Grant Park Futures Fund Limited Partnership 10Q 2013 Q1 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

x	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the Quarterly Period Ended: March 31, 2013

o	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the Transition Period From to .

Commission File Number: 0-50316

Grant Park Futures Fund

Limited Partnership

(Exact name of registrant as specified in its charter)

Illinois		36-3596839
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o Dearborn Capital Management, L.L.C.
626 West Jackson Boulevard, Suite 600
Chicago, Illinois 60661

(Address of principal executive offices, including zip code)

Registrant’s telephone number, including area code: (312) 756-4450

Indicate by check mark whether the Registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No o

Indicate by check mark whether the Registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the Registrant was required to submit and post such files). Yes x No o

Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer or a smaller reporting company. See definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer o		Accelerated filer o

Non-accelerated filer x		Smaller reporting company o

Indicate by check mark whether the Registrant is a shell company (as defined in Rule 12b-2 of the Securities Exchange Act of 1934). Yes o No x

Table of Contents

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

QUARTER ENDED MARCH 31, 2013

INDEX

PART I - FINANCIAL INFORMATION

Item 1.	Financial Statements

	Consolidated Statements of Financial Condition as of March 31, 2013 (unaudited) and December 31, 2012 (audited)	1

	Consolidated Condensed Schedule of Investments as of March 31, 2013 (unaudited)	2

	Consolidated Condensed Schedule of Investments as of December 31, 2012 (audited)	4

	Consolidated Statements of Operations for the three months ended March 31, 2013 and 2012 (Unaudited)	6

	Consolidated Statements of Changes in Partners’ Capital (Net Asset Value) for the three months ended March 31, 2013 and 2012 (unaudited)	7

	Notes to Consolidated Financial Statements (unaudited)	9

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	23

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	29

Item 4.	Controls and Procedures	33

PART II - OTHER INFORMATION

Item 1A.	Risk Factors	33

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	33

Item 6.	Exhibits	35

SIGNATURES		36
CERTIFICATIONS		37

Table of Contents

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Financial Condition

	March 31,		December 31,
	2013		2012
	(Unaudited)
Assets
Equity in brokers’ trading accounts:
Cash	$	88,482,247	$	94,093,764
Unrealized gain (loss) on open contracts, net	4,428,390		3,681,219
Total equity in brokers’ trading accounts	92,910,637		97,774,983
Cash and cash equivalents	193,343,365		204,384,040
Securities owned, at fair value (cost $339,021,137 and $358,405,739, respectively)	339,268,358		358,679,830
Interest receivable	42,483		34,479
Total assets	$	625,564,843	$	660,873,332
Liabilities and Partners’ Capital (Net Asset Value)
Liabilities
Brokerage commission payable	$	3,565,080	$	3,785,102
Accrued incentive fees	318,449		—
Organization and offering costs payable	149,948		158,430
Accrued operating expenses	129,626		136,985
Pending limited partner additions	3,134,376		3,226,078
Redemptions payable to limited partners	14,647,094		16,826,687
Total liabilities	21,944,573		24,133,282
Partners’ Capital (Net Asset Value)
General Partner
Class A (2,499.78 units outstanding at both March 31, 2013 and December 31, 2012)	3,033,711		3,040,653
Legacy 1 Class (1,025.00 units outstanding at both March 31, 2013 and December 31, 2012)	900,930		897,998
Legacy 2 Class (1,000.00 units outstanding at both March 31, 2013 and December 31, 2012)	866,965		864,602
Global 1 Class (1,372.89 units outstanding at both March 31, 2013 and December 31, 2012)	1,166,402		1,160,812
Global 2 Class (1,974.70 units outstanding at both March 31, 2013 and December 31, 2012)	1,656,746		1,649,835
Limited Partners
Class A (23,965.05 and 25,707.33 units outstanding at March 31, 2013 and December 31, 2012, respectively)	29,083,828		31,269,640
Class B (301,187.32 and 322,257.31 units outstanding at March 31, 2013 and December 31, 2012, respectively)	307,532,362		330,303,791
Legacy 1 Class (3,994.37 and 4,395.66 units outstanding at March 31, 2013 and December 31, 2012, respectively)	3,510,876		3,851,016
Legacy 2 Class (11,328.30 and 12,793.52 units outstanding at March 31, 2013 and December 31, 2012, respectively)	9,821,239		11,061,307
Global 1 Class (12,004.82 and 12,449.60 units outstanding at March 31, 2013 and December 31, 2012, respectively)	10,199,226		10,526,414
Global 2 Class (26,448.41 and 27,930.65 units outstanding at March 31, 2013 and December 31, 2012, respectively)	22,189,865		23,335,702
Global 3 Class (273,985.01 and 280,522.12 units outstanding at March 31, 2013 and December 31, 2012, respectively)	213,658,120		218,778,280
Total partners’ capital (net asset value)	603,620,270		636,740,050
Total liabilities and partners’ capital (net asset value)	$	625,564,843	$	660,873,332

The accompanying notes are an integral part of these consolidated financial statements.

Table of Contents

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

March 31, 2013

(Unaudited)

Futures, Forwards, and Options on Futures and Forward Contracts

	Unrealized gain/(loss) on open long contracts			Percent of Partners’ Capital (Net Asset Value)		Unrealized gain/(loss) on open short contracts			Percent of Partners’ Capital (Net Asset Value)		Net unrealized gain/(loss) on open contracts			Percent of Partners’ Capital (Net Asset Value)

Futures Contracts *
U.S. Futures Positions:
Agriculturals	$	(765,704	)	(0.13	)%	$	697,536		0.12	%	$	(68,168	)	(0.01	)%
Currencies	$	1,450,744		0.24	%	$	(1,809,018	)	(0.30	)%	$	(358,274	)	(0.06	)%
Energy	$	1,003,705		0.16	%	$	(197,198	)	(0.03	)%	$	806,507		0.13	%
Interest rates	$	1,723,222		0.29	%	$	(408,138	)	(0.07	)%	$	1,315,084		0.22	%
Meats	$	24,360		0.00	%	$	(114,484	)	(0.01	)%	$	(90,124	)	(0.01	)%
Metals	$	(35,310	)	(0.01	)%	$	534,193		0.09	%	$	498,883		0.08	%
Soft commodities	$	383,654		0.06	%	$	930,385		0.16	%	$	1,314,039		0.22	%
Stock indices and single stock futures	$	1,660,670		0.27	%	$	64,078		0.01	%	$	1,724,748		0.28	%
Total U.S. Futures Positions	$	5,445,341				$	(302,646	)			$	5,142,695

Foreign Futures Positions:
Agriculturals	$	(21,301	)	(0.00	)%	$	6,519		0.00	%	$	(14,782	)	(0.00	)%
Energy	$	295,886		0.05	%	$	(125,059	)	(0.02	)%	$	170,827		0.03	%
Interest rates	$	4,383,859		0.73	%	$	(374,723	)	(0.07	)%	$	4,009,136		0.66	%
Metals	$	(7,673,873	)	(1.27	)%	$	6,446,561		1.07	%	$	(1,227,312	)	(0.20	)%
Soft commodities	$	(58,335	)	(0.01	)%	$	(14,169	)	(0.00	)%	$	(72,504	)	(0.01	)%
Stock indices	$	(1,431,548	)	(0.23	)%	$	17,287		0.00	%	$	(1,414,261	)	(0.23	)%
Total Foreign Futures Positions	$	(4,505,312	)			$	5,956,416				$	1,451,104
Total Futures Contracts	$	940,029		0.15	%	$	5,653,770		0.94	%	$	6,593,799		1.09	%

Forward Contracts *
Currencies	$	(542,359	)	(0.09	)%	$	82,700		0.01	%	$	(459,659	)	(0.08	)%

Options on Futures and Forward Contracts *
Currencies	$	26,140		0.00	%	$	(890	)	(0.00	)%	$	25,250		0.00	%
Agriculturals	$	—		(0.00	)%	$	(1,731,000	)	(0.29	)%	$	(1,731,000	)	(0.29	)%
Total Options on Futures and Forward Contracts	$	26,140		0.00	%	$	(1,731,890	)	(0.29	)%	$	(1,705,750	)	(0.28	)%

Total Futures, Forward and
Options on Futures and
Forward Contracts	$	423,810		0.07	%	$	4,004,580		0.66	%	$	4,428,390		0.73	%

* No individual futures, forward, and options on futures and forward contract position constituted greater than 1 percent of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented.

The accompanying notes are an integral part of these consolidated financial statements.

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Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2013

(Unaudited)

Securities owned

U.S. Commercial paper

						Percent of Partners’ Capital
Face Value		Maturity Date	Description	Fair Value		(net asset value)
$	11,000,000	7/8/2013	JPMorgan Chase & Co., 0.3%	$	10,992,514	1.82	%
$	8,000,000	4/30/2013	Archer Daniels Midland Company, 0.3%	7,998,067		1.33	%
$	21,100,000	4/9/2013-7/8/2013	Other, 0.2-0.5% **	21,087,009		3.49	%
Total U.S. Commercial paper (cost of $40,053,389)				$	40,077,590	6.64	%

** No individual position constituted greater than 1 percent of partners’ capital (net asset value).

U.S. Government-sponsored enterprises

						Percent of Partners’ Capital
Face Value		Maturity Date	Description	Fair Value		(net asset value)
$	207,700,000	9/23/2013-12/15/2014	Federal Farm Credit Banks, 0.2-0.4%	$	207,742,117	34.42	%
$	21,000,000	7/22/2013	Federal Home Loan Banks, 0.2%	21,009,155		3.48	%
Total U.S. Government-sponsored enterprises (cost of $228,672,502)				$	228,751,272	37.90	%

Corporate Bonds

							Percent of Partners’ Capital
	Face Value		Maturity Dates	Description	Fair Value		(net asset value)

	$	66,492,000	9/15/2013-2/15/2015	Corporate Bonds, 0.6-1.5% (cost of $70,295,246)	$	70,439,496	11.67	%

							Percent of Partners’ Capital
					Fair Value		(net asset value)
Total securities owned					$	339,268,358	56.21	%

The accompanying notes are an integral part of these consolidated financial statements.

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Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2012

Futures, Forwards and Options on Futures and Forward Contracts

	Unrealized gain/(loss) on open long contracts			Percent of Partners’ Capital (Net Asset Value)		Unrealized gain/(loss) on open short contracts			Percent of Partners’ Capital (Net Asset Value)		Net unrealized gain/(loss) on open contracts			Percent of Partners’ Capital (Net Asset Value)

Futures Contracts *
U.S. Futures Positions:
Agriculturals	$	(804,167	)	(0.13	)%	$	958,379		0.15	%	$	154,212		0.02	%
Currencies	$	484,754		0.07	%	$	2,401,456		0.38	%	$	2,886,210		0.45	%
Energy	$	202,322		0.03	%	$	87,791		0.02	%	$	290,113		0.05	%
Interest rates	$	(288,575	)	(0.05	)%	$	(585,295	)	(0.09	)%	$	(873,870	)	(0.14	)%
Meats	$	(45,249	)	(0.01	)%	$	(16,937	)	(0.00	)%	$	(62,186	)	(0.01	)%
Metals	$	(131,884	)	(0.02	)%	$	(103,513	)	(0.02	)%	$	(235,397	)	(0.04	)%
Soft commodities	$	(53,248	)	(0.01	)%	$	457,114		0.07	%	$	403,866		0.06	%
Stock indices and single stock futures	$	(32,573	)	(0.01	)%	$	(341,224	)	(0.05	)%	$	(373,797	)	(0.06	)%
Total U.S. Futures Positions	$	(668,620	)			$	2,857,771				$	2,189,151

Foreign Futures Positions:
Agriculturals	$	938		0.00	%	$	8,031		0.00	%	$	8,969		0.00	%
Energy	$	266,288		0.04	%	$	71,740		0.01	%	$	338,028		0.05	%
Interest rates	$	1,449,503		0.23	%	$	3,028		0.00	%	$	1,452,531		0.23	%
Metals	$	367,534		0.06	%	$	(2,657,731	)	(0.42	)%	$	(2,290,197	)	(0.36	)%
Soft commodities	$	(709	)	(0.00	)%	$	8,911		0.00	%	$	8,202		0.00	%
Stock indices	$	1,242,638		0.19	%	$	(723,586	)	(0.11	)%	$	519,052		0.08	%
Total Foreign Futures Positions	$	3,326,192				$	(3,289,607	)			$	36,585
Total Futures Contracts	$	2,657,572		0.42	%	$	(431,836	)	(0.07	)%	$	2,225,736		0.35	%

Forward Contracts *
Currencies	$	804,604		0.13	%	$	640,241		0.10	%	$	1,444,845		0.23	%

Options on Forward Contracts *
Currencies	$	10,638		0.00	%	$	—		(0.00	)%	$	10,638		0.00	%

Total Futures, Forward and
Options on Futures and Forward
Contracts	$	3,472,814		0.55	%	$	208,405		0.03	%	$	3,681,219		0.58	%

The accompanying notes are an integral part of these consolidated financial statements.

