potentially profitable trading opportunities.
    • Diversification of CTAs within the Fund provides the broadest manner to achieve performance results that are representative of the managed futures asset class.
    • Active risk management focused on monitoring all aspects of the Fund’s trading, execution, and financial reporting are essential to retaining the limited partners’ trust.

Commodity Trading Advisers

The CTAs who invest on the Fund’s behalf invest across the global managed futures markets and typically execute their investment strategies utilizing rigorous, systematic investment processes and disciplined or quantitative trading models.

Trading Style Weighting​

Trade Weight

Commodity Trading Advisers

Program

Amplitude Capital International, LTD
Switzerland

Klassik

EMC Capital Advisors, LLC
United States

Classic

H2O Asset Management, LLP
United Kingdom

Force 10

Lynx Asset Management AB
Sweden

Lynx

Quantica Capital AG
Switzerland

Diversified

Rabar Market Research
United States

Managed Futures

Revolution Capital Management, LLC
United States

Revolution Alpha

Transtrend B.V.
Netherlands

Diversified Trend
Program-Enhanced
Risk-USD

Winton Capital Management, LTD
United Kingdom

Diversified Program

The Fund's allocation and weighting to CTAs and trading styles are subject to change at any time.

 
All charts and graphs prepared by Dearborn Capital Management, LLC.