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. 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. Exchange maintenance margin requirements have been used by Grant Park as the measure of its value at risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95% to 99% of any one-day interval. The maintenance margin levels are established by brokers, dealers and exchanges using historical price studies as well as an assessment of current market volatility and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component that is not relevant to value at risk. In the case of market sensitive instruments that are not exchange-traded, including currencies and some energy products and metals in the case of Grant Park, the margin requirements for the equivalent futures positions have been used as value at risk. In those cases in which a futures-equivalent margin is not available, dealers’ margins have been used. In the case of contracts denominated in foreign currencies, the value at risk figures include foreign currency margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk inherent to Grant Park, which is valued in U.S. dollars, in expressing value at risk in a functional currency other than U.S. dollars. In quantifying Grant Park’s value at risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading category’s aggregate value at risk. The diversification effects resulting from the fact that Grant Park’s positions are rarely, if ever, 100% positively correlated have not been reflected. Value At Risk By Market Sectors The following tables indicate the trading value at risk associated with the GP Class and Grant Park’s open positions by market category as of March 31, 2009 and December 31, 2008 and the trading gains/losses by market category for the three months ended March 31, 2009 and the year ended December 31, 2008. All open position trading risk exposures of the GP 1, LLC and Grant Park have been included in calculating the figures set forth below. As of March 31, 2009, Grant Park’s net asset value was approximately $859.7 million. As of December 31, 2008, Grant Park’s net asset value was approximately $643.6 million.
March 31, 2009 Market Sector
Interest Rates Stock Indices Currencies Metals Energy Softs Agriculturals Meats Total
Value at Risk
$
$
19,190,132 16,922,132 10,045,439 8,379,302 3,806,532 2,993,269 2,976,358 667,595 64,980,759
% of Total Capitalization
Trading Gain/(Loss)
2.2% 2.0 1.2 1.0 0.5 0.3 0.3 0.1 7.6%
(0.7)% (0.1) (1.2) (0.3) 0.1 (1.0) — — (3.2)%
December 31, 2008 Market Sector
Value at Risk
26
% of Total
Trading