Table of Contents

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2012

Securities owned

U.S. Commercial paper

						Percent of Partners’ Capital
Face Value		Maturity Date	Description	Fair Value		(net asset value)
$	10,000,000	3/14/2013	Dell Inc., 0.3%	$	9,994,400	1.57	%
$	8,700,000	3/4/2013	Coca-Cola Bottling Co. Consolidated, 0.2%	8,696,404		1.37	%
$	7,100,000	3/25/2013-4/09/2013	Other, 0.4-0.6% **	7,091,265		1.11	%
Total U.S. Commercial paper (cost of $25,763,509)				$	25,782,069	4.05	%

** No individual position constituted greater than 1 percent of partners’ capital (net asset value).

U.S. Government-sponsored enterprises

						Percent of Partners’ Capital
Face Value		Maturity Date	Description	Fair Value		(net asset value)
$	207,700,000	9/23/2013-12/15/2014	Federal Farm Credit Banks, 0.2-0.4%	$	207,717,382	32.62	%
$	46,500,000	3/6/2013-7/22/2013	Federal Home Loan Banks, 0.2-0.3%	46,514,106		7.31	%
$	12,000,000	1/9/2015	Federal Agricultural Mortgage Corporation, 0.9%	12,051,027		1.89	%
Total U.S. Government-sponsored enterprises (cost of $266,171,482)				$	266,282,515	41.82	%

Corporate Bonds

						Percent of Partners’ Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)

$	53,066,000	9/15/2013-12/1/2014	Corporate Bonds, 0.7-1.5% (cost of $56,488,948)	$	56,629,696	8.89	%

U.S. Government securities

							Percent of Partners’ Capital
	Face Value		Maturity Dates	Description	Fair Value		(net asset value)

	$	10,000,000	10/17/2013	U.S. Treasury Bill, 0.2% (cost of $9,981,800)	$	9,985,550	1.57	%

							Percent of Partners’ Capital
					Fair Value		(net asset value)
Total securities owned					$	358,679,830	56.33	%

The accompanying notes are an integral part of these consolidated financial statements.

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Grant Park Futures Fund Limited Partnership

Consolidated Statements of Operations

	Three Months Ended
	March 31,
	2013			2012
	(Unaudited)
Net trading gains (losses)
Net gain (loss) from futures and forward trading
Realized	$	8,506,968		$	13,792,108
Change in unrealized	2,473,391			(7,640,108		)
Commissions	(2,377,903		)	(2,970,555		)
Net gains (losses) from futures and forward trading	8,602,456			3,181,445
Net investment income (loss)
Income
Interest income	347,030			496,088
Expenses from operations
Brokerage commission	8,932,919			11,343,441
Incentive fees	318,449			1,862,811
Organizational and offering costs	458,556			571,843
Operating expenses	396,317			495,092
Total expenses	10,106,241			14,273,187
Net investment loss	$	(9,759,211	)	$	(13,777,099	)
Net loss	$	(1,156,755	)	$	(10,595,654	)

Net income (loss) per unit (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period:
General Partner & Limited Partner Class A Units	$	(2.78	)	$	(18.52	)
General Partner & Limited Partner Class B Units	$	(3.90	)	$	(17.52	)
General Partner & Limited Partner Legacy 1 Class Units	$	2.86		$	(7.91	)
General Partner & Limited Partner Legacy 2 Class Units	$	2.37		$	(8.36	)
General Partner & Limited Partner Global 1 Class Units	$	4.07		$	(5.57	)
General Partner & Limited Partner Global 2 Class Units	$	3.50		$	(6.08	)
General Partner & Limited Partner Global 3 Class Units	$	(0.08	)	$	(9.37	)

The accompanying notes are an integral part of these consolidated financial statements.

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Grant Park Futures Fund Limited Partnership

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)

Three Months Ended March 31, 2013

(Unaudited)

Class A

Class B

Legacy 1 Class

Legacy 2 Class

General Partner

Limited Partners

General Partner

Limited Partners

General Partner

Limited Partners

General Partner

Limited Partners

Number of

Units

Amount

Units

Amount

Units

Amount

Units

Amount

Units

Amount

Units

Amount

Units

Amount

Units

Amount

Partners’ capital, (net asset value)

December 31, 2012	2,499.78	$	3,040,653		25,707.33		$	31,269,640		—	$	—	322,257.31		$	330,303,791		1,025.00	$	897,998	4,395.66		$	3,851,016		1,000.00	$	864,602	12,793.52		$	11,061,307
Contributions	—	—			—		—			—	—		—		—			—	—		—		—			—	—		167.25		145,000
Redemptions	—	—			(1,742.28	)	(2,119,964		)	—	—		(21,069.99	)	(21,551,259		)	—	—		(401.29	)	(353,575		)	—	—		(1,632.47	)	(1,409,381		)
Net income (loss)	—	(6,942		)	—		(65,848		)	—	—		—		(1,220,170		)	—	2,932		—		13,435			—	2,363		—		24,313
Partners’ capital, (net asset value) March 31, 2013	2,499.78	$	3,033,711		23,965.05		$	29,083,828		—	$	—	301,187.32		$	307,532,362		1,025.00	$	900,930	3,994.37		$	3,510,876		1,000.00	$	866,965	11,328.30		$	9,821,239

Net asset value per unit at December 31, 2012		$	1,216.37								$	1,024.97							$	876.10							$	864.60

Net asset value per unit at March 31, 2013		$	1,213.59								$	1,021.07							$	878.96							$	866.97

	Global 1 Class								Global 2 Class								Global 3 Class
	General Partner			Limited Partners					General Partner			Limited Partners					General Partner			Limited Partners
	Number of			Number of					Number of			Number of					Number of			Number of					Total
	Units	Amount		Units		Amount			Units	Amount		Units		Amount			Units	Amount		Units		Amount			Amount

Partners’ capital, (net asset value)
December 31, 2012	1,372.89	$	1,160,812	12,449.60		$	10,526,414		1,974.70	$	1,649,835	27,930.65		$	23,335,702		—	$	—	280,522.12		$	218,778,280		$	636,740,050
Contributions	—	—		416.66		352,000			—	—		1,376.61		1,149,846			—	—		9,379.84		7,328,116			8,974,962
Redemptions	—	—		(861.44	)	(731,631		)	—	—		(2,858.85	)	(2,376,848		)	—	—		(15,916.95	)	(12,395,329		)	(40,937,987		)
Net income (loss)	—	5,590		—		52,443			—	6,911		—		81,165			—	—		—		(52,947		)	(1,156,755		)
Partners’ capital, (net asset value) March 31, 2013	1,372.89	$	1,166,402	12,004.82		$	10,199,226		1,974.70	$	1,656,746	26,448.41		$	22,189,865		—	$	—	273,985.01		$	213,658,120		$	603,620,270

Net asset value per unit at December 31, 2012		$	845.52							$	835.49							$	779.90

Net asset value per unit at March 31, 2013		$	849.59							$	838.99							$	779.82

The accompanying notes are an integral part of these consolidated financial statements.

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Grant Park Futures Fund Limited Partnership

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value) (continued)

Three Months Ended March 31, 2012

(Unaudited)

Class A

Class B

Legacy 1 Class

Legacy 2 Class

General Partner

Limited Partners

General Partner

Limited Partners

General Partner

Limited Partners

General Partner

Limited Partners

Number of

Units

Amount

Units

Amount

Units

Amount

Units

Amount

Units

Amount

Units

Amount

Units

Amount

Units

Amount

Partners’ capital, (net asset value)

December 31, 2011	3,008.66		$	3,898,734		32,119.81		$	41,622,105		427.01		$	469,305		419,169.11		$	460,685,410		1,025.00	$	935,031		5,210.84		$	4,753,458		1,000.00	$	903,063		16,534.92		$	14,932,071
Contributions	—		—			—		—			—		—			—		—			—	—			40.15		36,650			—	—			604.88		548,158
Redemptions	(508.88	)	(650,000		)	(1,883.15	)	(2,435,481		)	(427.01	)	(461,824		)	(36,985.11	)	(40,528,157		)	—	—			(258.65	)	(236,856		)	—	—			(1,361.65	)	(1,224,278		)
Net income (loss)	—		(55,732		)	—		(564,894		)	—		(7,481		)	—		(6,815,993		)	—	(8,106		)	—		(38,590		)	—	(8,359		)	—		(139,178		)
Partners’ capital, (net asset value) March 31, 2012	2,499.78		$	3,193,002		30,236.66		$	38,621,730		—		$	—		382,184.00		$	413,341,260		1,025.00	$	926,925		4,992.34		$	4,514,662		1,000.00	$	894,704		15,778.15		$	14,116,773

Net asset value per unit at December 31, 2011			$	1,295.84									$	1,099.04								$	912.23								$	903.06

Net asset value per unit at March 31, 2012			$	1,277.32									$	1,081.52								$	904.32								$	894.70

	Global 1 Class									Global 2 Class									Global 3 Class
	General Partner				Limited Partners					General Partner				Limited Partners					General Partner					Limited Partners
	Number of				Number of					Number of				Number of					Number of					Number of					Total
	Units	Amount			Units		Amount			Units	Amount			Units		Amount			Units		Amount			Units		Amount			Amount

Partners’ capital, (net asset value)
December 31, 2011	1,372.89	$	1,200,376		14,017.11		$	12,255,712		1,974.70	$	1,710,523		30,586.54		$	26,494,677		500.00		$	411,298		277,864.25		$	228,570,428		$	798,842,191
Contributions	—	—			332.65		293,420			—	—			1,306.58		1,141,500			—		—			11,771.49		9,724,701			11,744,429
Redemptions	—	—			(613.08	)	(537,393		)	—	—			(1,472.93	)	(1,281,661		)	(500.00	)	(406,616		)	(9,607.30	)	(7,900,475		)	(55,662,741		)
Net income (loss)	—	(7,643		)	—		(77,687		)	—	(12,012		)	—		(188,964		)	—		(4,682		)	—		(2,666,333		)	(10,595,654		)
Partners’ capital, (net asset value) March 31, 2012	1,372.89	$	1,192,733		13,736.68		$	11,934,052		1,974.70	$	1,698,511		30,420.19		$	26,165,552		—		$	—		280,028.44		$	227,728,321		$	744,328,225

Net asset value per unit at December 31, 2011		$	874.34								$	866.22									$	822.60

Net asset value per unit at March 31, 2012		$	868.77								$	860.14									$	813.23

The accompanying notes are an integral part of these consolidated financial statements.

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Note 1. Nature of Business and Significant Accounting Policies

Nature of business: Grant Park Futures Fund Limited Partnership (the “Partnership”) was organized as a limited partnership under Illinois law in August 1988 and will continue until December 31, 2027, unless terminated sooner as provided for in its Limited Partnership Agreement. As a commodity investment pool, the Partnership is subject to the regulations of the Commodity Futures Trading Commission (“CFTC”), an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Partnership executes transactions. Additionally, the Partnership is subject to the requirements of futures commission merchants (“FCMs”) and interbank and other market makers through which the Partnership trades. The Partnership is a registrant with the Securities and Exchange Commission (“SEC”), and, accordingly is subject to the regulatory requirements under the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended.

The Partnership engages in the speculative trading of futures and forward contracts for commodities, financial instruments or currencies, any rights pertaining thereto and any options thereon, or on physical commodities, equities, listed options, and broad based exchange-traded funds. The Partnership may also engage in hedge, arbitrage and cash trading of commodities and futures.

