Grant Park Futures Fund Limited Partnership
Filed: 21 Jun 12, 12:00am
Filed pursuant to Rule 424(b)(3)
File No. 333-179641
Grant Park Fund May 2012 Update
June 21, 2012
Supplement dated June 21, 2012 to Prospectus dated April 30, 2012
| Class | May ROR | YTD ROR | Net Asset Value | Net Asset Value per Unit |
| A | 6.2% | 4.7% | $42.4M | $1,356.32 |
| B | 6.1% | 4.4% | $421.0M | $1,147.25 |
| Legacy 1 | 6.2% | 5.5% | $5.8M | $962.52 |
| Legacy 2 | 6.2% | 5.3% | $15.1M | $951.34 |
| Global 1 | 6.3% | 5.9% | $13.4M | $926.21 |
| Global 2 | 6.3% | 5.8% | $29.1M | $916.34 |
| Global 3 | 6.2% | 5.1% | $239.8M | $864.25 |
| ALL PERFORMANCE REPORTED IS NET OF FEES AND EXPENSES |
Sector Commentary
Currencies: The euro fell to a recent low as investors were concerned about the economic impact of a Greek exit from the European Union. Growing uncertainty surrounding the Spanish debt markets, coupled with steadily rising borrowing costs, also pressured the euro. The U.S. dollar benefitted from the euro’s weakness as investors shifted their focus towards safe-haven dollar-denominated assets.
Energy: Crude oil prices declined nearly 18% after the U.S. Energy Information Administration reported domestic inventories rose to 22-year highs. Ongoing forecasts of weak industrial demand and a bearish outlook for the global economy also added to declines. Natural gas markets moved modestly higher as warmer weather in the U.S. supported energy demand.
Equities: Global equity markets fell as weak global economic indicators weighed on investor sentiment. In the U.S., news J.P. Morgan had incurred over $2 billion in losses due to bad trades in the credit-derivatives markets added to equity market pressure.
Fixed Income: U.S. Treasury and German Bund markets finished May substantially higher as the financial and political instability in Europe drove investors across the globe towards safer-assets. Ailing Spanish and Italian debt markets, continued political uncertainty in Greece, and the threat of a Greek exit from the Eurozone all contributed to increase safe-haven demand.
Grains/Foods: Corn prices fell sharply due to favorable weather conditions in key farming regions and weaker-than-expected export sales data. In the foods markets, coffee and sugar prices decreased as speculators forecasted depressed demand due to the ongoing financial turmoil in Europe.
Metals: Gold markets tumbled in May as a stronger U.S. dollar prompted investors to liquidate dollar-hedging gold positions. Base metals markets also experienced setbacks as demand fell due to fears of slowing growth in China. Weak Chinese and European industrial production data also contributed to the decline in base metals prices.
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, 2012
STATEMENT OF INCOME
| Trading Income (Loss) | Month to Date Total | Year to Date Total | ||||||
| Realized Trading Income (Loss) | $ | 31,000,946 | $ | 33,249,218 | ||||
| Change In Unrealized Income (Loss) | 25,401,608 | 34,807,864 | ||||||
| Brokerage Commission | -275,425 | -1,295,139 | ||||||
| Exchange, Clearing Fee and NFA Charges | -84,253 | -370,769 | ||||||
| Other Trading Costs | -647,245 | -3,181,124 | ||||||
| Change in Accrued Commission | 16,169 | -55,806 | ||||||
| Net Trading Income (Loss) | 55,411,800 | 63,154,244 | ||||||
| Other Income | Month to Date Total | Year to Date Total | ||||||
| Interest, U.S. Obligations | $ | 104,537 | $ | 622,668 | ||||
| Interest, Other | 39,999 | 164,281 | ||||||
| U.S. Government Securities Gain (Loss) | 0 | 0 | ||||||
| Dividend Income | 0 | 0 | ||||||
| Total Income (Loss) | 55,556,336 | 63,941,193 | ||||||
| Expenses | Month to Date Total | Year to Date Total | ||||||
| Management Fee | $ | 0 | $ | 0 | ||||
| Incentive Fee | 6,112,432 | 8,601,505 | ||||||
| Operating Expenses | 165,126 | 817,140 | ||||||
| Organization and Offering Expenses | 190,786 | 943,917 | ||||||
| Brokerage Expenses | 3,762,876 | 18,684,794 | ||||||
| Dividend Expenses | 0 | 0 | ||||||
| Total Expenses | 10,231,220 | 29,047,356 | ||||||
| Net Income (Loss) | $ | 45,325,116 | $ | 34,893,837 | ||||
| Statement of Changes in Net Asset Value | Month to Date Total | Year to Date Total | ||||||
| Beginning Balance | $ | 734,024,263 | $ | 798,842,191 | ||||
| Additions | 2,375,088 | 17,692,717 | ||||||
| Net Income (Loss) | 45,325,116 | 34,893,837 | ||||||
| Redemptions | -15,033,967 | -84,738,245 | ||||||
| Balance at May 31, 2012 | $ | 766,690,500 | $ | 766,690,500 | ||||
PERFORMANCE SUMMARY BY CLASS
| Class | Net Asset Value per Unit | Units | Net Asset Value | ROR – Month to Date | ROR – Year to Date |
| A | $1,356.318 | 31,284.33266 | $42,431,519 | 6.19% | 4.67% |
| B | $1,147.254 | 367,006.67561 | $421,049,995 | 6.13% | 4.39% |
| Legacy 1 | $962.521 | 5,997.19431 | $5,772,427 | 6.24% | 5.51% |
| Legacy 2 | $951.336 | 15,900.75369 | $15,126,967 | 6.16% | 5.35% |
| Global 1 | $926.213 | 14,508.46552 | $13,437,931 | 6.32% | 5.93% |
| Global 2 | $916.335 | 31,760.64316 | $29,103,375 | 6.27% | 5.79% |
| Global 3 | $864.245 | 277,430.83963 | $239,768,286 | 6.16% | 5.06% |
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