Grant Park Futures Fund Limited Partnership
Filed: 16 Oct 09, 12:00am
Filed pursuant to Rule 424(b)(3)
File No. 333-153862
Grant Park Fund September 2009 Update
October 16, 2009
Supplement dated October 16, 2009 to Prospectus dated March 25, 2009
| Class | September ROR | YTD ROR | Net Asset Value | Net Asset Value per Unit |
| A | 1.2% | -7.3% | $76.7M | $1,455.5 |
| B | 1.1% | -7.8% | $727.3M | $1,252.5 |
| Legacy 1 | 1.2% | -1.7% | $3.2M | $983.0 |
| Legacy 2 | 1.2% | -1.8% | $2.5M | $981.9 |
| GAM 1 | 1.2% | -0.5% | $3.3M | $994.7 |
| GAM 2 | 1.1% | -0.7% | $3.7M | $992.5 |
| GAM 3 | 1.0% | -1.8% | $19.6M | $982.2 |
| 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: Wheat and soybean prices declined throughout September as speculators forecasted a record-breaking crop harvest for 2009. In the corn markets, cold weather fostered supply concerns, driving corn prices higher.
Currencies: The British pound weakened against major currencies last month as the Bank of England released comments stating that further quantitative easing may be in the near future. In the U.S., renewed risk appetite among investors led to declines in the U.S. dollar against major counterparts.
Energies: After a recent strong downtrend, the natural gas markets reversed sharply higher last month. Weaker-than-expected inventory data and cold weather in the U.S. were the main drivers behind moves. Crude oil markets declined as ongoing uncertainty regarding the global economy supported weak demand forecasts.
Equities: Equity markets rallied as a result of an improved outlook for the global economy. Signs of improving liquidity in the financial markets and stronger economic indicators were the main drivers behind moves. In Asia, Japanese equity markets fell as strength in the yen put pressure on demand for Japanese exports.
Fixed Income: U.S. fixed-income markets rallied last month as speculators believed interest rates would remain unchanged in the near future. European debt instruments declined as strong gains in the European equity markets prompted liquidations.
Metals: Gold prices moved higher last month as investors attempted to hedge inflation caused by weakness in the U.S. dollar. Base metals predominantly declined as a result of forecasts of ongoing weak demand in the industrial sector.
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 September 30, 2009 | ||||||||
| STATEMENT OF INCOME | ||||||||
| Trading Income (Loss) | Month to Date Total | Year to Date Total | ||||||
| Realized Trading Income (Loss) | $ | 21,311,206 | $ | -34,302,991 | ||||
| Change In Unrealized Income (Loss) | -5,517,601 | 18,376,433 | ||||||
| Brokerage Commission | -381,613 | -2,129,780 | ||||||
| Exchange, Clearing Fee and NFA Charges | -42,559 | -1,275,424 | ||||||
| Other Trading Costs | -612,214 | -5,629,452 | ||||||
| Change in Accrued Commission | -24,433 | -158,114 | ||||||
| Net Trading Income (Loss) | 14,732,786 | -25,119,328 | ||||||
| Other Income | Month to Date Total | Year to Date Total | ||||||
| Interest, U.S. Obligations | $ | 238,156 | $ | 2,990,315 | ||||
| Interest, Other | 220,324 | 3,127,479 | ||||||
| U.S. Government Securities Gain (Loss) | -56,702 | -521,495 | ||||||
| Total Income (Loss) | 15,134,564 | -19,523,029 | ||||||
| Expenses | Month to Date Total | Year to Date Total | ||||||
| Management Fee | $ | 0 | $ | 0 | ||||
| Incentive Fee | 951,865 | 4,341,964 | ||||||
| Operating Expenses | 176,804 | 1,532,129 | ||||||
| Organization and Offering Expenses | 199,179 | 2,242,317 | ||||||
| Brokerage Expenses | 4,474,152 | 39,162,166 | ||||||
| Total Expenses | 5,802,000 | 47,278,576 | ||||||
| Net Income (Loss) | $ | 9,332,564 | $ | -66,801,605 | ||||
| Statement of Changes in Net Asset Value | Month to Date Total | Year to Date Total | ||||||
| Beginning Balance | $ | 825,927,435 | $ | 643,595,209 | ||||
| Additions | 6,983,386 | 300,499,988 | ||||||
| Net Income (Loss) | 9,332,564 | -66,801,605 | ||||||
| Redemptions | -5,919,499 | -40,969,706 | ||||||
| Balance at SEPTEMBER 30, 2009 | $ | 836,323,886 | $ | 836,323,886 | ||||
| PERFORMANCE SUMMARY BY CLASS | ||||||||
| Class | Net Asset Value per Unit | Units | Net Asset Value | ROR - Month to Date | ROR – Year to Date | |||
| A | $1,455.518 | 52,664.03912 | $76,653,455 | 1.17% | -7.30% | |||
| B | $1,252.455 | 580,716.12957 | $727,320,697 | 1.12% | -7.80% | |||
| Legacy 1 | $982.954 | 3,301.28476 | $3,245,010 | 1.21% | -1.70% | |||
| Legacy 2 | $981.949 | 2,594.39515 | $2,547,564 | 1.21% | -1.81% | |||
| GAM 1 | $994.735 | 3,308.19349 | $3,290,777 | 1.18% | -0.53% | |||
| GAM 2 | $992.539 | 3,686.14167 | $3,658,638 | 1.10% | -0.75% | |||
| GAM 3 | $982.216 | 19,962.76031 | $19,607,744 | 0.96% | -1.78% | |||
| 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