The Partnership is a multi-advisor commodity pool that carries out its purpose through trading by independent professional commodity trading advisors retained by Dearborn Capital Management, L.L.C. (the “General Partner”), the Partnership and, the Partnership’s subsidiary limited liability trading companies (each, a “Trading Company” and collectively, the “Trading Companies”). The Trading Companies were set up to, among other things, segregate risk by commodity trading advisor. Effectively, this structure isolates one trading advisor from another and any losses from one Trading Company will not carry over to the other Trading Companies. The following is a list of the Trading Companies, for which the Partnership is the sole member and all of which were organized as Delaware limited liability companies:

GP 1, LLC (“GP 1”) GP 6, LLC (“GP 6”) GP 10, LLC (“GP 10”) GP 15, LLC (“GP 15”)

GP 3, LLC (“GP 3”) GP 7, LLC (“GP 7”) GP 11, LLC (“GP 11”) GP 16, LLC (“GP 16”)

GP 4, LLC (“GP 4”) GP 8, LLC (“GP 8”) GP 12, LLC (“GP 12”) GP 17, LLC (“GP 17”)

GP 5, LLC (“GP 5”) GP 9, LLC (“GP 9”) GP 14, LLC (“GP 14”) GP 18, LLC (“GP 18”)

There were no assets allocated to GP 5, GP 6, GP 10 or GP 11 as of March 31, 2013.

Additionally, GP Cash Management, LLC (“GP Cash Management”) was created as a Delaware limited liability company to collectively manage and invest excess cash not required to be held at clearing brokers. The members of GP Cash Management are the Trading Companies.

Classes of interests: The Partnership has seven classes of limited partner interests (each, a “Class” and collectively, the “Interests”), Class A, Class B, Legacy 1 Class, Legacy 2 Class, Global Alternative Markets 1 (“Global 1”) Class, Global Alternative Markets 2 (“Global 2”) Class and Global Alternative Markets 3 (“Global 3”) Class units.

The Class A and Class B units are outstanding but are no longer offered by the Partnership. Both Class A and Class B units are traded pursuant to identical trading programs and differ only in respect to the brokerage commission payable to the General Partner.

The Legacy 1 Class and Legacy 2 Class units are traded pursuant to trading programs pursuing a technical trend trading philosophy, which is the same trading philosophy used for the Class A and Class B units. The Legacy 1 Class and Legacy 2 Class units differ in respect to the General Partner’s brokerage commission and organization and offering costs. The Legacy 1 Class and Legacy 2 Class units are offered only to investors who are represented by approved selling agents who are directly compensated by the investor for services rendered in connection with an investment in the Partnership (such arrangements commonly referred to as “wrap-accounts”).

The Global 1 Class, Global 2 Class and Global 3 Class units are traded pursuant to trading programs pursuing technical trend trading philosophies, as well as pattern recognition philosophies. The Global 1 Class, Global 2 Class and Global 3 Class units differ in respect to the General Partner’s brokerage commission. The Global 1 Class and Global 2 Class units are offered only to investors in wrap accounts.

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

The Partnership’s significant accounting policies are as follows:

Pursuant to rules and regulations of the Securities and Exchange Commission (“SEC”), audited consolidated financial statements are prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) as established by the Financial Accounting Standards Board (“FASB”) to ensure consistent reporting of financial condition and results of operations.

Consolidation: The Partnership is the sole member of each of the Trading Companies. The Trading Companies, in turn, are the only members of GP Cash Management. The Partnership presents consolidated financial statements, which include the accounts of the Trading Companies and GP Cash Management. All material inter-company accounts and transactions are eliminated in consolidation.

Use of estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.

Cash and cash equivalents: Cash and cash equivalents may include cash, overnight investments, commercial paper, U.S. treasury bills and short-term investments in interest-bearing demand deposits with banks and cash managers with original maturities of three months or less at the date of acquisition.

Valuation of investments: All investments are used for trading purposes and recorded at their estimated fair value, as described in Note 2.

Investment transactions, investment income and expenses: Futures contracts, forward contracts and options on futures and forward contracts are recorded on a trade date basis and realized gains or losses are recognized when contracts/positions are liquidated. Unrealized gains or losses on open contracts/positions (the difference between contract trade price and market price) or securities are reported in the consolidated statement of financial condition as a net unrealized gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with FASB ASC 210-20, Balance Sheet, Offsetting. Any change in net unrealized gain or loss from the preceding period is reported in the consolidated statement of operations. Interest income and expense is recognized under the accrual basis.

Commissions: Commissions and other trading fees are reflected separately in the consolidated statement of operations.

Redemptions payable: Pursuant to the provisions of FASB ASC 480, Distinguishing Liabilities from Equity, redemptions approved by the General Partner prior to month end with a fixed effective date and fixed amount are recorded as redemptions payable as of month end.

Income taxes: No provision for income taxes has been made in these consolidated financial statements as each partner is individually responsible for reporting income or loss based on its respective share of the Partnership’s income and expenses as reported for income tax purposes.

The Partnership follows the provisions of ASC 740, Income Taxes. FASB guidance requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and liability in the current year. As of March 31, 2013, management has determined that there are no material uncertain income tax positions and, accordingly, has not recorded a liability. The Partnership is generally not subject to examination by U.S. federal or state taxing authorities for tax years before 2009.

Organization and offering costs: All expenses incurred in connection with the organization and the ongoing public offering of partnership interests are paid by the General Partner and are reimbursed to the General Partner by the Partnership. This reimbursement is made monthly. In its discretion, the General Partner may require the Partnership to reimburse the General Partner in any subsequent calendar year for amounts that exceed the limits in Note 5 in any calendar year, provided that the maximum amount reimbursed by the Partnership will not exceed the overall limit. Amounts reimbursed by the Partnership with respect to ongoing public offering expenses are charged to expense from operations at the time of reimbursement or accrual. Any amounts reimbursed by the Partnership with respect to organizational expenses are expensed at the time the reimbursement is incurred or accrued. If the Partnership terminates prior to completion of payment of the calculated amounts to the General Partner, the General Partner will not be entitled to any

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

additional payments, and the Partnership will have no further obligation to the General Partner. At March 31, 2013 and December 31, 2012, all organization and offering costs incurred by the General Partner have been reimbursed.

Foreign currency transactions: The Partnership’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the consolidated statement of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income currently.

The Partnership does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.

Statement of cash flows: The Partnership has elected not to provide statements of cash flows as permitted by FASB ASC 230, Statement of Cash Flows. The Partnership noted that as of and for the periods ended March 31, 2013 and 2012, substantially all investments were highly liquid, all investments are carried at fair value, the Partnership carried no debt, and the statements of changes in partners’ capital (net asset value) is presented.

Recently adopted accounting pronouncements: In December 2011, the FASB issued ASU 2011-11-Balance Sheet (Topic 210) containing new guidance that requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. In January 2013, the FASB issued ASU 2013-01- Balance Sheet (Topic 210) clarifying the scope of disclosures about offsetting assets and liabilities. The guidance is effective for annual and interim periods beginning on or after January 1, 2013. An entity should provide the disclosures required by those amendments retrospectively for all comparative periods presented. The Partnership adopted ASU 2011-11 and 2013-01 as of January 1, 2013 and the adoption did not have a material impact on its consolidated financial statements.

Note 2. Fair Value Measurements

As described in Note 1, the Partnership follows the provisions of FASB ASC 820, Fair Value Measurements and Disclosures. FASB ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date and sets out a fair value hierarchy. The Partnership utilizes valuation techniques to maximize the use of observable inputs and minimize the use of unobservable inputs. Assets and liabilities recorded at fair value are categorized within the fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Inputs are broadly defined as assumptions market participants would use in pricing an asset or liability. The three levels of the fair value hierarchy are described below:

Level 1. Unadjusted quoted prices in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level 2. Inputs other than quoted prices within Level 1 that are observable for the asset or liability, either directly or indirectly. A significant adjustment to a Level 2 input could result in the Level 2 measurement becoming a Level 3 measurement.

Level 3. Inputs that are unobservable for the asset or liability. The Partnership does not have any assets classified as Level 3.

The following section describes the valuation techniques used by the Partnership to measure different financial instruments at fair value and includes the level within the fair value hierarchy in which the financial instrument is categorized.

Fair value of exchange-traded futures contracts and options on futures contracts are based upon exchange settlement prices. U.S. Government securities, U.S. Government-sponsored enterprise securities and commercial paper are stated at cost plus accrued interest, which approximates fair value based on quoted market prices in an active market. The Partnership compares quoted market prices to the cost plus accrued interest to ensure a reasonable approximation of fair value. These financial instruments are classified in Level 1 of the fair value hierarchy.

The Partnership values bank deposits, which consist of certificates of deposit, at face value plus accrued interest, which approximates fair value based on prevailing interest rates, and these financial instruments are classified in Level 2 of the fair value hierarchy. The Partnership values forward contracts and options on forward contracts based on third-party quoted dealer values on the

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Notes to Consolidated Financial Statements

(Unaudited)

Interbank market, and forward contracts and options on forward contracts are classified in Level 2. The Partnership values corporate bonds at cost plus accrued interest, which approximates fair value. Corporate bonds purchased are of a high credit quality and have observable market price quotations. The fair value of corporate bonds is evaluated considering market price quotations of the issuer. Corporate bonds are classified in Level 2 of the fair value hierarchy. The Partnership believes that the carrying amounts of other assets and liabilities approximate the fair values of such items due to their short maturity or comparable interest rates and are classified as Level 1 of the fair value hierarchy.

The following table presents the Partnership’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of March 31, 2013:

Assets	Level 1			Level 2			Level 3		Total
Equity in brokers’ trading accounts
U.S. and foreign futures contracts	$	6,593,799		$	—		$	—	$	6,593,799
Forward contracts	—			(459,659		)	—		(459,659		)
Options on futures contracts	(1,731,000		)	—			—		(1,731,000		)
Options on forward contracts				25,250					25,250
Cash and cash equivalents
Bank deposits	—			1,501,264			—		1,501,264
U.S. Commercial paper	188,745,399						—		188,745,399
Securities owned
U.S. Commercial paper	40,077,590			—			—		40,077,590
U.S. Government-sponsored enterprises	228,751,272			—			—		228,751,272
Corporate bonds	—			70,439,496			—		70,439,496
Total	$	462,437,060		$	71,506,351		$	—	$	533,943,411

The gross presentation of the fair value of the Partnership’s derivatives by contract type is shown in Note 10. See the consolidated condensed schedule of investments for additional detail categorization.

The following table presents the Partnership’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of December 31, 2012:

Assets	Level 1		Level 2		Level 3		Total
Equity in brokers’ trading accounts
U.S. and foreign futures contracts	$	2,225,736	$	—	$	—	$	2,225,736
Forward contracts	—		1,444,845		—		1,444,845
Options on forward contracts	—		10,638		—		10,638
Cash and cash equivalents
Bank deposits	—		17,348,124		—		17,348,124
U.S. Commercial paper	183,847,222		—		—		183,847,222
Securities owned
U.S. Commercial paper	25,782,069		—		—		25,782,069
U.S. Government-sponsored enterprises	266,282,515		—		—		266,282,515
Corporate bonds	—		56,629,696		—		56,629,696
U.S. Government securities	9,985,550		—		—		9,985,550
Total	$	488,123,092	$	75,433,303	$	—	$	563,556,395

The Partnership assesses the level of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Partnership’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no significant transfers among Levels 1, 2 and 3 during the three months ended March 31, 2013 and year ended December 31, 2012.

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Note 3. Deposits with Brokers

The Partnership, through the Trading Companies, deposits assets with clearing brokers subject to CFTC regulations and various exchange and broker requirements. Margin requirements may be satisfied by the deposit of U.S. Treasury bills, Government-sponsored enterprise securities and/or cash with such clearing brokers. The Partnership earns interest income on its assets deposited with the clearing brokers.

Note 4. Commodity Trading Advisors

The Partnership, through the Trading Companies, allocates assets to the commodity trading advisors. Each Trading Company has entered into an advisory contract with its own Advisor. The commodity trading advisors are Alder Capital Limited, Amplitude Capital International Limited, Denali Asset Management, LLLP, EMC Capital Management, Inc., Eckhardt Trading Co., Lynx Asset Management AB, Quantica Capital AG, Quantitative Investment Management LLC, Rabar Market Research, Inc., Sunrise Capital Partners, LLC, Transtrend B.V. and Winton Capital Management Limited (collectively, the “Advisors”). The Advisors are paid a consulting fee, either monthly or quarterly, ranging from 0 percent to 2 percent per annum of the Partnership’s month-end allocated net assets and a quarterly or semi-annual incentive fee ranging from 20 percent to 26 percent of the new trading profits on the allocated net assets of the Advisor.

