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, 2007
  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
filerý            Small
reporting companyý
 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, 2007, there
were 55,043.62 Class A Limited Partnership Units and 335,708.69
Class B Limited Partnership Units issued and outstanding.
 DOCUMENTS
INCORPORATED BY REFERENCE
  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
            5PART
      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
            18ITEM 8.
            FINANCIAL STATEMENTS AND SUPPLEMENTARY
    DATA
            23ITEM 9.
            CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING
      AND FINANCIAL DISCLOSURE
            23ITEM 9A.
            CONTROLS AND PROCEDURES
            23ITEM 9A(T).
            CONTROLS AND PROCEDURES
            23ITEM 9B.
            OTHER INFORMATION
            24PART
      IIIITEM 10.
            DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE
      GOVERNANCE
            24ITEM 11.
            EXECUTIVE COMPENSATION
            25ITEM 12.
            SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND
      MANAGEMENT AND RELATED STOCKHOLDER MATTERS
            26ITEM 13.
            CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND
      DIRECTOR INDEPENDENCE
            27ITEM 14.
            PRINCIPAL ACCOUNTING FEES AND SERVICES
            27PART
      IVITEM 15.
            EXHIBITS AND FINANCIAL STATEMENT
    SCHEDULES
            28INDEX TO FINANCIAL STATEMENTS
            F-1SIGNATURES








i
 Table of Contents




PART
I




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, 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 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.




Grant
Park invests through independent professional commodity trading advisors
retained by the general partner.  Presently, Rabar Market Research,
Inc., EMC Capital Management, Inc., Eckhardt Trading Company, or ETC, Graham
Capital Management, L.P., and Welton Investment Corporation serve as Grant
Park’s commodity trading advisors.  As of December 31, 2007, the
general partner allocated Grant Park’s net assets among its core trading
advisors Rabar, EMC and Welton and non-core trading advisors Graham and
ETC.  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, effective June 1, 2007, the
general partner reallocated the portion of Grant Park’s net assets previously
allocated to Winton Capital Management Limited (“Winton”) 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 allocates the assets invested by Grant Park
to Winton through one or more managed accounts, to be traded pursuant to
Winton’s Diversified Program, the same trading program Winton previously traded
for Grant Park.  Grant Park owns all of the outstanding Class GP units
of the GP Class.  There have been no changes to the existing clearing
broker arrangements/brokerage






1
 Table of Contents




charge
and no material changes to the other fees and expenses allocated to Grant Park
as a result of this reallocation.  The general partner of Grant Park
is also the Investment Manager of Dearborn Select.




As of
December 31, 2007, Grant Park had a net asset value of approximately $455.7
million and 13,401 limited partners.  As of the close of business on
December 31, 2007, the net asset value per unit of the Class A units
was $1,309.47, and the net asset value of the Class B units was
$1,142.68.  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.




Effective
June 1, 2007, the general partner reallocated the portion of Grant Park’s net
assets allocated to Winton Capital Management Limited (“Winton”) 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 allocates the assets invested by Grant Park
to Winton through one or more managed accounts, to be traded pursuant to
Winton’s Diversified Program, the same trading program Winton previously traded
for Grant Park.  Grant Park owns all of the outstanding Class GP units
of the GP Class.  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.  The general partner of Grant Park is also the
Investment Manager of Dearborn Select.




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 $564,216,000 of new capital through December 1, 2007,
and is continuing to offer up to an additional $535,784,000 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.




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.






2
 Table of Contents




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.




Grant
Park 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, swap contracts and security futures
contracts.  The commodities underlying these contracts may include
stock indices, interest rates, currencies, or physical commodities, such as
agricultural products, energy products or metals.  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.






3
 Table of Contents




·
            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
      swap contract generally involves an exchange of a stream of payments
      between the contracting parties.  Swap contracts generally 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,
2007.




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.
 ·
                        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.
 4
 Table of Contents
  ·
                              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, swap
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.




ITEM4.                  SUBMISSION OF MATTERS TO A
VOTE OF SECURITY HOLDERS




None.






5
 Table of Contents




PART
II




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 the Third Amended and Restated
Limited Partnership Agreement.  As of December 31, 2007, there
were392 and
13,009 holders of Class A units and Class B units, respectively, and
55,043.62 Class A units and 335,708.69Class 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 vale 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
2007 were as follows:




Units
            
            October
            
            
            November
            
            
            DecemberClass
      A UnitsUnits
      sold
            
            
            1,044.40
            
            
            
            192.91
            
            
            
            221.24Net
      asset value
            
            $
            1,244.71
            
            
            $
            1,309.87
            
            
            $
            1,301.27Class
      B UnitsUnits
      sold
            
            
            4,205.78
            
            
            
            2,833.06
            
            
            
            3,328.89Net
      asset value
            
            $
            1,087.63
            
            
            $
            1,143.74
            
            
            $
            1,135.42




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,
2007.






(a)
            
            
            (b)
            
            
            (a)
            
            
            (b)
            
            
            (c)
            
            
            (d)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)10/01/07
      through 10/31/07
            
            
            771.82
            
            
            $
            1,309.87
            
            
            
            3,573.83
            
            
            $
            1,143.74
            
            
            
            4,345.65
            
            
            
            (2
            )






6
 Table of Contents




11/01/07
      through 11/30/07
            
            
            483.83
            
            
            $
            1,301.27
            
            
            
            3,706.70
            
            
            $
            1,135.42
            
            
            
            4,190.53
            
            
            
            (2
            )12/01/07
      through 12/31/07
            
            
            463.41
            
            
            $
            1,309.47
            
            
            
            1,678.83
            
            
            $
            1,142.68
            
            
            
            2,142.24
            
            
            
            (2
            )Total
            
            
            1,719.06
            
            
            $
            1,307.34
            
            
            
            8,959.36
            
            
            $
            1,140.10
            
            
            
            10,678.42
            
            
            
            (2
            )






(1)           As
previously disclosed, pursuant to Grant Park’s Limited 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, 2007, 2006, 2005, 2004 and 2003 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 31,2007
            
            
            2006
            
            
            2005
            
            
            2004
            
            
            2003Total
      assets
            
            $
            467,212,443
            
            
            $
            407,930,032
            
            
            $
            307,245,733
            
            
            $
            304,631,802
            
            
            $
            87,861,740Total
      partners’ capital
            
            
            455,685,796
            
            
            
            382,252,995
            
            
            
            289,897,819
            
            
            
            289,654,031
            
            
            
            67,418,046Net
      gains from trading
            
            
            61,926,643
            
            
            
            40,820,127
            
            
            
            4,687,805
            
            
            
            4,281,201
            
            
            
            10,149,161Income
      allocated from Dearborn Select Master Fund, SPC – Winton Segregated
      Portfolio
            
            
            9,417,448Interest
      income
            
            
            17,475,172
            
            
            
            16,093,168
            
            
            
            8,436,400
            
            
            
            3,005,585
            
            
            
            247,863Total
      expenses
            
            
            38,396,817
            
            
            
            30,599,600
            
            
            
            23,480,678
            
            
            
            20,995,234
            
            
            
            4,080,495Net
      income (loss)
            
            
            50,422,446
            
            
            
            26,313,695
            
            
            
            (10,356,473
            )
            
            
            (13,708,448
            )
            
            
            6,316,529Net
      income (loss) per General Partner & Class A Unit Limited
      Partner*
            
            
            148.80
            
            
            
            98.75
            
            
            
            (36.11
            )
            
            
            (88.44
            )
            
            
            194.63Net
      income (loss) per Class B Unit Limited Partner*
            
            
            125.29
            
            
            
            82.71
            
            
            
            (35.34
            )
            
            
            (81.15
            )
            
            
            82.15Increase
      (decrease) in net asset value per General Partner & Class A Unit
      Limited Partner
            
            
            146.87
            
            
            
            97.03
            
            
            
            (37.96
            )
            
            
            (90.50
            )
            
            
            194.03Increase
      (decrease) in net asset value per Class B Unit Limited
    Partner
            
            
            120.26
            
            
            
            78.14
            
            
            
            (41.89
            )
            
            
            (90.42
            )
            
            
            76.59




* - The
Partnership 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, 2007 and 2006.




