Grant Park Futures Fund Limited Partnership 10-K 2020 FY Annual report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

(Mark One)

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

For the Fiscal Year Ended December 31, 2020

or

☐ 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	(I.R.S. Employer
of incorporation or organization)	Identification Number)
c/o Dearborn Capital Management, L.L.C.
555 West Jackson Boulevard, Suite 600
Chicago, Illinois	60661
(Address of Principal Executive Offices)	(Zip Code)

(312) 756-4450

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
Not applicable	Not applicable	Not applicable

Securities registered pursuant to Section 12(g) of the Act:

Class A Limited Partnership Units; Class B Limited Partnership Units; Legacy 1 Class Units; Legacy 2 Class 
Units; Global Alternative Markets 1 Class Units; Global Alternative Markets 2 Class Units;
Global Alternative Markets 3 Class Units

(Title of Class)

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes ☐  No ☒

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act. Yes ☐  No ☒

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 ☒  No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Date File required to be submitted 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 such files). Yes ☒  No ☐

Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer”, “smaller reporting comp any” and “emerging growth company” in Rule 12b -2 of the Exchange Act.

Large Accelerated Filer ☐	Accelerated Filer ☐
Non-accelerated Filer ���	Smaller Reporting Company ☒ Emerging Growth Company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant has filed a report on and attestation to its management’s assessment of the effectiveness of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 7262(b)) by the registered public accounting firm that prepared or issued its audit report. ☐

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 ☐  No ☒

The Registrant has no voting stock. As of January 31, 2021, there were 4,027.89 Class A Units, 38,594.85 Class B Units, 479.12 Legacy 1 Class Units, 403.68 Legacy 2 Class Units, 15,620.71 Global Alternative Markets 1 Class Units, 749.18 Global Alternative Markets 2 Class Units, and 12.62 Global Alternative Markets 3 Class Units issued and outstanding.

TABLE OF CONTENTS

		Page
PART I
ITEM 1.	BUSINESS	4
ITEM 1A.	RISK FACTORS	7
ITEM 1B.	UNRESOLVED STAFF COMMENTS	26
ITEM 2.	PROPERTIES	27
ITEM 3.	LEGAL PROCEEDINGS	27
ITEM 4.	MINE SAFETY DISCLOSURES	27
PART II
ITEM 5.	MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES	27
ITEM 6.	SELECTED FINANCIAL DATA	27
ITEM 7.	MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS	30
ITEM 7A.	QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK	39
ITEM 8.	FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA	43
ITEM 9.	CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE	43
ITEM 9A.	CONTROLS AND PROCEDURES	43
ITEM 9B.	OTHER INFORMATION	44
PART III
ITEM 10.	DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE	44
ITEM 11.	EXECUTIVE COMPENSATION	45
ITEM 12.	SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS	47
ITEM 13.	CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE	47
ITEM 14.	PRINCIPAL ACCOUNTING FEES AND SERVICES	48
PART IV
ITEM 15.	EXHIBITS AND FINANCIAL STATEMENT SCHEDULES	49
ITEM 16.	FORM 10-K SUMMARY	50
INDEX TO FINANCIAL STATEMENTS		F-1
SIGNATURES

PART I

ITEM 1. BUSINESS

Grant Park Futures Fund Limited Partnership, which is referred to in this report as Grant Park, is a multi-advisor commodity pool. Grant Park, which is not registered as a mutual fund under the Investment Company Act of 1940, has been in continuous operation since January 1989. It is managed by its general partner, Dearborn Capital Management, L.L.C., and invests through independent professional commodity trading advisors.

During the continuous offering period, Grant Park was a registrant with the Securities and Exchange Commission (the “SEC”) and was subject to the regulatory requirements under the Securities Act of 1933. Units in Grant Park are no longer offered, as described below. Grant Park is a “reporting company” subject to the regulatory requirements under the Securities Exchange Act of 1934, as amended (the “Exchange Act”).

Effective April 1, 2019, Grant Park no longer offers its limited partnership units for sale. For existing investors in Grant Park, business continues to be conducted as usual. There was no change in the trading, operations, or monthly statements, etc. as a result of the termination of the offering, and redemption requests continue to be offered on a monthly basis.

Approximately $1,494,894,000 was raised during the initial and continuing offering periods ending with the withdrawal of Grant Park’s registration statement on April 1, 2019.

Grant Park conducts its business in one operating segment and has been organized to pool assets of 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 underliers. In trading on these markets, Grant Park may enter into: 1) exchange traded derivatives, such as futures contracts, options on futures contracts, security futures contracts and listed option contracts; 2) over-the-counter (“OTC”) derivatives, such as forwards, swaps, options and structured financial products; and 3) contracts on cash, or spot, commodities.Grant Park invests the assets of each class of the fund in various trading companies which (i) enter into advisory agreements with independent commodity trading advisors retained by the general partner; (ii) enter into swap transactions or derivative instruments tied to the performance of certain reference traders; and/or (iii) allocate assets to Grant Park’s cash management trading company. Grant Park’s general partner, commodity pool operator and sponsor is Dearborn Capital Management, L.L.C., an Illinois limited liability company. The limited partnership agreement requires the general partner to own units in Grant Park in an amount at least equal to the greater of (1) 1% of the aggregate capital contributions of all limited partners or (2) $25,000, during any time that units in Grant Park are publicly offered for sale. Grant Park does not have any employees. The manager of Dearborn Capital Management, L.L.C. is David M. Kavanagh, its President.

Dearborn Capital Management, L.L.C., along with its predecessor as general partner and commodity pool operator, Dearborn Capital Management, Ltd., has had management responsibility for Grant Park since its inception. The general partner has been registered as a commodity pool operator and a commodity trading advisor under the Commodity Exchange Act, as amended (the “Commodity Exchange Act”) and has been a member of the National Futures Association (“NFA”) since December 1995. The general partner has been approved as a forex firm effective December 2010 and as a swap firm effective April 2013. The general partner has been registered as an investment adviser under the Investment Advisers Act of 1940 since January 2013. Dearborn Capital Management, Ltd., which served as Grant Park’s general partner, commodity pool operator and sponsor from 1989 through 1995, was registered as a commodity pool operator between August 1988 and March 1996 and as a commodity trading advisor between September 1991 and March 1996 and was a member of the NFA between August 1988 and March 1996.

The following is a list of the trading companies (each a “Trading Company” and collectively, 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 4, LLC (“GP 4”)GP 8, LLC (“GP 8”) GP 11, LLC (“GP 11”)

GP 3, LLC (“GP 3”) GP 5, LLC (“GP 5”)GP 9, LLC (“GP 9”) GP 18, LLC (“GP 18”)

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There were no assets allocated to GP 1, GP 9 and GP 11 as of December 31, 2020, and there were no assets allocated to GP 11 as of December 31, 2019.  

Through their respective Trading Companies, EMC Capital Advisors, LLC (“EMC”), Episteme Capital Partners (UK) LLP (“Episteme”), Quantica Capital AG (“Quantica”) and Sterling Partners Quantitative Investments LLC (“Sterling”), (collectively, the “Advisors”), served as Grant Park’s commodity trading advisors at December 31, 2020. Grant Park obtains the equivalent of net profits or net losses generated by H2O AM LLP (“H2O”) as a reference trader through an off-exchange swap transaction and does not allocate assets to H2O directly. Each of the trading advisors that receives a direct allocation of assets from Grant Park is registered as a commodity trading advisor under the Commodity Exchange Act and is a member of the NFA. As of December 31, 2020, the general partner allocated between 1% to 35% of Grant Park’s net assets through the respective Trading Companies among its trading advisors EMC, Episteme, Quantica and Sterling and the swap transactions through which H2O is a reference trader is similarly within this range. No more than 35% of Grant Park’s assets are allocated to any one Trading Company and, in turn, any one trading advisor or reference trader. The general partner may terminate or replace the trading advisors and/or enter into swap transactions related to the performance of reference traders or retain additional trading advisors in its sole discretion. Grant Park utilizes ADM Investor Services, Inc., Rosenthal Collins Group Division of Marex Spectron and SG Americas Securities, LLC as its clearing brokers. The general partner may retain additional or substitute clearing brokers for Grant Park in its sole discretion.

As of December 31, 2020, Grant Park had a net asset value of approximately $45.2 million and 2,024 limited partners. As of the close of business on December 31, 2020, the net asset value per unit of the Class A units was $900.81, the net asset value per unit of the Class B units was $721.77, the net asset value per unit of the Legacy 1 Class units was $772.63, the net asset value per unit of the Legacy 2 Class units was $748.69, the net asset value per unit of the Global 1 Class units was $780.50, the net asset value per unit of the Global 2 Class units was $759.80 and the net asset value per unit of the Global 3 Class units was $620.27.

There have been no material administrative, civil or criminal actions within the past five years against the general partner or its principals and no such actions currently are pending.

The affairs of Grant Park will be wound up and Grant Park will be liquidated upon the happening of any of the following events: (1) expiration of Grant Park’s term on December 31, 2027, (2) a decision by the limited partners to liquidate Grant Park, (3) withdrawal or dissolution of the general partner and the failure of the limited partners to elect a substitute general partner to continue Grant Park, or (4) assignment for the benefit of creditors or adjudication of bankruptcy of the general partner or appointment of a receiver for or seizure by a judgment creditor of the general partner’s interest in Grant Park.

Regulation

Under the Commodity Exchange Act, commodity exchanges and commodity futures trading are subject to regulation by the Commodity Futures Trading Commission (the “CFTC”). The NFA, a registered futures association under the Commodity Exchange Act, is the only non-exchange self-regulatory organization for commodity industry professionals. The CFTC has delegated to the NFA responsibility for the registration of commodity trading advisors, commodity pool operators, futures commission merchants, introducing brokers and their respective associated persons and floor brokers. The Commodity Exchange Act requires commodity pool operators, and commodity trading advisors such as Dearborn Capital Management, L.L.C., and commodity brokers or futures commission merchants such as Grant Park’s commodity brokers, to be registered and to comply with various reporting and recordkeeping requirements. Each of Dearborn Capital Management, L.L.C., Grant Park’s commodity trading advisors and Grant Park’s commodity brokers is a member of the NFA. The CFTC may suspend a commodity pool operator’s or trading advisor’s registration if it finds that its trading practices tend to disrupt orderly market conditions, or as the result of violations of the Commodity Exchange Act or rules and regulations promulgated thereunder. In the event Dearborn Capital Management, L.L.C.’s registration as a commodity pool operator or commodity trading advisor were terminated or suspended, Dearborn Capital Management, L.L.C. would be unable to continue to manage the business of Grant Park. Should Dearborn Capital Management, L.L.C.’s registration be suspended, termination of Grant Park might result.

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In addition to such registration requirements, the CFTC and certain commodity exchanges have established limits on the maximum net long and net short positions which any person, including Grant Park, may hold or control in particular commodities. Most exchanges also limit the maximum changes in futures contract prices that may occur during a single trading day. Grant Park also trades in dealer markets for forward and swap contracts, which are not regulated by the CFTC. Federal and state banking authorities also do not regulate forward trading or forward dealers. In addition, Grant Park trades on foreign commodity exchanges, which are not subject to regulation by any United States government agency.

Fees and Expenses

The following is a summary description of current fees and expenses chargeable to Grant Park:

Recipient	Nature of Payment	Amount of Payment
General Partner	Brokerage Charge	Class A: 7.00%*
		Class B: 7.45%*
		Legacy 1 Class: 4.50%*
		Legacy 2 Class: 4.75%*
		Global 1 Class: 3.95%*
		Global 2 Class: 4.20%*
		Global 3 Class: 5.95%*
		* Annualized basis.
Counterparties	Dealer Spreads	Grant Park pays its counterparties bid-ask spreads on
		Grant Park’s non-exchange traded commodity interests.
Trading	Incentive Fees	Grant Park pays each commodity trading advisor a
Advisors		quarterly or semi-annual incentive fee ranging from
		0% to 20% of the new trading profits, if any, achieved
		on the trading advisor’s allocated net assets as of the end
		of each calendar period. Incentive fees embedded in the swap
		transactions are not directly paid by Grant Park.
General Partner	Organization and	Grant Park reimburses the general partner on a monthly
	Offering Expense	basis for its advancement of Grant Park’s organization and
	Reimbursement	offering expenses, up to an amount not to exceed 1.0% per
		year of the average month-end net assets of Grant Park.
Third Parties	Operating Expenses;	Grant Park pays its ongoing operating expenses up to a
	Extraordinary Expenses	maximum of 0.25% of Grant Park’s average net assets per
		year. This includes expenses associated with Grant Park’s
		SEC reporting obligations. Grant Park also pays any
		extraordinary expenses it incurs.

Commodity Interests

Grant Park conducts its business in one industry segment which trades in U.S. and foreign commodity interests. The commodities underlying commodity interest contracts may include security indices, interest rates, credit, foreign currencies, events (such as weather, real estate, carbon or predictions) or physical commodities (such as agricultural products, energy products or metals). Grant Park does not engage in sales of goods and services. A brief description of Grant Park’s main types of investments is set forth below.

● A futures contract is a standardized, exchange-traded contract to buy or sell a commodity for a specified price in the future.

● A forward contract is a bilaterally-negotiated contract to buy or sell something (i.e., the underlier) at a

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specified price in the future.

● An option on a futures contract, forward contract, swap or a commodity gives the buyer of the option the right, but not the obligation, to buy or sell a futures contract, forward contract or a commodity, as applicable, at a specified price on or before a specified date. Options on futures contracts are standardized contracts traded on an exchange, while options on forward contracts and commodities, referred to collectively in this prospectus as OTC options, generally are bilaterally-negotiated, principal-to-principal contracts not traded on an exchange.

● A swap is a bilaterally-negotiated agreement between two parties to exchange cash flows based upon an asset, rate or something else (i.e., the underlier).

● A commodity spot contract is a cash market transaction in which the buyer and seller agree to the immediate purchase and sale of a commodity, usually with a two-day settlement. Spot contracts are not uniform and not exchange-traded.

● A security futures contract is a futures contract on a single equity security or a narrow-based security index. Security futures contracts are exchange-traded.

Corporate Information

The general partner’s principal executive offices are located at 555 West Jackson Boulevard, Suite 600, Chicago, Illinois 60661, and our telephone number at that address is (312) 756-4450. Our website address is www.grantparkfunds.com. We make available at this address, under the “Grant Park Funds” tab, free of charge, our Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Exchange Act as soon as reasonably practicable after such material is electronically filed with, or furnished to, the SEC. These filings are also available on the SEC's website at www.sec.gov. The contents of our website are not incorporated by reference into this report.

ITEM 1A. RISK FACTORS

Grant Park’s performance, trading activities, operating results, financial condition and net asset value could be negatively impacted by a number of risks and uncertainties, including, but not limited to those outlined below, which the general partner considers the most significant risks that may affect the value of your investment in Grant Park. You should also refer to the other information included in this Form 10-K, including “Management’s Discussion and Analysis of Financial Condition and Results of Operations” and Grant Park’s consolidated financial statements and related notes for the year ended December 31, 2020, as well as information incorporated by reference herein, for further information regarding Grant Park.

Summary Risk Factors

An investment in Grant Park is highly speculative and involves a high degree of risk. Some of the risks you may face as an investor in Grant Park are summarized below. A more comprehensive discussion of those risks which we consider the most significant risks that may affect the value of your investment in Grant Park follows this summary.

● Prices of commodity interest contracts are highly volatile and subject to rapid and substantial fluctuations. You could therefore lose all or substantially all of your investment if Grant Park’s trading positions are or become unprofitable. Movements in price are often the result of factors outside of Grant Park’s, the trading advisors’ or reference traders’ control and may not be anticipated by Grant Park’s trading advisors.

● Because Grant Park’s trading positions are typically secured by the deposit of margin funds that represent only a small percentage of a contract’s face value, such positions are effectively highly leveraged. As a result of this leverage, relatively small movements in the price of a contract can cause significant losses.

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● Grant Park’s use of multiple third-party trading advisors and reference traders may result in Grant Park taking offsetting positions on the same commodity interest contract, thereby possibly incurring additional expenses but without any net change in Grant Park’s holdings. In addition, trading programs used by each trading advisor and reference trader may bear some similarities to trading programs used by other trading advisors and reference traders, which could potentially reduce or negate the intended benefits of having multiple trading advisors and reference traders.

● Past performance of Grant Park is not necessarily indicative of future results, and you should not rely on the performance record to date of Grant Park and/or the trading advisors and reference traders in deciding whether to invest in Grant Park. The general partner increased Grant Park’s fee and expense structure in certain respects to accommodate the previous public offering of units, and such increase adversely impacts Grant Park’s net performance.

● The regulation of swaps and certain other derivative instruments has changed significantly since Grant Park began operating, which changes may increase Grant Park’s operational or compliance costs or result in lost profit opportunities for Grant Park.

● A substantial portion of Grant Park’s trades takes place on markets and exchanges outside the United States. Some non-U.S. markets present additional risks because they are not subject to the same degree of regulation as their U.S. counterparts. In some of these non-U.S. markets, the performance on a contract is the responsibility of the counterparty and the contract is not backed by or novated to a centralized clearing house, which exposes Grant Park to credit risk in the form of counterparty default or payment risk. Trading in non-U.S. markets also leaves Grant Park susceptible to swings in the value of the local currency against the U.S. dollar.

● Grant Park pays substantial fees and expenses that are incurred regardless of whether it is profitable. In addition, Grant Park pays each of its trading advisors an incentive fee that is based only on that trading advisor’s trading profits, which means that Grant Park could pay incentive fees to one or more trading advisors even if Grant Park as a whole is not profitable. Incentive fees embedded in swap transactions are not directly paid by Grant Park but impact swap valuation.

● Investors have no rights to participate in the management of Grant Park and must rely on the judgment of the general partner to manage Grant Park in the best interest of the limited partners.

● The structure and operation of Grant Park involves several conflicts of interest. For example, DCM Brokers, LLC, an affiliate of Grant Park’s general partner, serves as Grant Park’s lead selling agent. Also, certain principals of Grant Park’s general partner own a minority interest in EMC Capital Advisors, LLC, one of Grant Park’s trading advisors.

● The commodity interest markets are the subject of continuing regulatory scrutiny, from both a national and international perspective, and implementation of certain proposed laws or regulations could adversely impact Grant Park’s ability to trade speculatively and implement its trading strategies.

Market Risks

The commodity interest markets in which Grant Park trades are highly volatile, which could cause substantial losses to Grant Park and may cause you to lose your entire investment.

Commodity interest markets and contracts are highly volatile and are subject to occasional rapid and substantial fluctuations. Consequently, you could lose all or substantially all of your investment in Grant Park if Grant Park’s trading positions are or become unprofitable. The profitability of Grant Park depends primarily on the ability of Grant Park’s trading advisors or reference traders to predict these fluctuations accurately. Price movements for commodity interests are influenced by, among other things:

● changes in interest rates;

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● governmental, agricultural, trade, fiscal, monetary and exchange control programs and policies;

● global events, disruptions and uncertainty;

● weather and climate conditions;

● changes in supply and demand;

● money supply policies, liquidity and access to capital;

● changes in balances of payments and trade;

● U.S. and international rates of inflation or deflation;

● exchange rates, currency valuations, devaluations and revaluations;

● U.S. and international political and economic events and uncertainty; and

● changes in investor expectations and emotions of market participants.

The trading advisors’ and reference traders’ trading methods (regardless of the nature of the method) may not take into account each of these factors except as they may be reflected in the technical data analyzed by the trading advisors or reference traders.

In addition, governments from time to time intervene, directly and by regulation, in certain markets, often with the intent to influence prices directly. The effects of governmental intervention may be particularly significant at certain times in the financial and currency markets, and this intervention may cause these markets to move rapidly.

For a more detailed discussion of the quantitative and qualitative market risks to which Grant Park is exposed, please read the section entitled, “Quantitative and Qualitative Disclosures About Market Risk.”

Past performance is not necessarily indicative of future results.

You should not rely for predictive purposes on the past performance history of either Grant Park, the general partner or any of the trading advisors or reference traders. Likewise, you should not assume that any trading advisor’s or reference trader’s future trading decisions will create profit, avoid substantial losses or result in performance comparable to that trading advisor’s or reference trader’s past performance. Trading advisors or reference traders may alter their strategies from time to time, and their performance results in the future may materially differ from their prior trading experience. Moreover, the technical analysis employed by the trading advisors or reference traders may not take into account the effect of economic or market forces or events that may cause losses to Grant Park. Furthermore, the general partner, in its discretion, may terminate any trading advisors or swap arrangements incorporating new reference traders, add new trading advisors or change the allocation of assets among trading advisors, any one of which could cause a substantial change in Grant Park’s future performance relative to past results.

Options are volatile and inherently leveraged, and sharp movements in prices could cause Grant Park to incur large losses.

Grant Park may use options on commodity interests to generate premium income or speculative gains. Options involve risks similar to other commodity interests, in that options are subject to sudden price movements and are highly leveraged, since payment of a relatively small purchase price, called a premium, gives the buyer the right to acquire an underlying commodity interest that may have a face value greater than the premium paid. The buyer of an option risks losing the entire purchase price of the option. The writer, or seller, of an option risks losing the difference between the purchase price received for the option and the price of the commodity interest underlying the option that the writer must purchase or deliver upon exercise of the option. There is no limit on the potential loss to a seller. Market movements of the commodity interests underlying options also cannot accurately be predicted.

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OTC transactions may be subject to the risk of counterparty default, which could cause substantial losses.

Grant Park faces the risk of non-performance by counterparties to OTC derivatives contracts. Unlike transactions in futures contracts, a counterparty to an OTC derivatives contract is generally a single bank or other financial institution, rather than a centralized clearing house. As a result, there is potential counterparty credit risk in these transactions. Such credit risk may take the form of a payment default by a counterparty or the filing of bankruptcy, insolvency or similar action by a counterparty. Counterparty risk has intensified in the recent past. The risk of counterparty default is potentially substantial and could cause significant losses to Grant Park in the event that such a default were to occur.

Historically, the only OTC derivatives in which Grant Park has invested are in the forward, option and spot foreign currency markets. Grant Park’s investment in these transactions has ranged from approximately 0% to 20% of its assets. See “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Off-Balance Sheet Risk” and “Quantitative and Qualitative Disclosures About Market Risk.”

Exchanges-of-physicals are subject to risks, which could adversely affect the performance of Grant Park.

Grant Park, through its trading advisors, may engage in exchanges of futures for physicals, known as EFPs. An EFP is a transaction permitted under the rules of many futures exchanges in which two parties holding futures positions may close out their positions without making an open, competitive trade on the exchange. Generally, the holder of a short futures position buys the physical commodity, while the holder of a long futures position sells the physical commodity. The prices at which these transactions are executed are negotiated privately between the parties, and thus may not be consistent with quoted market prices. Regulatory changes, such as limitations on price or types of underlying interests subject to an EFP, may in the future limit or prevent EFPs, which could adversely affect the performance of Grant Park.

Trading forex contracts is subject to substantial and unique risks, and the risk of loss is significant.

The prices of forex contracts can be highly volatile and the risk of loss in forex trading can be significant. Forex transactions are not traded on an exchange and the funds deposited with the counterparty in a forex transaction will not receive the same protections as funds used to margin or guarantee exchange-traded derivatives. If the counterparty becomes insolvent and Grant Park has a claim for amounts deposited or profits earned on transactions with the counterparty, Grant Park’s claim may not receive a priority. Without priority, Grant Park would be a general creditor and Grant Park’s claim would be paid, along with the claims of other general creditors, from any monies still available after priority claims are paid. Even customer funds that the counterparty keeps from its own operating funds may not be safe from the claims of other general and priority claims. Also, the high degree of leverage that is often obtainable in forex trading can work against Grant Park as well as for it. The use of leverage can lead to large losses as well as gains, including losses in excess of the amount invested. Because forex transactions do not occur on an exchange and such contracts may be illiquid, it may be difficult or costly to execute a transaction, and the prices of forex contracts may be more volatile as a result.

Certain of Grant Park’s investments are or could be illiquid, which may increase the risk of loss.

Grant Park may not always be able to liquidate its commodity interest positions at the desired price, particularly with respect to OTC derivatives. In particular, it may be difficult to execute a trade at a specific price when there are relatively few buy and sell orders in a market. A market disruption or a foreign government taking political actions that disrupt the cash market in its currency or in a major export item, can also make it difficult and costly to liquidate a position. Additionally, limits imposed by futures exchanges or other regulatory organizations, such as speculative position limits and daily price fluctuation limits, may contribute to a lack of liquidity with respect to some commodity interests. Moreover, in the OTC derivatives markets, liquidation may only occur upon contract maturation or when the contract is assigned to another party, which is likely to present additional costs.

Unexpected market illiquidity may cause substantial losses to investors at any time or from time to time. The large face value of the positions that trading advisors acquire for Grant Park increases the risk of illiquidity by both

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making Grant Park’s positions more difficult to liquidate at favorable prices and increasing losses incurred while trying to do so. See “Quantitative And Qualitative Disclosures About Market Risk.”

Cash flow needs may cause positions to be closed which may cause substantial losses.

Due to differences in margin treatment between futures and options, there may be periods of time in which positions involving both kinds of instruments must be closed down prematurely due to short term cash flow needs. If this occurs during an adverse move in a spread or straddle trade, for example, then a substantial loss could occur.

An investment in Grant Park may not diversify an overall portfolio.

Historically, managed futures have been generally non-correlated to the performance of other asset classes such as stocks and bonds. Non-correlation means that there is no statistically significant relationship between the performance of futures and other commodity interest transactions, on the one hand, and stocks or bonds, on the other hand. Non-correlation should not be confused with negative correlation, where the performance of two asset classes would be opposite of each other. Because of this non-correlation, Grant Park cannot necessarily be expected to be profitable during unfavorable periods for the stock market, or vice versa. Grant Park may incur major losses while stock and bond prices rise substantially in a prospering economy. If, however, during a particular period of time Grant Park’s performance moves in the same general direction as the general financial markets or Grant Park does not perform successfully, you will obtain little or no diversification benefits during that period from investing in Grant Park. In such a case, Grant Park may have no gains to offset your losses from other investments, and you may suffer losses on your investment in Grant Park at the same time as losses on your other investments are increasing. This was the case, for example, during the third quarter of 2008, when Grant Park experienced a loss of approximately 6.12% while the Standard & Poor’s 500 Index lost approximately 8.37%. You should not consider Grant Park to be a hedge against losses in your stock and bond portfolios.

Trading in international markets exposes Grant Park to additional credit and regulatory risk.

A substantial portion of Grant Park’s trades have in the past and are expected in the future to take place on markets or exchanges outside of the United States. There is no limit to the amount of assets that Grant Park may commit to trading on non-U.S. markets, and historically, as much as approximately 30% to 60% of Grant Park’s overall market exposure has involved positions taken on non-U.S. markets. The risk of loss in trading non-U.S. commodity interests contracts can be significant. Participation in non-U.S. commodity interests involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade. Some of these non-U.S. markets, in contrast to U.S. markets, are so-called principals’ markets in which performance is the responsibility only of the individual counterparty with whom Grant Park has entered into a commodity interest transaction, not of the exchange or clearing house. In these kinds of markets, Grant Park will be subject to the risk of bankruptcy, insolvency, government intervention, payment failure or other failures or refusals to perform by the counterparty.

Moreover, many of these non-U.S. markets are unregulated, which means that Grant Park may have no or only limited recourse in the event of counterparty failures or refusals. None of the CFTC, NFA or any domestic exchange regulates activities of any foreign boards of trade or exchanges outside of the United States, including execution, delivery and clearing of transactions, nor does any U.S. regulatory authority have the power to compel enforcement of the rules of a foreign board of trade or exchange or of any applicable non-U.S. laws.

Additionally, trading on non-U.S. exchanges is subject to risks presented by exchange controls, expropriation, increased tax burdens and exposure to local economic declines and political instability. An adverse development in any of these variables could reduce the profit or increase the loss resulting from trades in the affected international markets.

Grant Park’s international trading may expose it to losses resulting from non-U.S. exchanges that are less developed or less reliable than U.S. exchanges.

Some non-U.S. exchanges also may be in a more developmental stage, so that prior price histories may not be indicative of current price dynamics. In addition, Grant Park may not have the same access to positions on foreign trading exchanges as do local traders, and the historical market data on which the trading advisors or reference traders base their strategies may not be as reliable or accessible as it is in the United States.

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Grant Park’s international trading activities subject it to foreign exchange risk.

The price of any non-U.S. commodity contracts and, therefore, the potential profit and loss on such contracts, may be affected by any variance in the foreign exchange rate between the time an order is placed and the time it is liquidated, offset or exercised. As a result, changes in the value of the local currency relative to the U.S. dollar may cause losses to Grant Park even if a contract traded is profitable as measured in the local currency.

Grant Park’s international trading activities are subject to global risks and market disruption.

Trading on international markets may increase the risk that events or circumstances that disrupt such markets may have a materially adverse effect on Grant Park’s business or operations or the value of positions held by Grant Park. Such events or circumstances may include, but are not limited to, inflation or deflation, currency devaluation, interest rate changes, exchange rate fluctuations, changes in government policies, natural disasters, pandemics or other extraordinary events such as coronavirus, armed conflicts, political or social instability or other unforeseen developments that cannot be quantified.

Market disruptions and government intervention in response thereto could have a material impact on Grant Park’s ability to implement trading strategies.

World financial markets have from time to time experienced widespread and systemic disruptions, which have produced and may produce government reaction and intervention. Such intervention has in certain instances occurred on an “emergency” basis without giving market participants an opportunity to adapt their trading strategies or undertake risk management over their existing positions.

Given the breadth of impact and the speed with which such government action has sometimes occurred, these interventions have also tended to increase uncertainty in various markets and, although perhaps unintentionally, contributed to overall market instability. This situation can be compounded by the sometimes apparent inconsistency with which government action has been formulated and applied. Such inconsistency has tended to have a further destabilizing effect on world financial markets and, as a result, tended to reduce liquidity in many of these markets.

Several countries have limited or prohibited selected types of trading strategies, making such trading either increasingly difficult or impossible to implement. Any regulatory limitations on selected trading strategies could have a materially adverse impact on Grant Park’s ability to implement certain trading methods or allocate to trading advisors who employ such methods. It is impossible to predict what impact such disruptions and interventions, if they occur, might have on Grant Park’s performance.

Grant Park may be subject to increased or changing regulation.

Regulators in the past several years have amended and increased scrutiny, reporting requirements, restrictions, and regulations in various areas concerning funds. Such regulations may limit Grant Park’s strategy and increase compliance risks to Grant Park. Additionally, certain regulatory agencies have conducted discussions with market participants, registrants and investors to ascertain investor protection implications of the growth of investment funds, and proposals have been made with regard to best business practices and additional regulation of such funds, their operators and advisors, and certain of their activities, including proposed restrictions on certain types of trading and proposals for increased public and private disclosure of financial, trading, and risk management information. The regulation of futures, forward, and options transactions in the United States is a rapidly changing area of law and is subject to modification by government and judicial action. In addition, various national governments have expressed concern regarding the disruptive effects of speculative trading in the currency markets and the need to regulate the “derivatives” markets in general. Any regulations that restrict the ability of Grant Park to employ various types of trading methods or trading instruments in connection with Grant Park’s trading, or otherwise limit or modify Grant Park’s trading activities, require Grant Park to disclose proprietary information, or subject Grant Park to additional regulation, could adversely impact Grant Park’s profit potential or its ability to conduct business.

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Grant Park may be affected by epidemics, pandemics and Covid-19.