Note 5. General Partner and Related Party Transactions

The General Partner shall at all times, so long as it remains a general partner of the Partnership, own Units in the Partnership: (i) in an amount sufficient, in the opinion of counsel for the Partnership, for the Partnership to be taxed as a partnership rather than as an association taxable as a corporation; and (ii) during such time as the Units are registered for sale to the public, in an amount at least equal to the greater of: (a) 1 percent of all capital contributions of all Partners to the Partnership; or (b) $25,000; or such other amount satisfying the requirements then imposed by the North American Securities Administrators Association, Inc. (NASAA) Guidelines. Further, during such time as the Units are registered for sale to the public, the General Partner shall, so long as it remains a general partner of the Partnership, maintain a net worth (as such term may be defined in the NASAA Guidelines) at least equal to the greater of: (i) 5 percent of the total capital contributions of all partners and all limited partnerships to which it is a general partner (including the Partnership) plus 5 percent of the Units being offered for sale in the Partnership; or (ii) $50,000; or such other amount satisfying the requirements then imposed by the NASAA Guidelines. In no event, however, shall the General Partner be required to maintain a net worth in excess of $1,000,000 or such other maximum amount satisfying the requirements then imposed by the NASAA Guidelines.

Ten percent of the General Partner limited partnership interest in the Partnership is characterized as a general partnership interest. Notwithstanding, the general partnership interest will continue to pay all fees associated with a limited partnership interest.

The Partnership pays the General Partner a monthly brokerage commission, organization and offering costs and operating expenses as presented in the table below:

			Organization and Offering
	Brokerage commission*		Reimbursement*		Operating Expense*
Class A units	7.50	%	0.10	%	0.25	%
Class B units	7.95	%	0.30	%	0.25	%
Legacy 1 Class units	5.00	%	0.30	%	0.25	%
Legacy 2 Class units	5.25	%	0.30	%	0.25	%
Global 1 Class units	4.45	%	0.30	%	0.25	%
Global 2 Class units	4.70	%	0.30	%	0.25	%
Global 3 Class units	6.45	%	0.30	%	0.25	%

*The fees are calculated and payable monthly on the basis of month-end adjusted net assets. “Adjusted net assets” is defined as the month-end net assets of the particular class before accruals for fees and expenses and redemptions.

Included in the total brokerage commission are amounts paid to the clearing brokers for execution and clearing costs, which are reflected in the commissions line of the consolidated statements of operations, and the remaining amounts are management fees paid to the Advisors, compensation to the selling agents and an amount to the General Partner for management services rendered,

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Notes to Consolidated Financial Statements

(Unaudited)

which are reflected in the brokerage commission line on the consolidated statements of operations. The brokerage commission amount in the amount of $8,932,919 and $11,343,441 for three months ended March 31, 2013 and 2012, respectively, is shown on the consolidated statements of operations.

Ongoing organization and offering costs of the Partnership are paid for by the General Partner and reimbursed by the Partnership. The organization and offering costs in the amounts of $458,556 and $571,843 for the three months ended March 31, 2013 and 2012, respectively, are shown on the consolidated statement of operations.

Operating expenses of the Partnership are paid for by the General Partner and reimbursed by the Partnership. To the extent operating expenses are less than 0.25 percent of the Partnership’s average month-end net assets during the year, the difference may be reimbursed pro rata to record-holders as of December 31 of each year. The operating expenses in the amounts of $396,317 and $495,092 for the three months ended March 31, 2013 and 2012, respectively, are shown on the consolidated statement of operations.

Note 6. Subscriptions, Redemptions and Allocation of Net Income or Loss

Subscriptions received in advance, if any, represent cash received prior to March 31 for contributions of the subsequent month and do not participate in earnings of the Partnership until the following April.

In accordance with the Third Amended and Restated Limited Partnership Agreement, net income or loss of the Partnership is allocated to partners according to their respective interests in the Partnership as of the beginning of the month.

Class A, Class B, Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class Limited Partners have the right to redeem units as of any month-end upon ten (10) days’ prior written notice to the Partnership. The General Partner, however, may permit earlier redemptions in its discretion. Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class Limited Partners are prohibited from redeeming such units for the three months following the subscription for units. Global 3 Class Limited Partners who redeem their units after the three-month lock-up, but prior to the one-year anniversary of their subscriptions for the redeemed units, will pay the applicable early redemption fee. There are no redemption fees applicable to Legacy 1 Class, Legacy 2 Class, Global 1 Class and Global 2 Class Limited Partners or to Global 3 Class Limited Partners who redeem their units on or after the one-year anniversary of their subscription. Redemptions will be made as of the last day of the month for an amount equal to the net asset value per unit, as defined, represented by the units to be redeemed. The right to obtain redemption is also contingent upon the Partnership’s having property sufficient to discharge its liabilities on the redemption date and may be delayed if the General Partner determines that earlier liquidation of commodity interest positions to meet redemption payments would be detrimental to the Partnership or nonredeeming Limited Partners.

In addition, the General Partner may at any time cause the redemption of all or a portion of any Limited Partner’s units upon fifteen (15) days’ written notice. The General Partner may also immediately redeem any Limited Partner’s units without notice if the General Partner believes that (i) the redemption is necessary to avoid having the assets of the Partnership deemed Plan Assets under the Employee Retirement Income Security Act of 1974, as amended (“ERISA”), (ii) the Limited Partner made a misrepresentation in connection with its subscription for the units, or (iii) the redemption is necessary to avoid a violation of law by the Partnership or any Partner.

Note 7. Financial Highlights

The following financial highlights reflect activity related to the Partnership. Total return is based on the change in value during the period of a theoretical investment made by a limited partner at the beginning of each calendar month during the period and is not annualized. Individual limited partners’ ratios may vary from these ratios based on various factors, including but not limited to the timing of capital transactions.

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Notes to Consolidated Financial Statements

(Unaudited)

	Three Months Ended
	March 31,
	2013		2012

Total return — Class A Units	(0.23	)%	(1.43	)%
Total return — Class B Units	(0.38	)%	(1.59	)%
Total return — Legacy 1 Class Units	0.33	%	(0.87	)%
Total return — Legacy 2 Class Units	0.27	%	(0.93	)%
Total return — Global 1 Class Units	0.48	%	(0.64	)%
Total return — Global 2 Class Units	0.42	%	(0.70	)%
Total return — Global 3 Class Units	(0.01	)%	(1.14	)%
Ratios as a percentage of average net assets:
Expenses prior to incentive fees (1)	6.30	%	6.40	%
Incentive fees (2)	0.05	%	0.24	%
Total expenses	6.35	%	6.64	%
Net investment loss (1) (3)	(6.07	)%	(6.14	)%

(1) Annualized.

(2) Not annualized.

(3) Excludes incentive fee.

The expense ratios above are computed based upon the weighted average net assets of the Partnership for the three months ended March 31, 2013 and 2012 (annualized).

The following per unit performance calculations reflect activity related to the Partnership for the three months ended March 31, 2013 and 2012.

	Three Months Ended
	March 31,
Class A Units	2013			2012

Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	1,216.37		$	1,295.84
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	16.86			4.84
Expenses net of interest income*	(19.64		)	(23.36		)
Total income (loss) from operations	(2.78		)	(18.52		)
Net asset value per unit at end of period	$	1,213.59		$	1,277.32

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Notes to Consolidated Financial Statements

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	Three Months Ended
	March 31,
Class B Units	2013			2012

Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	1,024.97		$	1,099.04
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	14.20			4.27
Expenses net of interest income*	(18.10		)	(21.79		)
Total income (loss) from operations	(3.90		)	(17.52		)
Net asset value per unit at end of period	$	1,021.07		$	1,081.52

	Three Months Ended
	March 31,
Legacy 1 Class Units	2013			2012

Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	876.10		$	912.23
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	12.11			3.31
Expenses net of interest income*	(9.25		)	(11.22		)
Total income (loss) from operations	2.86			(7.91		)
Net asset value per unit at end of period	$	878.96		$	904.32

	Three Months Ended
	March 31,
Legacy 2 Class Units	2013			2012

Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	864.60		$	903.06
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	12.06			3.38
Expenses net of interest income*	(9.69		)	(11.74		)
Total income (loss) from operations	2.37			(8.36		)
Net asset value per unit at end of period	$	866.97		$	894.70

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

	Three Months Ended
	March 31,
Global 1 Class Units	2013			2012

Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	845.52		$	874.34
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	11.81			3.38
Expenses net of interest income*	(7.74		)	(8.95		)
Total income (loss) from operations	4.07			(5.57		)
Net asset value per unit at end of period	$	849.59		$	868.77

	Three Months Ended
	March 31,
Global 2 Class Units	2013			2012

Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	835.49		$	866.22
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	11.71			3.38
Expenses net of interest income*	(8.21		)	(9.46		)
Total income (loss) from operations	3.50			(6.08		)
Net asset value per unit at end of period	$	838.99		$	860.14

	Three Months Ended
	March 31,
Global 3 Class Units	2013			2012

Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	779.90		$	822.60
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	10.91			3.29
Expenses net of interest income*	(10.99		)	(12.66		)
Total income (loss) from operations	(0.08		)	(9.37		)
Net asset value per unit at end of period	$	779.82		$	813.23

* Expenses net of interest income per unit are calculated by dividing the expenses net of interest income by the average number of units outstanding during the period. The net realized and change in unrealized gain from trading is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Note 8. Trading Activities and Related Risks

The Partnership, through its Advisors, engages in the speculative trading of a variety of instruments, including U.S. and foreign futures contracts, options on U.S. and foreign futures contracts and forward contracts (collectively, derivatives; see Note 10). These derivatives include both financial and nonfinancial contracts held as part of a diversified trading strategy. Additionally, the Partnership’s speculative trading includes equities and exchange-traded funds. The Partnership is exposed to both market risk, the risk arising from changes in the market value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

The purchase and sale of futures and options on futures contracts require margin deposits with FCMs. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than the total of cash and other property deposited. The Partnership utilizes Jefferies Bache, LLC, R.J. O’Brien & Associates, LLC, UBS Securities LLC and Newedge USA LLC as its clearing brokers.

The amount of required margin and good faith deposits with the FCMs and interbank market makers usually ranges from 5% to 35% of the Partnership’s net asset value. The cash deposited with the FCMs and interbank market makers at March 31, 2013 and December 31, 2012 was $88,482,247 and $94,093,764, respectively, which was 14.7% and 14.8% of the net asset value, respectively.

For derivatives, risks arise from changes in the fair value of the contracts. Theoretically, the Partnership is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short. As both a buyer and seller of options, the Partnership pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid.

In addition to market risk, in entering into commodity interest contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Partnership. The counterparty for futures and options on futures contracts traded in the United States and on most non-U.S. futures exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases in which the clearinghouse is not backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions.

In the case of forward contracts, over-the-counter options contracts or swap contracts, which are traded on the interbank or other institutional market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a clearinghouse backed by a group of financial institutions; thus, there likely will be greater counterparty credit risk. The Partnership trades only with those counterparties that it believes to be creditworthy. All positions of the Partnership are valued each day on a mark-to-market basis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Partnership.

Securities sold short represent obligations of the Partnership to deliver specific securities and thereby create a liability to purchase these instruments in the open market at prevailing prices. These transactions may result in market risk not reflected in the consolidated statement of financial condition as the Partnership’s ultimate obligation to satisfy its obligation for trading liabilities may exceed the amount reflected in the consolidated statement of financial condition.

The Partnership maintains deposits with high quality financial institutions in amounts that are in excess of federally insured limits; however, the Partnership does not believe it is exposed to any significant credit risk.

The General Partner has established procedures to actively monitor and minimize market and credit risks. The limited partners bear the risk of loss only to the extent of the fair value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Note 9. Indemnifications

In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. The Partnership’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Partnership that have not yet occurred. The Partnership expects the risk of any future obligation under these indemnifications to be remote.

