Grant Park Futures Fund Limited Partnership 10-Q 2006 Q1 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

ý QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF

THE SECURITIES EXCHANGE ACT OF 1934

For the Quarterly Period Ended: March 31, 2006

o 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	36-3596839
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)
c/o Dearborn Capital Management, L.L.C. 555 West Jackson Boulevard, Suite 600 Chicago, Illinois 60661
(Address of principal executive offices, including zip code)
Registrant’s telephone number, including area code: (312) 756-4450

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 ý No ¨

Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer ¨      Accelerated filer ¨      Non-accelerated filer ý

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

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

QUARTER ENDED March 31, 2006

INDEX

PART I - FINANCIAL INFORMATION
	Item 1.	Financial Statements	1
		Statements of Financial Condition as of March 31, 2006 (unaudited) and December 31, 2005 (audited)	1
		Condensed Schedule of Investments as of March 31, 2006 (unaudited)	2
		Condensed Schedule of Investments as of December 31, 2005 (audited)	3
		Statements of Operations for the three months ended March 31, 2006 and 2005 (unaudited)	4
		Statements of Changes in Partners’ Capital (Net Asset Value) for the three months ended March 31, 2006 (unaudited)	5
		Notes to Financial Statements (unaudited)	6
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	11
	Item 3.	Quantitative and Qualitative Disclosures About Market Risk	16
	Item 4.	Controls and Procedures	20
PART II - OTHER INFORMATION			20
	Item 1A.	Risk Factors	20
	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	20
	Item 6.	Exhibits	22
SIGNATURES			23

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

Grant Park Futures Fund Limited Partnership

Statements of Financial Condition

	March 31, 2006			December 31, 2005
	(Unaudited)
Assets
Equity in brokers’ trading accounts:
U.S. Government securities, at market value	$	58,299,491		$	56,339,226
Cash		(9,103,126	)		(2,082,929	)
Unrealized gain on open contracts, net		20,674,739			5,227,765
Deposits with broker		69,871,104			59,484,062
Cash and cash equivalents		249,188,557			246,308,100
Interest receivable		689,081			853,571
Receivable from General Partner		–			600,000
Total assets	$	319,748,742		$	307,245,733
Liabilities and Partners’ Capital
Liabilities
Brokerage commission payable	$	1,852,361		$	1,774,928
Accrued incentive fees		814,614			–
Organization and offering costs payable		138,506			130,755
Accrued operating expenses		65,259			62,302
Pending partner additions		6,274,660			7,235,097
Redemptions payable		6,340,237			8,144,832
Total liabilities		15,485,637			17,347,914
Partners’ Capital
General Partner ( 2,867.79 and 2,839.96 units outstanding at March 31, 2006 and December 31, 2005, respectively)		3,182,899			3,026,173
Limited Partners
Class A ( 44,068.32 and 48,216.06 units outstanding at March 31, 2006 and December 31, 2005, respectively)		48,910,477			51,377,474
Class B ( 256,938.50 and 249,391.39 units outstanding at March 31, 2006 and December 31, 2005, respectively)		252,169,729			235,494,172
Total partners’ capital		304,263,105			289,897,819
Total liabilities and partners’ capital	$	319,748,742		$	307,245,733

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

Grant Park Futures Fund Limited Partnership

Condensed Schedule of Investments

March 31, 2006

(Unaudited)

	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’ Capital
Futures Contracts *
U.S. Futures Positions:
Currencies	$	350,629			0.1	%	$	177,627			0.1	%	$	528,256			0.2	%
Energy		194,369			0.1	%		(61,236	)		**			133,133			**
Grains		(492,064	)		(0.2	)%		(44,505	)		**			(536,569	)		(0.2	)%
Interest rates		(24,540	)		**			3,614,685			1.2	%		3,590,145			1.2	%
Meats		(8,280	)		**			1,256,195			0.4	%		1,247,915			0.4	%
Metals		3,355,922			1.1	%		(186	)		**			3,355,736			1.1	%
Soft commodities		1,742,619			0.6	%		284,459			0.1	%		2,027,078			0.7	%
Stock indices		488,296			0.2	%		–			**			488,296			0.2	%
Total U.S. Futures Positions		5,606,951						5,227,039						10,833,990
Foreign Futures Positions:
Energy		122,763			**			–			**			122,763			**
Interest rates		(38,118	)		**			5,787,680			1.9	%		5,749,562			1.9	%
Metals		2,559,476			0.8	%		(1,895,970	)		(0.6	)%		663,506			0.2	%
Soft commodities		11,435			**			(2,570	)		**			8,865			**
Stock indices		2,498,574			0.8	%		41,661			**			2,540,235			0.8	%
Total Foreign Futures Positions		5,154,130						3,930,801						9,084,931
Total Futures Contracts	$	10,761,081			3.5	%	$	9,157,840			3.0	%	$	19,918,921			6.5	%
Forward Contracts *
Currencies	$	(2,362,089	)		(0.8	)%	$	3,117,907			1.0	%	$	755,818			0.2	%
Total Futures and Forward Contracts	$	8,398,992			2.8	%	$	12,275,747			4.0	%	$	20,674,739			6.8	%

____________

* No futures and forward contract positions 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.