Many countries have been susceptible to epidemics, such as severe acute respiratory syndrome, avian flu, H1N1/09 flu and, currently, the disease commonly referred to as “Covid-19” which is associated with the SARS-CoV-2 novel coronavirus and has been declared to be a pandemic by the World Health Organization. A continuation of the Covid-19 outbreak could produce further declines in global economic growth (some economists have warned that global economic growth could be cut by more than half and that countries and the global economy could be plunged into recession). Many businesses around the world have curtailed their travel and meeting plans. This is likely to slow business activity, including in particular international business activity. The impact of a viral pandemic in certain areas with large and crowded cities may be especially severe. Although the general partner has not determined or estimated whether COVID-19 has had effects or consequences on Grant Park which could be materially adverse to the general partner’s business operations or its ability to manage Grant Park, the presence of Covid-19 and its continued effect on the global economy may have an adverse impact on the business and operations of the general partner and Grant Park. The general partner has not confirmed whether COVID-19 has caused the general partner or Grant Park to incur expenses, delays, or interruption of critical business functions, nor has the general partner assessed whether COVID-19 may have such effects in the future. Covid-19 may cause key personnel of the general partner and/or trading advisors or reference traders to be absent from work or work remotely for prolonged periods of time. The ability of any such personnel to work effectively on a remote basis may adversely impact the day-to-day operations of Grant Park or Grant Park’s net performance. Any future outbreak or pandemic could also have potential adverse effects on the global economy, the general partner and/or Grant Park in ways the general partner cannot predict or anticipate.

Grant Park may be affected by Brexit risks and other recent global events.

The United Kingdom’s exit from the European Union, commonly referred to as “Brexit,” went into effect on January 1, 2021. Uncertainty regarding the impact of Brexit on international trade and commerce could potentially disrupt the markets in which Grant Park trades and adversely change tax benefits or liabilities in certain jurisdictions. Such continuing uncertainty may cause or exacerbate volatility in global markets or currency exchange rate fluctuations that may adversely affect Grant Park or Grant Park’s results in one or more ways that the general partner cannot anticipate or forecast. Recent events in various world financial markets have caused significant dislocations, illiquidity and volatility in the wider global economy. An unstable geopolitical climate and continued threats of terrorism and war could have a material adverse effect on general economic conditions, market conditions and market liquidity, e.g., depressed financial and commodity market prices and problems with trading facilities and infrastructure. To the extent that such events are not temporary and continue (or even worsen), this may have an adverse impact on such items as availability of credit to businesses generally and could lead to an overall weakening of the U.S. and global economics. Such events could restrict the ability of Grant Park to make new investments, or to sell or liquidate existing investments at favorable times or for favorable prices. There can be no assurance as to the duration of any market dislocation.

Grant Park may be affected by LIBOR transition or phaseout.

To the extent that swap transactions or other derivative instruments in which Grant Park trades or invests extend beyond December 31, 2021, interest rates for such transactions or instruments might be subject to change to the extent that such rates are calculated using the London Interbank Offered Rate (“LIBOR”).

On July 27, 2017, the United Kingdom’s Financial Conduct Authority (“FCA”), which regulates LIBOR, announced that it intends to phase out LIBOR by the end of 2021. On November 30, 2020, ICE Benchmark Administration Limited, referred to as “ICE,” announced its plan to extend the date that most U.S. LIBOR values would cease being computed and published from December 31, 2021 to June 30, 2023. In its announcement, ICE indicated its plan that Overnight U.S. LIBOR, 1-Month U.S. LIBOR, 3-Month U.S. LIBOR, 6-Month U.S. LIBOR and 1-Year U.S. LIBOR indexes would expire on June 30, 2023, while 1-Week U.S. LIBOR and 2-Month U.S. LIBOR indexes would expire on the original termination date of December 31, 2021. In addition, ICE announced its intention to cease publishing British Pound, Euro, Swiss Franc and Japanese Yen LIBOR indices and values on December 31, 2021.

To address the possibility of LIBOR’s cessation, the Federal Reserve Board and the Federal Reserve Bank of New York (FRBNY), in coordination with multiple other regulators and large industry participants, convened the Alternative Reference Rates Committee (“ARRC”). The ARRC has identified the Secured Overnight Financing Rate

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(“SOFR”) as the preferred successor rate for USD LIBOR. To prepare for a transition from LIBOR to SOFR, the ARRC, the International Swaps and Derivatives Association, and the Financial Accounting Standards Board have all taken various steps to develop appropriate fallback language to address a transition to SOFR that may occur in the future.

The FCA and the Bank of England are encouraging market participants to change the convention for interest rate swaps denominated in Pound sterling from LIBOR to the Sterling Overnight Index Average (“SONIA”). The future of LIBOR as of the date of this Form 10-K, or whether SOFR, SONIA or some other benchmark rate will become a successor rate for any swap transactions or other derivative instruments in which Grant Park trades or invests, is uncertain. If LIBOR ceases to be published, Grant Park may need to renegotiate any agreements extending beyond December 31, 2021 or June 30, 2023, as applicable, and that utilize LIBOR as a factor in determining the interest rate, to replace LIBOR with the new reference rate that is established. The foregoing may have a materially adverse effect on Grant Park’s ability to engage in such transactions or utilize such instruments.

Swap transactions are subject to additional risks.

Grant Park may trade in swap transactions. Unlike futures and options on futures contracts, most swap contracts currently are not traded on or cleared by an exchange or clearinghouse. The CFTC currently requires only a limited class of swap contracts (certain interest rate and credit default swaps) to be cleared and executed on an exchange or other organized trading platform. In accordance with the Dodd-Frank Act, the CFTC will determine in the future whether other classes of swap contracts will be required to be cleared and executed on an exchange or other organized trading platform. Until such time as these transactions are cleared, Grant Park will be subject to a greater risk of counterparty default on its swaps. Because swaps do not generally involve the delivery of underlying assets or principal, the amount payable upon default and early termination is usually calculated by reference to the current market value of the contract. Swap dealers and major swap participants require Grant Park to deposit initial margin and variation margin as collateral to support such obligation under the swap agreement but may not themselves provide collateral for the benefit of Grant Park. If the counterparty to such a swap agreement defaults, Grant Park would be a general unsecured creditor for any termination amounts owed by the counterparty to Grant Park as well as for any collateral deposits in excess of the amounts owed by Grant Park to the counterparty, which would result in losses to Grant Park.

There are no limitations on daily price movements in swap transactions. Speculative position limits are not currently applicable to swaps, but in the future may be applicable for swaps on certain commodities. In addition, participants in swap markets are not required to make continuous markets in the swaps they trade, and determining a market value for calculation of termination amounts can lead to uncertain results.

Swaps trading has been and is likely to continue to be subject to substantial change under the Dodd-Frank Act and related regulatory action. Under the Dodd-Frank Act, certain commodity swaps will be required to be cleared through central clearing parties and executed on exchanges or other organized trading platforms. Security-based swaps are subject to similar requirements. Additional regulatory requirements will apply to all swaps, whether subject to mandatory clearing or not. These include margin, collateral and capital requirements, reporting obligations, speculative position limits for certain swaps, and other regulatory requirements. Swaps which are not offered for clearing by a clearinghouse will continue to be traded bi-laterally. Such bi-lateral transactions will remain subject to many of the risks discussed in the preceding paragraphs.

Swap counterparties may hold collateral in U.S. or non-U.S. depositories. Non-U.S. depositories are not subject to U.S. regulation. Grant Park’s assets held in these depositories are subject to the risk that events could occur which would hinder or prevent the availability of these funds for distribution to customers, including Grant Park. Such events may include actions by the government of the jurisdiction in which the depository is located including expropriation, taxation, moratoria and political or diplomatic events.

Investments in a swap or other derivative instruments based on a reference program may not always replicate the performance of the relevant trading advisors’ or reference traders’ trading program.

Grant Park uses total return swaps with Deutsche Bank AG to invest in customized indices designed to replicate the net returns of a trading advisor’s trading program. Each swap is linked to an index comprised of shares in segregated portfolios directed by a trading advisor selected by the general partner. It is possible that the underlying index in respect

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of the swap owned by a trading company may not fully track the performance of the relevant trading advisor program in respect of other accounts traded by such trading advisor. Further, the calculation of the underlying index for such swap includes a deduction for a fee payable to the swap counterparty. This deduction will mean that the return of such investment will be lower than would be the case if no fees were deducted.

Trading Risks

Grant Park is highly leveraged, which means that sharp changes in prices could lead to large losses.

Because the amount of margin funds necessary to be deposited with a clearing broker to enter into a futures or forward contract position is typically about 2% to 10% of the total value of the contract, the general partner can hold positions in Grant Park’s account with face values equal to several times Grant Park’s net assets. The ratio of margin to equity is typically 8% to 15%, but can range from approximately 5% to 33%. As a result of this leveraging, even a small movement in the price of a contract can cause major losses. Any purchase or sale of a futures or forward contract may result in losses that substantially exceed the amount invested in the contract. For example, if $2,200 in margin is required to hold one U.S. Treasury bond futures contract with a face value of $100,000, a $2,200 decrease in the value of that contract could, if the contract is then closed out, result in a complete loss of the margin deposit, not even taking into account fees and/or commissions. Severe short-term price declines could, therefore, force the liquidation of open positions with large losses.

Trend following and pattern recognition trading may not be profitable without significant and sustained price moves in some of the markets traded or in markets in which a potential price trend may start to develop but reverses before an actual trend is realized.

Grant Park is a multiple-manager fund which allocates its assets among several trading advisors and reference traders, all employing proprietary, systematic trend-following and pattern recognition systems in various forms. Grant Park’s trading advisors and reference traders attempt to exploit through the use of their proprietary systematic trading systems the tendency of markets to either trend or exhibit repeated patterns over time. Since trend-following is a reactive trading strategy rather than a predictive one, positions are entered into or exited from in reaction to price movement; there is no prediction of future price. Such trend-following strategies may not take into account a pending political or economic event since the trading strategy would continue to maintain positions indicated by its strategy even though such positions would incur major losses if the event proved to be adverse.

Pattern recognition looks to predict price movement based on historic repeatable price patterns. If the trend or patterns are not confirmed, the position will be exited. However, if the trend or patterns are confirmed, positions may be increased depending on the momentum of the trend. Trends or patterns are not generally discovered until they are well established and not exited from until they are over. Because Grant Park does not know which markets will trend or when a trend will begin or whether patterns will reoccur, there is a risk that a trend will reverse or fail to continue or a pattern will not reoccur after a trade is entered.

The profitability of any technical, trend-following trading strategy depends upon the occurrence in the future of significant, sustained price moves in some of the markets traded. A danger for trend-following traders is whip-saw markets, that is, markets in which a potential price trend may start to develop but reverses before an actual trend is realized. A pattern of false starts may generate repeated entry and exit signals in technical systems, resulting in unprofitable transactions. In the past, there have been prolonged periods without sustained price moves. Presumably these periods will continue to occur. Periods without sustained price moves may produce substantial losses for trend-following trading strategies. Further, any factor that may lessen the prospect of these types of moves in the future, such as increased governmental control of, or participation in, the relevant markets, may reduce the prospect that any trend-following trading strategy will be profitable.

The risk management approaches of one or all of the trading advisors and reference traders may not be effective.

The mechanisms employed by each trading advisor and reference trader to monitor and manage risks associated with its trading activities on behalf of Grant Park may not succeed in mitigating all risks. For example, even if a trading advisor or reference trader utilizes predetermined stop-loss levels for a position as part of its risk management approach,

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such stop-loss orders may not necessarily limit losses, since they become market orders once triggered. As a result, the order may not be executed at the stop-loss price, resulting in a loss in excess of the loss that would have been incurred if the order had been executed at the stop-loss price. Even if a trading advisor’s or reference trader’s risk management approaches are fully effective, it cannot anticipate all risks that it may face. To the extent one or more of the trading advisors or reference traders fails to identify and adequately monitor and manage all of the risks associated with its trading activities, Grant Park may suffer losses.

Increased competition from other systematic and technical trading systems could reduce the trading advisors’ or reference traders’ profitability.

There has been a dramatic increase over the past 40 years in the amount of assets managed by systematic and technical trading systems like that of the trading advisors and reference traders. Assets in managed futures, for example, have grown from approximately $300 million in 1980 to over $303 billion in September 2020 according to BarclayHedge, which serves institutional clients worldwide in the field of hedge fund and managed futures performance measurement and portfolio management. This means increased trading competition among a larger number of market participants for transactions at favorable prices, which could operate to the detriment of Grant Park by preventing Grant Park from affecting transactions at desired prices. It may become more difficult for Grant Park to implement its trading strategies if other commodity trading advisors using technical systems are, at the same time, also attempting to initiate or liquidate commodity interest positions.

Speculative position limits and daily price fluctuation limits may alter trading decisions for Grant Park.

The CFTC and U.S. exchanges have established speculative position limits on the maximum net long or net short positions that any person may hold or control in certain exchange-traded derivatives. On October 15, 2020, the CFTC approved a final rule adopting new and amended spot month position limits for derivatives contracts associated with 25 physical commodities, and amended single-month and all-months-combined limits for most of the agricultural contracts subject to position limits on that date. Under the final rule, non-spot month position limits were not extended. Additionally, the CFTC adopted new and amended definitions for use throughout the position limits regulations, including a revised definition of “bona fide hedging transaction or position” that includes an expanded list of enumerated bona fide hedges and a new definition of “economically equivalent swaps.” The Commission also amended rules governing exchange-set position limit levels and related exchange exemptions and established a new process for non-enumerated bona fide hedging recognitions for purposes of position limits.

Exchanges can also impose their own position limits and/or position accountability levels for the contracts they list. Certain swaps listed for trading on exempt commercial markets are also subject to position limits imposed by those markets, but that is also an area where requirements may be changing. All accounts controlled by a particular trading advisor are combined for speculative position limit purposes. If positions in those accounts were to approach the level of the particular speculative position limit, or if prices were to approach the level of the daily limit, these limits could cause a modification of the particular trading advisor’s trading decisions or force liquidation of certain futures or options on futures positions. If one or more of Grant Park’s trading advisors must take either of these actions, Grant Park may be required to forego profitable trades or strategies.

Increases in assets under management of any of the trading advisors or reference traders may affect trading decisions, which could have a detrimental effect on your investment.

In general, none of the trading advisors or reference traders intends to limit the amount of additional assets of Grant Park that it may manage, and each will continue to seek new accounts. The more equity a trading advisor or reference trader manages, the more difficult it may be for it to trade profitably because of the difficulty of trading larger positions without adversely affecting prices and performance and of managing risk associated with larger positions. Moreover, in the future certain trading advisors or reference traders may limit the amount of additional assets that they manage. Accordingly, future increases in assets under management may require a trading advisor or reference trader to modify its trading decisions for Grant Park or may cause the general partner to add additional trading advisors or reference traders, either of which could have a detrimental effect on your investment.

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The use of multiple trading advisors may result in offsetting or opposing trading positions and may also require one trading advisor to fund the margin requirements of another trading advisor.

The use of multiple trading advisors may result in developments or positions that adversely affect Grant Park’s net asset value. For example, because trading advisors act independently, Grant Park could buy and sell the same futures contract, thereby incurring additional expenses but with no net change in its holdings and offsetting any potential for profit from these positions. Trading advisors also may compete from time to time for the same trades or other transactions, increasing the cost to Grant Park of making trades or transactions or causing some of them to be foregone altogether. Moreover, even though each trading advisor’s margin requirements ordinarily will be met from that trading advisor’s allocated net assets, one trading advisor may incur losses of such magnitude that Grant Park is unable to meet margin calls from the allocated net assets of that trading advisor. In this event, Grant Park’s clearing brokers may require liquidations and contributions from the allocated net assets of another trading advisor.

The trading advisors’ and reference traders’ trading programs bear some similarities and, therefore, may lessen the benefits of having multiple trading advisors.

Some of the trading advisors and reference traders initially received their trading experience under the guidance of the same individual. However, each trading advisor has, over time, developed and modified the program it uses for Grant Park. Nevertheless, the trading advisors’ and reference traders’ trading programs have similarities. These similarities may mitigate the positive effect of having multiple trading advisors or reference traders. For example, in periods where one trading advisor or reference trader experiences a draw-down, it is possible that these similarities will cause the other trading advisors or reference traders to also experience a draw-down.

Each trading advisor may advise other clients and may achieve more favorable results for its other accounts.

Each trading advisor may manage other accounts, including its own accounts. A trading advisor may vary the trading strategies applicable to Grant Park from those used for its other managed accounts, or its other managed accounts may impose a different cost structure than that of the classes of Grant Park’s units for which it trades. Consequently, the results any trading advisor achieves for Grant Park may not be similar to those achieved for other accounts managed by the trading advisor or its affiliates at the same time. Moreover, it is possible that other accounts managed by the trading advisor or its affiliates may compete with Grant Park for the same or similar positions in the commodity interest markets and that those other accounts may make trades at better prices than Grant Park.

A trading advisor may also have a financial incentive to favor other accounts because the compensation received from those other accounts exceeds, or may in the future exceed, the compensation that it receives from Grant Park. Because records for other accounts are not accessible to investors in Grant Park, investors will not be able to determine if any trading advisor is favoring other accounts.

Portfolio turnover may be frequent, which could result in higher brokerage commissions and transaction fees and expenses.

Each trading advisor will make certain trading decisions on the basis of short-term market considerations. The portfolio turnover rate may be substantial at times, either due to such decisions or to “whip-saw” market conditions, and could result in Grant Park incurring substantial brokerage commissions and other transaction fees and expenses.

Exchange-traded funds and mutual funds have indirect fees and additional risks.

Certain of Grant Park’s investments, including exchange-traded funds and mutual funds, are subject to investment advisory and other expenses, which will be indirectly paid by Grant Park. The cost of investing in Grant Park is higher than the cost of investing directly in mutual funds and exchange-traded funds. Investors in Grant Park will indirectly bear fees and expenses charged by the exchange-traded funds and mutual funds in which Grant Park invests in addition to Grant Park’s direct fees and expenses. Any exchange-traded fund and mutual fund that Grant Park invests in operates independently from Grant Park and is subject to investment advisory and other expenses which will be indirectly paid by Grant Park.

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Exchange-traded funds are listed on various national stock exchanges. Exchange-traded fund shares may trade at a discount to or a premium above net asset value if there is a limited market in such shares. Exchange-traded funds are also subject to brokerage and other trading costs, which could result in greater expenses to Grant Park. Because the value of exchange-traded fund shares depends on the demand in the market at any given time, Grant Park may not be able to liquidate its holdings in such funds at the most optimal time, adversely affecting performance.

Exchange-traded funds and mutual funds are subject to certain specific risks depending on the nature of the fund. These risks could include, but are not limited to, liquidity risk, sector risk and foreign currency risk, as well as risks associated with fixed income securities, commodities or other derivatives.

Grant Park’s positions may be concentrated from time to time, which may render Grant Park susceptible to larger losses than if Grant Park were more diversified.

One or more of the trading advisors may from time to time cause Grant Park to hold a few, relatively large positions in relation to its assets. Consequently, a loss in any such position could result in a proportionately greater loss to Grant Park than if Grant Park’s assets had been spread among a wider number of instruments.

Non-U.S. investors may face exchange rate risk.

Non-U.S. investors should note that units are denominated in U.S. dollars and that changes in the rates of exchange between currencies may cause the value of their investment to decrease.

Operating Risks

Grant Park pays substantial fees and expenses regardless of profitability.

Grant Park pays brokerage charges, organization and offering expenses, ongoing operating expenses and OTC dealer spreads, in all cases regardless of whether Grant Park’s activities are profitable. In addition, Grant Park pays its trading advisors an incentive fee based on a percentage of Grant Park’s trading profits earned on Grant Park’s net assets allocated to that trading advisor. It is possible that Grant Park could pay substantial incentive fees to one or more trading advisors during a period in which Grant Park has no net trading profits or in which it actually loses money. Accordingly, Grant Park must earn trading gains sufficient to compensate for these fees and expenses before it can earn any profit.

The units are subject to restrictions on redemption and transfer, which may prevent you from redeeming or transferring your units when you desire to do so and may increase your risk of loss.

There is no, and there is not likely to be a, secondary market for the units. While the units have redemption rights, there are restrictions.

Additionally, redemptions can occur only monthly and require written notice to the general partner at least 10 days in advance of the requested redemption date, or earlier as required by a selling agent. The net asset value per unit may change materially between the date on which you request a redemption and the month-end redemption date. Transfers of units are permitted only with the prior written consent of the general partner, provided that certain conditions specified in the limited partnership agreement are satisfied. Such restrictions may prevent you from redeeming or transferring your units when you desire to do so. In the event that Grant Park is subject to rapid and substantial losses, the inability to immediately redeem or transfer your units may increase your risk of loss.

Grant Park may incur higher fees and expenses upon renewing existing or entering into new contractual relationships.

The clearing arrangements between the clearing brokers and Grant Park generally are terminable by the clearing brokers once the clearing broker has given Grant Park notice. Upon termination, the general partner may be required to renegotiate or make other arrangements for obtaining similar services if Grant Park intends to continue trading in commodity interests at its present level of capacity. The services of Grant Park’s current clearing brokers or an additional or substitute clearing broker may not be available, or even if available, these services may not be available on terms as favorable as those of the expired or terminated clearing arrangements.

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Likewise, upon termination of the advisory contract entered into between Grant Park and any of the trading advisors, the general partner may be required to renegotiate the contracts or make other arrangements for obtaining commodity trading advisory services. The services of the particular trading advisor may not be available, or these services may not be available on terms as favorable as those contained in the expired or terminated advisory contract. There is significant competition for the services of qualified commodity trading advisors, and the general partner may not be able to retain replacement or additional trading advisors on acceptable terms. This could result in losses to Grant Park and/or the inability of Grant Park to achieve its investment objectives. Moreover, if an advisory contract is renegotiated or additional or substitute trading advisors are retained by the general partner on behalf of Grant Park, the fee structures of the new or additional arrangements may not be as favorable to Grant Park as are those previously in place.

The incentive fees could motivate the trading advisors to make riskier investments.

Each trading advisor employs a speculative strategy for Grant Park, and certain trading advisors receive incentive fees based on the trading profits earned by it for Grant Park. Accordingly, these trading advisors have a financial incentive to make investments that are riskier than might be made if Grant Park’s assets were managed by a trading advisor that did not receive performance-based compensation.

You have no right to participate in the management of Grant Park.

The general partner manages the affairs of Grant Park. As a limited partner in the fund, you only have limited voting rights regarding Grant Park’s affairs, which rights do not permit you to participate in the management or control of Grant Park or the conduct of its business. You must therefore rely upon the fiduciary responsibility and judgment of the general partner to manage Grant Park’s affairs in the best interests of the limited partners.

An unanticipated number of redemption requests during a short period of time could have an adverse effect on the net asset value of Grant Park.

If a substantial number of requests for redemption are received by Grant Park during a relatively short period of time, Grant Park may be unable to satisfy such requests from assets not committed to trading. As a consequence, Grant Park could be forced to liquidate trading positions or swap arrangements before the time that a trading advisor’s or reference trader’s trading strategies would dictate liquidation. If this were to occur, it could affect adversely the net asset value per unit of each class, not only for limited partners redeeming units but also for non-redeeming limited partners. Illiquidity in the markets could make it difficult to liquidate positions on favorable terms, which could result in additional losses.

Conflicts of interest exist and may potentially exist in the structure and operation of Grant Park.

Effective October 1, 2013, entities owned in part by Mr. Kavanagh, who indirectly controls and is president of Dearborn Capital Management, L.L.C., the general partner of Grant Park, Mr. Al Rayes, who is a principal of the general partner, and Mr. Patrick Meehan, the chief operating officer of the general partner, purchased a minority ownership interest in EMC Capital Advisors, LLC (“EMC”). Also effective as of October 1, 2013, EMC Capital Management, Inc., one of Grant Park’s commodity trading advisors from January 1989 until September 2013, assigned its obligations, rights and interests to EMC, including the trading agreement under which it had previously traded on behalf of Grant Park and, accordingly, EMC became one of Grant Park’s commodity trading advisors.

As a result, Mr. Kavanagh, Mr. Al Rayes, and Mr. Meehan each indirectly own a minority interest in EMC, one of Grant Park’s commodity trading advisors. The relationship between the principals of the general partner and the principals of EMC may create a conflict of interest in that Mr. Kavanagh, Mr. Al Rayes, and Mr. Meehan may indirectly receive compensation based on the trading services EMC provides to Grant Park, and the general partner may therefore have a disincentive to terminate or replace EMC, even if termination or replacement is or may be in the best interest of Grant Park. The general partner limits the amount of consulting fees paid to EMC to no more than the aggregate dollar amount of consulting fees paid to EMC in 2014, which was $500,300. The consulting fee cap was based on a 10% allocation and EMC will not be paid more than $500,300 per year in consulting fees.

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The general partner, the trading advisors and their respective principals, all of which are engaged in other investment activities, are not required to devote substantially all of their time to Grant Park’s business, which also presents a potential for numerous conflicts of interest with Grant Park. In the case of the trading advisors or reference traders, for example, it is possible that other accounts managed by a trading advisor or reference trader or their respective affiliates may compete with Grant Park for the same or similar trading positions, which may cause Grant Park to obtain prices that are less favorable than those obtained for such other accounts. The trading advisors may also take positions in their proprietary accounts that are opposite to or ahead of Grant Park’s account. Possible trading ahead presents a potential conflict of interest because the trade executed first may receive a more favorable price than the later trade.

As a result of these and other relationships, parties involved with Grant Park may have a financial incentive to act in a manner other than in the best interests of Grant Park and its limited partners. The general partner has not established, and has no plans to establish, any formal procedures to resolve these and other actual or potential conflicts of interest. Consequently, there is no independent control over how the general partner will resolve these conflicts on which investors can rely in ensuring that Grant Park is treated equitably, except that the general partner will resolve each conflict in light of its fiduciary responsibility for the safekeeping and use of all funds and assets of Grant Park.

Certain of Grant Park’s investments may have no readily available market value, and there is a risk that the value attributed to such investments will not be realized upon disposition.

The general partner will determine the fair market value of Grant Park’s investments if a readily available market value does not exist. The value determined by the general partner may not necessarily reflect the liquidation value of such investments. Accordingly, if Grant Park is required to liquidate any such investment in order to meet redemption requests or margin calls, no assurance can be given that the fair market value, as determined by the general partner, or any other value attributed to the investment, will be realized upon disposition. Thus, if you redeem your units at a time when Grant Park holds such investments, the redemption proceeds you receive will depend on the value of Grant Park’s investments as determined by the general partner. In valuing Grant Park’s assets, the general partner may rely on valuations and other reports received from third parties, including advisors to Grant Park. In no event will the general partner be liable for any determination made, or other action taken or omitted, in good faith. All determinations of values by the general partner will be final and conclusive as to all limited partners.

The failure or bankruptcy of one of Grant Park’s clearing brokers could result in a substantial loss of Grant Park’s assets.

Under CFTC regulations, a clearing broker is required to maintain customers’ assets held for trading on U.S. exchanges in one or more segregated accounts. Customers’ assets held for trading on non-U.S. exchanges are maintained in one or more secured accounts held by or for the benefit of Grant Park’s clearing brokers, which accounts are subject to different and generally less extensive treatment under the Commodity Exchange Act and CFTC regulations than applies to customer segregated accounts.If a clearing broker fails to do so, or is unable to satisfy a substantial deficit in a customer account, its other customers may be subject to risk of loss of their funds in the event of that clearing broker’s bankruptcy. In that event, the clearing broker’s customers, such as Grant Park, are entitled to recover, even in respect of property specifically traceable to them, only a proportional share of all property available for distribution to all of that clearing broker’s customers. There can be no assurances that a well-capitalized, major institution will not become bankrupt. Events in the last several years have demonstrated that even major financial institutions can and do fail. Grant Park also may be subject to the risk of the failure of, or delay in performance by, any exchanges and markets and their clearing organizations, if any, on which commodity interest contracts are traded.

From time to time, the clearing brokers may be subject to legal or regulatory proceedings in the course of their business. A clearing broker’s involvement in costly or time-consuming legal proceedings may divert financial resources or personnel away from the clearing broker’s trading operations, which could impair the clearing broker’s ability to successfully execute and clear Grant Park’s trades.

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You are only able to review Grant Park’s holdings on a monthly basis, which makes Grant Park less transparent than certain other investments.

Although Grant Park calculates net asset value daily and will, upon request, provide such information to limited partners, investors in Grant Park are only able to review Grant Park’s holdings on a monthly basis. While the trading advisors receive daily trade confirmations from the clearing brokers of each transaction entered into by Grant Park, Grant Park’s trading results are only reported to investors monthly in summary fashion. Accordingly, an investment in Grant Park does not provide investors the same transparency that a personal trading account offers.

Grant Park has multiple classes which present a possible contagion risk between them.

Although Grant Park has several classes that allocate assets differently among trading advisors or swap arrangements, Grant Park is a single legal entity. Limited partners invested in one or more classes may be compelled to bear the liabilities resulting from another class which such limited partners do not themselves own if there are insufficient assets in that other class to satisfy such liabilities. Accordingly, there is a risk that liabilities of one class may not be limited to that particular class and may be required to be satisfied from one or more other classes. Moreover, in a bankruptcy or insolvency proceeding, Grant Park’s assets may be aggregated without regard to class. In addition, third parties who provide services to one or more classes, and/or other creditors of one or more classes, may have valid claims against the class to which they have provided services, or against the fund as a whole without regard to class.

Grant Park’s brokers, futures commission merchants, and trading advisors may cause or be subject to trading errors, which could adversely affect Grant Park’s performance.

While trading advisors are required to correct trading errors as soon as they are discovered, none of Grant Park, the general partner, the trading advisors or their service providers will be responsible for poor executions or trading errors committed by brokers, futures commission merchants or the trading advisors themselves. Such trading errors could adversely affect Grant Park’s performance.

Grant Park may terminate before you achieve your investment objective.

Grant Park may terminate, regardless of whether Grant Park has incurred losses, before its stated termination date of December 31, 2027. In particular, Grant Park will terminate if the general partner withdraws and the limited partners fail to elect a substitute general partner, if the general partner is subject to bankruptcy, or upon the occurrence of certain other events as described in the limited partnership agreement. However, no amount of losses will require the general partner to terminate Grant Park. Grant Park’s termination would cause the liquidation and potential loss of your investment and could adversely impact the overall maturity and timing of your investment portfolio.

Grant Park is not a registered investment company.

Grant Park is not a registered investment company subject to the Investment Company Act of 1940. Accordingly, you do not have the protections afforded by that statute which, for example, requires registered investment companies to have a majority of disinterested directors and regulates the relationship between the investment company and its investment manager.

Litigation could result in substantial additional expenses.

Grant Park could be named as a defendant in a lawsuit or regulatory action arising out of the activities of the general partner or the trading advisors. If this were to occur, Grant Park will bear the costs of defending such suit or action and will be at further risk if its defense is unsuccessful, which could result in losses to your investment.

The general partner relies heavily on its key personnel to manage Grant Park’s trading activities.

In managing and directing the day-to-day activities and affairs of Grant Park, the general partner relies heavily on Mr. Kavanagh, Mr. Meehan and Maureen O’Rourke, the general partner’s chief financial officer. The loss of the services of any of these persons, or the inability of any of them to carry out their responsibilities, may have an adverse effect on the management of Grant Park.

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The general partner relies on the trading advisors and their key personnel.