Note 10. Derivative Instruments

The Partnership follows the provisions of FASB ASC 815, Derivatives and Hedging. FASB ASC 815 is intended to improve transparency in financial reporting by requiring enhanced disclosures of an entity’s derivative instruments and hedging activities and their effects on the entity’s financial position, financial performance, and cash flows. FASB ASC 815 applies to all derivative instruments within the scope of FASB ASC 815-10-05. It also applies to non-derivative hedging instruments and all hedged items designated and qualifying as hedges under FASB ASC 815-10-05. FASB ASC 815 amends the current qualitative and quantitative disclosure requirements for derivative instruments and hedging activities set forth in FASB ASC 815-10-05 and generally increases the level of disaggregation that will be required in an entity’s financial statements. FASB ASC 815 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements (see Trading Activities and Related Risks, Note 8).

The Partnership’s business is speculative trading. The Partnership intends to close out all futures, options on futures and forward contracts prior to their expiration. The Partnership trades in futures and other commodity interest contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts, the Partnership faces the market risk that these contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. The Partnership minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 25%.

In addition to market risk, in entering into commodity interest contracts there is a credit risk that a counter party will not be able to meet its obligations to the Partnership. In general, clearing organizations are backed by the corporate members of the clearing organization who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases in which the clearing organization is not backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions.

In the case of forward contracts, over-the-counter options contracts or swap contracts, which are traded on the interbank or other institutional market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a central clearing organization backed by a group of financial institutions. As a result, there will likely be greater counterparty credit risk in these transactions. The Partnership trades only with those counterparties that it believes to be creditworthy. Nonetheless, the clearing member, clearing organization or other counterparty to these transactions may not be able to meet its obligations to the Partnership, in which case the Partnership could suffer significant losses on these contracts.

The Partnership does not designate any derivative instruments as hedging instruments under FASB ASC 815-10-05. The monthly average futures contracts, forward contracts and options on futures contracts bought and sold was approximately 6,989 and 7,452 for the three months ended March 31, 2013 and 2012, respectively. The following tables summarize the quantitative information required by FASB ASC 815:

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Fair Values of Derivative Instruments March 31, 2013 and December 31, 2012

	Asset		Liability
	Derivatives*		Derivatives*
	3/31/2013		3/31/2013			Fair Value

Agricultural contracts	$	759,836	$	(2,573,786	)	$	(1,813,950	)
Currencies contracts	4,575,507		(5,368,190		)	(792,683		)
Energy contracts	1,485,735		(508,401		)	977,334
Interest rates contracts	6,619,077		(1,294,857		)	5,324,220
Meats contracts	100,979		(191,103		)	(90,124		)
Metals contracts	7,092,175		(7,820,604		)	(728,429		)
Soft commodities contracts	1,443,706		(202,171		)	1,241,535
Stock indices contracts	3,410,375		(3,099,888		)	310,487

	$	25,487,390	$	(21,059,000	)	$	4,428,390

* The fair values of all asset and liability derivatives, including agriculturals, currencies, energy, interest rates, meats, metals, soft commodities and stock indices contracts, are included in unrealized gain (loss) on open contracts within equity in broker trading accounts in the consolidated statement of financial condition.

	Asset		Liability
	Derivatives*		Derivatives*
	12/31/2012		12/31/2012			Fair Value

Agricultural contracts	$	1,010,073	$	(846,892	)	$	163,181
Currencies contracts	12,045,469		(7,703,776		)	4,341,693
Energy contracts	1,028,505		(400,364		)	628,141
Interest rates contracts	2,816,093		(2,237,432		)	578,661
Meats contracts	11,264		(73,450		)	(62,186		)
Metals contracts	4,252,379		(6,777,973		)	(2,525,594		)
Soft commodities contracts	745,230		(333,162		)	412,068
Stock indices contracts	2,679,422		(2,534,167		)	145,255

	$	24,588,435	$	(20,907,216	)	$	3,681,219

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

The Effect of Derivative Instruments on the Consolidated Statement of Operations for the Three Months Ended March 31, 2013 and 2012

	Three Months Ended			Three Months Ended
Type of Contract	March 31, 2013*			March 31, 2012*

Agriculturals contracts	$	(2,751,148	)	$	(3,640,157	)
Currencies contracts	5,269,387			(15,310,478		)
Energy contracts	(3,339,691		)	16,483,097
Interest rates contracts	(5,876,256		)	(15,994,930		)
Meats contracts	29,509			104,952
Metals contracts	(1,319,442		)	(5,715,264		)
Soft commodities contracts	2,340,443			(798,746		)
Stock indices	16,627,557			31,023,526

	$	10,980,359		$	6,152,000

* The gains or losses on derivatives, including agriculturals, currencies, energy, interest rates, meats, metals, soft commodities and stock indices contracts are included in the realized and change in unrealized gains (loss) from futures and forward trading in the consolidated statement of operations.

Line Item in Consolidated Statement of	Three Months Ended
Operations	March 31, 2013		March 31, 2012

Net gain (loss) from futures and forward trading Realized	$	8,506,968	$	13,792,108
Change in unrealized	2,473,391		(7,640,108		)
Total realized and changed in unrealized net gain (loss) from futures and forward trading	$	10,980,359	$	6,152,000

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

The gross amounts of recognized derivative assets and gross amounts offset in the accompanying Consolidated Statements of Financial Condition were as follows:

	Assets
	March 31,			December 31,
	2013			2012

Gross amounts recognized:
Agricultural contracts	$	759,836		$	1,010,073
Currencies contracts	4,575,507			12,045,469
Energy contracts	1,485,735			1,028,505
Interest rates contracts	6,619,077			2,816,093
Meats contracts	100,979			11,264
Metals contracts	7,092,175			4,252,379
Soft commodities contracts	1,443,706			745,230
Stock Indices	3,410,375			2,679,422
	$	25,487,390		$	24,588,435

Gross amounts offset:
Agricultural contracts	$	(2,573,786	)	$	(846,892	)
Currencies contracts	(5,368,190		)	(7,703,776		)
Energy contracts	(508,401		)	(400,364		)
Interest rates contracts	(1,294,857		)	(2,237,432		)
Meats contracts	(191,103		)	(73,450		)
Metals contracts	(7,820,604		)	(6,777,973		)
Soft commodities contracts	(202,171		)	(333,162		)
Stock Indices	(3,099,888		)	(2,534,167		)
	$	(21,059,000	)	$	(20,907,216	)

Net amounts presented in Consolidated Statements of Financial Condition:
Agricultural contracts	$	(1,813,950	)	$	163,181
Currencies contracts	(792,683		)	4,341,693
Energy contracts	977,334			628,141
Interest rates contracts	5,324,220			578,661
Meats contracts	(90,124		)	(62,186		)
Metals contracts	(728,429		)	(2,525,594		)
Soft commodities contracts	1,241,535			412,068
Stock Indices	310,487			145,255
	$	4,428,390		$	3,681,219

Note 11. Subsequent Events

The Partnership has evaluated subsequent events for potential recognition and/or disclosure. Subsequent to March 31, 2013, there were contributions and redemptions totaling approximately $5,687,000 and $14,051,000, respectively.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Introduction

Grant Park is a multi-advisor commodity pool organized to pool assets of its investors for the purpose of trading in the U.S. and international spot and derivatives markets for currencies, interest rates, stock indices, agricultural and energy products, precious and base metals and other commodities and underlies. The Partnership also engages in equity securities, listed options, broad-based exchange traded funds, hedge, arbitrage and cash trading of commodities and futures. Grant Park has been in continuous operation since it commenced trading on January 1, 1989. Grant Park’s general partner, commodity pool operator and sponsor is Dearborn Capital Management, L.L.C., an Illinois limited liability company. The manager of Dearborn Capital Management, L.L.C. is David M. Kavanagh, its President.

Organization of Grant Park

Grant Park invests through different commodity trading advisors retained by the general partner. However, instead of each trading advisor maintaining a separate account in the name of Grant Park, the assets of Grant Park are invested in various Trading Companies, each of which is organized as a limited liability company. Each Trading Company allocates those assets to one of the commodity trading advisors retained by the general partner. The following is a list of the Trading Companies, for which Grant Park is the sole member and all of which were organized as Delaware limited liability companies:

GP 1, LLC (“GP 1”)	GP 6, LLC (“GP 6”)	GP 10, LLC (“GP 10”)	GP 15, LLC (“GP 15”)
GP 3, LLC (“GP 3”)	GP 7, LLC (“GP 7”)	GP 11, LLC (“GP 11”)	GP 16, LLC (“GP 16”)
GP 4, LLC (“GP 4”)	GP 8, LLC (“GP 8”)	GP 12, LLC (“GP 12”)	GP 17, LLC (“GP 17”)
GP 5, LLC (“GP 5”)	GP 9, LLC (“GP 9”)	GP 14, LLC (“GP 14”)	GP 18, LLC (“GP 18”)

There were no assets allocated to GP 5, GP 6, GP 10 or GP 11 as of March 31, 2013.

Grant Park invests through the Trading Companies with independent professional commodity trading advisors retained by the general partner. Alder, Amplitude, Denali, EMC, ETC, Lynx, Quantica, QIM, Rabar, Sunrise, Transtrend and Winton serve as Grant Park’s commodity trading advisors. Each of the trading advisors is registered as a commodity trading advisor under the Commodity Exchange Act and is a member of the NFA. As of March 31, 2013, the general partner allocated between 5% to 20% of Grant Park’s net assets through the respective Trading Companies among its trading advisors Alder, Amplitude, Denali, EMC, ETC, Lynx, Quantica, QIM, Rabar, Sunrise, Transtrend and Winton. No more than twenty percent of Grant Park’s assets are allocated to any one Trading Company and, in turn, any one trading advisor. The general partner may terminate or replace the trading advisors or retain additional trading advisors in its sole discretion.

The table below illustrates the trading advisors for each class of Grant Park’s outstanding limited partnership units as of March 31, 2013:

Alder

Amplitude

Denali

EMC

ETC

Lynx

Quantica

QIM

Rabar

Sunrise

Transtrend

Winton

Class A

Class B

Legacy 1

Legacy 2

Global 1

Global 2

Global 3

The trading advisors for the Legacy 1 Class and Legacy 2 Class units pursue a technical trend trading philosophy, which is the same trading philosophy the trading advisors have historically used for the Class A and Class B units. The trading advisors for the Global 1 Class, Global 2 Class and Global 3 Class units pursue technical trend trading philosophies, as well as pattern recognition.

The general partner may, in its sole discretion, reallocate assets among the trading advisors upon termination of a trading advisor or retention of any new trading advisors, or at the commencement of any month.

Critical Accounting Policies

Grant Park’s most significant accounting policy is the valuation of its assets invested in U.S. and international futures and forward contracts, options contracts, other interests in commodities, and fixed income products. The majority of these investments are exchange-traded contracts, valued based upon exchange settlement prices. The remainder of its investments are non-exchange-traded contracts with valuation of those investments based on third-party quoted dealer values on the Interbank market and fixed income products, including securities of U.S. Government-sponsored enterprises, corporate bonds and commercial paper, which are stated at cost plus accrued interest, which approximates fair value based on quoted market prices in an active market. With the valuation of the

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investments easily obtained, there is little or no judgment or uncertainty involved in the valuation of investments, and accordingly, it is unlikely that materially different amounts would be reported under different conditions using different but reasonably plausible assumptions.

The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. Grant Park’s significant accounting policies are described in detail in Note 1 of the consolidated financial statements.

Grant Park is the sole member of each of the Trading Companies. The Trading Companies, in turn, are the only members of GP Cash Management, LLC. Grant Park presents consolidated financial statements which include the accounts of the Trading Companies and GP Cash Management, LLC. All material inter-company accounts and transactions are eliminated in consolidation.

Valuation of Financial Instruments

Grant Park follows the provisions of FASB ASC 820, Fair Value Measurements and Disclosures. FASB ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurement and also emphasizes that fair value is a market-based measurement, not an entity-specific measurement. Grant Park records all investments at fair value in the financial statements. Changes in fair value from the prior period are recorded as unrealized gain or losses and are reported in the consolidated statement of operations. Fair value of exchange-traded futures contracts and options on futures contracts are based upon exchange settlement prices. U.S. Government securities, securities of U.S. Government-sponsored enterprises, corporate bonds and commercial paper are stated at cost plus accrued interest, which approximates fair value based on quoted market prices in an active market. Grant Park values bank deposits at face value plus accrued interest, which approximates fair value. Grant Park values forward contracts based on third-party quoted dealer values on the Interbank market.

