UNITED
STATES


SECURITIES
AND EXCHANGE COMMISSION


Washington,
D.C. 20549




FORM
10-K


(Mark
One)




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




For the
Fiscal Year Ended December 31, 2008




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
              (State
      or other jurisdiction
              of
      incorporation or organization)
            36-3546839
              (I.R.S.
      Employer
              Identification
      Number)c/o
      Dearborn Capital Management, L.L.C.
              555
      West Jackson Boulevard, Suite 600
              Chicago,
      Illinois
              (Address
      of Principal Executive Offices)
            60661
              (Zip
      Code)





(312) 756-4450


(Registrant’s
telephone number, including area code)




Securities
registered pursuant to Section 12(b) of the
Act:  None




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




Class A
Limited Partnership Units


Class B
Limited Partnership 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
ý
 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
ý
 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  ýNo   ̈
 Indicate
by check mark if the disclosure of delinquent filers pursuant to Item 405
of Regulation S-K is not contained herein, and will not be contained, to
the best of the Registrant’s knowledge, in definitive proxy or information
statements incorporated by reference in Part III of this Form 10-K or
any amendment to this Form 10-K.   ý
 Indicate
by check mark whether the Registrant is a large accelerated filer, an
accelerated filer, a non-accelerated filer or a small reporting
company.  See definition of “large accelerated filer”, “accelerated
filer” and “small reporting company” in Rule 12b-2 of the Exchange Act. (Check
one):  Large accelerated filer  ̈Accelerated
filer  ̈Non-accelerated filer  ýSmall
reporting company  ̈
 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
ý
 The
Registrant has no voting stock.  As of December 31, 2008, there
were 56,756.88 Class A Limited Partnership Units and 408,160.74
Class B Limited Partnership Units issued and
outstanding.


DOCUMENTS
INCORPORATED BY REFERENCE






Table of Contents




Portions
of the Prospectus dated December 3, 2007 included within Post-Effective No. 7 to
the Registration Statement on Form S-1 (File No. 333-119338) filed
with the SEC on November 30, 2007 are incorporated by reference into Part I
of this Form 10-K.




Table of Contents
  TABLE OF CONTENTS
  Page
 PART IITEM 1.
                                          BUSINESS
                                          1ITEM 1A.
                                          RISK FACTORS
                                          4ITEM 1B.
                                          UNRESOLVED STAFF COMMENTS
                                          5ITEM 2.
                                          PROPERTIES
                                          5ITEM 3.
                                          LEGAL PROCEEDINGS
                                          5ITEM 4.
                                          SUBMISSION OF MATTERS TO A VOTE OF SECURITY
      HOLDERS
                                          6PART IIITEM 5.
                                          MARKET FOR REGISTRANT'S COMMON EQUITY, RELATED STOCKHOLDER
      MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES
                                          6ITEM 6.
                                          SELECTED FINANCIAL DATA
                                          7ITEM 7.
                                          MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
      AND RESULTS OF OPERATIONS
                                          9ITEM 7A.
                                          QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET
      RISK
                                          21ITEM 8.
                                          FINANCIAL STATEMENTS AND SUPPLEMENTARY
    DATA
                                          26ITEM 9.
                                          CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING
      AND FINANCIAL DISCLOSURE
                                          26ITEM 9A.
                                          CONTROLS AND PROCEDURES
                                          26ITEM 9A(T).
                                          CONTROLS AND PROCEDURES
                                          26ITEM 9B.
                                          OTHER INFORMATION
                                          27PART IIIITEM 10.
                                          DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE
      GOVERNANCE
                                          27ITEM 11.
                                          EXECUTIVE COMPENSATION
                                          28ITEM 12.
                                          SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND
      MANAGEMENT AND RELATED STOCKHOLDER MATTERS
                                          30ITEM 13.
                                          CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND
      DIRECTOR INDEPENDENCE
                                          30ITEM 14.
                                          PRINCIPAL ACCOUNTING FEES AND SERVICES
                                          31PART IVITEM 15.
                                          EXHIBITS AND FINANCIAL STATEMENT
    SCHEDULES
                                          31INDEX TO FINANCIAL STATEMENTS
                                          F-1SIGNATURES
 
 i
 Table of Contents
 PARTI




ITEM1.
            BUSINESS




Grant
Park Futures Fund Limited Partnership, which is referred to in this report as
Grant Park, is a multi-advisor commodity pool organized to pool assets of
investors for the purpose of investing those assets in U.S. and international
futures and forward contracts, security futures contracts, options contracts and
other interests in commodities.  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.




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 markets for currencies, interest rates, stock indices,
agricultural and energy products, precious and base metals and other
commodities.  In trading on these markets, Grant Park may employ
futures and forward contracts, security futures contracts, options contracts and
other interests in commodities.  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.  The managing member of Dearborn
Capital Management, L.L.C. is Dearborn Capital Management, Ltd., an Illinois
corporation whose sole shareholder is David M. Kavanagh.




Dearborn
Capital Management, L.L.C., along with its managing member and 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
and has been a member of the NFA since December 1995.  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.




As a
result of recent changes in the rules and regulations of the Financial Industry
Regulatory Authority (“FINRA”) affecting commodity pools, the general partner
has determined to make certain changes to the organization of Grant Park,
including the creation of additional classes of units, and has determined to
terminate the offering and sale of any new Class A and Class B units by the
second quarter of 2009.




As part
of the reorganization, Grant Park will continue to invest through different
commodity trading advisors retained by the general partner.  However,
instead of each trading advisor maintaining a separate account in the name of
Grant Park, as was historically the case, the assets of Grant Park will be
invested in various trading companies, each of which will be organized as a
limited liability company.  Each trading company will then allocate
those assets to one of the commodity trading advisors retained by the general
partner.  See “MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS – Reorganization of Grant
Park”.  Grant Park anticipates that the reorganization will be
completed during the second quarter of 2009.




Presently,
Rabar Market Research, Inc. (“Rabar”), EMC Capital Management, Inc. (“EMC”),
Eckhardt Trading Company (“ETC”), Graham Capital Management, L.P. (“Graham”),
Welton Investment Corporation (“Welton”), Global Advisors L.P. (“Global
Advisors”), Transtrend B.V. (“Transtrend”),







Table of Contents





Quantitative
Investment Management LLC (“QIM”), and Revolution Capital Management, LLC
(“RCM”), serve as Grant Park’s commodity trading advisors.  As of
December 31, 2008, the general partner allocated Grant Park’s net assets
among its core trading advisors Rabar, EMC, ETC, and Welton and non-core trading
advisors Graham, Global Advisors, Transtrend and QIM.  No more than
twenty five per cent of Grant Park’s assets are allocated to any one trading
advisor.  Each of Grant Park’s trading advisors employs technical and
trend-following trading strategies through proprietary trading programs, in an
effort to achieve capital appreciation while controlling risk and
volatility.  Also, through December 31, 2008 a portion of Grant Park’s
net assets was previously allocated to the Dearborn Select Master Fund, SPC –
Winton Segregated Portfolio – Class GP (the “GP Class”).  Dearborn
Select Master Fund, SPC (“Dearborn Select”) was incorporated under the laws of
the Cayman Islands on April 7, 2006 and is a private investment fund organized
as a segregated portfolio company with limited liability.  The GP
Class allocated the assets invested by Grant Park to Winton Capital Management
Limited (“Winton”) through one or more managed accounts, traded pursuant to
Winton’s Diversified Program.  Grant Park owned all of the outstanding
Class GP units of the GP Class.  The general partner of Grant Park was
also the Investment Manager of Dearborn Select.  As of December 31,
2008, the investment in the GP Class was redeemed and is shown on the statement
of financial condition as a redemption receivable.  Effective January
1, 2009, the portion of Grant Park’s net assets allocated to the GP Class was
reallocated to one of Grant Park’s trading companies, GP 1, LLC, a Delaware
limited liability company.  GP 1, LLC will allocate assets to Winton
to be traded pursuant to Winton’s Diversified Program.  There have
been no changes to the existing clearing broker arrangements/brokerage charge
and no material changes to the other fees and expenses allocated to Grant Park
as a result of this reallocation.




As of
December 31, 2008, Grant Park had a net asset value of approximately $643.6
million and 17,341 limited partners.  As of the close of business on
December 31, 2008, the net asset value per unit of the Class A units
was $1,570.20, and the net asset value of the Class B units was
$1,358.47.  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 began publicly offering both Class A and Class B units for
sale.




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.




Grant
Park has been trading continuously since January 1989. Since its inception and
through February 28, 2003, Grant Park offered its beneficial interests
exclusively to qualified investors on a private placement basis. Grant Park
converted its interests to units effective April 1, 2003, with all existing
limited partners at that date converting to Class A units with a price of
$1,000 per unit.  Effective June 30, 2003, Grant Park registered
up to an aggregate of $200 million of Class A and Class B units
pursuant to a Registration Statement on Form S-1 (File
No. 333-104317), and began publicly offering both Class A and Class B units
for sale.  Class B units began trading on August 1, 2003 and
were offered at a price of $1,000 per unit.  Grant Park subsequently
registered up to an additional $200 million in aggregate of Class A
and Class B units for sale on a Registration Statement on Form S-1
(File No. 333-113297) on March 30, 2004, and an additional $700
million in aggregate of Class A and Class B units for sale on a Registration
Statement of Form S-1 (File No. 333-119338) on December 1, 2004 (the
“Registration Statement”).  Since July 1, 2003, the Fund has
raised approximately $720,336,000 of new capital through December 1, 2008,
and is continuing to offer up to an additional $379,664,000 of units pursuant to
the Registration Statement, on a continuous basis at a price equal to the net
asset value per unit as of the close of business on each applicable closing
date, which is the last business day of each month.  The proceeds of
the offering are 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.







2
 Table of Contents





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, as amended (the “Act”), commodity exchanges and
commodity futures trading are subject to regulation by the Commodity Futures
Trading Commission (the “CFTC”).  The National Futures Association
(the “NFA”), a registered futures association under the 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 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.  Dearborn Capital Management
L.L.C. and Grant Park’s commodity brokers are members 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 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.




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.




Operations




A
description of the business of Grant Park, including trading approaches, rights
and obligations of the unitholders, compensation arrangements and fees and
expenses is contained in Grant Park’s prospectus dated December 3, 2007 included
in Post-effective Amendment No. 7 to the Registration Statement on
Form S-1 (File No. 333-119338) filed with the SEC on November 30, 2007
(the “Prospectus”) under the sections captioned “Summary,” “Risk Factors,” “The
General Partner,” “The Trading Advisors,” “Conflicts of Interest” and “Fees and
Expenses,” and such description is incorporated herein by reference from the
Prospectus.




Commodity
Interests




Grant
Park conducts its business in one industry segment which trades in U.S. and
international futures and forward contracts and other interests in commodities,
including options contracts on futures, forwards and commodities, spot contracts
and security futures contracts.  The commodities
underlying







3
 Table of Contents





these
contracts may include stock indices, interest rates, currencies, 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 contract traded on an exchange that
      calls for the future delivery of a specified quantity of a commodity at a
      specified time and place.




●
            A
      forward contract is an individually negotiated contract between
      principals, not traded on an exchange, to buy or sell a specified quantity
      of a commodity at or before a specified date at a specified
      price.




●
            An
      option on a futures contract, forward contract 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 over-the-counter options, generally are individually
      negotiated, principal-to-principal contracts not traded on an
      exchange.




●
            A
      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 narrow-based stock index.  Security futures
      contracts are relatively new financial instruments, having only begun
      trading in the United States in November 2002.  Security
      futures contracts are exchange-traded.  A trading advisor
      generally may choose to trade security futures contracts for Grant Park’s
      account if the trading advisor determines that the market for the
      particular contract is sufficiently liquid and that trading the contract
      is consistent with the trading advisor’s trading
  program.




For
convenience and unless otherwise specified, futures contracts, forward
contracts, options contracts and all other commodity interests collectively are
referred to as commodity interests.




ITEM1A.                      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 those
outlined below, which may affect the value of your investment in Grant
Park.  The following list of risk factors should not be considered a
comprehensive list of all potential risks and uncertainties relating to Grant
Park.  You should also refer to the other information included in this
Form 10-K, including our consolidated financial statements and related notes for
the year ended December 31, 2008.





Significant risk factors
include:





●
            An
      investment in Grant Park is speculative and leveraged; as a result of this
      leverage, small movements in the price of a commodity interest may cause
      you to incur significant losses.





●
            Performance
      can be volatile; rapid and substantial fluctuations in commodity interest
      prices could cause Grant Park’s trading positions to suddenly turn
      unprofitable and cause you to lose all or substantially all of your
      investment in Grant Park.





4
 Table of Contents





●
            Grant
      Park may not always be able to liquidate its commodity interest positions
      at the desired price.  It is difficult to execute a trade at a
      specific price when there is a relatively small volume of buy and sell
      orders in a market.  Unexpected market illiquidity may cause
      major losses to investors at any time or from time to
  time.





●
            Over-the-counter
      transactions are subject to little, if any, regulation and may be subject
      to the risk of counterparty default.  The lack of regulation in
      these markets could expose Grant Park in certain circumstances to
      significant losses in the event of trading abuses or financial failure by
      participants.





●
            The
      clearing brokers could fail and have been subject to disciplinary
      action.





●
            Trading
      in commodity interests is a zero-sum economic activity in which, for every
      gain, there is an offsetting loss. Grant Park therefore bears the risk
      that, on every trade, it will incur the
loss.





●
            Grant
      Park’s past performance is not necessarily indicative of future
      performance.





●
            Grant
      Park’s use of multiple trading advisors may result in Grant Park taking
      offsetting trading positions, thereby incurring additional expenses with
      no net change in holdings.





●
            No
      secondary market exists for the units; redemptions are limited and may
      result in early redemption fees.





●
            Grant
      Park pays substantial fees and expenses, including fees paid to its
      trading advisors, that must be offset by trading profits and interest
      income.





●
            A
      substantial portion of the trades executed for Grant Park takes place
      outside of the U.S., much of which exposes Grant Park to substantial
      credit, regulatory and foreign exchange
risk.





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





●
            The
      structure and operation of Grant Park involve several conflicts of
      interest.





ITEM1B.                      UNRESOLVED
STAFF COMMENTS




Not
applicable.




ITEM2.
            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 and commodities, spot contracts and
security futures contracts.  Grant Park’s main office is located at
555 West Jackson Boulevard, Suite 600, Chicago, Illinois 60661.




ITEM3.
            LEGAL
      PROCEEDINGS




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







5
 Table of Contents





ITEM 4.
              SUBMISSION
      OF MATTERS TO A VOTE OF SECURITY
HOLDERS


None.






PARTII




ITEM5.
            MARKET
      FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER
      PURCHASES OF EQUITY SECURITIES




Neither
the Class A units nor the Class B units of Grant Park are publicly
traded.  Both Class A and Class B 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 December 31, 2008, there were468 and 16,873 holders
of Class A units and Class B units, respectively, and 56,756.88
Class A units and 408,160.74Class B units
outstanding.




Dearborn
Capital Management L.L.C. has sole discretion in determining what distributions,
if any, Grant Park will make to its unit holders.  Grant Park has not
made any distributions as of the date hereof.




Class A
and Class B units are being offered on a continuous basis at subsequent closing
dates at a price equal to the net asset value per unit as of the close of
business on each applicable closing date, which is the last business day of each
month. Sales of the Class A units and Class B units during the fourth quarter
2008 were as follows:




Units
              
              October
              
              
              November
              
              
              DecemberClass
      A UnitsUnits
      sold
              
              
              710.18
              
              
              
              723.03
              
              
              
              3,072.51Net
      asset value
              
              $
              1,442.99
              
              
              $
              1,511.69
              
              
              $
              1,553.42Class
      B UnitsUnits
      sold
              
              
              8,505.48
              
              
              
              9,121.91
              
              
              
              12,173.31Net
      asset value
              
              $
              1,251.10
              
              
              $
              1,309.73
              
              
              $
              1,344.92





The
proceeds of the offering are 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




The following table provides
information regarding the total Class A and Class B units redeemed by Grant Park
during the three months ended December 31, 2008.




6
 Table of Contents





Period
                                  
                                  Total
      Number
                                    of
      Class A Units Redeemed
                                  
                                  
                                  Weighted
                                    Average
      Price Paid per Unit
                                  
                                  
                                  Total
      Number
                                    of
      Class B Units Redeemed
                                  
                                  
                                  Weighted
                                    Average
      Price Paid per Unit
                                  
                                  
                                  Total
      Number of Units Redeemed as Part of Publicly Announced Plans or
      Programs(1)
                                  
                                  
                                  Maximum
      Number of Units that May Yet Be Redeemed Under the Plans/Program(1)10/01/08
      through 10/31/08
                                  
                                  
                                  764.58
                                  
                                  
                                  $
                                  1,511.69
                                  
                                  
                                  
                                  4,374.30
                                  
                                  
                                  $
                                  1,309.73
                                  
                                  
                                  
                                  5,138.88
                                  
                                  
                                  
                                  (2
                                  )11/01/08
      through 11/30/08
                                  
                                  
                                  762.14
                                  
                                  
                                  $
                                  1,553.42
                                  
                                  
                                  
                                  3,065.72
                                  
                                  
                                  $
                                  1,344.92
                                  
                                  
                                  
                                  3,827.86
                                  
                                  
                                  
                                  (2
                                  )12/01/08
      through 12/31/08
                                  
                                  
                                  1,099.38
                                  
                                  
                                  $
                                  1,570.20
                                  
                                  
                                  
                                  3,161.98
                                  
                                  
                                  $
                                  1,358.47
                                  
                                  
                                  
                                  4,261.36
                                  
                                  
                                  
                                  (2
                                  )Total
                                  
                                  
                                  2,626.10
                                  
                                  
                                  $
                                  1,548.30
                                  
                                  
                                  
                                  10,602.00
                                  
                                  
                                  $
                                  1,334.44
                                  
                                  
                                  
                                  13,228.10
                                  
                                  
                                  
                                  (2
                                  )


_______________


(1)
                    As
      previously disclosed, pursuant to the Partnership Agreement, investors in
      Grant Park may redeem their units for an amount equal to the net asset
      value per unit at the close of business on the last business day of any
      calendar month if at least 10 days prior to the redemption date, or at an
      earlier date if required by the investor’s selling agent, the general
      partner receives a written request for redemption from the
      investor.  Generally, redemptions are paid in the month
      subsequent to the month requested.  The general partner may
      permit earlier redemptions in its discretion.(2)
                    Not
      determinable.




ITEM6.
            SELECTED
      FINANCIAL DATA




The
selected financial information for the years ended December 31, 2008, 2007,
2006, 2005 and 2004 is taken from the financial statements of Grant Park audited
by McGladrey & Pullen, LLP, Grant Park’s independent registered public
accountant.  You should read this information in conjunction with
“Management’s Discussion and Analysis of Financial Condition and Results of
Operations” and our financial statements and the related notes included
elsewhere in this report.  Results from past periods are not
necessarily indicative of results that may be expected for any future
period.






7
 Table of Contents






For
      the Year Ended December 31,2008
              
              
              2007
              
              
              2006
              
              
              2005
              
              
              2004Total
      assets
              
              $
              684,995,026
              
              
              $
              467,212,443
              
              
              $
              407,930,032
              
              
              $
              307,245,733
              
              
              $
              304,631,802Total
      partners’ capital
              
              
              643,595,209
              
              
              
              455,685,796
              
              
              
              382,252,995
              
              
              
              289,897,819
              
              
              
              289,654,031Net
      gains from trading
              
              
              127,520,875
              
              
              
              57,385,145
              
              
              
              37,071,404
              
              
              
              2,673,678
              
              
              
              1,219,593Income
      allocated from Dearborn Select Master Fund, SPC – Winton Segregated
      Portfolio
              
              
              16,714,939
              
              
              
              9,417,448
              
              
              
              —
              
              
              
              —
              
              
              
              —Interest
      income
              
              
              12,681,834
              
              
              
              17,475,172
              
              
              
              16,093,168
              
              
              
              8,436,400
              
              
              
              3,005,585Total
      expenses
              
              
              60,900,881
              
              
              
              33,855,319
              
              
              
              26,850,877
              
              
              
              21,466,551
              
              
              
              17,933,626Net
      income (loss)
              
              
              96,016,767
              
              
              
              50,422,446
              
              
              
              26,313,695
              
              
              
              (10,356,473
              )
              
              
              (13,708,448
              )Net
      income (loss) per General Partner & Class A Unit Limited
      Partner*
              
              
              263.77
              
              
              
              148.80
              
              
              
              98.75
              
              
              
              (36.11
              )
              
              
              (88.44
              )Net
      income (loss) per Class B Unit Limited Partner*
              
              
              223.70
              
              
              
              125.29
              
              
              
              82.71
              
              
              
              (35.34
              )
              
              
              (81.15
              )Increase
      (decrease) in net asset value per General Partner & Class A Unit
      Limited Partner
              
              
              260.73
              
              
              
              146.87
              
              
              
              97.03
              
              
              
              (37.96
              )
              
              
              (90.50
              )Increase
      (decrease) in net asset value per Class B Unit Limited
    Partner
              
              
              215.79
              
              
              
              120.26
              
              
              
              78.14
              
              
              
              (41.89
              )
              
              
              (90.42
              )


_______________
 *
                      Grant
      Park converted its “Interests” to units effective April 1, 2003, with all
      existing Limited Partners at that date converting to Class A
      Units.  The financial results are presented on a unitized basis
      from that date.  Class B Units began trading on August 1,
      2003.  The financial results are based on weighted average
      number of units outstanding during the
period.


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, 2008 and 2007.




1st Quarter
                                      2008
                                    
                                    
                                    2nd Quarter
                                      2008
                                    
                                    
                                    3rd Quarter
                                      2008
                                    
                                    
                                    4th Quarter
                                      2008(unaudited)
                                    
                                    
                                    (unaudited)
                                    
                                    
                                    (unaudited)
                                    
                                    
                                    (unaudited)Gains
      (losses) from trading
                                    
                                    $
                                    57,815,049
                                    
                                    
                                    $
                                    33,745,709
                                    
                                    
                                    $
                                    (19,860,656
                                    )
                                    
                                    $
                                    55,820,773Net
      income (loss)
                                    
                                    
                                    53,627,759
                                    
                                    
                                    
                                    27,202,378
                                    
                                    
                                    
                                    (35,815,585
                                    )
                                    
                                    
                                    51,002,215Net
      income (loss) per General Partner & Class A Unit Limited Partner
      **
                                    
                                    
                                    153.78
                                    
                                    
                                    
                                    75.39
                                    
                                    
                                    
                                    (93.39
                                    )
                                    
                                    
                                    128.01Net
      income (loss) per Class B Unit Limited Partner **
                                    
                                    
                                    132.70
                                    
                                    
                                    
                                    64.11
                                    
                                    
                                    
                                    (82.55
                                    )
                                    
                                    
                                    109.43Increase
      (decrease) in net asset value per General Partner & Class A Unit
      Limited Partner
                                    
                                    
                                    153.03
                                    
                                    
                                    
                                    74.62
                                    
                                    
                                    
                                    (94.13
                                    )
                                    
                                    
                                    127.21Increase
      (decrease) in net asset value per Class B Unit Limited
    Partner
                                    
                                    
                                    130.79
                                    
                                    
                                    
                                    62.10
                                    
                                    
                                    
                                    (84.47
                                    )
                                    
                                    
                                    107.37Net
      asset value per General Partner & Class A Unit Limited
      Partner
                                    
                                    
                                    1,462.50
                                    
                                    
                                    
                                    1,537.12
                                    
                                    
                                    
                                    1,442.99
                                    
                                    
                                    
                                    1,570.20






8
 Table of Contents





1st Quarter
                                                      2008
                                                    
                                                    
                                                    2nd Quarter
                                                      2008
                                                    
                                                    
                                                    3rd Quarter
                                                      2008
                                                    
                                                    
                                                    4th Quarter
                                                      2008(unaudited)
                                                    
                                                    
                                                    (unaudited)
                                                    
                                                    
                                                    (unaudited)
                                                    
                                                    
                                                    (unaudited)Net
      asset value per Class B Unit Limited Partner
                                                    
                                                    
                                                    1,273.47
                                                    
                                                    
                                                    
                                                    1,335.57
                                                    
                                                    
                                                    
                                                    1,251.10
                                                    
                                                    
                                                    
                                                    1,358.47




1st Quarter
                          2007
                        
                        
                        2nd Quarter
                          2007
                        
                        
                        3rd Quarter
                          2007
                        
                        
                        4th Quarter
                          2007(unaudited)
                        
                        
                        (unaudited)
                        
                        
                        (unaudited)
                        
                        
                        (unaudited)Gains
      (losses) from trading
                        
                        $
                        (28,430,628
                        )
                        
                        $
                        58,327,905
                        
                        
                        $
                        3,815,508
                        
                        
                        $
                        23,672,360Net
      income (loss)
                        
                        
                        (30,157,708
                        )
                        
                        
                        54,515,284
                        
                        
                        
                        3,664,029
                        
                        
                        
                        22,400,841Net
      income (loss) per General Partner & Class A Unit Limited Partner
      **
                        
                        
                        (85.38
                        )
                        
                        
                        158.30
                        
                        
                        
                        11.00
                        
                        
                        
                        64.88Net
      income (loss) per Class B Unit Limited Partner **
                        
                        
                        (76.10
                        )
                        
                        
                        137.65
                        
                        
                        
                        8.37
                        
                        
                        
                        55.39Increase
      (decrease) in net asset value per General Partner & Class A Unit
      Limited Partner
                        
                        
                        (85.97
                        )
                        
                        
                        157.69
                        
                        
                        
                        10.39
                        
                        
                        
                        64.76Increase
      (decrease) in net asset value per Class B Unit Limited
    Partner
                        
                        
                        (77.62
                        )
                        
                        
                        136.06
                        
                        
                        
                        6.77
                        
                        
                        
                        55.05Net
      asset value per General Partner & Class A Unit Limited
      Partner
                        
                        
                        1,076.63
                        
                        
                        
                        1,234.32
                        
                        
                        
                        1,244.71
                        
                        
                        
                        1,309.47Net
      asset value per Class B Unit Limited Partner
                        
                        
                        944.80
                        
                        
                        
                        1,080.86
                        
                        
                        
                        1,087.63
                        
                        
                        
                        1,142.68


_______________
 **
                        Based
      on weighted average number of units outstanding during the
      period.


ITEM7.
            MANAGEMENT’S
      DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
      OPERATIONS




Introduction




Grant
Park is a multi-advisor commodity pool organized to pool assets of its investors
for purposes of investing those assets in U.S. and international commodity
futures and forward contracts and other commodity interests, including options
contracts on futures, forwards and commodities, spot contracts and security
futures.  The commodities underlying these contracts may include stock
indices, interest rates, currencies or physical commodities, such as
agricultural products, energy products or metals.  Grant Park has been
in continuous operation since it commenced trading on January 1,
1989.  Grant Park’s general partner, commodity pool operator and
sponsor is Dearborn Capital Management, L.L.C., an Illinois limited liability
company.  The managing member of Dearborn Capital Management, L.L.C.
is Dearborn Capital Management, Ltd., an Illinois corporation whose sole
shareholder is David M. Kavanagh.