1st Quarter
                2007
            
            
            2nd Quarter
                2007
            
            
            3rd Quarter
                2007
            
            
            4th Quarter
                2007(unaudited)
            
            
            (unaudited)
            
            
            (unaudited)
            
            
            (unaudited)Gains
      (losses) from trading
            
            $
            (26,958,467
            )
            
            $
            61,570,114
            
            
            $
            9,622,941
            
            
            $
            30,116,907Net
      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
            
            
            
            1,309.47






8
 Table of Contents




1st Quarter
                2007
            
            
            2nd Quarter
                2007
            
            
            3rd Quarter
                2007
            
            
            4th Quarter
                2007(unaudited)
            
            
            (unaudited)
            
            
            (unaudited)
            
            
            (unaudited)Net
      asset value per Class B Unit Limited Partner
            
            
            944.80
            
            
            
            1,080.86
            
            
            
            1,087.63
            
            
            
            1,142.68






1st Quarter
              2006
            
            
            2nd Quarter
              2006
            
            
            3rd Quarter
              2006
            
            
            4th Quarter
              2006(unaudited)
            
            
            (unaudited)
            
            
            (unaudited)
            
            
            (unaudited)Gains
      (losses) from trading
            
            $
            16,396,669
            
            
            $
            21,076,739
            
            
            $
            (6,369,757
            )
            
            $
            11,186,397Net
      income (loss)
            
            
            12,253,554
            
            
            
            16,419,952
            
            
            
            (9,475,113
            )
            
            
            7,115,302Net
      income (loss) per General Partner & Class A Unit Limited Partner
      **
            
            
            44.87
            
            
            
            61.49
            
            
            
            (30.17
            )
            
            
            22.56Net
      income (loss) per Class B Unit Limited Partner **
            
            
            38.66
            
            
            
            53.25
            
            
            
            (27.72
            )
            
            
            18.52Increase
      (decrease) in net asset value per General Partner & Class A Unit
      Limited Partner
            
            
            44.31
            
            
            
            60.88
            
            
            
            (30.75
            )
            
            
            22.59Increase
      (decrease) in net asset value per Class B Unit Limited
    Partner
            
            
            37.16
            
            
            
            51.62
            
            
            
            (29.28
            )
            
            
            18.64Net
      asset value per General Partner & Class A Unit Limited
      Partner
            
            
            1,109.88
            
            
            
            1,170.76
            
            
            
            1,140.01
            
            
            
            1,162.60Net
      asset value per Class B Unit Limited Partner
            
            
            981.44
            
            
            
            1,033.06
            
            
            
            1,003.78
            
            
            
            1,022.42




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




ITEM
      7.
            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, swap 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.




Grant
Park invests through independent professional commodity trading advisors
retained by the general partner.  Presently, Rabar Market Research,
Inc., EMC Capital Management, Inc., Eckhardt Trading Company, or ETC, Graham
Capital Management, L.P., Winton Capital Management Limited and Welton
Investment Corporation serve as Grant Park’s commodity trading
advisors.  As of December 31, 2007, the general partner allocated
Grant Park’s net assets among its core trading advisors Rabar, EMC and Welton
and non-core trading advisors Graham and ETC.  No more than twenty-five
percent of Grant Park's assets are allocated to any one trading
advisor.




Effective
June 1, 2007, the general partner reallocated the portion of Grant Park’s net
assets previously allocated to Winton to the Dearborn Select – Winton Segregated
Portfolio GP Class.  Dearborn Select was incorporated under the laws
of the Cayman Islands on April 7, 2006 and is a private






9
 Table of Contents




investment
fund organized as a segregated portfolio company with limited
liability.  The GP Class allocates the assets invested by Grant Park
to Winton through one or more managed accounts, to be traded pursuant to
Winton’s Diversified Program, the same trading program Winton previously traded
for Grant Park.  Grant Park owns all of the outstanding Class GP units
of the GP Class.  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.  The general partner of Grant Park is also the
Investment Manager of Dearborn Select.




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.




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 the 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 and that
Grant Park believes to be reliable.




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, 2007, were 12.6% for
Class A units and 11.8% for Class B units, for the year ended
December 31, 2006 were 9.1% for Class A units and 8.3% for Class B units,
and for the year ended December 31, 2005 were (3.4)% for Class A units and
(4.3)% for Class B units.  Grant Park’s total net asset value at
December 31, 2007, 2006 and 2005 was $455.7 million, $382.3 million
and $289.9 million, respectively.






10
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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, 2007, 2006 and 2005.




%
      Gain (Loss)Year
      Ended December 31,Sector
            
            2007
            
            
            2006
            
            
            2005Interest
      Rates
            
            
            7.2
            %
            
            
            (1.0
            )%
            
            
            (1.0
            )%Currencies
            
            
            5.7
            
            
            
            0.8
            
            
            
            (4.6
            )Stock
      Indices
            
            
            (2.3
            )
            
            
            6.9
            
            
            
            5.1Energy
            
            
            5.0
            
            
            
            (1.7
            )
            
            
            1.0Agriculturals
            
            
            4.1
            
            
            
            (2.1
            )
            
            
            (1.0
            )Meats
            
            
            (0.6
            )
            
            
            (0.3
            )
            
            
            (0.1
            )Metals
            
            
            0.7
            
            
            
            10.8
            
            
            
            1.2Softs
            
            
            (1.8
            )
            
            
            0.3
            
            
            
            1.7Miscellaneous
            
            
            —
            
            
            
            —
            
            
            
            (0.1
            )Total
            
            
            18.0
            %
            
            
            13.7
            %
            
            
            2.2
            %




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 US 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 US 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 US
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 US 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 US 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.




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 US 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 US dollar, which depreciated against
the euro and British pound in response to weak domestic economic
data.  Speculation






11
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that US
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 US 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 US 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 US 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 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 US payrolls, along with downward revisions to
July and June payrolls, prompted the US 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 US dollar for the first time in
thirty years) reported gains as the greenback plunged on the Fed’s






12
 Table of Contents




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 US 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:




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
            %






13
 Table of Contents




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.




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






14
 Table of Contents




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.




Year
ended December 31, 2005




In 2005,
Grant Park suffered its second consecutive losing year, the first time since
1992 and only the second time in the 17 year trading history.  As was
the case in 2004, the year was marked by significant reversals and volatility in
a number of the markets that Grant Park trades.




After a
strong fourth quarter in 2004, Grant Park suffered a setback for
January.  These losses were generated across the board in those
markets that had just previously contributed to Grant Park’s fourth quarter 2004
success.  In the first week of January, the dollar began its strongest
one month rally since May of 2001.  As the table below shows, the
currency sector, historically a strong contributor to performance, was the
largest drag on the portfolio in 2005.  The dollar spent most of the
year range-bound between 120 and 130 leaving little profitable trading
opportunity.




The
overriding story of 2005 became crude oil and, to a certain degree,
hurricanes.  Crude oil prices started the year at $42.00 a barrel but
quickly resumed their rally; however, after peaking at $58.00 a barrel, prices
fell 20%.  As a leveraged fund that trades both long and short
positions, this rally forced most of our traders out of the market due to risk
management concerns.  After another substantial rally
to






15
 Table of Contents




new highs
following Hurricane Katrina, the oil market fell another 20%.  Once
again it forced our traders out of the markets with little to show for their
trading efforts.




Another
sector which experienced similar volatility was agriculturals.  During
the spring and early summer, parts of the Midwest were caught in a severe
drought.  Corn and soybean prices rose in anticipation of lower than
normal crop yields.  In early July, Hurricane Dennis hit the Gulf
Coast and pushed significant amounts of moisture into the Midwest, ending the
drought.  As a result, grain prices and, accordingly Grant Park, gave
back most of its prior gains in the markets.  These types of reversals
characterized many of the markets Grant Park traded in
2005.  Consequently, the trading managers spent most of the year on
the defensive managing risk and continuing their disciplined approach to
trading.




There
were bright spots, however, in some markets during 2005.  The Nikkei
Stock Index, sugar and natural gas all exhibited strong trends.  Other
markets that also exhibited positive trends that Grant Park was able to take
advantage of were global short term interest rates and various regional stock
indices.  In these sectors, Grant Park was able to take advantage of
these gains to offset the extreme volatility found in the other
markets.