U.S. Government Securities:		Value	Percent of Partners’ Capital
Face Value
$58,500,000	U.S. Treasury Bills, April 27, 2006	$58,299,491	19.2%
	Total U.S. Government Securities (cost $58,291,807)	$58,299,491

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

2

Grant Park Futures Fund Limited Partnership

Condensed Schedule of Investments

December 31, 2005

	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’ Capital
Futures Contracts *
U.S. Futures Positions:
Currencies	$	(442,058	)		(0.2	)%	$	134,786			0.1	%	$	(307,272	)		(0.1	)%
Energy		82,867			**			(351,494	)		(0.1	)%		(268,627	)		(0.1	)%
Grains		109,812			**			(537,600	)		(0.2	)%		(427,788	)		(0.2	)%
Interest rates		58,095			**			(192,668	)		(0.1	)%		(134,573	)		(0.1	)%
Meats		67,012			**			940			**			67,952			**
Metals		1,158,952			0.4	%		-			**			1,158,952			0.4	%
Soft commodities		1,974,357			0.7	%		(101,017	)		**			1,873,340			0.6	%
Stock indices		(1,154,901	)		(0.4	)%		5,000			**			(1,149,901	)		(0.4	)%
Total U.S. Futures Positions		1,854,136						(1,042,053	)					812,083
Foreign Futures Positions:
Energy		137,381			0.1	%		13,770			**			151,151			0.1	%
Interest rates		1,439,877			0.5	%		355,445			0.1	%		1,795,322			0.6	%
Metals		6,040,628			2.1	%		(2,479,122	)		(0.9	)%		3,561,506			1.2	%
Soft commodities		34,454			**			(10,785	)		**			23,669			**
Stock indices		2,433,469			0.8	%		(141,720	)		**			2,291,749			0.8	%
Total Foreign Futures Positions		10,085,809						(2,262,412	)					7,823,397
Total Futures Contracts	$	11,939,945			4.1	%	$	(3,304,465	)		(1.1	)%	$	8,635,480			3.0	%
Forward Contracts *
Currencies	$	(3,417,240	)		(1.2	)%	$	9,525			**		$	(3,407,715	)		(1.2	)%
Total Futures and Forward Contracts	$	8,522,705			2.9	%	$	(3,294,940	)		(1.1	)%	$	5,227,765			1.8	%

____________

*No futures and forward contract positions 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.

U.S. Government Securities:		Value	Percent of Partners’ Capital
Face Value
$57,500,000	U.S. Treasury Bills, January 26, 2006	$56,339,226	19.4%
	Total U.S. Government Securities (cost $56,346,912)	$56,339,226

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

3

Grant Park Futures Fund Limited Partnership

Statements of Operations

	Three Months Ended March 31,
	2006		2005
	(Unaudited)
Income
Trading gains (losses)
Realized	$	949,696	$	(7,352,581	)
Change in unrealized		15,446,973		2,854,203
Net gains/(losses) from trading		16,396,669		(4,498,378	)
Interest income		2,950,986		1,651,711
Total income/(loss)		19,347,655		(2,846,667	)
Expenses
Brokerage commission		6,087,330		5,828,405
Incentive fees		814,614		671,156
Operating expenses		192,157		256,876
Total expenses		7,094,101		6,756,437
Net income/(loss)	$	12,253,554	$	(9,603,104	)
Increase (decrease) in net asset value per unit for the period:
General Partner & Class A unit Limited Partner	$	44.87	$	(35.26	)
Class B unit Limited Partner	$	38.66	$	(32.08	)

 

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

4

Grant Park Futures Fund Limited Partnership

Statements of Changes in Partners’ Capital (Net Asset Value)

(Unaudited)

					Limited Partners						Limited Partners
	General Partner				Class A						Class B
	Number of Units		Amount		Number of Units			Amount			Number of Units			Amount			Total Amount
Partners’ capital, December 31, 2005		2,839.96	$	3,026,173		48,216.06		$	51,377,474			249,391.39		$	235,494,172		$	289,897,819
Contributions		27.83		30,000		482.94			522,993			22,061.05			21,042,641			21,595,634
Redemptions		—		—		(4,630.68	)		(5,055,753	)		(14,513.94	)		(14,021,812	)		(19,077,565	)
Offering Costs		—		—		—			(27,420	)		—			(378,917	)		(406,337	)
Net income/(loss)		—		126,726		—			2,093,183			—			10,033,645			12,253,554
Partners’ capital, March 31, 2006		2,867.79	$	3,182,899		44,068.32		$	48,910,477			256,938.50		$	252,169,729		$	304,263,105
Net asset value per unit at January 1, 2006								$	1,065.57					$	944.28
Net asset value per unit at March 31, 2006								$	1,109.88					$	981.44

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

5

Notes to Financial Statements

(Unaudited)

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 its 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”) and 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, as amended (the “Securities Act”) 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 the General Partner and the Partnership. Through these trading advisors, 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.