Reorganization
of Grant Park




As a result of recent changes in the
rules and regulations of the Financial Industry Regulatory Authority (“FINRA”)
affecting commodity pools, the general partner, has determined to make certain
changes to the organization of Grant Park, including the creation of additional
classes of units, and has determined to terminate the offering and sale of any
new Class A and Class B units by the second quarter of 2009.




As part of the reorganization, Grant
Park will continue to invest through different commodity trading advisors
retained by the general partner.  However, instead of each trading
advisor maintaining a







9
 Table of Contents





separate
account in the name of Grant Park, as was historically the case, the assets of
Grant Park will be invested in various trading companies, each of which will be
organized as a limited liability company.  Each trading company will
then allocate those assets to one of the commodity trading advisors retained by
the general partner.




Additionally, a separate cash
management multiple member limited liability company will be created to
collectively manage excess cash not held at the clearing brokers for each
individual manager.  Effectively, this new structure will segregate
and isolate one manager from another, reducing cross liabilities of the
managers.  This was not the case in Grant Park’s previous
structure.  The reorganization will be done at no additional cost to
the limited partners.




Grant
Park invests through independent professional commodity trading advisors
retained by the general partner.  Presently, Rabar, EMC, ETC, Graham,
Winton, Welton, Global Advisors, Transtrend, QIM, and RCM, serve as Grant Park’s
commodity trading advisors.  As of December 31, 2008, the general
partner allocated Grant Park’s net assets among its core trading advisors Rabar,
EMC, ETC and Welton and non-core trading advisors Graham, Global Advisors,
Transtrend and QIM.  No more than twenty five percent of Grant Park’s
assets are allocated to any one trading advisor.




Through
December 31, 2008 a portion of Grant Park’s net assets was allocated to the GP
Class.  Dearborn Select was incorporated under the laws of the Cayman
Islands on April 7, 2006 and is a private investment fund organized as a
segregated portfolio company with limited liability.  The GP Class
allocated the assets invested by Grant Park to Winton through one or more
managed accounts, traded pursuant to Winton’s Diversified
Program.  Grant Park owned all of the outstanding Class GP units of
the GP Class.  The general partner of Grant Park was also the
Investment Manager of Dearborn Select.  As of December 31, 2008, the
investment in the GP Class was redeemed and is shown on the statement of
financial condition as a redemption receivable.  Effective January 1,
2009, the portion of Grant Park’s net assets allocated to the GP Class was
reallocated to one of Grant Park’s trading companies, GP 1, LLC, a Delaware
limited liability company.  GP 1, LLC will allocate assets to Winton
to be traded pursuant to Winton’s Diversified Program.  There have
been no changes to the existing clearing broker arrangements/brokerage charge
and no material changes to the other fees and expenses allocated to Grant Park
as a result of this reallocation.




Critical
Accounting Policies




Grant
Park’s most significant accounting policy is the valuation of its assets
invested in other commodity investment pools and in U.S. and international
futures and forward contracts, options contracts and other interests in
commodities.  The substantial majority of these investments are
exchange-traded contracts, valued based upon exchange settlement
prices.  The remainder of its investments are non-exchange-traded
contracts with valuation of those investments based on third-party quoted dealer
values on the Interbank market.  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 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 financial statements.







10
 Table of Contents




Valuation
of Financial Instruments





Proper valuation of financial
instruments is a critical component of Grant Park’s financial statement
preparation.  On January 1, 2008, Grant Park adopted Statement of
Financial Accounting Standards No. 157, Fair Value Measurements
(“SFAS No. 157”) as it relates to financial assets and financial
liabilities.  SFAS No. 157 is effective for fiscal years beginning
after November 15, 2007, except for nonfinancial assets and nonfinancial
liabilities that are recognized or disclosed at fair value in the financial
statements on a nonrecurring basis for which delayed application is permitted
until fiscal years beginning after November 15, 2008.





SFAS No.
157 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 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 under SFAS 157 as assumptions market participants would use in
pricing an asset or liability. The three levels of the fair value hierarchy
under SFAS 157 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
are unobservable for the asset or liability.





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





Fair value of exchange-traded contracts
is based upon exchange settlement prices.  Fair value of
non-exchange-traded contracts is based on third-party-quoted dealer values on
the Interbank market.  U.S. Government securities,
Government-sponsored enterprises and commercial paper are stated at cost plus
accrued interest, which approximates fair value.  These financial
instruments are classified in Level 1 of the fair value hierarchy.





Certificates of deposit are stated at
cost plus accrued interest, which approximates fair value.  These
financial instruments are classified in Level 2 of the fair value
hierarchy.





Grant Park’s investment in the GP Class
is reported in the statement of financial condition at fair value.  Fair
value ordinarily is the value determined by the management of the GP Class in
accordance with the valuation policies of the GP Class and as reported at the
time of Grant Park’s valuation.  Generally, the fair value of Grant Park’s
investment in the GP Class represents the amount that Grant Park could
reasonably expect to receive from the GP Class if Grant Park’s investment was
redeemed at the time of valuation, based on information reasonably available at
the time the valuation is made that





11
 Table of Contents





Grant
Park believes to be reliable.  This financial instrument is classified
in Level 3 of the fair value hierarchy.





The
following table presents Grant Park’s fair value hierarchy for those assets and
liabilities measured at fair value on a recurring basis as of December 31,
2008:





Assets
                                  
                                  Level
      1
                                  
                                  
                                  Level
      2
                                  
                                  
                                  Level
      3
                                  
                                  
                                  TotalEquity
      in brokers’ trading accountsU.S.
      Government securities
                                  
                                  $
                                  29,215,898
                                  
                                  
                                  $
                                  —
                                  
                                  
                                  $
                                  —
                                  
                                  
                                  $
                                  29,215,898Government-sponsored
      enterprises
                                  
                                  
                                  15,695,417
                                  
                                  
                                  
                                  —
                                  
                                  
                                  
                                  —
                                  
                                  
                                  
                                  15,695,417Futures
      contracts
                                  
                                  
                                  6,603,439
                                  
                                  
                                  
                                  —
                                  
                                  
                                  
                                  —
                                  
                                  
                                  
                                  6,603,439Forward
      contracts
                                  
                                  
                                  (1,393,208
                                  )
                                  
                                  
                                  —
                                  
                                  
                                  
                                  —
                                  
                                  
                                  
                                  (1,393,208
                                  )Cash
      and cash equivalentsCertificates
      of deposit
                                  
                                  
                                  —
                                  
                                  
                                  
                                  40,655,321
                                  
                                  
                                  
                                  —
                                  
                                  
                                  
                                  40,655,321Commercial paper
                                  
                                  
                                  89,383,455
                                  
                                  
                                  
                                  —
                                  
                                  
                                  
                                  —
                                  
                                  
                                  
                                  89,383,455Government-sponsored enterprises
                                  
                                  
                                  4,993,389
                                  
                                  
                                  
                                  —
                                  
                                  
                                  
                                  —
                                  
                                  
                                  
                                  4,993,389Certificates
      of deposit
                                  
                                  
                                  —
                                  
                                  
                                  
                                  28,525,736
                                  
                                  
                                  
                                  —
                                  
                                  
                                  
                                  28,525,736Commercial
      paper
                                  
                                  
                                  9,979,833
                                  
                                  
                                  
                                  —
                                  
                                  
                                  
                                  —
                                  
                                  
                                  
                                  9,979,833Government-sponsored
      enterprises
                                  
                                  
                                  311,078,226
                                  
                                  
                                  
                                  —
                                  
                                  
                                  
                                  —
                                  
                                  
                                  
                                  311,078,226Investment
      in Dearborn Select Master Fund, SPC*
                                  
                                  
                                  —
                                  
                                  
                                  
                                  —
                                  
                                  
                                  
                                  —
                                  
                                  
                                  
                                  —
 _______________
 *
                            The
      Investment in Dearborn Select Master Fund, SPC was redeemed at December
      31, 2008 and is shown on the statement of financial condition as a
      redemption receivable.
 Financial instruments classified as Level 3 in the fair value hierarchy
represent Grant Park’s investment in the GP Class in which management has used
at least one significant unobservable input in the valuation
model.  The following table presents a reconciliation of activity for
the GP Class:
 
 Balance
      at January 1, 2008
                        
                        $
                        98,629,036Total
      Realized Gain included in Income
                        
                        
                        16,714,939Purchases,
      Issuances and Settlements
                        
                        
                        —Redemption
                        
                        
                        (115,343,975
                        )Transfers
      in and (or) out of Level 3
                        
                        
                        —Balance
      at December 31, 2008
                        
                        $
                        —


Results
of Operations




Grant
Park’s returns, which are Grant Park’s trading gains plus interest income less
brokerage fees, performance fees, operating costs and offering costs borne by
Grant Park, for the year ended December 31, 2008, were 19.9% for
Class A units and 18.9% for Class B units, for the year ended
December 31, 2007 were 12.6% for Class A units and 11.8% for Class B units,
and for the year ended December 31, 2006 were 9.1% for Class A units and 8.3%
for Class B units.  Grant Park’s total net asset value at
December 31, 2008, 2007 and 2006 was $643.6 million, $455.7 million
and $382.3 million, respectively.  Results from past periods are
not indicative of results that may be expected for any future
period.







12
 Table of Contents





The table
below sets forth Grant Park’s trading gains or losses which include the
investment in the GP Class by sector for each of the years ended
December 31, 2008, 2007 and 2006.




%
      Gain (Loss)Year
      Ended December 31,Sector
                  
                  2008
                  
                  
                  2007
                  
                  
                  2006Interest
      Rates
                  
                  
                  8.6
                  %
                  
                  
                  7.2
                  %
                  
                  
                  (1.0
                  )%Currencies
                  
                  
                  0.1
                  
                  
                  
                  5.7
                  
                  
                  
                  0.8Stock
      Indices
                  
                  
                  5.6
                  
                  
                  
                  (2.3
                  )
                  
                  
                  6.9Energy
                  
                  
                  8.4
                  
                  
                  
                  5.0
                  
                  
                  
                  (1.7
                  )Agriculturals
                  
                  
                  3.0
                  
                  
                  
                  4.1
                  
                  
                  
                  (2.1
                  )Meats
                  
                  
                  0.3
                  
                  
                  
                  (0.6
                  )
                  
                  
                  (0.3
                  )Metals
                  
                  
                  3.0
                  
                  
                  
                  0.7
                  
                  
                  
                  10.8Softs
                  
                  
                  1.5
                  
                  
                  
                  (1.8
                  )
                  
                  
                  0.3Miscellaneous
                  
                  
                  —
                  
                  
                  
                  —
                  
                  
                  
                  —Total
                  
                  
                  30.5
                  %
                  
                  
                  18.0
                  %
                  
                  
                  13.7
                  %


Year
ended December 31, 2008





Grant
Park began 2008 on a positive note.  The ongoing effect of the 2007
credit crisis played a large role in the portfolio’s positive performance in the
first quarter.  Fueled by uncertainty surrounding the future of the
U.S. economy and a 150 basis point interest rate cut, the U.S. dollar weakened
steadily against many of its major counterparts.  Short dollar
positions directly benefited from the decline as the euro, British pound, and
New Zealand dollar all rose steadily against the U.S. dollar.  A weak
dollar also served Grant Park’s commodity positions well, as the devalued
currency drove metals prices upwards alongside long
positions.  Speculators bid up the gold markets as a hedge against
expected inflation increases resulting in profits for long
positions.  Long grains positions were among the top performers
throughout the quarter.  USDA reports announcing lower than expected
grain inventory levels, combined with news from China that weather conditions
had hurt the farming regions, propelled a strong uptrend in the grains
markets.  An abundance of poor economic data put steady pressure on
the equity markets benefiting the portfolio’s short positions.  The
effects of slumping home sales, reduced industrial production, and weak consumer
confidence pushed global share prices lower.  In attempts to shore up
the faltering global economy the U.S. Federal Reserve, as well as other major
Central Banks, began commenting on the continued need to ease interest rates in
the near future.  Speculation of interest rate cuts sent prices on
fixed income products upwards, resulting in profits for long
positions.





The
portfolio started out the second quarter quietly with a slight loss in
April.  Gains in the energy markets were overcome by setbacks in the
fixed income and equity indices markets.  After reaping the benefits
of declining stock prices early in 2008, a shift in investor sentiment resulted
in losses for Grant Park’s short stock indices positions.  Capital
infusions into major financial players like Lehman Brothers and UBS ignited a
spark in the equity markets resulting in a steady rally across the
sector.  A firming in the U.S. equity markets drove up the U.S. dollar
which put pressure on the metals and agricultural markets adding to
setbacks.  Long positions in the copper and corn markets were
negatively impacted as technical selling in response to a strong dollar drove
down prices.  As April ended, performance for the portfolio began to
change for the better.  The bulk of gains came from long positions in
the crude oil markets where supply constraints stemming from violence in Nigeria
and a hawkish OPEC sent prices steadily upwards.  In the fixed income
sector, strong economic data out of the Eurozone supported a bullish outlook for
the economy, causing investors to liquidate more risk-averse fixed income
positions.  The reduced demand for fixed income products pushed prices
lower resulting in profits for the portfolio’s short positions.  Long
grains positions further added to gains, as bad weather swept across the
Midwestern U.S., rallied prices.  Vicious rainstorms left America’s
key farming regions under as much as





13
 Table of Contents





6 inches
of water fueling a bearish forecast for 2008’s corn and soybean
crop.  Positioned on the short side of the equity indices markets,
Grant Park benefited from weak share prices.  Poor earnings reports
from leading financial institutions coupled with waning consumer confidence put
pressure on the major indices forcing them sharply lower.





Market
shifts in the third quarter of 2008 proved to be trying for
performance.  A reversal in the commodities markets, headlined by a
sharp decline in the price of crude oil, moved against Grant Park’s long
positions.  Contrary to forecasts, Hurricane Bertha narrowly missed
key energy producing facilities in the Gulf of Mexico resulting in a massive
unwinding of speculative long positions pushing prices lower resulting in losses
for the portfolio.  After reaching all-time highs early in the year,
prices across the agricultural sector slid sharply due to improved weather
patterns in the Midwest.  Speculation of possible government
intervention in the futures markets also weighed on commodity
prices.  Fearing that intervention would adversely affect commodities
holdings, major institutions began massive liquidations, especially in the gold
markets, driving prices lower against positions.  September marked a
positive shift in performance for the portfolio.  Short positions in
the equity markets posted gains as the failure and government takeover of
mortgage giants Fannie Mae and Freddie Mac put substantial pressure on the share
markets.  The announcement of the creation of the $700 billion
Troubled Asset Relief Program (TARP) and the failure of Washington Mutual and
Lehman Brothers drove the equity markets sharply downwards.  By the
end of the third quarter the majority of Grant Park’s commodity positions
reversed to the short side to take advantage of the downward trending
markets.  Positions in the metals markets were among the strongest
source of profits due to price declines stemming from reduced demand from
emerging nations such as Brazil, Russia, India, and China.  Improved
harvesting conditions across U.S. farmlands negated prior supply constraints
driving prices in the grains markets lower.  Forecasted supply
concerns in Nigeria resulted in losses for Grant Park’s short energy
positions.  Renewed threats of violence on major Nigerian crude oil
refineries by rebel group MEND (Movement for the Emancipation of the Niger
Delta) called into question the region’s production capabilities driving prices
higher.





Turmoil
in the financial markets continued into the start of the fourth quarter boding
well for performance.  Tight credit markets and rapidly decreasing
consumer confidence caused investors to flee equity positions driving prices
lower.  Major indices falling in excess of 20% caused an increase in
demand for safer fixed income markets driving up prices across the sector in
line with long positions.  Falling share prices spurred mass
liquidations in the commodities markets driving prices
downwards.  Positioned on the short side of the metals and
agriculturals markets, the portfolio was able to capitalize on the downtrend
through most of October.  Reduced production due to lack of capital in
the credit markets furthered declines in the commodities
markets.  With global manufacturing nearing all-time lows, demand for
energy and base metals declined resulting in profits for Grant Park’s short
positions.   The bulk of the portfolio’s gains throughout
November came from long fixed income positions.  Speculators
responding to monetary policy shifts from a number of central banks and
turbulence in the equity markets fueled strong uptrends in the debt markets
resulting in profits for long positions.  Positions in the equity
indices sector also proved to be a strong source of profits.  In the
equity markets, a revision to the TARP, which moved the focus of the program
away from buying toxic financial assets, weighed heavily on the share prices of
financial firms driving most major North American equity indices
lower.   Commodities markets continued their steady decline into
year-end.  Slowing production and reduced demand for industrial
commodities weighed heavily on prices.  One of the rare exceptions was
prices on gold which experienced a near 15% increase for the month of
November.  Short positions in gold markets endured losses as
speculators bid up the gold markets in attempts to hedge positions in the
financial markets.  Grant Park finished 2008 with a strong
December.  As occurred during the month before, the bulk of gains came
from long fixed income positions.  Yields on U.S. Treasuries breached
all-time lows as the U.S. Federal Reserve brought interest rates to near 0%
driving prices upwards.  Although gains were made in the fixed income
sector, the Federal Reserve’s decision to slash rates weighed heavily on the
U.S.





14
 Table of Contents





dollar.  Long
dollar positions against a number of emerging currencies posted losses as the
dollar weakened.





For the
year ended December 31, 2008, Grant Park had a positive return of 19.9% for the
Class A units and a positive return of 18.9% for the Class B
units.  On a combined basis prior to expenses, approximately 30.5%
resulted from trading gains and approximately 2.9% was due to interest
income.  These gains are offset by approximately 14.3% in combined
total brokerage fees, performance fees and offering costs borne by Grant
Park.  An analysis of the 30.5% trading gains by sector is as
follows:






Sector
                            
                            %
      Gain (Loss)Interest
      Rates
                            
                            
                            8.6
                            %Currencies
                            
                            
                            0.1Stock
      Indices
                            
                            
                            5.6Energy
                            
                            
                            8.4Agriculturals
                            
                            
                            3.0Meats
                            
                            
                            0.3Metals
                            
                            
                            3.0Softs
                            
                            
                            1.5Miscellaneous
                            
                            
                            —Total
                            
                            
                            30.5
                            %


Year
ended December 31, 2007





Grant
Park began the year on a positive note after interest rate hikes in the
Euro-zone and concerns over inflation in the U.S. forced fixed income prices
lower, benefiting short positions in government debt
markets.  Speculation that OPEC would not push for production cuts
resulted in gains for shorts in crude oil while an upswing in U.S. fuel
inventories did the same for similar positions in unleaded
gasoline.  The drop in energy prices sparked buying on global share
markets that produced gains for Grant Park’s long equity index
positions.  Metals positions, which were somewhat disparate at the
beginning of January, were also a source of income after a downturn in the U.S.
housing market weakened copper prices and the threat of a strike at a Canadian
mine put a bid into the nickel market.  Gains recorded by Grant Park
over the first month were erased quickly over the next two months as a dramatic
drop in share prices led to losses for Grant Park’s equity, interest rate and
currency positions.  In February, a massive single-session plunge in
the Chinese equity market (the apparent result of worries over whether the
government there would impose stricter regulations on investments) spilled over
into European and North American share markets.  The sell-off
continued into March, further influenced by rising energy prices that were
partly the result of growing tension between the United States and Iran over the
latter’s nuclear ambitions.  The volatile downturn in equities markets
sparked losses in the interest rate sector after investors fled stocks for the
relative safety of government debt instruments; weak reports on U.S. GDP, new
home sales and manufacturing drove bond prices higher still, adding to losses.
The Japanese yen rallied violently as investors strapped for the cash needed to
cover massive stock market losses liquidated profitable carry trades in which
they had initially borrowed the yen in order to purchase currencies from
economies offering higher rates of return.  Short positions in the
dollar were also unprofitable after the greenback rallied on a drop in the
February U.S. unemployment rate.  Longs in the soft/agricultural
commodities, which had produced somewhat neutral results during the first two
months of the year, ended the first quarter with net losses after USDA reports
pointing to an increase in acreage dedicated to corn production sent grain
prices lower.  Grant Park’s losses over the opening quarter were
rounded out after the weakness in equities led to lower gold
prices.





15
 Table of Contents





April
began a streak of three straight profitable months for Grant Park after
investors, encouraged by optimistic forecasts on global economic growth, began
to wade back into equities markets.  Gains continued into May as
positive earnings reports, an increase in merger and acquisition activity and
lower reports on U.S. inflation had investors convinced that stocks had turned
the corner.  Positions in the currency sector gained over the second
quarter, particularly the short bias in the U.S. dollar, which depreciated
against the euro and British pound in response to weak domestic economic
data.  Speculation that U.S. interest rates might be headed lower
while European rates moved higher pushed the dollar lower
still.  Short positions in the Japanese yen also gained as the
stability of equities markets allowed currency traders, already emboldened by
anemic data on Japanese consumer prices and industrial production, to resume the
carry trade in an effort to take advantage of the low cost of borrowing in
yen.  Short positions in the interest rate sector got out of the box
slowly in April after the drop in U.S. consumer prices resulted in a bond rally
but rebounded and posted gains over the next two months as global bond prices
fell in response to forecasts for greater European economic growth and a
confirmed rise in Canadian inflation.  Gains came for the
soft/agricultural commodities sector after short positions in the cotton market
benefited from a jump in inventories during April; long positions in the grain
markets provided the bulk of gains during May and June when prices in the
soybean complex surged on a lack of rain and the prospect of increased demand
for bio-fuel.  Metals positions experienced a period of directionless
trade during the second quarter.  A jump in Chinese demand for copper
and concerns over nickel supplies resulted in April gains that were somewhat
mitigated in May when base metals prices fell on news that the Chinese
government, which was worried about an overheating economy, increased the stamp
tax in an effort to dampen stock market speculation.  Advancing nickel
inventories during June added to losses.  Energy positions also
entered a period of sideways trade during the second quarter.  Rising
prices as the result of Iran’s stand-off with the West signaled a change in
Grant Park’s energy bias from short to long that resulted in gains after
unleaded gasoline rallied on reports of contracted inventories.  Long
positions in natural gas that were unprofitable during May were reversed by
Grant Park’s traders during June and were able to recoup some of the previous
month’s losses after prices continued lower by quarter’s end on reports of
rising fuel stocks.





The third
quarter represented a period of high volatility across global financial markets
that led to losses for Grant Park in July and August. Standard and Poor’s
decision to downgrade European collateralized debt obligations that were tied to
defaulting U.S. sub-prime mortgages resulted in setbacks for short positions in
the fixed income sector as investors’ uncertainty about the corporate sector’s
exposure to sub-prime debt sparked heavy buying in more secure government bond
markets.  Equities markets, which had held their ground for the better
part of July, plunged near month’s end on worries that the rapidly developing
mortgage crisis could result in a global credit crunch.  The sell-off
in stocks hurt Grant Park’s equity long positions and further exacerbated losses
in the fixed income sector as investors sought safe haven in government
securities.  As was the case in February, investors once again were
forced to liquidate positions in the profitable Japanese yen carry trade in
order to compensate for equities losses.  Grant Park’s positions in
the cross-rates sustained losses as the New Zealand dollar fell violently
against the yen.  Long positions in the euro sustained losses after
the European Central Bank injected billions of euros into the banking system in
an effort to head off a shortage of cash.  Worries over the
availability of credit translated into losses for Grant Park’s long positions in
the metals sector after investors’ aversion to risk and a rising U.S. dollar
sent gold prices tumbling.  Base metals prices fell on concerns that
an economic slowdown would accompany the dilemma facing credit
markets.  Long energy positions gained ground in July after reports of
falling inventories and sectarian strife in Nigeria rallied crude prices; those
same positions were dealt losses in August after prices fell when Hurricane Dean
failed to disrupt refinery operations in the Gulf of Mexico.  Heavy
rains over the Midwest in July and August caused losses to Grant Park’s long
positions in the soybean complex.





September marked a change in direction
for Grant Park’s performance and market exposure.  Positions in the
interest rate sector, which had been net-short for the majority of the calendar
year, were





16
 Table of Contents





reversed
by Grant Park’s trading advisors as a result of the material change in price
direction brought about by the flight to government debt as an alternative to
corporate bonds.  Long positions in domestic markets were immediately
rewarded after an unexpected drop in August U.S. payrolls, along with downward
revisions to July and June payrolls, prompted the U.S. Federal Reserve Bank to
cut short-term interest rates by 50 basis points.  Long positions in
the euro and Canadian dollar (which reached parity with the U.S. dollar for the
first time in thirty years) reported gains as the greenback plunged on the Fed’s
intervention.  Wheat prices, which had begun to rise at the end of
August, provided the bulk of gains for soft/agricultural positions on a spike in
demand from India and the Middle East.  The Fed’s decision to cut
rates sparked a rally that saw gold prices trade above $700 for the first time
in sixteen months, adding to Grant Park’s gains.  Speculation that
lower interest rates and a lower dollar would translate into greater demand for
energy benefited long crude positions as oil traded above the $80 mark for the
first time. Long stock index positions, which had been pared considerably by the
end of September, were profitable after Asian stocks rallied on news that the
Chinese government had relaxed investment restrictions on its
citizens.  By the end of September, Grant Park reported gains in every
sector and had all but erased the losses sustained during July and
August.





Grant
Park’s traders recorded gains during the fourth quarter after the bulk of Grant
Park’s positions continued to post advances throughout
October.  Tremors from the effects of failing sub-prime mortgages
continued to reverberate across global financial markets while a number of
highly rated lending institutions were forced to disclose the depth of their
exposure to the risky loans.  In an effort to stabilize financial
markets the Fed cut short term rates by another 25 basis points in October, a
move that resulted  in another down move for the beleaguered U.S.
dollar and gains for euro, pound and Canadian dollar
longs.  Uncertainty as to how far the mortgage crisis reached
continued to benefit long positions in the interest rate sector as investors
shunned corporate issues for the safety of government bonds.  Long
positions in the energy sector gained ground over the final quarter as a lower
dollar combined with geopolitical concerns and growing seasonal fuel demand
pushed crude oil prices to all-time highs above $95 per
barrel.  Soft/agricultural commodities sector reported losses during
October after wheat prices, which had established new all-time highs above $9
per bushel in September, fell on speculation that record prices would result in
a dramatic increase in acreage dedicated to the crop.  Grant Park’s
long positions in the sector were rewarded during November and December as dry
growing conditions and increased foreign demand for grain sustained the upward
trend in soybean and corn prices.  Metals markets reported gains
during this period after gold rallied to its highest levels in 27 years as
investors sought protection from the weak dollar and rising energy
costs.  Reports of bloated copper inventories resulted in losses
during November but these were quickly recovered after gold rallied throughout
December in response to higher energy costs.  The Fed’s rate cut,
along with additional cash infusions on behalf of the European Central Bank’s
effort to stave off a liquidity meltdown resulted in gains for the equity index
sector during October but these were erased over the final two months of the
year as the expanding credit calamity and recessionary fears continued to send
stock investors to the exits.