For the
year ended December 31, 2005, Grant Park had a negative return of 3.4% for the
Class A units and a negative return of 4.3% for the Class B units.  On
a combined basis prior to expenses, approximately 2.2% resulted from trading
gains and approximately 2.9% was due to interest income.  These gains
are offset by approximately 9.2% in combined total brokerage fees, performance
fees and offering costs borne by Grant Park.  An analysis of the 2.2%
trading gains by sector is as follows:




Sector
            
            %
      Gain (Loss)Interest
      Rates
            
            
            (1.0
            )%Currencies
            
            
            (4.6
            )Stock
      Indices
            
            
            5.1Energy
            
            
            1.0Agriculturals
            
            
            (1.0
            )Meats
            
            
            (0.1
            )Metals
            
            
            1.2Softs
            
            
            1.7Miscellaneous
            
            
            (0.1
            )Total
            
            
            2.2
            %




The
general partner 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
2005, the general partner reimbursed Grant Park a total of $600,000, of which
$300,000 related to operating expenses and $300,000 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 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






16
 Table of Contents




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.




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.


17
 Table of Contents




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.




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,






18
 Table of Contents




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, 2007
and December 31, 2006 and the trading gains/losses by market category for
the years ended December 31, 2007 and 2006.  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,
2007, Grant Park’s net asset value was approximately $455.7
million.  As of December 31, 2006, Grant Park’s net asset value
was approximately $382.3 million.






19
 Table of Contents




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
            %




December 31,
      2006Market
      Sector
            
            Value
      at Risk
            
            
            %
      of Total Capitalization
            
            
            Trading
      Gain/(Loss)Stock
      Indices
            
            $
            17,109,345
            
            
            
            4.5
            %
            
            
            6.9
            %Interest
      Rates
            
            
            14,150,512
            
            
            
            3.7
            
            
            
            (1.0
            )Currencies
            
            
            9,008,040
            
            
            
            2.3
            
            
            
            0.8Metals
            
            
            6,002,732
            
            
            
            1.6
            
            
            
            10.8Energy
            
            
            2,682,000
            
            
            
            0.7
            
            
            
            (1.7
            )Softs
            
            
            1,423,613
            
            
            
            0.4
            
            
            
            0.3Agriculturals
            
            
            802,822
            
            
            
            0.2
            
            
            
            (2.1
            )Meats
            
            
            462,775
            
            
            
            0.1
            
            
            
            (0.3
            )Total
            
            $
            51,641,839
            
            
            
            13.5
            %
            
            
            13.7
            %




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.




Qualitative
Market Risk




Trading
Risk




The
following were the primary trading risk exposures of Grant Park as of
December 31, 2007, by market sector.






20
 Table of Contents




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, 2007, Grant Park had a variety
of positions in both the dollar and the cross rates.  In general, with
the exception of the Japanese yen, a weaker dollar against most currencies would
benefit Grant Park.




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, 2007, Grant Park had very little
equity index positions.  All of the exposure in the stock index sector
was held in small-sized positions with a very small bias to the long side in
certain foreign markets.  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 markets would not cause major market changes but
would make it difficult for Grant Park to avoid being “whipsawed” into numerous
small losses.




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,
2007, Grant Park’s interest rate exposure was predominantly long most interest
rate markets around the globe with the exception of Australia where Grant Park
was short across the curve.




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, 2007, the energy market
exposure of Grant Park consisted of minor long positions in crude oil, crude
products and natural gas.  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.




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, 2007, Grant
Park held modest metals positions.  Grant Park had minor long
positions in gold, silver and platinum while being slightly short the aluminum
markets.






21
 Table of Contents




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.  Moderate long positions in wheat, cocoa, coffee, sugar,
soybean oil, and soybeans accounted for Grant Park’s long commodity exposure
while live cattle and lean hogs accounted for Grant Park’s short positions as of
December 31, 2007.




Non-Trading
Risk Exposure




The
following were the only non-trading risk exposures of Grant Park as of
December 31, 2007.




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 Treasury repurchase agreements.  The balance of Grant Park’s
assets, which range from 75% to 95%, are invested in investment grade money
market investments purchased at either Middleton Dickinson Capital Management,
LLC which are held in a separate, segregated account at State Street Bank and
Trust Company or are purchased directly through Harris Nesbitt Corporation, a
member of BMO Financial Group.  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 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.






22
 Table of Contents




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.




ITEM9A(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, 2007 that have materially affected, or are
reasonable likely to materially affect, Grant Park’s internal control over
financial reporting.




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, 2007 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, 2007.






23
 Table of Contents




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.






PART
III




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, Efim Tkatchew, Maureen O’Rourke and
Abdullah Mohammed Al Rayes.  Only the officers of Dearborn Capital
Management, L.L.C., Mr. Kavanagh, Mr. Tkatchew 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.




Mr.
Tkatchew, chief operating officer of the general partner, is primarily
responsible for the day to day operations of Dearborn.  Prior to
joining the general partner in December 2005, Mr. Tkatchew was a General Manager
at the Commonwealth Bank of Australia from February 2002 to December 2005.
Previously, he held senior roles in financial control, operations and audit
working in Europe, Asia and the United States with Credit Suisse First Boston,
JP Morgan, State Street and Dresdner Kleinwort Wasserstein. Mr. Tkatchew
received his initial training as an accountant with Coopers and Lybrand, is a
chartered accountant and has a B.Com in accounting and finance from the
University of New South Wales in Australia and a M.B.A. (Executive) from the
Australian Graduate School of Management.




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






24
 Table of Contents




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.




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 2007, all required filings were timely filed by each of these
persons.




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 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 $46.32, based on the
average trading activity of the six trading advisors for the last three calendar
years and assuming allocations of net assets to the trading advisors as
follows:  18% to Rabar; 21% to EMC; 10% to ETC; 9% to Graham; 21% to
Winton; and 18% to Welton.




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.






25
 Table of Contents




Effective
April 1, 2004 through October 31, 2004, Class A units paid the general partner a
monthly brokerage charge equal to 0.6583%, a rate of 7.9% annually, of Class A’s
month-end adjusted net assets.  This monthly charge was reduced to
0.6458%, a rate of 7.75% annually, effective November 1, 2004 and further
reduced to a monthly charge of 0.6292%, a rate of 7.55% annually, effective
September 1, 2005. Class B units paid the general partner a monthly charge equal
to 0.675%, a rate of 8.1% annually, of Class B’s month-end adjusted net
assets.  Effective November 1, 2004, 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 $33,467,384 for
the year ended December 31, 2007, $27,576,195 for the year ended December 31,
2006, and $23,665,571 for the year ended December 31, 2005.




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




The NASAA
Guidelines require that the organization and offering expenses of Grant Park
will not exceed 15% of the total subscriptions accepted.  The general
partner, and not Grant Park, will be responsible for any expenses in excess of
that limitation.  Since the general partner has agreed to limit Grant
Park’s responsibility for these expenses to a total of 1% per annum of Grant
Park’s average month-end net assets, the general partner does not expect the
NASAA Guidelines limit of 15% of total subscriptions to be reached.




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,
2007.






26
 Table of Contents




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
            
            
            3,304.522
            
            
            
            —
            
            
            
            367.169
            
            
            
            6.04
            %
            
            
            —
            
            
            
            100.00
            %David
      M. Kavanagh
            
            
            3,304.522
            (1)
            
            
            —
            
            
            
            367.169
            (1)
            
            
            6.04
            %
            
            
            —
            
            
            
            100.00
            %Efim
      Tkatchew
            
            
            6.553
            
            
            
            —
            
            
            
            —
            
            
            
            —
            
            
            
            —
            
            
            
            —Maureen
      O’Rourke
            
            
            4.433
            
            
            
            —
            
            
            
            —
            
            
            
            —
            
            
            
            —
            
            
            
            —





(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.”




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, 2007 and 2006, 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
            
            2007
            
            
            2006Audit Fees(1)
            
            $
            169,800
            
            
            $
            127,500Audit-Related
      Fees
            
            
            —
            
            
            
            —Tax Fees(2)
            
            
            7,888
            
            
            
            5,000All
      Other Fees
            
            
            —
            
            
            
            —Total
      Fees
            
            $
            177,688
            
            
            $
            132,500





(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 2007 and 2006 to Grant Park described above.  The
Audit Committee has determined that the payments made to McGladrey for these
services during 2007 and 2006 are compatible with maintaining that firm’s
independence.






27
 Table of Contents




PART
IV


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.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.