The general partner relies on the trading advisors to achieve trading gains for Grant Park, allocating to each of them responsibility for, and discretion over, trading of their allocated portions of Grant Park’s assets. The trading advisors, in turn, are dependent on the services of a limited number of persons to develop and refine their trading approaches and strategies and execute Grant Park’s transactions. The loss of the services of any trading advisor’s principals or key employees, or the failure of those principals or key employees to function effectively as a team, may have an adverse effect on that trading advisor’s ability to manage its trading activities successfully or may cause the trading advisor to cease operations entirely, either of which, in turn, could negatively impact Grant Park’s performance. Each of Grant Park’s trading advisors is controlled, directly or indirectly, by one or more individuals. The death, incapacity or prolonged unavailability of such individuals likely would greatly hinder these trading advisors’ operations, and could result in their ceasing operations entirely, which could adversely affect the value of your investment in Grant Park.

Grant Park may be exposed to style drift.

The general partner cannot control the trading conducted by each trading advisor or reference trader and relies primarily on information provided by such advisors or traders in assessing investment strategies, the underlying risks of different trading strategies and, ultimately, determining whether, and to what extent, the general partner will allocate Grant Park’s assets to such trading advisors. “Style drift” is the risk that a trading advisor or reference trader may deviate from the stated or expected investment strategy or methodology. Style drift can occur abruptly if a trading advisor or reference trader believes that it has identified an investment opportunity for higher returns from a different approach, or it can occur gradually, such as if, for example, an advisor or trader changes its leverage level or modifies its trading signals incrementally over time. Style drift can also occur if a trading advisor or reference trader focuses on factors it had deemed immaterial in its offering documents – such as particular statistical information or returns relative to certain benchmarks. Additionally, style drift poses a particular risk for multiple-manager structures such as Grant Park, since Grant Park may be exposed to particular markets or strategies to a greater extent than was anticipated by the general partner when it assessed the portfolio's risk-return characteristics and allocated assets to certain trading advisors or swap arrangements incorporating reference traders. This may, in turn, result in overlapping strategies or methodologies among various trading advisors or reference traders. The general partner's sole remedy in the event of a deviation by a trading advisor or reference trader from its offering or other governing documents may be only to cause Grant Park to withdraw capital, subject to any applicable withdrawal restrictions.

The general partner may terminate, replace and/or add trading advisors and reference traders in its sole discretion and the trading advisors and reference traders or their trading strategies may not continually serve Grant Park, which may have an adverse effect on Grant Park’s performance.

The general partner may terminate, substitute or retain trading advisors and reference traders on behalf of Grant Park in its sole discretion. Moreover, it is possible that any trading advisor will exercise its rights to terminate the advisory agreement with Grant Park under certain conditions or the advisory agreement with any trading advisor, once it expires, will not be renewed on the same terms as the current advisory agreement for that trading advisor. The addition of a new trading advisor or reference trader and/or the removal of one or more of the current trading advisors or reference traders may cause disruptions in Grant Park’s trading as assets are reallocated and new trading advisors or reference traders transition to Grant Park, which may have an adverse effect on Grant Park’s performance.

The general partner’s allocation of the assets of each class of Grant Park among trading advisors and reference traders may result in less than optimal performance by Grant Park.

The general partner may reallocate assets among the trading advisors and reference traders upon termination of a trading advisor or reference trader, retention of a new trading advisor or reference trader or on the first day of any month. Consequently, Grant Park’s net assets may be apportioned among trading advisors and reference traders in a different manner than the current apportionment. The general partner’s allocation of assets will directly affect the profitability of Grant Park’s trading, possibly in an adverse manner. For example, a trading advisor or reference trader may experience a high rate of return but only be managing a small percentage of Grant Park’s net assets. In this case, the trading advisor’s or reference trader’s performance could have a minimal effect on the net asset value of Grant Park.

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Furthermore, adding, terminating or replacing trading advisors and reference traders cannot provide any assurance that Grant Park’s trading will be successful.

Third parties may infringe or otherwise violate a trading advisor’s intellectual property rights or assert that a trading advisor has infringed or otherwise violated their intellectual property rights, which may result in significant costs and diverted attention.

Third parties may obtain and use a trading advisor’s intellectual property or technology, including its trade secrets and trading program software, without permission. Any unauthorized use or misappropriation of a trading advisor’s proprietary trade secrets, software and other technology could adversely affect its competitive advantage. Proprietary software and other technology are becoming increasingly easy to duplicate, particularly as employees with proprietary knowledge leave the owner or licensed user of that software or other technology. Each trading advisor may have difficulty monitoring unauthorized uses of its proprietary software and other technology. The precautions it has taken may not prevent misappropriation or infringement of its proprietary software and other technology. Also, third parties may independently develop proprietary software and other technology similar to that of a trading advisor or claim that the trading advisor has violated their intellectual property rights, including copyrights, trademark rights, trade names, trade secrets and patent rights. As a result, a trading advisor may have to litigate in the future to protect its trade secrets, determine the validity and scope of other parties’ proprietary rights, defend itself against claims that it has infringed or otherwise violated other parties’ rights, or defend itself against claims that its rights are invalid. Any litigation of this type, even if the trading advisor is successful and regardless of the merits of the action, may result in significant costs, diversion of resources from Grant Park, or require the trading advisor to change its proprietary software and other technology or enter into royalty or licensing agreements.

The success of Grant Park depends on the ability of each of the trading advisors’ and reference traders’ personnel to accurately implement their trading systems, and any failure to do so could subject Grant Park to losses.

Trading advisors’ and reference traders’ computerized trading systems rely on the trading advisors’ and reference traders’ personnel to accurately process the systems’ outputs and execute the transactions specified by the systems. In addition, each trading advisor and reference trader relies on its staff to operate and maintain its computer and communications systems upon which the trading systems rely. Execution and operation of each trading advisor’s and reference trader’s systems is therefore subject to human error. Any failure, inaccuracy or delay in implementing any of the trading advisors’ systems and executing Grant Park’s transactions could impair Grant Park’s ability to identify potential profit opportunities and benefit from them. It could also result in decisions to undertake transactions based on inaccurate or incomplete information, which could cause substantial losses.

Cybersecurity risks could have material adverse effects on Grant Park. 

Cybersecurity incidents and cyber-attacks have been occurring globally at a more frequent and severe level and will likely continue to increase in frequency in the future. The general partner will seek to prevent and mitigate any such incidents but there is no guarantee that it will be successful in such efforts. A cybersecurity incident could have numerous material adverse effects on Grant Park and potentially on its investors. Such incidents could impair the operations, liquidity and financial condition of Grant Park, amongst other potential threats and risks. Cyber threats and/or incidents could cause financial costs from the theft of Grant Park assets (including proprietary information and intellectual property) as well as numerous unforeseen costs including, but not limited to:  litigation expenses, preventative and protective costs, remediation costs and costs associated with reputational damage. Such incidents could also compromise investor personal information and subject such information to the risk of loss or theft.

The inability of Grant Park to access, or the failure of, electronic trading and order routing systems may adversely affect Grant Park’s trading.

Grant Park may trade on electronic trading and order routing systems, which differ from traditional open outcry pit trading and manual order routing methods. Transactions using an electronic system are subject to the rules and regulations of the exchanges offering the system or listing the contract. Characteristics of electronic trading and order routing systems vary widely among the different electronic systems with respect to order matching, opening and closing procedures and prices, error trade policies and trading limitations or requirements. There are also differences regarding

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qualifications for access and grounds for termination and limitations on the types of orders that may be entered into a system. Each of these matters may present different risk factors with respect to trading on or using a particular system. Each system may also present risks related to system access, varying response times and security. In the case of internet-based systems, there may be additional risks related to service providers and the receipt and monitoring of electronic mail.

Grant Park may experience substantial losses on transactions if a trading advisor’s computer or communications systems fail or if a trading advisor, or third parties on which a trading advisor depends, fail to upgrade computer and communications systems.

Each trading advisor’s trading activities, including risk management, depends on the integrity and performance of the computer and communications systems supporting it. Extraordinary transaction volume, hardware or software failure, cyber-attack, power or telecommunications failure, natural disaster or other catastrophe could cause any trading advisor’s computer systems to operate at an unacceptably slow speed or even fail. A significant degradation or failure of the systems that a trading advisor uses to gather and analyze information, enter orders, process data, monitor risk levels and otherwise engage in trading activities may result in substantial losses, liability to other parties, lost profit opportunities, harm to the trading advisors’, the reference traders’, the general partner’s and Grant Park’s reputations, increased operational expenses or diversion of technical resources.

The development of complex communications and new technologies may render existing computer and communication systems supporting the trading advisors’ trading activities obsolete. In addition, these systems must be compatible with those of third parties, such as the systems utilized by exchanges, clearing brokers and executing brokers used by the trading advisors. If these third parties upgrade their systems, the trading advisors will need to make corresponding upgrades to continue effectively their trading activities. Grant Park’s future success will in part depend on each trading advisor’s and third party’s ability to respond to changing technologies on a timely and cost-effective basis.

Each trading advisor depends on the reliable performance of the computer or communications systems of third parties, such as brokers and futures exchanges, and may experience substantial losses on transactions if they fail.

Each trading advisor depends on the proper and timely function of complex computer and communications systems maintained and operated by the futures exchanges, brokers and other data providers that the trading advisor uses to conduct its trading activities. Failure or inadequate performance of any of these systems could adversely affect a trading advisor’s ability to complete transactions, including its ability to enter new orders, execute existing orders, modify or cancel orders that were previously entered or close out positions, and could result in lost profit opportunities and significant losses on commodity interest transactions. Any of these conditions could have a material adverse effect on revenues and materially reduce Grant Park’s capital. For example, unavailability of price quotations from third parties may make it difficult or impossible for a trading advisor to use the proprietary software that it relies upon to conduct its trading activities. Unavailability of records from brokerage firms can make it difficult or impossible for a trading advisor to accurately determine which transactions have been executed or the details, including price and time, of any transaction executed. This unavailability of information also may make it difficult or impossible for the trading advisor to reconcile its records of transactions with those of another party or to settle executed transactions.

Forwards, swaps and other derivatives are subject to varying regulation and risks.

On December 16, 2015, the CFTC adopted margin requirements for non-cleared OTC derivatives executed by registered swap dealers or major swap participants for which no U.S. federal banking agency is a prudential regulator. On December 8, 2020, the CFTC adopted certain amendments to its margin requirements for uncleared swaps to revise the calculation method for determining whether certain entities come within the scope of initial margin requirements for uncleared swaps, beginning in the last phase of a phased compliance schedule, which starts on September 1, 2022, and the timing for compliance with the initial margin requirements after the end of the phased compliance schedule. Although Grant Park is not directly subject to these margin requirements, to the extent that Grant Park enters into a non-cleared OTC derivatives transaction with a counterparty subject to such requirements, Grant Park will be indirectly affected since such counterparty will be required to collect margin from or post margin to, as applicable, Grant Park.

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Risks posed by OTC instruments and techniques include: (1) credit risk (the exposure to the possibility of loss resulting from a counterparty’s failure to meet its financial obligations); (2) market risk (adverse movements in the price of a financial asset or commodity); (3) legal risk (the characterization of a transaction or a party’s legal capacity to enter into it could render the financial contract unenforceable, and the insolvency or bankruptcy of a counterparty could preempt otherwise enforceable contract rights); (4) operational risk (inadequate controls, deficient procedures, human error, system failure or fraud); (5) documentation risk (exposure to losses resulting from inadequate documentation); (6) liquidity risk (exposure to losses created by inability to prematurely terminate the derivative); (7) systemic risk (the risk that financial difficulties in one institution or a major market disruption will cause uncontrollable financial harm to the financial system); (8) concentration risk (exposure to losses from the concentration of closely related risks such as exposure to a particular industry or exposure linked to a particular entity); and (9) settlement risk (the risk faced when one party to a transaction has performed its obligations under a contract but has not yet received value from its counterparty).

The failure to comply with the USA Patriot Act may subject Grant Park to substantial negative consequences.

The USA Patriot Act of 2001, as amended (the “Patriot Act”) contains, among other things, provisions intended to safeguard against the laundering of money in the United States by individuals involved in illicit or illegal activities. The Patriot Act focuses on individuals wishing to invest their money in U.S. ventures, and provides that domestic investment entities (such as Grant Park) that accept money from such individuals must conduct a substantial investigation to determine whether prospective investors are, or may be, engaged in illicit or illegal activities. If the general partner inadvertently admits a prohibited person or entity as an investor in Grant Park, substantial negative consequences to Grant Park could result, including but not limited to the freezing and/or forfeiture of all of Grant Park’s assets as well as reputational harm. Grant Park undertakes reasonable efforts to safeguard itself from being used by individuals to disguise their illegal or illicit activities. Despite these efforts, however, there is no guarantee that dishonest individuals or those engaged in illicit or illegal activities will be screened successfully from participating as investors in Grant Park.

The failure to comply with economic sanction laws and the U.S. FCPA may subject Grant Park to substantial negative consequences.

Economic sanction laws in the United States and other jurisdictions may prohibit the general partner and Grant Park from transacting with or in certain countries and with certain individuals and companies. In the United States, the U.S. Department of the Treasury’s Office of Foreign Assets Control (OFAC) administers and enforces laws, Executive Orders and regulations establishing U.S. economic and trade sanctions. Such sanctions prohibit, among other things, transactions with, and the provision of services to, certain foreign countries, territories, entities and individuals identified by OFAC. In addition, certain programs administered by OFAC prohibit dealing with individuals or entities in certain countries regardless of whether such individuals or entities have been specifically identified by OFAC.

The general partner and Grant Park are committed to complying with the U.S. Foreign Corrupt Practices Act (FCPA) and other anti-corruption laws, anti-bribery laws and regulations, as well as anti-boycott regulations, to which they are subject. In recent years, the U.S. Department of Justice and the SEC have devoted greater resources to enforcement of the FCPA. While the general partner will generally seek to comply with the FCPA, such efforts may not be effective in all instances to prevent violations. In addition, despite the general partner’s efforts, trading advisors may engage in activities that could result in FCPA violations. Any determination that the general partner or Grant Park has violated the FCPA or other applicable laws could subject Grant Park to, among other things, various penalties, fines, litigation or general loss of investor confidence, any one of which could materially adversely affect Grant Park’s ability to achieve its investment objective and/or conduct its operations.

Tax Risks

Partnership treatment is not assured.

Grant Park has previously received an opinion of counsel, based on factual representations and customary assumptions, to the effect that, under current U.S. federal income tax law, Grant Park will be treated as a partnership for U.S. federal income tax purposes, provided that (a) at least 90% of Grant Park’s annual gross income has previously

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consisted of and currently consists of “qualifying income” as defined in Section 7704 of the Internal Revenue Code of 1986, as amended, and (b) Grant Park is organized and operated in accordance with its governing agreements and applicable law. The general partner believes it is likely, but not certain, that Grant Park will continue to meet the foregoing test. However, an opinion of counsel is subject to changes in applicable tax laws and is not binding on the Internal Revenue Service, any other taxing authority or any court.

If Grant Park were to be treated as an association or publicly traded partnership taxable as a corporation instead of as a partnership for U.S. federal income tax purposes, (1) its net taxable income would be taxed at corporate income tax rates, thereby substantially reducing its profitability, (2) you would not be allowed to deduct your share of losses, and (3) distributions to you, other than liquidating distributions, would constitute dividends to the extent of Grant Park’s current and accumulated earnings and profits and would be taxable as such.

Your tax liability may exceed your cash distributions.

Cash is distributed to limited partners at the sole discretion of the general partner, and the general partner does not currently intend to distribute cash to limited partners. Limited partners nevertheless will be subject to federal income tax, and in some cases, state, local or foreign income tax, on their share of Grant Park’s net income and gain each year, regardless of whether they redeem any units or receive any cash distributions from Grant Park.

You could owe taxes on your share of Grant Park’s ordinary income despite overall losses.

Gain or loss on domestic futures and options on futures as well as on most foreign currency contracts will generally be taxed as capital gains or losses for U.S. federal income tax purposes. Interest income and other ordinary income earned by Grant Park generally cannot be offset by capital losses. Consequently, you could owe taxes on your allocable share of Grant Park’s ordinary income for a calendar year even if Grant Park reports a net trading loss for that year. Also, particular operating expenses of Grant Park, such as trading advisor consulting and incentive fees, may not be deductible, or may be subject to limitations, for purposes of calculating your federal and/or state and local income tax liability.

There is the possibility of a tax audit.

No assurances can be given that Grant Park’s tax returns will not be audited by a taxing authority or that an audit will not result in adjustments to Grant Park’s tax returns. Any adjustments resulting from an audit may require each limited partner to file an amended tax return and to pay additional taxes plus interest, which generally is not deductible, and might result in an audit of the limited partner’s own tax return. An audit of a limited partner’s tax return could result in adjustments of non-Grant Park, as well as Grant Park, income and deductions.

The Bipartisan Budget Act of 2015 introduced new procedures and rules that apply in the case of an audit of a partnership for taxable years beginning after December 31, 2017. These procedures and rules generally provide that assessment and collection of additional income taxes will be made at the partnership level rather than at the partner level. As a result, any such income tax assessment would be borne by limited partners that own units of Grant Park at the time of such assessment, which may be different persons, or persons with different ownership percentages, than persons owning units for the tax year at issue.

Tax law changes could affect an investment in Grant Park.

Legislative, regulatory or administrative changes to the tax laws could be enacted or promulgated at any time, either prospectively or with retroactive effect, and may adversely affect Grant Park and/or its investors. The individual and collective impact of such changes is uncertain, and may not become evident for some period of time.

ITEM 1B. UNRESOLVED STAFF COMMENTS

None.

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ITEM 2. PROPERTIES

Grant Park does not own or use any physical properties in the conduct of its business. Its assets currently consist of U.S. and international futures and forward contracts and other interests in commodities, including options contracts on futures, forwards, commodities, spot contracts, security futures contracts, swap contracts, mutual funds, exchange-traded funds and fixed income products. Grant Park’s main office is located at 555 West Jackson Boulevard, Suite 600, Chicago, Illinois 60661.

ITEM 3. LEGAL PROCEEDINGS

Grant Park is not a party to any pending material legal proceedings.

ITEM 4. MINE SAFETY DISCLOSURES

Not applicable.

PART II

ITEM 5. MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES

There is no established trading market for any of Grant Park’s units. All units may be transferred or redeemed subject to the conditions imposed by Grant Park’s Third Amended and Restated Limited Partnership Agreement (the “Partnership Agreement”).As of January 31, 2021 there were 29 Class A unit holders, 1,420 Class B unit holders, 15 Legacy 1 Class unit holders, 6 Legacy 2 Class unit holders, 518 Global 1 Class unit holders, 19 Global 2 Class unit holders, 1 Global 3 Class unit holders, and 4,027.89 Class A units, 38,594.85 Class B units, 479.12 Legacy 1 Class units, 403.68 Legacy 2 Class units, 15,620.71 Global 1 Class units, 749.18 Global 2 Class units and 12.62 Global 3 Class units outstanding.

Dearborn Capital Management, L.L.C., as Grant Park’s general partner, has sole discretion in determining what distributions, if any, Grant Park will make to its unit holders. Grant Park has not made any such distributions as of the date hereof. The general partner does not intend to make any distributions of Grant Park’s assets.

Effective April 1, 2019, Grant Park no longer offers its limited partnership units for sale. For existing investors in Grant Park, business continues to be conducted as usual. The proceeds of the offering were deposited in Grant Park’s bank and brokerage accounts for the purpose of engaging in trading activities in accordance with Grant Park’s trading policies and its trading advisors’ respective trading strategies.

Issuer Purchases of Equity Securities

There are no Grant Park units authorized for issuance under any equity compensation plans. There have been no sales of unregistered securities of Grant Park during the quarter ended December 31, 2020. In addition, Grant Park did not repurchase any units under a formal repurchase plan. All Grant Park unit redemptions were in the ordinary course of business during the quarter ended December 31, 2020.  There have not been any purchases of units by Grant Park or any affiliated purchasers during the quarter ended December 31, 2020.

ITEM 6. SELECTED FINANCIAL DATA

The following selected consolidated financial data of Grant Park as of and for the years ended December 31, 2020, 2019, 2018, 2017 and 2016 is derived from the consolidated financial statements that have been audited by RSM US LLP. Grant Park’s independent registered public accountant. This financial data should be read in conjunction with “Management’s Discussion and Analysis of Financial Condition and Results of Operations”, and with Grant Park’s consolidated financial statements and the notes thereto, included in Item 8. in this Annual Report on Form 10-K. Results from past periods are not necessarily indicative of results that may be expected for any future period.

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	As of and For the Year Ended December 31,
	2020		2019		2018		2017		2016
Total assets	$	46,828,683	$	64,899,930	$	79,748,114	$	116,298,655	$	170,589,898
Total partners’ capital		45,237,581		63,185,907		77,934,699		113,483,622		165,364,938
Net trading gains (losses)		(3,802,216)		6,591,521		(5,721,743)		1,001,345		10,689,956
Interest income		222,742		770,306		753,179		1,057,222		1,316,496
Dividend income		312,879		386,109		211,314		501,762		—
Total expenses		2,886,118		4,037,079		4,817,537		7,379,857		11,342,814
Net income (loss)		(6,152,713)		3,710,857		(9,574,787)		(4,819,528)		663,638
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		(91.29)		45.86		(104.16)		(33.85)		(8.55)
General Partner & Limited Partner Class B Units		(78.01)		32.47		(90.06)		(33.37)		(13.39)
General Partner & Limited Partner Legacy 1 Class Units		(59.65)		55.94		(65.72)		(7.29)		11.81
General Partner & Limited Partner Legacy 2 Class Units		(59.58)		51.94		(66.03)		(9.19)		9.36
General Partner & Limited Partner Global 1 Class Units		(56.37)		59.47		(58.02)		(3.40)		21.11
General Partner & Limited Partner Global 2 Class Units		(56.19)		56.73		(58.86)		(5.07)		20.16
General Partner & Limited Partner Global 3 Class Units		(57.02)		36.72		(61.93)		(16.86)		5.70

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Supplementary Quarterly Financial Information

The following summarized quarterly financial information presents Grant Park’s results of operations for the three-month periods ended March 31, June 30, September 30, and December 31, 2020 and 2019, which is unaudited. However, in the opinion of Grant Park, all adjustments, consisting of normal recurring adjustments, necessary for a fair presentation have been made. Interim results are subject to significant seasonal variations and are not indicative of the results of operations to be expected for a full fiscal year.

	1st Quarter		2nd Quarter		3rd Quarter		4th Quarter
	2020		2020		2020		2020
	(unaudited)		(unaudited)		(unaudited)		(unaudited)
Total trading gains (losses)	$	(9,202,285)	$	1,172,398	$	245,952	$	3,981,719
Net income (loss)		(9,773,609)		675,841		(303,112)		3,248,167
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		(156.57)		9.82		(6.78)		62.24
General Partner & Limited Partner Class B Units		(127.32)		6.83		(6.58)		49.06
General Partner & Limited Partner Legacy 1 Class Units		(127.30)		12.42		(1.63)		56.86
General Partner & Limited Partner Legacy 2 Class Units		(124.05)		11.61		(2.01)		54.87
General Partner & Limited Partner Global 1 Class Units		(127.02)		13.52		(0.66)		57.79
General Partner & Limited Partner Global 2 Class Units		(124.28)		12.71		(1.07)		56.45
General Partner & Limited Partner Global 3 Class Units		(105.65)		7.97		(3.42)		44.08
Net asset value per unit:
General Partner & Limited Partner Class A Units		835.53		845.35		838.57		900.81
General Partner & Limited Partner Class B Units		672.46		679.29		672.71		721.77
General Partner & Limited Partner Legacy 1 Class Units		704.98		717.40		715.77		772.63
General Partner & Limited Partner Legacy 2 Class Units		684.22		695.83		693.82		748.69
General Partner & Limited Partner Global 1 Class Units		709.85		723.37		722.71		780.50
General Partner & Limited Partner Global 2 Class Units		691.71		704.42		703.35		759.80
General Partner & Limited Partner Global 3 Class Units		571.64		579.61		576.19		620.27

	1st Quarter		2nd Quarter		3rd Quarter		4th Quarter
	2019		2019		2019		2019
	(unaudited)		(unaudited)		(unaudited)		(unaudited)
Total trading gains (losses)	$	1,872,263	$	1,932,592	$	2,850,836	$	(64,170)
Net income (loss)		1,119,691		1,109,653		2,064,034		(582,521)
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 Unit		13.76		13.27		28.01		(9.18)
General Partner & Limited Partner Class B Unit		9.89		9.90		21.40		(8.72)
General Partner & Limited Partner Legacy 1 Class Unit		15.58		15.39		28.03		(3.06)
General Partner & Limited Partner Legacy 2 Class Unit		14.19		14.48		26.62		(3.35)
General Partner & Limited Partner Global 1 Class Unit		15.70		16.49		29.21		(1.93)
General Partner & Limited Partner Global 2 Class Unit		15.48		15.62		27.94		(2.31)
General Partner & Limited Partner Global 3 Class Unit		10.71		10.38		20.53		(4.90)
Net asset value per unit:
General Partner & Limited Partner Class A Unit		960.00		973.27		1,001.28		992.10
General Partner & Limited Partner Class B Unit		777.20		787.10		808.50		799.78
General Partner & Limited Partner Legacy 1 Class Unit		791.92		807.31		835.34		832.28
General Partner & Limited Partner Legacy 2 Class Unit		770.52		785.00		811.62		808.27
General Partner & Limited Partner Global 1 Class Unit		793.10		809.59		838.80		836.87
General Partner & Limited Partner Global 2 Class Unit		774.74		790.36		818.30		815.99
General Partner & Limited Partner Global 3 Class Unit		651.28		661.66		682.19		677.29

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ITEM 7. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Introduction

Grant Park has been in continuous operation since it commenced trading on January 1, 1989. Since its inception and through February 28, 2003, Grant Park offered its beneficial interests exclusively to qualified investors on a private placement basis. Effective June 30, 2003, Grant Park publicly offered its units for sale. Grant Park’s registration statement was withdrawn on April 1, 2019 and units of Grant Park are no longer offered for sale. For existing investors in Grant Park, business continues to be conducted as usual. There was no change in the trading, operations, or monthly statements, etc. as a result of the termination of the offering, and redemption requests continue to be offered on a monthly basis.

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, swap transactions, other interests in commodities, mutual funds, exchange-traded funds 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 quoted forward spot prices, swap transactions with the valuation based on daily price reporting from the swap counterparty, 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 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 U.S. 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 the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic (“ASC”) 820, Fair Value Measurements and Disclosures. Grant Park utilizes valuation techniques that are consistent with the market approach per the requirement of ASC 820 for the valuation of futures (exchange traded) contracts, forward (non-exchange traded) contracts, option contracts, swap transactions, other interests in commodities, mutual funds, exchange-traded funds and fixed income products. 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, options on futures contracts and exchange-traded funds are based upon exchange settlement prices. Grant Park values forward contracts and options on forward contracts based on the average bid and ask price of quoted forward spot prices obtained. 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 compares market prices quoted by dealers to the cost plus accrued

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interest to ensure a reasonable approximation of fair value. Grant Park values bank deposits at face value plus accrued interest, which approximates fair value. The investment in the total return swap is reported at fair value based on daily price reporting from the swap counterparty, which uses exchange prices to value most futures positions and the remaining positions are valued using proprietary pricing models of the counterparty. The investment in mutual funds is reported at fair value based on quoted market prices as of the last day of the reporting period.

Results of Operations

The results of operations for the year ended December 31, 2018 are not included in this filing but can be found in Grant Park’s 2018 Annual Report on Form 10-K in Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

Grant Park’s returns, which are Grant Park’s trading gains plus interest and dividend income less brokerage fees, performance fees, operating costs and offering costs borne by Grant Park, for the years ended December 31, 2020 and 2019 are set forth in the table below:

	2020		2019
Total return – Class A Units	(9.20)	%	4.85	%
Total return – Class B Units	(9.75)	%	4.23	%
Total return – Legacy 1 Class Units	(7.17)	%	7.20	%
Total return – Legacy 2 Class Units	(7.37)	%	6.87	%
Total return – Global 1 Class Units	(6.74)	%	7.65	%
Total return – Global 2 Class Units	(6.89)	%	7.47	%
Total return – Global 3 Class Units	(8.42)	%	5.73	%

Grant Park’s total net asset value at December 31, 2020 and 2019 was $45.2 million and $63.2 million, respectively. Results from past periods are not indicative of results that may be expected for any future period.

Year ended December 31, 2020

Trading on international markets may increase the risk that events or circumstances that disrupt such markets may have a materially adverse effect on Grant Park’s business or operations or the value of positions held by Grant Park. Such events or circumstances may include, but are not limited to, inflation or deflation, currency devaluation, interest rate changes, exchange rate fluctuations, changes in government policies, natural disasters, pandemics or other extraordinary events such as coronavirus, armed conflicts, political or social instability or other unforeseen developments that cannot be quantified.

On March 11, 2020, the World Health Organization declared the novel coronavirus disease 2019, known as COVID-19 (“COVID-19”), a pandemic. The COVID-19 global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Therefore, Grant Park could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates can have the same impact on all types of securities and instruments. In times of severe market disruptions, you could lose your entire investment.

January. Grant Park recorded losses during the month. Class A units were down 1.14%, Class B units were down 1.19%, Legacy 1 Class units were down 0.95%, Legacy 2 Class units were down 0.97%, Global 1 Class units were down 0.91%, Global 2 Class units were down 0.93% and Global 3 Class units were down 1.06%. Overall Grant Park performance was negative, led by losses in the equities sector. Positive performance in the fixed income, agriculturals, energies, metals and currencies sectors partially offset Grant Park losses. Negative performance in equities was driven by

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positions in the FTSE, MSCI EM, Dax, Nikkei and Hang Seng indices. Positive performance in the fixed income sector was driven by positions in the Bund, U.S. Treasury Bonds, Euro OAT Futures, U.S. 10-year Treasury Notes and eurodollars. Gains in the agriculturals sector were led by positions in soybeans, soybean meal and sugar. Performance in the energies sector was driven by positions in gas oil, heating oil and natural gas. Positive performance in metals was led by positions in gold. Performance in the currencies sector was slightly positive as gains from positions in the euro and Australian dollar were somewhat offset by losses in positions in the Swedish krona.

February. Grant Park recorded losses during the month. Class A units were down 3.79%, Class B units were down 3.84%, Legacy 1 Class units were down 3.60%, Legacy 2 Class units were down 3.62%, Global 1 Class units were down 3.55%, Global 2 Class units were down 3.57% and Global 3 Class units were down 3.72%. Overall Grant Park performance was negative, led by losses in the equities and agriculturals sectors. Positive performance in the fixed income, currencies, metals and energies sectors partially offset Grant Park losses. Negative performance in equities was driven by positions in the FTSE, Nikkei, S&P 500, Dow, MSCI EM and Eurostoxx indices. Losses in agriculturals were led by positions in wheat, cotton, soybean meal and soybeans. Positive performance in the fixed income sector was driven by positions in the Bund, eurodollars, U.S. Treasury Bonds, U.S. 10-year Treasury Notes, Euro OAT Futures and U.S. 5-year Treasury Notes. Gains in the currencies sector were led by positions in the euro, Japanese yen, Australian dollar, New Zealand dollar and Canadian dollar. Performance in the metals sector was driven by positions in gold and silver. Energies performance was flat as gains from positions in gas oil and brent oil were offset by losses from positions in gasoline blendstock and crude oil.