For the
year ended December 31, 2007, Grant Park had a positive return of 12.6% for the
Class A units and a positive return of 11.8% for the Class B
units.  On a combined basis prior to expenses, approximately 18.0%
resulted from trading gains and approximately 4.8% was due to interest
income.  These gains are offset by approximately 10.9% in combined
total brokerage fees, performance fees and offering costs borne by Grant
Park.  An analysis of the 18.0% trading gains by sector is as
follows:






17
 Table of Contents






Sector
                    
                    %
      Gain (Loss)Interest
      Rates
                    
                    
                    7.2
                    %Currencies
                    
                    
                    5.7Stock
      Indices
                    
                    
                    (2.3
                    )Energy
                    
                    
                    5.0Agriculturals
                    
                    
                    4.1Meats
                    
                    
                    (0.6
                    )Metals
                    
                    
                    0.7Softs
                    
                    
                    (1.8
                    )Miscellaneous
                    
                    
                    —Total
                    
                    
                    18.0
                    %






The
general partner has agreed to rebate back to Grant Park a portion of Grant
Park’s operating, organization and offering expenses to the extent actual
expenses were less than the actual amount Grant Park paid the general
partner.  For 2007, the general partner reimbursed Grant Park a total
of $750,000, of which $250,000 related to operating expenses and $500,000
related to organization and offering expenses.





Year
ended December 31, 2006





Grant
Park reported profits during the calendar year as identifiable price trends
allowed our traders to take advantage of increased volatility in the
marketplace.





Grant
Park started out the year on a positive note in January as the rally in base
metals prices that had begun in earnest in 2005 continued into 2006. A key
component to the upward price movement was the ongoing expansion of the Chinese
economy, which had continued to outpace economists’ growth estimates. Gains in
the sector continued throughout the year as work stoppages at several mines,
growth in the housing sector and falling inventories kept a bid in the market
for nickel, aluminum, copper and zinc.  Precious metals positions were
profitable as geopolitical concerns over Iran’s nuclear ambitions and questions
regarding the direction of U.S. monetary policy saw gold prices climb above the
$650 level.  Silver positions rounded out profits in the sector as
prices rose primarily on news that Barclays would introduce a silver-backed ETF
(Exchange Traded Fund) into the marketplace.  By the end of the
calendar year profits from base and precious metal positions, a sector which
makes up 11% of Grant Park’s market exposure, accounted for approximately 55% of
Grant Park’s net gains.





Positions
in global stock indices were the second largest source of Grant Park’s profits
during 2006.  Foreign equity markets performed well from the onset of
the year as favorable business conditions coupled with strong earnings forecasts
resulted in higher share prices on the Paris CAC, London FTSE-100, German DAX
and Spanish IBEX.  European stock prices continued to surge throughout
the year as merger and acquisition activity heated up.  The S&P
Composite Index and Hong Kong Hang Seng were responsible for the biggest gains
in the sector and prices in both indices continued higher in the second half of
the year on speculation that the U.S. Federal Reserve Bank, which had completed
the last of its seventeen consecutive rate rises in June, might be in a position
to ease short-term interest rates after a stream of economic data suggested that
the U.S. economy might be slowing down enough to warrant a rate
cut.





Currency
positions also reported gains for Grant Park’s investors, particularly in the
cross-rate markets.  The Japanese yen depreciated materially against
some of its major counterparts late in the year, allowing Grant Park’s traders
to take advantage of the increased volatility in the
sector.  Disparity between interest rates was a driving force in the
cross-rates as the prospect of tighter European monetary policy pushed the euro
and British pound higher relative to the yen.





18
 Table of Contents








The
largest losses for Grant Park were the result of positions in the
soft/agricultural commodities, the grain markets in particular.  The
soybean market presented the most difficulty in terms of identifying clear price
direction as it traded in a narrow range between $5.91 and $6.55 from January
through July.  Short positions benefited from a breakout to the
downside in August and September but concerns over soybean rust led to an
October rally that erased the gains from the previous two
months.  While prices continued higher throughout November a
definitive trend was difficult to identify as prices experienced a downside
reversal during December.





Positions
in the interest rate sector also sustained losses during 2006. The underlying
theme reverberating throughout financial markets during the year was the state
of the U.S. economy and what direction the Federal Reserve Bank would take with
regard to monetary policy.  The central bank was in the midst of a
tightening cycle as the year began and remained in that mode until June when it
implemented the last of its consecutive rate hikes. Following the halt to the
rate increases comments by Fed officials concerning any further risk of
inflation kept financial markets on edge even as economic data suggested that
the U.S. economy might be slowing down, causing the markets to speculate that
the next move by the Fed could be to lower short-term rates.  These
circumstances resulted in losses for positions in the Eurodollars, Ten-year
notes and Thirty-year bonds as uncertainty and choppiness in the marketplace
made it difficult for Grant Park’s traders to identify and exploit a price trend
in either direction.





For the
year ended December 31, 2006, Grant Park had a positive return of 9.1% for the
Class A units and a positive return of 8.3% for the Class B units.  On
a combined basis prior to expenses, approximately 13.7% resulted from trading
gains and approximately 4.7% was due to interest income.  These gains
are offset by approximately 10.0% in combined total brokerage fees, performance
fees and offering costs borne by Grant Park.  An analysis of the 13.7%
trading gains by sector is as follows:




Sector
                      
                      %
      Gain (Loss)Interest
      Rates
                      
                      
                      (1.0
                      )%Currencies
                      
                      
                      0.8Stock
      Indices
                      
                      
                      6.9Energy
                      
                      
                      (1.7
                      )Agriculturals
                      
                      
                      (2.1
                      )Meats
                      
                      
                      (0.3
                      )Metals
                      
                      
                      10.8Softs
                      
                      
                      0.3Miscellaneous
                      
                      
                      —Total
                      
                      
                      13.7
                      %


The
general partner has agreed to rebate back to Grant Park a portion of Grant
Park’s operating, organization and offering expenses to the extent actual
expenses were less than the actual amount Grant Park paid the general
partner.  For 2006, the general partner reimbursed Grant Park a total
of $700,000, of which $200,000 related to operating expenses and $500,000
related to organization and offering expenses.





Capital
Resources




Grant
Park plans to raise additional capital only through the sale of units pursuant
to the continuous offering and does not intend to raise any capital through
borrowing.  Due to the nature of







19
 Table of Contents





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.




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.




Off-Balance
Sheet Risk




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




In
addition to market risk, in 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
non-performance by one of their members and, as such, should significantly
reduce this credit risk.




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




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







20
 Table of Contents





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.







ITEM7A.
            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.  Grant Park’s current trading advisors all employ
trend-following strategies that rely on sustained movements in
price.  Erratic, choppy, sideways trading markets and sharp reversals
in movements can materially and adversely affect Grant Park’s
results.  Grant Park’s past performance is not necessarily indicative
of its future results.




Value at
risk 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,
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 foregoing
as well as the risks and uncertainties intrinsic to all future projections, the
inclusion of the quantification included 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 value at risk or by Grant Park’s
attempts to manage its market risk.  Moreover, value at risk may be
defined differently as used by other commodity pools or in other
contexts.




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.






21
 Table of Contents





The
following quantitative and qualitative disclosures regarding Grant Park’s market
risk exposures contain forward-looking statements.  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.  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 December 31, 2008
and December 31, 2007 and the






22
 Table of Contents




trading
gains/losses by market category for the years ended December 31, 2008 and
2007.  All open position trading risk exposures of the GP Class and
Grant Park have been included in calculating the figures
set forth below.  As of December 31, 2008, Grant Park’s net asset
value was approximately $643.6 million.  As of December 31, 2007,
Grant Park’s net asset value was approximately $455.7 million.




December 31,
      2008Market
      Sector
                
                Value
      at Risk
                
                
                %
      of Total Capitalization
                
                
                Trading
      Gain/(Loss)Interest
      Rates
                
                $
                14,965,191
                
                
                
                2.3
                %
                
                
                8.6
                %Currencies
                
                
                5,596,368
                
                
                
                0.9
                
                
                
                0.1Metals
                
                
                3,323,166
                
                
                
                0.5
                
                
                
                3.0Stock
      Indices
                
                
                2,393,475
                
                
                
                0.4
                
                
                
                5.6Energy
                
                
                1,509,880
                
                
                
                0.2
                
                
                
                8.4Agriculturals
                
                
                642,068
                
                
                
                0.1
                
                
                
                3.0Softs
                
                
                603,856
                
                
                
                0.1
                
                
                
                1.5Meats
                
                
                240,495
                
                
                
                —
                
                
                
                0.3Total
                
                $
                29,274,499
                
                
                
                4.5
                %
                
                
                30.5
                %
 
 December 31,
      2007Market
      Sector
                  
                  Value
      at Risk
                  
                  
                  %
      of Total Capitalization
                  
                  
                  Trading
      Gain/(Loss)Currencies
                  
                  $
                  10,046,639
                  
                  
                  
                  2.2
                  %
                  
                  
                  5.7
                  %Stock
      Indices
                  
                  
                  4,885,229
                  
                  
                  
                  1.1
                  
                  
                  
                  (2.3
                  )Interest
      Rates
                  
                  
                  4,165,346
                  
                  
                  
                  0.9
                  
                  
                  
                  7.2Energy
                  
                  
                  4,131,368
                  
                  
                  
                  0.9
                  
                  
                  
                  5.0Metals
                  
                  
                  3,984,802
                  
                  
                  
                  0.9
                  
                  
                  
                  0.7Agriculturals
                  
                  
                  3,548,025
                  
                  
                  
                  0.8
                  
                  
                  
                  4.1Softs
                  
                  
                  1,981,086
                  
                  
                  
                  0.4
                  
                  
                  
                  (1.8
                  )Meats
                  
                  
                  693,850
                  
                  
                  
                  0.1
                  
                  
                  
                  (0.6
                  )Total
                  
                  $
                  33,436,345
                  
                  
                  
                  7.3
                  %
                  
                  
                  18.0
                  %


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




The face
value of the market sector instruments held by Grant Park is typically many
times the applicable maintenance margin requirement, which generally ranges
between approximately 1% and 10% of contract face value, as well as many times
the capitalization of Grant Park.  The magnitude of Grant Park’s open
positions creates a risk of ruin not typically found in most other investment
vehicles.  Because of the size of its positions, certain market
conditions—unusual, but historically recurring from time to time—could cause
Grant Park to incur severe losses over a short period of time.  The
value at risk table above, as well as the past performance of Grant Park, gives
no indication of this risk of ruin.




Non-Trading
Risk




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







23
 Table of Contents





Qualitative
Market Risk




Trading
Risk




The
following were the primary trading risk exposures of Grant Park as of
December 31, 2008, by market sector.




Interest
Rates




Interest
rate risk is a principal market exposure of Grant Park.  Interest rate
movements directly affect the price of the futures positions held by Grant Park
and indirectly the value of its stock index and currency
positions.  Interest rate movements in one country as well as relative
interest rate movements between countries materially impact Grant Park’s
profitability.  Grant Park’s primary interest rate exposure is due to
interest rate fluctuations in the United States and the other G-7
countries.  However, Grant Park also takes futures positions on the
government debt of smaller nations, such as Australia.  The general
partner anticipates that G-7 interest rates will remain the primary market
exposure of Grant Park for the foreseeable future.  As of December 31,
2008, Grant Park was long interest rate instruments in the U.S., UK, Europe,
Asia, Australia and New Zealand.  Despite being predominantly long,
the portfolio did have small short positions in a few European
markets.




Currencies




Exchange
rate risk is a significant market exposure of Grant Park.  Grant
Park’s currency exposure is due to exchange rate fluctuations, primarily
fluctuations that disrupt the historical pricing relationships between different
currencies and currency pairs.  These fluctuations are influenced by
interest rate changes as well as political and general economic
conditions.  Grant Park trades in a large number of currencies,
including cross-rates, which are positions between two currencies other than the
U.S. dollar.  The general partner anticipates that the currency sector
will remain one of the primary market exposures for Grant Park for the
foreseeable future.  As of December 31, 2008, Grant Park was long the
U.S. dollar against various major currencies including the British pound,
Canadian dollar, Australian dollar, and New Zealand dollar, but was short the
U.S. dollar against the Japanese yen, euro, Swiss franc, and Mexican
peso.  In general, with the exception of the Japanese yen, euro, Swiss
franc, and Mexican peso, a stronger U.S. dollar against most major currencies
would benefit Grant Park.




Metals




Grant
Park’s metals market exposure is due to fluctuations in the price of both
precious metals, including gold and silver, as well as base metals including
aluminum, copper, nickel and zinc.  As of December 31, 2008, in the
precious metals sector Grant Park had short positions in palladium, platinum and
silver, but had long positions in gold.  In the base metals markets,
Grant Park was short aluminum, copper, nickel and zinc, but had minor long
positions in lead and tin.




Stock
Indices




Grant
Park’s primary equity exposure is due to equity price risk in the G-7 countries
as well as other jurisdictions including Hong Kong, Taiwan, and
Australia.  The stock index futures contracts currently traded by
Grant Park are generally limited to futures on broadly based indices, although
Grant Park may trade narrow-based stock index futures contracts in the
future.  As of December 31, 2008, Grant Park was predominantly short
most major indices in the U.S., Asia, and Western Europe, but had various minor
long positions in indices in Hong Kong, the UK, and the U.S.  Grant
Park is primarily exposed to the risk of adverse price trends or static markets
in the major U.S., European and Asian indices.  Static







24
 Table of Contents





markets
would not cause major market changes but would make it difficult for Grant Park
to avoid being “whipsawed” into numerous small losses.




Energy




Grant
Park’s primary energy market exposure is due to gas and oil price movements,
often resulting from political developments in the Middle East, Nigeria, Russia
and Venezuela.  As of December 31, 2008, the energy market
exposure of Grant Park was predominantly short.  Short energy
positions included crude oil, gas oil, unleaded gasoline, natural gas and a
minor position in brent crude oil.  Oil and gas prices can be volatile
and substantial profits and losses have been and are expected to continue to be
experienced in this market.




Agricultural/Meats/Softs




Grant
Park’s primary commodities exposure is due to agricultural price movements,
which are often directly affected by severe or unexpected weather conditions as
well as other factors.  As of December 31, 2008, in the grains
markets, Grant Park had short positions in soybeans, corn, and wheat and a long
position in soybean meal.  Grant Park was predominantly short the
livestock markets with positions in feeder cattle, live cattle, and lean
hogs.  In the softs/industrials sectors, Grant Park was short sugar,
coffee, and cotton, while Grant Park had long positions in cocoa.




Non-Trading
Risk Exposure




The
following were the only non-trading risk exposures of Grant Park as of
December 31, 2008.




Foreign
Currency Balances




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




Cash
Management




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 25% of Grant Park’s value, are held in U.S. Treasury securities
and/or Government-sponsored enterprises.  The balance of Grant Park’s
assets, which range from 75% to 95%, are invested in investment grade money
market investments purchased by  Middleton Dickinson Capital
Management, LLC which are held in a separate, segregated account at State Street
Bank and Trust Company.  Violent fluctuations in prevailing interest
rates or changes in other economic conditions could cause mark-to-market losses
on Grant Park’s cash management income.




Managing
Risk Exposure




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




The
general partner monitors Grant Park’s performance and the concentration of its
open positions, and consults with the trading advisors concerning Grant Park’s
overall risk profile.  If the general partner felt it necessary to do
so, the general partner could require the trading advisors to close out
individual positions as well as enter positions traded on behalf of Grant
Park.  However, any intervention would be a highly unusual
event.  The general partner primarily relies on the trading advisors’
own risk







25
 Table of Contents





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.




ITEM8.
            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.




ITEM9.
            CHANGES
      IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL
      DISCLOSURE




None.




ITEM9A.
            CONTROLS
      AND
  PROCEDURES




See Item
9A(T) below.




ITEM
9A(T).         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 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.




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, 2008 that have materially affected, or are
reasonably likely to materially affect, Grant Park’s internal control over
financial reporting.





26
 Table of Contents








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).  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, 2008 based on the framework in
Internal Control—Integrated Framework issued by the Committee of Sponsoring
Organizations of the Treadway Commission (COSO). Based on that evaluation, the
general partner concluded that Grant Park’s internal control over financial
reporting was effective as of December 31, 2008.




This
Annual Report on Form 10-K does not include an attestation report of Grant
Park’s registered public accounting firm regarding internal control over
financial reporting.  The general partner’s report was not subject to
attestation by Grant Park’s registered public accounting firm pursuant to
temporary rules of the SEC that permit Grant Park to provide only the general
partner’s report in this Annual Report on Form 10-K.




ITEM9B.              OTHER
INFORMATION




None.




PARTIII




ITEM10.
            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.  Dearborn
Capital Management, L.L.C. has been registered as a commodity pool operator and
a commodity trading advisor under the Act and has been a member of the NFA since
December 1995.




The
principals of the general partner are Dearborn Capital Management Ltd., Centum
Prata Holdings, Inc, David M. Kavanagh, Patrick J. Meehan, Maureen O’Rourke
and Abdullah Mohammed Al Rayes.  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., has been responsible for
overseeing all operations and activities of the general partner since its
formation.  Commencing in October 1998, Mr. Kavanagh also
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.  Since October 1998, Mr. Kavanagh has from
time to time continued to perform introducing brokerage services for Man
Financial Inc., formerly Refco, Inc., through Dearborn Capital
Brokers.  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.







27
 Table of Contents




Mr.
Meehan, chief operating officer of the general partner, is primarily responsible
for the day to day operations of Dearborn.  Mr. Meehan became listed
as a principal of Dearborn 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 an AB degree from
John Carroll University, an MBA from Webster University and holds Series 22, 31,
and 63 licenses.





Ms. O’Rourke,
chief financial officer of the general partner, 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.




Section 16(a)
Beneficial Ownership Reporting Compliance




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 2008, all required filings were timely filed by each of these persons,
except for a Form 4 filed by Ms. O’Rourke reporting a purchase of Class A units
on August 1, 2008 (which was reported on October 7, 2008).




ITEM11.
            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:




Each of
the Class A units and Class B units pay the general partner a monthly brokerage
charge.  Effective September 1, 2005, Class A units pay the
general partner a monthly brokerage charge equal to 0.6292%, a rate of 7.55%
annually, of Class A’s month-end adjusted net
assets.  Class B units pay a monthly brokerage charge equal to
0.6667%, a rate of 8.0% annually, of Class B’s month-end adjusted net
assets.  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







28
 Table of Contents





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.  Assuming Grant Park’s brokerage charge was
expressed on a per-transaction basis, it is estimated that the brokerage charge
would equate to round-turn commissions of approximately $48.17, based on the
average trading activity of the nine trading advisors for the last three
calendar years and assuming allocations of net assets to the trading advisors as
follows:  Rabar, EMC, Eckhardt, Winton and Welton between 10% to 20%;
Graham; Global Advisors, Transtrend and QIM less than 10%.




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.




Class A
units pay the general partner a monthly brokerage charge equal to a rate of
0.6292%, a rate of 7.55% annually, of Class A’s month-end adjusted net
assets.   Class B units pay the general partner a monthly charge
equal to 0.6667%, a rate of 8.0% annually, of Class B’s month-end adjusted net
assets.  The charge amounted to $44,833,225 for the year ended
December 31, 2008, $33,467,384 for the year ended December 31, 2007, and
$27,576,195 for the year ended December 31, 2006.




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 ongoing
offering of the units are paid by the general partner and then reimbursed to the
general partner by Grant Park.  The limited partnership agreement
provides that Grant Park shall be entitled to reimbursement for organization and
offering expenses at a rate of up to 1.0% per annum, computed monthly, of which
up to 10% of such amount is reimbursable by Class A and 90% is reimbursable by
Class B.  Effective April 1, 2004, Class A units bear organization and
offering expenses at an annual rate of 20 basis points (0.20%) of the adjusted
net assets of the Class A units calculated and payable monthly on the basis of
month-end adjusted net assets.  Effective September 1, 2005, Class B
units bear these expenses at an annual rate of 60 basis points (0.60%) of the
adjusted net assets of the Class B units, calculated and payable monthly on the
basis of month-end adjusted net assets.  Effective April 1, 2009,
Class A units bear organization and offering expenses at an annual rate of 10
basis points (0.10%) of the adjusted net assets of the Class A units, calculated
and payable monthly on the basis of month-end adjusted net assets, and Class B
units bear organization and offering expenses at an annual rate of 30 basis
points (0.30%) of the adjusted net assets of the Class B units, 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







29
 Table of Contents





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.




ITEM12.
            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 officers of
Grant Park’s general partner in Grant Park as of December 31,
2008.




Name
                
                Number
      of Class A Limited Partnership Units
                
                
                Number
      of Class B Limited Partnership Units
                
                
                Number
      of General Partnership Units
                
                
                Percentage
      of Outstanding Class A Limited Partnership Units
                
                
                Percentage
      of Outstanding Class B Limited Partnership Units
                
                
                Percentage
      of General Partnership UnitsDearborn
      Capital Management, LLC
                
                
                3,913.360
                
                
                
                —
                
                
                
                434.818
                
                
                
                6.95
                %
                
                
                —
                
                
                
                100.00
                %David
      M. Kavanagh
                
                
                3,913.360
                (1)
                
                
                —
                
                
                
                434.818
                (1)
                
                
                6.95
                %
                
                
                —
                
                
                
                100.00
                %Patrick
      J. Meehan
                
                
                135.123
                
                
                
                —
                
                
                
                —
                
                
                
                0.24
                %
                
                
                —
                
                
                
                —Maureen
      O’Rourke
                
                
                7.859
                
                
                
                —
                
                
                
                —
                
                
                
                0.01
                %
                
                
                —
                
                
                
                —


_______________


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




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




ITEM13.
            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.”







30
 Table of Contents




ITEM14.
              PRINCIPAL
      ACCOUNTING FEES AND SERVICES


The
following table sets forth the fees billed to Grant Park for professional audit
services provided by McGladrey & Pullen, LLP, Grant Park’s independent
registered public accountant, for the audit of Grant Park’s annual financial
statements for the years ended December 31, 2008 and 2007, and fees billed
for other professional services rendered by McGladrey & Pullen, LLP and
RSM McGladrey, Inc. (an associated entity of McGladrey & Pullen, LLP)
during those years.




Fee
      Category
                
                2008
                
                
                2007Audit
      Fees(1)
                
                $
                162,120
                
                
                $
                169,800Audit-Related
      Fees
                
                
                28,286
                
                
                
                —Tax
      Fees(2)
                
                
                6,800
                
                
                
                7,888All
      Other Fees
                
                
                —
                
                
                
                —Total
      Fees
                
                $
                197,206
                
                
                $
                177,688


_______________


(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 preparation 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 Dearborn approved all the services provided by
McGladrey & Pullen, LLP and RSM McGladrey, Inc. (collectively
“McGladrey”) during 2008 and 2007 to Grant Park described above.  The
Audit Committee has determined that the payments made to McGladrey for these
services during 2008 and 2007 are compatible with maintaining that firm’s
independence.









PARTIV




ITEM15.
            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 included in the
financial statements or notes hereto applicable or because equivalent
information has been included in the financial statements or notes
thereto.




(3)
            Exhibits






Exhibit
                        Number
                      Description of Document3.1(1)
                      Third
      Amended and Restated Limited Partnership Agreement of the
      Registrant.


31
 Table of Contents
  Exhibit
                          Number
                        Description of Document3.2(2)
                        Certificate
      of Limited Partnership of the Registrant.10.1(2)
                        First
      Amended and Restated Advisory Contract among the registrant, Dearborn
      Capital Management, L.L.C. and Rabar Market Research, Inc.10.2(2)
                        First
      Amended and Restated Advisory Contract among the registrant, Dearborn
      Capital Management, L.L.C. and EMC Capital Management, Inc.10.3(2)
                        First
      Amended and Restated Advisory Contract among the registrant, Dearborn
      Capital Management, L.L.C. and Eckhardt Trading Company.10.4(2)
                        Advisory
      Contract among the registrant, Dearborn Capital Management, L.L.C. and
      Graham Capital Management, L.P.10.5(3)
                        Commodity
      Advisory Agreement among Dearborn Select Master Fund, SPC acting for the
      account of Winton Segregated Portfolio – Class GP, Dearborn Capital
      Management, L.L.C. and Winton Capital Management Limited.10.6(4)
                        Advisory
      Contract among the registrant, Dearborn Capital Management, L.L.C. and
      Welton Investment Corporation.10.7(5)
                        Subscription
      Agreement and Power of Attorney.10.8(6)
                        Request
      for Redemption Form.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 1934.32.1
                        Certification
      pursuant to 18 U.S.C. Section 1350, as adopted pursuant to
      Section 906 of the Sarbanes-Oxley Act of
  2002.
 _______________


(1)
            Included
      as Appendix A to the prospectus which is part of the Registrant’s
      Registration Statement on Form S-1 (File No. 333-119338) 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 Quarterly Report on Form 10-Q for
      the quarter ended June 30, 2007 and incorporated herein by
      reference.


(4)
            Filed
      as an Exhibit to the Registrant’s annual report on Form 10-K for the
      fiscal year ended December 31, 2005 and incorporated herein by
      reference.