28
 Table of Contents




Exhibit
              Number
            Description of
      Document31.2
            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)






29
 Table of Contents




INDEXTO FINANCIAL STATEMENTS






Grant
      Park Futures Fund Limited PartnershipReport
      of Independent Registered Public Accounting Firm
            F-2Statements
      of Financial Condition as of December 31, 2007 and
    2006
            F-3Condensed
      Schedule of Investments as of December 31, 2007
            F-4Condensed
      Schedule of Investments as of December 31, 2006
            F-6Statements
      of Operations for the years ended December 31, 2007, 2006 and
      2005
            F-8Statements
      of Cash Flows for the years ended December 31, 2007, 2006 and
      2005
            F-9Statements
      of Changes in Partners’ Capital for the years ended December 31,
      2007, 2006 and 2005
            F-10Notes
      to Financial Statements
            F-11Dearborn
      Select Master Fund, SPC – Winton Segregated PortfolioReport
      of Independent Registered Public Accounting Firm
            F-20Statement
      of Financial Condition as of December 31, 2007
            F-21Condensed
      Schedule of Investments as of December 31, 2007
            F-22Statement
      of Operations for the year ended December 31, 2007
            F-24Statement
      of Cash Flows for the year ended December 31, 2007
            F-25Statement
      of Changes in Shareholder’s Equity for the year ended December 31,
      2007
            F-26Notes
      to Financial Statements
            F-27






F-1
 Table of Contents




REPORT
OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM




To the
Partners


Grant
Park Futures Fund Limited Partnership


Chicago,
Illinois




We have
audited the statements of financial condition, including the condensed schedules
of investments, of Grant Park Futures Fund Limited Partnership as of
December 31, 2007 and 2006, 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, 2007.  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, 2007 and 2006, and the results of its
operations and its cash flows for each of the three years in the period ended
December 31, 2007, in conformity with U.S. generally accepted accounting
principles.




We were
not engaged to examine management’s assertion about the effectiveness of Grant
Park Futures Fund Limited Partnership’s internal control over financial
reporting as of December 31, 2007 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 26,
2008




















McGladrey &
Pullen, LLP is a member firm of RSM International –


an
affiliation of separate and independent legal entities.






F-2
 Table of Contents




Grant
Park Futures Fund Limited Partnership


Statements
of Financial Condition


December 31,
2007 and 2006




Assets
            
            2007
            
            
            2006Equity
      in brokers’ trading accounts:U.S.
      Government securities, at fair value
            
            $
            61,148,504
            
            
            $
            58,311,094Cash
            
            
            5,227,545
            
            
            
            17,592,985Unrealized
      gain on open contracts, net
            
            
            6,136,840
            
            
            
            10,261,483Deposits
      with brokers
            
            
            72,512,889
            
            
            
            86,165,562Cash
      and cash equivalents
            
            
            160,199,532
            
            
            
            226,964,339Commercial
      paper (cost, plus accrued interest December 31, 2007 – $27,869,290,
      December 31, 2006 – $4,994,963)
            
            
            27,869,290
            
            
            
            4,994,963Government-sponsored
      enterprises (cost, plus accrued interest December 31, 2007 – $105,413,285,
      December 31, 2006 – $87,764,069)
            
            
            105,413,285
            
            
            
            87,764,069Investment
      in Dearborn Select Master Fund, SPC – Winton Segregated
      Portfolio
            
            
            98,629,036
            
            
            
            –Interest
      receivable
            
            
            1,838,411
            
            
            
            1,341,099Receivable
      from General Partner
            
            
            750,000
            
            
            
            700,000Total
      assets
            
            $
            467,212,443
            
            
            $
            407,930,032Liabilities
      and Partners’ CapitalLiabilitiesBrokerage
      commission payable
            
            $
            2,769,915
            
            
            $
            2,447,051Accrued
      incentive fees
            
            
            2,503,135
            
            
            
            1,214,938Organization
      and offering costs payable
            
            
            206,208
            
            
            
            174,853Accrued
      operating expenses
            
            
            96,082
            
            
            
            81,103Pending
      partner additions
            
            
            3,426,126
            
            
            
            16,569,404Redemptions
      payable
            
            
            2,525,181
            
            
            
            5,189,688Total
      liabilities
            
            
            11,526,647
            
            
            
            25,677,037Partners’
      CapitalGeneral
      Partner (units outstanding December 31, 2007 – 3,671.69, December 31,
      2006 – 3,398.73)
            
            
            4,807,965
            
            
            
            3,951,351Limited
      PartnersClass
      A (units outstanding December 31, 2007 – 51,371.93, December 31, 2006
      – 48,628.21)
            
            
            67,269,942
            
            
            
            54,209,869Class
      B (units outstanding December 31, 2007 – 335,708.69, December 31,
      2006 – 316,983.72)
            
            
            383,607,889
            
            
            
            324,091,775Total
      partners’ capital
            
            
            455,685,796
            
            
            
            382,252,995Total
      liabilities and partners’ capital
            
            $
            467,212,443
            
            
            $
            407,930,032




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






F-3
 Table of Contents




Grant
Park 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.




Commercial
paper




Face Value
            
            Maturity
    Date
            Description
            
            Fair Value
            
            
            Percent of Partners’
      Capital$
            8,000,000
            
            1/10/2008
            Progress
      Energy Co.
            
            $
            7,989,340
            
            
            
            1.7
            %10,000,000
            
            2/8/2008
            Zions
      Banc Corp
            
            
            9,947,117
            
            
            
            2.2
            %10,000,000
            
            2/22/2008
            GE
      Capital
            
            
            9,932,833
            
            
            
            2.2
            %Total
      Commercial paper
            
            $
            27,869,290
            
            
            
            6.1
            %




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






F-4
 Table of Contents




Grant
Park Futures Fund Limited Partnership


Condensed
Schedule of Investments (continued)


December
31, 2007




Government-sponsored
enterprises


Face Value
            
            Maturity
    Date
            Description
            
            Fair Value
            
            
            Percent of Partners’
      Capital$
            10,000,000
            
            1/24/2008
            Federal
      Home Loan
            
            $
            10,069,463
            
            
            
            2.2
            %10,000,000
            
            2/7/2008
            Federal
      Home Loan
            
            
            10,056,005
            
            
            
            2.2
            %10,000,000
            
            3/12/2008
            Federal
      Home Loan
            
            
            10,018,789
            
            
            
            2.2
            %10,000,000
            
            7/16/2008
            Federal
      Home Loan
            
            
            11,780,935
            
            
            
            2.6
            %10,000,000
            
            8/1/2008
            Farmer
      Mac
            
            
            10,222,306
            
            
            
            2.2
            %9,000,000
            
            10/8/2008
            Farmer
      Mac
            
            
            9,094,000
            
            
            
            2.0
            %4,000,000
            
            10/30/2008
            Federal
      Home Loan
            
            
            4,030,000
            
            
            
            0.9
            %12,000,000
            
            11/19/2008
            Federal
      Home Loan
            
            
            12,064,750
            
            
            
            2.6
            %12,000,000
            
            11/24/2008
            Federal
      Home Loan
            
            
            12,009,310
            
            
            
            2.6
            %8,000,000
            
            11/28/2008
            Federal
      Home Loan
            
            
            8,033,367
            
            
            
            1.8
            %8,000,000
            
            12/1/2008
            Federal
      Home Loan
            
            
            8,034,360
            
            
            
            1.8
            %Total
      Government-sponsored enterprises
            
            $
            105,413,285
            
            
            
            23.1
            %






U.S. Government
securities ***




Face
      Value
            
            
            
            Fair
      Value
            
            
            Percent
      of Partners’ Capital$
            61,300,000
            
            U.S.
      Treasury Bills, January 31, 2008
            
            $
            61,148,504
            
            
            
            13.4
            %Total
      U.S. Government securities (cost $61,139,861)
            
            $
            61,148,504




***           Pledged
as collateral for the trading of futures, forward and option
contracts.






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






F-5
 Table of Contents




Grant
Park Futures Fund Limited Partnership


Condensed
Schedule of Investments


December 31,
2006




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
            
            $
            285,813
            
            
            
            0.1
            %
            
            $
            1,356,316
            
            
            
            0.4
            %
            
            $
            1,642,129
            
            
            
            0.4
            %Energy
            
            
            38,396
            
            
            
            **
            
            
            
            1,157,070
            
            
            
            0.3
            %
            
            
            1,195,466
            
            
            
            0.3
            %Grains
            
            
            400,343
            
            
            
            0.1
            %
            
            
            (185,903
            )
            
            
            **
            
            
            
            214,440
            
            
            
            0.1
            %Interest
      rates
            
            
            (964,432
            )
            
            
            (0.3
            )%
            
            
            395,138
            
            
            
            0.1
            %
            
            
            (569,294
            )
            
            
            (0.1
            )%Meats
            
            
            68,710
            
            
            
            **
            
            
            
            (19,067
            )
            
            
            **
            
            
            