March. Grant Park recorded losses during the month. Class A units were down 11.46%, Class B units were down 11.51%, Legacy 1 Class units were down 11.29%, Legacy 2 Class units were down 11.31%, Global 1 Class units were down 11.25%, Global 2 Class units were down 11.27% and Global 3 Class units were down 11.40%. Overall Grant Park performance was negative, led by losses in the equities sector. Positive performance in the currencies, energies, agriculturals, fixed income and metals sectors partially offset Grant Park losses. Negative performance in equities was driven by positions in the FTSE, Nikkei, MSCI EM, Dax, S&P Midcap, Russell 2000, S&P Canada and Eurostoxx indices. Positive performance in the currencies sector was driven by positions in the Norwegian krone, Canadian dollar, euro, Australian dollar and Japanese yen. Gains in the energies sector were led by positions in brent oil, gas oil and heating oil. Performance in the agriculturals sector was driven by positions in soybean, cotton and live cattle. Fixed income performance was positive led by positions in eurodollars, bunds, U.S. Treasury Bonds and U.S. 5-year Treasury Notes. Metals performance was slightly positive as losses in gold positions offset some gains from positions in copper and silver.

April. Grant Park recorded gains during the month. Class A units were up 1.21%, Class B units were up 1.15%, Legacy 1 Class units were up 1.40%, Legacy 2 Class units were up 1.38%, Global 1 Class units were up 1.45%, Global 2 Class units were up 1.43% and Global 3 Class units were up 1.28%. Overall Grant Park performance was positive, led by gains in the equities, fixed income, energies and metals sectors. Negative performance in the currencies and agriculturals sectors partially offset Grant Park gains. Positive performance in the equities sector was driven by positions in the OMX 30, Dax, FTSE, MSCI EM and the S&P Midcap indices. Performance in the fixed income sector was led by positions in Euro OAT Futures, Eurodollars and short sterling. Gains in the energies sector were led by positions in heating oil and gas oil; crude oil and natural gas positions partially offset sector gains. Metals performance was slightly positive as gains in gold positions were partially offset by losses from positions in high grade copper and nickel. Negative performance in currencies was driven by positions in the Australian dollar, euro and British pound. Performance in agriculturals was led by positions in wheat and cotton.

May. Grant Park recorded gains during the month. Class A units were up 0.69%, Class B units were up 0.63%, Legacy 1 Class units were up 0.88%, Legacy 2 Class units were up 0.86%, Global 1 Class units were up 0.93%, Global 2 Class units were up 0.91% and Global 3 Class units were up 0.76%. Overall Grant Park performance was positive, led by gains in the equities, currencies and metals sectors. Negative performance in the agriculturals, energies and fixed income sectors partially offset Grant Park gains. Positive performance in the equities sector was driven by positions in the Eurostoxx, OMX 30, All ORD and the S&P Midcap indices. Performance in the currencies sector was led by positions in the Mexican peso, Norwegian krone and British pound. The metals sector was unchanged; gains in gold positions were offset by losses in silver and copper positions. Negative performance in agriculturals was led by positions in wheat and corn. Energies performance was driven by positions in heating oil and gas oil. Fixed income performance was led by positions in Italian government bonds, gilts and Euribor.

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June. Grant Park recorded losses during the month. Class A units were down 0.72%, Class B units were down 0.76%, Legacy 1 Class units were down 0.52%, Legacy 2 Class units were down 0.54%, Global 1 Class units were down 0.48%, Global 2 Class units were down 0.50% and Global 3 Class units were down 0.64%. Overall Grant Park performance was negative, led by losses in the agriculturals, currencies and energies sectors. Positive performance in the equities, metals and fixed income sectors partially offset Grant Park losses. Negative performance in agriculturals was led by positions in soybeans, corn and soybean meal. Currencies performance was driven by positions in the euro, Japanese yen, Mexican peso, Canadian dollar and Australian dollar. Negative performance in energies was led by positions in gas oil. Positive performance in the equities sector was driven by positions in the Eurostoxx, OMX 30, Nikkei, MSCI EM and the NASDAQ indices. Gains in the metals sector were led by positions in gold, copper and nickel. Performance in the fixed income sector was led by positions in Euro OAT Futures and short sterling.

July. Grant Park recorded gains during the month. Class A units were up 0.77%, Class B units were up 0.71%, Legacy 1 Class units were up 0.96%, Legacy 2 Class units were up 0.94%, Global 1 Class units were up 1.01%, Global 2 Class units were up 0.99% and Global 3 Class units were up 0.84%. Overall Grant Park performance was positive, led by gains in the metals and fixed income sectors. Positive performance in metals was led by positions in gold, silver and copper. Fixed income performance was driven by positions in Euro OAT Futures, short sterling, Eurodollars, U.S. 5-year Treasury Notes and U.S. Treasury Bonds. Negative performance in the agriculturals, equities, energies and currencies sectors partially offset Grant Park gains. Negative performance in agriculturals was driven by positions in wheat, soybean meal and cotton. Equities performance was driven by positions in the S&P 500 and FTSE indices. Performance in energies was led by positions in natural gas and heating oil. Performance in the currencies sector was negative due to losses from positions in the euro, British pound, Japanese yen and Canadian dollar.

August. Grant Park recorded gains during the month. Class A units were up 0.87%, Class B units were up 0.81%, Legacy 1 Class units were up 1.03%, Legacy 2 Class units were up 1.02%, Global 1 Class units were up 1.08%, Global 2 Class units were up 1.05% and Global 3 Class units were up 0.94%. Overall Grant Park performance was positive, led by gains in the equities, metals, currencies and fixed income sectors. Negative performance in the energies and agriculturals sectors partially offset Grant Park gains. Performance in equities was positive and was driven by positions in the Nasdaq, OMX 30, FTSE and Euro Stoxx indices. Positive performance in metals was led by positions in high grade copper and nickel. Performance in currencies was led by positions in the Norwegian krone, the British pound and the Australian dollar. Fixed income performance was driven by positions in gilts, Japanese government bonds and U.S. 5-year Treasury Notes. Performance in energies was led by positions in natural gas. Negative performance in agriculturals was driven by positions in corn, wheat and soybean meal.

September. Grant Park recorded losses during the month. Class A units were down 2.40%, Class B units were down 2.46%, Legacy 1 Class units were down 2.19%, Legacy 2 Class units were down 2.21%, Global 1 Class units were down 2.14%, Global 2 Class units were down 2.16% and Global 3 Class units were down 2.33%. Overall Grant Park performance was negative, led by losses in currencies, metals, fixed income, equities and energies sectors. Performance in currencies was led by positions in the Norwegian krone, the British pound, the euro and the Australian dollar. Negative performance in metals was led by positions in gold, high grade copper, zinc and nickel. Performance in equities was negative and was driven by positions in the Euro Stoxx, Nasdaq, S&P 500 and the MSCI EM indices. Fixed income performance was driven by positions in gilts, Japanese government bonds and bunds. The energies sector was flat as losses in positions in crude oil were largely offset by position in gas oil and brent oil. Positive performance in the agriculturals sectors partially offset Grant Park losses. Performance in agriculturals was driven by positions in soybeans, soybean meal and corn.

October. Grant Park recorded losses during the month. Class A units were down 0.94%, Class B units were down 0.99%, Legacy 1 Class units were down 0.75%, Legacy 2 Class units were down 0.77%, Global 1 Class units were down 0.71%, Global 2 Class units were down 0.73% and Global 3 Class units were down 0.87%. Overall Grant Park performance was negative, led by losses in the equities, metals and currencies sectors. Performance in the equities sector was negative and driven by positions in the OMX 30, Euro Stoxx, Hang Seng and the Nikkei indices. Negative performance in metals was led by positions in gold, copper and nickel. Performance in currencies was slightly negative across multiple positions. Positive performance in the agriculturals, energies and fixed income sectors partially offset Grant Park losses. In agriculturals, positions in cotton and soybeans were profitable. Energies performance was positive,

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led by positions in brent oil, gas oil and heating oil. Fixed income performance was driven by positions in Euro OAT futures and German bunds.

November. Grant Park recorded gains during the month. Class A units were up 4.99%, Class B units were up 4.93%, Legacy 1 Class units were up 5.19%, Legacy 2 Class units were up 5.16%, Global 1 Class units were up 5.23%, Global 2 Class units were up 5.21% and Global 3 Class units were up 5.06%. Overall Grant Park performance was positive, led by gains in the equities, agriculturals and currencies sectors. Performance in equities was positive and was primarily driven by positions in the Nikkei and OMX 30 indices. Positive performance in agriculturals was driven by positions in soybeans, soybean meal, cotton and canola. Performance in currencies was led by positions in the Norwegian krone, the New Zealand dollar and the Polish zloty. Performance in metals was flat as gains in copper, zinc and silver were offset by losses in gold. Negative performance in the energies and fixed income sectors partially offset Grant Park losses. Performance in energies was driven by positions in brent oil, gas oil and heating oil. Negative performance in fixed income was led by positions in German bunds, Japanese government bonds and Euro OAT futures.

December. Grant Park recorded gains during the month. Class A units were up 3.29%, Class B units were up 3.27%, Legacy 1 Class units were up 3.40%, Legacy 2 Class units were up 3.41%, Global 1 Class units were up 3.36%, Global 2 Class units were up 3.43% and Global 3 Class units were up 3.36%. Overall Grant Park performance was positive, led by gains across multiple sectors. Positive performance in agriculturals was driven by positions in soybeans, cotton, corn, soybean meal and canola. Performance in equities was positive and was driven by positions in the Nikkei, MSCI Emerging Markets and the Nasdaq indices. Positive performance in metals was driven by positions in gold, copper and nickel. Performance in currencies was led by positions in the euro, Swiss franc, Australian dollar, Norwegian krone and the New Zealand dollar. Performance in energies was driven by positions in crude oil, natural gas and gasoline blendstock. Negative performance in the fixed income sector was led by position in gilts and Italian government bonds.

For the year ended December 31, 2020, Grant Park had a negative return of 9.2% for the Class A units, a negative return of 9.8% for the Class B units, a negative return of 7.2% for the Legacy 1 Class units, a negative return of 7.4% for the Legacy 2 Class units, a negative return of 6.7% for the Global 1 Class units, a negative return of 6.9% for the Global 2 Class units, and a negative return of 8.4% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading gains of approximately 7.6%, which were decreased by losses of approximately 11.9% from swap transactions and securities and increased by approximately 1.1% from interest and dividend income. These trading gains were decreased by approximately 5.7% in combined total brokerage fees, performance fees and operating and offering costs borne by Grant Park. An analysis of the 7.6% trading gains by sector, excluding the swap transactions and securities, is as follows:

	% Gain (Loss)
Agriculturals	2.6	%
Currencies	1.0
Energy	(0.5)
Interest rates	3.7
Meats	0.1
Metals	2.8
Soft commodities	0.8
Stock indices	(2.3)
Forward currency contracts	(0.6)
Total	7.6	%

Year ended December 31, 2019

January. Grant Park recorded losses during the month. Class A units were down 1.33%, Class B units were down 1.39%, Legacy 1 Class units were down 1.14%, Legacy 2 Class units were down 1.16%, Global 1 Class units were down 1.10%, Global 2 Class units were down 1.12% and Global 3 Class units were down 1.26%. The U.S. dollar weakened slightly compared to the Australian and New Zealand dollars after the Federal Reserve said it would slow the pace of future interest rate hikes. The Canadian dollar strengthened on rising oil prices. The British pound strengthened

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on growing expectations that Britain can avoid a no-deal Brexit. Crude oil prices rose over 18% as domestic crude oil inventories rose less than expected and after the U.S. imposed sanctions on Venezuela. Natural gas prices declined on elevated supplies. Global equity markets rose due to the Federal Reserve’s announcement concerning interest rate hikes, on optimism for trade talks between the U.S. and China and due to stronger-than-expected earnings for the fourth quarter. Global fixed income markets rose in reaction to the Federal Reserve’ policy announcement and the European Central Bank indicated it would leave interest rates at current levels at least through the summer. Wheat markets rose in anticipation of reopening trade with China and as Russia considered reducing exports. Soybean prices rose as poor weather in Brazil threatened to reduce crop yields. Cocoa markets fell over 10% as weather conditions in West Africa improved and eased supply concerns. Coffee prices rose when the Brazilian government projected this year's coffee crop would experience a significant decline compared to last year's record harvest. Gold and precious metals markets rose as the Federal Reserve left interest rates unchanged and indicated a slower pace for raising interest rates. Copper and other base metal prices rose on firming demand, on optimism that Beijing’s stimulus will help China’s economy and on optimism about the resolution of the U.S.-China trade negotiations.

February. Grant Park recorded gains during the month. Class A units were up 0.80%, Class B units were up 0.74%, Legacy 1 Class units were up 0.99%, Legacy 2 Class units were up 0.97%, Global 1 Class units were up 1.04%, Global 2 Class units were up 1.02% and Global 3 Class units were up 0.87%. The U.S. dollar strengthened on hopes for progress in trade talks between the U.S. and China. The Australian and New Zealand dollars weakened after Australia’s central bank considered a possible rate cut as it acknowledged growing economic risks. The Japanese yen fell following data of weakening economic performance. The British pound strengthened after Prime Minister Theresa May said Parliament will be allowed to vote on a “no-deal” Brexit or delay. Crude oil prices rose due to new U.S. imposed sanctions on Venezuela, reduced output by OPEC and a continued slowdown in U.S. drilling activity. Heating oil prices moved higher on lower inventories. Global equity markets rose on reports of progress in trade talks between the U.S. and China and a boost in energy stocks amid rising oil prices. Global fixed income markets declined slightly on optimism for a U.S.-China trade deal and easing Brexit fears. Wheat and corn markets fell on muted demand and abundant supplies. Coffee prices declined over 10% due to excess supplies and a weaker Brazilian real. Cocoa markets moved higher as demand increased and concerns arose about poor weather conditions in the Ivory Coast. Cotton markets moved higher on optimism about a possible trade deal between the U.S. and China. Gold and silver markets moved lower as a stronger dollar reduced demand for the safe-haven assets. Copper and other base metal prices rose on firming demand and hopes of a U.S.-China trade deal.

March. Grant Park recorded gains during the month. Class A units were up 2.01%, Class B units were up 1.96%, Legacy 1 Class units were up 2.17%, Legacy 2 Class units were up 2.09%, Global 1 Class units were up 2.09%, Global 2 Class units were up 2.15% and Global 3 Class units were up 2.08%. The U.S. dollar strengthened on optimism about the trade talks between the U.S. and China and on better-than-expected economic data. The Canadian dollar weakened after the Bank of Canada expressed uncertainty about future rate hikes. The British pound weakened due to Brexit concerns. Crude oil prices rose as OPEC reduced production and the U.S. continued to impose sanctions against Iran and Venezuela. Natural gas prices declined as mild weather weakened demand. Global equity markets rose on optimism for a trade deal between the U.S. and China and on dovish central bank policies. Global fixed income markets rose on dovish central bank policies and concerns of slowing global growth. Corn prices fell due to an excess of supplies and greater-than-expected crop plantings. Soybean markets fell on reports of elevated storage levels. Cotton prices rose over 8% in response to a 2% reduction in plantings and in anticipation a trade deal between the U.S. and China would lead to increased exports. Lean hog markets rose over 38% as China made its biggest purchase of the commodity from the U.S. in nearly two years. Gold and precious metals markets moved lower as a stronger dollar reduced demand for the safe-haven assets. Copper and other base metal prices were down on concerns about China’s exports, growth and slow trade negotiations with the U.S.

April. Grant Park recorded gains during the month. Class A units were up 2.67%, Class B units were up 2.65%, Legacy 1 Class units were up 2.89%, Legacy 2 Class units were up 2.83%, Global 1 Class units were up 2.90%, Global 2 Class units were up 2.88% and Global 3 Class units were up 2.75%. Overall Grant Park performance was positive, led by profitable positions in the equities, currencies, agriculturals, energies and metals sectors. Performance in the fixed income sector was negative. Positive equity performance was led by positions in the S&P 500 Index, the Nasdaq 100 Index, the Dax Index and the Eurostoxx Index. The currencies sector was positive, led by positions in the Mexican peso, Swiss franc and Japanese yen. In the agriculturals sector, positions in coffee, wheat and soybeans led positive performance. Performance in the energy sector was slightly positive, where gains in natural gas and gasoline blendstock

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positions were partially offset by losses in gas oil positions. Performance in the metals sector was essentially unchanged, with gains in aluminum offset by losses in zinc, copper, platinum and gold. The fixed income sector performance was negative, led by losses in German Bunds, U.S. Treasury Bonds and Short Sterling positions. Positive performance by Australian 3-Year Treasury Bonds and Australian Treasury Bills partially offset sector losses.

May. Grant Park recorded losses during the month. Class A units were down 2.21%, Class B units were down 2.29%, Legacy 1 Class units were down 2.04%, Legacy 2 Class units were down 2.02%, Global 1 Class units were down 1.97%, Global 2 Class units were down 1.98% and Global 3 Class units were down 2.15%. Overall Grant Park performance was negative, led by losses in the equities, agriculturals, energies and currencies sectors. Performance in the fixed income and metals sectors was positive. Negative equity performance was driven by positions in the S&P 500, Nasdaq 100, MSCI EM, Dow and Nikkei indices. In the agriculturals sector, positions in corn, wheat and coffee led negative performance. Performance in the energy sector was negative, where losses in brent oil, gas oil, crude oil and gasoline blendstock positions were partially offset by gains in natural gas positions. The currencies sector was slightly negative, led by positions in the Mexican peso and Japanese yen. The fixed income sector performance was positive, led by gains in German Bunds, Eurodollars and Australian 10-Year Treasury Bonds. Performance in the metals sector was slightly positive, where gains in copper, lead, platinum and silver were partially offset by losses in zinc and palladium.

June. Grant Park recorded gains during the month. Class A units were up 0.98%, Class B units were up 0.98%, Legacy 1 Class units were up 1.14%, Legacy 2 Class units were up 1.12%, Global 1 Class units were up 1.19%, Global 2 Class units were up 1.17% and Global 3 Class units were up 1.04%. Fixed income performance was driven by positions in Italian government bonds, German bunds and eurodollars. Positive equity performance was driven by positions in the S&P 500, Nasdaq 100, FTSE, Dow and Euro Stoxx indices. In the metals sector, positive performance in gold and palladium positions was slightly offset by negative performance in lead, nickel and copper. Performance in the energy sector was positive, led by positions in crude oil and natural gas. Positions in heating oil and Brent oil offset some positive performance. The currencies sector performance was negative, led by losses in the euro, Canadian, U.S., New Zealand and Australian dollars. Performance in the agriculturals sector was slightly negative, led by losses in coffee, sugar and soybeans.

July. Grant Park recorded gains during the month. Class A units were up 2.39%, Class B units were up 2.34%, Legacy 1 Class units were up 2.64%, Legacy 2 Class units were up 2.56%, Global 1 Class units were up 2.64%, Global 2 Class units were up 2.61% and Global 3 Class units were up 2.47%. Overall Grant Park performance was positive, led by gains in the currencies, fixed income, equities and grains/foods sectors. Performance in the energies and metals sectors was negative. Positive currency performance was led by positions in the British pound, U.S. dollar and Australian dollar. Fixed income performance was driven by positions in Italian government bonds, German bunds and short sterling. Positions in eurodollars offset some of the positive performance. Positive equity performance was driven by positions in the All Ordinaries, S&P 500, Nasdaq 100 and FTSE indices. Losses in the Hang Seng, Dax and MSCI EM indices offset some of the gains. In the grains/foods sector, positive performance was led by positions in soybeans and cotton. The energies sector performance was negative, led by losses in natural gas, heating oil, gasoline blendstock and brent oil. Performance in the metals sector was negative, as positive performance from gold positions was offset by losses from positions in nickel, lead, aluminum and copper.

August. Grant Park recorded gains during the month. Class A units were up 1.95%, Class B units were up 1.89%, Legacy 1 Class units were up 2.14%, Legacy 2 Class units were up 2.12%, Global 1 Class units were up 2.18%, Global 2 Class units were up 2.16% and Global 3 Class units were up 2.02%. Overall Grant Park performance was positive, led by gains in the fixed income, metals, grains, foods and energies sectors. Performance in the equities and currencies sectors was negative. Positive fixed income performance was driven by positions in the German bund, U.S. treasury bonds, Italian government bonds, and French government bonds. The metals sector performance was led by positions in gold and nickel. In the grains/foods sector, positive performance was driven by positions in cotton, sugar, live cattle and coffee. Energies sector performance was slightly positive as gains from positions in heating oil, brent oil and gas oil were largely offset by losses in crude oil and gasoline blendstock positions. The equities sector performance was negative, led by positions in the FTSE, Nasdaq and the S&P 500 indices. Performance in the currencies sector was negative, led by losses in the Mexican peso and the Russian ruble.

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September. Grant Park recorded losses during the month. Class A units were down 1.44%, Class B units were down 1.49%, Legacy 1 Class units were down 1.30%, Legacy 2 Class units were down 1.28%, Global 1 Class units were down 1.21%, Global 2 Class units were down 1.23% and Global 3 Class units were down 1.37%. Overall Grant Park performance was negative for the month. The fixed income, agriculturals/softs/meats, metals and energies sectors contributed to losses while gains in the equities and currencies sectors partially offset trading losses. Negative fixed income performance was driven by positions in the German Bund, U.S. Treasury Bonds and Euro-OAT futures. Negative performance in agriculturals/softs/meats was driven by positions in cocoa, cotton, soybean meal, wheat and coffee. The metals sector negative performance was led by positions in gold and zinc; small gains from positions in palladium reduced negative performance. The energies sector negative performance was led by positions in gas oil, heating oil and natural gas. The equities sector performance was positive, led by positions in the FTSE, Euro Stoxx and S&P 500 indices. Performance in the currencies sector was positive, led by gains in foreign exchange positions in the U.S. dollar against the euro and Japanese yen and in euro positions.

October. Grant Park recorded losses during the month. Class A units were down 1.59%, Class B units were down 1.64%, Legacy 1 Class units were down 1.41%, Legacy 2 Class units were down 1.42%, Global 1 Class units were down 1.37%, Global 2 Class units were down 1.38% and Global 3 Class units were down 1.53%. Overall Grant Park performance was negative, led by losses in the fixed income, currencies, agriculturals. Gains in the equities, metals and energies sectors partially offset trading losses. Negative fixed income performance was driven by positions in the German bund, Euro OAT futures and short sterling. Negative performance in currencies was driven by positions in the British pound, euro, Australian dollar, and Brazilian real. Gains from positions in the Mexican peso partially offset sector losses. The negative performance in agriculturals was led by positions in soybeans, soybean meal and coffee. The equities sector performance was positive, led by positions in the Nikkei, EMINI MSCI EM and the OMX 30 indices. Losses from positions in the FTSE index offset some of the gains. Performance in the metals sector was positive and led by positions in gold, palladium and silver. Positive energies performance was driven by positions in gas oil and heating oil.

November. Grant Park recorded losses during the month. Class A units were down 0.24%, Class B units were down 0.30%, Legacy 1 Class units were down 0.06%, Legacy 2 Class units were down 0.08%, Global 1 Class units were down 0.01%, Global 2 Class units were down 0.03% and Global 3 Class units were down 0.18%. Overall Grant Park performance was negative, led by losses in the metals, fixed income and agriculturals sectors. Gains in the currencies, equities and energies sectors partially offset trading losses. Negative performance in metals was primarily driven by positions in gold; in fixed income, by positions in the German bund and U.S. government debt; and in agriculturals, by positions in soybeans, coffee and sugar. Performance in the currencies sector was positive and led by positions in FX USD/EUR, euro, FX US/JY, Japanese yen, Brazilian real and Australian dollar. The equities sector performance was positive, led by positions in the FTSE, Nikkei, ALL ORD, Nasdaq and S&P indices. Positive performance in the energies performance was driven by positions in natural gas, brent oil and crude oil.

December. Grant Park recorded gains during the month. Class A units were up 0.93%, Class B units were up 0.88%, Legacy 1 Class units were up 1.12%, Legacy 2 Class units were up 1.10%, Global 1 Class units were up 1.16%, Global 2 Class units were up 1.14% and Global 3 Class units were up 1.00%.Overall Grant Park performance was positive, led by gains in the equities, metals, energies and agriculturals sectors. Losses in the fixed income and currencies sectors partially offset trading profits. Positive performance in equities was driven by positions in the FTSE, MSCI EM, Nasdaq and Hang Seng indices. Performance in metals was driven by positions in gold and platinum. Gains in energies were led by positions in brent oil and crude oil. Losses in heating oil and gas oil positions offset some of the gains. Performance in agriculturals was slightly positive, as gains in positions in wheat, cotton and soybean oil were mostly offset by losses in soybean meal, soybeans and cocoa. Negative performance in the fixed income sector was driven by positions in the Bund, U.S. Treasury Bond and Euro OAT Futures. Performance in the currencies sector was negative and led by positions in foreign exchange of the U.S. dollar against the euro, euro and the Australian dollar.

For the year ended December 31, 2019, Grant Park had a positive return of 4.9% for the Class A units, a positive return of 4.2% for the Class B units, a positive return of 7.2% for the Legacy 1 Class units, a positive return of 6.9% for the Legacy 2 Class units, a positive return of 7.7% for the Global 1 Class units, a positive return of 7.5% for the Global 2 Class units, and a positive return of 5.7% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading gains of approximately 10.2%, which were increased by gains of approximately 1.7% from swap transactions and increased by approximately 1.8% from interest and dividend income. These trading gains were

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decreased by approximately 8.5% in combined total brokerage fees, performance fees and operating and offering costs borne by Grant Park. An analysis of the 10.2% trading gains by sector, excluding the swap transactions and securities, is as follows:

	% Gain (Loss)
Agriculturals	(0.3)	%
Currencies	(0.7)
Energy	(1.1)
Interest rates	8.6
Meats	(0.1)
Metals	0.8
Soft commodities	(0.3)
Stock indices	2.7
Forward currency contracts	0.6
Total	10.2	%

Capital Resources

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 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 and/or U.S. Treasury securities. The balance of Grant Park’s assets, which range from 65% to 95%, are invested in investment grade money market instruments and exchange-traded funds purchased and managed by Middleton Dickinson Capital Management, LLC which are held in a separate account in the name of GP Cash Management, LLC and custodied at State Street Bank and Trust Company or may be invested in mutual funds. 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, swap transactions and other

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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 a 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 nonperformance 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.

Contractual Obligations

None.

ITEM 7A. 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

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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 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

Trading 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 (a 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.

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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 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 December 31, 2020 and 2019 and the trading gains/losses by market category for the years ended December 31, 2020 and 2019. All open position trading risk exposures of Grant Park, except for the swap transactions, have been included in calculating the figures set forth below. As of December 31, 2020, Grant Park’s net asset value was approximately $45.2 million. As of December 31, 2019, Grant Park’s net asset value was approximately $63.2 million.

	December 31, 2020
Market Sector	Value at Risk*		Trading Gain/(Loss)
Stock indices	0.4	%	(2.3)	%
Agriculturals/softs/meats	0.3		3.5
Metals	0.3		2.8
Currencies & Forward currency contracts	0.2		0.4
Energy	0.2		(0.5)
Interest rates	0.1		3.7
Aggregate/Total	0.9	%	7.6	%

	December 31, 2019
Market Sector	Value at Risk*		Trading Gain/(Loss)
Energy	0.3	%	(1.1)	%
Stock indices	0.3		2.7
Currencies & Forward currency contracts	0.2		(0.1)
Metals	0.2		0.8
Agriculturals/softs/meats	0.1		(0.7)
Interest rates	0.1		8.6
Aggregate/Total	0.6	%	10.2	%

* 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 excluding the swap transaction 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.

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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 portion of its available assets in U.S. Treasury bills. 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 December 31, 2020, by market sector.

Agriculturals/Softs/Meats

Grant Park’s primary commodities risk exposure is driven by agricultural price movements, which are often directly affected by severe or unexpected weather conditions, as well as other factors.

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.

Energy

Grant Park’s primary energy market risk exposure is due to price movements in the gas and oil markets, which often result from political developments in the Middle East, Nigeria, Russia, and South America. Energy prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in these markets.

Interest Rates

Interest rate risk is a principal market exposure of Grant Park. Interest rate movements directly affect the price of the futures 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, could 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 and New Zealand. The general partner anticipates that G-7 interest rates will remain the primary market exposure of Grant Park for the foreseeable future.

Metals

Grant Park’s metals market risk exposure is due to fluctuations in the price of both precious metals, including gold and silver, and on base metals, including aluminum, lead, copper, tin, nickel, palladium and zinc.

Stock Indices

Grant Park’s primary equity exposure is due to equity price risk in G-7 countries, as well as other jurisdictions, including Australia, the Eurozone, Hong Kong, Malaysia, Mexico, Poland, Singapore, South Africa, Sweden, Taiwan, Thailand and Turkey. The stock index futures contracts currently traded by Grant Park are futures on broadly-based indices and on narrow-based stock index or single-stock futures contracts.

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Non-Trading Risk Exposure

The following were the only non-trading risk exposures of Grant Park as of December 31, 2020.

Foreign Currency Balances

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

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. Approximately 10% to 20% of Grant Park’s assets are deposited with over-the-counter counterparties in order to initiate and maintain forward and swap contracts. 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 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

Financial statements meeting the requirements of Regulation S-X appear beginning on page F-1 of this report. The supplementary financial information specified by Item 302 of Regulation S-K is included in this report under the heading “Selected Financial Data” above.

ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE

None.

ITEM 9A. CONTROLS AND PROCEDURES

Evaluation of Disclosure 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

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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.

Report on Management’s Assessment of Internal Control Over Financial Reporting

The general partner, on behalf of Grant Park, is responsible for establishing and maintaining adequate internal control over financial reporting, as such term is defined in Exchange Act Rules 13a- 15(f) and 15d-15(f) to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with generally accepted accounting principles and includes those policies and procedures that:

1. Pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the issuer;

2. Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the issuer are being made only in accordance with authorizations of management and directors of the issuer; and

3. Provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the issuer's assets that could have a material effect on the financial statements.

Under the supervision and with the participation of the general partner’s management, including its principal executive officer and principal financial officer, we conducted an evaluation of the effectiveness of Grant Park’s internal control over financial reporting as of December 31, 2020 based on the framework in Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in 2013. Based on that evaluation, the general partner concluded that Grant Park’s internal control over financial reporting was effective as of December 31, 2020.

Changes in Internal Control over Financial Reporting

There were no changes in Grant Park’s internal control over financial reporting during the quarter ended December 31, 2020 that have materially affected, or are reasonably likely to materially affect, Grant Park’s internal control over financial reporting.

ITEM 9B. OTHER INFORMATION

None.

PART III

ITEM 10. DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE

Grant Park has no directors or executive officers and also does not have any employees. Grant Park is managed solely by Dearborn Capital Management, L.L.C. in its capacity as general partner.

The members of the general partner are Dearborn Capital Management Ltd., and DCMI Holdings Inc. The principals of the general partner are David M. Kavanagh, Patrick J. Meehan, Maureen O’Rourke, Abdullah Mohammed Al Rayes, Centum Prata Holding AG, Mary Dollinger, and The David M. Kavanagh 2010 Trust. Only the officers of Dearborn Capital Management, L.L.C., Mr. Kavanagh, Mr. Meehan and Ms. O’Rourke, have management responsibility and control over the general partner.