Results of Operations

Grant Park’s returns, which are Grant Park’s trading gains plus interest income less brokerage fees, performance fees, operating costs and offering costs borne by Grant Park, for the three months ended March 31, 2013 and 2012, are set forth in the table below:

	Three Months Ended
	March 31,
	2013		2012
Total return — Class A Units	(0.23	)%	(1.43	)%
Total return — Class B Units	(0.38	)%	(1.59	)%
Total return — Legacy 1 Class Units	0.33	%	(0.87	)%
Total return — Legacy 2 Class Units	0.27	%	(0.93	)%
Total return — Global 1 Class Units	0.48	%	(0.64	)%
Total return — Global 2 Class Units	0.42	%	(0.70	)%
Total return — Global 3 Class Units	(0.01	)%	(1.14	)%

Grant Park’s total net asset value at March 31, 2013 was approximately $603.6 million, at December 31, 2012 was approximately $636.7 million and at March 31, 2012 was approximately $744.3 million. Results from past periods are not indicative of results that may be expected for any future period.

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The table below sets forth Grant Park’s trading gains or losses by sector for the three months ended March 31, 2013 and 2012.

	% Gain (Loss)
	Three Months Ended
	March 31,
	2013		2012
Agriculturals	(0.5	)%	(0.5	)%
Currencies	0.9		(2.1	)
Energy	(0.6	)	2.2
Interest rates	(1.0	)	(2.1	)
Meats	—		—
Metals	(0.2	)	(0.8	)
Soft commodities	0.4		(0.1	)
Stock indices	2.8		4.2
	1.8	%	0.8	%

Three months ended March 31, 2013 compared to three months ended March 31, 2012

For the three months ended March 31, 2013, Grant Park had a negative return of approximately 0.2% for the Class A units, a negative return of approximately 0.4% for the Class B units, a positive return of approximately 0.3% for the Legacy 1 Class units, a positive return of approximately 0.3% for the Legacy 2 Class units, a positive return of approximately 0.5% for the Global 1 Class units, a positive return of approximately 0.4% for the Global 2 Class units and negative return of approximately 0.0% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading gains of approximately 1.8%, which were further increased by gains of approximately 0.1% from interest income. These trading gains were decreased by approximately 2.1% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park. For the same period in 2012, Grant Park had a negative return of approximately 1.4% for the Class A units, a negative return of approximately 1.6% for the Class B units, a negative return of approximately 0.9% for the Legacy 1 Class units, a negative return of approximately 0.9% for the Legacy 2 Class units, a negative return of approximately 0.6% for the Global 1 Class units, a negative return of approximately 0.7% for the Global 2 Class units and a negative return of approximately 1.1% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading gains of approximately 0.8%, which were further increased by gains of approximately 0.1% from interest income. These trading gains were decreased by approximately 2.3% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park.

Three months ended March 31, 2013

Natural gas prices rose more than 20% — reaching an 18-month high — because of a combination of depressed inventories and increased demand fostered by sustained cold weather in the U.S. Crude oil prices gained as investors grew optimistic about the U.S. economy due to strong gains in the S&P 500.

Strong global supplies in the sugar markets caused prices to fall 9% in the first quarter. Reports which showed record yields for farmers in Brazil, the U.S., and Mexico in 2012 were the main driver behind price declines. Wheat prices dropped by more than 11% due to strong yield forecasts and reduced grains demand from livestock producers.

Gold and silver markets fell more than 4%, under pressure from an improved U.S. economic outlook and comments from the U.S. Federal Reserve which supported the potential end of its bond-buying program by 2014. Base metals markets fell sharply due to renewed concerns surrounding the Eurozone prompted by weak economic indicators form the region.

The Japanese yen fell as the Bank of Japan continued its aggressive monetary easing as a means to depreciate the yen. The U.S. dollar rallied against counterparts because of comments from the Federal Reserve which cited increased support among the regional governors to end bond-buying prior to year-end.

The S&P 500 gained 10% in the first quarter due to optimism surrounding the strength of the U.S. economic recovery. The Japanse Nikkei 225 gained nearly 20% as a result of strength in their export sector caused by the materially weaker Japanese yen.

U.S. and German fixed-income markets finished near flat in the first quarter due to conflicting sentiment surrounding the global markets. Fixed-income markets came under pressure as an improved economic outlook for the U.S. spurred liquidations. Downtrends were nearly offset however, as economic and political concerns surrounding Cyprus and Italy supported safe-haven demand. In Asia, Japanese government bond prices rose after the country’s central bank signaled increased purchasing of long-term debt.

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Key trading developments for Grant Park during the first three months of 2013 included the following:

January. Grant Park recorded gains during the month. Class A units were up 1.47%, Class B units were up 1.42%, Legacy 1 Class units were up 1.66%, Legacy 2 Class units were up 1.64%, Global 1 Class units were up 1.69%, Global 2 Class units were up 1.67% and Global 3 Class units were up 1.53%. The Japanese yen continued to depreciate as Prime Minister Abe announced plans to pursue aggressive monetary expansion. In the process, the yen fell to a 30-month low against the U.S. dollar and a 21-month low against the euro. Reports indicating increased economic confidence in the Eurozone also helped to push the euro to its highest point against the U.S. dollar since December 2011. Crude oil markets rallied over 6%, to a new four-month high following an unexpected drop in inventories. Gasoline Blendstock markets also rose, driven higher by scheduled refinery maintenance in the Gulf of Mexico and constricted supplies in New York Harbor. The Japanese Nikkei 225 extended a 12-week winning streak and ended the month with a gain of nearly 7%. A materially weaker yen and optimism for recovering export industries in Japan fostered investor confidence and drove the rally. The S&P 500 Index passed 1,500 for the first time in five years as it gained over 5% in January. Upward price action near month-end was driven by the release of better-than-expected earnings reports. German Bund markets fell on news European banks plan to pay off €137 billion in bailout loans. Strong demand at an Italian 5 and 10-year bond auction added to downward pressure on Bund markets. Corn and soybean prices rallied over 6% and 3%, respectively, due to speculative buying in reaction to the possibility of continued drought conditions in Argentina and Brazil. In the foods markets, sugar prices fell in January because of stronger-than-expected global supply forecasts. Silver markets gained as investors sought to hedge against inflation and currency debasement as the U.S., China and Japan announced plans of sustained economic stimulus. Base metals rallied towards the end of the month as investors began to speculate that the U.S. and China were going to release positive economic data in the beginning of February.

February. Grant Park recorded losses during the month. Class A units were down 2.86%, Class B units were down 2.91%, Legacy 1 Class units were down 2.68%, Legacy 2 Class units were down 2.70%, Global 1 Class units were down 2.63%, Global 2 Class units were down 2.65% and Global 3 Class units were down 2.79%. The Japanese yen continued to depreciate as the Japanese Prime Minister Abe continues a program of sustained monetary stimulus in hopes of aiding Japan’s ailing export industries. Political uncertainty in Italy and the U.S. put downward pressure on the euro, which fell by nearly 4%. Crude oil markets declined in excess of 5% because of growing inventories, a struggling Italian economy, and on positive rhetoric out of Iran regarding its relations with the West. Natural gas markets rallied more than 4% as sustained cold weather in the U.S. and falling inventories supported increased prices. Revised 4Q 2012 GDP figures showed the U.S. economy expanded slightly, as opposed to earlier reports of contraction. This increased investor risk appetite and helped the S&P 500 advance by more than 1%. The Nikkei 225 continued to advance, gaining over 3% for the month as a weakening yen supported Japanese export industries. Italian bond yields soared after national elections did not produce a clear majority in the upper house. The resulting political gridlock added to the uncertainty regarding the bailout conditions outlined by the European Central Bank last fall. As a result, investors fled to German bond markets, which drove Bund prices up by 2%. Falling exports, a positive outlook regarding crop yields, and decreasing demand for ethanol caused corn prices to fall more than 2%. Wheat prices plummeted more than 9% as persistent precipitation in wheat-producing states eased concerns about crop-growing conditions. Gold prices declined by 5% as optimism regarding the global economic recovery gave hedge fund investors enough confidence to liquidate gold positions in favor of stocks. Copper prices fell by more than 5% as a result of reduced industrial demand.

March. Grant Park recorded gains during the month. Class A units were up 1.22%, Class B units were up 1.17%, Legacy 1 Class units were up 1.40%, Legacy 2 Class units were up 1.39%, Global 1 Class units were up 1.47%, Global 2 Class units were up 1.45% and Global 3 Class units were up 1.30%. The Australian dollar strengthened against counterparts as bullish economic indicators reduced the likelihood of further quantitative easing by the Reserve Bank of Australia. The Japanese yen sustained its downward trend as the Bank of Japan continued to ease monetary policy and depreciate the currency. Crude oil markets advanced over 5% as signs of a stronger economy in the U.S. and record-high stock markets fueled prices. Natural gas prices rose more than 15% because of sustained cold weather across the U.S. Positive news regarding the U.S. economy and improved investor sentiment drove the S&P 500 to record highs. Bullish U.S. housing data also supported higher share prices. Conversely, European equity markets fell on concerns the ongoing political and financial instability in Italy and Cyprus would slow the economic recovery in the Eurozone. German Bund markets rose as investors sought safe-haven assets after European policymakers failed to make progress in Cyprus. The price of ten-year U.S. Treasury Notes fell modestly, pressured by positive U.S. housing and manufacturing data. Sugar markets fell to their lowest levels in nearly three years as forecasts for record Brazilian crop yields weighed heavily on prices. Corn, wheat, and soybean markets experienced declines after the U.S. Department of Agriculture raised supply estimates. Copper prices fell over 3% as speculators believed the European banking crisis would further depress industrial demand in the Eurozone. Precious metals markets rallied as expectations of further quantitative easing in the U.S. and Europe fueled demand for gold and silver as a means to hedge against inflation.

Three months ended March 31, 2012

Natural gas markets fell nearly 30% in the first quarter as U.S. Energy Information Administration reports showed steady increases to already elevated domestic inventory levels. Reduced demand for natural gas caused by temperate climates across the U.S.

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also put pressure on prices. Crude oil experienced modest declines due to speculation U.S. officials were considering tapping strategic oil reserves.

Soybean markets rallied sharply due to droughts in key South American farming regions and news of an agriculture trade agreement between the U.S. and China. Sugar markets rose because of reports showing export delays and depressed production in Brazil.

Gold and silver markets moved higher as concerns surrounding the debt markets of Spain and Portugal and continued tensions between Iran and the West caused a surge in safe-haven demand. Base metals also strengthened due to China’s decision to ease lending policies. Hope that strength in the equity markets would drive long-term industrial demand higher helped boost base metals prices as well.

The euro finished stronger, holding onto early-quarter gains stemming from the announcement of the new Greek debt deal and bullish consumer confidence and manufacturing data from Germany. The Swiss franc also moved higher against counterparts following reports showing the largest jump in consumer confidence seen since early 2011. The Japanese yen weakened sharply due to data showing the current account surplus had fallen to a 15-year low and speculation of further monetary easing by the Bank of Japan.

The Japanese Nikkei 225 index rose nearly 20% as investors believed the sharp weakening of the yen would bode well for the nation’s export industries. North American and European equity prices also moved higher, propelled by bullish economic indicators and hope that Greece would be able to recover from its recent debt crisis following the announcement of the new debt-restructuring plan.

U.S. Treasury markets declined from recent highs as investors shifted their focus toward riskier assets. The German bund market only posted modest declines as the bearish effect of reduced safe-haven demand was nearly offset by increased bund demand caused by Moody’s Investor Services’ debt downgrading of several smaller European nations.