            49,643
            
            
            
            **Metals
            
            
            (263,985
            )
            
            
            (0.1
            )%
            
            
            (86,113
            )
            
            
            **
            
            
            
            (350,098
            )
            
            
            (0.1
            )%Soft
      commodities
            
            
            504,382
            
            
            
            0.1
            %
            
            
            308,492
            
            
            
            0.1
            %
            
            
            812,874
            
            
            
            0.2
            %Stock
      indices
            
            
            (222,111
            )
            
            
            (0.1
            )%
            
            
            (168,750
            )
            
            
            **
            
            
            
            (390,861
            )
            
            
            (0.1
            )%Total
      U.S. Futures Positions
            
            
            (152,884
            )
            
            
            
            
            
            
            2,757,183
            
            
            
            
            
            
            
            2,604,299Foreign
      Futures Positions:Energy
            
            
            (2,760
            )
            
            
            **
            
            
            
            231,273
            
            
            
            0.1
            %
            
            
            228,513
            
            
            
            0.1
            %Interest
      rates
            
            
            (1,379,466
            )
            
            
            (0.4
            )%
            
            
            3,201,922
            
            
            
            0.8
            %
            
            
            1,822,456
            
            
            
            0.5
            %Metals
            
            
            2,113,854
            
            
            
            0.6
            %
            
            
            97,917
            
            
            
            **
            
            
            
            2,211,771
            
            
            
            0.6
            %Soft
      commodities
            
            
            (10,541
            )
            
            
            **
            
            
            
            (4,739
            )
            
            
            **
            
            
            
            (15,280
            )
            
            
            **Stock
      indices
            
            
            4,072,636
            
            
            
            1.1
            %
            
            
            (10,285
            )
            
            
            **
            
            
            
            4,062,351
            
            
            
            1.1
            %Total
      Foreign Futures Positions
            
            
            4,793,723
            
            
            
            
            
            
            
            3,516,088
            
            
            
            
            
            
            
            8,309,811Total
      Futures Contracts
            
            $
            4,640,839
            
            
            
            1.2
            %
            
            $
            6,273,271
            
            
            
            1.7
            %
            
            $
            10,914,110
            
            
            
            2.9
            %Forward
      Contracts *Currencies
            
            $
            (1,041,784
            )
            
            
            (0.3
            )%
            
            $
            389,157
            
            
            
            0.1
            %
            
            $
            (652,627
            )
            
            
            (0.2
            )%Total
      Futures and Forward Contracts
            
            $
            3,599,055
            
            
            
            0.9
            %
            
            $
            6,662,428
            
            
            
            1.8
            %
            
            $
            10,261,483
            
            
            
            2.7
            %






*
            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.




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




F-6
 Table of Contents




Grant
      Park Futures Fund Limited
Partnership


Condensed
      Schedule of Investments (continued)


December
      31, 2006




Commercial
paper




Face Value
            
            Maturity
    Date
            Description
            
            Fair Value
            
            
            Percent of Partners'
      Capital$
            5,000,000
            
            1/8/2007
            Prudential
      Fund
            
            $
            4,994,963
            
            
            
            1.3
            %Total
      Commercial paper
            
            $
            4,994,963
            
            
            
            1.3
            %




Government-sponsored
enterprises




Face Value
            
            Maturity
    Date
            Description
            
            Fair Value
            
            
            Percent of Partners'
      Capital$
            10,000,000
            
            1/3/2007
            Fed
      Home Disc Note
            
            $
            9,997,167
            
            
            
            2.6
            %10,000,000
            
            1/19/2007
            Fed
      Home Disc Note
            
            
            9,974,650
            
            
            
            2.6
            %10,000,000
            
            1/29/2007
            Farm
      Credit Disc Note
            
            
            9,960,411
            
            
            
            2.6
            %13,000,000
            
            2/16/2007
            Farm
      Credit Disc Note
            
            
            12,914,702
            
            
            
            3.4
            %10,000,000
            
            5/1/2007
            Farm
      Credit Disc Note
            
            
            9,832,333
            
            
            
            2.6
            %10,000,000
            
            5/3/2007
            Fed
      Home Loan Floatr
            
            
            10,039,356
            
            
            
            2.6
            %15,000,000
            
            7/13/2007
            Fed
      Home Loan Floatr
            
            
            15,038,325
            
            
            
            3.9
            %10,000,000
            
            10/26/2007
            Fed
      Home Loan Floatr
            
            
            10,007,125
            
            
            
            2.6
            %Total
      Government-sponsored enterprises
            
            $
            87,764,069
            
            
            
            22.9
            %




U.S. Government
securities***




Face
      Value
            
            
            
            Fair
      Value
            
            
            Percent
      of Partners’ Capital$
            58,500,000
            
            U.S.
      Treasury Bills, January 25, 2007
            
            $
            58,311,094
            
            
            
            15.3
            %Total
      U.S. Government securities (cost $58,289,761)
            
            $
            58,311,094




***
            Pledged
      as collateral for the trading of futures, forward and option
      contracts.




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






F-7
 Table of Contents




Grant
Park Futures Fund Limited Partnership


Statements
of Operations


Years
Ended December 31, 2007, 2006 and 2005






2007
            
            
            2006
            
            
            2005Net
      trading gains (losses)Net
      gain (loss) from tradingRealized
            
            $
            67,015,724
            
            
            $
            37,256,330
            
            
            $
            6,429,059Change
      in unrealized
            
            
            (4,124,643
            )
            
            
            5,033,718
            
            
            
            715,870Commissions
            
            
            (964,438
            )
            
            
            (1,469,921
            )
            
            
            (2,457,124
            )Net
      gains from trading
            
            
            61,926,643
            
            
            
            40,820,127
            
            
            
            4,687,805Income
      allocated from Dearborn Select Master Fund, SPC – Winton Segregated
      Portfolio
            
            
            9,417,448
            
            
            
            –
            
            
            
            –Total
      trading gains
            
            
            71,344,091
            
            
            
            40,820,127
            
            
            
            4,687,805Net
      investment incomeIncomeInterest
      income
            
            
            17,475,172
            
            
            
            16,093,168
            
            
            
            8,436,400ExpensesBrokerage
      commission
            
            
            30,573,910
            
            
            
            26,106,274
            
            
            
            21,193,966Incentive
      fees
            
            
            7,017,463
            
            
            
            3,823,552
            
            
            
            1,643,676Operating
      expenses
            
            
            805,444
            
            
            
            669,774
            
            
            
            643,036Total
      expenses
            
            
            38,396,817
            
            
            
            30,599,600
            
            
            
            23,480,678Net
      investment (loss)
            
            $
            (20,921,645
            )
            
            $
            (14,506,432
            )
            
            $
            (15,044,278
            )Net
      income (loss)
            
            $
            50,422,446
            
            
            $
            26,313,695
            
            
            $
            (10,356,473
            )




Net
      Income (Loss) per General Partner & Class A Unit Limited Partner
      (based on weighted average number of units outstanding during the
      year)
            
            $
            148.80
            
            
            $
            98.75
            
            
            $
            (36.11
            )Net
      Income (Loss) per Class B Unit Limited Partner (based on weighted average
      number of units outstanding during the year)
            
            $
            125.29
            
            
            $
            82.71
            
            
            $
            (35.34
            )Increase
      (decrease) in Net Asset Value per General Partner & Class A Unit
      Limited Partner
            
            $
            146.87
            
            
            $
            97.03
            
            
            $
            (37.96
            )Increase
      (decrease) in Net Asset Value per Class B Unit Limited
    Partner
            
            $
            120.26
            
            
            $
            78.14
            
            
            $
            (41.89
            )






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






F-8
 Table of Contents




Grant
Park Futures Fund Limited Partnership


Statements
of Cash Flows


Years
Ended December 31, 2007, 2006 and 2005






2007
            
            
            2006
            
            
            2005Cash
      flows provided by (used in) operating activitiesNet
      income (loss)
            
            $
            50,422,446
            
            
            $
            26,313,695
            
            
            $
            (10,356,473
            )Adjustments
      to reconcile net income (loss) to net cash (used in) operating
      activitiesNet
      sales (purchases) of investments in U.S. Government
      securities
            
            
            (2,837,410
            )
            
            
            (1,971,868
            )
            
            
            1,097,833Net
      change in unrealized gain (loss) on open contracts, net
            
            
            4,124,643
            
            
            
            (5,033,718
            )
            
            
            (715,870
            )Net
      (gain) from investment in Dearborn Select Master Fund, SPC – Winton
      Segregated Portfolio
            
