Grant Park Futures Fund Limited Partnership
Filed: 17 Jun 10, 12:00am
Filed pursuant to Rule 424(b)(3)
File No. 333-153862
Grant Park Fund May 2010 Update
June 17, 2010
Supplement dated June 17, 2010 to Prospectus dated April 1, 2010
| Class | May ROR | YTD ROR | Net Asset Value | Net Asset Value per Unit |
| A | -3.8% | -5.6% | $62.5M | $1,345.19 |
| B | -3.9% | -5.9% | $621.8M | $1,152.48 |
| Legacy 1 | -3.5% | -4.9% | $5.9M | $918.61 |
| Legacy 2 | -3.5% | -5.0% | $5.1M | $916.08 |
| Global 1 | -2.2% | -4.4% | $7.7M | $914.34 |
| Global 2 | -2.2% | -4.6% | $14.3M | $909.61 |
| Global 3 | -2.4% | -5.3% | $87.8M | $889.48 |
| ALL PERFORMANCE REPORTED IS NET OF FEES AND EXPENSES |
Sector Commentary
Agriculturals/Softs: Uncertainty regarding the global economy’s growth potential weighed on demand for grains and moved prices lower. In the sugar markets, favorable weather conditions in India and Brazil produced a strong crop and drove prices down more than 5% in May.
Currencies: The ailing financial situation in Europe put heavy pressure on European currencies. European debt concerns caused investors to purchase the U.S. dollar and Japanese yen, driving each higher against counterparts. The New Zealand and Australian dollars declined sharply against most major currencies as risk-averse investors liquidated higher-yielding currencies.
Energy: A stronger U.S. dollar put substantial pressure on the crude oil markets, moving prices nearly 15% lower. Weak U.S. economic indicators and global equity market declines caused increased supply forecasts and also drove oil prices down. Natural gas prices rose as low prices spurred technical-buying. Natural gas prices also rose based on the National Oceanic and Atmospheric Administration report predicting an active 2010 hurricane season.
Equities: Global equity markets faltered as European debt concerns weakened investor sentiment. Weaker-than-expected U.S. employment estimates added to the downturn in the equity markets.
Fixed Income: U.S. fixed-income prices rose steadily as growth concerns and declines in the global equity markets caused investors to liquidate riskier assets. In Europe, diminished demand for sovereign debt and Germany’s decision to ban the short-selling of various European debt instruments drove Bund prices higher.
Metals: Safe-haven buying due to the financial situation in Europe led to gains in the gold markets. Gold was also used to reduce exposure to the euro, which experienced heavy losses during the month. Prices in the base metals markets predominantly fell as investors liquidated positions. The main drivers behind declines were weak economic indicators and poor growth prospects for the global economy.
Sincerely,
David Kavanagh
President
Enclosures
Daily fund performance and weekly commentaries are available on our website at www.grantparkfunds.com.
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 May 31, 2010
| STATEMENT OF INCOME | ||||||||
| Trading Income (Loss) | Month to Date Total | Year to Date Total | ||||||
| Realized Trading Income (Loss) | $ | -3,203,923 | $ | -17,848,318 | ||||
| Change In Unrealized Income (Loss) | -22,435,662 | -3,924,564 | ||||||
| Brokerage Commission | -543,578 | -2,697,004 | ||||||
| Exchange, Clearing Fee and NFA Charges | -35,146 | -191,699 | ||||||
| Other Trading Costs | -524,840 | -2,259,754 | ||||||
| Change in Accrued Commission | 82,021 | 53,014 | ||||||
| Net Trading Income (Loss) | -26,661,128 | -26,868,325 | ||||||
| Other Income | Month to Date Total | Year to Date Total | ||||||
| Interest, U.S. Obligations | $ | 523,140 | $ | 1,574,297 | ||||
| Interest, Other | -76,277 | 429,004 | ||||||
| U.S. Government Securities Gain (Loss) | 0 | 0 | ||||||
| Total Income (Loss) | -26,214,265 | -24,865,024 | ||||||
| Expenses | Month to Date Total | Year to Date Total | ||||||
| Management Fee | $ | 0 | $ | 0 | ||||
| Incentive Fee | 185,406 | 744,154 | ||||||
| Operating Expenses | 170,257 | 849,240 | ||||||
| Organization and Offering Expenses | 193,806 | 963,526 | ||||||
| Brokerage Expenses | 4,170,324 | 20,975,233 | ||||||
| Total Expenses | 4,719,793 | 23,532,153 | ||||||
| Net Income (Loss) | $ | -30,934,058 | $ | -48,397,177 | ||||
| Statement of Changes in Net Asset Value | Month to Date Total | Year to Date Total | ||||||
| Beginning Balance | $ | 835,899,922 | $ | 831,270,498 | ||||
| Additions | 7,023,678 | 66,462,244 | ||||||
| Net Income (Loss) | -30,934,058 | -48,397,177 | ||||||
| Redemptions | -6,809,728 | -44,155,751 | ||||||
| Balance at MAY 31, 2010 | $ | 805,179,814 | $ | 805,179,814 | ||||
| PERFORMANCE SUMMARY BY CLASS | ||||||||
| Class | Net Asset Value per Unit | Units | Net Asset Value | ROR – Month to Date ROR – Year to Date | ||||
| A | $1,345.194 | 46,462.40397 | $62,500,952 | -3.83% | -5.61% | |||
| B | $1,152.481 | 539,548.36930 | $621,819,094 | -3.88% | -5.87% | |||
| Legacy 1 | $918.613 | 6,443.16439 | $5,918,776 | -3.53% | -4.92% | |||
| Legacy 2 | $916.084 | 5,561.41317 | $5,094,721 | -3.53% | -5.02% | |||
| Global 1 | $914.336 | 8,471.27363 | $7,745,591 | -2.21% | -4.44% | |||
| Global 2 | $909.612 | 15,705.13441 | $14,285,581 | -2.24% | -4.61% | |||
| Global 3 | $889.479 | 98,726.42530 | $87,815,101 | -2.38% | -5.34% | |||
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