(5)
            Included
      as Appendix B to the prospectus which is part of the Registrant’s
      Registration Statement on Form S-1 (File
    No. 333-119338)


(6)
            Included
      as Appendix D to the prospectus which is part of the Registrant’s
      Registration Statement on Form S-1 (File
    No. 333-119338)







32
 Index





INDEXTO FINANCIAL STATEMENTS
  
  Grant
      Park Futures Fund Limited PartnershipReport of Independent Registered Public
      Accounting Firm
                F-2Statements of Financial Condition as of
      December 31, 2008 and 2007
                F-3Condensed Schedule of Investments as of
      December 31, 2008
                F-4Condensed Schedule of Investments as of
      December 31, 2007
                F-7Statements of Operations for the years ended
      December 31, 2008, 2007 and 2006
                F-9Statements of Cash Flows for the years ended
      December 31, 2008, 2007 and 2006
                F-10Statements of Changes in Partners’ Capital for
      the years ended December 31, 2008, 2007 and 2006
                F-11Notes to Financial Statements
                F-12Dearborn
      Select Master Fund, SPC – Winton Segregated PortfolioIndependent Auditor’s Report
                F-24Statement of Financial Condition as of
      December 31, 2008 and 2007
                F-25Condensed Schedule of Investments as of
      December 31, 2008
                F-26Condensed Schedule of Investments as of
      December 31, 2007
                F-29Statements of Operations for the years
      ended December 31, 2008 and 2007
                F-31Statements of Cash Flows for the years
      ended December 31, 2008 and 2007
                F-32Statements of Changes in Shareholders'
      Equity for the years ended December 31, 2008 and
    2007
                F-33Notes to Financial Statements
                F-35
 
 F-1
 Index
  
   REPORTOF INDEPENDENT REGISTERED PUBLIC ACCOUNTING
FIRM
  To the
Partners
 Grant
Park Futures Fund Limited Partnership
 Chicago,
Illinois
  We have
audited the accompanying statements of financial condition, including the
condensed schedules of investments, of Grant Park Futures Fund Limited
Partnership as of December 31, 2008 and 2007, and the related statements of
operations, cash flows and changes in partners’ capital for each of the three
years in the period ended December 31, 2008.  These financial
statements are the responsibility of the Partnership’s
management.  Our responsibility is to express an opinion on these
financial statements based on our audits.
  We
conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement.  An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements.  An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation.  We
believe that our audits provide a reasonable basis for our opinion.
  In our
opinion, the financial statements referred to above present fairly, in all
material respects, the financial position of Grant Park Futures Fund Limited
Partnership as of December 31, 2008 and 2007, and the results of its
operations and its cash flows for each of the three years in the period ended
December 31, 2008, in conformity with U.S. generally accepted accounting
principles.
  We were
not engaged to examine management’s assessment of the effectiveness of Grant
Park Futures Fund Limited Partnership’s internal control over financial
reporting as of December 31, 2008 included in the accompanying Report on
Management’s Assessment of Internal Control Over Financial Reporting and,
accordingly, we do not express an opinion thereon.
  /s/McGladrey &
      Pullen, LLP
  Chicago,
Illinois
 March 4,
2009
  
  
  
  
  
  McGladrey &
Pullen, LLP is a member firm of RSM International –
 an
affiliation of separate and independent legal entities.
   F-2
 Index
  GrantPark Futures Fund Limited Partnership
 Statements
of Financial Condition
 December 31,
2008 and 2007
  Assets
                                                                
                                                                2008
                                                                
                                                                
                                                                2007Equity
      in brokers’ trading accounts:U.S.
      Government securities, at fair value
                                                                
                                                                $
                                                                29,215,898
                                                                
                                                                
                                                                $
                                                                61,148,504Government-sponsored
      enterprises, at fair value
                                                                
                                                                
                                                                15,695,417
                                                                
                                                                
                                                                
                                                                —Cash
                                                                
                                                                
                                                                11,972,086
                                                                
                                                                
                                                                
                                                                5,227,545Unrealized
      gain on open contracts, net
                                                                
                                                                
                                                                5,210,231
                                                                
                                                                
                                                                
                                                                6,136,840Deposits
      with brokers
                                                                
                                                                
                                                                62,093,632
                                                                
                                                                
                                                                
                                                                72,512,889Cash
      and cash equivalents
                                                                
                                                                
                                                                157,740,416
                                                                
                                                                
                                                                
                                                                72,699,532Certificates
      of deposit, at fair value
                                                                
                                                                
                                                                28,525,736
                                                                
                                                                
                                                                
                                                                89,082,030Commercial
      paper, at fair value
                                                                
                                                                
                                                                9,979,833
                                                                
                                                                
                                                                
                                                                27,869,290Government-sponsored
      enterprises, at fair value
                                                                
                                                                
                                                                311,078,226
                                                                
                                                                
                                                                
                                                                105,413,285Investment
      in Dearborn Select Master Fund, SPC – Winton Segregated
      Portfolio
                                                                
                                                                
                                                                —
                                                                
                                                                
                                                                
                                                                98,629,036Redemption
      receivable
                                                                
                                                                
                                                                115,343,975
                                                                
                                                                
                                                                
                                                                —Interest
      receivable
                                                                
                                                                
                                                                233,208
                                                                
                                                                
                                                                
                                                                256,381Receivable
      from General Partner
                                                                
                                                                
                                                                —
                                                                
                                                                
                                                                
                                                                750,000Total
      assets
                                                                
                                                                $
                                                                684,995,026
                                                                
                                                                
                                                                $
                                                                467,212,443Liabilities
      and Partners’ CapitalLiabilitiesBrokerage
      commission payable
                                                                
                                                                $
                                                                3,928,422
                                                                
                                                                
                                                                $
                                                                2,769,915Accrued
      incentive fees
                                                                
                                                                
                                                                8,324,848
                                                                
                                                                
                                                                
                                                                2,503,135Organization
      and offering costs payable
                                                                
                                                                
                                                                297,332
                                                                
                                                                
                                                                
                                                                206,208Accrued
      operating expenses
                                                                
                                                                
                                                                136,617
                                                                
                                                                
                                                                
                                                                96,082Pending
      partner additions
                                                                
                                                                
                                                                22,690,889
                                                                
                                                                
                                                                
                                                                3,426,126Redemptions
      payable
                                                                
                                                                
                                                                6,021,709
                                                                
                                                                
                                                                
                                                                2,525,181Total
      liabilities
                                                                
                                                                
                                                                41,399,817
                                                                
                                                                
                                                                
                                                                11,526,647Partners’
      CapitalGeneral
      Partner (units outstanding December 31, 2008 – 4,348.18, December 31,
      2007 – 3,671.69)
                                                                
                                                                
                                                                6,827,509
                                                                
                                                                
                                                                
                                                                4,807,965Limited
      PartnersClass
      A (units outstanding December 31, 2008 – 52,408.70, December 31, 2007
      – 51,371.93)
                                                                
                                                                
                                                                82,292,140
                                                                
                                                                
                                                                
                                                                67,269,942Class
      B (units outstanding December 31, 2008 – 408,160.74, December 31,
      2007 – 335,708.69)
                                                                
                                                                
                                                                554,475,560
                                                                
                                                                
                                                                
                                                                383,607,889Total
      partners’ capital
                                                                
                                                                
                                                                643,595,209
                                                                
                                                                
                                                                
                                                                455,685,796Total
      liabilities and partners’ capital
                                                                
                                                                $
                                                                684,995,026
                                                                
                                                                
                                                                $
                                                                467,212,443
 
 The
accompanying notes are an integral part of these financial
statements.
   F-3
 Index
  GrantPark Futures Fund Limited Partnership
 Condensed
Schedule of Investments
 December 31,
2008
  Expiration
                  
                  
                  No.
      of contracts
                  
                  
                  Unrealized
      gain/(loss) on open
                  
                  
                  Percent
      of Partners’
                  
                  
                  Unrealized
      gain/(loss) on open
                  
                  
                  Percent
      of Partners’
                  
                  
                  Net
      unrealized gain/(loss) on open
                  
                  
                  Percent
      of Partners’Date
                  
                  
                  Long
                  
                  
                  Short
                  
                  
                  long
      contracts
                  
                  
                  Capital
                  
                  
                  short
      contracts
                  
                  
                  Capital
                  
                  
                  contracts
                  
                  
                  CapitalFutures
      Contracts *U.S.
      Futures Positions:Currencies
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  $
                  (375,126
                  )
                  
                  
                  (0.1
                  )%
                  
                  $
                  47,001
                  
                  
                  
                  **
                  
                  
                  $
                  (328,125
                  )
                  
                  
                  (0.1
                  )%Energy
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  5,640
                  
                  
                  
                  **
                  
                  
                  
                  (145,915
                  )
                  
                  
                  **
                  
                  
                  
                  (140,275
                  )
                  
                  
                  **Grains
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  57,264
                  
                  
                  
                  **
                  
                  
                  
                  (207,024
                  )
                  
                  
                  **
                  
                  
                  
                  (149,760
                  )
                  
                  
                  **Interest
      rates
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  (150,471
                  )
                  
                  
                  **
                  
                  
                  
                  (1,063
                  )
                  
                  
                  **
                  
                  
                  
                  (151,534
                  )
                  
                  
                  **Meats
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  332
                  
                  
                  
                  **
                  
                  
                  
                  (77,490
                  )
                  
                  
                  **
                  
                  
                  
                  (77,158
                  )
                  
                  
                  **Metals
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  57,033
                  
                  
                  
                  **
                  
                  
                  
                  (123,818
                  )
                  
                  
                  **
                  
                  
                  
                  (66,785
                  )
                  
                  
                  **Soft
      commodities
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  (1,690
                  )
                  
                  
                  **
                  
                  
                  
                  (116,292
                  )
                  
                  
                  **
                  
                  
                  
                  (117,982
                  )
                  
                  
                  **Stock
      indices
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  81,725
                  
                  
                  
                  **
                  
                  
                  
                  12,201
                  
                  
                  
                  **
                  
                  
                  
                  93,926
                  
                  
                  
                  **Total
      U.S. Futures Positions
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  (325,293
                  )
                  
                  
                  
                  
                  
                  
                  (612,400
                  )
                  
                  
                  
                  
                  
                  
                  (937,693
                  )Foreign
      Futures Positions:Energy
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  —
                  
                  
                  
                  **
                  
                  
                  
                  188,636
                  
                  
                  
                  **
                  
                  
                  
                  188,636
                  
                  
                  
                  **Grains
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  —
                  
                  
                  
                  **
                  
                  
                  
                  (1,016
                  )
                  
                  
                  **
                  
                  
                  
                  (1,016
                  )
                  
                  
                  **Interest
      rates
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  5,693,855
                  
                  
                  
                  0.9
                  %
                  
                  
                  (244,950
                  )
                  
                  
                  **
                  
                  
                  
                  5,448,905
                  
                  
                  
                  0.8
                  %MetalsAluminum
                  
                  
                  03/09
                  
                  
                  
                  449
                  
                  
                  
                  471
                  
                  
                  
                  (6,717,297
                  )
                  
                  
                  (1.0
                  )%
                  
                  
                  8,461,295
                  
                  
                  
                  1.3
                  %
                  
                  
                  1,743,998
                  
                  
                  
                  0.3
                  %Other
      Metals
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  (8,929,298
                  )
                  
                  
                  (1.4
                  )%
                  
                  
                  9,148,339
                  
                  
                  
                  1.4
                  %
                  
                  
                  219,041
                  
                  
                  
                  **Soft
      commodities
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  95,511
                  
                  
                  
                  **
                  
                  
                  
                  15,170
                  
                  
                  
                  **
                  
                  
                  
                  110,681
                  
                  
                  
                  **Stock
      indices
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  49,768
                  
                  
                  
                  **
                  
                  
                  
                  (218,881
                  )
                  
                  
                  **
                  
                  
                  
                  (169,113
                  )
                  
                  
                  **Total
      Foreign Futures Positions
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  (9,807,461
                  )
                  
                  
                  
                  
                  
                  
                  17,348,593
                  
                  
                  
                  
                  
                  
                  
                  7,541,132Total
      Futures Contracts
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  $
                  (10,132,754
                  )
                  
                  
                  (1.6
                  )%
                  
                  $
                  16, 736,193
                  
                  
                  
                  2.6
                  %
                  
                  $
                  6,603,439
                  
                  
                  
                  1.0
                  %Forward
      Contracts *Currencies
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  $
                  336,467
                  
                  
                  
                  0.1
                  %
                  
                  $
                  (1,729,675
                  )
                  
                  
                  (0.3
                  )%
                  
                  $
                  (1,393,208
                  )
                  
                  
                  (0.2
                  )%Total
      Futures and Forward Contracts
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  
                  $
                  (9,796,287
                  )
                  
                  
                  (1.5
                  )%
                  
                  $
                  15,006,518
                  
                  
                  
                  2.3
                  %
                  
                  $
                  5,210,231
                  
                  
                  
                  0.8
                  %
 _______________
 *
                No
      individual futures and forward contract position, other than those
      presented, constituted greater than 1 percent of partners’
      capital.   Accordingly, the number of contracts and
      expiration dates are not presented.
 **
                Represents
      less than 0.1% of partners’
capital.
 
 Certificates
      of depositFace Value
                  
                  Maturity Date
                  
                  Description
                  
                  Fair Value
                  
                  
                  Percent of Partners’
Capital$
                  12,000,000
                  
                  5/1/2009
                  
                  Comerica
      Bank, 1 month LIBOR plus 15 basis points
                  
                  $
                  12,021,183
                  
                  
                  
                  1.9
                  %15,000,000
                  
                  5/4/2009
                  
                  Bank
      of America, 2.6%
                  
                  
                  15,060,417
                  
                  
                  
                  2.3
                  %240,000
                  
                  8/14/2009
                  
                  Amcore
      Bank, 3.5%
                  
                  
                  241,120
                  
                  
                  
                  *240,000
                  
                  11/12/2009
                  
                  Huntington
      National Bank, 3.8%
                  
                  
                  241,250
                  
                  
                  
                  *240,000
                  
                  11/17/2009
                  
                  Mercantile
      Bank of Michigan, 3.6%
                  
                  
                  241,065
                  
                  
                  
                  *240,000
                  
                  12/17/2009
                  
                  Goldman
      Sachs Bank, 2.6%
                  
                  
                  240,246
                  
                  
                  
                  *240,000
                  
                  12/18/2009
                  
                  GE
      Money Bank, 2.6%
                  
                  
                  240,238
                  
                  
                  
                  *240,000
                  
                  12/18/2009
                  
                  Anchorbank
      FSB, 2.5%
                  
                  
                  240,217
                  
                  
                  
                  *Total
      Certificates of deposit
                  
                  $
                  28,525,736
                  
                  
                  
                  4.4
                  %
 _______________
 *
                Represents
      less than 0.1% of partners’
capital.
  The
accompanying notes are an integral part of these financial
statements.
   F-4
 Index
  Grant
Park Futures Fund Limited Partnership
 Condensed
Schedule of Investments (continued)
 December
31, 2008
 
  Commercial
      paperFace Value
                
                Maturity Date
                
                Description
                
                Fair Value
                
                
                Percent of Partners’
Capital$
                10,000,000
                
                2/3/2009
                
                Hewlett-Packard
      Co., 2.2%
                
                $
                9,979,833
                
                
                
                1.6
                %Total
      Commercial paper
                
                $
                9,979,833
                
                
                
                1.6
                %
 
  Government-sponsored
      enterprisesFace Value
                
                Maturity Date
                
                Description
                
                Fair Value
                
                
                Percent of Partners’
Capital$
                10,000,000
                
                1/2/2009
                
                Federal
      Farm Credit Bank, 3 month US Treasury bill plus 82 basis points weekly
      reset
                
                $
                10,030,603
                
                
                
                1.6
                %10,000,000
                
                1/2/2009
                
                Federal
      Home Loan Bank, 3.8%
                
                
                10,093,944
                
                
                
                1.6
                %8,000,000
                
                1/14/2009
                
                Federal
      Home Loan Bank, 3 month LIBOR minus 20 basis points quarterly
      reset
                
                
                8,081,089
                
                
                
                1.3
                %10,000,000
                
                1/29/2009
                
                Fannie
      Mae Discount Note, 2.3%
                
                
                9,982,500
                
                
                
                1.6
                %7,500,000
                
                2/13/2009
                
                Federal
      Home Loan Bank Discount Note, 3.2%
                
                
                7,472,229
                
                
                
                1.2
                %10,000,000
                
                2/18/2009
                
                Freddie
      Mac Discount Note, 2.3%
                
                
                9,970,000
                
                
                
                1.5
                %10,000,000
                
                2/24/2009
                
                Freddie
      Mac Discount Note, 2.6%
                
                
                9,961,150
                
                
                
                1.5
                %10,000,000
                
                3/20/2009
                
                Federal
      Home Loan Bank Discount Note, 2.9%
                
                
                9,939,333
                
                
                
                1.5
                %8,000,000
                
                4/1/2009
                
                Farmer
      Mac, 2.3%
                
                
                8,046,000
                
                
                
                1.3
                %8,000,000
                
                4/7/2009
                
                Freddie
      Mac, 2.4%
                
                
                8,044,911
                
                
                
                1.3
                %10,000,000
                
                4/15/2009
                
                Federal
      Home Loan Bank Discount Note, 3.0%
                
                
                9,917,378
                
                
                
                1.5
                %10,500,000
                
                4/17/2009
                
                Federal
      Home Loan Bank Discount Note, 3.2%
                
                
                10,404,158
                
                
                
                1.6
                %10,000,000
                
                4/24/2009
                
                Federal
      Home Loan Bank, 1 month LIBOR minus 8 basis points monthly
      reset
                
                
                9,998,363
                
                
                
                1.6
                %8,000,000
                
                4/24/2009
                
                Farmer
      Mac, 2.3%
                
                
                8,034,244
                
                
                
                1.2
                %10,000,000
                
                4/27/2009
                
                Federal
      Home Loan Bank Discount Note, 2.8%
                
                
                9,909,778
                
                
                
                1.5
                %10,000,000
                
                4/30/2009
                
                Federal
      Home Loan Bank, 2.6%
                
                
                10,044,479
                
                
                
                1.6
                %10,000,000
                
                5/4/2009
                
                Federal
      Home Loan Bank Discount Note, 1.7%
                
                
                9,943,625
                
                
                
                1.5
                %10,000,000
                
                5/11/2009
                
                Federal
      Home Loan Bank Discount Note, 3.0%
                
                
                9,895,278
                
                
                
                1.5
                %10,000,000
                
                5/13/2009
                
                Fannie
      Mae Discount Note, 1.2%
                
                
                9,956,000
                
                
                
                1.5
                %12,000,000
                
                5/20/2009
                
                Federal
      Home Loan Bank, 3 month LIBOR minus 18 basis points quarterly
      reset
                
                
                12,025,644
                
                
                
                1.9
                %8,000,000
                
                5/20/2009
                
                Federal
      Home Loan Bank Discount Note, 1.4%
                
                
                7,958,300
                
                
                
                1.2
                %8,000,000
                
                6/30/2009
                
                Federal
      Home Loan Bank, 3.0%
                
                
                8,000,667
                
                
                
                1.2
                %8,000,000
                
                7/14/2009
                
                Federal
      Home Loan Bank, 3.2%
                
                
                8,116,755
                
                
                
                1.3
                %10,000,000
                
                8/20/2009
                
                Federal
      Home Loan Bank, 3.1%
                
                
                10,109,167
                
                
                
                1.6
                %8,500,000
                
                10/5/2009
                
                Federal
      Home Loan Bank, 3 month LIBOR minus 4 basis points quarterly
      reset
                
                
                8,587,338
                
                
                
                1.3
                %12,500,000
                
                10/19/2009
                
                Freddie
      Mac, 1 month LIBOR minus 6 basis points monthly reset
                
                
                12,501,579
                
                
                
                1.9
                %7,000,000
                
                11/25/2009
                
                Freddie
      Mac, 2.1%
                
                
                7,014,292
                
                
                
                1.1
                %10,000,000
                
                12/1/2009
                
                Federal
      Home Loan Bank, 2.0%
                
                
                10,016,667
                
                
                
                1.6
                %11,000,000
                
                12/15/2009
                
                Federal
      Home Loan Bank, 1.8%
                
                
                11,008,996
                
                
                
                1.7
                %11,000,000
                
                12/16/2009
                
                Freddie
      Mac, 1.9%
                
                
                11,008,708
                
                
                
                1.7
                %15,000,000
                
                12/30/2009
                
                Farmer
      Mac, 1.0%
                
                
                15,000,417
                
                
                
                2.3
                %10,000,000
                
                2/9/2010
                
                Federal
      Home Loan Bank, 3 month LIBOR minus 3.5 basis points
                
                
                10,004,634
                
                
                
                1.6
                %Total
      Government-sponsored enterprises
                
                $
                311,078,226
                
                
                
                48.3
                %
  The
accompanying notes are an integral part of these financial
statements.
   F-5
 Index
  Grant
Park Futures Fund Limited Partnership
 Condensed
Schedule of Investments (continued)
 December
31, 2008
  
  U.S.
      Government securities***Face Value
                
                Maturity Date
                
                Description
                
                Fair Value
                
                
                Percent of Partners’
Capital$
                5,500,000
                
                6/4/2009
                
                U.S.
      Treasury Bills, 0.2% (cost $5,493,705)
                
                $
                5,497,798
                
                
                
                0.8
                %23,000,000
                
                12/15/2009
                
                U.S.
      Treasury Notes, 3.5% (cost $23,682,812)
                
                
                23,718,100
                
                
                
                3.7
                %Total
      U.S. Government securities
                
                $
                29,215,898
                
                
                
                4.5
                %
 
  
  Government-sponsored
      enterprises in brokers’ trading accounts***Face Value
                
                Maturity Date
                
                Description
                
                Fair Value
                
                
                Percent of Partners’
Capital$
                6,700,000
                
                1/2/2009
                
                Federal
      Home Loan Bank Discount Note, 0.4%
                
                $
                6,699,993
                
                
                
                1.0
                %4,000,000
                
                3/9/2009
                
                Freddie
      Mac Discount Note, 2.7%
                
                
                3,998,295
                
                
                
                0.6
                %5,000,000
                
                5/4/2009
                
                Federal
      Home Loan Bank Discount Note, 1.7%
                
                
                4,997,129
                
                
                
                0.8
                %Total
      Government-sponsored enterprises
                
                $
                15,695,417
                
                
                
                2.4
                %
 _______________
 ***
                Pledged
      as collateral for the trading of futures, forward and option
      contracts.
  The
accompanying notes are an integral part of these financial
statements.
  
 F-6
 Index
  GrantPark Futures Fund Limited Partnership
 Condensed
Schedule of Investments
 December 31,
2007
  Unrealized
      gain/(loss) on open long contracts
                
                
                Percent
      of Partners’ Capital
                
                
                Unrealized
      gain/(loss) on open short contracts
                
                
                Percent
      of Partners’ Capital
                
                
                Net
      unrealized gain/(loss) on open contracts
                
                
                Percent
      of Partners’ CapitalFutures
      Contracts *U.S.
      Futures Positions:Currencies
                
                $
                (507,429
                )
                
                
                (0.1
                )%
                
                $
                (181,541
                )
                
                
                **
                
                
                $
                (688,970
                )
                
                
                (0.2
                )%Energy
                
                
                2,381,223
                
                
                
                0.5
                %
                
                
                (623,280
                )
                
                
                (0.1
                )%
                
                
                1,757,943
                
                
                
                0.4
                %Grains
                
                
                3,996,469
                
                
                
                0.9
                %
                
                
                (591,561
                )
                
                
                (0.1
                )%
                
                
                3,404,908
                
                
                
                0.7
                %Interest
      rates
                
                
                230,001
                
                
                
                0.1
                %
                
                
                (1,922
                )
                
                
                **
                
                
                
                228,079
                
                
                
                0.1
                %Meats
                
                
                (6,000
                )
                
                
                **
                
                
                
                23,549
                
                
                
                **
                
                
                
                17,549
                
                
                
                **Metals
                
                
                491,430
                
                
                
                0.1
                %
                
                
                —
                
                
                
                **
                
                
                
                491,430
                
                
                
                0.1
                %Soft
      commodities
                
                
                104,661
                
                
                
                **
                
                
                
                (408,502
                )
                
                
                (0.1
                )%
                
                
                (303,841
                )
                
                
                (0.1
                )%Stock
      indices
                
                
                (51,977
                )
                
                
                **
                
                
                
                219,219
                
                
                
                **
                
                
                
                167,242
                
                
                
                **Total
      U.S. Futures Positions
                
                
                6,638,378
                
                
                
                
                
                
                
                ( 1,564,038
                )
                
                
                
                
                
                
                5,074,340Foreign
      Futures Positions:Energy
                
                
                665,591
                
                
                
                0.1
                %
                
                
                (128,820
                )
                
                
                **
                
                
                
                536,771
                
                
                
                0.1
                %Interest
      rates
                
                
                993,584
                
                
                
                0.2
                %
                
                
                268,995
                
                
                
                0.1
                %
                
                
                1,262,579
                
                
                
                0.3
                %Metals
                
                
                (1,718,224
                )
                
                
                (0.4
                )%
                
                
                1,639,699
                
                
                
                0.4
                %
                
                
                (78,525
                )
                
                
                **Soft
      commodities
                
                
                12,891
                
                
                
                **
                
                
                
                —
                
                
                
                **
                
                
                
                12,891
                
                
                
                **Stock
      indices
                
                
                393,449
                
                
                
                **
                
                
                
                174,174
                
                
                
                **
                
                
                
                567,623
                
                
                
                0.1
                %Total
      Foreign Futures Positions
                
                
                347,291
                
                
                
                
                
                
                
                1,954,048
                
                
                
                
                
                
                
                2,301,339Total
      Futures Contracts
                
                $
                6,985,669
                
                
                
                1.5
                %
                
                $
                390,010
                
                
                
                0.1
                %
                
                $
                7,375,679
                
                
                
                1.6
                %Forward
      Contracts *Currencies
                
                $
                (597,710
                )
                
                
                (0.1
                )%
                
                $
                (960,561
                )
                
                
                (0.2
                )%
                
                $
                (1,558,271
                )
                
                
                (0.3
                )%Option
      Contracts *Currencies
                
                
                151,900
                
                
                
                **
                
                
                
                —
                
                
                
                **
                
                
                
                151,900
                
                
                
                **Interest
      Rates
                
                
                167,532
                
                
                
                **
                
                
                
                —
                
                
                
                **
                
                
                
                167,532
                
                
                
                **Total
      Option Contracts
                
                $
                319,432
                
                
                
                0.1
                %
                
                $
                —
                
                
                
                **
                
                
                $
                319,432
                
                
                
                0.1
                %Total
      Futures, Forward and Option Contracts
                
                $
                6,707,391
                
                
                
                1.5
                %
                
                $
                (570,551
                )
                
                
                (0.1
                )%
                
                $
                6,136,840
                
                
                
                1.4
                %_______________
 *
              No
      individual futures and forward contract position constituted greater than
      1 percent of partners’ capital.   Accordingly, the number
      of contracts and expiration dates are not
  presented.
 **
              Represents
      less than 0.1% of partners’
capital.
  