            
            (9,417,448
            )
            
            
            –
            
            
            
            –Net
      sales (purchases) of investments in Commercial paper
            
            
            (22,874,327
            )
            
            
            (4,994,963
            )
            
            
            –Net
      sales (purchases) of investments in Government-sponsored
      enterprises
            
            
            (17,649,216
            )
            
            
            (87,764,069
            )
            
            
            –Investment
      in Dearborn Select Master Fund, SPC – Winton Segregated
      Portfolio
            
            
            (89,211,588
            )
            
            
            –
            
            
            
            –(Increase)
      in interest receivable
            
            
            (497,312
            )
            
            
            (487,528
            )
            
            
            (11,519
            )(Increase)
      in receivable from General Partner
            
            
            (50,000
            )
            
            
            (100,000
            )
            
            
            (600,000
            )Increase
      (decrease) in brokerage commission payable
            
            
            322,864
            
            
            
            672,123
            
            
            
            (38,786
            )Increase
      (decrease) in accrued incentive fees
            
            
            1,288,197
            
            
            
            1,214,938
            
            
            
            (1,529,181
            )Increase
      (decrease) in accrued operating expenses
            
            
            14,979
            
            
            
            18,801
            
            
            
            (23,239
            )Net
      cash used in operating activities
            
            
            (86,364,172
            )
            
            
            (72,132,589
            )
            
            
            (12,177,235
            )Cash
      flows provided by financing activitiesPartner
      additions
            
            
            62,841,744
            
            
            
            130,857,249
            
            
            
            72,393,054Redemptions
            
            
            (53,878,849
            )
            
            
            (57,077,208
            )
            
            
            (56,083,338
            )Offering
      costs
            
            
            (1,728,970
            )
            
            
            (1,315,299
            )
            
            
            (1,748,106
            )Net
      cash provided by financing activities
            
            
            7,233,925
            
            
            
            72,464,742
            
            
            
            14,561,610Net
      (decrease) increase in cash and cash equivalents
            
            
            (79,130,247
            )
            
            
            332,153
            
            
            
            2,384,375Cash
      and cash equivalentsBeginning
      of year
            
            
            244,557,324
            
            
            
            244,225,171
            
            
            
            241,840,796End
      of year
            
            $
            165,427,077
            
            
            $
            244,557,324
            
            
            $
            244,225,171End
      of year cash and cash equivalents consists of:Cash
      in broker trading accounts
            
            $
            5,227,545
            
            
            $
            17,592,985
            
            
            $
            (2,082,929
            )Cash
      and cash equivalents
            
            
            160,199,532
            
            
            
            226,964,339
            
            
            
            246,308,100Total
      end of year cash and cash equivalents
            
            $
            165,427,077
            
            
            $
            244,557,324
            
            
            $
            244,225,171




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




F-9
 Table of Contents




Grant
Park Futures Fund Limited Partnership


Statements
of Changes in Partners’ Capital


Years
Ended December 31, 2007, 2006 and 2005




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, 2004
            
            
            2,512.60
            
            
            $
            2,772,714
            
            
            
            60,634.01
            
            
            $
            66,911,179
            
            
            
            223,055.67
            
            
            $
            219,970,138
            
            
            $
            289,654,031Contributions
            
            
            327.36
            
            
            
            350,000
            
            
            
            8,304.62
            
            
            
            8,829,246
            
            
            
            69,543.78
            
            
            
            65,810,552
            
            
            
            74,989,798Redemptions
            
            
            —
            
            
            
            —
            
            
            
            (20,722.57
            )
            
            
            (21,908,315
            )
            
            
            (43,208.06
            )
            
            
            (40,781,188
            )
            
            
            (62,689,503
            )Offering
      costs
            
            
            —
            
            
            
            —
            
            
            
            —
            
            
            
            (106,640
            )
            
            
            —
            
            
            
            (1,593,394
            )
            
            
            (1,700,034
            )Net
      loss
            
            
            —
            
            
            
            (96,541
            )
            
            
            —
            
            
            
            (2,347,996
            )
            
            
            —
            
            
            
            (7,911,936
            )
            
            
            (10,356,473
            )Partners’
      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
            
            
            $
            455,685,796Net
      asset value per unit at December 31, 2004
            
            
            
            
            $
            1,103.53
            
            
            
            
            
            
            $
            986.17Net
      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
            
            
            
            
            
            
            $
            1,142.68






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






F-10
 Table of Contents




Grant
Park 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 (Note 4).




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-11
 Table of Contents




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.  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.




Fair value
of financial instruments:  All of the Partnership’s assets and
liabilities are considered financial instruments and are reflected at fair
value, or at carrying amounts that approximate fair value because of the short
maturity of the instruments.




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.  Through August 31, 2005, Class B units incurred these
expenses at an annual rate of 90 basis points (0.90
percent).  Effective September 1, 2005, the annual rate was decreased
to 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, 2007, all organization and
offering costs incurred by the General Partner have been
reimbursed.  The General Partner intends to 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, 2007 and 2006,
included in receivable from General Partner is $500,000 and $500,000,
respectively, related to the reimbursement of organization and offering expenses
of the Partnership.






F-12
 Table of Contents




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 2005 and 2006 financial statements have been reclassified to
conform with the 2007 presentation.




Recently
adopted accounting pronouncements:  On July 13, 2006, the
Financial Accounting Standards Board (“FASB”) released FASB Interpretation No.
48 Accounting
for Uncertainty in Income Taxes (“FIN 48”).  FIN 48 provides
guidance for how uncertain tax positions should be recognized, measured,
presented and disclosed in the financial statements.  FIN 48 requires
the evaluation of tax positions taken or expected to be taken in the course of
preparing the Partnership’s tax returns to determine whether the tax positions
are “more-likely-than-not” of being sustained by the applicable tax
authority.  Tax positions not deemed to meet the more-likely-than-not
threshold would be recorded as a tax benefit or expense in the current
year.  The adoption of FIN 48 was effective for the Partnership on
January 1, 2007, and did not impact our financial position, results of
operations or cash flows.




Recent
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.  SFAS No. 157 also emphasizes that fair
value is a market-based measurement, not an entity-specific measurement, and
sets out a fair value hierarchy with the highest priority being quoted prices in
active markets.  Under SFAS No. 157, fair value measurements are disclosed
by level within that hierarchy.  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.




In
February 2007, the FASB issued Statement of Financial Accounting Standards No.
159, The Fair
Value Option for Financial Assets and Financial Liabilities (“SFAS No.
159”).  SFAS No. 159 permits companies to elect to follow fair value
accounting for certain financial assets and liabilities in an effort to mitigate
volatility in earnings without having to apply complex hedge accounting
provisions.  The standard also establishes presentation and disclosure
requirements designed to facilitate comparison between entities that choose
different measurement attributes for similar types of assets and
liabilities.  SFAS No. 159 is effective for fiscal years beginning after
November 15, 2007.  SFAS No. 159 is not expected to have a material impact
on the Partnership’s financial position, results of operations or cash
flows.




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 is not expected to have
a material impact on the Partnership’s financial
statements.






F-13
 Table of Contents




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
allocates the assets invested by the Partnership to Winton through one or more
managed accounts, to be traded pursuant to Winton’s Diversified Program, the
same trading program Winton previously traded for the
Partnership.  The GP Class entered into an advisory agreement with
Winton with respect to the managed account which is substantially similar to the
Partnership’s previous trading advisory agreement with Winton.  The
Partnership owns all of the outstanding Class GP units of the GP
Class.  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.  The General Partner of the Partnership is also the
Investment Manager of Dearborn Select.




As of
December 31, 2007, the Partnership’s interest in Dearborn Select constituted
21.6% of the Partnership’s net assets.  Summarized information
reflecting the total assets, liabilities and capital for Dearborn Select is
shown in the following table.




December
      31, 2007Total
      Assets
            
            $
            100,252,828Total
      Liabilities
            
            $
            1,463,832Total
      Capital
            
            $
            98,788,996






Summarized
information reflecting the Partnership’s investment in, and the operations of,
Dearborn Select at December 31, 2007, is shown in the following
table.