The Partnership has elected not to provide statements of cash flows as permitted by Statement of Financial Accounting Standards No. 102, Statements of Cash Flows - Exemption of Certain Enterprises and Classification of Cash Flows from Certain Securities Acquired for Resale.

Offerings of securities and use of proceeds: On June 30, 2003, the Securities and Exchange Commission declared effective the Partnership’s Registration Statement on Form S-1 (Reg. No. 333-104317), pursuant to which the Partnership registered for public offering $20 million in aggregate amount of Class A Limited Partnership Units and $180 million in aggregate amount of Class B Limited Partnership Units. Also as of June 30, 2003, the Partnership adopted the Third Amended and Restated Limited Partnership Agreement. The Partnership 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 (Reg. 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 on Form S-1 (File No. 333-119338) on December 1, 2004 (the “Registration Statement”).

Class A Limited Partnership Units and Class B Limited Partnership Units are publicly offered 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 the Partnership’s bank and brokerage accounts for the purpose of engaging in trading activities in accordance with the Partnership’s trading policies and its trading advisors’ respective trading strategies.

Through February 28, 2003, the Partnership issued and sold its limited partnership interests in an offering exempt under the Securities Act of 1933, as amended (the “Securities Act”) pursuant to Section 4(2) thereof and Rule 506 of Regulation D promulgated thereunder. Similar reliance was placed on available exemptions from securities qualification requirements under applicable state securities laws. The purchasers of units in such offering made representations as to their intention to acquire the units for investment only and not with a view to, or for sale in connection with, any distribution thereof, as to their ability to hold such units indefinitely and generally, as to their qualification as accredited investors under the Securities Act and Regulation D promulgated thereunder. Further, such units were restricted as to their transferability.

Presentation of financial information: The financial statements include the accounts of Grant Park Futures Fund Limited Partnership. In our opinion, the accompanying interim, unaudited, financial statements contain all adjustments (consisting of normal recurring accruals) necessary to present fairly the financial position as of March 31, 2006 and the results of operations for the three months ended March 31, 2006 and 2005.

The Partnership considered the following accounting policies as significant to it:

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, U.S. treasury bills and short-term investments in interest-bearing demand deposits with banks and cash managers. The Partnership maintains deposits with high quality financial

6

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 the trade date 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 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. 

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 Dearborn Capital Management, L.L.C. (“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 August 31, 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 assets. “Adjusted net assets” is defined as the month-end net assets of the particular class before accruals for fees and expenses and redemptions. 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 March 31, 2006, all organization and offering costs incurred by the General Partner have been reimbursed.

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.

Note 2. Deposits with Broker

The Partnership deposits assets with a broker 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 broker. The Partnership earns interest income on its assets deposited with the broker.

Note 3. Commodity Trading Advisors

The Partnership has entered into advisory contracts with Rabar Market Research, Inc., EMC Capital Management, Inc., Eckhardt Trading Co., Graham Capital Management, L.P., Winton Capital Management Limited, Saxon Investment Corporation 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 0 percent to 2 percent per annum of the Partnership’s month-end allocated net assets and a quarterly incentive fee ranging from 20 percent to 24 percent of the new trading profits on the allocated net assets of the Advisor.

Note 4. 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% 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

7

net worth in excess of $1,000,000 or such other maximum amount satisfying the requirements then imposed by the NASAA Guidelines.

Effective June 1, 2003, 10 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 and one twelfth of 8.00 percent (8.00 percent annualized) of month-end net assets for Class B units. 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.

Note 5. 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 will be reimbursed pro rata to record-holders as of December 31 of each year.

Note 6. 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 for the redeemed units 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 assets, as defined, represented by the units to be redeemed.

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.

8

Note 7. 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 period. Individual investor’s ratios may vary from these ratios based on various factors, including and among others, the timing of capital transactions.

	Three Months Ended March 31,
	2006			2005
	(Unaudited)
Total return - A Units		4.16	%		(3.24	)%
Total return - B Units		3.94	%		(3.48	)%
Ratios as a percentage of average net assets:
Interest income *		3.98	%		2.30	%
Expenses *		9.57	%		9.42	%
Expenses, net of interest income *		5.59	%		7.12	%

*Annualized

The interest income and total expense ratios above are computed based upon the weighted average net assets of the Partnership for the three months ended March 31, 2006 and 2005 (annualized).