  Certificates
      of depositFace Value
                
                Maturity Date
                
                Description
                
                Fair Value
                
                
                Percent of Partners’
Capital$
                10,000,000
                
                1/7/2008
                
                Abbey
      National Bank, 5.3%
                
                $
                10,265,020
                
                
                
                2.3
                %10,000,000
                
                2/7/2008
                
                Wilmington
      Trust, 5.3%
                
                
                10,214,783
                
                
                
                2.2
                %10,000,000
                
                2/13/2008
                
                Branch
      Bank & Trust, 5.3%
                
                
                10,476,292
                
                
                
                2.3
                %10,000,000
                
                3/4/2008
                
                Deutsche
      Bank, 4.8%
                
                
                10,074,258
                
                
                
                2.2
                %10,000,000
                
                4/28/2008
                
                Comerica
      Bank, 4.7%
                
                
                10,087,472
                
                
                
                2.2
                %10,000,000
                
                6/5/2008
                
                Associated
      Bank, 3 month LIBOR less 4 basis points
                
                
                10,038,325
                
                
                
                2.2
                %9,500,000
                
                6/20/2008
                
                Washington
      Mutual Bank, 5.4%
                
                
                9,776,331
                
                
                
                2.1
                %10,000,000
                
                7/28/2008
                
                Regions
      Bank, 4.7%
                
                
                10,087,193
                
                
                
                2.2
                %8,000,000
                
                11/3/2008
                
                Marshall
      & Ilsley Bank, 4.6%
                
                
                8,062,356
                
                
                
                1.8
                %Total
      Certificates of deposit
                
                $
                89,082,030
                
                
                
                19.5
                %
  The
      accompanying notes are an integral part of these financial
      statements.
   F-7
 Index
  Grant
      Park Futures Fund Limited
Partnership
 Condensed
      Schedule of Investments (continued)
 December
      31, 2007
 
  
  Commercial
      paperFace Value
                
                Maturity Date
                
                Description
                
                Fair Value
                
                
                Percent of Partners’
Capital$
                8,000,000
                
                1/10/2008
                
                Progress
      Energy Co., 5.5%
                
                $
                7,989,340
                
                
                
                1.7
                %10,000,000
                
                2/8/2008
                
                Zions
      Banc Corp, 5.2%
                
                
                9,947,117
                
                
                
                2.2
                %10,000,000
                
                2/22/2008
                
                GE
      Capital, 4.8%
                
                
                9,932,833
                
                
                
                2.2
                %Total
      Commercial paper
                
                $
                27,869,290
                
                
                
                6.1
                %
 
  Government-sponsored
      enterprisesFace Value
                
                Maturity Date
                
                Description
                
                Fair Value
                
                
                Percent of Partners’
Capital$
                10,000,000
                
                1/24/2008
                
                Federal
      Home Loan Bank, 3 month U.S. Treasury bill plus 22 basis
      points
                
                $
                10,069,463
                
                
                
                2.2
                %10,000,000
                
                2/7/2008
                
                Federal
      Home Loan Bank, 3 month U.S. Treasury bill plus 21 basis
      points
                
                
                10,056,005
                
                
                
                2.2
                %10,000,000
                
                3/12/2008
                
                Federal
      Home Loan Bank, 1 year constant maturity plus 30 basis
    points
                
                
                10,018,789
                
                
                
                2.2
                %10,000,000
                
                7/16/2008
                
                Federal
      Home Loan Bank, 5.3%
                
                
                11,780,935
                
                
                
                2.6
                %10,000,000
                
                8/1/2008
                
                Farmer
      Mac, 5.3%
                
                
                10,222,306
                
                
                
                2.2
                %9,000,000
                
                10/8/2008
                
                Farmer
      Mac, 4.7%
                
                
                9,094,000
                
                
                
                2.0
                %4,000,000
                
                10/30/2008
                
                Federal
      Home Loan Bank, 4.5%
                
                
                4,030,000
                
                
                
                0.9
                %12,000,000
                
                11/19/2008
                
                Federal
      Home Loan Bank, 4.6%
                
                
                12,064,750
                
                
                
                2.6
                %12,000,000
                
                11/24/2008
                
                Federal
      Home Loan Bank, 1 year constant maturity plus 65 basis
    points
                
                
                12,009,310
                
                
                
                2.6
                %8,000,000
                
                11/28/2008
                
                Federal
      Home Loan Bank, 4.6%
                
                
                8,033,367
                
                
                
                1.8
                %8,000,000
                
                12/1/2008
                
                Federal
      Home Loan Bank, 3 month LIBOR minus 23 basis points quarterly
      reset
                
                
                8,034,360
                
                
                
                1.8
                %Total
      Government-sponsored enterprises
                
                $
                105,413,285
                
                
                
                23.1
                %
 
  U.S.
      Government securities***Face Value
                
                Maturity Date
                
                Description
                
                Fair Value
                
                
                Percent of Partners’
Capital$
                61,300,000
                
                1/31/2008
                
                U.S.
      Treasury Bills, 2.7% (cost $61,139,861)
                
                $
                61,148,504
                
                
                
                13.4
                %Total
      U.S. Government securities
                
                $
                61,148,504
                
                
                
                13.4
                %
 _______________
 ***
                Pledged
      as collateral for the trading of futures, forward and option
      contracts.
  
  The
accompanying notes are an integral part of these financial
statements.
   F-8
 Index
  GrantPark Futures Fund Limited
Partnership
 Statements
of Operations
 Years
Ended December 31, 2008, 2007 and 2006
  
 2008
                
                
                2007
                
                
                2006Net
      trading gains (losses)Net
      gain (loss) from tradingRealized
                
                $
                135,271,602
                
                
                $
                67,015,724
                
                
                $
                37,256,330Change
      in unrealized
                
                
                (926,609
                )
                
                
                (4,124,643
                )
                
                
                5,033,718Commissions
                
                
                (6,824,118
                )
                
                
                (5,505,936
                )
                
                
                (5,218,644
                )Net
      gains from trading
                
                
                127,520,875
                
                
                
                57,385,145
                
                
                
                37,071,404Income
      allocated from Dearborn Select Master Fund, SPC – Winton Segregated
      Portfolio
                
                
                16,714,939
                
                
                
                9,417,448
                
                
                
                —Total
      trading gains
                
                
                144,235,814
                
                
                
                66,802,593
                
                
                
                37,071,404Net
      investment incomeIncomeInterest
      income
                
                
                12,681,834
                
                
                
                17,475,172
                
                
                
                16,093,168ExpensesBrokerage
      commission
                
                
                34,156,316
                
                
                
                26,032,412
                
                
                
                22,357,551Incentive
      fees
                
                
                25,332,013
                
                
                
                7,017,463
                
                
                
                3,823,552Operating
      expenses
                
                
                1,412,552
                
                
                
                805,444
                
                
                
                669,774Total
      expenses
                
                
                60,900,881
                
                
                
                33,855,319
                
                
                
                26,850,877Net
      investment (loss)
                
                $
                (48,219,047
                )
                
                $
                (16,380,147
                )
                
                $
                (10,757,709
                )Net
      income (loss)
                
                $
                96,016,767
                
                
                $
                50,422,446
                
                
                $
                26,313,695
 Net
      Income (Loss) per General Partner & Class A Unit Limited Partner
      (based on weighted average number of units outstanding during the
      year)
                              
                              $
                              263.77
                              
                              
                              $
                              148.80
                              
                              
                              $
                              98.75Net
      Income (Loss) per Class B Unit Limited Partner (based on weighted average
      number of units outstanding during the year)
                              
                              $
                              223.70
                              
                              
                              $
                              125.29
                              
                              
                              $
                              82.71Increase
      (decrease) in Net Asset Value per General Partner & Class A Unit
      Limited Partner
                              
                              $
                              260.73
                              
                              
                              $
                              146.87
                              
                              
                              $
                              97.03Increase
      (decrease) in Net Asset Value per Class B Unit Limited
    Partner
                              
                              $
                              215.79
                              
                              
                              $
                              120.26
                              
                              
                              $
                              78.14
 
  The
accompanying notes are an integral part of these financial
statements.
   F-9
 Index
  GrantPark Futures Fund Limited
Partnership
 Statements
of Cash Flows
 Years
Ended December 31, 2008, 2007 and 2006
  
  
  2008
                  
                  
                  2007
                  
                  
                  2006Cash
      flows provided by (used in) operating activitiesNet
      income (loss)
                  
                  $
                  96,016,767
                  
                  
                  $
                  50,422,446
                  
                  
                  $
                  26,313,695Adjustments
      to reconcile net income (loss) to net cash (used in)  operating
      activitiesNet
      sales (purchases) of investments in U.S. Government
    securities
                  
                  
                  31,932,606
                  
                  
                  
                  (2,837,410
                  )
                  
                  
                  (1,971,868
                  )Net
      change in unrealized gain (loss) on open contracts, net
                  
                  
                  926,609
                  
                  
                  
                  4,124,643
                  
                  
                  
                  (5,033,718
                  )Net
      (gain) from investment in Dearborn Select Master Fund, SPC – Winton
      Segregated Portfolio
                  
                  
                  (16,714,939
                  )
                  
                  
                  (9,417,448
                  )
                  
                  
                  —Net
      sales (purchases) of investments in Certificates of
deposit
                  
                  
                  60,556,294
                  
                  
                  
                  (58,414,952
                  )
                  
                  
                  (30,667,078
                  )Net
      sales (purchases) of investments in Commercial paper
                  
                  
                  17,889,457
                  
                  
                  
                  (22,874,327
                  )
                  
                  
                  (4,994,963
                  )Net
      (purchases) of investments in Government-sponsored
    enterprises
                  
                  
                  (221,360,358
                  )
                  
                  
                  (17,649,216
                  )
                  
                  
                  (87,764,069
                  )Net
      sales (Investments) in Dearborn Select Master Fund, SPC – Winton
      Segregated Portfolio
                  
                  
                  115,343,975
                  
                  
                  
                  (89,211,588
                  )
                  
                  
                  —Decrease
      in interest receivable
                  
                  
                  23,173
                  
                  
                  
                  417,640
                  
                  
                  
                  179,550Decrease
      (increase) in receivable from General Partner
                  
                  
                  750,000
                  
                  
                  
                  (50,000
                  )
                  
                  
                  (100,000
                  )Increase
      in redemption receivable
                  
                  
                  (115,343,975
                  )
                  
                  
                  —
                  
                  
                  
                  —Increase
      in brokerage commission payable
                  
                  
                  1,158,507
                  
                  
                  
                  322,864
                  
                  
                  
                  672,123Increase
      in accrued incentive fees
                  
                  
                  5,821,713
                  
                  
                  
                  1,288,197
                  
                  
                  
                  1,214,938Increase
      in accrued operating expenses
                  
                  
                  40,535
                  
                  
                  
                  14,979
                  
                  
                  
                  18,801Net
      cash used in operating activities
                  
                  
                  (22,959,636
                  )
                  
                  
                  (143,864,172
                  )
                  
                  
                  (102,132,589
                  )Cash
      flows provided by financing activitiesPartner
      additions
                  
                  
                  175,384,927
                  
                  
                  
                  62,841,744
                  
                  
                  
                  130,857,249Redemptions
                  
                  
                  (57,668,376
                  )
                  
                  
                  (53,878,849
                  )
                  
                  
                  (57,077,208
                  )Offering
      costs
                  
                  
                  (2,971,490
                  )
                  
                  
                  (1,728,970
                  )
                  
                  
                  (1,315,299
                  )Net
      cash provided by financing activities
                  
                  
                  114,745,061
                  
                  
                  
                  7,233,925
                  
                  
                  
                  72,464,742Net
      (decrease) increase in cash and cash equivalents
                  
                  
                  91,785,425
                  
                  
                  
                  (136,630,247
                  )
                  
                  
                  (29,667,847
                  )Cash
      and cash equivalentsBeginning
      of year
                  
                  
                  77,927,077
                  
                  
                  
                  214,557,324
                  
                  
                  
                  244,225,171End
      of year
                  
                  $
                  169,712,502
                  
                  
                  $
                  77,927,077
                  
                  
                  $
                  214,557,324End
      of year cash and cash equivalents consists of:Cash
      in broker trading accounts
                  
                  $
                  11,972,086
                  
                  
                  $
                  5,227,545
                  
                  
                  $
                  17,592,985Cash
      and cash equivalents
                  
                  
                  157,740,416
                  
                  
                  
                  72,699,532
                  
                  
                  
                  196,964,339Total
      end of year cash and cash equivalents
                  
                  $
                  169,712,502
                  
                  
                  $
                  77,927,077
                  
                  
                  $
                  214,557,324
 
  The
accompanying notes are an integral part of these financial
statements.
  
 F-10
 Index
  GrantPark Futures Fund Limited
Partnership
 Statements
of Changes in Partners’ Capital
 Years
Ended December 31, 2008, 2007 and 2006
  Limited
      Partners
                
                
                Limited
      PartnersGeneral
      Partner
                
                
                Class A
                
                
                Class BNumber
      of Units
                
                
                Amount
                
                
                Number
      of Units
                
                
                Amount
                
                
                Number
      of Units
                
                
                Amount
                
                
                Total
      AmountPartners’
      capital, December 31, 2005
                
                
                2,839.96
                
                
                $
                3,026,173
                
                
                
                48,216.06
                
                
                $
                51,377,474
                
                
                
                249,391.39
                
                
                $
                235,494,172
                
                
                $
                289,897,819Contributions
                
                
                558.77
                
                
                
                645,000
                
                
                
                7,990.87
                
                
                
                9,336,899
                
                
                
                110,603.12
                
                
                
                111,541,043
                
                
                
                121,522,942Redemptions
                
                
                —
                
                
                
                —
                
                
                
                (9,578.72
                )
                
                
                (10,782,069
                )
                
                
                (43,010.79
                )
                
                
                (43,339,995
                )
                
                
                (54,122,064
                )Offering
      costs
                
                
                —
                
                
                
                —
                
                
                
                —
                
                
                
                (84,032
                )
                
                
                —
                
                
                
                (1,275,365
                )
                
                
                (1,359,397
                )Net
      income
                
                
                —
                
                
                
                280,178
                
                
                
                —
                
                
                
                4,361,597
                
                
                
                —
                
                
                
                21,671,920
                
                
                
                26,313,695Partners’
      capital, December 31, 2006
                
                
                3,398.73
                
                
                
                3,951,351
                
                
                
                46,628.21
                
                
                
                54,209,869
                
                
                
                316,983.72
                
                
                
                324,091,775
                
                
                
                382,252,995Contributions
                
                
                272.96
                
                
                
                320,000
                
                
                
                14,176.17
                
                
                
                16,618,602
                
                
                
                56,817.78
                
                
                
                59,046,420
                
                
                
                75,985,022Redemptions
                
                
                —
                
                
                
                —
                
                
                
                (9,432.45
                )
                
                
                (11,166,190
                )
                
                
                (38,092.81
                )
                
                
                (40,048,152
                )
                
                
                (51,214,342
                )Offering
      costs
                
                
                —
                
                
                
                —
                
                
                
                —
                
                
                
                (106,370
                )
                
                
                —
                
                
                
                (1,653,955
                )
                
                
                (1,760,325
                )Net
      income
                
                
                —
                
                
                
                536,614
                
                
                
                —
                
                
                
                7,714,031
                
                
                
                —
                
                
                
                42,171,801
                
                
                
                50,422,446Partners’
      capital, December 31, 2007
                
                
                3,671.69
                
                
                
                4,807,965
                
                
                
                51,371.93
                
                
                
                67,269,942
                
                
                
                335,708.69
                
                
                
                383,607,889
                
                
                
                455,685,796Contributions
                
                
                676.49
                
                
                
                1,000,000
                
                
                
                14,070.43
                
                
                
                20,802,983
                
                
                
                105,026.40
                
                
                
                134,317,181
                
                
                
                156,120,164Redemptions
                
                
                —
                
                
                
                —
                
                
                
                (13,033.66
                )
                
                
                (19,201,221
                )
                
                
                (32,574.35
                )
                
                
                (41,963,683
                )
                
                
                (61,164,904
                )Offering
      costs
                
                
                —
                
                
                
                —
                
                
                
                —
                
                
                
                (163,756
                )
                
                
                —
                
                
                
                (2,898,858
                )
                
                
                (3,062,614
                )Net
      income
                
                
                —
                
                
                
                1,019,544
                
                
                
                —
                
                
                
                13,584,192
                
                
                
                —
                
                
                
                81,413,031
                
                
                
                96,016,767Partners’
      capital, December 31, 2008
                
                
                4,348.18
                
                
                $
                6,827,509
                
                
                
                52,408.70
                
                
                $
                82,292,140
                
                
                
                408,160.74
                
                
                $
                554,475,560
                
                
                $
                643,595,209Net
      asset value per unit at December 31, 2005
                
                
                
                
                $
                1,065.57
                
                
                
                
                
                
                $
                944.28Net
      asset value per unit at December 31, 2006
                
                
                
                
                $
                1,162.60
                
                
                
                
                
                
                $
                1,022.42Net
      asset value per unit at December 31, 2007
                
                
                
                
                $
                1,309.47
                
                
                
                
                
                
                $
                1,142.68Net
      asset value per unit at December 31, 2008
                
                
                
                
                $
                1,570.20
                
                
                
                
                
                
                $
                1,358.47
 
  The
accompanying notes are an integral part of these financial
statements.
   F-11
 Index
  GrantPark Futures Fund Limited Partnership
 Notes
to 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 in Illinois in
August 1988 and will continue until December 31, 2027, unless sooner
terminated as provided for in the Limited Partnership Agreement.  As a
commodity investment pool, the Partnership is subject to the regulations of the
Commodity Futures Trading Commission, 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”), interbank and other
market makers through which the Partnership trades.  Effective
June 30, 2003, the Partnership became registered with the Securities and
Exchange Commission (“SEC”), accordingly, as a registrant, the Partnership is
subject to the regulatory requirements under the Securities Act of 1933 and the
Securities Exchange Act of 1934.
  The
Partnership is a multi-advisor pool that carries out its purpose through trading
by independent professional commodity trading advisors retained by Dearborn
Capital Management, L.L.C. (the “General Partner”) and the
Partnership.  The Partnership also invests a portion of its assets in
other commodity investment pools to achieve its purpose.  Through
these trading advisors and investments in other commodity investment pools, the
Partnership’s business is to trade, buy, sell, margin or otherwise acquire, hold
or dispose of futures and forward contracts for commodities, financial
instruments or currencies, any rights pertaining thereto and any options
thereon, or on physical commodities.  The Partnership may also engage
in hedge, arbitrage and cash trading of commodities and futures.
  Classes of
interests:  The Partnership has two classes of limited partner
interests (the “Interests”), Class A and Class B.  Both Class A and
Class B Interests are traded pursuant to identical trading programs and differ
only in respect to the General Partner’s brokerage commission and organization
and offering costs.
  Significant
accounting policies are as follows:
  Use of
estimates:  The preparation of financial statements in
conformity with generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of revenue and expenses during
the reporting period.  Actual results could differ from those
estimates.
  Cash and cash
equivalents:  Cash and cash equivalents include cash, overnight
investments, U.S. treasury bills and short-term investments in interest-bearing
demand deposits with banks and cash managers with maturities of three months or
less.  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.
  Revenue
recognition:  Futures, options on futures, and forward
contracts are recorded on a trade date basis and realized gains or losses are
recognized when contracts are liquidated.  Unrealized gains or losses
on open contracts (the difference between contract trade price and market price)
are reported in the 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 the Financial Accounting Standards Board Interpretation
No. 39 — “Offsetting of Amounts Related to Certain
Contracts.”  Any change in net unrealized gain or
   F-12
 Index
  Grant
Park Futures Fund Limited Partnership
 Notes
to Financial Statements
  NOTE
1.  NATURE OF BUSINESS AND SIGNIFICANT ACCOUNTING POLICIES
(continued)
 loss from
the preceding period is reported in the statement of operations.  Fair
value of exchange-traded contracts is based upon exchange settlement
prices.  Fair value of non-exchange-traded contracts is based on third
party quoted dealer values on the Interbank
market.  Government-sponsored enterprises and commercial paper are
stated at cost plus accrued interest, which approximates fair
value.
  The
Partnership’s investment in the Dearborn Select Master Fund, SPC – Winton
Segregated Portfolio – Class GP (the “GP Class”) is reported in the statement of
financial condition at fair value at December 31, 2007.  Fair value
ordinarily is the value determined by the management of the GP Class in
accordance with the valuation policies of the GP Class and as reported at the
time of the Partnership’s valuation.  Generally, the fair value of the
Partnership’s investment in the GP Class represents the amount that the
Partnership could reasonably expect to receive from the GP Class if the
Partnership’s investment was redeemed at the time of valuation, based on
information reasonably available at the time the valuation is made and that the
Partnership believes to be reliable.
  Redemptions
payable:  Pursuant to the provisions of Statement of Financial
Accounting Standards No. 150, Accounting for Certain Financial
Instruments with Characteristics of both Liabilities and Equity (“SFAS
150”), 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
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.
  Organization and offering
costs:  All expenses incurred in connection with the
organization and the initial and ongoing public offering of partnership
interests are paid by the General Partner and are reimbursed to the General
Partner by the Partnership.  This reimbursement is made
monthly.  Class A units bear organization and offering expenses at an
annual rate of 20 basis points (0.20 percent) of the adjusted net assets of the
Class A units, calculated and payable monthly on the basis of month-end adjusted
net assets.  Class B units bear these expenses at an annual rate of 60
basis points (0.60 percent) of the adjusted net assets of the Class B units,
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.  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 calendar year, provided that the maximum
amount reimbursed by the Partnership will not exceed the overall
limit.  Amounts reimbursed by the Partnership with respect to the
initial and ongoing public offering expenses are charged against partners’
capital at the time of reimbursement or accrual.  Any amounts
reimbursed by the Partnership with respect to organization expenses are expensed
at the time the reimbursement is incurred or accrued.  If the
Partnership terminates prior to completion of payment of the calculated amounts
to the General Partner, the General Partner will not be entitled to any
additional payments, and the Partnership will have no further obligation to the
General Partner.  At December 31, 2008, all organization and
offering costs incurred by the General Partner have been
reimbursed.  The General Partner may remit back to the Partnership a
portion of the Partnership’s organization and offering expenses to the extent
actual expenses incurred were less than the actual amount the Partnership paid
the General Partner.  At December 31, 2008 and 2007, included in
receivable from General Partner is $0 and $500,000, respectively, related to the
reimbursement of organization and offering expenses of the
Partnership.
    F-13
 Index
  Grant
Park Futures Fund Limited Partnership
 Notes
to Financial Statements
  NOTE
1.  NATURE OF BUSINESS AND SIGNIFICANT ACCOUNTING POLICIES
(continued)
 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 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.
  Reclassification:  Certain
amounts in the 2007 and 2006 financial statements have been reclassified to
conform with the 2008 presentation.
  Recently adopted accounting
pronouncements:  In September 2006, the FASB issued Statement
of Financial Accounting Standards No. 157, Fair Value Measurements
(“SFAS No. 157”).  SFAS No. 157 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.  SFAS No. 157 is effective for
fiscal years beginning after November 15, 2007, except for nonfinancial assets
and nonfinancial liabilities that are recognized or disclosed at fair value in
the financial statements on a nonrecurring basis for which delayed application
is permitted until fiscal years beginning after November 15,
2008.  The adoption of SFAS No. 157 was effective for the Partnership
on January 1, 2008, and did not impact our financial position, results of
operations or cash flows.
 
 SFAS No.
157 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 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 under SFAS 157 as assumptions market participants would use in
pricing an asset or liability. The three levels of the fair value hierarchy
under SFAS 157 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 are unobservable for the asset or liability.
 
 The
following section describes the valuation techniques used by the Partnership to
measure different financial instruments at fair value and includes the level
within the fair value hierarchy in which the financial instrument is
categorized.
 
 Fair value of exchange-traded contracts
is based upon exchange settlement prices.  Fair value of
non-exchange-traded contracts is based on third party quoted dealer values on
the Interbank market.  U.S. Government securities,
Government-sponsored enterprises and commercial paper are stated at cost plus
accrued interest, which approximates fair value.  These financial
instruments are classified in Level 1 of the fair value hierarchy.
 
  F-14
 Index
  Grant
Park Futures Fund Limited Partnership
 Notes
to Financial Statements
  NOTE
1.  NATURE OF BUSINESS AND SIGNIFICANT ACCOUNTING POLICIES
(continued)
 Certificates
of deposit are stated at cost plus accrued interest, which approximates fair
value.  These financial instruments are classified in Level 2 of the
fair value hierarchy.
 
 The Partnership’s investment in the
Dearborn Select Master Fund, SPC – Winton Segregated Portfolio – Class GP (the
“GP Class”) is reported in the statement of financial condition at fair
value.  Fair value ordinarily is the value determined by the management of
the GP Class in accordance with the valuation policies of the GP Class and as
reported at the time of the Partnership’s valuation.  Generally, the fair
value of the Partnership’s investment in the GP Class represents the amount that
the Partnership could reasonably expect to receive from the GP Class if the
Partnership’s investment was redeemed at the time of valuation, based on
information reasonably available at the time the valuation is made and that the
Partnership believes to be reliable.  This financial instrument is
classified in Level 3 of the fair value hierarchy.
  The
following table presents the Partnership’s fair value hierarchy for those assets
and liabilities measured at fair value on a recurring basis as of December 31,
2008:
 
 Assets
                                      
                                      Level
      1
                                      
                                      
                                      Level
      2
                                      
                                      
                                      Level
      3
                                      
                                      
                                      TotalEquity
      in brokers’ trading accountsU.S.
      Government securities
                                      
                                      $
                                      29,215,898
                                      
                                      
                                      $
                                      —
                                      
                                      
                                      $
                                      —
                                      
                                      
                                      $
                                      29,215,898Government-sponsored
      enterprises
                                      
                                      
                                      15,695,417
                                      
                                      
                                      
                                      —
                                      
                                      
                                      
                                      —
                                      
                                      
                                      
                                      15,695,417Futures
      contracts
                                      
                                      
                                      6,603,439
                                      
                                      
                                      
                                      —
                                      
                                      
                                      
                                      —
                                      
                                      
                                      
                                      6,603,439Forward
      contracts
                                      
                                      
                                      (1,393,208
                                      )
                                      
                                      
                                      —
                                      
                                      
                                      
                                      —
                                      
                                      
                                      
                                      (1,393,208
                                      )Cash
      and cash equivalentsCertificates
      of deposit
                                      
                                      
                                      —
                                      
                                      
                                      
                                      40,655,321
                                      
                                      
                                      
                                      —
                                      
                                      
                                      
                                      40,655,321Commercial paper
                                      
                                      
                                      89,383,455
                                      
                                      
                                      
                                      —
                                      
                                      
                                      
                                      —
                                      
                                      
                                      
                                      89,383,455Government-sponsored enterprises
                                      
                                      
                                      4,993,389
                                      
                                      
                                      
                                      —
                                      
                                      
                                      
                                      —
                                      
                                      
                                      
                                      4,993,389Certificates
      of deposit
                                      
                                      
                                      —
                                      
                                      
                                      
                                      28,525,736
                                      
                                      
                                      
                                      —
                                      
                                      
                                      
                                      28,525,736Commercial
      paper
                                      
                                      
                                      9,979,833
                                      
                                      
                                      
                                      —
                                      
                                      
                                      
                                      —
                                      
                                      
                                      
                                      9,979,833Government-sponsored
      enterprises
                                      
                                      
                                      311,078,226
                                      
                                      
                                      
                                      —
                                      
                                      
                                      
                                      —
                                      
                                      
                                      
                                      311,078,226Investment
      in Dearborn Select Master Fund, SPC*
                                      
                                      
                                      —
                                      
                                      
                                      
                                      —
                                      
                                      
                                      
                                      —
                                      
                                      
                                      
                                      —
  *
                The
      Investment in Dearborn Select Master Fund, SPC was redeemed at December
      31, 2008 and is shown on the statement of financial condition as a
      redemption receivable.
 