Mr. Kavanagh, president of Dearborn Capital Management, L.L.C., 65, has been responsible for overseeing all operations and activities of the general partner since its formation. Commencing in October 1998, Mr. Kavanagh also

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became president, a principal and an associated person of Dearborn Capital Brokers Ltd., an independent introducing broker. From 1983 to 2003, Mr. Kavanagh was a member in good standing of the Chicago Board of Trade. Between 1983 and October 1998, Mr. Kavanagh served as an institutional salesman in the financial futures area on behalf of Refco and Conti Commodity Services, Inc., which was acquired by Refco in 1984. His clients included large hedge funds and financial institutions. Between October 1998 and October 2011, Mr. Kavanagh performed introducing brokerage services from time to time for MF Global Inc., a former futures commission merchant, through Dearborn Capital Brokers. He has also been an owner since May 2012 of a greater than 10% interest in an unregistered proprietary trading firm and has provided occasional consulting services to this firm since May 2012. Neither Dearborn Capital Brokers nor Mr. Kavanagh provides brokerage services to Grant Park’s trading account. In the past, from time to time Mr. Kavanagh has provided brokerage services to Financial Consortium International LLC, a registered introducing broker, commodity pool operator and broker-dealer, since October 1999. In 1980, Mr. Kavanagh received an MBA from the University of Notre Dame, and in 1978 graduated with a B.S. in business administration from John Carroll University.

Mr. Meehan, chief operating officer of the general partner, 65, is primarily responsible for the day to day operations of the general partner. Mr. Meehan became listed as a principal of the general partner effective January 2009. Prior to joining the general partner in April 2008, Mr. Meehan was a member of the senior executive team at Houghton Mifflin Company in Boston, MA, beginning in March 1999. His assignments focused on leading technology and operational organizations and included a three year assignment as the President of the business unit that was the largest provider of professional testing and licensure services to state regulatory agencies in the United States. He also served as the Chief Information/Technology Officer of the company for three years, responsible for directing an annual technology portfolio in excess of $100 million. Mr. Meehan began his career as a commissioned officer in the United States Marine Corps, retiring after 20 years in the grade of Lieutenant Colonel. He received B.A. degree from John Carroll University, an MBA from Webster University and holds Series 3, 22, 31, and 63 licenses.

Ms. O’Rourke, chief financial officer of the general partner, 55, is responsible for financial reporting and compliance issues. Prior to joining the general partner in May 2003, Ms. O’Rourke was employed as assistant vice president at MetLife Investors Life Insurance Company from 1992 to September 2001. Before that, Ms. O’Rourke was employed as a tax senior at KPMG LLP (formerly KPMG Peat Marwick LLP) from 1987 to 1991. Ms. O’Rourke is a certified public accountant. She received a B.B.A. in accounting from the University of Notre Dame in 1987 and received a M.S. in Taxation from DePaul University in 1996.

Code of Ethics

Grant Park has not adopted a code of ethics because it does not have any officers or employees. The general partner of Grant Park has adopted a Code of Ethics for all employees.

Delinquent Section 16(a) Reports

Section 16 of the Securities Exchange Act of 1934, as amended, requires an issuer’s directors and certain executive officers and certain other beneficial owners of the issuer’s equity securities to periodically file notices of changes in their beneficial ownership with the SEC. Grant Park does not have any directors or officers. However, the officers of Grant Park’s general partner, as well as the general partner itself, file such notices regarding their beneficial ownership in Grant Park, if any. Grant Park believes that for 2020, all required filings were timely filed by each of these persons.

ITEM 11. EXECUTIVE COMPENSATION

Grant Park has no directors or officers. Its affairs are managed by Dearborn Capital Management, L.L.C., its general partner, which receives compensation for its services from Grant Park, as follows:

Class A units pay the general partner a monthly brokerage charge equal to a rate of 0.583%, a rate of 7.00% annually, of Class A’s month end net assets. Class B units pay the general partner a monthly brokerage charge equal to a rate of 0.6208%, a rate of 7.45% annually, of Class B’s month-end net assets. Legacy 1 Class units pay the general partner a monthly brokerage charge equal to a rate of 0.3750%, a rate of 4.50% annually, of Legacy 1’s month-end net

45

assets. Legacy 2 Class units pay the general partner a monthly brokerage charge equal to a rate of 0.3958%, a rate of 4.75% annually, of Legacy 2’s month-end net assets. Global 1 Class units pay the general partner a monthly brokerage charge equal to a rate of 0.3292%, a rate of 3.95% annually, of Global 2’s month-end net assets. Global 2 units pay the general partner a monthly brokerage charge equal to a rate of 0.3500%, a rate of 4.20% annually, of Global 2’s month-end net assets. Global 3 Class units pay the general partner a monthly brokerage charge equal to a rate of 0.4958%, a rate of 5.95% annually, of Global 3’s month-end net assets. The brokerage charge reimbursement paid to the general partner amounted to $3,042,636 for the year ended December 31, 2020 and $4,278,902 for the year ended December 31, 2019.

The general partner pays from the brokerage charge all clearing, execution and give-up, floor brokerage, exchange and NFA fees, any other transaction costs, selling agent compensation and consulting fees to the trading advisors. The payments to the clearing brokers are based upon a specified amount per round-turn for each commodity interest transaction executed on behalf of Grant Park. The amounts paid to selling agents, trading advisors or others may be based upon a specified percentage of Grant Park’s net asset value or round-turn transactions. A round-turn is both the purchase, or sale, of a commodity interest contract and the subsequent offsetting sale, or purchase, of the contract. The balance of the brokerage charge not paid out to other parties is retained by the general partner as payment for its services to Grant Park.

Grant Park pays the general partner the brokerage charge, which is based on a fixed percentage of net assets, regardless of whether actual transaction costs were less than or exceeded this fixed percentage or whether the number of trades significantly increases.

The clearing brokers are also paid by the general partner, out of its brokerage charge, an average of between approximately $5.00 and $10.00 per round turn transaction entered into by Grant Park. This round turn commission includes all clearing, exchange and NFA fees.

The Guidelines for the Registration of Commodity Pool Programs developed by the North American Securities Administrators Association, Inc., or NASAA Guidelines, require that the brokerage charge payable by Grant Park will not be greater than (1) 80% of the published retail commission rate plus pit brokerage fees, or (2) 14% annually of Grant Park’s average net assets, including pit brokerage fees. Net assets for purposes of this limitation exclude assets not directly related to trading activity, if any. The general partner intends to operate Grant Park so as to comply with these limitations.

Additionally, all expenses incurred in connection with the organization and the initial and ongoing public offering of Grant Park interests are paid by the general partner and are reimbursed to the general partner by Grant Park. Class A units bear organization and offering expenses at a monthly rate of 0.0083%, a rate of 0.10% annually, of the adjusted net assets of the Class A units, calculated and payable monthly on the basis of month-end adjusted net assets. Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class, Global 3 Class and, Class B units bear these expenses at a monthly rate of 0.025%, a rate of 0.30% annually, of the adjusted net assets of the Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class, Global 3 Class and Class B units, respectively, calculated and payable monthly on the basis of month-end adjusted net assets.

In no event, however, will the reimbursement from Grant Park to the general partner exceed 1.0% per annum of the average month-end net assets of Grant Park. The general partner has the discretion to change the amounts assessed to each class for organization and offering expenses, provided the amounts do not exceed the limits set forth in the limited partnership agreement. In its discretion, the general partner may require Grant Park to reimburse the general partner in any subsequent calendar year for amounts that exceed these limits in any calendar year, provided that the maximum amount reimbursed by Grant Park in any calendar year will not exceed the overall limits set forth above.

The NASAA Guidelines require that the organization and offering expenses of Grant Park will not exceed 15% of the total subscriptions accepted. The general partner, and not Grant Park, will be responsible for any expenses in excess of that limitation. Since the general partner has agreed to limit

Grant Park’s responsibility for these expenses to a total of 1% per annum of Grant Park’s average month-end net assets, the general partner does not expect the NASAA Guidelines limit of 15% of total subscriptions to be reached.

46

Operating expenses of Grant Park are paid for by the general partner and reimbursed by Grant Park. Each of the Class A, Class B, Legacy 1, Legacy 2, Global 1, Global 2 and Global 3 units bear monthly operating expenses at a rate of 0.02083%, a rate of 0.25% annually, of the average month-end net assets of each respective Class. This reimbursement is made monthly.

ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS

Grant Park has no officers or directors. Its affairs are managed by its general partner, Dearborn Capital Management, L.L.C. Set forth in the table below is information regarding the beneficial ownership of the general partner and the officers of the general partner in Grant Park as of January 31, 2021.

				Number of		Number of		Number of		Number of		Number of
	Number of		Number of	Legacy 1		Legacy 2		Global 1		Global 2		Global 3
	Class A		Class B	Class		Class		Class		Class		Class	Number of
	Limited		Limited	Limited		Limited		Limited		Limited		Limited	General
	Partnership		Partnership	Partnership		Partnership		Partnership		Partnership		Partnership	Partnership
Name	Units		Units	Units		Units		Units		Units		Units	Units
Dearborn Capital
Management, LLC	276.610		-	-		236.818		353.466		208.625		-	119.502
David M. Kavanagh	276.610	(1)	-	-	(1)	236.818	(1)	353.466	(1)	208.625	(1)	-	119.502	(1)
Patrick J. Meehan	-		-	-		-		-		-		-
Maureen O’Rourke	-		-	41.067		-		41.359		-		-

			Percentage of	Percentage of	Percentage of	Percentage of	Percentage of
	Percentage of	Percentage of	Outstanding	Outstanding	Outstanding	Outstanding	Outstanding
	Outstanding	Outstanding	Legacy 1	Legacy 2	Global 1	Global 2	Global 3
	Class A	Class B	Class	Class	Class	Class	Class	Percentage of
	Limited	Limited	Limited	Limited	Limited	Limited	Limited	General
	Partnership	Partnership	Partnership	Partnership	Partnership	Partnership	Partnership	Partnership
Name	Units	Units	Units	Units	Units	Units	Units	Units
Dearborn Capital
Management, LLC	6.92%	-	-	62.76%	2.27%	28.74%	-	100.00%
David M. Kavanagh	6.92%	-	-	62.76%	2.27%	28.74%	-	100.00%
Patrick J. Meehan	-	-	-	-	-	-	-	-
Maureen O’Rourke	-	-	8.57%	-	0.27%	-	-	-

(1) Represents units directly held by Dearborn Capital Management, L.L.C., the general partner of Grant Park. The manager of Dearborn Capital Management, L.L.C. is Mr. Kavanagh.

Grant Park has no securities authorized for issuance under equity compensation plans.

ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE

See Item 10, “Directors, Executive Officers and Corporate Governance”, Item 11, “Executive Compensation” and Item 12, “Security Ownership of Certain Beneficial Owners and Management.”

Effective as of October 1, 2013, an entity owned in part and controlled by Mr. Kavanagh, who indirectly controls and is president of Dearborn Capital Management, L.L.C., the general partner of Grant Park, and in part by Mr. Al Rayes, who is a principal of the general partner, and an entity owned in part and controlled by Mr. Meehan, the chief operating officer of the general partner, purchased a minority ownership interest in EMC Capital Advisors, LLC (“EMC”). Also effective as of October 1, 2013, EMC Capital Management, Inc., one of Grant Park’s commodity trading advisors from January 1989 until September 2013, assigned its obligations, rights and interests to EMC, including the advisory contract under which it had previously traded on behalf of Grant Park and, accordingly, EMC became one of Grant Park’s commodity trading advisors.

The general partner limits the amount of consulting fees paid to EMC to no more than the aggregate dollar amount of consulting fees paid to EMC in 2014, which was $500,300. The consulting fee cap was based on a 10% allocation to EMC and EMC is not paid more than $500,300 per year in consulting fees.

47

Pursuant to the advisory contract EMC Capital Management, Inc. entered into with Grant Park, the general partner and the respective trading company in 2009, which was assigned to EMC Capital Advisors, LLC in October 2013, the general partner, on behalf of Grant Park, pays EMC a quarterly consulting fee and a quarterly incentive fee based on new trading profits, if any, achieved on EMC’s allocated net assets at the end of each period. For the year ended December 31, 2020, EMC was paid approximately $81,500 in consulting fees and $13,000 in incentive fees. All allocations to Grant Park’s trading advisors, including EMC, are reviewed and approved by the general partner and all fees are paid to Grant Park’s trading advisors in accordance with each advisory contract by and among Grant Park, the general partner, the respective trading company and such trading advisor.

ITEM 14. PRINCIPAL ACCOUNTANT FEES AND SERVICES

The following table sets forth the fees billed to Grant Park for professional audit services provided by RSM US LLP, Grant Park’s independent registered public accountant, for the audit of Grant Park’s annual financial statements for the years ended December 31, 2020 and 2019, and fees billed for other professional services rendered by RSM US LLP during those years.

Fee Category	2020		2019
Audit Fees(1)	$	117,450	$	130,500
Audit-Related Fees		—		—
Tax Fees(2)		7,800		7,800
All Other Fees		—		—
Total Fees	$	125,250	$	138,300

(1) Audit fees consist of fees for professional services rendered for the audit of Grant Park’s financial statements and review of financial statements included in Grant Park’s quarterly reports, as well as services normally provided by the independent accountant in connection with statutory and regulatory filings or engagements.

(2) Tax fees consist of compliance fees for the review of original tax returns.

The Audit Committee of Grant Park’s general partner, Dearborn Capital Management, L.L.C., pre-approves all audit and permitted non-audit services of Grant Park’s independent accountants, including all engagement fees and terms. The Audit Committee of the general partner approved all the services provided by RSM US LLP during 2020 and 2019 to Grant Park described above. The Audit Committee and Grant Park has determined that the payments and nature of services made to RSM US LLP for these services during 2020 and 2019 are compatible with maintaining that firm’s independence.

48

PART IV

ITEM 15. EXHIBITS AND FINANCIAL STATEMENT SCHEDULES

(a) The following documents are filed as part of this report:

(1) See Financial Statements beginning on page F-1 hereof.

(2) Schedules:

Financial statement schedules have been omitted because they are not applicable or because equivalent information has been included in the financial statements or notes thereto.

(3) Exhibits

Exhibit
Number	Description of Document
3.1(1)	Third Amended and Restated Limited Partnership Agreement of the Registrant.
3.2(2)	Certificate of Limited Partnership of the Registrant.
4.1	Description of the Registrant’s Securities Registered Pursuant to Section 12 of the Securities Exchange Act of 1934.
10.1(3)	Form of Advisory Contract among the Registrant, Dearborn Capital Management, L.L.C., the trading advisor and the trading company
10.2(4)	Subscription Agreement and Power of Attorney.
10.3(5)	Request for Redemption Form.
10.4(3)	Operating Agreement of GP Cash Management, LLC.
10.5(3)	Form of LLC operating agreement governing each Trading Company.
24.1	Power of Attorney (included on signature page).
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.

49

Exhibit
Number	Description of Document
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 Grant Park’s Annual Report on Form 10-K for the year ended December 31, 2020 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.

.

(1) Included as Appendix A to the prospectus which is part of the Registrant’s Registration Statement on Form S-1/A (File No. 333- 223480) and incorporated herein by reference.

(2) Filed as an Exhibit to the Registrant’s Registration Statement on Form S-1 (File No. 333-104317) and incorporated herein by reference.

(3) Filed as an Exhibit to the Registrant’s Registration Statement on Form S-1 (File No. 333-153862) and incorporated herein by reference.

(4) Included as Appendix B to the prospectus which is part of the Registrant’s Registration Statement on Form S-1/A (File No. 333-223480).

(5) Included as Appendix D to the prospectus which is part of the Registrant’s Registration Statement on Form S-1/A (File No. 333-223480).

ITEM 16. FORM 10-K SUMMARY

None.

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INDEX TO FINANCIAL STATEMENTS

Grant Park Futures Fund Limited Partnership

Report of Independent Registered Public Accounting Firm	F-2
Consolidated Statements of Financial Condition as of December 31, 2020 and 2019	F-3
Consolidated Condensed Schedule of Investments as of December 31, 2020	F-4
Consolidated Condensed Schedule of Investments as of December 31, 2019	F-6
Consolidated Statements of Operations for the Years Ended December 31, 2020, 2019 and 2018	F-8
Consolidated Statements of Changes in Partners’ Capital (Net Asset Value) for the Years Ended December 31, 2020, 2019 and 2018	F-9
Notes to Consolidated Financial Statements	F-11

F-1

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Partners of

Grant Park Futures Fund Limited Partnership

Opinion on the Financial Statements

We have audited the accompanying consolidated statements of financial condition, including the consolidated condensed schedules of investments, of Grant Park Futures Fund Limited Partnership (the “Partnership”) as of December 31, 2020 and 2019, the related consolidated statements of operations and changes in partners’ capital (net asset value) for the three years ended December 31, 2020, and the related notes to the consolidated financial statements (collectively, the financial statements). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Partnership as of December 31, 2020 and 2019, and the results of its operations for each of the three years in the period ended December 31, 2020, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on the Partnership’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Partnership in accordance with U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Partnership’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

Critical Audit Matters

Critical audit matters are matters arising from the current period audit of the financial statements that were communicated or required to be communicated to the audit committee and that: (1) relate to accounts or disclosures that are material to the financial statements and (2) involved our especially challenging, subjective, or complex judgments. We determined that there are no critical audit matters.

/s/ RSM US LLP

We have served as the Partnership’s auditor since 2003.

Chicago, Illinois

March 11, 2021

F-2

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Financial Condition

December 31, 2020 and 2019

	December 31,		December 31,
	2020		2019
Assets
Equity in brokers' trading accounts:
Cash	$	9,659,503	$	10,866,216
Net unrealized gain (loss) on open futures contracts		1,563,838		401,807
Net unrealized gain (loss) on open forward currency contracts		(63,929)		(69,073)
Net unrealized gain (loss) on open swap contracts		(1,420,571)		3,037,439
Total equity in brokers' trading accounts		9,738,841		14,236,389
Cash and cash equivalents		4,887,405		577,181
Securities owned, at fair value (cost $32,419,952 and $50,013,633, respectively)		32,199,809		50,080,807
Interest and dividend receivable, net		2,628		5,553
Total assets	$	46,828,683	$	64,899,930
Liabilities and Partners' Capital (Net Asset Value)
Liabilities
Brokerage charge payable	$	237,272	$	317,812
Accrued incentive fees		210,546		77,585
Organization and offering costs payable		11,070		15,480
Accrued operating expenses		9,734		13,494
Redemptions payable to limited partners		1,097,230		1,269,238
Interest and other liabilities		25,250		20,414
Total liabilities		1,591,102		1,714,023
Partners' Capital (Net Asset Value)
General Partner
Class A (307.34 units outstanding at both December 31, 2020 and December 31, 2019)		276,860		304,918
Legacy 2 Class (263.13 units outstanding at both December 31, 2020 and December 31, 2019)		197,003		212,682
Global 1 Class (392.74 units outstanding at both December 31, 2020 and December 31, 2019)		306,534		328,671
Global 2 Class (231.81 units outstanding at both December 31, 2020 and December 31, 2019)		176,124		189,151
Limited Partners
Class A (3,720.55 and 3,740.34 units outstanding at December 31, 2020 and December 31, 2019, respectively)		3,351,509		3,710,803
Class B (38,806.88 and 52,290.82 units outstanding at December 31, 2020 and December 31, 2019, respectively)		28,009,494		41,821,340
Legacy 1 Class (479.12 and 497.72 units outstanding at December 31, 2020 and December 31, 2019, respectively)		370,186		414,242
Legacy 2 Class (140.55 units outstanding at both December 31, 2020 and December 31, 2019)		105,224		113,599
Global 1 Class (15,405.71 and 18,241.21 units outstanding at December 31, 2020 and December 31, 2019, respectively)		12,024,149		15,265,460
Global 2 Class (543.13 and 614.97 units outstanding at December 31, 2020 and December 31, 2019, respectively)		412,668		501,820
Global 3 Class (12.62 and 477.23 units outstanding at December 31, 2020 and December 31, 2019, respectively)		7,830		323,221
Total partners' capital (net asset value)		45,237,581		63,185,907
Total liabilities and partners' capital (net asset value)	$	46,828,683	$	64,899,930

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

F-3

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2020

Futures, Forward and Swap 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	$	497,749	1.10	%	$	(1,937)	—	%	$	495,812	1.10	%
Currencies		160,805	0.36	%		14,100	0.03	%		174,905	0.39	%
Energy		246,968	0.55	%		(115,816)	(0.26)	%		131,152	0.29	%
Interest rates		34,956	0.07	%		(6,310)	(0.01)	%		28,646	0.06	%
Meats		13,025	0.03	%		—	—	%		13,025	0.03	%
Metals		162,472	0.36	%		(32,855)	(0.08)	%		129,617	0.28	%
Soft commodities		235,885	0.52	%		(4,387)	(0.01)	%		231,498	0.51	%
Stock indices		146,331	0.32	%		(33,715)	(0.07)	%		112,616	0.25	%
Total U.S. Futures Positions		1,498,191				(180,920)				1,317,271
Foreign Futures Positions:
Interest rates		59,748	0.13	%		(122,828)	(0.27)	%		(63,080)	(0.14)	%
Metals		146,552	0.32	%		47,376	0.11	%		193,928	0.43	%
Soft commodities		2,290	0.01	%		—	—	%		2,290	0.01	%
Stock indices		115,491	0.26	%		(2,062)	(0.01)	%		113,429	0.25	%
Total Foreign Futures Positions		324,081				(77,514)				246,567
Total Futures Contracts	$	1,822,272	4.03	%	$	(258,434)	(0.57)	%	$	1,563,838	3.46	%
Forward Currency Contracts *
Currencies	$	35,488	0.08	%	$	(99,417)	(0.22)	%	$	(63,929)	(0.14)	%
Swap Contracts
Deutsche Bank total return swap, Termination date June 30, 2025	$	(1,420,571)	(3.14)	%	$	—	—	%	$	(1,420,571)	(3.14)	%
Total Futures, Forward Currency and
Swap Contracts	$	437,189	0.97	%	$	(357,851)	(0.79)	%	$	79,338	0.18	%

* No 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 condensed schedule of investments by unit class is presented in footnote 7.

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

F-4

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2020

Securities owned

U.S. Government-sponsored enterprises

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	2,500,000	2/10/2023	Federal Agricultural Mortgage Corp., 1.7%	$	2,516,450	5.56	%
	2,000,000	9/22/2022	Federal Farm Credit Banks, 0.2%		2,000,350	4.42	%
	4,500,000	6/30/2023-9/28/2023	Federal Home Loan Mortgage Corp., 0.3%-0.5%		4,501,581	9.95	%
	6,000,000	8/24/2023-12/15/2023	Federal National Mortgage Assoc., 0.3%-0.4%		6,005,310	13.28	%
		Total U.S. Government-sponsored enterprises (cost $14,999,285)		$	15,023,691	33.21	%

U.S. Government securities

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	10,000,000	3/25/2021-8/12/2021	U.S. Treasury bills, 0.1% (cost $9,994,752)	$	9,996,048	22.10	%

U.S. Exchange-traded funds

					Percent of
					Partners' Capital
Shares		Description	Fair Value		(net asset value)
	38,000	Amplify High Income ETF	$	605,340	1.34	%
	85,000	Highland/iBoxx Senior Loan ETF		1,361,700	3.01	%
	50,000	Invesco Preferred ETF		763,000	1.69	%
	10,000	iShares Floating Rate Bond ETF		507,200	1.12	%
	10,000	iShares Short Maturity Bond ETF		501,700	1.11	%
	12,000	PIMCO Enhanced Short Maturity Active ETF		1,224,480	2.71	%
	55,000	SPDR Bloomberg Barclays Short Term High Yield Bond ETF		1,482,250	3.27	%
	15,000	VanEck Vectors Fallen Angel High Yield Bond ETF		481,500	1.06	%
	10,000	Other Exchange-traded funds**		252,900	0.56	%
		Total Exchange-traded funds (cost $7,425,915)	$	7,180,070	15.87	%

			Percent of
			Partners' Capital
	Fair Value		(net asset value)
Total securities owned (cost of $32,419,952)	$	32,199,809	71.18	%

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

The condensed schedule of investments by unit class is presented in footnote 7.

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

F-5

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2019

Futures, Forward and Swap 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	$	177,229	0.28	%	$	(21,745)	(0.03)	%	$	155,484	0.25	%
Currencies		69,782	0.11	%		(63,469)	(0.10)	%		6,313	0.01	%
Energy		321,136	0.50	%		(236,395)	(0.37)	%		84,741	0.13	%
Interest rates		(62,078)	(0.10)	%		1,500	—	%		(60,578)	(0.10)	%
Meats		(240)	—	%		(3,075)	—	%		(3,315)	(0.01)	%
Metals		196,600	0.31	%		970	—	%		197,570	0.31	%
Soft commodities		45,310	0.07	%		7,051	0.01	%		52,361	0.08	%
Stock indices and single stock futures		230,145	0.36	%		(29,668)	(0.04)	%		200,477	0.32	%
Total U.S. Futures Positions		977,884				(344,831)			���	633,053
Foreign Futures Positions:
Interest rates		(251,752)	(0.39)	%		34,460	0.05	%		(217,292)	(0.34)	%
Metals		(71,872)	(0.11)	%		(1,114)	—	%		(72,986)	(0.11)	%
Stock indices		57,771	0.09	%		1,261	—	%		59,032	0.09	%
Total Foreign Futures Positions		(265,853)				34,607				(231,246)
Total Futures Contracts	$	712,031	1.12	%	$	(310,224)	(0.49)	%	$	401,807	0.63	%
Forward Currency Contracts *
Currencies	$	(4,609)	(0.01)	%	$	(64,464)	(0.10)	%	$	(69,073)	(0.11)	%
Swap Contracts
Deutsche Bank total return swap, Termination date April 30, 2024	$	(612,793)	(0.97)	%	$	—	—	%	$	(612,793)	(0.97)	%
Deutsche Bank total return swap, Termination date July 1, 2020		3,650,232	5.78	%		—	—	%		3,650,232	5.78	%
Total Swap Contracts	$	3,037,439	4.81	%	$	—	—	%	$	3,037,439	4.81	%
Total Futures, Forward Currency and
Swap Contracts	$	3,744,861	5.92	%	$	(374,688)	(0.59)	%	$	3,370,173	5.33	%

* No individual 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 condensed schedule of investments by unit class is presented in footnote 7.

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

F-6

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2019

Securities owned

U.S. Government-sponsored enterprises

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	17,500,000	1/15/2021-12/27/2022	Federal Farm Credit Banks, 1.6%-2.2%	$	17,594,846	27.85	%
	14,000,000	9/13/2021-12/23/2022	Federal Home Loan Banks, 1.8%-2.3%		14,049,584	22.23	%
		Total U.S. Government-sponsored enterprises (cost $31,501,260)		$	31,644,430	50.08	%

U.S. Government securities

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	13,500,000	1/16/2020-6/25/2020	U.S. Treasury bills, 1.5%-2.0% (cost $13,408,474)	$	13,431,977	21.26	%

U.S. Exchange-traded funds

					Percent of
					Partners' Capital
Shares		Description	Fair Value		(net asset value)
	85,000	Highland/iBoxx Senior Loan ETF	$	1,490,900	2.36	%
	20,000	PIMCO Enhanced Short Maturity Active ETF		2,031,800	3.22	%
	55,000	SPDR Bloomberg Barclays Short Term High Yield Bond ETF		1,481,700	2.34	%
		Total Exchange-traded funds (cost $5,103,899)	$	5,004,400	7.92	%

			Percent of
			Partners' Capital
	Fair Value		(net asset value)
Total securities owned (cost of $50,013,633)	$	50,080,807	79.26	%

The condensed schedule of investments by unit class is presented in footnote 7.

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

F-7

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Operations

Years Ended December 31, 2020, 2019 and 2018

	2020		2019		2018
Net trading gains (losses)
Net gain (loss) from futures trading
Realized	$	2,740,200	$	7,389,071	$	(3,159,282)
Change in unrealized		1,162,031		(1,325,734)		(917,117)
Commissions		(718,405)		(1,023,386)		(1,352,311)
Net gains (losses) from futures trading		3,183,826		5,039,951		(5,428,710)
Net gain (loss) from forward currency trading
Realized		(243,720)		408,554		146,701
Change in unrealized		5,144		(27,645)		(67,055)
Commissions		(7,865)		(5,737)		(691)
Net gains (losses) from forward currency trading		(246,441)		375,172		78,955
Net gain (loss) from swap trading
Realized		(2,136,220)		—		—
Change in unrealized		(4,458,010)		1,104,330		753,797
Net gains (losses) from swap trading		(6,594,230)		1,104,330		753,797
Net gain (loss) from securities
Realized		(6)		2,215		(1,084,704)
Change in unrealized		(145,365)		69,853		(41,081)
Net gains (losses) from securities		(145,371)		72,068		(1,125,785)
Net trading gains (losses)		(3,802,216)		6,591,521		(5,721,743)
Net investment income (loss)
Income
Interest income		222,742		770,306		753,179
Dividend income		312,879		386,109		211,314
Total income		535,621		1,156,415		964,493
Expenses from operations
Brokerage charge		2,316,366		3,249,779		4,297,318
Incentive fees		302,005		402,189		10,292
Organizational and offering costs		142,831		205,948		272,786
Operating expenses		124,916		179,163		237,141
Total expenses		2,886,118		4,037,079		4,817,537
Net investment loss		(2,350,497)		(2,880,664)		(3,853,044)
Net income (loss)	$	(6,152,713)	$	3,710,857	$	(9,574,787)
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	$	(91.29)	$	45.86	$	(104.16)
General Partner & Limited Partner Class B Units	$	(78.01)	$	32.47	$	(90.06)
General Partner & Limited Partner Legacy 1 Class Units	$	(59.65)	$	55.94	$	(65.72)
General Partner & Limited Partner Legacy 2 Class Units	$	(59.58)	$	51.94	$	(66.03)
General Partner & Limited Partner Global 1 Class Units	$	(56.37)	$	59.47	$	(58.02)
General Partner & Limited Partner Global 2 Class Units	$	(56.19)	$	56.73	$	(58.86)
General Partner & Limited Partner Global 3 Class Units	$	(57.02)	$	36.72	$	(61.93)

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

F-8

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)
Years Ended December 31, 2020, 2019 and 2018

	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			Number			Number			Number			Number			Number			Number			Number
	of Units	Amount		of Units	Amount		of Units	Amount		of Units	Amount		of Units	Amount		of Units	Amount		of Units	Amount		of Units	Amount
Partners’ capital,
December 31, 2017	307.34	$	322,836	6,818.01	$	7,161,658	—	$	—	84,494.74	$	72,443,010	574.13	$	483,449	777.22	$	654,458	263.13	$	216,389	219.09	$	180,172
Contributions	—		—	0.17		165	—		—	—		1	—		—	—		—	—		—	—		—
Redemptions	—		—	(2,162.48)		(2,259,383)	—		—	(17,660.63)		(14,234,612)	—		—	(51.02)		(40,144)	—		—	(52.19)		(39,386)
Net income (loss)	—		(32,014)	—		(497,043)	—		—	—		(6,925,778)	—		(37,727)	—		(50,533)	—		(17,376)	—		(14,559)
Partners’ capital,
December 31, 2018	307.34	$	290,822	4,655.70	$	4,405,397	—	$	—	66,834.11	$	51,282,621	574.13	$	445,722	726.20	$	563,781	263.13	$	199,013	166.90	$	126,227
Contributions	—		—	—		—	—		—	—		—	—		—	—		—	—		—	—		—
Redemptions	—		—	(915.36)		(892,675)	—		—	(14,543.29)		(11,495,810)	(574.13)		(444,997)	(228.48)		(183,140)	—		—	(26.35)		(21,083)
Net income (loss)	—		14,096	—		198,081	—		—	—		2,034,529	—		(725)	—		33,601	—		13,669	—		8,455
Partners’ capital,
December 31, 2019	307.34	$	304,918	3,740.34	$	3,710,803	—	$	—	52,290.82	$	41,821,340	—	$	—	497.72	$	414,242	263.13	$	212,682	140.55	$	113,599
Redemptions	—		—	(19.79)		(16,942)	—		—	(13,483.94)		(9,321,102)	—		—	(18.60)		(13,272)	—		—	—		—
Transfers in (out)	—		—	—		—	—		—	—		—	—		—	—		—	—		—	—		—
Net income (loss)	—		(28,058)	—		(342,352)	—		—	—		(4,490,744)	—		—	—		(30,784)	—		(15,679)	—		(8,375)
Partners’ capital,
December 31, 2020	307.34	$	276,860	3,720.55	$	3,351,509	—	$	—	38,806.88	$	28,009,494	—	$	—	479.12	$	370,186	263.13	$	197,003	140.55	$	105,224
Net asset value per General Partner and Limited Partner unit at December 31, 2018		$	946.24					$	767.31					$	776.34					$	756.33
Net asset value per General Partner and Limited Partner unit at December 31, 2019		$	992.10					$	799.78					$	832.28					$	808.27
Net asset value per General Partner and Limited Partner unit at December 31, 2020		$	900.81					$	721.77					$	772.63					$	748.69

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

F-9

Grant Park Futures Fund Limited Partnership

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

Years Ended December 31, 2020, 2019 and 2018 (continued)

	Global 1 Class						Global 2 Class						Global 3 Class
	General Partner			Limited Partners			General Partner			Limited Partners			General Partner			Limited Partners
	Number			Number			Number			Number			Number			Number			Total
	of Units	Amount		of Units	Amount		of Units	Amount		of Units	Amount		of Units	Amount		of Units	Amount		Amount
Partners’ capital,
December 31, 2017	469.97	$	392,629	30,151.86	$	25,189,596	231.81	$	189,644	1,069.68	$	875,122	—	$	—	7,650.73	$	5,374,659	$	113,483,622
Contributions	—		—	3,168.92		2,738,099	—		—	—		—	—		—	—		—		2,738,265
Redemptions	—		—	(9,010.64)		(7,203,596)	—		—	(333.61)		(257,648)	—		—	(6,679.23)		(4,677,632)		(28,712,401)
Net income (loss)	—		(27,272)	—		(1,825,529)	—		(13,644)	—		(58,598)	—		—	—		(74,714)		(9,574,787)
Partners’ capital,
December 31, 2018	469.97	$	365,357	24,310.14	$	18,898,570	231.81	$	176,000	736.07	$	558,876	—	$	—	971.50	$	622,313	$	77,934,699
Contributions	—		—	17.20		13,565	—		—	—		—	—		—	—		—		13,565
Redemptions	(77.23)		(60,000)	(6,086.13)		(4,948,666)	—		—	(121.10)		(97,642)	—		—	(494.27)		(329,201)		(18,473,214)
Net income (loss)	—		23,314	—		1,301,991	—		13,151	—		40,586	—		—	—		30,109		3,710,857
Partners’ capital,
December 31, 2019	392.74	$	328,671	18,241.21	$	15,265,460	231.81	$	189,151	614.97	$	501,820	—	$	—	477.23	$	323,221	$	63,185,907
Redemptions	—		—	(3,159.16)		(2,358,415)	—		—	(71.84)		(51,622)	—		—	(59.94)		(34,260)		(11,795,613)
Transfers in (out)	—		—	323.66		236,369	—		—	—		—	—		—	(404.67)		(236,369)		—
Net income (loss)	—		(22,137)	—		(1,119,265)	—		(13,027)	—		(37,530)	—		—	—		(44,762)		(6,152,713)
Partners’ capital,
December 31, 2020	392.74	$	306,534	15,405.71	$	12,024,149	231.81	$	176,124	543.13	$	412,668	—	$	—	12.62	$	7,830	$	45,237,581
Net asset value per General Partner and Limited Partner unit at December 31, 2018		$	777.40					$	759.26					$	640.57
Net asset value per General Partner and Limited Partner unit at December 31, 2019		$	836.87					$	815.99					$	677.29
Net asset value per General Partner and Limited Partner unit at December 31, 2020		$	780.50					$	759.80					$	620.27

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

F-10

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

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 Exchange Act of 1934, as amended. Prior to April 1, 2019, the Partnership was also subject to the regulatory requirements under the Securities Act of 1933, as amended.