The following per unit performance calculations reflect activity related to the Partnership for the period January 1, 2006 to March 31, 2006.

	A Units			B Units
Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	1,065.57		$	944.28
Income (loss) from operations:
Net realized and change in unrealized gain/(loss) from trading (1)		58.85			52.32
Expenses net of interest income (1)		(13.98	)		(13.66	)
Total income/(loss) from operations		44.87			38.66
Organization and offering costs (1)		(0.56	)		(1.50	)
Net asset value per unit at end of period	$	1,109.88		$	981.44

____________

(1) 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 from January 1, 2006 to March 31, 2006. 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 8. Trading Activities and Related Risks

The Partnership engages in the speculative trading of U.S. and foreign futures contracts, options on U.S. and foreign futures contracts, and forward contracts (collectively, derivatives). These derivatives include both financial and nonfinancial contracts held as part of a diversified trading strategy. The Partnership is exposed to both market risk, the risk arising from changes in the market value of the contracts; and credit risk, the risk of failure by another party to perform according to the terms of a contract.

The purchase and sale of futures and options on futures contracts require margin deposits with FCMs.  Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than the total of cash and other property deposited.

Net trading results from derivatives for the three months ended March 31, 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.

9

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.

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

	Futures Contracts (exchange-traded)						Forward Contracts (non-exchange-traded)						Total
	March 31, 2006			March 31, 2005			March 31, 2006			March 31, 2005			March 31, 2006			March 31, 2005
Gross unrealized gains	$	22,486,390		$	14,042,782		$	3,117,907		$	1,223,623		$	25,604,297		$	15,266,405
Gross unrealized (losses)		(2,567,469	)		(3,915,390	)		(2,362,089	)		(3,984,916	)		(4,929,558	)		(7,900,306	)
Net unrealized gain (loss)	$	19,918,921		$	10,127,392		$	755,818		$	(2,761,293	)	$	20,674,739		$	7,366,099

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 9. Guarantees

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 10. Subsequent Event

From April 1, 2006 to April 28, 2006, there were aggregate contributions to and redemptions from the Partnership totaling approximately $6,275,000 and $4,800,000, respectively.

10

Item 2. 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. Rabar Market Research, Inc., EMC Capital Management, Inc., Eckhardt Trading Company, or ETC, Graham Capital Management, L.P., Winton Capital Management Limited, Saxon Investment Corporation and Welton Investment Corporation serve as Grant Park’s commodity trading advisors. Each of the trading advisors is registered as a commodity trading advisor under the Commodity Exchange Act and is a member of the NFA. As of March 31, 2006, the general partner allocated Grant Park’s net assets among the trading advisors as follows: 20% to Rabar, 22% to EMC, 8% to ETC, 8% to Graham, 19% to Winton, 10% to Saxon and 13% to Welton. The general partner may terminate or replace the trading advisors or retain additional trading advisors in its sole discretion.

On June 30, 2003, the SEC declared effective Grant Park’s Registration Statement on Form S-1 through which it registered up to $20 million in aggregate amount of Class A limited partnership units and $180 million in aggregate amount of Class B limited partnership units. 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 on March 30, 2004, and an additional $700 million in aggregate of Class A and Class B units for sale on a Registration Statement on Form S-1 on December 1, 2004. Pursuant to the Registration Statement, Class A Limited Partnership Units and Class B Limited Partnership Units are publicly offered 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.

Critical Accounting Policies

Grant Park’s most significant accounting policy is the valuation of its assets invested in U.S. and international futures and forward contracts, options contracts and other interests in commodities. The substantial majority of the 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 significant accounting policies are described in detail in Note 1 of the Financial Statements.

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 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.

Results of Operations

11

Grant Park’s net return, which consists of Grant Park’s trading gains plus interest income less brokerage fees, performance fees, operating costs and offering costs borne by Grant Park, for the quarter ended March 31, 2006 was approximately 4.16% for the Class A units and 3.94% for the Class B units. The net asset value at March 31, 2006 was approximately $304.3 million, at December 31, 2005 was approximately $289.9 million and at March 31, 2005 was approximately $293.7 million.

The table below sets forth Grant Park’s trading gains or losses by sector for the three month periods ended March 31, 2006 and 2005.