 Financial
instruments classified as Level 3 in the fair value hierarchy represent the
Partnership’s investment in the GP Class in which management has used at least
one significant unobservable input in the valuation model.  The
following table presents a reconciliation of activity for the GP
Class:
 
 Balance
      at January 1, 2008
                  
                  $
                  98,629,036Total
      Realized Gain included in Income
                  
                  
                  16,714,939Purchases,
      Issuances and Settlements
                  
                  
                  —Redemption
                  
                  
                  (115,343,975
                  )Transfers
      in and (or) out of Level 3
                  
                  
                  —Balance
      at December 31, 2008
                  
                  $
                  —
 
 In April 2007 the FASB issued
Interpretation No. 39-1, Amendment of FASB Interpretation
  F-15
 Index
   Grant
Park Futures Fund Limited Partnership
 Notes
to Financial Statements
  NOTE
1.  NATURE OF BUSINESS AND SIGNIFICANT ACCOUNTING POLICIES
(continued)
 No. 39 (“FIN 39-1”). 
FIN 39-1 defines “right of setoff” and specifies what conditions must be met for
a derivative contract to qualify for this right of setoff.  It also
addresses the applicability of a right of setoff to derivative instruments and
clarifies the circumstances in which it is appropriate to offset amounts
recognized for multiple derivative instruments executed with the same
counterparty under a master netting arrangement and fair value amounts
recognized for the right to reclaim cash collateral (a receivable) or the
obligation to return cash collateral (a payable) arising from the same master
netting arrangement as the derivative instruments.  This interpretation is
effective for fiscal years beginning after November 15, 2007.  The adoption
of FIN 39-1 did not have a material impact on the Partnership’s financial
statements.
 
 Recent
accounting pronouncements:  In March 2008, the FASB issued SFAS
No. 161, Disclosure about
Derivative Instruments and Hedging Activities, an Amendment of FASB Statement
No. 133 (“SFAS No. 161”).  SFAS No. 161 is intended to improve
transparency in financial reporting by requiring enhanced disclosures of an
entity’s derivative instruments and hedging activities and their effects on the
entity’s financial position, financial performance, and cash
flows.  SFAS No. 161 applies to all derivativeinstruments
within the scope of SFAS No. 133.  It also applies to non-derivative
hedging instruments and all hedged items designated and qualifying as hedges
under SFAS No. 133.  SFAS No. 161 amends the current qualitative and
quantitative disclosure requirements for derivative instruments and hedging
activities set forth in SFAS No. 133 and generally increases the level of
disaggregation that will be required in an entity’s financial
statements.  SFAS No. 161 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.  SFAS No. 161 is effective prospectively for financial
statements issued for fiscal years and interim periods beginning after November
15, 2008.
 
 NOTE
2.   INVESTMENTS
  Effective
June 1, 2007, the General Partner reallocated the portion of the Partnership’s
net assets previously allocated to Winton Capital Management Limited (“Winton”)
to the GP Class of Dearborn Select Master Fund, SPC (“Dearborn
Select”).  Dearborn Select was incorporated under the laws of the
Cayman Islands on April 7, 2006 and is a private investment fund organized as a
segregated portfolio company with limited liability.  The GP Class
allocated the assets invested by the Partnership to Winton through one or more
managed accounts, traded pursuant to Winton’s Diversified
Program.  The Partnership owned all of the outstanding Class GP units
of the GP Class.  The general partner of the Partnership was also the
Investment Manager of Dearborn Select.  As of December 31, 2008, the
investment in the GP Class was redeemed and is shown on the statement of
financial condition as a redemption receivable.  Effective January 1,
2009, the portion of the Partnership’s net assets allocated to the GP Class was
reallocated to one of the Partnership’s trading companies, GP 1, LLC, a Delaware
limited liability company.  GP 1, LLC will allocate assets to Winton
to be traded pursuant to Winton’s Diversified Program.  There have
been no changes to the existing clearing broker arrangements/brokerage charge
and no material changes to the other fees and expenses allocated to the
Partnership as a result of this reallocation.
  As a
result of the Partnership’s redemption of its units in Dearborn Select, as of
December 31, 2008, the Partnership did not hold an equity interest in Dearborn
Select.  Summarized information reflecting the total assets,
liabilities and capital for Dearborn Select is shown in the following
table.
 
 F-16
 Index
  Grant
Park Futures Fund Limited Partnership
 Notes
to Financial Statements
  NOTE
2.   INVESTMENTS (continued)
 December
      31, 2008Total
      Assets
                      
                      $
                      116,080,580Total
      Liabilities
                      
                      $
                      116,080,580Total
      Capital
                      
                      $
                      —
 
  Summarized
information reflecting the Partnership’s investment in, and the operations of,
Dearborn Select at December 31, 2008 and 2007, is shown in the following
tables.
  December
      31, 2008
                                  
                                  
                                  For
      the twelve months ended December 31, 2008%
      ofPartnership’s
                                  
                                  
                                  
                                  
                                  Fair
                                  
                                  
                                  Total
                                  
                                  
                                  Expenses
                                  
                                  
                                  Net
                                  
                                  Investment
                                  
                                  LiquidityNet Assets
                                  
                                  
                                  Cost
                                  
                                  Value
                                  
                                  
                                  Income
                                  
                                  
                                  Commissions
                                  
                                  
                                  Other
                                  
                                  
                                  Income
                                  
                                  Objective
                                  
                                  Provision0
                                  %
                                  
                                  $
                                  —
                                  
                                  $
                                  —
                                  
                                  
                                  $
                                  25,394,928
                                  
                                  
                                  $
                                  3,852,792
                                  
                                  
                                  $
                                  4,827,197
                                  
                                  
                                  $
                                  16,714,939
                                  
                                  Speculative
                                      trading
      of
                                      futures
      contracts,
                                      options
      on
                                      futures
      contracts,
                                      forward
      contracts,
                                      swaps,
      derivatives
                                      and
      synthetics
                                  
                                  Monthly
      or at such other times as the Directors may
  agree
 December
      31, 2007
                                    
                                    
                                    For
      the twelve months ended December 31, 2007%
      ofPartnership’s
                                    
                                    
                                    
                                    
                                    Fair
                                    
                                    
                                    Total
                                    
                                    
                                    Expenses
                                    
                                    
                                    Net
                                    
                                    Investment
                                    
                                    LiquidityNet Assets
                                    
                                    
                                    Cost
                                    
                                    Value
                                    
                                    
                                    Income
                                    
                                    
                                    Commissions
                                    
                                    
                                    Other
                                    
                                    
                                    Income
                                    
                                    Objective
                                    
                                    Provision21.6
                                    %
                                    
                                    $
                                    89,211,588
                                    
                                    $
                                    98,629,036
                                    
                                    
                                    $
                                    14,005,040
                                    
                                    
                                    $
                                    1,929,036
                                    
                                    
                                    $
                                    2,658,556
                                    
                                    
                                    $
                                    9,417,448
                                    
                                    Speculative
                                        trading
      of
                                        futures
      contracts,
                                        options
      on
                                        futures
      contracts,
                                        forward
      contracts,
                                        swaps,
      derivatives
                                        and
      synthetics
                                    
                                    Monthly
      or at such other times as the Directors may
  agree
 F-17
 Index
  Grant
Park Futures Fund Limited Partnership
 Notes
to Financial Statements
 NOTE
3.  DEPOSITS WITH BROKERS
  The Partnership deposits assets with
brokers subject to Commodity Futures Trading Commission regulations and various
exchange and broker requirements.  Margin requirements are satisfied
by the deposit of U.S. Treasury bills, U.S. Treasury notes, Government-sponsored
enterprises and cash with such brokers.  The Partnership earns
interest income on its assets deposited with the brokers.
  NOTE
4.  COMMODITY TRADING ADVISORS
  In
addition to its investment in the GP Class through which a portion of its assets
are managed by Winton, the Partnership has entered into advisory contracts with
Rabar Market Research, Inc., EMC Capital Management, Inc., Eckhardt Trading Co.,
Graham Capital Management, L.P., Welton Investment Corporation, Global Advisors
L.P., Transtrend B.V. and Quantitative Investment Management LLC to act as the
Partnership’s commodity trading advisors (the “Advisors”).  The
Advisors are paid a quarterly management fee ranging from 0 percent to 2 percent
per annum of the Partnership’s month-end allocated net assets, which is paid by
the General Partner from the brokerage commission (Note 5).
 Additionally, the Advisors, including
Winton, receive a quarterly incentive fee ranging from 20 percent to 30 percent
of the new trading profits on the allocated net assets of the Advisor, which
amounted to fees of $25,332,013, $7,017,463, and $3,823,552 for the years ended
December 31, 2008, 2007, and 2006, respectively.
  NOTE
5.  GENERAL PARTNER AND RELATED PARTY TRANSACTIONS
  The
General Partner shall at all times, so long as it remains a general partner of
the Partnership, own Units in the Partnership:  (i) in an amount
sufficient, in the opinion of counsel for the Partnership, for the Partnership
to be taxed as a partnership rather than as an association taxable as a
corporation; and (ii) during such time as the Units are registered for sale
to the public, in an amount at least equal to the greater
of:  (a) 1 percent of all capital contributions of all Partners
to the Partnership; or (b) $25,000; or such other amount satisfying the
requirements then imposed by the North American Securities Administrators
Association, Inc.(NASAA) Guidelines.  Further, during such time as the
Units are registered for sale to the public, the General Partner shall, so long
as it remains a general partner of the Partnership, maintain a net worth (as
such term may be defined in the NASAA Guidelines) at least equal to the greater
of:  (i) 5 percent of the total capital contributions of all
partners and all limited partnerships to which it is a general partner
(including the Partnership) plus 5 percent of the Units being offered for sale
in the Partnership; or (ii) $50,000; or such other amount satisfying the
requirements then imposed by the NASAA Guidelines.  In no event,
however, shall the General Partner be required to maintain a net worth in excess
of $1,000,000 or such other maximum amount satisfying the requirements then
imposed by the NASAA Guidelines.
  Ten
percent of the General Partner limited partnership interest in the Grant Park
Futures Fund Limited Partnership is characterized as a general partnership
interest.  Notwithstanding, the general partnership interest will
continue to pay all fees associated with a limited partnership
interest.
  The Class
A units pay the General Partner a monthly brokerage commission equal to one
twelfth of 7.55 percent (7.55 percent annualized) of month-end net
assets.  The Class B units pay the General Partner one twelfth of 8.00
percent (8.00 percent annualized) of month-end net assets.  Included
in the brokerage commission are amounts paid to the clearing brokers for
execution and clearing costs,
  F-18
 Index
  Grant
Park Futures Fund Limited Partnership
 Notes
to Financial Statements
  NOTE
5.  GENERAL PARTNER AND RELATED PARTY TRANSACTIONS
(continued)
  management
fees paid to the Advisors, compensation to the selling agents and an amount to
the General Partner for management services rendered.
  NOTE
6.  OPERATING EXPENSES
  Operating
expenses of the Partnership are paid for by the General Partner and reimbursed
by the Partnership.  Operating expenses of the Partnership are limited
to 0.25 percent per year of the average month-end net assets of the
Partnership.  To the extent operating expenses are less than 0.25
percent of the Partnership’s average month-end net assets during the year, the
difference may be reimbursed pro rata to record-holders as of December 31 of
each year.  Accordingly, at December 31, 2008 and 2007, included in
receivable from General Partner is $0 and $250,000, respectively, related to the
reimbursement of operating expenses to the Partnership.
  NOTE
7.  REDEMPTIONS
  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.  There are
no redemption fees applicable to Class A Limited Partners or to Class B Limited
Partners who redeem their units on or after the one-year anniversary of their
subscription.  Class B Limited Partners who redeem their units prior
to the one-year anniversary of their subscriptions will pay the applicable early
redemption fee.  Redemptions will be made on the last day of the month
for anamount equal to the net asset value per unit, as defined,
represented by the units to be redeemed.  The right to obtain
redemption is also contingent upon the Partnership’s having property sufficient
to discharge its liabilities on the redemption date and may be delayed if the
General Partner determines that earlier liquidation of commodity interest
positions to meet redemption payments would be detrimental to the Partnership or
nonredeeming Limited Partners.
  In
addition, the General Partner may at any time cause the redemption of all or a
portion of any Limited Partner’s units upon fifteen (15) days written
notice.  The General Partner may also immediately redeem any Limited
Partner’s units without notice if the General Partner believes that (i) the
redemption is necessary to avoid having the assets of the Partnership deemed
Plan Assets under the Employee Retirement Income Security Act of 1974, as
amended (“ERISA”), (ii) the Limited Partner made a misrepresentation in
connection with its subscription for the units, or (iii) the redemption is
necessary to avoid a violation of law by the Partnership or any
Partner.
  NOTE
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 at the beginning of each calendar month
during the year.  Individual investor’s ratios may vary from these
ratios based on various factors, including and among others, the timing of
capital transactions.
   F-19
 Index
  Grant
Park Futures Fund Limited Partnership
 Notes
to Financial Statements
  NOTE
8.  FINANCIAL HIGHLIGHTS (continued)
 2008
                  
                  
                  2007
                  
                  
                  2006Total
      return – Class A Units
                  
                  
                  19.91
                  %
                  
                  
                  12.63
                  %
                  
                  
                  9.11
                  %Total
      return – Class B Units
                  
                  
                  18.88
                  %
                  
                  
                  11.76
                  %
                  
                  
                  8.28
                  %Ratios
      as a percentage of average net assets: *Interest
      income
                  
                  
                  2.32
                  %
                  
                  
                  4.24
                  %
                  
                  
                  4.78
                  %Expenses
      prior to incentive fees
                  
                  
                  6.52
                  %
                  
                  
                  6.52
                  %
                  
                  
                  6.83
                  %Incentive
      fees
                  
                  
                  4.64
                  %
                  
                  
                  1.70
                  %
                  
                  
                  1.13
                  %Total
      expenses
                  
                  
                  11.16
                  %
                  
                  
                  8.22
                  %
                  
                  
                  7.96
                  %Net
      investment (loss) **
                  
                  
                  (4.20
                  )%
                  
                  
                  (2.28
                  )%
                  
                  
                  (2.05
                  )%
  *
                  Excludes
      the Partnership’s proportionate share of expenses and net investment
      income (loss) from Dearborn Select Master Fund, SPC – Winton Segregated
      Portfolio.
 **
                  Excludes
      incentive fee.
  The
interest income and expense ratios above are computed based upon the weighted
average net assets of the limited partners for the years ended December 31,
2008, 2007 and 2006.
  The
following per unit performance calculations reflect activity related to the
Partnership.
  Class
      A Units
                
                
                Class
      B UnitsPer
      Unit Performance
                  (for
      unit outstanding throughout the entire period):Net
      asset value per unit at December 31, 2005
                
                $
                1,065.57
                
                
                $
                944.28Income
      (loss) from operationsNet
      realized and change in unrealized gain from trading
                
                
                148.32
                
                
                
                131.24Expenses
      net of interest income*
                
                
                (49.57
                )
                
                
                (48.53
                )Total
      income (loss) from operations
                
                
                98.75
                
                
                
                82.71Organization
      and offering costs*
                
                
                (1.72
                )
                
                
                (4.57
                )Net
      asset value per unit at December 31, 2006
                
                
                1,162.60
                
                
                
                1,022.42Income
      (loss) from operationsNet
      realized and change in unrealized gain from trading
                
                
                191.82
                
                
                
                167.87Expenses
      net of interest income*
                
                
                (43.02
                )
                
                
                (42.58
                )Total
      income (loss) from operations
                
                
                148.80
                
                
                
                125.29Organization
      and offering costs*
                
                
                (1.93
                )
                
                
                (5.03
                )Net
      asset value per unit at December 31, 2007
                
                
                1,309.47
                
                
                
                1,142.68Income
      (loss) from operationsNet
      realized and change in unrealized gain from trading
                
                
                389.13
                
                
                
                336.88Expenses
      net of interest income*
                
                
                (125.36
                )
                
                
                (113.18
                )Total
      income (loss) from operations
                
                
                263.77
                
                
                
                223.70Organization
      and offering costs*
                
                
                (3.04
                )
                
                
                (7.91
                )Net
      asset value per unit at December 31, 2008
                
                $
                1,570.20
                
                
                $
                1,358.47
 *
                  Expenses
      net of interest income per unit and organization and offering costs per
      unit are calculated by dividing the expenses net of interest income and
      organization and offering costs by the average number of units outstanding
      during the period.  The net realized and change in unrealized
      gain from trading is a balancing amount necessary to reconcile the change
      in net asset value per unit with the other per unit
      information.
  F-20
 Index
  Grant
Park Futures Fund Limited Partnership
 Notes
to Financial Statements
 NOTE
9.  TRADING ACTIVITIES AND RELATED RISKS
  The
Partnership, through its Advisors, including Winton, engages in the speculative
trading of U.S. and foreign futures contracts, options on U.S. and foreign
futures contracts, and forward contracts (collectively,
derivatives).  These derivatives include both financial and
nonfinancial contracts held as part of a diversified trading
strategy.  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.
  Net
trading results from derivatives for the years ended December 31, 2008,
2007 and 2006, are reflected in the statements of operations.  Such
trading results reflect the net gain arising from the Partnership’s speculative
trading of futures contracts, options on futures contract, and forward
contracts.
  For
derivatives, risks arise from changes in the market value of the
contracts.  Theoretically, the Partnership is exposed to a market risk
equal to the value of futures and forward contracts purchased and unlimited
liability on such contracts sold short.  As both a buyer and seller of
options, the Partnership pays or receives a premium at the outset and then bears
the risk of unfavorable changes in the price of the contract underlying the
option.  Written options expose the Partnership to potentially
unlimited liability; for purchased options the risk of loss is limited to the
premiums paid.
  In
addition to market risk, in entering into commodity interest contracts there is
a credit risk that a counterparty will not be able to meet its obligations to
the Partnership.  The counterparty for futures and options on futures
contracts traded in the United States and on most non-U.S. futures exchanges is
the clearinghouse associated with such exchange.  In general,
clearinghouses are backed by the corporate members of the clearinghouse who are
required to share any financial burden resulting from the nonperformance by one
of their members and, as such, should significantly reduce this credit
risk.  In cases where the clearinghouse is not backed by the clearing
members, like some non-U.S. exchanges, it is normally backed by a consortium of
banks or other financial institutions.
  In the
case of forward contracts, over-the-counter options contracts or swap contracts,
which are traded on the interbank or other institutional market rather than on
exchanges, the counterparty is generally a single bank or other financial
institution, rather than a clearinghouse backed by a group of financial
institutions; thus, there likely will be greater counterparty credit
risk.  The Partnership trades only with those counterparties that it
believes to be creditworthy.  All positions of the Partnership are
valued each day on a mark-to-market basis.  There can be no assurance
that any clearing member, clearinghouse or other counterparty will be able to
meet its obligations to the Partnership.
   F-21
 Index
  Grant
Park Futures Fund Limited Partnership
 Notes
to Financial Statements
  NOTE
9.  TRADING ACTIVITIES AND RELATED RISKS (continued)
 The
unrealized gain (loss) on open futures, forward and option contracts is
comprised of the following:
  Futures
      Contracts
                      (exchange-traded)
                  
                  
                  Forward
      Contracts
                      (non-exchange-traded)
                  
                  
                  Option
      Contracts
                      (exchange-traded)
                  
                  
                  TotalDecember 31,
      2008
                  
                  
                  December 31,
      2007
                  
                  
                  December 31,
      2008
                  
                  
                  December 31,
      2007
                  
                  
                  December 31,
      2008
                  
                  
                  December 31,
      2007
                  
                  
                  December 31,
      2008
                  
                  
                  December 31,
      2007Gross
      unrealized gains
                  
                  $
                  27,066,816
                  
                  
                  $
                  14,183,671
                  
                  
                  $
                  1,785,615
                  
                  
                  $
                  2,046,350
                  
                  
                  $
                  —
                  
                  
                  $
                  319,432
                  
                  
                  $
                  28,852,431
                  
                  
                  $
                  16,549,453Gross
      unrealized (losses)
                  
                  
                  (20,463,377
                  )
                  
                  
                  (6,807,992
                  )
                  
                  
                  (3,178,823
                  )
                  
                  
                  (3,604,621
                  )
                  
                  
                  —
                  
                  
                  
                  —
                  
                  
                  
                  (23,642,200
                  )
                  
                  
                  (10,412,613
                  )Net
      unrealized gain (loss)
                  
                  $
                  6,603,439
                  
                  
                  $
                  7,375,679
                  
                  
                  $
                  (1,393,208
                  )
                  
                  $
                  (1,558,271
                  )
                  
                  $
                  —
                  
                  
                  $
                  319,432
                  
                  
                  $
                  5,210,231
                  
                  
                  $
                  6,136,840
 
 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 market value of their respective investments and, in
certain specific circumstances, distributions and redemptions
received.
  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.  SUBSEQUENT EVENTS
  From
January 1, 2009 to March 4, 2009, there were contributions and redemptions
totaling approximately $121,687,000 and $2,431,000
respectively.
  As a
result of recent changes in the rules and regulations of the Financial Industry
Regulatory Authority (“FINRA”) affecting commodity pools, the general partner
has determined to make certain changes to the organization of the Partnership,
including the creation of additional classes of units, and has determined to
terminate the offering and sale of any new Class A and Class B units by the
second quarter of 2009.
  As part
of the reorganization, the Partnership will continue to invest through different
commodity trading advisors retained by the general partner.  However,
instead of each trading advisor maintaining a separate account in the name of
the Partnership, as was historically the case, the assets of the Partnership
will be invested in various trading companies, each of which will be organized
as a limited liability company.  Each trading company will then
allocate those assets to one of the commodity trading advisors retained by the
general partner.  Additionally, a separate cash management limited
liability company will be created to collectively manage excess cash not
required to be held at the clearing brokers for each individual
manager.
  Upon the
effective date of the reorganization, the current organization and offering
costs charged to the Class A and Class B units will decrease from an annual rate
of 20 basis points (.20%) and 60 basis points (.60%), respectively, to 10 basis
points (.10%) and 30 basis points (.30%), respectively, of
 F-22
  NOTE
11.  SUBSEQUENT EVENTS (continued)
  the
adjusted net assets of the Class A and Class B units, calculated and payable
monthly on the basis of month-end adjusted net assets.
 
 Upon the
effective date of the reorganization, the current brokerage commission charged
to the Class A and Class B units will decrease from a monthly rate of
one twelfth of 7.55 percent (7.55 percent annualized) and 8.00 percent (8.00
percent annualized) of month-end net assets, respectively, to a monthly rate of
one twelfth of 7.50 percent (7.50 percent annualized) and 7.95 percent (7.95
percent annualized) of month-end net assets.
 F-23
 Index
  
   IndependentAuditor’s Report
 
 
 To the
Directors and Shareholders
 Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio
 Grand
Cayman, Cayman Islands
  We have
audited the accompanying statements of financial condition, including the
condensed schedules of investments of Dearborn Select Master Fund, SPC – Winton
Segregated Portfolio (the “Company”), as of December 31, 2008 and 2007, and
the related statements of operations, changes in shareholders’ equity and cash
flows for the year ended December 31, 2008 and the period from June 1, 2007
(commencement of operations) through December 31, 2007.  These
financial statements are the responsibility of the Company’s
management.  Our responsibility is to express an opinion on these
financial statements based on our audit.
  We
conducted our audit in accordance with auditing standards generally accepted in
the United States of America. Those standards require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement.  An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements.  An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation.  We believe
that our audit provides a reasonable basis for our opinion.
  In our
opinion, the financial statements referred to above present fairly, in all
material respects, the financial position of Dearborn Select Master Fund, SPC –
Winton Segregated Portfolio as of December 31, 2008 and 2007, and the
results of its operations and its cash flows for the year ended December 31,
2008 and the period from June 1, 2007 (commencement of operations) through
December 31, 2007 in conformity with accounting principles generally accepted in
the United States of America.
 /s/McGladrey &
      Pullen, LLP
 Chicago,
Illinois
 March 4,
2009
  
  
  
  
  
  McGladrey &
Pullen, LLP is a member firm of RSM International –
 an
affiliation of separate and independent legal entities.
   F-24
 Index
  DearbornSelect Master Fund, SPC – Winton Segregated
Portfolio
 Statements
of Financial Condition
 December
31, 2008 and 2007
  
  Assets
                
                2008
                
                
                2007Equity
      in broker trading account:Cash
                
                $
                6,632,155
                
                
                $
                7,377,530U.S.
      Government securities, at fair value
                
                
                2,998,799
                
                
                
                12,469,108Unrealized
      gain on open futures contracts, net
                
                
                1,958,960
                
                
                
                1,250,392Deposits
      with broker
                
                
                11,589,914
                
                
                
                21,097,030Cash
      and cash equivalents
                
                
                26,404,426
                
                
                
                27,614,107Certificates
      of deposit, at fair value
                
                
                3,728,731
                
                
                
                20,270,349Commercial
      paper, at fair value
                
                
                2,573,970
                
                
                
                8,458,676Government-sponsored
      enterprises, at fair value
                
                
                71,749,054
                
                
                
                22,731,032Interest
      receivable
                
                
                34,484
                
                
                
                81,634Total
      assets
                
                $
                116,080,579
                
                
                $
                100,252,828Liabilities
      and Shareholders’ EquityLiabilitiesBrokerage
      commission payable
                
                $
                327,555
                
                
                $
                258,428Accrued
      incentive fee
                
                
                396,993
                
                
                
                1,175,356Management
      fee payable
                
                
                —
                
                
                
                1,948Redemption
      payable
                
                
                115,343,975
                
                
                
                —Other
      payables
                
                
                12,056
                
                
                
                28,100Total
      liabilities
                
                
                116,080,579
                
                
                
                1,463,832Shareholders’
      equityClass
      GP
                
                
                —
                
                
                
                98,629,036Class
      A
                
                
                —
                
                
                
                159,960Total
      shareholders’ equity
                
                
                —
                
                
                
                98,788,996Total
      liabilities and shareholders’ equity
                
                $
                116,080,579
                
                
                $
                100,252,828
 
  
  
  
  
  The
accompanying notes are an integral part of these financial
statements.
   F-25
 Index
  DearbornSelect Master Fund, SPC – Winton Segregated
Portfolio
 Condensed
Schedule of Investments
 December 31,
2008
 (Expressed
in U.S. dollars)
  Unrealized
      gain/(loss) on open long contracts
                    
                    
                    Percent
      of Shareholders’ Equity*
                    
                    
                    Unrealized
      gain/(loss) on open short contracts
                    
                    
                    Percent
      of Shareholders’ Equity*
                    
                    
                    Net
      unrealized gain/(loss) on open
      contracts
                    
                    
                    Percent
      of Shareholders’ Equity*Futures
      Contacts**U.U.S.
      Futures Positions:Currencies
                    