Effective April 1, 2019, limited partnership units of the Partnership are no longer offered for sale. For existing investors in the Partnership, business continues to be conducted as usual. There was no change in the trading, operations, or monthly statements, etc. as a result of the termination of the offering, and redemption requests continue to be offered on a monthly basis.

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, swap transactions 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 invests the assets of each class of the Partnership in the Partnership’s subsidiary limited liability trading companies (each, a “Trading Company” and collectively, the “Trading Companies”) which (i) enter into advisory agreements with the independent commodity trading advisors retained by the general partner; (ii) enter into swap transactions or derivative instruments tied to the performance of certain reference traders; and/or (iii) allocate assets to the Partnership’s cash management trading company. The Partnership’s general partner, commodity pool operator and sponsor is Dearborn Capital Management, L.L.C. (“the General Partner”), an Illinois limited liability company. The Trading Companies were set up to, among other things, segregate risk by commodity trading advisor or reference trader. Effectively, this structure isolates one trading advisor or reference trader 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 5, LLC (“GP 5”)   GP 11, LLC (“GP 11”)   

GP 3, LLC (“GP 3”)   GP 8, LLC (“GP 8”)   GP 18, LLC (“GP 18”)   

GP 4, LLC (“GP 4”)   GP 9, LLC (“GP 9”)     

There were no assets allocated to GP 1, GP 9 and GP 11 as of December 31, 2020, and there were no assets allocated to GP 11 as of December 31, 2019.

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 excess cash is held in a separate account in the name of GP Cash Management, LLC and custodied at State Street Bank and Trust Company or may be invested in mutual funds. 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.

F-11

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Both Class A and Class B units are traded pursuant to identical trading programs and differ only in respect to the brokerage charge and organization and offering costs payable to the General Partner.

Both 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 only in respect to the brokerage charge payable to the General Partner. The Legacy 1 Class and Legacy 2 Class units were 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. The Global 1 Class, Global 2 Class and Global 3 Class units differ in respect to the General Partner’s brokerage charge. The Global 1 Class and Global 2 Class units were offered only to investors in wrap accounts.

The Partnership’s significant accounting policies are as follows:

Accounting Principles: Pursuant to rules and regulations of the SEC, audited consolidated financial statements of the Partnership are prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). The Partnership is an investment company and follows accounting and reporting guidance under the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic (“ASC”) 946, Financial Services – Investment Companies.

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 consolidated 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, money market funds 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 fair value, as described in Note 2. Substantially all of the Partnership’s assets and liabilities are considered financial instruments and are recorded at fair value or at carrying amounts that approximate fair value because of the short maturity of the instruments.

Investment transactions, investment income and expenses: Futures contracts, forward contracts and options on futures and forward contracts and securities 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. Dividend income is recognized on the ex-dividend date.

Set forth in Note 11 are instruments and transactions eligible for offset in the consolidated statement of financial condition and which are subject to derivative clearing agreements with the Partnership’s clearing brokers. Each clearing

F-12

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

broker nets margin held on behalf of the Partnership or payment obligations of the clearing broker to the Partnership against any payment obligations of the Partnership to the clearing broker. The Partnership is required to deposit margin at each clearing broker to meet the original and maintenance requirements established by that clearing broker, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded. The derivative clearing agreements give each clearing broker a security interest in this margin to secure any liabilities owed to the clearing broker arising from a default by the Partnership.

Commissions: Commissions and other trading fees are expensed when contracts are opened and closed, and 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. If a tax position does not meet the minimum statutory threshold to avoid payment of penalties, an expense for the amount of the statutory penalty and interest, if applicable, shall be recognized in the consolidated statement of operations in the period in which the position is claimed or expected to be claimed. As of December 31, 2020, 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 2017.

Organization and offering costs: The General Partner has incurred all expenses in connection with the organization and the continuous public offering of partnership interests and is reimbursed by the Partnership. In addition, the General Partner continues to compensate wholesalers for services rendered to certain Limited Partners. This reimbursement is made monthly and the reimbursement amounts are listed by class in Note 5. In no event, however, will the monthly reimbursement from the Partnership to the General Partner exceed 0.083%, or 1.0% annually, of the net asset value of the Partnership. In its discretion, the General Partner may require the Partnership to reimburse the General Partner in any subsequent calendar year for amounts that exceed these limits in any prior year, provided that the maximum amount reimbursed by the Partnership will not exceed the overall limit set forth above. Amounts reimbursed by the Partnership with respect to the organization and the continuous public offering expenses are charged to expense from operations at the time of reimbursement or accrual. 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 additional payments, and the Partnership will have no further obligation to the General Partner. As of December 31, 2020, unreimbursed organization and offering costs incurred by the General Partner were approximately $140,000, and may be reimbursed by the Partnership in the future.

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.

F-13

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

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.

Swap contracts: Certain Trading Companies of the Partnership may strategically allocate a portion or all of their assets to total return swaps selected at the direction of the General Partner. A swap is a bilaterally negotiated agreement between two parties to exchange cash flows based upon an asset, rate or some other reference index. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount or value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of commodities or other investments representing a particular index. A Trading Company’s investment in swap agreements will likely vary over time due to cash flows, asset allocations and market movements. The swap agreements serve to diversify the investment holdings of the Partnership and to provide access to programs and commodity trading advisors that would not otherwise be available to the Partnership, and are not used for hedging purposes.

Changes in the value of the swap agreements are recognized as unrealized gains or losses in the consolidated statement of operations by marking to market on a daily basis to reflect the value of the swap agreement at the end of each day as reported by the swap counterparty. The final exchange amount based on the swap value at the termination of the swap agreement will be recorded as a realized gain or loss in the consolidated statement of operations. Through its Trading Companies the Partnership has entered into total return swaps with Deutsche Bank AG. The Partnership maintains cash as collateral to secure its obligations under the swaps. As of December 31, 2020 and 2019, the notional value of the swaps were $9,589,399 and $29,622,256, respectively, and the cash margin balance was $4,650,000 and $5,082,500, respectively, which is included in equity in brokers’ trading accounts on the consolidated statements of financial condition. The swap effective July 1, 2015 has a termination date of June 30, 2025. The swap effective April 5, 2016 had a termination date of April 30, 2024 and was terminated effective July 1, 2020.

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 years ended December 31, 2020, 2019, and 2018, 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.

Recent accounting pronouncements: In June 2016, the FASB issued ASU 2016-13, Financial Instruments – Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments. The new guidance requires an entity to measure all expected credit losses for financial assets held at the reporting date based on historical experience, current conditions, and reasonable and supportable forecasts as opposed to delaying recognition until the loss was probable of occurring. The guidance is effective for annual and interim periods beginning after December 15, 2019. The Partnership adopted ASU 2016-13 on January 1, 2020 and the adoption did not have a material impact on its consolidated financial statements.

In August 2018, the FASB issued ASU 2018-13, Fair Value Measurement (Topic 820) Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement. The amendments in this update apply to all entities that are required, under existing GAAP, to make disclosures about recurring or nonrecurring fair value measurements. The amendments in this update modify the disclosure requirements on fair value measurements in Topic 820. The guidance is effective for fiscal years beginning after December 15, 2019. The Partnership adopted ASU 2018-13 on January 1, 2020 and the adoption did not have a material impact on its consolidated financial statements.

In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform. The amendments in ASU 2020-04 provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The standard is effective as of March 12, 2020 through December 31, 2022. The Partnership is currently evaluating the impact of the guidance on the Partnership's

F-14

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

consolidated financial statements and disclosures. The Partnership did not utilize the optional expedients and exceptions provided by ASU 2020-04 during the twelve months ended December 31, 2020.

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.

The fair value of exchange-traded futures contracts, options on futures contracts and exchange-traded funds are based upon exchange settlement prices as of the last business day of the reporting period. These financial instruments are classified in Level 1 of the fair value hierarchy.

The fair value of money market funds are based upon exchange settlement prices as of the last business day of the reporting period. These financial instruments are classified in Level 1 of the fair value hierarchy.

The Partnership values forward contracts and options on forward contracts based on the average bid and ask price of quoted forward spot prices obtained as of the last business day of the reporting period, and forward contracts and options on forward contracts are classified in Level 2 of the fair value hierarchy.

U.S. Government securities and U.S. Government-sponsored enterprise securities are stated at cost plus accrued interest, which approximates fair value based on quoted market prices in an active market. The Partnership compares market prices quoted by dealers to the cost plus accrued interest to ensure a reasonable approximation of fair value. These securities are classified in Level 2 of the fair value hierarchy.

The investments in total return swaps are reported at fair value based on daily price reporting from the swap counterparty, which uses exchange prices to value most futures positions and the remaining positions are valued using proprietary pricing models of the counterparty. The Partnership’s swap transactions are a two-party contract entered into primarily to exchange the returns earned or realized on particular pre-determined investments or instruments. The gross returns to be exchanged or swapped between parties are calculated with respect to a notional amount. The total return swaps have inputs which are transparent and can generally be corroborated by market data and therefore are classified within Level 2 of the fair value hierarchy.

F-15

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

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, 2020:

Assets	Level 1		Level 2		Level 3		Total
Equity in brokers' trading accounts
U.S. and foreign futures contracts	$	1,563,838	$	—	$	—	$	1,563,838
Forward currency contracts		—		(63,929)		—		(63,929)
Swap contracts		—		(1,420,571)		—		(1,420,571)
Cash and cash equivalents
U.S. money market fund		4,876,725		—		—		4,876,725
Securities owned
U.S. Government-sponsored enterprises		—		15,023,691		—		15,023,691
U.S. Government securities		—		9,996,048		—		9,996,048
U.S. Exchange-traded funds		7,180,070		—		—		7,180,070
Total	$	13,620,633	$	23,535,239	$	—	$	37,155,872

The gross presentation of the fair value of the Partnership’s derivatives by contract type is shown in Note 11. See the consolidated condensed schedule of investments for detail by sector.

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, 2019:

Assets	Level 1		Level 2		Level 3		Total
Equity in brokers' trading accounts
U.S. and foreign futures contracts	$	401,807	$	—	$	—	$	401,807
Forward currency contracts		—		(69,073)		—		(69,073)
Swap contracts		—		3,037,439		—		3,037,439
Cash and cash equivalents
U.S. money market fund		576,180		—		—		576,180
Securities owned
U.S. Government-sponsored enterprises		—		31,644,430		—		31,644,430
U.S. Government securities		—		13,431,977		—		13,431,977
U.S. Exchange-traded funds		5,004,400		—		—		5,004,400
Total	$	5,982,387	$	48,044,773	$	—	$	54,027,160

The gross presentation of the fair value of the Partnership’s derivatives by contract type is shown in Note 11. See the consolidated condensed schedule of investments for detail by sector.

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 transfers among Levels 1, 2, and 3 during the years ended December 31, 2020 and 2019.

Note 3. Deposits with Brokers and Interbank Market Makers

The Partnership, through the Trading Companies, deposits assets with ADM Investor Services, Inc., Rosenthal Collins Group Division of Marex Spectron and SG Americas Securities, LLC 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 may earn interest income on its assets deposited with the clearing brokers.

F-16

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

The Partnership, through the Trading Companies, has entered into a relationship with Sociètè Gènèrale International Limited for the clearing of its OTC foreign currency transactions and with Deutsche Bank AG for its swap transactions. The Partnership has entered into an International Swaps and Derivatives Association, Inc. master agreement with Deutsche Bank AG and Sociètè Gènèrale International Limited. Margin requirements may be satisfied by the deposit of U.S. Treasury bills and/or cash with such interbank market makers or swap counterparties. The Partnership may earn interest income on its assets deposited with the interbank market makers.

Note 4. Commodity Trading Advisors and Reference Traders

The Partnership, through the Trading Companies, allocates assets to the commodity trading advisors or through swap transactions based on reference programs of such advisors. Each trading advisor that receives a direct allocation from the Partnership has entered into an advisory contract with the Partnership. As of December 31, 2020, the commodity trading advisors are EMC Capital Advisors, LLC (“EMC”), Episteme Capital Partners (UK) LLP (“Episteme”), Quantica Capital AG (“Quantica”) and Sterling Partners Quantitative Investments LLC (“Sterling”), (collectively, the “Advisors”). The Partnership will obtain the equivalent of net profits or net losses generated by H2O AM, LLP (“H2O”) as a reference trader (“Reference Trader”) through an off-exchange swap transaction and will not allocate assets to H2O directly. The Advisors and Reference Trader are paid a quarterly consulting fee, directly or through swap transactions, ranging from 0.2 percent to 1 percent per annum of the Partnership’s month-end allocated net assets and a quarterly or semi-annual incentive fee, directly or through swap transactions, ranging from 0 percent to 20 percent of the new trading profits on the allocated net assets of the Advisor or Reference Trader.

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 Partners 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.

F-17

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

The Partnership pays the General Partner a monthly brokerage charge, organization and offering reimbursement and operating expenses. The annualized brokerage charge, organization and offering reimbursement and operating expenses are presented in the table below.

			Organization and Offering
	Brokerage charge*		Reimbursement*		Operating Expense*
Class A units	7.00	%	0.10	%	0.25	%
Class B units	7.45	%	0.30	%	0.25	%
Legacy 1 Class units	4.50	%	0.30	%	0.25	%
Legacy 2 Class units	4.75	%	0.30	%	0.25	%
Global 1 Class units	3.95	%	0.30	%	0.25	%
Global 2 Class units	4.20	%	0.30	%	0.25	%
Global 3 Class units	5.95	%	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 charge 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, which are reflected in the brokerage charge line on the consolidated statements of operations. The brokerage charge in the amounts of $2,316,366, $3,249,779, and $4,297,318 for the years ended December 31, 2020, 2019 and 2018, respectively, are shown on the consolidated statements of operations.

Transaction costs and consulting fees are taken into account in determining the net amount the Partnership receives or pays in connection with swap transactions, but such costs or fees are not directly charged to the Partnership or any of its trading companies. The general partner will reduce (but not below zero) the brokerage charge by the amount of such costs and fees. Each class of units pays a fee to a counterparty in respect of any swap transaction of up to 0.50% of the notional amount of such swap transaction.

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 $142,831, $205,948, and $272,786 for the years ended December 31, 2020, 2019, and 2018, respectively, are shown on the consolidated statements 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, at the General Partner’s discretion, pro rata to record-holders as of December 31 of each year. The operating expenses in the amounts of $124,916, $179,163, and $237,141 for the years ended December 31, 2020, 2019, and 2018, respectively, are shown on the consolidated statement of operations.

An entity owned in part and controlled by Mr. Kavanagh, who indirectly controls and is president of Dearborn Capital Management, L.L.C., the general partner of the Partnership, and in part by Mr. Al Rayes, who is a principal of the general partner, and an entity owned in part and controlled by Mr. Meehan, the chief operating officer of the general partner, purchased a minority ownership interest in EMC, which is one of the commodity trading advisors of the Partnership. The general partner, on behalf of the Partnership, pays EMC a quarterly consulting fee and a quarterly incentive fee based on new trading profits, if any, achieved on EMC’s allocated net assets at the end of each period. For the years ended December 31, 2020, 2019 and 2018, EMC was paid approximately $81,500, $74,200 and $130,400, respectively, in consulting fees and $13,000, $0 and $0, respectively in incentive fees.

During July 2017, the Partnership invested $7.3 million of its cash balances previously held in GP Cash Management in Class I shares of the Grant Park Absolute Return Fund (“GPARF”), reinvested dividends received from GPARF in the amount of approximately $492,000, and redeemed the investment in the amount of $6,656,237 by the liquidation date of GPARF. GPARF liquidated on December 21, 2018. GPARF was one among several series of

F-18

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Northern Lights Fund Trust (“Trust”), a Delaware statutory trust organized on January 19, 2005. The Trust is registered under the Investment Company Act of 1940 as an open-ended mutual fund. The General Partner of the Partnership is registered as an investment adviser with the SEC under the Investment Advisers Act of 1940, and acted as investment adviser to GPARF. Revolution Capital Management, LLC, which was one of the Partnership’s trading advisors, acted as sub-adviser to GPARF. GPARF’s investment objective was to allocate its assets between two independent, underlying strategies: an investment growth strategy and a fixed income strategy. The general partner credited the dollar amount of any fees it earned as investment adviser of GPARF with respect to the Partnership’s assets invested in GPARF towards the portion of the Partnership’s brokerage charge retained by the general partner. For the year ended December 31, 2018 the credit amounted to $51,321 and is included in net gains (losses) from securities in the consolidated statements of operations.

Note 6. Redemptions and Allocation of Net Income or Loss

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 were prohibited from redeeming such units for the three months following the subscription for units. Global 3 Class Limited Partners who redeemed their units after the three-month lock-up, but prior to the one-year anniversary of their subscriptions for the redeemed units, paid the applicable early redemption fee. There were 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 redeemed 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.

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.

F-19

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Note 7. Assets and Condensed Schedule of Investments by Class of Units

The following schedules of assets by class of units and condensed schedule of investments by class of units reflect activity and percent of partners’ capital for each class of the Partnership as of December 31, 2020 and 2019.

Class A Units

Assets by Class of Units	December 31, 2020
Equity in brokers' trading accounts:
Cash	$	774,759
Net unrealized gain (loss) on open futures contracts		125,431
Net unrealized gain (loss) on open forward currency contracts		(5,128)
Net unrealized gain (loss) on open swap contracts		(113,940)
Total equity in brokers' trading accounts		781,122
Cash and cash equivalents		392,004
Securities owned, at fair value (cost $2,600,306)		2,582,649
Interest and dividend receivable, net		211
Total assets	$	3,755,986

F-20

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Futures, Forward and Swap Contracts owned by Class A Units at December 31, 2020

	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	$	39,923	1.10	%	$	(155)	—	%	$	39,768	1.10	%
Currencies		12,897	0.36	%		1,131	0.03	%		14,028	0.39	%
Energy		19,808	0.55	%		(9,289)	(0.26)	%		10,519	0.29	%
Interest rates		2,804	0.07	%		(506)	(0.01)	%		2,298	0.06	%
Meats		1,045	0.03	%		—	—	%		1,045	0.03	%
Metals		13,031	0.36	%		(2,635)	(0.08)	%		10,396	0.28	%
Soft commodities		18,920	0.52	%		(352)	(0.01)	%		18,568	0.51	%
Stock indices		11,737	0.32	%		(2,704)	(0.07)	%		9,033	0.25	%
Total U.S. Futures Positions		120,165				(14,510)				105,655
Foreign Futures Positions:
Interest rates		4,792	0.13	%		(9,852)	(0.27)	%		(5,060)	(0.14)	%
Metals		11,754	0.32	%		3,800	0.11	%		15,554	0.43	%
Soft commodities		184	0.01	%		—	—	%		184	0.01	%
Stock indices		9,263	0.26	%		(165)	(0.01)	%		9,098	0.25	%
Total Foreign Futures Positions		25,993				(6,217)				19,776
Total Futures Contracts	$	146,158	4.03	%	$	(20,727)	(0.57)	%	$	125,431	3.46	%
Forward Currency Contracts *
Currencies	$	2,846	0.08	%	$	(7,974)	(0.22)	%	$	(5,128)	(0.14)	%
Swap Contracts
Deutsche Bank total return swap, Termination date June 30, 2025	$	(113,940)	(3.14)	%	$	—	—	%	$	(113,940)	(3.14)	%
Total Futures, Forward Currency and
Swap Contracts	$	35,064	0.97	%	$	(28,701)	(0.79)	%	$	6,363	0.18	%

*  No individual 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.

F-21

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Securities owned by Class A Units at December 31, 2020

U.S. Government-sponsored enterprises

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	200,517	2/10/2023	Federal Agricultural Mortgage Corp., 1.7%	$	201,837	5.56	%
	160,414	9/22/2022	Federal Farm Credit Banks, 0.2%		160,442	4.42	%
	360,931	6/30/2023-9/28/2023	Federal Home Loan Mortgage Corp., 0.3%-0.5%		361,058	9.95	%
	481,242	8/24/2023-12/15/2023	Federal National Mortgage Assoc., 0.3%-0.4%		481,668	13.28	%
		Total U.S. Government-sponsored enterprises (cost $1,203,047)		$	1,205,005	33.21	%

U.S. Government securities

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	802,070	3/25/2021-8/12/2021	U.S. Treasury bills, 0.1% (cost $801,649)	$	801,753	22.10	%

U.S. Exchange-traded funds

					Percent of
					Partners' Capital
Shares		Description	Fair Value		(net asset value)
	3,048	Amplify High Income ETF	$	48,552	1.34	%
	6,818	Highland/iBoxx Senior Loan ETF		109,218	3.01	%
	4,010	Invesco Preferred ETF		61,198	1.69	%
	802	iShares Floating Rate Bond ETF		40,681	1.12	%
	802	iShares Short Maturity Bond ETF		40,240	1.11	%
	962	PIMCO Enhanced Short Maturity Active ETF		98,212	2.71	%
	4,411	SPDR Bloomberg Barclays Short Term High Yield Bond ETF		118,887	3.28	%
	1,203	VanEck Vectors Fallen Angel High Yield Bond ETF		38,620	1.06	%
	802	Other Exchange-traded funds**		20,283	0.56	%
		Total Exchange-traded funds (cost $595,610)	$	575,891	15.88	%

			Percent of
			Partners' Capital
	Fair Value		(net asset value)
Total securities owned by Class A Units at December 31, 2020	$	2,582,649	71.19	%

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

F-22

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Class B Units

Assets by Class of Units	December 31, 2020
Equity in brokers' trading accounts:
Cash	$	5,980,819
Net unrealized gain (loss) on open futures contracts		968,272
Net unrealized gain (loss) on open forward currency contracts		(39,582)
Net unrealized gain (loss) on open swap contracts		(879,566)
Total equity in brokers' trading accounts		6,029,943
Cash and cash equivalents		3,026,107
Securities owned, at fair value (cost $20,073,276)		19,936,972
Interest and dividend receivable, net		1,627
Total assets	$	28,994,649

F-23

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Futures, Forward and Swap Contracts owned by Class B Units at December 31, 2020

	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	$	308,188	1.10	%	$	(1,200)	—	%	$	306,988	1.10	%
Currencies		99,565	0.36	%		8,731	0.03	%		108,296	0.39	%
Energy		152,914	0.55	%		(71,709)	(0.26)	%		81,205	0.29	%
Interest rates		21,643	0.07	%		(3,907)	(0.01)	%		17,736	0.06	%
Meats		8,064	0.03	%		—	—	%		8,064	0.03	%
Metals		100,597	0.36	%		(20,342)	(0.08)	%		80,255	0.28	%
Soft commodities		146,051	0.52	%		(2,716)	(0.01)	%		143,335	0.51	%
Stock indices		90,603	0.32	%		(20,875)	(0.07)	%		69,728	0.25	%
Total U.S. Futures Positions		927,625				(112,018)				815,607
Foreign Futures Positions:
Interest rates		36,994	0.13	%		(76,050)	(0.27)	%		(39,056)	(0.14)	%
Metals		90,740	0.32	%		29,332	0.11	%		120,072	0.43	%
Soft commodities		1,418	0.01	%		—	—	%		1,418	0.01	%
Stock indices		71,508	0.26	%		(1,277)	(0.01)	%		70,231	0.25	%
Total Foreign Futures Positions		200,660				(47,995)				152,665
Total Futures Contracts	$	1,128,285	4.03	%	$	(160,013)	(0.57)	%	$	968,272	3.46	%
Forward Currency Contracts *
Currencies	$	21,973	0.08	%	$	(61,555)	(0.22)	%	$	(39,582)	(0.14)	%
Swap Contracts
Deutsche Bank total return swap, Termination date June 30, 2025	$	(879,566)	(3.14)	%	$	—	—	%	$	(879,566)	(3.14)	%
Total Futures, Forward Currency and
Swap Contracts	$	270,692	0.97	%	$	(221,568)	(0.79)	%	$	49,124	0.18	%

*  No individual 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.

F-24

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Securities owned by Class B Units at December 31, 2020

U.S. Government-sponsored enterprises

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	1,547,911	2/10/2023	Federal Agricultural Mortgage Corp., 1.7%	$	1,558,096	5.56	%
	1,238,329	9/22/2022	Federal Farm Credit Banks, 0.2%		1,238,545	4.42	%
	2,786,240	6/30/2023-9/28/2023	Federal Home Loan Mortgage Corp., 0.3%-0.5%		2,787,218	9.95	%
	3,714,985	8/24/2023-12/15/2023	Federal National Mortgage Assoc., 0.3%-0.4%		3,718,274	13.28	%
		Total U.S. Government-sponsored enterprises (cost $9,287,022)		$	9,302,133	33.21	%

U.S. Government securities

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	6,191,641	3/25/2021-8/12/2021	U.S. Treasury bills, 0.1% (cost $6,188,393)	$	6,189,196	22.10	%

U.S. Exchange-traded funds

					Percent of
					Partners' Capital
Shares		Description	Fair Value		(net asset value)
	23,527	Amplify High Income ETF	$	374,805	1.34	%
	52,628	Highland/iBoxx Senior Loan ETF		843,116	3.01	%
	30,958	Invesco Preferred ETF		472,422	1.69	%
	6,191	iShares Floating Rate Bond ETF		314,040	1.12	%
	6,191	iShares Short Maturity Bond ETF		310,635	1.11	%
	7,431	PIMCO Enhanced Short Maturity Active ETF		758,154	2.71	%
	34,054	SPDR Bloomberg Barclays Short Term High Yield Bond ETF		917,756	3.28	%
	9,287	VanEck Vectors Fallen Angel High Yield Bond ETF		298,128	1.06	%
	6,191	Other Exchange-traded funds**		156,587	0.56	%
		Total Exchange-traded funds (cost $4,597,861)	$	4,445,643	15.88	%

			Percent of
			Partners' Capital
	Fair Value		(net asset value)
Total securities owned by Class B Units at December 31, 2020	$	19,936,972	71.19	%

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

F-25

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Legacy 1 Class Units

Assets by Class of Units	December 31, 2020
Equity in brokers' trading accounts:
Cash	$	79,045
Net unrealized gain (loss) on open futures contracts		12,797
Net unrealized gain (loss) on open forward currency contracts		(523)
Net unrealized gain (loss) on open swap contracts		(11,625)
Total equity in brokers' trading accounts		79,694
Cash and cash equivalents		39,994
Securities owned, at fair value (cost $265,297)		263,496
Interest and dividend receivable, net		22
Total assets	$	383,206

F-26

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Futures, Forward and Swap Contracts owned by Legacy 1 Class Units at December 31, 2020

	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	$	4,073	1.10	%	$	(16)	—	%	$	4,057	1.10	%
Currencies		1,316	0.36	%		115	0.03	%		1,431	0.39	%
Energy		2,022	0.55	%		(948)	(0.26)	%		1,074	0.29	%
Interest rates		286	0.07	%		(52)	(0.01)	%		234	0.06	%
Meats		107	0.03	%		—	—	%		107	0.03	%
Metals		1,330	0.36	%		(269)	(0.08)	%		1,061	0.28	%
Soft commodities		1,930	0.52	%		(36)	(0.01)	%		1,894	0.51	%
Stock indices		1,197	0.32	%		(276)	(0.07)	%		921	0.25	%
Total U.S. Futures Positions		12,261				(1,482)				10,779
Foreign Futures Positions:
Interest rates		489	0.13	%		(1,005)	(0.27)	%		(516)	(0.14)	%
Metals		1,199	0.32	%		388	0.11	%		1,587	0.43	%
Soft commodities		19	0.01	%		—	—	%		19	0.01	%
Stock indices		945	0.26	%		(17)	(0.01)	%		928	0.25	%
Total Foreign Futures Positions		2,652				(634)				2,018
Total Futures Contracts	$	14,913	4.03	%	$	(2,116)	(0.57)	%	$	12,797	3.46	%
Forward Currency Contracts *
Currencies	$	291	0.08	%	$	(814)	(0.22)	%	$	(523)	(0.14)	%
Swap Contracts *
Deutsche Bank total return swap, Termination date June 30, 2025	$	(11,625)	(3.14)	%	$	—	—	%	$	(11,625)	(3.14)	%
Total Futures, Forward Currency and
Swap Contracts	$	3,579	0.97	%	$	(2,930)	(0.79)	%	$	649	0.18	%

*  No individual 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.

