Grant Park Futures Fund Limited Partnership
Filed: 21 Sep 10, 12:00am
Filed Pursuant to Rule 424(b)(3)
File No. 333-153862
Grant Park Fund August 2010 Update
September 21, 2010
Supplement dated September 21, 2010 to Prospectus dated April 1, 2010
| Class | August ROR | YTD ROR | Net Asset Value | Net Asset Value per Unit |
| A | 2.8% | -4.8% | $60.5M | $1,356.65 |
| B | 2.7% | -5.2% | $604.9M | $1,160.41 |
| Legacy 1 | 2.9% | -3.7% | $6.3M | $930.50 |
| Legacy 2 | 2.8% | -3.9% | $5.8M | $927.19 |
| Global 1 | 2.7% | -4.0% | $8.7M | $918.21 |
| Global 2 | 2.7% | -4.2% | $15.9M | $913.19 |
| Global 3 | 2.5% | -5.4% | $112.8M | $888.62 |
| ALL PERFORMANCE REPORTED IS NET OF FEES AND EXPENSES |
Sector Commentary
Agriculturals/Softs: Corn markets moved higher in August because of abnormally warm temperatures in the Midwest and increased international demand for U.S. crops. Wheat prices came under pressure when reports of rainfall in key Russian farming regions alleviated supply concerns caused by recent droughts. In the meat markets, live cattle prices rose, supported by increased demand for beef products due to Labor Day festivities.
Currencies: A disappointing unemployment report for July led to a flight-to-quality among investors and drove the U.S. dollar, Japanese yen, and Swiss franc higher against counterparts. Conversely, uncertainty surrounding the global outlook did not bode well for various higher-yielding currencies, including the Australian and New Zealand dollars.
Energy: Crude oil prices fell because a lack of positive data about the global economy supported beliefs that industrial demand would remain depressed for the near future. Also putting pressure on the crude oil markets were reports of near-record high inventories in the U.S. Natural gas markets fell following reports of mild temperatures in the U.S. and revised weather forecasts predicting a weaker hurricane season than previously expected.
Equities: U.S. equity markets declined in August as weak employment estimates weighed on investor sentiment. Equity markets in Europe also moved lower following reports that recent measures to aid the Greek financial system have yet to stimulate their economy. In Asia, investors drove the Nikkei 225 Index lower on belief a steadily strengthening yen would hinder the nation’s export industries.
Fixed Income: Flight-to-quality in the financial markets boded well for U.S. Treasuries. Declines in the equity markets and weaker global economic indicators increased demand for safer debt instruments, moving prices higher. The Bund markets also experienced upswings, as renewed fears surrounding the Spanish and Irish economies spurred buying.
Metals: Ongoing safe-haven buying in the precious metals markets moved gold prices nearly 6% higher in August. Copper markets underwent modest gains due to short-term rallies in the equity markets and a weaker U.S. dollar early in August.
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 August 31, 2010 | ||||||||
| STATEMENT OF INCOME | ||||||||
| Trading Income (Loss) | Month to Date Total | Year to Date Total | ||||||
| Realized Trading Income (Loss) | $ | 20,056,328 | $ | -14,857,098 | ||||
| Change In Unrealized Income (Loss) | 7,459,034 | 14,659,972 | ||||||
| Brokerage Commission | -187,700 | -3,899,231 | ||||||
| Exchange, Clearing Fee and NFA Charges | -66,859 | -381,935 | ||||||
| Other Trading Costs | -792,865 | -3,996,997 | ||||||
| Change in Accrued Commission | 9,868 | 111,700 | ||||||
| Net Trading Income (Loss) | 26,477,806 | -8,363,589 | ||||||
| Other Income | Month to Date Total | Year to Date Total | ||||||
| Interest, U.S. Obligations | $ | 200,190 | $ | 1,445,651 | ||||
| Interest, Other | 198,636 | 1,819,377 | ||||||
| U.S. Government Securities Gain (Loss) | 0 | 0 | ||||||
| Total Income (Loss) | 26,876,632 | -5,098,561 | ||||||
| Expenses | Month to Date Total | Year to Date Total | ||||||
| Management Fee | $ | 0 | $ | 0 | ||||
| Incentive Fee | 683,977 | 2,068,288 | ||||||
| Operating Expenses | 172,926 | 1,361,076 | ||||||
| Organization and Offering Expenses | 197,194 | 1,546,917 | ||||||
| Brokerage Expenses | 4,197,894 | 33,435,258 | ||||||
| Total Expenses | 5,251,991 | 38,411,539 | ||||||
| Net Income (Loss) | $ | 21,624,641 | $ | -43,510,100 | ||||
| Statement of Changes in Net Asset Value | Month to Date Total | Year to Date Total | ||||||
| Beginning Balance | $ | 791,946,508 | $ | 831,270,498 | ||||
| Additions | 10,428,641 | 95,940,541 | ||||||
| Net Income (Loss) | 21,624,641 | -43,510,100 | ||||||
| Redemptions | -9,228,677 | -68,929,826 | ||||||
| Balance at AUGUST 31, 2010 | $ | 814,771,113 | $ | 814,771,113 | ||||
| PERFORMANCE SUMMARY BY CLASS | ||||||||
| Class | Net Asset Value per Unit | Units | Net Asset Value | ROR – Month to Date ROR – Year to Date | ||||
| A | $1,356.654 | 44,565.54614 | $60,460,026 | 2.77% | -4.81% | |||
| B | $1,160.411 | 521,294.07470 | $604,915,474 | 2.71% | -5.22% | |||
| Legacy 1 | $930.497 | 6,727.90812 | $6,260,295 | 2.86% | -3.69% | |||
| Legacy 2 | $927.188 | 6,264.35364 | $5,808,235 | 2.82% | -3.87% | |||
| Global 1 | $918.213 | 9,448.87176 | $8,676,080 | 2.71% | -4.04% | |||
| Global 2 | $913.185 | 17,411.40568 | $15,899,829 | 2.70% | -4.24% | |||
| Global 3 | $888.620 | 126,883.49397 | $112,751,174 | 2.54% | -5.43% | |||
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