Key trading developments for Grant Park during the first three months of 2012 included the following:

January. Grant Park recorded gains and losses during the month. Class A units were down 0.00%, Class B units were down 0.06%, Legacy 1 Class units were up 0.18%, Legacy 2 Class units were up 0.17%, Global 1 Class units were up 0.39%, Global 2 Class units were up 0.37% and Global 3 Class units were up 0.22%. European currencies generally rose against the U.S. dollar, following bullish news that the region’s financial outlook may be improving. The euro strengthened following news that the International Monetary Fund was considering increasing aid to smaller European nations. The Swiss franc also posted gains following a jump in investor confidence, which was the largest since the second quarter of 2011. The combination of unusually warm weather and increased supplies drove natural gas prices nearly 15% lower for the month. Crude oil markets posted modest gains due to ongoing supply concerns stemming from tension surrounding Iran. In Asia, speculators drove Japanese equity markets higher on beliefs the Chinese government might stimulate the nation’s economy in response to data which showed decreasing inflation. North American equity markets also moved higher, supported by bullish domestic housing and manufacturing data and strong earnings reports by several key U.S. firms. European equity markets rose as investors believed Greece and its creditors were nearing an agreement on a new debt restructuring deal. In the U.S. fixed-income markets, there was a sharp increase in demand for safe-haven assets after Standard & Poor’s downgraded French debt. Reports which showed weaker-than-expected GDP growth data for the U.S. also prompted buying in the debt markets, which drove prices higher. Corn prices fell nearly 2% after recent supply concerns eased due to improved weather conditions in South America. Wheat prices also declined, driven lower by U.S. Department of Agriculture reports which showed an upward revision to 2012 harvest estimates. In the livestock markets, increased buying by large commodity funds led to gains in the lean hogs and live cattle markets. Concerns surrounding the Eurozone economy and tensions between Iran and the West caused an increase in demand for safe-haven assets, which drove gold and silver prices higher. Investors increased buying in an attempt to hedge against U.S inflation, which also played a role in driving precious metals prices higher. Base metals prices also moved higher due to an improved growth outlook for China and beliefs that the strength in the global equity markets will foster industrial demand.

February. Grant Park recorded gains during the month. Class A units were up 0.80%, Class B units were up 0.75%, Legacy 1 Class units were up 1.00%, Legacy 2 Class units were up 0.98%, Global 1 Class units were up 0.96%, Global 2 Class units were up 0.94% and Global 3 Class units were up 0.79%. The euro and Swiss franc posted strong gains against counterparts following the announcement of the new Greek debt plan. Rising consumer confidence in Germany also boded well for the euro and franc. The Japanese yen weakened sharply following reports the nation’s current account surplus had fallen to a 15-year low and on speculation of further monetary easing by the Bank of Japan. Crude oil prices rallied nearly 10% due to potential supply concerns stemming from ongoing tensions between Iran and Western nations. U.S. Energy Information Administration Reports showing increased petroleum byproduct production supported crude oil prices. Natural gas markets moved lower following decreased heating demand caused by this winter’s abnormally warm weather. U.S. equity markets moved higher to levels unseen since pre-2008 due to optimistic economic

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data and strong earnings reports from key U.S. firms. European and Asian markets moved higher as well, fueled by optimism surrounding Greece and strong industrial production data from the UK, Germany, and China. Positive economic data and an overall positive outlook for the Eurozone weighed on the global debt markets, moving prices lower. Moody’s Investors Service downgraded several European nations near month-end, which had a bullish impact on the Bund markets and nearly offset early-month losses. Soybean prices rose after the release of strong U.S. grains export data and news the Chinese and U.S. governments had agreed to cooperate on farm trade. Wheat markets registered profits because of reports the Russian government was contemplating another grain export tax. Reports which showed depressed agriculture production in Brazil had a bullish effect on the sugar markets and drove prices over 12% higher. Precious metals posted gains due to a surge in safe-haven buying amidst tensions regarding the Iranian nuclear program. Speculation the U.S. government may begin another round of stimulus activity also added to precious metals profits. Base metals markets moved higher due to the Chinese government’s decision to ease lending policies and on the belief the signed Greek debt deal would help the ailing Eurozone economy.

March. Grant Park recorded losses during the month. Class A units were down 2.21%, Class B units were down 2.27%, Legacy 1 Class units were down 2.03%, Legacy 2 Class units were down 2.04%, Global 1 Class units were down 1.97%, Global 2 Class units were down 1.99% and Global 3 Class units were down 2.13%. The Japanese yen declined sharply as investors believed the Bank of Japan was considering new economic stimulus initiatives. The Swiss franc strengthened against international counterparts due to reports which showed an upward revision to recent economic growth data. The U.S. dollar also posted gains as investors moved their focus to the U.S. markets amidst growing concerns regarding the Eurozone debt markets. Natural gas prices declined nearly 19% in March as steadily rising domestic inventories and mild temperatures across the U.S. put pressure on prices. Crude oil markets fell due to speculation U.S. officials were considering tapping emergency oil reserves. Decreased demand from China for crude oil also weighed on prices. North American equity markets rallied due to bullish economic data in the U.S. and strong earnings forecasts for the first quarter. Japanese equity indices rose to levels unseen since last year’s devastating earthquake due to strong forecasts for the nation’s export industries stemming from yen weakness. German Bund prices declined because of early-month optimism surrounding the new Greek debt deal. U.S. Treasury markets also experienced setbacks as rallies in the equity markets and bullish intramonth economic indicators put pressure on demand for safe-haven assets. Soybean prices moved higher due to increased demand for U.S. crops after severe droughts in South America impacted supplies. Corn and wheat markets moved lower as favorable weather conditions in key U.S. farming regions lifted supply forecasts. Sugar prices also declined due to speculation global supplies could begin to outpace demand. Precious metals markets fell due to a decrease in safe-haven demand fostered by bullish economic data in the U.S. Base metal markets declined as renewed Eurozone debt concerns, stemming from troubling reports in Spain and Portugal, weighed heavily on industrial demand forecasts.

Capital Resources

Grant Park plans to raise additional capital only through the sale of units pursuant to the continuous offering and does not intend to raise any capital through borrowing. Due to the nature of Grant Park’s business, it does not make any capital expenditures and does not have any capital assets that are not operating capital or assets.

Grant Park maintains 65% to 95% of its net asset value in cash, cash equivalents or other liquid positions over and above that needed to post as collateral for trading. These funds are available to meet redemptions each month.

Liquidity

Most U.S. futures exchanges limit fluctuations in some futures and options contract prices during a single day by regulations referred to as daily price fluctuation limits or daily limits. During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent Grant Park from promptly liquidating unfavorable positions and subject Grant Park to substantial losses that could exceed the margin initially committed to those trades. In addition, even if futures or options prices do not move to the daily limit, Grant Park may not be able to execute trades at favorable prices, if little trading in the contracts is taking place. Other than these limitations on liquidity, which are inherent in Grant Park’s futures and options trading operations, Grant Park’s assets are expected to be highly liquid.

A portion of each Trading Company’s assets is used as margin to support its trading. Margin requirements are satisfied by the deposit of U.S. Treasury bills, obligations of Government-sponsored enterprises and/or cash with brokers subject to CFTC regulations and various exchange and broker requirements.

Grant Park maintains a portion of its assets at its clearing brokers as well as at Lake Forest Bank & Trust Company. These assets, which may range from 5% to 35% of Grant Park’s value, are held in cash, U.S. Treasury securities, commercial paper and/or securities of Government-sponsored enterprises. The balance of Grant Park’s assets, which range from 65% to 95%, are invested in

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investment grade money market instruments purchased and managed by Middleton Dickinson Capital Management, LLC which are held in a separate, segregated account at State Street Bank and Trust Company. Violent fluctuations in prevailing interest rates or changes in other economic conditions could cause mark-to-market losses on Grant Park’s cash management income.

Off-Balance Sheet Risk

Off-balance sheet risk refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. Grant Park trades in futures and other commodity interest contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts, Grant Park faces the market risk that these contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the commodity interest positions of Grant Park at the same time, and if Grant Park were unable to offset positions, Grant Park could lose all of its assets and the limited partners would realize a 100% loss. Grant Park minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 25%. All positions of Grant Park are valued each day on a mark-to-market basis.

In addition to market risk, when entering into commodity interest contracts there is a credit risk that counterparty will not be able to meet its obligations to Grant Park. The counterparty for futures and options on futures contracts traded in the United States and on most non-U.S. futures exchanges is the clearing organization associated with such exchange. In general, clearing organizations are backed by the corporate members of the clearing organization who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk.

In cases where the clearing organization is not backed by the clearing members, like some non- U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions.

In the case of forward contracts, over-the-counter options contracts or swap contracts, which are traded on the interbank or other institutional market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a central clearing organization backed by a group of financial institutions. As a result, there likely will be greater counterparty credit risk in these transactions. Grant Park trades only with those counterparties that it believes to be creditworthy. Nonetheless, the clearing member, clearing organization or other counterparty to these transactions may not be able to meet its obligations to Grant Park, in which case Grant Park could suffer significant losses on these contracts.

In the normal course of business, Grant Park enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. Grant Park’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against Grant Park that have not yet occurred. Grant Park expects the risk of any future obligation under these indemnifications to be remote.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Introduction

Grant Park is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount of Grant Park’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to Grant Park’s business.

Market movements result in frequent changes in the fair market value of Grant Park’s open positions and, consequently, in its earnings and cash flow. Grant Park’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, market prices for base and precious metals, energy complexes and other commodities, the diversification effects among Grant Park’s open positions and the liquidity of the markets in which it trades.

Grant Park rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance. Erratic, choppy, sideways trading markets and sharp reversals in movements can materially and adversely affect Grant Park’s results. Likewise, markets in which a potential price trend may start to develop but reverses before an actual trend is realized may result in unprofitable transactions. Grant Park’s past performance is not necessarily indicative of its future results.

Materiality, as used in this section, is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, and multiplier features of Grant Park’s market sensitive

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instruments.

The following quantitative and qualitative disclosures regarding Grant Park’s market risk exposures contain forward-looking statements within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative and qualitative disclosures in this section are deemed to be forward-looking statements, except for statements of historical fact and descriptions of how Grant Park manages its risk exposure. Grant Park’s primary market risk exposures, as well as the strategies used and to be used by its trading advisors for managing such exposures, are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of Grant Park’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of Grant Park. Grant Park’s current market exposure and/or risk management strategies may not be effective in either the short-or long-term and may change materially.

Quantitative Market Risk

Grant Park’s approximate risk exposure in the various market sectors traded by its trading advisors is quantified below in terms of Value at Risk (VaR). Due to Grant Park’s mark-to-market accounting, any loss in the fair value of Grant Park’s open positions is directly reflected in Grant Park’s earnings, realized or unrealized.

Grant Park uses an Aggregate Returns Volatility method to calculate VaR for the portfolio. The method consists of creating a historical price time series for each instrument or its proxy instrument for the past 200 days, and then measuring the standard deviation of that return history. Then, using a normal distribution (normal distribution curve has a mean of zero and a standard deviation of one), the standard deviation measurement is scaled up in order to achieve a result in line with the 95% degree of confidence, which corresponds to a scaling factor of approximately 1.645 times of standard deviations.

The VaR for each market sector represents the one day risk of loss for the aggregate exposures associated with that sector. The current methodology used to calculate VaR represents the VaR of Grant Park’s open positions across all market sectors and is less than the sum of the VaR of the individual market sectors due to the diversification benefit across all market sectors combined.

Grant Park’s VaR methodology and computation is based on the underlying risk of each contract or instrument in the portfolio and does not distinguish between exchange and non-exchange traded contracts. It is also not based on exchange maintenance margin requirements. VaR does not typically represent the worst case outcome.

VaR is a measure of the maximum amount that Grant Park could reasonably be expected to lose in a given market sector in a given day; however, VaR does not typically represent the worst case outcome. The inherent uncertainty of Grant Park’s speculative trading and the recurrence in the markets traded by Grant Park of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated value at risk or Grant Park’s experience to date. This risk is often referred to as the risk of ruin. In light of the preceding information, as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that Grant Park’s losses in any market sector will be limited to VaR or by Grant Park’s attempts to manage its market risk. VaR models, including Grant Park’s, are continually evolving as trading portfolios become more diverse and modeling systems and techniques continue to evolve. Moreover, value at risk may be defined differently as used by other commodity pools or in other contexts.

The composition of Grant Park’s trading portfolio, based on the nature of its business of speculative trading of futures, forwards and options, can change significantly, over any period of time, including a single day of trading. These changes can positively or negatively have a positive or negative material impact on the market risk as measured by VaR.

Value at Risk by Market Sectors

The following tables indicate the trading value at risk associated with Grant Park’s open positions by market category as of March 31, 2013 and December 31, 2012 and the trading gains/losses by market category for the three months ended March 31, 2013 and the year ended December 31, 2012. All open position trading risk exposures of Grant Park have been included in calculating the figures set forth below. As of March 31, 2013, Grant Park’s net asset value was approximately $603.6 million. As of December 31, 2012, Grant Park’s net asset value was approximately $636.7 million.

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	March 31, 2013
Market Sector	Value at Risk*		Trading Gain/(Loss)

Interest rates	0.5	%	(1.0	)%
Stock indices	0.4		2.8
Currencies	0.2		0.9
Metals	0.2		(0.2	)
Energy	0.2		(0.6	)
Agriculturals/softs/meats	0.1		(0.1	)

Aggregate/Total	0.6	%	1.8	%

	December 31, 2012
Market Sector	Value at Risk*		Trading Gain/(Loss)

Currencies	0.5	%	(0.8	)%
Interest rates	0.3		2.3
Stock indices	0.3		5.3
Energy	0.1		(0.6	)
Metals	0.1		(2.0	)
Agriculturals/softs/meats	0.1		(0.7	)

Aggregate/Total	0.6	%	3.5	%

* The VaR for a market sector represents the one-day risk of loss for the aggregate exposure for that particular sector. The aggregate VaR represents the VaR of Grant Park’s open positions across all market sectors and is less than the sum of the VaR of the individual market sectors due to the diversification benefit across all market sectors combined.

Material Limitations of Value at Risk as an Assessment of Market Risk

Past market risk factors will not always result in an accurate prediction of future distributions and correlations of future market movements. Changes in the portfolio value caused by market movements may differ from those measured by the VaR model. The VaR model reflects past trading positions, while future risk depends on future trading positions. VaR using a one-day time horizon does not fully capture the market risk of positions that cannot be liquidated within one day. The historical market risk data for the VaR model may provide only limited insight into the losses that could be incurred under unusual market movements. The magnitude of Grant Park’s open positions creates a risk of ruin not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions—unusual, but historically recurring from time to time—could cause Grant Park to incur severe losses over a short period of time. The value at risk table above, as well as the past performance of Grant Park, gives no indication of this risk of ruin.

Non-Trading Risk

Grant Park has non-trading market risk on its foreign cash balances not needed for margin. However, these balances, as well as the market risk they represent, are immaterial. Grant Park also has non-trading market risk as a result of investing a substantial portion of its available assets in U.S. Treasury bills and Treasury repurchase agreements. The market risk represented by these investments is also immaterial.

Qualitative Market Risk

Trading Risk

The following were the primary trading risk exposures of Grant Park as of March 31, 2013, by market sector.

Interest Rates

Interest rate risk is a principal market exposure of Grant Park. Interest rate movements directly affect the price of the futures

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positions held by Grant Park and indirectly affect the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact Grant Park’s profitability. Grant Park’s primary interest rate exposure is due to interest rate fluctuations in the United States and the other G-7 countries. Grant Park also takes futures positions on the government debt of smaller nations, such as Australia, New Zealand, Singapore, and Mexico. The general partner anticipates that G-7 interest rates will remain the primary market exposure of Grant Park for the foreseeable future. As of March 31, 2013, Grant Park was predominantly long interest rate instruments in the U.S., U.K., Eurozone, Australia, Japan, and New Zealand, and short interest rate instruments in Canada.

Stock Indices

Grant Park’s primary equity exposure is due to equity price risk in the G-7 countries as well as other jurisdictions including Hong Kong, China, Taiwan, South Africa, India, Turkey, Singapore, South Korea, and Australia. The stock index futures contracts currently traded by Grant Park are generally futures on broadly based indices, although Grant Park also trades narrow-based stock index or single-stock futures contracts. As of March 31, 2013, Grant Park was predominantly long equities in the U.S., Eurozone, U.K., Hong Kong, Mexico, Sweden, South Africa, Turkey, Canada, Australia, Taiwan, Singapore and India, and short in China and Japan.

Currencies

Exchange rate risk is a significant market exposure of Grant Park. Grant Park’s currency exposure is due to exchange rate fluctuations, primarily fluctuations that disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. Grant Park trades in a large number of currencies, including cross-rates, which are positions between two currencies other than the U.S. dollar. The general partner anticipates that the currency sector will remain one of the primary market exposures for Grant Park for the foreseeable future. As of March 31, 2013, Grant Park was long the U.S. dollar against the Japanese yen and short the U.S. dollar against the Australian dollar, British pound, Canadian dollar, euro, Mexican peso, Swiss franc and New Zealand dollar. In general, a weaker U.S. dollar against most major currencies would benefit Grant Park.

Metals

Grant Park’s metals market exposure is due to fluctuations in the price of both precious metals, including gold and silver, as well as base metals including aluminum, lead, copper, tin, nickel and zinc. As of March 31, 2013, in the precious metals sector Grant Park had long positions in platinum, palladium and silver, and had short positions in gold. In the base metals markets, Grant Park was long tin, copper, lead, nickel, zinc, palladium, silver and aluminum.

Energy

Grant Park’s primary energy market exposure is due to gas and oil price movements, often resulting from political developments in the Middle East, Nigeria, Russia, and South America. As of March 31, 2013, the energy market exposure of Grant Park was predominantly long gasoline Blendstock, Brent oil, gas oil, heating oil, kerosene, WTI crude markets, and Oman crude and short the Phelix Baseload, natural gas, and crude oil markets. Energy prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in these markets.

Grains/Foods/Industrials

Grant Park’s primary commodities exposure is due to agricultural price movements, which are often directly affected by severe or unexpected weather conditions as well as other factors. As of March 31, 2013, in the grains markets, Grant Park had long positions in the soybean meal, soybeans, canola and oat markets, and short the soybean oil, corn, wheat, rapeseed and rough rice markets. In the livestock markets, Grant Park was long lean hogs, feeder cattle and live cattle. In the foods/industrials markets, Grant Park was long orange juice, rubber, cotton and lumber and short coffee and sugar.

Non-Trading Risk Exposure

The following were the only non-trading risk exposures of Grant Park as of March 31, 2013.

Foreign Currency Balances

Grant Park’s primary foreign currency balances are in Japanese yen, British pounds, euros and Australian dollars. The trading advisors regularly convert foreign currency balances to U.S. dollars in an attempt to control Grant Park’s non-trading risk.

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Managing Risk Exposure

The general partner monitors and controls Grant Park’s risk exposure on a daily basis through financial, credit and risk management monitoring systems and, accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which Grant Park is subject.

The general partner monitors Grant Park’s performance and the concentration of its open positions and consults with the trading advisors concerning Grant Park’s overall risk profile. If the general partner felt it necessary to do so, the general partner could require the trading advisors to close out individual positions as well as enter positions traded on behalf of Grant Park. However, any intervention would be a highly unusual event. The general partner primarily relies on the trading advisors’ own risk control policies while maintaining a general supervisory overview of Grant Park’s market risk exposures. The trading advisors apply their own risk management policies to their trading. The trading advisors often follow diversification guidelines, margin limits and stop loss points to exit a position. The trading advisors’ research of risk management often suggests ongoing modifications to their trading programs.

As part of the general partner’s risk management, the general partner periodically meets with the trading advisors to discuss their risk management and to look for any material changes to the trading advisors’ portfolio balance and trading techniques. The trading advisors are required to notify the general partner of any material changes to their programs.

General

From time to time, certain regulatory or self-regulatory organizations have proposed increased margin requirements on futures contracts. Because Grant Park generally will use a small percentage of assets as margin, Grant Park does not believe that any increase in margin requirements, as proposed, will have a material effect on Grant Park’s operations.

Item 4. Controls and Procedures

As of the end of the period covered by this report, the general partner carried out an evaluation, under the supervision and with the participation of the general partner’s management including its principal executive officer and principal financial officer, of the effectiveness of the design and operation of Grant Park’s disclosure controls and procedures as contemplated by Rule 13a-15 of the Securities Exchange Act of 1934, as amended. Based on, and as of the date of that evaluation, the general partner’s principal executive officer and principal financial officer concluded that Grant Park’s disclosure controls and procedures are effective, in all material respects, in timely alerting them to material information relating to Grant Park required to be included in the reports required to be filed or submitted by Grant Park with the SEC under the Exchange Act.

There were no changes in Grant Park’s internal control over financial reporting during the quarter ended March 31, 2013 that have materially affected, or are reasonably likely to materially affect, Grant Park’s internal control over financial reporting.

PART II- OTHER INFORMATION

Item 1A. Risk Factors

There have been no material changes to the risk factors relating to Grant Park from those previously disclosed in Grant Park’s Annual Report on Form 10-K for its fiscal year ended December 31, 2012, in response to Item 1A to Part 1 of Form 10-K.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

(a) None.

(b) None.

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Issuer Purchases of Equity Securities

(c) The following table provides information regarding the total Class A, Class B, Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class units redeemed by Grant Park during the three months ended March 31, 2013.


Period	Total Number of Class A Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Class B Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Legacy 1 Class Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Legacy 2 Class Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Global 1 Class Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Global 2 Class Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Global 3 Class Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Units Redeemed as Part of Publicly Announced Plans or Programs(1)	Maximum Number of Units that May Yet Be Redeemed Under the Plans/ Program(1)
01/01/2013 through 01/31/2013	440.09	$	1,234.30	6,578.53	$	1,039.54	150.22	$	890.64	305.39	$	878.78	147.73	$	859.84	220.12	$	849.47	4,061.61	$	791.85	11,903.69		(2)
02/01/2013 through 02/28/2013	244.40	$	1,199.00	7,128.55	$	1,009.27	73.20	$	866.80	801.55	$	855.09	142.35	$	837.25	1,966.07	$	826.98	6,490.47	$	769.78	16,846.59		(2)
03/01/2013 through 03/31/2013	1,057.79	$	1,213.59	7,362.91	$	1,021.07	177.87	$	878.96	525.53	$	866.97	571.36	$	849.59	672.66	$	838.99	5,364.87	$	779.82	15,732.99		(2)
Total	1,742.28	$	1,216.77	21,069.99	$	1,022.84	401.29	$	881.11	1,632.47	$	863.34	861.44	$	849.31	2,858.85	$	831.54	15,916.95	$	778.79	44,483.27		(2)

(1) As previously disclosed, pursuant to the Partnership Agreement, investors in Grant Park may redeem their units for an amount equal to the net asset value per unit at the close of business on the last business day of any calendar month if at least 10 days prior to the redemption date, or at an earlier date if required by the investor’s selling agent, the general partner receives a written request for redemption from the investor. Generally, redemptions are paid in the month subsequent to the month requested. The general partner may permit earlier redemptions in its discretion.

(2) Not determinable.

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Item 6. Exhibits

	(a)	Exhibits

		31.1	Certification of Principal Executive Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934

		31.2	Certification of Principal Financial Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934

		32.1	Certification Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

		101.1	The following financial statements from the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2013 formatted in XBRL (eXtensible Business Reporting Language): (i) Consolidated Statements of Financial Condition; (ii) Consolidated Condensed Schedule of Investments; (iii) Consolidated Statements of Operations; (iv) Consolidated Statements of Changes in Partners’ Capital (Net Asset Value); and (v) Notes to Consolidated Financial Statements.+

+ In accordance with Rule 406T of Regulation S-T, the XBRL related information in Exhibit 101.1 shall not be deemed to be “filed” for purposes of Section 11 and Section 12 of the Securities Act of 1933 and Section 18 of the Securities Exchange Act of 1934, or otherwise subject to liability under those sections.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	GRANT PARK FUTURES FUND
	LIMITED PARTNERSHIP


Date: May 15, 2013	by:	Dearborn Capital Management, L.L.C.
		its general partner

		By:	/s/ David M. Kavanagh
			David M. Kavanagh
			President
			(principal executive officer)

		By:	/s/ Maureen O’Rourke
			Maureen O’Rourke
			Chief Financial Officer
			(principal financial and accounting officer)

Positive
Negative
Uncertain
Constraining
Legalese
Litigous
Readability	8th grade Avg

Grant Park Futures Fund Limited Partnership 10-Q2013 Q1 Quarterly report

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