F-27

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Securities owned by Legacy 1 Class Units at December 31, 2020

U.S. Government-sponsored enterprises

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	20,458	2/10/2023	Federal Agricultural Mortgage Corp., 1.7%	$	20,592	5.56	%
	16,366	9/22/2022	Federal Farm Credit Banks, 0.2%		16,369	4.42	%
	36,824	6/30/2023-9/28/2023	Federal Home Loan Mortgage Corp., 0.3%-0.5%		36,838	9.95	%
	49,099	8/24/2023-12/15/2023	Federal National Mortgage Assoc., 0.3%-0.4%		49,143	13.28	%
		Total U.S. Government-sponsored enterprises (cost $122,741)		$	122,942	33.21	%

U.S. Government securities

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	81,832	3/25/2021-8/12/2021	U.S. Treasury bills, 0.1% (cost $81,789)	$	81,799	22.10	%

U.S. Exchange-traded funds

					Percent of
					Partners' Capital
Shares		Description	Fair Value		(net asset value)
	311	Amplify High Income ETF	$	4,954	1.34	%
	696	Highland/iBoxx Senior Loan ETF		11,143	3.01	%
	409	Invesco Preferred ETF		6,244	1.69	%
	82	iShares Floating Rate Bond ETF		4,150	1.12	%
	82	iShares Short Maturity Bond ETF		4,105	1.11	%
	98	PIMCO Enhanced Short Maturity Active ETF		10,020	2.71	%
	450	SPDR Bloomberg Barclays Short Term High Yield Bond ETF		12,129	3.28	%
	123	VanEck Vectors Fallen Angel High Yield Bond ETF		3,940	1.06	%
	82	Other Exchange-traded funds**		2,070	0.56	%
		Total Exchange-traded funds (cost $60,767)	$	58,755	15.88	%

			Percent of
			Partners' Capital
	Fair Value		(net asset value)
Total securities owned by Legacy 1 Class Units at December 31, 2020	$	263,496	71.19	%

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

F-28

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Legacy 2 Class Units

Assets by Class of Units	December 31, 2020
Equity in brokers' trading accounts:
Cash	$	64,534
Net unrealized gain (loss) on open futures contracts		10,448
Net unrealized gain (loss) on open forward currency contracts		(427)
Net unrealized gain (loss) on open swap contracts		(9,491)
Total equity in brokers' trading accounts		65,064
Cash and cash equivalents		32,652
Securities owned, at fair value (cost $216,594)		215,123
Interest and dividend receivable, net		18
Total assets	$	312,857

F-29

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Futures, Forward and Swap Contracts owned by Legacy 2 Class Units at December 31, 2020

	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	$	3,326	1.10	%	$	(13)	—	%	$	3,313	1.10	%
Currencies		1,074	0.36	%		94	0.03	%		1,168	0.39	%
Energy		1,650	0.55	%		(774)	(0.26)	%		876	0.29	%
Interest rates		234	0.08	%		(42)	(0.01)	%		192	0.06	%
Meats		87	0.03	%		—	—	%		87	0.03	%
Metals		1,085	0.36	%		(220)	(0.08)	%		865	0.28	%
Soft commodities		1,576	0.52	%		(29)	(0.01)	%		1,547	0.51	%
Stock indices		978	0.32	%		(225)	(0.07)	%		753	0.25	%
Total U.S. Futures Positions		10,010				(1,209)				8,801
Foreign Futures Positions:
Interest rates		399	0.13	%		(821)	(0.27)	%		(422)	(0.14)	%
Metals		979	0.32	%		317	0.11	%		1,296	0.43	%
Soft commodities		15	—	%		—	—	%		15	—	%
Stock indices		772	0.26	%		(14)	(0.01)	%		758	0.25	%
Total Foreign Futures Positions		2,165				(518)				1,647
Total Futures Contracts	$	12,175	4.03	%	$	(1,727)	(0.57)	%	$	10,448	3.46	%
Forward Currency Contracts *
Currencies	$	237	0.08	%	$	(664)	(0.22)	%	$	(427)	(0.14)	%
Swap Contracts *
Deutsche Bank total return swap, Termination date June 30, 2025	$	(9,491)	(3.14)	%	$	—	—	%	$	(9,491)	(3.14)	%
Total Futures, Forward Currency and
Swap Contracts	$	2,921	0.97	%	$	(2,391)	(0.79)	%	$	530	0.18	%

*  No individual 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.

F-30

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Securities owned by Legacy 2 Class Units at December 31, 2020

U.S. Government-sponsored enterprises

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	16,702	2/10/2023	Federal Agricultural Mortgage Corp., 1.7%	$	16,812	5.56	%
	13,362	9/22/2022	Federal Farm Credit Banks, 0.2%		13,364	4.42	%
	30,064	6/30/2023-9/28/2023	Federal Home Loan Mortgage Corp., 0.3%-0.5%		30,074	9.95	%
	40,085	8/24/2023-12/15/2023	Federal National Mortgage Assoc., 0.3%-0.4%		40,120	13.27	%
		Total U.S. Government-sponsored enterprises (cost $100,208)		$	100,370	33.20	%

U.S. Government securities

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	66,809	3/25/2021-8/12/2021	U.S. Treasury bills, 0.1% (cost $66,774)	$	66,782	22.10	%

U.S. Exchange-traded funds

					Percent of
					Partners' Capital
Shares		Description	Fair Value		(net asset value)
	254	Amplify High Income ETF	$	4,044	1.34	%
	568	Highland/iBoxx Senior Loan ETF		9,097	3.01	%
	334	Invesco Preferred ETF		5,098	1.69	%
	67	iShares Floating Rate Bond ETF		3,389	1.12	%
	67	iShares Short Maturity Bond ETF		3,352	1.11	%
	80	PIMCO Enhanced Short Maturity Active ETF		8,181	2.71	%
	367	SPDR Bloomberg Barclays Short Term High Yield Bond ETF		9,903	3.28	%
	100	VanEck Vectors Fallen Angel High Yield Bond ETF		3,217	1.06	%
	67	Other Exchange-traded funds**		1,690	0.56	%
		Total Exchange-traded funds (cost $49,612)	$	47,971	15.88	%

			Percent of
			Partners' Capital
	Fair Value		(net asset value)
Total securities owned by Legacy 2 Class Units at December 31, 2020	$	215,123	71.18	%

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

F-31

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Global 1 Class Units

Assets by Class of Units	December 31, 2020
Equity in brokers' trading accounts:
Cash	$	2,632,950
Net unrealized gain (loss) on open futures contracts		426,265
Net unrealized gain (loss) on open forward currency contracts		(17,426)
Net unrealized gain (loss) on open swap contracts		(387,213)
Total equity in brokers' trading accounts		2,654,576
Cash and cash equivalents		1,332,190
Securities owned, at fair value (cost $8,836,904)		8,776,898
Interest and dividend receivable, net		716
Total assets	$	12,764,380

F-32

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Futures, Forward and Swap Contracts owned by Global 1 Class Units at December 31, 2020

	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	$	135,674	1.10	%	$	(528)	—	%	$	135,146	1.10	%
Currencies		43,832	0.36	%		3,843	0.03	%		47,675	0.39	%
Energy		67,318	0.55	%		(31,569)	(0.26)	%		35,749	0.29	%
Interest rates		9,528	0.07	%		(1,720)	(0.01)	%		7,808	0.06	%
Meats		3,550	0.03	%		—	—	%		3,550	0.03	%
Metals		44,286	0.36	%		(8,955)	(0.08)	%		35,331	0.28	%
Soft commodities		64,297	0.52	%		(1,196)	(0.01)	%		63,101	0.51	%
Stock indices		39,886	0.32	%		(9,190)	(0.07)	%		30,696	0.25	%
Total U.S. Futures Positions		408,371				(49,315)				359,056
Foreign Futures Positions:
Interest rates		16,286	0.13	%		(33,480)	(0.27)	%		(17,194)	(0.14)	%
Metals		39,947	0.32	%		12,914	0.11	%		52,861	0.43	%
Soft commodities		624	0.01	%		—	—	%		624	0.01	%
Stock indices		31,480	0.26	%		(562)	(0.01)	%		30,918	0.25	%
Total Foreign Futures Positions		88,337				(21,128)				67,209
Total Futures Contracts	$	496,708	4.03	%	$	(70,443)	(0.57)	%	$	426,265	3.46	%
Forward Currency Contracts *
Currencies	$	9,673	0.08	%	$	(27,099)	(0.22)	%	$	(17,426)	(0.14)	%
Swap Contracts *
Deutsche Bank total return swap, Termination date June 30, 2025	$	(387,213)	(3.14)	%	$	—	—	%	$	(387,213)	(3.14)	%
Total Futures, Forward Currency and
Swap Contracts	$	119,168	0.97	%	$	(97,542)	(0.79)	%	$	21,626	0.18	%

*  No individual 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.

F-33

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Securities owned by Global 1 Class Units at December 31, 2020

U.S. Government-sponsored enterprises

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	681,440	2/10/2023	Federal Agricultural Mortgage Corp., 1.7%	$	685,924	5.56	%
	545,152	9/22/2022	Federal Farm Credit Banks, 0.2%		545,248	4.42	%
	1,226,592	6/30/2023-9/28/2023	Federal Home Loan Mortgage Corp., 0.3%-0.5%		1,227,023	9.95	%
	1,635,457	8/24/2023-12/15/2023	Federal National Mortgage Assoc., 0.3%-0.4%		1,636,904	13.28	%
		Total U.S. Government-sponsored enterprises (cost $4,088,446)		$	4,095,099	33.21	%

U.S. Government securities

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	2,725,761	3/25/2021-8/12/2021	U.S. Treasury bills, 0.1% (cost $2,724,330)	$	2,724,684	22.10	%

U.S. Exchange-traded funds

					Percent of
					Partners' Capital
Shares		Description	Fair Value		(net asset value)
	10,358	Amplify High Income ETF	$	165,001	1.34	%
	23,169	Highland/iBoxx Senior Loan ETF		371,167	3.01	%
	13,629	Invesco Preferred ETF		207,976	1.69	%
	2,726	iShares Floating Rate Bond ETF		138,251	1.12	%
	2,726	iShares Short Maturity Bond ETF		136,751	1.11	%
	3,271	PIMCO Enhanced Short Maturity Active ETF		333,764	2.71	%
	14,992	SPDR Bloomberg Barclays Short Term High Yield Bond ETF		404,026	3.28	%
	4,089	VanEck Vectors Fallen Angel High Yield Bond ETF		131,245	1.06	%
	2,726	Other Exchange-traded funds**		68,934	0.56	%
		Total Exchange-traded funds (cost $2,024,128)	$	1,957,115	15.88	%

			Percent of
			Partners' Capital
	Fair Value		(net asset value)
Total securities owned by Global 1 Class Units at December 31, 2020	$	8,776,898	71.19	%

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

F-34

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Global 2 Class Units

Assets by Class of Units	December 31, 2020
Equity in brokers' trading accounts:
Cash	$	125,724
Net unrealized gain (loss) on open futures contracts		20,354
Net unrealized gain (loss) on open forward currency contracts		(832)
Net unrealized gain (loss) on open swap contracts		(18,490)
Total equity in brokers' trading accounts		126,756
Cash and cash equivalents		63,612
Securities owned, at fair value (cost $421,964)		419,098
Interest and dividend receivable, net		34
Total assets	$	609,500

F-35

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Futures, Forward and Swap Contracts owned by Global 2 Class Units at December 31, 2020

	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	$	6,478	1.10	%	$	(25)	—	%	$	6,453	1.10	%
Currencies		2,093	0.36	%		184	0.03	%		2,277	0.39	%
Energy		3,213	0.55	%		(1,507)	(0.26)	%		1,706	0.29	%
Interest rates		455	0.07	%		(82)	(0.01)	%		373	0.06	%
Meats		170	0.03	%		—	—	%		170	0.03	%
Metals		2,115	0.36	%		(428)	(0.08)	%		1,687	0.28	%
Soft commodities		3,070	0.52	%		(57)	(0.01)	%		3,013	0.51	%
Stock indices		1,905	0.32	%		(439)	(0.07)	%		1,466	0.25	%
Total U.S. Futures Positions		19,499				(2,354)				17,145
Foreign Futures Positions:
Interest rates		778	0.13	%		(1,599)	(0.27)	%		(821)	(0.14)	%
Metals		1,907	0.32	%		617	0.11	%		2,524	0.43	%
Soft commodities		30	0.01	%		—	—	%		30	0.01	%
Stock indices		1,503	0.26	%		(27)	(0.01)	%		1,476	0.25	%
Total Foreign Futures Positions		4,218				(1,009)				3,209
Total Futures Contracts	$	23,717	4.03	%	$	(3,363)	(0.57)	%	$	20,354	3.46	%
Forward Currency Contracts *
Currencies	$	462	0.08	%	$	(1,294)	(0.22)	%	$	(832)	(0.14)	%
Swap Contracts *
Deutsche Bank total return swap, Termination date June 30, 2025	$	(18,490)	(3.14)	%	$	—	—	%	$	(18,490)	(3.14)	%
Total Futures, Forward Currency and
Swap Contracts	$	5,689	0.97	%	$	(4,657)	(0.79)	%	$	1,032	0.18	%

*  No individual 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.

F-36

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Securities owned by Global 2 Class Units at December 31, 2020

U.S. Government-sponsored enterprises

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	32,539	2/10/2023	Federal Agricultural Mortgage Corp., 1.7%	$	32,753	5.56	%
	26,031	9/22/2022	Federal Farm Credit Banks, 0.2%		26,036	4.42	%
	58,570	6/30/2023-9/28/2023	Federal Home Loan Mortgage Corp., 0.3%-0.5%		58,591	9.95	%
	78,093	8/24/2023-12/15/2023	Federal National Mortgage Assoc., 0.3%-0.4%		78,162	13.27	%
		Total U.S. Government-sponsored enterprises (cost $195,225)		$	195,542	33.20	%

U.S. Government securities

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	130,156	3/25/2021-8/12/2021	U.S. Treasury bills, 0.1% (cost $130,087)	$	130,104	22.10	%

U.S. Exchange-traded funds

					Percent of
					Partners' Capital
Shares		Description	Fair Value		(net asset value)
	495	Amplify High Income ETF	$	7,879	1.34	%
	1,106	Highland/iBoxx Senior Loan ETF		17,723	3.01	%
	651	Invesco Preferred ETF		9,931	1.69	%
	130	iShares Floating Rate Bond ETF		6,601	1.12	%
	130	iShares Short Maturity Bond ETF		6,530	1.11	%
	156	PIMCO Enhanced Short Maturity Active ETF		15,937	2.71	%
	716	SPDR Bloomberg Barclays Short Term High Yield Bond ETF		19,292	3.28	%
	195	VanEck Vectors Fallen Angel High Yield Bond ETF		6,267	1.06	%
	130	Other Exchange-traded funds**		3,292	0.56	%
		Total Exchange-traded funds (cost $96,652)	$	93,452	15.88	%

			Percent of
			Partners' Capital
	Fair Value		(net asset value)
Total securities owned by Global 2 Class Units at December 31, 2020	$	419,098	71.18	%

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

F-37

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Global 3 Class Units

Assets by Class of Units	December 31, 2020
Equity in brokers' trading accounts:
Cash	$	1,672
Net unrealized gain (loss) on open futures contracts		271
Net unrealized gain (loss) on open forward currency contracts		(11)
Net unrealized gain (loss) on open swap contracts		(246)
Total equity in brokers' trading accounts		1,686
Cash and cash equivalents		846
Securities owned, at fair value (cost $5,611)		5,573
Interest and dividend receivable, net		—
Total assets	$	8,105

F-38

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Futures, Forward and Swap Contracts owned by Global 3 Class Units at December 31, 2020

	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	$	87	1.11	%	$	—	—	%	$	87	1.11	%
Currencies		28	0.36	%		2	0.03	%		30	0.39	%
Energy		43	0.55	%		(20)	(0.26)	%		23	0.29	%
Interest rates		6	0.07	%		(1)	(0.01)	%		5	0.06	%
Meats		2	0.03	%		—	—	%		2	0.03	%
Metals		28	0.36	%		(6)	(0.08)	%		22	0.28	%
Soft commodities		41	0.52	%		(1)	(0.01)	%		40	0.51	%
Stock indices		25	0.32	%		(6)	(0.07)	%		19	0.25	%
Total U.S. Futures Positions		260				(32)				228
Foreign Futures Positions:
Interest rates		10	0.13	%		(21)	(0.27)	%		(11)	(0.14)	%
Metals		26	0.33	%		8	0.10	%		34	0.43	%
Soft commodities		—	—	%		—	—	%		—	—	%
Stock indices		20	0.25	%		—	—	%		20	0.25	%
Total Foreign Futures Positions		56				(13)				43
Total Futures Contracts	$	316	4.03	%	$	(45)	(0.57)	%	$	271	3.46	%
Forward Currency Contracts *
Currencies	$	6	0.08	%	$	(17)	(0.22)	%	$	(11)	(0.14)	%
Swap Contracts *
Deutsche Bank total return swap, Termination date June 30, 2025	$	(246)	(3.14)	%	$	—	—	%	$	(246)	(3.14)	%
Total Futures, Forward Currency and
Swap Contracts	$	76	0.97	%	$	(62)	(0.79)	%	$	14	0.18	%

*  No individual 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.

F-39

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Securities owned by Global 3 Class Units at December 31, 2020

U.S. Government-sponsored enterprises

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	433	2/10/2023	Federal Agricultural Mortgage Corp., 1.7%	$	436	5.57	%
	346	9/22/2022	Federal Farm Credit Banks, 0.2%		346	4.42	%
	779	6/30/2023-9/28/2023	Federal Home Loan Mortgage Corp., 0.3%-0.5%		779	9.95	%
	1,039	8/24/2023-12/15/2023	Federal National Mortgage Assoc., 0.3%-0.4%		1,039	13.27	%
		Total U.S. Government-sponsored enterprises (cost $2,596)		$	2,600	33.21	%

U.S. Government securities

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	1,731	3/25/2021-8/12/2021	U.S. Treasury bills, 0.1% (cost $1,730)	$	1,730	22.09	%

U.S. Exchange-traded funds

					Percent of
					Partners' Capital
Shares		Description	Fair Value		(net asset value)
	7	Amplify High Income ETF	$	105	1.34	%
	15	Highland/iBoxx Senior Loan ETF		236	3.01	%
	9	Invesco Preferred ETF		131	1.67	%
	2	iShares Floating Rate Bond ETF		88	1.12	%
	2	iShares Short Maturity Bond ETF		87	1.11	%
	2	PIMCO Enhanced Short Maturity Active ETF		212	2.71	%
	10	SPDR Bloomberg Barclays Short Term High Yield Bond ETF		257	3.28	%
	3	VanEck Vectors Fallen Angel High Yield Bond ETF		83	1.06	%
	2	Other Exchange-traded funds**		44	0.56	%
		Total Exchange-traded funds (cost $1,285)	$	1,243	15.86	%

			Percent of
			Partners' Capital
	Fair Value		(net asset value)
Total securities owned by Global 3 Class Units at December 31, 2020	$	5,573	71.16	%

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

F-40

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Class A Units

Assets by Class of Units	December 31, 2019
Equity in brokers' trading accounts:
Cash	$	690,592
Net unrealized gain (loss) on open futures contracts		25,537
Net unrealized gain (loss) on open forward currency contracts		(4,390)
Net unrealized gain (loss) on open swap contracts		193,042
Total equity in brokers' trading accounts		904,781
Cash and cash equivalents		36,682
Securities owned, at fair value (cost $3,178,570)		3,182,839
Interest and dividend receivable, net		353
Total assets	$	4,124,655

F-41

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Futures, Forward and Swap Contracts owned by Class A Units at December 31, 2019

	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	$	11,264	0.28	%	$	(1,382)	(0.03)	%	$	9,882	0.25	%
Currencies		4,435	0.11	%		(4,034)	(0.10)	%		401	0.01	%
Energy		20,409	0.50	%		(15,024)	(0.37)	%		5,385	0.13	%
Interest rates		(3,945)	(0.10)	%		95	—	%		(3,850)	(0.10)	%
Meats		(15)	—	%		(195)	—	%		(210)	(0.01)	%
Metals		12,495	0.31	%		62	—	%		12,557	0.31	%
Soft commodities		2,880	0.07	%		448	0.01	%		3,328	0.08	%
Stock indices and single stock futures		14,627	0.36	%		(1,886)	(0.04)	%		12,741	0.32	%
Total U.S. Futures Positions		62,150				(21,916)				40,234
Foreign Futures Positions:
Interest rates		(16,000)	(0.39)	%		2,190	0.05	%		(13,810)	(0.34)	%
Metals		(4,568)	(0.11)	%		(71)	—	%		(4,639)	(0.11)	%
Stock indices		3,672	0.09	%		80	—	%		3,752	0.09	%
Total Foreign Futures Positions		(16,896)				2,199				(14,697)
Total Futures Contracts	$	45,254	1.12	%	$	(19,717)	(0.49)	%	$	25,537	0.63	%
Forward Currency Contracts *
Currencies	$	(293)	(0.01)	%	$	(4,097)	(0.10)	%	$	(4,390)	(0.11)	%
Swap Contracts
Deutsche Bank total return swap, Termination date April 30, 2024	$	(38,945)	(0.97)	%	$	—	—	%	$	(38,945)	(0.97)	%
Deutsche Bank total return swap, Termination date July 1, 2020		231,987	5.78	%		—	—	%		231,987	5.78	%
Total Swap Contracts	$	193,042	4.81	%	$	—	—	%	$	193,042	4.81	%
Total Futures, Forward Currency and
Swap Contracts	$	238,003	5.92	%	$	(23,814)	(0.59)	%	$	214,189	5.33	%

*  No individual 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.

F-42

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Securities owned by Class A Units at December 31, 2019

U.S. Government-sponsored enterprises

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	1,112,196	1/15/2021-12/27/2022	Federal Farm Credit Banks, 1.6%-2.2%	$	1,118,224	27.85	%
	889,757	9/13/2021-12/23/2022	Federal Home Loan Banks, 1.8%-2.3%		892,908	22.23	%
		Total U.S. Government-sponsored enterprises (cost $2,002,033)		$	2,011,132	50.08	%

U.S. Government securities

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	857,980	1/16/2020-6/25/2020	U.S. Treasury bills, 1.5%-2.0% (cost $852,163)	$	853,657	21.26	%

U.S. Exchange-traded funds

					Percent of
					Partners' Capital
Shares		Description	Fair Value		(net asset value)
	5,402	Highland/iBoxx Senior Loan ETF	$	94,753	2.36	%
	1,271	PIMCO Enhanced Short Maturity Active ETF		129,129	3.22	%
	3,495	SPDR Bloomberg Barclays Short Term High Yield Bond ETF		94,168	2.34	%
		Exchange-traded funds (cost $324,374)	$	318,050	7.92	%

			Percent of
			Partners' Capital
	Fair Value		(net asset value)
Total securities owned by Class A Units at December 31, 2019	$	3,182,839	79.26	%

F-43

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Class B Units

Assets by Class of Units	December 31, 2019
Equity in brokers' trading accounts:
Cash	$	7,192,106
Net unrealized gain (loss) on open futures contracts		265,947
Net unrealized gain (loss) on open forward currency contracts		(45,718)
Net unrealized gain (loss) on open swap contracts		2,010,413
Total equity in brokers' trading accounts		9,422,748
Cash and cash equivalents		382,023
Securities owned, at fair value (cost $33,102,907)		33,147,366
Interest and dividend receivable, net		3,676
Total assets	$	42,955,813

F-44

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Futures, Forward and Swap Contracts owned by Class B Units at December 31, 2019

	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	$	117,303	0.28	%	$	(14,393)	(0.03)	%	$	102,910	0.25	%
Currencies		46,187	0.11	%		(42,009)	(0.10)	%		4,178	0.01	%
Energy		212,553	0.50	%		(156,465)	(0.37)	%		56,088	0.13	%
Interest rates		(41,088)	(0.10)	%		993	—	%		(40,095)	(0.10)	%
Meats		(159)	—	%		(2,035)	—	%		(2,194)	(0.01)	%
Metals		130,125	0.31	%		642	—	%		130,767	0.31	%
Soft commodities		29,990	0.07	%		4,668	0.01	%		34,658	0.08	%
Stock indices and single stock futures		152,328	0.36	%		(19,636)	(0.04)	%		132,692	0.32	%
Total U.S. Futures Positions		647,239				(228,235)				419,004
Foreign Futures Positions:
Interest rates		(166,629)	(0.39)	%		22,808	0.05	%		(143,821)	(0.34)	%
Metals		(47,570)	(0.11)	%		(737)	—	%		(48,307)	(0.11)	%
Stock indices		38,236	0.09	%		835	—	%		39,071	0.09	%
Total Foreign Futures Positions		(175,963)				22,906				(153,057)
Total Futures Contracts	$	471,276	1.12	%	$	(205,329)	(0.49)	%	$	265,947	0.64	%
Forward Currency Contracts *
Currencies	$	(3,051)	(0.01)	%	$	(42,667)	(0.10)	%	$	(45,718)	(0.11)	%
Swap Contracts
Deutsche Bank total return swap, Termination date April 30, 2024	$	(405,594)	(0.97)	%	$	—	—	%	$	(405,594)	(0.97)	%
Deutsche Bank total return swap, Termination date July 1, 2020		2,416,007	5.78	%		—	—	%		2,416,007	5.78	%
Total Swap Contracts	$	2,010,413	4.81	%	$	—	—	%	$	2,010,413	4.81	%
Total Futures, Forward Currency and
Swap Contracts	$	2,478,638	5.92	%	$	(247,996)	(0.59)	%	$	2,230,642	5.33	%

* No individual 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.

F-45

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Securities owned by Class B Units at December 31, 2019

U.S. Government-sponsored enterprises

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	11,582,859	1/15/2021-12/27/2022	Federal Farm Credit Banks, 1.6%-2.2%	$	11,645,635	27.85	%
	9,266,286	9/13/2021-12/23/2022	Federal Home Loan Banks, 1.8%-2.3%		9,299,105	22.23	%
		Total U.S. Government-sponsored enterprises (cost $20,849,980)		$	20,944,740	50.08	%

U.S. Government securities

						Percent of
		��				Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	8,935,347	1/16/2020-6/25/2020	U.S. Treasury bills, 1.5%-2.0% (cost $8,874,770)	$	8,890,325	21.26	%

U.S. Exchange-traded funds

					Percent of
					Partners' Capital
Shares		Description	Fair Value		(net asset value)
	56,259	Highland/iBoxx Senior Loan ETF	$	986,792	2.36	%
	13,238	PIMCO Enhanced Short Maturity Active ETF		1,344,804	3.22	%
	36,404	SPDR Bloomberg Barclays Short Term High Yield Bond ETF		980,705	2.34	%
		Exchange-traded funds (cost $3,378,157)	$	3,312,301	7.92	%

			Percent of
			Partners' Capital
	Fair Value		(net asset value)
Total securities owned by Class B Units at December 31, 2019	$	33,147,366	79.26	%

F-46

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Legacy 1 Class Units

Assets by Class of Units	December 31, 2019
Equity in brokers' trading accounts:
Cash	$	71,238
Net unrealized gain (loss) on open futures contracts		2,634
Net unrealized gain (loss) on open forward currency contracts		(453)
Net unrealized gain (loss) on open swap contracts		19,913
Total equity in brokers' trading accounts		93,332
Cash and cash equivalents		3,784
Securities owned, at fair value (cost $327,886)		328,325
Interest and dividend receivable, net		36
Total assets	$	425,477

F-47

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Futures, Forward and Swap Contracts owned by Legacy 1 Class Units at December 31, 2019

	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	$	1,162	0.28	%	$	(143)	(0.03)	%	$	1,019	0.25	%
Currencies		458	0.11	%		(416)	(0.10)	%		42	0.01	%
Energy		2,105	0.50	%		(1,550)	(0.37)	%		555	0.13	%
Interest rates		(407)	(0.10)	%		10	—	%		(397)	(0.10)	%
Meats		(2)	—	%		(20)	—	%		(22)	(0.01)	%
Metals		1,289	0.31	%		6	—	%		1,295	0.31	%
Soft commodities		297	0.07	%		46	0.01	%		343	0.08	%
Stock indices and single stock futures		1,509	0.36	%		(195)	(0.04)	%		1,314	0.32	%
Total U.S. Futures Positions		6,411				(2,262)				4,149
Foreign Futures Positions:
Interest rates		(1,650)	(0.39)	%		226	0.05	%		(1,424)	(0.34)	%
Metals		(471)	(0.11)	%		(7)	—	%		(478)	(0.11)	%
Stock indices		379	0.09	%		8	—	%		387	0.09	%
Total Foreign Futures Positions		(1,742)				227				(1,515)
Total Futures Contracts	$	4,669	1.12	%	$	(2,035)	(0.49)	%	$	2,634	0.63	%
Forward Currency Contracts *
Currencies	$	(30)	(0.01)	%	$	(423)	(0.10)	%	$	(453)	(0.11)	%
Swap Contracts *
Deutsche Bank total return swap, Termination date April 30, 2024	$	(4,018)	(0.97)	%	$	—	—	%	$	(4,018)	(0.97)	%
Deutsche Bank total return swap, Termination date July 1, 2020		23,931	5.78	%		—	—	%		23,931	5.78	%
Total Swap Contracts	$	19,913	4.81	%	$	—	—	%	$	19,913	4.81	%
Total Futures, Forward Currency and
Swap Contracts	$	24,552	5.92	%	$	(2,458)	(0.59)	%	$	22,094	5.33	%

* No individual 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.