%
      ofPartnership’s
            
            
            Fair
            
            
            Total
            
            
            Expenses
            
            
            Net
            
            Investment
            LiquidityNet Assets
            
            
            Value
            
            
            Income
            
            
            Commissions
            
            
            Other
            
            
            Income
            
            Objective
            Provision21.6
            %
            
            $
            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-14
 Table of Contents




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 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 Dearborn Select 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., and Welton Investment
Corporation to act as the Partnership’s commodity trading advisors (the
“Advisors”).  The Advisors are paid a quarterly management fee ranging
from 1 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 24 percent of the new trading
profits on the allocated net assets of the Advisor, which amounted to fees of
$7,017,463, $3,823,552, and $1,643,676 for the years ended December 31,
2007, 2006, and 2005, 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.




Through
August 31, 2005, the Partnership paid the General Partner a monthly
brokerage commission equal to one twelfth of 7.75 percent (7.75 percent
annualized) and effective September 1, 2005, one twelfth of 7.55 percent (7.55
percent annualized) of month-end net assets for Class A
units.    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, management fees paid to the
Advisors, compensation to the selling agents and an amount to the General
Partner for management services rendered.






F-15
 Table of Contents




NOTE
6.  OPERATING EXPENSES


Operating
expenses of the Partnership are paid for by the General Partner and reimbursed
by the Partnership.  Through August 31, 2005, operating expenses of
the Partnership were limited to 0.35 percent per year of the average month-end
net assets of the Partnership.  Effective September 1, 2005, these
expenses 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.  For the year ended December 31, 2007, the operating
expenses incurred by the Partnership were less than the percentages outlined
above.  Accordingly, at December 31, 2007 and 2006, included in
receivable from General Partner is $250,000 and $200,000, 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 an amount equal to the net asset value per unit, as defined, represented by
the units to be redeemed.  The right to obtain redemption is also
contingent upon the Partnership’s having property sufficient to discharge its
liabilities on the redemption date and may be delayed if the General Partner
determines that earlier liquidation of commodity interest positions to meet
redemption payments would be detrimental to the Partnership or nonredeeming
Limited Partners.




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




NOTE
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-16
 Table of Contents




2007
              
              
              2006
              
              
              2005


Total
      return – Class A Units
            
            
            12.63
            %
            
            
            9.11
            %
            
            
            (3.44
            )%Total
      return – Class B Units
            
            
            11.76
            %
            
            
            8.28
            %
            
            
            (4.25
            )%Ratios
      as a percentage of average net assets: *Interest
      income
            
            
            4.24
            %
            
            
            4.78
            %
            
            
            2.90
            %Expenses
      prior to incentive fees
            
            
            7.62
            %
            
            
            7.95
            %
            
            
            7.50
            %Incentive
      fees
            
            
            1.70
            %
            
            
            1.13
            %
            
            
            0.57
            %Total
      expenses
            
            
            9.32
            %
            
            
            9.08
            %
            
            
            8.07
            %Net
      investment (loss) **
            
            
            (3.38
            )%
            
            
            (3.17
            )%
            
            
            (4.60
            )%




*
            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,
2007, 2006 and 2005.




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, 2004
            
            $
            1,103.53
            
            
            $
            986.17Income
      (loss) from operationsNet
      realized and change in unrealized gain from trading
            
            
            26.04
            
            
            
            21.95Expenses
      net of interest income*
            
            
            (62.15
            )
            
            
            (57.29
            )Total
      income (loss) from operations
            
            
            (36.11
            )
            
            
            (35.34
            )Organization
      and offering costs*
            
            
            (1.85
            )
            
            
            (6.55
            )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
            
            
            213.92
            
            
            
            187.11Expenses
      net of interest income*
            
            
            (65.12
            )
            
            
            (61.82
            )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
            
            
            $
            1,142.68




*           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.








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






F-17
 Table of Contents




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, 2007,
2006 and 2005, 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-18
 Table of Contents




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,
      2007
              
              
              December 31,
      2006
              
              
              December 31,
      2007
              
              
              December 31,
      2006
              
              
              December 31,
      2007
              
              
              December 31,
      2006
              
              
              December 31,
      2007
              
              
              December 31,
      2006Gross
      unrealized gains
              
              $
              14,183,671
              
              
              $
              20,243,989
              
              
              $
              2,046,350
              
              
              $
              5,208,155
              
              
              $
              319,432
              
              
              $
              –
              
              
              $
              16,549,453
              
              
              $
              25,452,144Gross
      unrealized (losses)
              
              
              (6,807,992
              )
              
              
              (9,329,879
              )
              
              
              (3,604,621
              )
              
              
              (5,860,782
              )
              
              
              –
              
              
              
              –
              
              
              
              (10,412,613
              )
              
              
              (15,190,661
              )Net
      unrealized gain (loss)
              
              $
              7,375,679
              
              
              $
              10,914,110
              
              
              $
              (1,558,271
              )
              
              $
              (652,627
              )
              
              $
              319,432
              
              
              $
              –
              
              
              $
              6,136,840
              
              
              $
              10,261,483




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 EVENT




From
January 1, 2008 to March 26, 2008, there were contributions and
redemptions totaling approximately $22,985,000 and $6,519,000
respectively.






F-19
 Table of Contents




Independent
Auditor’s Report






To the
Shareholders


Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio


Grand
Cayman, Cayman Islands




We have
audited the accompanying statement of financial condition, including the
condensed schedule of investments of Dearborn Select Master Fund, SPC – Winton
Segregated Portfolio (the “Company”), as of December 31, 2007, and the
related statements of operations, changes in shareholders' equity and cash flows
for 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, 2007, and the results of its
operations and its cash flows for 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 26,
2008






















McGladrey &
Pullen, LLP is a member firm of RSM International –


an
affiliation of separate and independent legal entities.






F-20
 Table of Contents




Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio


Statements
of Financial Condition


December
31, 2007


(Expressed
in U.S. dollars)




AssetsEquity
      in broker trading account:Cash
            
            $
            7,377,530U.S.
      Government securities, at fair value
            
            
            12,469,108Unrealized
      gain on open futures contracts, net
            
            
            1,250,392Deposits
      with broker
            
            
            21,097,030Cash
      and cash equivalents
            
            
            47,614,107Commercial
      paper
            
            
            8,458,676Government-sponsored
      enterprises
            
            
            22,731,032Interest
      receivable
            
            
            351,983Total
      assets
            
            $
            100,252,828Liabilities
      and Shareholders’ EquityLiabilitiesBrokerage
      commission payable
            
            $
            258,428Accrued
      incentive fees
            
            
            1,175,356Management
      fee payable
            
            
            1,948Other
      payables
            
            
            28,100Total
      liabilities
            
            
            1,463,832Shareholders’
      equityClass
      GP
            
            
            98,629,036Class
      A
            
            
            159,960Total
      shareholders’ equity
            
            
            98,788,996Total
      liabilities and shareholders’ equity
            
            $
            100,252,828










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






F-21
 Table of Contents




Dearborn
Select 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.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.






Commercial
paper




Face Value
            
            Maturity Date
            Description
            
            Fair Value
            
            
            Percent of Shareholders' Equity$
            2,000,000
            
            1/10/2008
            Progress
      Energy Co.
            
            $
            1,997,335
            
            
            
            2.0
            %3,500,000
            
            2/8/2008
            Zions
      Banc Corp.
            
            
            3,481,491
            
            
            
            3.5
            %3,000,000
            
            2/22/2008
            GE
      Capital
            
            
            2,979,850
            
            
            
            3.0
            %Total
      Commercial paper
            
            $
            8,458,676
            
            
            
            8.5
            %




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






F-22
 Table of Contents




Dearborn
      Select Master Fund, SPC – Winton Segregated
  Portfolio


Condensed
      Schedule of Investments
(continued)


December 31,
      2007


(Expressed
      in U.S. dollars)






Government-sponsored
enterprises




Face Value
            
            Maturity
    Date
            Description
            
            Fair Value
            
            
            Percent of Shareholders' Equity$
            2,000,000
            
            6/15/2008
            Federal
      National Mortgage Assoc.
            