                    $
                    198,481
                    
                    
                    
                    0.2
                    %
                    
                    $
                    (611,431
                    )
                    
                    
                    (0.5
                    )%
                    
                    $
                    (412,950
                    )
                    
                    
                    (0.3
                    )%Energy
                    
                    —
                    
                    
                    
                    ***
                    
                    
                    
                    40,428
                    
                    
                    
                    ***
                    
                    
                    
                    40,428
                    
                    
                    
                    ***Grains
                    
                    —
                    
                    
                    
                    ***
                    
                    
                    
                    (539,362
                    )
                    
                    
                    (0.5
                    )%
                    
                    
                    (539,362
                    )
                    
                    
                    (0.5
                    )%Interest
      rates
                    
                    
                    1,037,902
                    
                    
                    
                    0.9
                    %
                    
                    
                    —
                    
                    
                    
                    ***
                    
                    
                    
                    1,037,902
                    
                    
                    
                    0.9
                    %Meats
                    
                    
                    5,160
                    
                    
                    
                    ***
                    
                    
                    
                    25,800
                    
                    
                    
                    ***
                    
                    
                    
                    30,960
                    
                    
                    
                    ***Metals
                    
                    —
                    
                    
                    
                    ***
                    
                    
                    
                    (60,808
                    )
                    
                    
                    (0.1
                    )%
                    
                    
                    (60,808
                    )
                    
                    
                    (0.1
                    )%Soft
      commodities
                    
                    
                    2,290
                    
                    
                    
                    ***
                    
                    
                    
                    15,225
                    
                    
                    
                    ***
                    
                    
                    
                    17,515
                    
                    
                    
                    ***Stock
      indices
                    
                    
                    (3,540
                    )
                    
                    
                    ***
                    
                    
                    
                    (20,075
                    )
                    
                    
                    ***
                    
                    
                    
                    (23,615
                    )
                    
                    
                    ***Total
      U.S. Futures Positions
                    
                    
                    1,240,293
                    
                    
                    
                    
                    
                    
                    
                    (1,150,223
                    )
                    
                    
                    
                    
                    
                    
                    90,070Foreign
      Futures Positions:Energy
                    
                    $
                    12,585
                    
                    
                    
                    ***
                    
                    
                    $
                    17,810
                    
                    
                    
                    ***
                    
                    
                    $
                    30,395
                    
                    
                    
                    ***Grains
                    
                    —
                    
                    
                    
                    ***
                    
                    
                    
                    (1,188
                    )
                    
                    
                    ***
                    
                    
                    
                    (1,188
                    )
                    
                    
                    ***Interest
      rates
                    
                    
                    1,363,347
                    
                    
                    
                    1.2
                    %
                    
                    
                    (2,633
                    )
                    
                    
                    ***
                    
                    
                    
                    1,360,714
                    
                    
                    
                    1.2
                    %Metals
                    
                    
                    (71,206
                    )
                    
                    
                    (0.1
                    )%
                    
                    
                    528,609
                    
                    
                    
                    0.5
                    %
                    
                    
                    457,403
                    
                    
                    
                    0.4
                    %Soft
      commodities
                    
                    
                    45,705
                    
                    
                    
                    ***
                    
                    
                    
                    2,430
                    
                    
                    
                    ***
                    
                    
                    
                    48,135
                    
                    
                    
                    ***Stock
      indices
                    
                    —
                    
                    
                    
                    ***
                    
                    
                    
                    (26,569
                    )
                    
                    
                    ***
                    
                    
                    
                    (26,569
                    )
                    
                    
                    ***Total
      Foreign Futures Positions
                    
                    
                    1,350,431
                    
                    
                    
                    
                    
                    
                    
                    518,459
                    
                    
                    
                    
                    
                    
                    
                    1,868,890Total
      Futures Contracts
                    
                    $
                    2,590,724
                    
                    
                    
                    2.2
                    %
                    
                    $
                    (631,764
                    )
                    
                    
                    (0.5
                    )%
                    
                    $
                    1,958,960
                    
                    
                    
                    1.7
                    %
 
  *
                Represents
      the percent of shareholders’ equity on December 31, 2008 before
      redemption.**
                No
      individual futures and option contract position constituted greater than 5
      percent of shareholders’ equity.   Accordingly, the number
      of contracts and expiration dates are not
  presented.
 ***
              Represents
      less than 0.1% of shareholders’
equity.
  
 Certificates
      of depositFace Value
                
                Maturity Date
                
                Description
                
                Fair Value
                
                
                Percent
      of Shareholders’Equity*$
                3,000,000
                
                5/1/2009
                
                Comerica
      Bank, 1 month LIBOR plus 15 basis points
                
                $
                3,005,296
                
                
                
                2.6
                %240,000
                
                8/14/2009
                
                Amcore
      Bank, 3.5%
                
                
                241,120
                
                
                
                0.2
                %240,000
                
                11/12/2009
                
                Huntington
      National Bank, 4.0%
                
                
                241,250
                
                
                
                0.2
                %240,000
                
                11/17/2009
                
                Mercantile
      Bank of Michigan, 3.6%
                
                
                241,065
                
                
                
                0.2
                %Total
      Certificates of deposit
                
                $
                3,728,731
                
                
                
                3.2
                %
 
  *
                Represents
      the percent of shareholders’ equity on December 31, 2008 before
      redemption.
    The
accompanying notes are an integral part of these financial
statements
 F-26
 Index
  Dearborn
Select Master Fund, SPC — Winton Segregated Portfolio
 Condensed
Schedule of Investments (continued)
 December 31,
2008
 (Expressed
in U.S. dollars)
 
 Commercial
      paperFace Value
                                            
                                            Maturity
      Date
                                            
                                            Description
                                            
                                            Fair Value
                                            
                                            
                                            Percent
      of Shareholders’ Equity*$
                                            2,575,000
                                            
                                            1/9/2009
                                            
                                            Conoco
      Phillips Co., 1.8%
                                            
                                            $
                                            2,573,970
                                            
                                            
                                            
                                            2.2
                                            %Total
      Commercial paper
                                            
                                            $
                                            2,573,970
 _____________
 *
                Represents
      the percent of shareholders’ equity on December 31, 2008 before
      redemption.
 
 Government-sponsored
      enterprisesFace Value
                            
                            Maturity Date
                            
                            Description
                            
                            Fair Value
                            
                            
                            Percent
      of Shareholders’Equity*$
                            2,500,000
                            
                            1/2/2009
                            
                            Federal
      Home Loan Bank, 3.8%
                            
                            $
                            2,523,486
                            
                            
                            
                            2.2
                            %2,500,000
                            
                            1/2/2009
                            
                            Federal
      Farm Credit Bank, 3 month U.S. Treasury bill plus 82 basis points weekly
      reset
                            
                            
                            2,507,651
                            
                            
                            
                            2.2
                            %2,000,000
                            
                            1/14/2009
                            
                            Federal
      Home Loan Bank, 3 month LIBOR minus 20 basis points quarterly
      reset
                            
                            
                            2,020,272
                            
                            
                            
                            1.8
                            %2,500,000
                            
                            1/29/2009
                            
                            Fannie
      Mae Discount Note, 2.3%
                            
                            
                            2,495,625
                            
                            
                            
                            2.2
                            %2,000,000
                            
                            2/24/2009
                            
                            Freddie
      Mac Discount Note, 2.6%
                            
                            
                            1,992,230
                            
                            
                            
                            1.7
                            %2,500,000
                            
                            3/20/2009
                            
                            Federal
      Home Loan Bank Discount Note, 2.9%
                            
                            
                            2,484,833
                            
                            
                            
                            2.2
                            %2,000,000
                            
                            4/1/2009
                            
                            Farmer
      Mac, 2.3%
                            
                            
                            2,010,930
                            
                            
                            
                            1.7
                            %2,000,000
                            
                            4/7/2009
                            
                            Freddie
      Mac, 2.4%
                            
                            
                            2,011,228
                            
                            
                            
                            1.7
                            %2,500,000
                            
                            4/15/2009
                            
                            Federal
      Home Loan Bank Discount Note, 3.0%
                            
                            
                            2,479,345
                            
                            
                            
                            2.2
                            %2,000,000
                            
                            4/17/2009
                            
                            Federal
      Home Loan Discount Note, 3.2%
                            
                            
                            1,981,744
                            
                            
                            
                            1.7
                            %2,500,000
                            
                            4/24/2009
                            
                            Federal
      Home Loan Bank, 1 month LIBOR minus 8 basis points monthly
      reset
                            
                            
                            2,499,586
                            
                            
                            
                            2.2
                            %2,000,000
                            
                            4/24/2009
                            
                            Farmer
      Mac, 2.3%
                            
                            
                            2,008,561
                            
                            
                            
                            1.7
                            %2,500,000
                            
                            4/30/2009
                            
                            Federal
      Home Loan Bank 2.6%
                            
                            
                            2,511,120
                            
                            
                            
                            2.2
                            %2,500,000
                            
                            4/27/2009
                            
                            Federal
      Home Loan Bank Discount Note, 2.8%
                            
                            
                            2,477,445
                            
                            
                            
                            2.2
                            %2,000,000
                            
                            5/13/2009
                            
                            Fannie
      Mae Discount Note, 1.2%
                            
                            
                            1,991,200
                            
                            
                            
                            1.7
                            %2,500,000
                            
                            5/11/2009
                            
                            Federal
      Home Loan Bank Discount Note, 3.0%
                            
                            
                            2,473,819
                            
                            
                            
                            2.1
                            %1,000,000
                            
                            5/18/2009
                            
                            Federal
      Home Loan Bank, 1.7%
                            
                            
                            993,531
                            
                            
                            
                            0.9
                            %3,000,000
                            
                            5/20/2009
                            
                            Federal
      Home Loan Bank, 3 month LIBOR minus 18 basis points quarterly
      reset
                            
                            
                            3,006,806
                            
                            
                            
                            2.6
                            %2,000,000
                            
                            5/20/2009
                            
                            Federal
      Home Loan Bank Discount Note, 1.4%
                            
                            
                            1,989,575
                            
                            
                            
                            1.7
                            %2,000,000
                            
                            6/30/2009
                            
                            Federal
      Home Loan Bank, 3.0%
                            
                            
                            2,000,167
                            
                            
                            
                            1.7
                            %2,500,000
                            
                            8/20/2009
                            
                            Federal
      Home Loan Bank, 3.1%
                            
                            
                            2,527,292
                            
                            
                            
                            2.2
                            %2,000,000
                            
                            7/14/2009
                            
                            Federal
      Home Loan Bank, 3.2%
                            
                            
                            2,029,189
                            
                            
                            
                            1.8
                            %1,500,000
                            
                            10/5/2009
                            
                            Federal
      Home Loan Bank, 3 month LIBOR minus 4 basis points quarterly
      reset
                            
                            
                            1,518,666
                            
                            
                            
                            1.3
                            %2,500,000
                            
                            10/19/2009
                            
                            Freddie
      Mac, 1 month LIBOR minus 6 basis points monthly reset
                            
                            
                            2,500,315
                            
                            
                            
                            2.2
                            %2,000,000
                            
                            11/25/2009
                            
                            Freddie
      Mac, 2.1%
                            
                            
                            2,004,083
                            
                            
                            
                            1.7
                            %2,000,000
                            
                            12/1/2009
                            
                            Federal
      Home Loan Bank, 2.0%
                            
                            
                            2,003,333
                            
                            
                            
                            1.7
                            %3,500,000
                            
                            12/15/2009
                            
                            Federal
      Home Loan Bank, 1.8%
                            
                            
                            3,502,862
                            
                            
                            
                            3.0
                            %3,500,000
                            
                            12/16/2009
                            
                            Freddie
      Mac, 1.9%
                            
                            
                            3,502,771
                            
                            
                            
                            3.0
                            %5,000,000
                            
                            12/30/2009
                            
                            Farmer
      Mac, 1.0%
                            
                            
                            5,000,138
                            
                            
                            
                            4.3
                            %2,700,000
                            
                            2/19/2010
                            
                            Federal
      Home Loan Bank, 3 month LIBOR minus 3.5 basis points
                            
                            
                            2,701,251
                            
                            
                            
                            2.4
                            %Total
      Government-sponsored enterprises
                            
                            $
                            71,749,054
                            
                            
                            
                            62.2
                            %
 _____________
 *
                Represents
      the percent of shareholders’ equity on December 31, 2008 before
      redemption.
  
 F-27
 Index
 
 Dearborn
Select Master Fund, SPC — Winton Segregated Portfolio
 Condensed
Schedule of Investments (continued)
 December 31,
2008
 (Expressed
in U.S. dollars)
  U.S.
      Government Securities**Face Value
                                          
                                          Maturity
      Date
                                          
                                          Description
                                          
                                          Fair Value
                                          
                                          
                                          Percent
      of Shareholders’ Equity*$
                                          3,000,000
                                          
                                          6/4/2009
                                          
                                          U.S.
      Treasury bills, 0.2% (cost $2,996,562)
                                          
                                          $
                                          2,998,799
                                          
                                          
                                          
                                          2.6
                                          %Total
      U.S. Government Securities
                                          
                                          $
                                          2,998,799
 _____________
 *
                Represents
      the percent of shareholders’ equity on December 31, 2008 before
      redemption.
 **
                Pledged
      as collateral for the trading of futures, forward and option
      contracts.
   The
accompanying notes are an integral part of these financial
statements
 
 F-28
 Index
 
 DearbornSelect Master Fund, SPC- Winton Segregated
Portfolio
 Condensed
Schedule of Investments
 December 31,
2007
 (Expressed
in U.S. dollars)
  Unrealized gain/(loss) on open long contracts
                        
                        
                        Percent of Shareholders’ Equity
                        
                        
                        Unrealized gain/(loss) on open short contracts
                        
                        
                        Percent of Shareholders’ Equity
                        
                        
                        Net unrealized gain/(loss) on open
      contracts
                        
                        
                        Percent of Shareholders’ EquityFutures
      Contacts*U.U.S.
      Futures Positions:Currencies
                        
                        $
                        77,274
                        
                        
                        
                        0.1
                        %
                        
                        $
                        (34,803
                        )
                        
                        
                        **
                        
                        
                        $
                        42,471
                        
                        
                        
                        **Energy
                        
                        
                        339,275
                        
                        
                        
                        0.3
                        %
                        
                        
                        (72,290
                        )
                        
                        
                        (0.1
                        )%
                        
                        
                        266,985
                        
                        
                        
                        0.3
                        %Grains
                        
                        
                        1,015,644
                        
                        
                        
                        1.0
                        %
                        
                        
                        —
                        
                        
                        
                        **
                        
                        
                        
                        1,015,644
                        
                        
                        
                        1.0
                        %Interest
      rates
                        
                        
                        (102,891
                        )
                        
                        
                        (0.1
                        )%
                        
                        
                        —
                        
                        
                        
                        **
                        
                        
                        
                        (102,891
                        )
                        
                        
                        (0.1
                        )%Meats
                        
                        
                        (13,028
                        )
                        
                        
                        **
                        
                        
                        
                        32,560
                        
                        
                        
                        **
                        
                        
                        
                        19,532
                        
                        
                        
                        **Metals
                        
                        
                        390,270
                        
                        
                        
                        0.4
                        %
                        
                        
                        —
                        
                        
                        
                        **
                        
                        
                        
                        390,270
                        
                        
                        
                        0.4
                        %Soft
      commodities
                        
                        
                        3,065
                        
                        
                        
                        **
                        
                        
                        
                        (170,296
                        )
                        
                        
                        (0.2
                        )%
                        
                        
                        (167,231
                        )
                        
                        
                        (0.2
                        )%Stock
      indices
                        
                        
                        (123,104
                        )
                        
                        
                        (0.1
                        )%
                        
                        
                        —
                        
                        
                        
                        **
                        
                        
                        
                        (123,104
                        )
                        
                        
                        (0.1
                        )%Total
      U.S. Futures Positions
                        
                        
                        1,586,505
                        
                        
                        
                        
                        
                        
                        
                        (244,829
                        )
                        
                        
                        
                        
                        
                        
                        1,341,676Foreign
      Futures Positions:Energy
                        
                        $
                        170,530
                        
                        
                        
                        0.2
                        %
                        
                        
                        —
                        
                        
                        
                        **
                        
                        
                        
                        170,530
                        
                        
                        
                        0.2
                        %Interest
      rates
                        
                        
                        (132,569
                        )
                        
                        
                        (0.1
                        )%
                        
                        
                        (39,128
                        )
                        
                        
                        **
                        
                        
                        
                        (171,697
                        )
                        
                        
                        (0.2
                        )%Metals
                        
                        
                        (620,144
                        )
                        
                        
                        (0.6
                        )%
                        
                        
                        316,710
                        
                        
                        
                        0.3
                        %
                        
                        
                        (303,434
                        )
                        
                        
                        (0.3
                        )%Soft
      commodities
                        
                        
                        3,420
                        
                        
                        
                        **
                        
                        
                        
                        (11,605
                        )
                        
                        
                        **
                        
                        
                        
                        (8,185
                        )
                        
                        
                        **Stock
      indices
                        
                        
                        203,780
                        
                        
                        
                        0.2
                        %
                        
                        
                        17,722
                        
                        
                        
                        **
                        
                        
                        
                        221,502
                        
                        
                        
                        0.2
                        %Total
      Foreign Futures Positions
                        
                        
                        (374,983
                        )
                        
                        
                        
                        
                        
                        
                        283,699
                        
                        
                        
                        
                        
                        
                        
                        (91,284
                        )Total
      Futures Contracts
                        
                        $
                        1,211,522
                        
                        
                        
                        1.2
                        %
                        
                        $
                        38,870
                        
                        
                        
                        **
                        
                        
                        $
                        1,250,392
                        
                        
                        
                        1.3
                        %
 _____________
 *
                No
      individual futures and option contract position constituted greater than 5
      percent of shareholders’ equity.   Accordingly, the number
      of contracts and expiration dates are not
  presented.
 **
                Represents
      less than 0.1% of shareholders’
equity.
  
  Certificates
      of depositFace Value
                  
                  Maturity Date
                  
                  Description
                  
                  Fair Value
                  
                  
                  Percent
      of Shareholders’Equity$
                  3,000,000
                  
                  1/7/2008
                  
                  Abbey
      National Bank, 5.3%
                  
                  $
                  3,079,506
                  
                  
                  
                  3.1
                  %3,000,000
                  
                  2/7/2008
                  
                  Wilmington
      Trust, 5.3%
                  
                  
                  3,064,435
                  
                  
                  
                  3.1
                  %2,500,000
                  
                  4/28/2008
                  
                  Comerica
      Bank, 4.7%
                  
                  
                  2,521,868
                  
                  
                  
                  2.5
                  %5,000,000
                  
                  6/5/2008
                  
                  Associated
      Bank, 3 month LIBOR less 4 basis points
                  
                  
                  5,019,162
                  
                  
                  
                  5.1
                  %1,500,000
                  
                  6/20/2008
                  
                  Washington
      Mutual Bank, 5.4%
                  
                  
                  1,543,631
                  
                  
                  
                  1.6
                  %3,000,000
                  
                  7/28/2008
                  
                  Regions
      Bank, 4.7%
                  
                  
                  3,026,158
                  
                  
                  
                  3.1
                  %2,000,000
                  
                  11/3/2008
                  
                  Marshall
      & Ilsley Bank, 4.6%
                  
                  
                  2,015,589
                  
                  
                  
                  2.0
                  %Total
      Certificates of deposit
                  
                  $
                  20,270,349
                  
                  
                  
                  20.5
                  %
 
  The
accompanying notes are an integral part of these financial
statements.
  
 F-29
 Index
  Dearborn
Select Master Fund, SPC — Winton Segregated Portfolio
 Condensed
Schedule of Investments (Continued)
 December 31,
2007
 (Expressed
in U.S. dollars)
 Commercial
      paperFace Value
                  
                  Maturity
      Date
                  
                  Description
                  
                  Fair Value
                  
                  
                  Percent
      of Shareholders’ Equity$
                  2,000,000
                  
                  1/10/2008
                  
                  Progress
      Energy Co., 5.5%
                  
                  $
                  1,997,335
                  
                  
                  
                  2.0
                  %3,500,000
                  
                  2/8/2008
                  
                  Zions
      Banc Corp., 5.2%
                  
                  
                  3,481,491
                  
                  
                  
                  3.5
                  %3,000,000
                  
                  2/22/2008
                  
                  GE
      Capital, 4.8%
                  
                  
                  2,979,850
                  
                  
                  
                  3.0
                  %Total
      Commercial paper
                  
                  $
                  8,458,676
                  
                  
                  
                  8.5
                  %
 
  Government-sponsored
      enterprisesFace Value
                  
                  Maturity Date
                  
                  Description
                  
                  Fair Value
                  
                  
                  Percent
      of Shareholders’ Equity$
                  2,000,000
                  
                  6/15/2008
                  
                  Fannie
      Mae, 5.3%
                  
                  $
                  2,004,289
                  
                  
                  
                  2.0
                  %3,500,000
                  
                  7/16/2008
                  
                  Federal
      Home Loan Bank, 5.3%
                  
                  
                  3,585,502
                  
                  
                  
                  3.6
                  %3,000,000
                  
                  8/1/2008
                  
                  Farmer
      Mac, 5.3%
                  
                  
                  3,066,692
                  
                  
                  
                  3.1
                  %3,000,000
                  
                  10/8/2008
                  
                  Farmer
      Mac, 4.7%
                  
                  
                  3,031,333
                  
                  
                  
                  3.1
                  %1,000,000
                  
                  10/30/2008
                  
                  Federal
      Home Loan Bank, 4.5%
                  
                  
                  1,007,500
                  
                  
                  
                  1.0
                  %3,000,000
                  
                  11/19/2008
                  
                  Federal
      Home Loan Bank, 4.6%
                  
                  
                  3,016,188
                  
                  
                  
                  3.1
                  %3,000,000
                  
                  11/24/2008
                  
                  Federal
      Home Loan Bank, 1 year constant maturity plus 65 basis
    points
                  
                  
                  3,002,328
                  
                  
                  
                  3.1
                  %2,000,000
                  
                  11/28/2008
                  
                  Federal
      Home Loan Bank, 4.6%
                  
                  
                  2,008,342
                  
                  
                  
                  2.0
                  %2,000,000
                  
                  12/1/2008
                  
                  Federal
      Home Loan Bank, 3 month LIBOR minus 23 basis points quarterly
      reset
                  
                  
                  2,008,858
                  
                  
                  
                  2.0
                  %Total
      Government-sponsored enterprises
                  
                  $
                  22,731,032
                  
                  
                  
                  23.0
                  %
 
 
 U.S.
      Government Securities***Face Value
                                  
                                  Maturity
      Date
                                  
                                  Description
                                  
                                  Fair Value
                                  
                                  
                                  Percent
      of Shareholders’ Equity$
                                  12,500,000
                                  
                                  1/31/2008
                                  
                                  U..S.
      Treasury bills, 2.7% (cost $12,466,751)
                                  
                                  $
                                  12,469,108
                                  
                                  
                                  
                                  12.6
                                  %Total
      U.S. Government Securities
                                  
                                  $
                                  12,469,108
 _____________
 ***
                Pledged
      as collateral for the trading of futures, forward and option
      contracts.
   The
accompanying notes are an integral part of these financial
statements.
  
 F-30
 Index
 
 DearbornSelect Master Fund, SPC — Winton
Segregated Portfolio
 Statements
of Operations
 Year
ended December 31, 2008 and the Period from June 1, 2007 (commencement of
operations) through December 31, 2007
 (Expressed
in U.S. dollars)
  2008
                                                                      
                                                                      
                                                                      2007Investment
      IncomeInterest
                                                                      
                                                                      $
                                                                      3,041,789
                                                                      
                                                                      
                                                                      $
                                                                      2,547,579ExpensesBrokerage
      commissions
                                                                      
                                                                      
                                                                      3,694,647
                                                                      
                                                                      
                                                                      
                                                                      1,767,930Management
      fees
                                                                      
                                                                      
                                                                      3,992
                                                                      
                                                                      
                                                                      
                                                                      1,948Incentive
      fees
                                                                      
                                                                      
                                                                      4,834,298
                                                                      
                                                                      
                                                                      
                                                                      2,662,490Total
      Expenses
                                                                      
                                                                      
                                                                      8,532,937
                                                                      
                                                                      
                                                                      
                                                                      4,432,368Net
      investment loss
                                                                      
                                                                      
                                                                      (5,491,148
                                                                      )
                                                                      
                                                                      
                                                                      (1,884,789
                                                                      )Trading
      gainsRealized
      gains from trading
                                                                      
                                                                      
                                                                      23,467,613
                                                                      
                                                                      
                                                                      
                                                                      10,066,605Change
      in unrealized gains from trading
                                                                      
                                                                      
                                                                      (1,250,392
                                                                      )
                                                                      
                                                                      
                                                                      1,250,392Total
      trading gains
                                                                      
                                                                      
                                                                      22,217,221
                                                                      
                                                                      
                                                                      
                                                                      11,316,997Increase
      in net assets arising from operations
                                                                      
                                                                      $
                                                                      16,726,073
                                                                      
                                                                      
                                                                      $
                                                                      9,432,208
 
 The
accompanying notes are an integral part of these financial
statements.
  
 F-31
 Index
 
 DearbornSelect Master Fund, SPC — Winton
Segregated Portfolio
 Statements
of Cash Flows
 Year
ended December 31, 2008 and the Period from June 1, 2007 (commencement of
operations) through December 31, 2007
 (Expressed
in U.S. dollars)
 
 2008
                        
                        
                        2007Cash
      Flows Used In Operating ActivitiesIncrease
      in net assets arising from operations
                        
                        $
                        16,726,073
                        
                        
                        $
                        9,432,208Adjustments
      to reconcile net increase in net assets arising from operations to cash
      used in operating activitiesNet
      purchases of investments in U.S. Government securities
                        
                        
                        9,470,309
                        
                        
                        
                        (12,469,108
                        )Net
      change in unrealized gain on open futures contracts, net
                        
                        
                        (708,568
                        )
                        
                        
                        (1,250,392
                        )Net
      sales (purchases) of investments in Certificates of
deposit
                        
                        
                        16,541,618
                        
                        
                        
                        (20,270,349
                        )Net
      sales (purchases) of investments in Commercial paper
                        
                        
                        5,884,706
                        
                        
                        
                        (8,458,676
                        )Net
      purchases of investments in Government-sponsored
    enterprises
                        
                        
                        (49,018,022
                        )
                        
                        
                        (22,731,032
                        )Decrease
      (Increase) in interest receivable
                        
                        
                        47,150
                        
                        
                        
                        (81,634
                        )Increase
      in brokerage commission payable
                        
                        
                        69,127
                        
                        
                        
                        258,428(Decrease)
      Increase in accrued incentive fees
                        
                        
                        (778,363
                        )
                        
                        
                        1,175,356(Decrease)
      Increase in management fee payable
                        
                        
                        (1,948
                        )
                        
                        
                        1,948Increase
      in redemption payable
                        
                        
                        115,343,975
                        
                        
                        
                        —(Decrease)
      Increase in other payables
                        
                        
                        (16,044
                        )
                        
                        
                        28,100Net
      cash used in operating activities
                        
                        
                        113,560,013
                        
                        
                        
                        (54,365,151
                        )Cash
      Flows Provided by Financing ActivitiesProceeds
      from issuance of shares
                        
                        
                        —
                        
                        
                        
                        89,356,788Payments
      for redemptions of shares
                        
                        
                        (115,515,069
                        )
                        
                        
                        —Net
      cash provided by financing activities
                        
                        
                        (115,515,069
                        )
                        
                        
                        89,356,788Net
      increase (decrease) in cash and cash equivalents
                        
                        
                        (1,955,056
                        )
                        
                        
                        34,991,637Cash
      and cash equivalentsBeginning
      of year
                        
                        
                        34,991,637
                        
                        
                        
                        —End
      of year
                        
                        $
                        33,036,581
                        
                        
                        $
                        34,991,637End
      of year cash and cash equivalents consists of:Cash
      in broker trading accounts
                        
                        $
                        6,632,155
                        
                        
                        $
                        7,377,530Cash
      and cash equivalents
                        
                        
                        26,404,426
                        
                        
                        
                        27,614,107Total
      end of year cash and cash equivalents
                        
                        $
                        33,036,581
                        
                        
                        $
                        34,991,637
   The
accompanying notes are an integral part of these financial
statements.
  
