Grant Park Futures Fund Limited Partnership
Filed: 20 Oct 17, 12:00am
Filed pursuant to Rule 424(b)(3)
File No. 333-202279
Grant Park Fund September 2017 Update
October 20, 2017
| Supplement dated October 20, 2017 to Prospectus dated May 15, 2017 | ||||
| Class | Sep ROR | YTD ROR | Net Asset Value | Net Asset Value per Unit |
| A | -3.93% | -8.31% | $7.59M | $994.182 |
| B | -3.99% | -8.76% | $74.30M | $812.751 |
| Legacy 1 | -3.75% | -6.70% | $1.14M | $792.401 |
| Legacy 2 | -3.77% | -6.88% | $0.37M | $774.341 |
| Global 1 | -3.70% | -6.30% | $26.36M | $785.973 |
| Global 2 | -3.72% | -6.48% | $1.35M | $769.881 |
| Global 3 | -3.87% | -7.70% | $7.11M | $663.962 |
Sector Commentary
Currencies: The U.S. dollar strengthened slightly due to a potential tax overhaul and expectations that the Federal Reserve will raise interest rates in December. The British pound strengthened after the Bank of England left interest rates unchanged, but suggested rates could rise faster than anticipated by the market. The Japanese yen weakened as the Bank of Japan considered further quantitative easing. The Australian dollar weakened on lower expectations the Reserve Bank of Australia will raise interest rates.
Energy: Crude oil prices rose over nine percent on increasing demand and on U.S. government data which revealed an unexpected decline in crude inventories. Heating oil prices rose due to expectations of tighter supplies.
Equities: U.S. equity markets rose after the Federal Reserve announced it would start reducing its balance sheet during October. The Eurostoxx and Dax indices rose on a weakening euro.
Fixed Income: Global fixed income prices fell on indications various central banks would continue to tighten monetary policy and on the announcement the U.S. Federal Reserve would begin to gradually reduce its balance sheet and unwind the stimulus program it began almost ten years ago.
Grains/Foods: Wheat prices rose after the USDA forecasted lower global supplies. Corn and soybean markets rose on stronger export demand. Sugar prices fell on improved crop weather and news that production in Brazil was above expectations.
Metals: Precious metals markets fell primarily due to a likely increase in U.S. interest rates in December. Base metal prices fell, especially copper and nickel, after China reported weaker-than-expected numbers on two key economic measures.
Additional Information: For the Fund’s monthly Account Statement, including the net asset value per unit, and related information, please visit our website at grantparkfunds.com.
Sincerely,
David Kavanagh
President
Daily fund performance and weekly commentaries are available on our website at 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 September 30, 2017
| STATEMENT OF INCOME | |||||||
| Trading Income (Loss) | Monthly Performance | Year to Date Performance | |||||
| Realized Trading Income (Loss) | $790,030 | -$3,158,364 | |||||
| Change In Unrealized Income (Loss) | -5,201,960 | -1,900,516 | |||||
| Brokerage Commission | -61,331 | -618,225 | |||||
| Exchange, Clearing Fee and NFA Charges | 0 | 0 | |||||
| Other Trading Costs | -86,971 | -947,315 | |||||
| Change in Accrued Commission | 3,388 | 1,494 | |||||
| Net Trading Income (Loss) | -4,556,844 | -6,622,926 | |||||
| Other Income | Monthly Performance | Year to Date Performance | |||||
| Interest, U.S. Obligations | $67,858 | $611,228 | |||||
| Interest, Other | 8,814 | 227,892 | |||||
| Income from Securities | 50,303 | -77,456 | |||||
| Dividend Income | 0 | 0 | |||||
| Total Income (Loss) | -4,429,869 | -5,861,262 | |||||
| Expenses | Monthly Performance | Year to Date Performance | |||||
| Management Fee | $0 | $0 | |||||
| Incentive Fee | -18,284 | 314,436 | |||||
| Operating Expenses | 25,339 | 268,812 | |||||
| Organization and Offering Expenses | 29,133 | 309,720 | |||||
| Brokerage Expenses | 457,629 | 4,886,021 | |||||
| Dividend Expenses | 0 | 0 | |||||
| Total Expenses | 493,817 | 5,778,989 | |||||
| Net Income (Loss) | -$4,923,686 | -$11,640,251 | |||||
| Statement of Changes in Net Asset Value | Monthly Performance | Year to Date Performance | |||||
| Beginning Balance | $126,019,512 | $165,364,938 | |||||
| Additions | 0 | 102,425 | |||||
| Net Income (Loss) | -4,923,686 | -11,640,251 | |||||
| Redemptions | -2,876,088 | -35,607,374 | |||||
| Balance at September 30, 2017 | $118,219,738 | $118,219,738 | |||||
| PERFORMANCE SUMMARY BY CLASS | ||||||||||
| Class | Net Asset Value per Unit | Units | Net Asset Value | Monthly ROR | Year to Date ROR | |||||
| A | $994.182 | 7,637.37202 | $7,592,934 | -3.93% | -8.31% | |||||
| B | $812.751 | 91,417.12108 | $74,299,358 | -3.99% | -8.76% | |||||
| Legacy 1 | $792.401 | 1,441.67394 | $1,142,384 | -3.75% | -6.70% | |||||
| Legacy 2 | $774.341 | 482.22166 | $373,404 | -3.77% | -6.88% | |||||
| Global 1 | $785.973 | 33,534.22560 | $26,356,996 | -3.70% | -6.30% | |||||
| Global 2 | $769.881 | 1,752.80534 | $1,349,452 | -3.72% | -6.48% | |||||
| Global 3 | $663.962 | 10,701.23454 | $7,105,209 | -3.87% | -7.70% | |||||
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