            $
            2,004,289
            
            
            
            2.0
            %3,500,000
            
            7/16/2008
            Federal
      Home Loan
            
            
            3,585,502
            
            
            
            3.6
            %3,000,000
            
            8/1/2008
            Farmer
      Mac
            
            
            3,066,692
            
            
            
            3.1
            %3,000,000
            
            10/8/2008
            Farmer
      Mac
            
            
            3,031,333
            
            
            
            3.1
            %1,000,000
            
            10/30/2008
            Federal
      Home Loan
            
            
            1,007,500
            
            
            
            1.0
            %3,000,000
            
            11/19/2008
            Federal
      Home Loan
            
            
            3,016,188
            
            
            
            3.1
            %3,000,000
            
            11/24/2008
            Federal
      Home Loan
            
            
            3,002,328
            
            
            
            3.1
            %2,000,000
            
            11/28/2008
            Federal
      Home Loan
            
            
            2,008,342
            
            
            
            2.0
            %2,000,000
            
            12/1/2008
            Federal
      Home Loan
            
            
            2,008,858
            
            
            
            2.0
            %Total
      Government-sponsored enterprises
            
            $
            22,731,032
            
            
            
            23.0
            %






U.S. Government
Securities ***


Face
      Value
            
            
            
            Fair
      Value
            
            
            Percent
      of Shareholders' Equity$
            12,500,000
            
            U.S.
      Treasury Bills, January 31, 2008
            
            $
            12,469,108
            
            
            
            12.6
            %Total
      U.S. Government Securities (cost $12,466,751)
            
            $
            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-23
 Table of Contents




Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio


Statement
of Operations


Period
from June 1, 2007 (commencement of operations) through December 31,
2007


(Expressed
in U.S. dollars)




Investment
      IncomeInterest
            
            $
            2,547,5792,547,579ExpensesBrokerage
      commissions
            
            
            1,767,930Management
      fees
            
            
            1,948Incentive
      fees
            
            
            2,662,4904,432,368Net
      investment (loss)
            
            
            (1,884,789
            )Trading
      gainsRealized
      gains from trading
            
            
            10,066,605Change
      in unrealized gains from trading
            
            
            1,250,392Total
      trading gains
            
            
            11,316,997Increase
      in net assets arising from operations
            
            $
            9,432,208






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






F-24
 Table of Contents




Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio


Statements
of Cash Flows


Period from June 1,
2007 (commencement of operations) through December 31, 2007


(Expressed
in U.S. dollars)




Cash
      flows used in operating activitiesIncrease
      in net assets arising from operations
            
            $
            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
            
            
            (12,469,108
            )Net
      change in unrealized gain on open futures contracts, net
            
            
            (1,250,392
            )Net
      purchases of investments in Commercial paper
            
            
            (8,458,676
            )Net
      purchases of investments in Government-sponsored
    enterprises
            
            
            (22,731,032
            )Increase
      in interest receivable
            
            
            (351,983
            )Increase
      in brokerage commission payable
            
            
            258,428Increase
      in accrued incentive fees
            
            
            1,175,356Increase
      in management fee payable
            
            
            1,948Increase
      in other payables
            
            
            28,100Net
      cash used in operating activities
            
            
            (34,365,151
            )Cash
      flows provided by financing activitiesProceeds
      from issuance of shares
            
            
            89,356,788Net
      cash provided by financing activities
            
            
            89,356,788Net
      increase in cash and cash equivalents
            
            
            54,991,637Cash
      and cash equivalentsBeginning
      of year
            
            
            –End
      of year
            
            $
            54,991,637End
      of year cash and cash equivalents consists of:Cash
      in broker trading accounts
            
            $
            7,377,530Cash
      and cash equivalents
            
            
            47,614,107Total
      end of year cash and cash equivalents
            
            $
            54,991,637






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






F-25
 Table of Contents




Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio


Statement
of Changes in Shareholder’s Equity


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
                ofshares
              
              
              —
              
              
              
              —
              
              
              
              —
              
              
              
              —
              
              
              
              —
              
              
              
              —
              
              
              
              —
              
              
              
              —
              
              
              
              —
              
              
              
              —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
              
              
              $
              98,788,996Net
      asset value
                per share at
                December 31,
                2007
              
              
              
              
              $
              1,105.56
              
              
              
              
              
              $
              1,101.65






*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-26
 Table of Contents




Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio


Notes
to Financial Statements




NOTE
1.  ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES




Organization:  Dearborn
Select Master Fund, SPC – Winton Segregated Portfolio (the “Company”) 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 Company commenced operations on June 16,
2006.  The Company’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
Company 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 Company’s assets pursuant
to its trading methods and strategies.




Winton
Segregated Portfolio is a segregated portfolio of the Company and commenced
operations on June 1, 2007.  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 allocates to the Winton Segregated Portfolio which is 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 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.  Market value of exchange-traded contracts is
based upon exchange settlement prices.  Market value of
non-exchange-traded contracts is based on third party quoted dealer values on
the Interbank market.  Commercial paper is stated at cost plus accrued
interest, which approximates market value.




Recent
accounting pronouncements:  In September 2006, the Financial
Accounting Standards Board (“FASB”) issued Statement of Financial Accounting
Standards No. 157, Fair
Value






F-27
 Table of Contents




Measurements
(“SFAS No. 157”).  SFAS  No. 157, defines fair value,
establishes a framework for measuring fair value and expands disclosures about
fair value measurement.  SFAS No. 157 also emphasizes that fair value
is a market-based measurement, not an entity-specific measurement, and sets out
a fair value hierarchy with the highest priority being quoted prices in active
markets.  Under SFAS No. 157, fair value measurements are disclosed by
level within that hierarchy.  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 is effective for Winton Segregated Portfolio on
January 1, 2008, and did not impact our financial position, results of
operations or cash flows.




In February 2007, the FASB issued Statement of Financial
Accounting Standards No. 159, The Fair Value
Option for Financial Assets and Financial Liabilities (“SFAS No.
159”).  SFAS No. 159 permits companies to elect to follow fair value
accounting for certain financial assets and liabilities in an effort to mitigate
volatility in earnings without having to apply complex hedge accounting
provisions.  The standard also establishes presentation and disclosure
requirements designed to facilitate comparison between entities that choose
different measurement attributes for similar types of assets and
liabilities.  SFAS No. 159 is effective for fiscal years beginning after
November 15, 2007.  SFAS No. 159 is not expected to have a material impact
on Winton Segregated Portfolio’s financial position, results of operations
or cash flows.




NOTE
2.  COMMODITY TRADING ADVISORS




The
Company 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 from its
management fee for the Advisor’s services to the Winton Segregated Portfolio in
accordance with the Offering Memorandum.




NOTE
3.  INCOME TAXES




Under the
current law of the Cayman Islands, there are no income, withholding, capital,
corporation, inheritance or estate taxes.  The Company 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.




NOTE
5.  SHAREHOLDER’S EQUITY




The
Company 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.






F-28
 Table of Contents




A
shareholder may redeem part of or all of his shares in the Company on any day on
one business day’s notice.  No redemption fees or penalties will be
assessed on redemptions.  The Company 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.  FINANCIAL HIGHLIGHTS




Per share operating performance, total
return and selected ratios for the period from June 1, 2007 through December 31,
2007 are provided in the tables below.




Winton Segregated
      PortfolioClass GP
            
            
            Class ATotal
      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
            %








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
            
            
            $
            1,101.65




*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 unit above is computed based on the average number of
shares outstanding during the period.




The
interest income, expenses prior to incentives fees and net investment income
ratios are computed based upon the shareholder’s weighted average net
assets for the period from June 1, 2007 (commencement of operations) through
December, 31, 2007 for Winton Segregated Portfolio Class GP and for the period
from August 1, 2007 (commencement of operations) through December 31, 2007 for
Winton Segregated Portfolio Class A.




NOTE
7.  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






F-29
 Table of Contents




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 period from June 1, 2007 (commencement
of operations) through December 31, 2007 for the Winton Segregated
Portfolio 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.




The
unrealized gain (loss) on open futures and option contracts is comprised of the
following:




Winton
      Segregated Portfolio
              Futures
      Contacts(exchange-traded)
            
            
            TotalDecember 31,
      2007
            
            
            December 31,
      2007Gross
      unrealized gains
            
            $
            3,499,330
            
            
            $
            3,499,330Gross
      unrealized (losses)
            
            
            (2,248,938
            )
            
            
            (2,248,938
            )Net
      unrealized gain (loss)
            
            $
            1,250,392
            
            
            $
            1,250,392






F-30
 Table of Contents




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
8.  INDEMNIFICATIONS




In the
normal course of business, the Company and the Winton Segregated Portfolio enter
into contracts and agreements that contain a variety of representations and
warranties and which provide general indemnifications.  The Company
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
Company and the Winton Segregated Portfolio that have not yet
occurred.  The Company and the Winton Segregated Portfolio expect the
risk of any future obligation under these indemnifications to be
remote.






F-31
 Table of Contents




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 28th day of March, 2008.




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 28, 2008.




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






Table of Contents




EXHIBIT INDEX




Exhibit Number
            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.






Table of Contents




(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)