 F-32
 Index
 
 DearbornSelect Master Fund, SPC — Winton
Segregated Portfolio
 Statements
of Changes in Shareholders’ Equity
 Year
ended December 31, 2008 and the Period from June 1, 2007 (commencement of
operations) through December 31, 2007
 (Expressed
in U.S. dollars)
   Class
      GP
                    
                    
                    Class
      ANumber
      of Shares
                    
                    
                    Share
      Capital
                    
                    
                    Share
      Premium
                    
                    
                    Accumulated
      Surplus/ (Deficit)
                    
                    
                    Class
      GP Total
                    
                    
                    Number
      of Shares
                    
                    
                    Share
      Capital
                    
                    
                    Share
      Premium
                    
                    
                    Accumulated
      Surplus/ (Deficit)
                    
                    
                    Class
      A Total
                    
                    
                    TotalBalance
      — beginning *
                    
                    
                    —
                    
                    
                    $
                    —
                    
                    
                    $
                    —
                    
                    
                    $
                    —
                    
                    
                    $
                    —
                    
                    
                    
                    —
                    
                    
                    $
                    —
                    
                    
                    $
                    —
                    
                    
                    $
                    —
                    
                    
                    $
                    —
                    
                    
                    $
                    —Proceeds
      on subscription of shares
                    
                    
                    89,211.59
                    
                    
                    
                    892
                    
                    
                    
                    89,210,696
                    
                    
                    
                    —
                    
                    
                    
                    89,211,588
                    
                    
                    
                    145.20
                    
                    
                    
                    1
                    
                    
                    
                    145,199
                    
                    
                    
                    —
                    
                    
                    
                    145,200
                    
                    
                    
                    89,356,788Payments
      on redemption of shares
                    
                    
                    —
                    
                    
                    
                    —
                    
                    
                    
                    —
                    
                    
                    
                    —
                    
                    
                    
                    —
                    
                    
                    
                    —
                    
                    
                    
                    —
                    
                    
                    
                    —
                    
                    
                    
                    —
                    
                    
                    
                    —Net
      gain
                    
                    
                    —
                    
                    
                    
                    —
                    
                    
                    
                    —
                    
                    
                    
                    9,417,448
                    
                    
                    
                    9,417,448
                    
                    
                    
                    —
                    
                    
                    
                    —
                    
                    
                    
                    —
                    
                    
                    
                    14,760
                    
                    
                    
                    14,760
                    
                    
                    
                    9,432,208Balance
      - December 31, 2007
                    
                    
                    89,211.59
                    
                    
                    
                    892
                    
                    
                    
                    89,210,696
                    
                    
                    
                    9,417,448
                    
                    
                    
                    98,629,036
                    
                    
                    
                    145.20
                    
                    
                    
                    1
                    
                    
                    
                    145,199
                    
                    
                    
                    14,760
                    
                    
                    
                    159,960
                    
                    
                    $
                    98,788,996Proceeds
      on subscription of shares
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    —
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    —Payments
      on redemption of shares
                    
                    
                    (89,211.59
                    )
                    
                    
                    (892
                    )
                    
                    
                    (89,210,696
                    )
                    
                    
                    (26,132,387
                    )
                    
                    
                    (115,343,975
                    )
                    
                    
                    (145.20
                    )
                    
                    
                    (1
                    )
                    
                    
                    (145,199
                    )
                    
                    
                    (25,894
                    )
                    
                    
                    (171,094
                    )
                    
                    
                    (115,515,069
                    )Net
      gain
                    
                    
                    —
                    
                    
                    
                    —
                    
                    
                    
                    —
                    
                    
                    
                    16,714,939
                    
                    
                    
                    16,714,939
                    
                    
                    
                    —
                    
                    
                    
                    —
                    
                    
                    
                    —
                    
                    
                    
                    11,134
                    
                    
                    
                    11,134
                    
                    
                    
                    16,726,073Balance
      - December 31, 2008
                    
                    
                    —
                    
                    
                    $
                    —
                    
                    
                    $
                    —
                    
                    
                    $
                    —
                    
                    
                    $
                    —
                    
                    
                    
                    —
                    
                    
                    $
                    —
                    
                    
                    $
                    —
                    
                    
                    $
                    —
                    
                    
                    $
                    —
                    
                    
                    $
                    —Net
      asset value per share at December 31, 2007
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    $
                    1,105.56
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    $
                    1,101.65Net
      asset value per share at December 31, 2008
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    $
                    —
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    
                    $
                    —
 _______________
 *
                  Commencement
      of operations of Class GP was June 1, 2007 and Class A was August 1,
      2007.
  The
accompanying notes are an integral part of these financial
statements.
  F-33
 Index
  DearbornSelect Master Fund, SPC — Winton Segregated
Portfolio
 Notes
to Financial Statements
  NOTE
1.  ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
  Organization:  Dearborn
Select Master Fund, SPC (the “Master Fund”) was formed in April 2006 and is an
exempt segregated portfolio company with limited liability incorporated under
the Companies Law (2004 Revision) of the Cayman Islands.  The Master
Fund commenced operations on June 16, 2006.  The Master Fund’s
strategy is to achieve capital appreciation of its assets through the investment
and speculative trading of futures contracts, options on futures contracts,
foreign currency and forward contracts, swaps and derivative contracts by
independent trading advisors.
  The
Master Fund offers shares of various segregated portfolios, each of which may
use different investment trading methods and strategies as well as different
products.  Dearborn Capital Management, L.L.C. (the “Investment
Manager”) serves as investment manager and manages the Master Fund’s assets
pursuant to its trading methods and strategies.
  Winton
Segregated Portfolio is a segregated portfolio of the Master Fund and
commenced operations on June 1, 2007.  At December 31, 2008
the Master Fund had no shareholders. At December 31, 2007, Winton
Segregated Portfolio had two shareholders, Dearborn Select Fund, Limited
Partnership (“Dearborn Select”) and Grant Park Futures Fund Limited Partnership
(“Grant Park”).
  The
Investment Manager allocated to the Winton Segregated Portfolio which traded in
accordance with Winton’s Diversified Program.  The investment
technique of Winton’s Diversified Program consists of trading a portfolio of
more than 100 futures and forward contracts on major commodity exchanges and
forward markets worldwide, employing a computerized, technical, trend-following
trading system developed by its principals.
  Significant
accounting policies are as follows:
  Use of
estimates:  The preparation of financial statements in
conformity with generally accepted accounting principles requires management to
make estimates and assumptions that affect the amounts of assets and liabilities
and disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period.  Actual results could differ from those
estimates.
  Cash and cash
equivalents:  Cash and cash equivalents include cash and
short-term investments in interest-bearing demand deposits with banks with
maturities of three months or less.  Winton Segregated Portfolio
maintains deposits with high quality financial institutions in amounts that are
in excess of federally insured limits; however, Winton Segregated Portfolio does
not believe it is exposed to any significant credit risk.
  Revenue
recognition:  Futures, options on futures, and forward
contracts are recorded on a trade date basis and realized gains or losses are
recognized when contracts are liquidated.  Unrealized gains or losses
on open contracts (the difference between contract trade price and market price)
are reported in the 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 Financial Accounting Standards Board (“FASB”) Interpretation
No. 39, Offsetting of
Amounts Related to Certain Contracts.  Any change in net
unrealized gain or loss from the preceding period is reported in the statement
of operations.
  Recently adopted accounting
pronouncements:  In September 2006, the FASB issued Statement
of Financial Accounting Standards No. 157, Fair Value Measurements (“SFAS No.
157”).  SFAS No. 157
 
 F-34
 Index
 
 Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio
 Notes
to Financial Statements
  NOTE
1.  ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
(continued)
 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.  SFAS
No. 157 is effective for fiscal years beginning after November 15, 2007, except
for nonfinancial assets and nonfinancial liabilities that are recognized or
disclosed at fair value in the financial statements on a nonrecurring basis for
which delayed application is permitted until fiscal years beginning after
November 15, 2008.  The adoption of SFAS No. 157 was effective for
Winton Segregated Portfolio on January 1, 2008, and did not impact Winton
Segregated Portfolio’s financial position, results of operations or cash
flows.
 
 SFAS No.
157 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 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 under SFAS 157 as assumptions market participants would use in
pricing an asset or liability. The three levels of the fair value hierarchy
under SFAS 157 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 are unobservable for the asset or liability.
 
 The
following section describes the valuation techniques used by Winton Segregated
Portfolio to measure different financial instruments at fair value and includes
the level within the fair value hierarchy in which the financial instrument is
categorized.
 
 Fair value of exchange-traded contracts
is based upon exchange settlement prices.  U.S. Government securities,
Government-sponsored enterprises and commercial paper are stated at cost plus
accrued interest, which approximates fair value.  These financial
instruments are classified in Level 1 of the fair value hierarchy.
 
 Certificates
of deposit are stated at cost plus accrued interest, which approximates fair
value.  These financial instruments are classified in Level 2 of the
fair value hierarchy.
 
 The following table
presents Winton Segregated Portfolio’s fair value hierarchy for those assets and
liabilities measured at fair value on a recurring basis as of December 31,
2008:
   F-35
 Index
 
 Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio
 Notes
to Financial Statements
  NOTE
1.  ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
(continued)
  Assets
                                            
                                            Level
      1
                                            
                                            
                                            Level
      2
                                            
                                            
                                            Level
      3
                                            
                                            
                                            TotalEquity
      in brokers’ trading accountsU.S.
      Government securities
                                            
                                            $
                                            2,998,799
                                            
                                            
                                            $
                                            —
                                            
                                            
                                            $
                                            —
                                            
                                            
                                            $
                                            2,998,799Futures
      contracts
                                            
                                            
                                            1,958,960
                                            
                                            
                                            
                                            —
                                            
                                            
                                            
                                            —
                                            
                                            
                                            
                                            1,958,960Cash
      and cash equivalentsCertificates
      of deposit
                                            
                                            
                                            —
                                            
                                            
                                            
                                            12,456,183
                                            
                                            
                                            
                                            —
                                            
                                            
                                            
                                            12,456,183Commercial
      paper
                                            
                                            
                                            12,450,226
                                            
                                            
                                            
                                            —
                                            
                                            
                                            
                                            —
                                            
                                            
                                            
                                            12,450,226Government-sponsored
      enterprises
                                            
                                            
                                            1,498,017
                                            
                                            
                                            
                                            —
                                            
                                            
                                            
                                            —
                                            
                                            
                                            
                                            1,498,017Certificates
      of deposit
                                            
                                            
                                            —
                                            
                                            
                                            
                                            3,728,731
                                            
                                            
                                            
                                            —
                                            
                                            
                                            
                                            3,728,731Commercial
      paper
                                            
                                            
                                            2,573,970
                                            
                                            
                                            
                                            —
                                            
                                            
                                            
                                            —
                                            
                                            
                                            
                                            2,573,970Government-sponsored
      enterprises
                                            
                                            
                                            71,749,054
                                            
                                            
                                            
                                            —
                                            
                                            
                                            
                                            —
                                            
                                            
                                            
                                            71,749,054
  In April
2007 the FASB issued Interpretation No. 39-1, Amendment of FASB Interpretation
No. 39 (“FIN 39-1”).  FIN 39-1 defines “right of setoff” and specifies what
conditions must be met for a derivative contract to qualify for this right of
setoff.  It also addresses the applicability of a right of setoff to
derivative instruments and clarifies the circumstances in which it is
appropriate to offset amounts recognized for multiple derivative instruments
executed with the same counterparty under a master netting arrangement and fair
value amounts recognized for the right to reclaim cash collateral (a receivable)
or the obligation to return cash collateral (a payable) arising from the same
master netting arrangement as the derivative instruments.  This
interpretation is effective for fiscal years beginning after November 15,
2007.  The adoption of FIN 39-1 did not have a material impact on Winton
Segregated Portfolio’s financial statements.
 
 NOTE
2.  COMMODITY TRADING ADVISOR
  The
Master Fund has entered into an advisory contract for itself and on behalf of
the Winton Segregated Portfolio with Winton Capital Management (the “Advisor”)
to act as the Winton Segregated Portfolio’s commodity trading
advisor.  The Investment Manager will pay the Advisor out of the
brokerage commission a management fee for the Advisor’s services to the Winton
Segregated Portfolio in accordance with the Offering Memorandum.  The
brokerage commission fee is earned at a rate of 3.5% and is included on the
statement of operations.
  Additionally,
the Advisor receives a quarterly incentive fee based upon a percentage of new
trading profits on the allocated net assets of the Advisor and such incentive
fee is included on the statement of operations.
  NOTE
3.  INCOME TAXES
  Under the current law of the Cayman
Islands, there are no income, withholding, capital, corporation, inheritance or
estate taxes.  The Winton Segregated Portfolio may not be exempt from
withholding tax on dividend and interest income received from its investments in
other jurisdictions.
  NOTE
4.  DEPOSITS WITH BROKER
  Winton Segregated Portfolio deposits
assets with a broker subject to Commodity Futures Trading Commission (“CFTC”)
regulations and various exchange and broker requirements.  Margin
requirements are satisfied by the deposit of U.S. treasury bills and cash with
such broker.  Winton Segregated Portfolio earns interest income on its
assets deposited with the broker.
   F-36
 Index
  Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio
 Notes
to Financial Statements
  NOTE
5.  SHAREHOLDER’S EQUITY
  The
Master Fund has authorized share capital of $50,000, divided into 10 shares of
voting, non-participating shares (the “Management Shares”) having a par value of
$1 per share and 49,990 redeemable, non-voting participating shares (the
“Shares”) having a par value of $0.01 per share, which are divided into multiple
separate and distinct segregated portfolios.  Each portfolio may have
differing investment or trading methods and strategies, and may be subject to
differing rights and obligations.
  A
shareholder may redeem part of or all of his shares in the Master Fund on any
day on one business day’s notice.  No redemption fees or penalties
will be assessed on redemptions.  The Master Fund has the right to
temporarily suspend the right of redemption if it suspends the determination of
its net asset value (NAV) per share.
  NOTE
6.  REDEMPTIONS
  The
Winton Segregated Portfolio Class A ceased operations on September 30, 2008 and
the final redemption payment of $171,093 was made on November 13,
2008.  The Winton Segregated Portfolio Class GP ceased operations on
December 31, 2008, and the redemption payable on the statement of financial
condition represents the net assets as of such date.  Effective
January 1, 2009, the net assets were reallocated to GP 1, LLC, an affiliated
trading company of Grant Park.
  NOTE
7.  FINANCIAL HIGHLIGHTS
  Per share operating performance, total
return and selected ratios for Class GP for the year ended December 31, 2008 and
the period from June 1, 2007 through December 31, 2007, and for Class A for the
period from January 1, 2008 through September 30, 2008 and the period from
August 1, 2007 through December 31, 2007, are provided in the tables
below.  The ratios to average net assets have not been annualized for
the periods presented.
  Winton Segregated PortfolioClass GP
                      
                      
                      Class A2007Total
      return
                      
                      
                      10.56
                      %
                      
                      
                      10.17
                      %Ratios
      to average net assets:Interest
      income
                      
                      
                      2.73
                      %
                      
                      
                      1.93
                      %Expenses
      prior to incentive fees
                      
                      
                      1.90
                      %
                      
                      
                      1.27
                      %Incentive
      fees
                      
                      
                      2.85
                      %
                      
                      
                      2.57
                      %Total
      expenses
                      
                      
                      4.75
                      %
                      
                      
                      3.84
                      %Net
      investment income*
                      
                      
                      0.83
                      %
                      
                      
                      0.66
                      %2008Total
      return
                      
                      
                      16.95
                      %
                      
                      
                      6.96
                      %Ratios
      to average net assets:Interest
      income
                      
                      
                      2.80
                      %
                      
                      
                      2.21
                      %Expenses
      prior to incentive fees
                      
                      
                      3.40
                      %
                      
                      
                      2.28
                      %Incentive
      fees
                      
                      
                      4.45
                      %
                      
                      
                      4.07
                      %Total
      expenses
                      
                      
                      7.85
                      %
                      
                      
                      6.35
                      %Net
      investment (loss)*
                      
                      
                      (0.60
                      )%
                      
                      
                      (0.07
                      )%
 _____________
 *          Excludes
incentive fee.
 
 F-37
 Index
  Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio
 Notes
to Financial Statements
  NOTE
7.  FINANCIAL HIGHLIGHTS (continued)
 The total
return is based on the change in value during the period of a theoretical
investment made at the beginning of each calendar month during the
year.  An individual investor’s return may vary from these returns
based on participation in different management fee and incentive allocation
arrangements (as applicable) and the timing of capital
transactions.
 Winton Segregated PortfolioClass
      GP
                          
                          
                          Class
      ANet
      asset value per share —  initial subscription*
                          
                          $
                          1,000.00
                          
                          
                          $
                          1,000.00Net
      investment loss*
                          
                          
                          (21.09
                          )
                          
                          
                          (20.17
                          )Net
      realized and change in unrealized gain from trading*
                          
                          
                          126.65
                          
                          
                          
                          121.82Total
      increase in net assets arising from operations
                          
                          
                          105.56
                          
                          
                          
                          101.65Net
      asset value per share — December 31, 2007
                          
                          $
                          1,105.56
                          
                          
                          $
                          1,101.65Net
      investment loss*
                          
                          
                          (61.47
                          )
                          
                          
                          (49.84
                          )Net
      realized and change in unrealized gain from trading*
                          
                          
                          (1,044.09
                          )
                          
                          
                          (1,051.81
                          )Total
      increase in net assets arising from operations
                          
                          
                          (1,105.56
                          )
                          
                          
                          (1,101.65
                          )Net
      asset value per share — December 31, 2007
                          
                          $
                          —
                          
                          
                          $
                          —
 _____________
 *
                Commencement
      of operations for Winton Segregated Portfolio Class GP was June 1, 2007
      and Class A was August 1, 2007.
 
 The net
investment loss per share above is computed based on the average number of
shares outstanding during the period.
  The
interest income, expenses prior to incentive fees, and net investment income
ratios are computed based upon the shareholders’ weighted average net assets for
the period from January 1, 2008 through December 31, 2008 and June 1, 2007
(commencement of operations) through December, 31, 2007 for Winton Segregated
Portfolio Class GP and for the period from January 1, 2008 through September 30,
2008 and August 1, 2007 (commencement of operations) through December 31, 2007
for Winton Segregated Portfolio Class A.
  NOTE
8.  TRADING ACTIVITIES AND RELATED RISKS
  The
Winton Segregated Portfolio, through the Advisor, engages in the speculative
trading of futures contracts, options on futures contracts, and forward
contracts, swaps, derivatives and synthetics.  These derivatives
include both financial and nonfinancial contracts held as part of a diversified
trading strategy.  The Winton Segregated Portfolio 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 futures commission merchants (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
 
 F-38
 Index
 
 Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio
 Notes
to Financial Statements
  NOTE
8.  TRADING ACTIVITIES AND RELATED RISKS (continued)
 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.
  Net
trading results from derivatives for the period from January 1, 2008 through
December 31, 2008 and June 1, 2007 (commencement of operations) through
December 31, 2007 for the Winton Segregated Portfolio Class GP and for the
period from January 1, 2008 through September 20, 2008 and June 1, 2007
(commencement of operations) through December 31, 2007 for the Winton
SegregatedPortfolio Class A are reflected in the statement of
operations.  Such trading results reflect the net gain arising from
the Winton Segregated Portfolio’s speculative trading of futures contracts and
options on futures contracts.
  For
derivatives, risks arise from changes in the market value of the
contracts.  Theoretically, the Winton Segregated Portfolio 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 Winton Segregated Portfolio 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 Winton Segregated Portfolio to potentially unlimited liability; for
purchased options the risk of loss is limited to the premiums paid.
  In
addition to market risk, in entering into commodity interest contracts there is
a credit risk that a counterparty will not be able to meet its obligations to
the Winton Segregated Portfolio.  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 where the
clearinghouse is not backed by the clearing members, like some non-U.S.
exchanges, it is normally backed by a consortium of banks or other financial
institutions.  In the case of forward contracts, over-the-counter
options contracts or swap contracts, which are traded on the interbank or other
institutional market rather than on exchanges, the counterparty is generally a
single bank or other financial institution, rather than a clearinghouse backed
by a group of financial institutions; thus, there likely will be greater
counterparty credit risk.  The Winton Segregated Portfolio trades only
with those counterparties that it believes to be creditworthy.  All
positions of the Winton Segregated Portfolio 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 Winton Segregated Portfolio.
  
 F-39
 Index
  Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio
 Notes
to Financial Statements
  NOTE
8.  TRADING ACTIVITIES AND RELATED RISKS (continued)
 The
unrealized gain (loss) on open futures and option contracts is comprised of the
following:
  Futures
      Contracts
                        (exchange-traded)
                    
                    
                    Futures
      Contracts
                        (exchange-traded)
                    
                    
                    Total
                    
                    
                    TotalDecember 31,
      2008
                    
                    
                    December 31,
      2007
                    
                    
                    December 31,
      2008
                    
                    
                    December 31,
      2007Gross
      unrealized gains
                    
                    $
                    3,676,858
                    
                    
                    $
                    3,499,330
                    
                    
                    $
                    3,676,858
                    
                    
                    $
                    3,499,330Gross
      unrealized (losses)
                    
                    
                    (1,717,898
                    )
                    
                    
                    (2,248,938
                    )
                    
                    
                    (1,717,898
                    )
                    
                    
                    (2,248,938
                    )Net
      unrealized gain
                    
                    $
                    1,958,960
                    
                    
                    $
                    1,250,392
                    
                    
                    $
                    1,958,960
                    
                    
                    $
                    1,250,392
 
 The
Investment Manager has established procedures to actively monitor and minimize
market and credit risks.  The shareholder bears the risk of loss only
to the extent of the market value of his investments and, in certain specific
circumstances, distributions and redemptions received.
  NOTE
9.  INDEMNIFICATIONS
  In the
normal course of business, the Master Fund and the Winton Segregated Portfolio
enter into contracts and agreements that contain a variety of representations
and warranties and which provide general indemnifications.  The Master
Fund and the Winton Segregated Portfolio’s maximum exposure under these
arrangements is unknown, as this would involve future claims that may be made
against the Master Fund and the Winton Segregated Portfolio that have not yet
occurred.  The Master Fund and the Winton Segregated Portfolio expect
the risk of any future obligation under these indemnifications to be
remote.
  F-40
 Index
  SIGNATURES
  Pursuant
to the requirements of Section 13 or 15(d) 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, in the City of Chicago, State of
Illinois on the 4th day of March, 2009.
  GRANT PARK FUTURES FUND LIMITED
      PARTNERSHIPBy:
                          Dearborn
      Capital Management, L.L.C.its
      general partnerBy:
                          /s/David
      M. KavanaghDavid
      M. KavanaghPresident
   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 4, 2009.
  Signature
                    
                    
                    Title/s/David
      M. Kavanagh
                    
                    
                    President
      (Principal Executive Officer)David
      M. Kavanagh/s/Maureen
      O’Rourke
                    
                    
                    Chief
      Financial Officer (Principal Financial andMaureen
      O’Rourke
                    
                    
                    Accounting
      Officer)
 
 Index
 
 EXHIBIT INDEX
  ExhibitNumber
                      Description of Document3.1(1)
                      Third
      Amended and Restated Limited Partnership Agreement of the
      Registrant.3.2(2)
                      Certificate
      of Limited Partnership of the Registrant.10.1(2)
                      First
      Amended and Restated Advisory Contract among the registrant, Dearborn
      Capital Management, L.L.C. and Rabar Market Research,
  Inc.10.2(2)
                      First
      Amended and Restated Advisory Contract among the registrant, Dearborn
      Capital Management, L.L.C. and EMC Capital Management,
  Inc.10.3(2)
                      First
      Amended and Restated Advisory Contract among the registrant, Dearborn
      Capital Management, L.L.C. and Eckhardt Trading
Company.10.4(2)
                      Advisory
      Contract among the registrant, Dearborn Capital Management, L.L.C. and
      Graham Capital Management, L.P.10.5(3)
                      Commodity
      Advisory Agreement among Dearborn Select Master Fund, SPC acting for the
      account of Winton Segregated Portfolio — Class GP, Dearborn Capital
      Management, L.L.C. and Winton Capital Management
  Limited.10.6(4)
                      Advisory
      Contract among the registrant, Dearborn Capital Management, L.L.C. and
      Welton Investment Corporation.10.7(5)
                      Subscription
      Agreement and Power of Attorney.10.8(6)
                      Request
      for Redemption Form.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 1934.32.1
                      Certification
      pursuant to 18 U.S.C. Section 1350, as adopted pursuant to
      Section 906 of the Sarbanes-Oxley Act of
  2002.
 
 (1)
                Included
      as Appendix A to the prospectus which is part of the Registrant’s
      Registration Statement on Form S-1 (File No. 333-119338) 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 Quarterly Report on Form 10-Q for
      the quarter ended June 30, 2007 and incorporated herein by
      reference.
 (4)
                Filed
      as an Exhibit to the Registrant’s annual report on Form 10-K for the
      fiscal year ended December 31, 2005 and incorporated herein by
      reference.
   Index
 
 (5)
                Included
      as Appendix B to the prospectus which is part of the Registrant’s
      Registration Statement on Form S-1 (File
    No. 333-119338)
 (6)
                Included
      as Appendix D to the prospectus which is part of the Registrant’s
      Registration Statement on Form S-1 (File
    No. 333-119338)