F-48

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Securities owned by Legacy 1 Class Units at December 31, 2019

U.S. Government-sponsored enterprises

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	114,729	1/15/2021-12/27/2022	Federal Farm Credit Banks, 1.6%-2.2%	$	115,350	27.85	%
	91,783	9/13/2021-12/23/2022	Federal Home Loan Banks, 1.8%-2.3%		92,108	22.23	%
		Total U.S. Government-sponsored enterprises (cost $206,520)		$	207,458	50.08	%

U.S. Government securities

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	88,505	1/16/2020-6/25/2020	U.S. Treasury bills, 1.5%-2.0% (cost $87,905)	$	88,059	21.26	%

U.S. Exchange-traded funds

					Percent of
					Partners' Capital
Shares		Description	Fair Value		(net asset value)
	557	Highland/iBoxx Senior Loan ETF	$	9,774	2.36	%
	131	PIMCO Enhanced Short Maturity Active ETF		13,320	3.22	%
	361	SPDR Bloomberg Barclays Short Term High Yield Bond ETF		9,714	2.34	%
		Exchange-traded funds (cost $33,461)	$	32,808	7.92	%

			Percent of
			Partners' Capital
	Fair Value		(net asset value)
Total securities owned by Legacy 1 Class Units at December 31, 2019	$	328,325	79.26	%

F-49

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Legacy 2 Class Units

Assets by Class of Units	December 31, 2019
Equity in brokers' trading accounts:
Cash	$	56,111
Net unrealized gain (loss) on open futures contracts		2,075
Net unrealized gain (loss) on open forward currency contracts		(357)
Net unrealized gain (loss) on open swap contracts		15,685
Total equity in brokers' trading accounts		73,514
Cash and cash equivalents		2,980
Securities owned, at fair value (cost $258,262)		258,609
Interest and dividend receivable, net		29
Total assets	$	335,132

F-50

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Futures, Forward and Swap Contracts owned by Legacy 2 Class Units at December 31, 2019

	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	$	915	0.28	%	$	(111)	(0.03)	%	$	804	0.25	%
Currencies		360	0.11	%		(327)	(0.10)	%		33	0.01	%
Energy		1,658	0.50	%		(1,221)	(0.37)	%		437	0.13	%
Interest rates		(321)	(0.10)	%		8	—	%		(313)	(0.10)	%
Meats		(1)	—	%		(16)	—	%		(17)	(0.01)	%
Metals		1,015	0.31	%		5	—	%		1,020	0.31	%
Soft commodities		234	0.07	%		36	0.01	%		270	0.08	%
Stock indices and single stock futures		1,188	0.36	%		(153)	(0.04)	%		1,035	0.32	%
Total U.S. Futures Positions		5,048				(1,779)				3,269
Foreign Futures Positions:
Interest rates		(1,300)	(0.39)	%		178	0.05	%		(1,122)	(0.34)	%
Metals		(371)	(0.11)	%		(6)	—	%		(377)	(0.11)	%
Stock indices		298	0.09	%		7	—	%		305	0.09	%
Total Foreign Futures Positions		(1,373)				179				(1,194)
Total Futures Contracts	$	3,675	1.12	%	$	(1,600)	(0.49)	%	$	2,075	0.63	%
Forward Currency Contracts *
Currencies	$	(24)	(0.01)	%	$	(333)	(0.10)	%	$	(357)	(0.11)	%
Swap Contracts *
Deutsche Bank total return swap, Termination date April 30, 2024	$	(3,164)	(0.97)	%	$	—	—	%	$	(3,164)	(0.97)	%
Deutsche Bank total return swap, Termination date July 1, 2020		18,849	5.78	%		—	—	%		18,849	5.78	%
Total Swap Contracts	$	15,685	4.81	%	$	—	—	%	$	15,685	4.81	%
Total Futures, Forward Currency and
Swap Contracts	$	19,336	5.92	%	$	(1,933)	(0.59)	%	$	17,403	5.33	%

* No individual 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.

F-51

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Securities owned by Legacy 2 Class Units at December 31, 2019

U.S. Government-sponsored enterprises

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	90,367	1/15/2021-12/27/2022	Federal Farm Credit Banks, 1.6%-2.2%	$	90,857	27.85	%
	72,294	9/13/2021-12/23/2022	Federal Home Loan Banks, 1.8%-2.3%		72,550	22.23	%
		Total U.S. Government-sponsored enterprises (cost $162,667)		$	163,407	50.08	%

U.S. Government securities

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	69,712	1/16/2020-6/25/2020	U.S. Treasury bills, 1.5%-2.0% (cost $69,239)	$	69,360	21.26	%

U.S. Exchange-traded funds

					Percent of
					Partners' Capital
Shares		Description	Fair Value		(net asset value)
	439	Highland/iBoxx Senior Loan ETF	$	7,699	2.36	%
	103	PIMCO Enhanced Short Maturity Active ETF		10,492	3.22	%
	284	SPDR Bloomberg Barclays Short Term High Yield Bond ETF		7,651	2.34	%
		Exchange-traded funds (cost $26,356)	$	25,842	7.92	%

			Percent of
			Partners' Capital
	Fair Value		(net asset value)
Total securities owned by Legacy 2 Class Units at December 31, 2019	$	258,609	79.26	%

F-52

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Global 1 Class Units

Assets by Class of Units	December 31, 2019
Equity in brokers' trading accounts:
Cash	$	2,681,756
Net unrealized gain (loss) on open futures contracts		99,165
Net unrealized gain (loss) on open forward currency contracts		(17,047)
Net unrealized gain (loss) on open swap contracts		749,633
Total equity in brokers' trading accounts		3,513,507
Cash and cash equivalents		142,447
Securities owned, at fair value (cost $12,343,245)		12,359,824
Interest and dividend receivable, net		1,370
Total assets	$	16,017,148

F-53

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Futures, Forward and Swap Contracts owned by Global 1 Class Units at December 31, 2019

	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	$	43,740	0.28	%	$	(5,367)	(0.03)	%	$	38,373	0.25	%
Currencies		17,222	0.11	%		(15,664)	(0.10)	%		1,558	0.01	%
Energy		79,256	0.50	%		(58,341)	(0.37)	%		20,915	0.13	%
Interest rates		(15,320)	(0.10)	%		370	—	%		(14,950)	(0.10)	%
Meats		(59)	—	%		(759)	—	%		(818)	(0.01)	%
Metals		48,520	0.31	%		239	—	%		48,759	0.31	%
Soft commodities		11,182	0.07	%		1,740	0.01	%		12,922	0.08	%
Stock indices and single stock futures		56,799	0.36	%		(7,322)	(0.04)	%		49,477	0.32	%
Total U.S. Futures Positions		241,340				(85,104)				156,236
Foreign Futures Positions:
Interest rates		(62,132)	(0.39)	%		8,505	0.05	%		(53,627)	(0.34)	%
Metals		(17,738)	(0.11)	%		(275)	—	%		(18,013)	(0.11)	%
Stock indices		14,258	0.09	%		311	—	%		14,569	0.09	%
Total Foreign Futures Positions		(65,612)				8,541				(57,071)
Total Futures Contracts	$	175,728	1.12	%	$	(76,563)	(0.49)	%	$	99,165	0.63	%
Forward Currency Contracts *
Currencies	$	(1,137)	(0.01)	%	$	(15,910)	(0.10)	%	$	(17,047)	(0.11)	%
Swap Contracts
Deutsche Bank total return swap, Termination date April 30, 2024	$	(151,236)	(0.97)	%	$	—	—	%	$	(151,236)	(0.97)	%
Deutsche Bank total return swap, Termination date July 1, 2020		900,869	5.78	%		—	—	%		900,869	5.78	%
Total Swap Contracts	$	749,633	4.81	%	$	—	—	%	$	749,633	4.81	%
Total Futures, Forward Currency and
Swap Contracts	$	924,224	5.92	%	$	(92,473)	(0.59)	%	$	831,751	5.33	%

*  No individual 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.

F-54

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Securities owned by Global 1 Class Units at December 31, 2019

U.S. Government-sponsored enterprises

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	4,318,958	1/15/2021-12/27/2022	Federal Farm Credit Banks, 1.6%-2.2%	$	4,342,366	27.85	%
	3,455,167	9/13/2021-12/23/2022	Federal Home Loan Banks, 1.8%-2.3%		3,467,404	22.23	%
		Total U.S. Government-sponsored enterprises (cost $7,774,436)		$	7,809,770	50.08	%

U.S. Government securities

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	3,331,768	1/16/2020-6/25/2020	U.S. Treasury bills, 1.5%-2.0% (cost $3,309,179)	$	3,314,980	21.26	%

U.S. Exchange-traded funds

					Percent of
					Partners' Capital
Shares		Description	Fair Value		(net asset value)
	20,978	Highland/iBoxx Senior Loan ETF	$	367,951	2.36	%
	4,936	PIMCO Enhanced Short Maturity Active ETF		501,443	3.22	%
	13,574	SPDR Bloomberg Barclays Short Term High Yield Bond ETF		365,680	2.34	%
		Exchange-traded funds (cost $1,259,630)	$	1,235,074	7.92	%

			Percent of
			Partners' Capital
	Fair Value		(net asset value)
Total securities owned by Global 1 Class Units at December 31, 2019	$	12,359,824	79.26	%

F-55

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Global 2 Class Units

Assets by Class of Units	December 31, 2019
Equity in brokers' trading accounts:
Cash	$	118,828
Net unrealized gain (loss) on open futures contracts		4,394
Net unrealized gain (loss) on open forward currency contracts		(755)
Net unrealized gain (loss) on open swap contracts		33,216
Total equity in brokers' trading accounts		155,683
Cash and cash equivalents		6,312
Securities owned, at fair value (cost $546,925)		547,661
Interest and dividend receivable, net		61
Total assets	$	709,717

F-56

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Futures, Forward and Swap Contracts owned by Global 2 Class Units at December 31, 2019

	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	$	1,938	0.28	%	$	(238)	(0.03)	%	$	1,700	0.25	%
Currencies		763	0.11	%		(694)	(0.10)	%		69	0.01	%
Energy		3,512	0.50	%		(2,585)	(0.37)	%		927	0.13	%
Interest rates		(679)	(0.10)	%		16	—	%		(663)	(0.10)	%
Meats		(3)	—	%		(34)	—	%		(37)	(0.01)	%
Metals		2,150	0.31	%		11	—	%		2,161	0.31	%
Soft commodities		495	0.07	%		77	0.01	%		572	0.08	%
Stock indices and single stock futures		2,517	0.36	%		(324)	(0.04)	%		2,193	0.32	%
Total U.S. Futures Positions		10,693				(3,771)				6,922
Foreign Futures Positions:
Interest rates		(2,753)	(0.39)	%		377	0.05	%		(2,376)	(0.34)	%
Metals		(786)	(0.11)	%		(12)	—	%		(798)	(0.11)	%
Stock indices		632	0.09	%		14	—	%		646	0.09	%
Total Foreign Futures Positions		(2,907)				379				(2,528)
Total Futures Contracts	$	7,786	1.12	%	$	(3,392)	(0.49)	%	$	4,394	0.63	%
Forward Currency Contracts *
Currencies	$	(50)	(0.01)	%	$	(705)	(0.10)	%	$	(755)	(0.11)	%
Swap Contracts
Deutsche Bank total return swap, Termination date March 29, 2019	$	(6,701)	(0.97)	%	$	—	—	%	$	(6,701)	(0.97)	%
Deutsche Bank total return swap, Termination date July 1, 2020		39,917	5.78	%		—	—	%		39,917	5.78	%
Total Swap Contracts	$	33,216	4.81	%	$	—	—	%	$	33,216	4.81	%
Total Futures, Forward Currency and
Swap Contracts	$	40,952	5.92	%	$	(4,097)	(0.59)	%	$	36,855	5.33	%

*  No individual 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.

F-57

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Securities owned by Global 2 Class Units at December 31, 2019

U.S. Government-sponsored enterprises

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	191,372	1/15/2021-12/27/2022	Federal Farm Credit Banks, 1.6%-2.2%	$	192,409	27.85	%
	153,097	9/13/2021-12/23/2022	Federal Home Loan Banks, 1.8%-2.3%		153,640	22.23	%
		Total U.S. Government-sponsored enterprises (cost $344,483)		$	346,049	50.08	%

U.S. Government securities

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	147,630	1/16/2020-6/25/2020	U.S. Treasury bills, 1.5%-2.0% (cost $146,628)	$	146,886	21.26	%

U.S. Exchange-traded funds

					Percent of
					Partners' Capital
Shares		Description	Fair Value		(net asset value)
	930	Highland/iBoxx Senior Loan ETF	$	16,304	2.36	%
	219	PIMCO Enhanced Short Maturity Active ETF		22,219	3.22	%
	601	SPDR Bloomberg Barclays Short Term High Yield Bond ETF		16,203	2.34	%
		Exchange-traded funds (cost $55,814)	$	54,726	7.92	%

			Percent of
			Partners' Capital
	Fair Value		(net asset value)
Total securities owned by Global 2 Class Units at December 31, 2019	$	547,661	79.26	%

F-58

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Global 3 Class Units

Assets by Class of Units	December 31, 2019
Equity in brokers' trading accounts:
Cash	$	55,585
Net unrealized gain (loss) on open futures contracts		2,055
Net unrealized gain (loss) on open forward currency contracts		(353)
Net unrealized gain (loss) on open swap contracts		15,537
Total equity in brokers' trading accounts		72,824
Cash and cash equivalents		2,953
Securities owned, at fair value (cost $255,838)		256,183
Interest and dividend receivable, net		28
Total assets	$	331,988

F-59

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Futures, Forward and Swap Contracts owned by Global 3 Class Units at December 31, 2019

	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	$	907	0.28	%	$	(111)	(0.03)	%	$	796	0.25	%
Currencies		357	0.11	%		(325)	(0.10)	%		32	0.01	%
Energy		1,643	0.50	%		(1,209)	(0.37)	%		434	0.13	%
Interest rates		(318)	(0.10)	%		8	—	%		(310)	(0.10)	%
Meats		(1)	—	%		(16)	—	%		(17)	(0.01)	%
Metals		1,006	0.31	%		5	—	%		1,011	0.31	%
Soft commodities		232	0.07	%		36	0.01	%		268	0.08	%
Stock indices and single stock futures		1,177	0.36	%		(152)	(0.04)	%		1,025	0.32	%
Total U.S. Futures Positions		5,003				(1,764)				3,239
Foreign Futures Positions:
Interest rates		(1,288)	(0.39)	%		176	0.05	%		(1,112)	(0.34)	%
Metals		(368)	(0.11)	%		(6)	—	%		(374)	(0.11)	%
Stock indices		296	0.09	%		6	—	%		302	0.09	%
Total Foreign Futures Positions		(1,360)				176				(1,184)
Total Futures Contracts	$	3,643	1.12	%	$	(1,588)	(0.49)	%	$	2,055	0.63	%
Forward Currency Contracts *
Currencies	$	(24)	(0.01)	%	$	(329)	(0.10)	%	$	(353)	(0.11)	%
Swap Contracts
Deutsche Bank total return swap, Termination date March 29, 2019	$	(3,135)	(0.97)	%	$	—	—	%	$	(3,135)	(0.97)	%
Deutsche Bank total return swap, Termination date July 1, 2020		18,672	5.78	%		—	—	%		18,672	5.78	%
Total Swap Contracts	$	15,537	4.81	%	$	—	—	%	$	15,537	4.81	%
Total Futures, Forward Currency and
Swap Contracts	$	19,156	5.92	%	$	(1,917)	(0.59)	%	$	17,239	5.33	%

*  No individual 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.

F-60

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Securities owned by Global 3 Class Units at December 31, 2019

U.S. Government-sponsored enterprises

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	89,519	1/15/2021-12/27/2022	Federal Farm Credit Banks, 1.6%-2.2%	$	90,005	27.85	%
	71,616	9/13/2021-12/23/2022	Federal Home Loan Banks, 1.8%-2.3%		71,869	22.23	%
		Total U.S. Government-sponsored enterprises (cost $161,141)		$	161,874	50.08	%

U.S. Government securities

						Percent of
						Partners' Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	69,058	1/16/2020-6/25/2020	U.S. Treasury bills, 1.5%-2.0% (cost $68,590)	$	68,710	21.26	%

U.S. Exchange-traded funds

					Percent of
					Partners' Capital
Shares		Description	Fair Value		(net asset value)
	435	Highland/iBoxx Senior Loan ETF	$	7,627	2.36	%
	102	PIMCO Enhanced Short Maturity Active ETF		10,393	3.22	%
	281	SPDR Bloomberg Barclays Short Term High Yield Bond ETF		7,579	2.34	%
		Exchange-traded funds (cost $26,107)	$	25,599	7.92	%

			Percent of
			Partners' Capital
	Fair Value		(net asset value)
Total securities owned by Global 3 Class Units at December 31, 2019	$	256,183	79.26	%

F-61

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Note 8. 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.

	2020		2019		2018
Total return – Class A Units	(9.20)	%	4.85	%	(9.92)	%
Total return – Class B Units	(9.75)	%	4.23	%	(10.50)	%
Total return – Legacy 1 Class Units	(7.17)	%	7.20	%	(7.80)	%
Total return – Legacy 2 Class Units	(7.37)	%	6.87	%	(8.03)	%
Total return – Global 1 Class Units	(6.74)	%	7.65	%	(6.95)	%
Total return – Global 2 Class Units	(6.89)	%	7.47	%	(7.19)	%
Total return – Global 3 Class Units	(8.42)	%	5.73	%	(8.82)	%
Ratios as a percentage of average net assets:
Expenses prior to incentive fees	5.18	%	5.17	%	5.13	%
Incentive fees	0.61	%	0.57	%	0.01	%
Total expenses	5.79	%	5.74	%	5.14	%
Net investment loss (1)	(4.11)	%	(3.52)	%	(4.10)	%

(1) Excludes incentive fee.

The expense ratios above are computed based upon the weighted average net assets of the Limited Partners for the years ended December 31, 2020, 2019, and 2018.

F-62

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

The following per unit performance calculations reflect activity related to the Partnership.

	Class A		Class B		Legacy 1		Legacy 2		Global 1		Global 2		Global 3
	Units		Units		Class Units		Class Units		Class Units		Class Units		Class Units
Per Unit Performance
(for unit outstanding throughout the entire period):
Net asset value per unit at December 31, 2017	$	1,050.40		857.37		842.06		822.36		835.42		818.12		702.50
Income (loss) from operations
Net realized and change in unrealized gain (loss) from trading		(59.20)		(48.57)		(48.77)		(47.38)		(45.27)		(44.42)		(37.92)
Expenses net of interest and dividend income*		(44.96)		(41.49)		(16.95)		(18.65)		(12.75)		(14.44)		(24.01)
Total income (loss) from operations		(104.16)		(90.06)		(65.72)		(66.03)		(58.02)		(58.86)		(61.93)
Net asset value per unit at December 31, 2018		946.24		767.31		776.34		756.33		777.40		759.26		640.57
Income (loss) from operations
Net realized and change in unrealized gain (loss) from trading		88.82		71.97		72.66		71.28		73.71		71.96		60.72
Expenses net of interest and dividend income*		(42.96)		(39.50)		(16.72)		(19.34)		(14.24)		(15.23)		(24.00)
Total income (loss) from operations		45.86		32.47		55.94		51.94		59.47		56.73		36.72
Net asset value per unit at December 31, 2019		992.10		799.78		832.28		808.27		836.87		815.99		677.29
Income (loss) from operations
Net realized and change in unrealized gain (loss) from trading		(46.46)		(37.72)		(38.02)		(36.95)		(38.05)		(37.22)		(36.47)
Expenses net of interest and dividend income*		(44.83)		(40.29)		(21.63)		(22.63)		(18.32)		(18.97)		(20.55)
Total income (loss) from operations		(91.29)		(78.01)		(59.65)		(59.58)		(56.37)		(56.19)		(57.02)
Net asset value per unit at December 31, 2020	$	900.81	$	721.77	$	772.63	$	748.69	$	780.50	$	759.80	$	620.27

* Expenses net of interest and dividend income per unit and organization and offering costs 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 (loss) from trading is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

Note 9. Trading Activities and Related Risks

The Partnership, through its Advisors or swap transactions based on reference programs of such 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 and other derivative instruments including swap contracts

F-63

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(collectively, derivatives; see Note 11). 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 ADM Investor Services, Inc., Rosenthal Collins Group Division of Marex Spectron and SG Americas Securities, LLC as its clearing brokers.

The amount of required margin and good faith deposits with the FCMs, interbank market makers and swap counterparties usually ranges from 5% to 35% of the Partnership’s net asset value. The cash deposited with the FCMs, interbank market makers and swap counterparties at December 31, 2020 and 2019 was $9,659,503 and $10,866,216, respectively, which was 21.35% and 17.20% of the net asset value, respectively, and is included in equity in brokers’ trading accounts on the consolidated statements of financial condition.

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, trading futures, forwards and swap contracts entails 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 markets 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.

Unlike futures and options on futures contracts, most swap contracts currently are not traded on or cleared by an exchange or clearinghouse. The CFTC currently requires only a limited class of swap contracts (certain interest rate and credit default swaps) to be cleared and executed on an exchange or other organized trading platform. In accordance with the Dodd-Frank Act, the CFTC will determine in the future whether other classes of swap contracts will be required to be cleared and executed on an exchange or other organized trading platform. Until such time as these transactions are cleared, the Partnership will be subject to a greater risk of counterparty default on its swaps. Because swaps do not generally involve the delivery of underlying assets or principal, the amount payable upon default and early termination is usually calculated by reference to the current market value of the contract. Swap dealers and major swap participants require the Partnership to deposit initial margin and variation margin as collateral to support such obligation under the swap agreement but may not themselves provide collateral for the benefit of the Partnership. If the counterparty to such a

F-64

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

swap agreement defaults, the Partnership would be a general unsecured creditor for any termination amounts owed by the counterparty to the Partnership as well as for any collateral deposits in excess of the amounts owed by the Partnership to the counterparty, which would result in losses to the Partnership.

There are no limitations on daily price movements in swap transactions. Speculative position limits are not currently applicable to swaps, but in the future may be applicable for swaps on certain commodities. In addition, participants in swap markets are not required to make continuous markets in the swaps they trade, and determining a market value for calculation of termination amounts can lead to uncertain results.

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 statements 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.

Trading on international markets may increase the risk that events or circumstances that disrupt such markets may have a materially adverse effect on Grant Park’s business or operations or the value of positions held by Grant Park.  Such events or circumstances may include, but are not limited to, inflation or deflation, currency devaluation, interest rate changes, exchange rate fluctuations, changes in government policies, natural disasters, pandemics or other extraordinary events such as coronavirus, armed conflicts, political or social instability or other unforeseen developments that cannot be quantified.

On March 11, 2020, the World Health Organization declared the novel coronavirus disease 2019, known as COVID-19 (“COVID-19”), a pandemic.  The COVID-19 global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Therefore, Grant Park could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates can have the same impact on all types of securities and instruments.

Note 10. 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 11. 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

F-65

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

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 9).

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 risk 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.

F-66

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

For the year ended December 31, 2020, the monthly average number of futures contracts bought and sold was 4,034, and the monthly average number of forward contracts bought and sold was 219. For the year ended December 31, 2019, the monthly average number of futures contracts bought and sold was 7,863 and the monthly average number of forward contracts bought and sold was 271. For the year ended December 31, 2018, the monthly average futures contracts bought and sold was 19,056 and the monthly average forward contracts bought and sold was 448. The following tables summarize the quantitative information required by FASB ASC 815:

	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	12/31/2020		12/31/2020		Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	497,774	$	(1,962)	$	495,812
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		184,052		(9,147)		174,905
Energy contracts	Net Unrealized gain (loss) on open futures contracts		273,682		(142,530)		131,152
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		120,357		(154,791)		(34,434)
Meats contracts	Net Unrealized gain (loss) on open futures contracts		17,160		(4,135)		13,025
Metals contracts	Net Unrealized gain (loss) on open futures contracts		408,111		(84,566)		323,545
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		283,819		(50,031)		233,788
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		283,402		(57,357)		226,045
		$	2,068,357	$	(504,519)	$	1,563,838
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	62,001	$	(125,930)	$	(63,929)
Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	—	$	(1,420,571)	$	(1,420,571)
*At December 31, 2020, the sector exposure of the CTA indices underlying the swaps was:
Deutsche Bank total return swap, termination date June 30, 2025
Interest rate contracts	59%
Stock indices contracts	13%
Forward currency contracts	28%
Total	100%

F-67

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	12/31/2019		12/31/2019		Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	201,399	$	(45,915)	$	155,484
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		77,837		(71,524)		6,313
Energy contracts	Net Unrealized gain (loss) on open futures contracts		399,221		(314,480)		84,741
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		47,095		(324,965)		(277,870)
Meats contracts	Net Unrealized gain (loss) on open futures contracts		1,715		(5,030)		(3,315)
Metals contracts	Net Unrealized gain (loss) on open futures contracts		277,156		(152,572)		124,584
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		56,283		(3,922)		52,361
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		325,154		(65,645)		259,509
		$	1,385,860	$	(984,053)	$	401,807
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	67,730	$	(136,803)	$	(69,073)
Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	3,650,232	$	(612,793)	$	3,037,439
*At December 31, 2019, the sector exposure of the CTA indices underlying the swaps was:
Deutsche Bank total return swap, termination date April 30, 2024
Agricultural contracts	3%
Energy contracts	3%
Interest rate contracts	46%
Metals contracts	5%
Stock indices contracts	12%
Forward currency contracts	31%
Total	100%
Deutsche Bank total return swap, termination date July 1, 2020
Interest rate contracts	39%
Stock indices contracts	22%
Forward currency contracts	39%
Total	100%

F-68

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

The Effect of Derivative Instruments on the Consolidated Statements of Operations for the Years Ended December 31, 2020, 2019 and 2018

		Years Ended December 31,
Type of Contract		2020		2019		2018
Agriculturals contracts	Net gain (loss) from futures trading	$	1,176,839	$	(177,141)	$	(1,206,749)
Currencies contracts	Net gain (loss) from futures trading		505,665		(414,477)		(194,875)
Energy contracts	Net gain (loss) from futures trading		(105,207)		(728,265)		1,051,284
Interest rates contracts	Net gain (loss) from futures trading		2,129,265		5,434,332		882,364
Meats contracts	Net gain (loss) from futures trading		91,806		(97,912)		(376,875)
Metals contracts	Net gain (loss) from futures trading		1,373,206		530,405		(707,249)
Soft commodities contracts	Net gain (loss) from futures trading		373,043		(204,249)		966,280
Stock indices	Net gain (loss) from futures trading		(1,642,386)		1,720,644		(4,490,579)
Forward currency contracts	Net gain (loss) from forward currency trading		(238,576)		380,909		79,646
Swap contracts	Net gain (loss) from swap trading		(6,594,230)		1,104,330		753,797
		$	(2,930,575)	$	7,548,576	$	(3,242,956)

Line Item in Consolidated Statements of Operations	For years ended December 31,
	2020		2019		2018
Net gain (loss) from futures trading
Realized	$	2,740,200	$	7,389,071	$	(3,159,282)
Change in unrealized		1,162,031		(1,325,734)		(917,117)
Total realized and change in unrealized net gain (loss) from futures trading	$	3,902,231	$	6,063,337	$	(4,076,399)
Net gain (loss) from forward currency trading
Realized	$	(243,720)	$	408,554	$	146,701
Change in unrealized		5,144		(27,645)		(67,055)
Total realized and change in unrealized net gain (loss) from forward currency trading	$	(238,576)	$	380,909	$	79,646
Net gain (loss) from swap trading
Realized	$	(2,136,220)	$	—	$	—
Change in unrealized	$	(4,458,010)	$	1,104,330	$	753,797
Total realized and change in unrealized net gain (loss) from swap trading	$	(6,594,230)	$	1,104,330	$	753,797
Total realized and change in unrealized net gain (loss) from futures, forward and swap trading	$	(2,930,575)	$	7,548,576	$	(3,242,956)

F-69

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

The tables below show the gross and net information related to derivatives eligible for offset in the Consolidated Statements of Financial Condition as of December 31, 2020 and 2019.

Offsetting of Derivative Assets

As of December 31, 2020

					Net Amount of
			Gross Amounts		Unrealized Gain/(Loss)
			Offset in the		Presented in
	Gross Amount of		Consolidated		the Consolidated
	Recognized		Statements of		Statements of
Type of Instrument	Assets		Financial Condition		Financial Condition
U.S. and foreign futures contracts	$	2,068,357	$	(504,519)	$	1,563,838
Forward currency contracts		62,001		(125,930)		(63,929)
Swap contracts		—		(1,420,571)		(1,420,571)
Total derivatives	$	2,130,358	$	(2,051,020)	$	79,338

Offsetting of Derivative Liabilities

As of December 31, 2020

					Net Amount of
			Gross Amounts		Unrealized Gain
			Offset in the		Presented in
	Gross Amount of		Consolidated		the Consolidated
	Recognized		Statements of		Statements of
Type of Instrument	Liabilities		Financial Condition		Financial Condition
U.S. and foreign futures contracts	$	504,519	$	(504,519)	$	—
Forward currency contracts		125,930		(125,930)		—
Swap contracts		1,420,571		(1,420,571)		—
Total derivatives	$	2,051,020	$	(2,051,020)	$	—

F-70

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of December 31, 2020

			Gross Amounts Not Offset in the Consolidated
			Statements of Financial Condition
	Net Amount of
	Unrealized Gain/(Loss)
	Presented in
	the Consolidated
	Statements of		Financial		Cash Collateral
Counterparty	Financial Condition		Instruments		Received		Net Amount
ADM Investor Services, Inc.	$	304,358	$	—	$	—	$	304,358
Deutsche Bank AG		(1,420,571)		—		—		(1,420,571)
Rosenthal Collins Group Division of Marex Spectron		112,762		—		—		112,762
SG Americas Securities, LLC		1,082,789		—		—		1,082,789
Total	$	79,338	$	—	$	—	$	79,338

Offsetting of Derivative Assets

As of December 31, 2019

					Net Amount of
			Gross Amounts		Unrealized Gain/(Loss)
			Offset in the		Presented in
	Gross Amount of		Consolidated		the Consolidated
	Recognized		Statements of		Statements of
Type of Instrument	Assets		Financial Condition		Financial Condition
U.S. and foreign futures contracts	$	1,385,860	$	(984,053)	$	401,807
Forward currency contracts		67,730		(136,803)		(69,073)
Swap contracts		3,650,232		(612,793)		3,037,439
Total derivatives	$	5,103,822	$	(1,733,649)	$	3,370,173

F-71

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

Offsetting of Derivative Liabilities

As of December 31, 2019

					Net Amount of
			Gross Amounts		Unrealized Gain
			Offset in the		Presented in
	Gross Amount of		Consolidated		the Consolidated
	Recognized		Statements of		Statements of
Type of Instrument	Liabilities		Financial Condition		Financial Condition
U.S. and foreign futures contracts	$	984,053	$	(984,053)	$	—
Forward currency contracts		136,803		(136,803)		—
Swap contracts		612,793		(612,793)		—
Total derivatives	$	1,733,649	$	(1,733,649)	$	—

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of December 31, 2019

			Gross Amounts Not Offset in the Consolidated
			Statements of Financial Condition
	Net Amount of
	Unrealized Gain/(Loss)
	Presented in
	the Consolidated
	Statements of		Financial		Cash Collateral
Counterparty	Financial Condition		Instruments		Received		Net Amount
ADM Investor Services, Inc.	$	(75,551)	$	—	$	—	$	(75,551)
Deutsche Bank AG		3,037,439		—		—		3,037,439
SG Americas Securities, LLC		408,285		—		—		408,285
Total	$	3,370,173	$	—	$	—	$	3,370,173

Note 12. Subsequent Events

The Partnership has evaluated subsequent events for potential recognition and/or disclosure through date of issuance of the accompanying consolidated financial statements. Subsequent to December 31, 2020, there were redemptions from the Partnership totaling approximately $312,000.

F-72

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: March 11, 2021	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)

POWER OF ATTORNEY

KNOW ALL PERSONS BY THESE PRESENTS, that each person whose signature appears below hereby constitutes and appoints David M. Kavanagh and Maureen O’Rourke, and each of them, the true and lawful attorneys-in-fact and agents of the undersigned, with full power of substitution and resubstitution, for and in the name, place and stead of the undersigned, to sign any and all amendments to this Annual Report on Form 10-K, and to file the same, with all exhibits thereto and other documents in connection therewith, with the Securities and Exchange Commission, and hereby grants to such attorneys-in-fact and agents, and each of them, full power and authority to do and perform each and every act and thing requisite and necessary to be done, as fully as to all intents and purposes as each of the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, or their or his substitutes, may lawfully do or cause to be done by virtue hereof. Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities indicated on March 11, 2021.

Signature	Title
/s/ David M. Kavanagh	President (Principal Executive Officer)
David M. Kavanagh
/s/ Maureen O’Rourke	Chief Financial Officer (Principal
Maureen O’Rourke	Financial and Accounting Officer)