	% Gain (Loss)
	Three Months Ended March 31
Sector	2006			2005
Interest Rates		1.0	%		1.6	%
Currencies		(1.6	)		(4.2	)
Stock Indices		3.1			(0.5	)
Energy		(0.8	)		0.9
Agriculturals		(1.4	)		1.0
Metals		3.7			(0.6	)
Softs		1.2			0.6
Meats		0.3			(0.2	)
Miscellaneous		0.0			(0.1	)
Total		5.5	%		(1.5	)%

Three months ended March 31, 2006 compared to three months ended March 31, 2005

For the three months ended March 31, 2006, Grant Park had a positive return of approximately 4.2% for the Class A units and 3.9% for the Class B units. On a combined unit basis prior to expenses, approximately 5.5% resulted from trading gains and 1.0% was due to interest income. These gains were offset by approximately 2.5% in brokerage fees, performance fees and operating and offering costs borne by Grant Park. For the same period in 2005, Grant Park had a negative return of approximately 3.2% for the Class A units and a negative return of 3.5% for the Class B units. On a combined unit basis prior to expenses, approximately 1.5% resulted from trading losses which were offset by approximately 0.6% of interest income. These trading losses were further increased by approximately 2.5% in brokerage fees, performance fees and operating and offering costs borne by Grant Park.

Three months ended March 31, 2006

Grant Park ended the first quarter of 2006 up 4.16% in the Class A units and 3.94% in the Class B units. There were two overriding themes that drove Grant Park’s performance during the first quarter: strong equity markets across most international indices and choppy metals and financials markets that seem to have picked up directional momentum at quarter’s end.

International equity indices were strong contributors to Grant Park’s first quarter profitability. Long positions held in a wide variety of markets such as the FTSE 100, Paris CAC, German DAX, Tokyo Nikkei and the Spanish IBEX all benefited as they trended higher throughout the quarter. Favorable business conditions coupled with strong earnings forecasts were reasons analysts gave for global equity strength.

Precious and industrial metals also provided profits to Grant Park as silver and gold traded much higher in anticipation of a silver based Exchange Traded Fund coming to market. Copper also traded higher as inventories versus demand became a large concern.

Interest rates were also minor contributors to profitability as the long end of the curve began to trade lower as there were indications that the Federal Reserve Bank may not be as close to the end of the tightening cycle as the markets had thought.

Contributing to losses in Grant Park were the energy and currency sectors. Both these sectors continued to whip saw back and forth looking for directional momentum. Consequently, positions in these markets have been small relative to the other markets.

Key trading developments for Grant Park during the first three months of 2006 include the following:

Grant Park recorded gains for the month of January. Class A units were up 3.49% for the month while Class B units were up 3.41% for the month. Positions in the metals, stock indices, agricultural/soft commodities and energies were profitable. Losses came from positions in the interest rate and currency sectors. Long positions in gold and silver recorded gains as precious metals rallied on news that Iran had removed U.N. seals from uranium purification equipment, sparking fears of a possible military showdown. Longs

12

in aluminum and zinc were profitable as word that China’s economy grew at a greater-than-expected pace sent prices for base metals higher. Long positions in the stock indices were profitable as a rise in German business confidence led to higher prices on the German DAX. The London FTSE-100 gained ground on strength from steel shares while the S&P Composite Index traded higher after it was reported that U.S. durable goods orders grew for a third straight month in December. Continued South American demand for sugar-based ethanol resulted in profits to long positions in the soft/agricultural commodities as sugar prices settled higher for the month. Longs in the coffee market gained as strong demand during the holiday season pushed prices higher for the month. Longs in the energy sector were profitable as the situation in Iran sparked worries over crude oil and gasoline supplies. Reports that militants had targeted Nigerian refinery operations further added to concerns, driving prices higher. Long positions in the London long gilt and British short sterling sustained losses as prices for interest rate instruments fell on news that December retail sales in the U.K. were better-than-anticipated. Losses also came from short positions in the Canadian bills. Lastly, positions in the currency sector were unprofitable as speculation regarding the direction of interest rates in the U.S. and Europe dominated the sector. Long positions in the Swiss franc lost ground as the currency fell versus the U.S. dollar. Losses also came from positions in the Australian and New Zealand dollars.

Grant Park sustained losses for the month of February. Class A units had a negative return of 3.28% for the month and Class B units had a negative return of 3.35% for the month. Positions in the metal, energy and currency sectors experienced the largest setbacks. Losses were also the result of positions in the agricultural/soft commodities and interest rate products. Profits came from positions in the stock indices. Base and precious metals prices fell during the month, resulting in losses to long positions in the sector. Lower than expected U.S. industrial production data for January sent prices for copper, zinc and aluminum lower. Analysts suggested that an expected increase in mining activity in 2006 was also responsible for the weakness in base metals. Gold and silver were weaker as the possibility of further interest rate increases in the U.S. forced precious metals prices lower. Long positions in the crude oil market led to losses in the energy sector after data showed crude inventories to be at higher levels than the same period last year. This was possibly the result of unseasonably warm weather in the Northeastern United States. Gasoline prices were also lower, causing losses to long positions. Short positions in the currency sector lost ground as the Japanese yen rallied on comments from Bank of Japan officials suggesting that the Central Bank might gradually increase short-term interest rates which have hovered near zero percent since 2001. This caused the currency to appreciate against the euro, British pound and U.S. dollar. Coffee and sugar prices were lower during the month, resulting in losses for long positions in the soft/agricultural sector. Analysts suggested that the weakness stemmed from the expectation that global production of coffee would rise, particularly in Africa, causing investors to take profits on long positions. Long positions in the foreign interest rate products reported losses as prices for the Australia Ten and Three-year bonds closed lower. Losses also came from positions in the U.S Thirty-year Treasury bond. Lastly, long positions in the stock indices made gains on the strength of utility and banking stocks. The German DAX and Spanish IBEX settled higher, benefiting long positions.

Grant Park recorded gains for the month of March. Class A units were up 4.06% for the month while Class B units were up 3.98% for the month. Positions in the interest rates, metals and stock indices posted profits; losses came from positions in the currency, soft/agricultural commodity and energy sectors. Short positions in the Eurodollars and U.S. Treasury instruments benefited as prices for fixed income products fell on the possibility of higher interest rates in the U.S. After raising short term rates for the 15^th consecutive time, the Federal Open Market Committee cautioned that further increases could be needed to balance economic growth and price stability. Short positions in the Eurobund and Euribor benefited as prices fell after the European Central Bank boosted short term interest rates early in the month and then indicated that conditions remained favorable for continued economic expansion. Long positions in silver posted gains as the prospect of the U.S. Securities and Exchange Commission’s approval of a silver-based Exchange Traded Fund sent prices higher on speculation that the approval of the fund would deplete supplies of the precious metal. Long positions in the copper market profited as prices were higher on the expectation that current levels of physical demand could outpace inventories of the base metal. Favorable earnings forecasts for automobile and real estate stocks helped push foreign stock indices higher during the month, which benefited long positions in the London FTSE-100, Paris CAC and German DAX. Gains also came from long positions in the Tokyo Nikkei. Short positions in the foreign currencies recorded losses as the euro and Swiss franc appreciated against the U.S. dollar on the expectation that there might be more room for interest rate hikes in Europe as opposed to the U.S. Wet weather across the Midwestern U.S. led to losses from long positions in the soft/agricultural commodity sector as prices for Kansas City wheat fell after heavy rains blanketed the growing region. Corn prices also fell, resulting in losses for long positions. Finally, short positions in the energy sector reported losses as concerns over supply sent prices for heating oil and gasoline higher for the month.

Three months ended March 31, 2005

During the first quarter of 2005, Grant Park Class A units suffered losses of 3.24% while Class B units lost 3.48%. The bulk of the quarter’s losses were attributable to the currency markets. Having finished 2004 with a strong fourth quarter, Grant Park entered the new year positioned to benefit from continued dollar weakness. During the quarter, however, Grant Park saw the dollar rally substantially. A Central Bank official from Hong Kong reiterated the dollar’s position as a reserve currency. Simultaneously, polls out of Europe saw support for the European constitution slipping, indicating the Euro might become a currency without a “country”. This dollar strength also gave rise to weaknesses in the precious metals as they had been rallying in sympathy with the weak dollar.

13

Profits were made in the energy markets as crude continued its rally on Goldman Sachs’ prediction of the possibility of a price spike of up to $105 a barrel. Initially, the soybean complex offset some losses as the markets rallied. Poor growing conditions in Brazil and strong USDA export numbers coupled with the potential of a “rust” (soybean fungus) problem facing the US crop provided a bid to the soybean and soybean oil markets.

Key trading developments for Grant Park during the first three months of 2005 include the following:

Grant Park’s performance was negative for the first month of the New Year. Class A units were down 5.96% for the month while Class B units were down 6.04%. Losses were sustained across most sectors, with the most significant losses sustained in the currency and stock index sectors. Short U.S. dollar/long European currency positions were hit hard as the U.S. dollar saw its largest gain against the euro since May of 2001 and finished the month up 3.8% over the euro. The U.S. dollar strengthened as economic data released throughout the month provided evidence that the U.S. economy would grow faster than its European counterparts. The dollar was further strengthened following the release of the FOMC (Federal Open Market Committee) minutes from December, which proved more hawkish than prior market expectations, suggesting that the Fed may be more aggressive in tightening interest rates. As a result, positions in the currency sector were pared back and/or reversed going in to February. U.S. stock indices retreated as the threat of higher interest rates weighed heavily on investors’ minds. Long positions in both the S&P 500 Index and the Nasdaq 100 posted losses. Long Hang Seng positions also were unprofitable as shares sold off on worries of capital outflows following the swift U.S. dollar rebound. Additional losses occurred in the metals, energy and agricultural/soft sectors, while modest profits were posted in the financial (fixed income) sector.

Grant Park was profitable for the month of February. Grant Park A units were up 3.42% for the month while the B units were up 3.34% for the month. Profits were concentrated in the stock indices and agricultural/softs sectors, with additional profits in the metals and currency sectors. Losses were attributed to the fixed income sector, while the energy sector was virtually flat. Long positions in global stock indices benefited as strong gains in oil and mining stocks dominated index returns. Net long positions in the grain markets also proved profitable as prices rose amidst forecasts of a continued hot and dry weather pattern across Brazil’s primary growing regions, which would harm crop yields. Additionally, at month’s end the USDA reported a stronger than expected export number which also contributed to higher prices. Soybeans and soybean oil led the rally, increasing more than 17% for the month. Dollar weakness helped support metal prices, adding modest gains to Grant Park’s long positions. The continued weakness in the U.S. dollar also benefited Grant Park’s currency positions, with the most notable winning positions in the sector being long the “commodity” currencies including the Mexican peso, Australian dollar and New Zealand dollar. While short-term interest rate positions were profitable, long term rate positions experienced significant losses creating net losses for the fixed income sector as a whole. The yield curve in the U.S. finally steepened after Alan Greenspan’s testimony before Congress about the “conundrum” posed by the decline in forward rates, generating losses for the Fund’s long positions in both the 30-year and 10-year bond.

March performance was slightly negative for Grant Park. Class A units were down 0.51% while the B units were down 0.59%. Grant Park’s most significant losses were in the currency sector. Long positions in foreign currencies accumulated losses as concerns over inflation sparked a massive rally in the U.S. dollar near month’s end. After the Fed raised short-term interest rates another quarter point on the 22nd of the month, the markets focused on the statements made by the Fed indicating that they are more concerned by the threat of raising inflation than was previously thought. This increased speculation that the Fed may become more aggressive and less “measured” in its approach to increasing interest rates in the near future. Long positions in stock indices also sustained losses as a result of the Fed’s comments and as higher energy prices weighed on the indices. U.S. equities were further damaged by news that General Motors’ 2005 earnings would fall short of estimates, as well as the accounting scandal being uncovered at American International Group. Additional losses were incurred in the metals markets, most notably in long positions in silver and gold as the stronger U.S. dollar made them less attractive holdings. Profits were generated in long positions in the energy sector as prices ended the month stronger. Prices were boosted on the last day of the month following comments from Goldman Sachs warning that ongoing resilient demand could push crude prices as high as $105 per barrel. Additional profits were generated in the interest rate sector, particularly in short positions in U.S short-term interest rate positions, as prices fell following the seventh consecutive interest rate hike by the Fed, as noted above.

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.

14

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 will likely 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.

15

Item 3. 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, 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

16

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 Grant Park’s open positions by market category as of March 31, 2006 and December 31, 2005 and the trading gains/losses by market category for the three months ended March 31, 2006 and the year ended December 31, 2005. All open position trading risk exposures of Grant Park have been included in calculating the figures set forth below. As of March 31, 2006, Grant Park’s net asset value was approximately $304.3 million. As of December 31, 2005, Grant Park’s net asset value was approximately $289.9 million.

As of March 31, 2006

Market Sector	Value at Risk		% of Total Capitalization			Trading Gain/(Loss)
Interest Rates	$	15,840,111		5.2	%		1.0	%
Stock Indices		12,144,036		4.0			3.1
Currencies		5,444,304		1.8			(1.6	)
Metals		3,843,468		1.3			3.7
Softs		1,519,737		0.5			1.2
Energy		1,201,000		0.4			(0.8	)
Agriculturals		581,692		0.2			(1.4	)
Meats		501,700		0.1			0.3
Total	$	41,076,048		13.5	%		5.5	%

As of December 31, 2005

Market Sector	Value at Risk		% of Total Capitalization			Trading Gain/(Loss)
Stock Indices	$	13,288,191		4.6	%		5.1	%
Interest Rates		8,808,384		3.0			(1.0	)
Currencies		5,632,384		2.0			(4.6	)
Metals		2,935,888		1.0			1.2
Energy		1,631,950		0.6			1.0
Softs		1,472,902		0.5			1.7
Agriculturals		963,807		0.3			(1.0	)
Meats		265,480		0.1			(0.1	)
Total	$	34,998,986		12.1	%		2.3	%

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 short term investments. The market risk represented by these investments is also immaterial.

17

Qualitative Market Risk

Trading Risk

The following were the primary trading risk exposures of Grant Park as of March 31, 2006, by market sector.

Interest Rates

Interest rate risk is the 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 March 31, 2006, Grant Park’s interest rate exposure was predominantly short the short and long end of the yield curve around the globe.

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 March 31, 2006, Grant Park’s primary exposures were in the Paris CAC-40 (long), FTSE (long), DAX (long), Nikkei (long), All Ordinaries (long), Hang Seng (long), S&P (long), NASDAQ (long) and Euro Stoxx (long) stock indices. 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.

