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Kelly had an older sister Margaret (born September 1925 and nicknamed "Peggy") and two younger sisters, Grace (born November 1929) and Elizabeth Anne (born June 1933 and nicknamed "Lizanne"). Kelly's younger sister Grace would go on to become an Academy Award winning film actress who married Rainier III, Prince of Monaco in 1956. Kelly's nephew is Monaco's current monarch Prince Albert II. The children were raised in a 17-room house on Henry Avenue in East Falls, Philadelphia