The group is called Finnegan New Year's Brigade Comic Club. The group's marchers all dressed in colorful dresses and wigs and held signs featuring Bruce Jenner on the Wheaties box.
One marcher stood in front of the crowd dressed as Bruce Jenner with his Olympic gold medal. Several kids in colorful dresses then began circulating "Bruce" while "I'm Coming Out" played in the background. "Bruce" was placed in a wheelchair and wheeled into the crowd. Moments later, the song switched to "Dude Looks Like a Lady" and the marcher had switched to a white dress and was wearing a dress.
You can watch the whole skit here.
Philadelphia's incoming mayor has already denounced the skit and members of the local LGBT communities have also spoken out against it. The Finnegan New Year's Brigade Comic Club has been largely unapologetic.
Personally, I think that they were making fun of Caitlin Jenner and her media-driven transformation and not the larger LGBT communities. However, it's hard to argue that there wasn't anti-gay animus behind some of this when video when video emerges of one of those marches yelling "fuck the gays" at parade-watchers:
