Grant Park Futures Fund Limited Partnership
Filed: 21 Sep 09, 12:00am
Filed pursuant to Rule 424(b)(3)
File No. 333-153862
Grant Park Fund August 2009 Update
September 21, 2009
Supplement dated September 21, 2009 to Prospectus dated March 25, 2009
| Class | August ROR | YTD ROR | Net Asset Value | Net Asset Value per Unit |
| A | 1.1% | -8.4% | $76.7M | $1,438.6 |
| B | 1.1% | -8.8% | $724.4M | $1,238.6 |
| Legacy 1 | 1.3% | -2.9% | $2.3M | $971.2 |
| Legacy 2 | 1.3% | -3.0% | $2.2M | $970.2 |
| GAM 1 | 1.1% | -1.7% | $2.7M | $983.1 |
| GAM 2 | 1.1% | -1.8% | $2.4M | $981.7 |
| GAM 3 | 0.9% | -2.7% | $15.1M | $972.9 |
| ALL PERFORMANCE REPORTED IS NET OF FEES AND EXPENSES |
Grant Park’s Legacy and GAM portfolios began trading on April 1, 2009.
Sector Commentary
Agriculturals/Softs: Grains prices generally declined in August. Optimal weather in major U.S. farming regions supported views of future elevated supply, moving markets lower. In the softs markets, sugar prices continued to climb as a result of weak supply forecasts from Brazil and India.
Currencies: The Japanese yen and U.S. dollar rallied against many emerging currencies as volatility in the equity markets prompted investors to liquidate riskier assets. The British pound weakened against most currencies as reports showed declining UK home prices in July.
Energies: Elevated U.S. energy inventories led to declines in the natural gas markets throughout August. Also adding to the decline in natural gas was speculation that industrial demand would remain low until the global recession abated.
Equities: Several reports containing bullish economic data drove North American and European equity markets higher last month. In China, equity markets declined as concerns over tighter lending restrictions weighed on investor confidence.
Fixed Income: Weak investor confidence caused by short-term declines in the equity markets supported fixed-income markets last month. Increased demand during recent Treasury auctions also played a role in moving debt markets higher.
Metals: Base metals prices rallied in response to weakness in the U.S. dollar. Improving industrial production figures from Europe also supported the base metals markets. Nickel markets were among the biggest movers in the sector, moving more than 12% higher for the month.
Sincerely,
David Kavanagh
President
Enclosures
Daily fund performance is available on our website at www.grantparkfunds.com along with weekly commentary.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
FUTURES TRADING INVOLVES A HIGH DEGREE OF RISK AND IS NOT SUITABLE FOR ALL INVESTORS
THIS DOES NOT CONSTITUTE AN OFFER OF ANY SECURITY FOR SALE NOR SHALL THERE BE ANY SALE OF SECURITIES IN ANY JURISDICTION IN WHICH AN OFFER, SOLICITATION OR SALE WOULD BE UNLAWFUL PRIOR TO REGISTRATION OR QUALIFICATION UNDER THE SECURITIES LAWS OF ANY SUCH JURISDICTION OFFERING BY PROSPECTUS ONLY.
Account Statement
(Prepared from books without audit)
For the month ended August 31, 2009
STATEMENT OF INCOME
| Trading Income (Loss) | Month to Date Total | Year to Date Total | ||||||
| Realized Trading Income (Loss) | $ | 2,973,194 | $ | -55,614,197 | ||||
| Change In Unrealized Income (Loss) | 11,809,767 | 23,894,034 | ||||||
| Brokerage Commission | -346,748 | -1,748,167 | ||||||
| Exchange, Clearing Fee and NFA Charges | -23,793 | -1,232,865 | ||||||
| Other Trading Costs | -680,035 | -5,017,238 | ||||||
| Change in Accrued Commission | 2,228 | -133,681 | ||||||
| Net Trading Income (Loss) | 13,734,613 | -39,852,114 | ||||||
| Other Income | Month to Date Total | Year to Date Total | ||||||
| Interest, U.S. Obligations | $ | 225,762 | $ | 2,752,159 | ||||
| Interest, Other | 219,826 | 2,907,155 | ||||||
| U.S. Government Securities Gain (Loss) | -55,121 | -464,793 | ||||||
| Total Income (Loss) | 14,125,080 | -34,657,593 | ||||||
| Expenses | Month to Date Total | Year to Date Total | ||||||
| Management Fee | $ | 0 | $ | 0 | ||||
| Incentive Fee | 280,038 | 3,390,099 | ||||||
| Operating Expenses | 174,724 | 1,355,325 | ||||||
| Organization and Offering Expenses | 196,601 | 2,043,138 | ||||||
| Brokerage Expenses | 4,434,196 | 34,688,014 | ||||||
| Total Expenses | 5,085,559 | 41,476,576 | ||||||
| Net Income (Loss) | $ | 9,039,521 | $ | -76,134,169 | ||||
| Statement of Changes in Net Asset Value | Month to Date Total | Year to Date Total | ||||||
| Beginning Balance | $ | 817,389,579 | $ | 643,595,209 | ||||
| Additions | 6,482,206 | 293,516,602 | ||||||
| Net Income (Loss) | 9,039,521 | -76,134,169 | ||||||
| Redemptions | -6,983,871 | -35,050,207 | ||||||
| Balance at AUGUST 31, 2009 | $ | 825,927,435 | $ | 825,927,435 | ||||
PERFORMANCE SUMMARY BY CLASS
| Class | Net Asset Value per Unit | Units | Net Asset Value | ROR – Month to Date | ROR – Year to Date |
| A | $1,438.635 | 53,320.94280 | $76,709,382 | 1.1% | -8.4% |
| B | $1,238.603 | 584,886.22263 | $724,441,995 | 1.1% | -8.8% |
| Legacy 1 | $971.160 | 2,396.69643 | $2,327,577 | 1.3% | -2.9% |
| Legacy 2 | $970.167 | 2,278.40499 | $2,210,433 | 1.3% | -3.0% |
| GAM 1 | $983.087 | 2,785.04549 | $2,737,941 | 1.1% | -1.7% |
| GAM 2 | $981.722 | 2,437.66326 | $2,393,109 | 1.1% | -1.8% |
| GAM 3 | $972.904 | 15,527.73639 | $15,107,000 | 0.9% | -2.7% |
Grant Park’s Legacy and GAM portfolios began trading on April 1, 2009.
To the best of my knowledge and belief the information contained herein is accurate and complete.
__________________________________________________________
David Kavanagh, President
For Dearborn Capital Management, LLC
General Partner of Grant Park Futures Fund, Limited Partnership