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 March 31, 2006, Grant Park was positioned to benefit from the effects of a strengthening dollar against most major and minor currencies. The exceptions to this were long positions versus the U.S. dollar in the Eurocurrency and the South African rand.

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 March 31, 2006, long positions in gold and silver accounted for Grant Park’s metal exposure in the precious metals while long positions in both copper and aluminum represented Grant Park’s exposure in the base metals.

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 March 31, 2006, the energy market exposure of Grant Park consisted of minor long positions in crude oil, natural gas and crude products. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Agricultural / Softs

Grant Park’s primary commodities exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions. Sugar, soybean oil and orange juice accounted for Grant Park’s long commodity exposure while cotton, live cattle and soybeans accounted for Grant Park’s short positions as of March 31, 2006.

Non-Trading Risk Exposure

The following were the only non-trading risk exposures of Grant Park as of March 31, 2006.

Foreign Currency Balances

18

Grant Park’s primary foreign currency balances are in Japanese yen, British pounds, Euros and Australian dollars. The trading 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 Harris Trust & Savings Bank and 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 instruments purchased and managed at 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 could cause immaterial 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.

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.

19

Item 4. 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.

There was no change in Grant Park's internal control over financial reporting in the quarter ended March 31, 2006 that has materially affected, or is reasonably likely to materially affect, Grant Park's internal control over financial reporting.

PART II- OTHER INFORMATION

Item 1A. Risk Factors

               There have been no material changes to the risk factors relating to Grant Park from those previously disclosed in Grant Park’s Form 10-K for its fiscal year ended December 31, 2005, in response to Item 1A. to Part I of Form 10-K.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

On June 30, 2003, the Securities and Exchange Commission declared effective Grant Park’s Registration Statement on Form S-1 (Reg. No. 333-104317), pursuant to which Grant Park registered for public offering $20 million in aggregate amount of Class A Limited Partnership Units and $180 million in aggregate amount of Class B Limited Partnership Units. Also as of June 30, 2003, Grant Park adopted the Third Amended and Restated Limited Partnership Agreement, which included modifications required under the Guidelines for the Registration of Commodity Pool Programs promulgated by the North American Securities Administrators Association, Inc. and requested by various state securities regulators in connection with Grant Park’s public offering. Grant Park subsequently registered up to an additional $200 million in aggregate amount of Class A and Class B Limited Partnership Units for sale on a Registration Statement on Form S-1 (Reg. No. 333-113297) on March 30, 2004, and an additional $700 million in aggregate amount of Class A and Class B Limited Partnership Units for sale on a Registration Statement on Form S-1 (File No. 333-119338) on December 1, 2004.

Class A Limited Partnership Units and Class B Limited Partnership Units are being offered on a continuous basis at subsequent closing dates at a price equal to the net asset value per unit as of the close of business on each applicable closing date, which is the last business day of each month. The close of business on July 31, 2003 marked the initial closing date of the public offering. The lead selling agents for the offering are UBS Financial Services Inc., A.G. Edwards & Sons, Inc. and Oppenheimer & Co. Inc. As of the close of business on January 1, 2006, the Class A Limited Partnership Units were offered at $1,065.57 with 84.37 units being sold, and the Class B Limited Partnership Units were offered at $944.28 with 7,556.32 units being sold. As of the close of business on February 1, 2006, the Class A Limited Partnership Units were offered at $1,102.73 with 229.51 units being sold, and the Class B Limited Partnership Units were offered at $976.51 with 6,649.61 units being sold. As of the close of business on March 1, 2006, the Class A Limited Partnership Units were offered at $1,066.60 with 196.89 units being sold, and the Class B Limited Partnership Units were offered at $943.84 with 7,855.12 units being sold. Expenses incurred in connection with the organization and offering of the units, which are paid by the general partner and then reimbursed by Grant Park on a monthly basis (with such reimbursement limited to 0.2% annually of the net asset value of the Class A Units and through August 31, 2005, 0.9% annually, and effective September 1, 2005, 0.6% annually of the Class B Units) amounted to a total of approximately $175,000 for the three months ended March 31, 2006. 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.

20

Issuer Purchases of Equity Securities

(e)The following table provides information regarding the total Class A and Class B units redeemed by Grant Park during the three months ended March 31, 2006.

	(a)		(b)		(a)		(b)		(c)		(d)
Period	Total Number of Class A Units Redeemed		Average Price Paid per Unit		Total Number of Class B Units Redeemed		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)
01/01/06 through 01/31/06		1,414.01	$	1,102.73		4,423.70	$	976.51		5,837.71		(2	)
02/01/06 through 02/28/06		1,700.97	$	1,066.60		5,344.15	$	943.84		7,045.12		(2	)
03/01/06 through 03/31/06		1,515.70	$	1,109.88		4,746.09	$	981.44		6,261.79		(2	)
Total		4,630.68	$	1,093.07		14,513.94	$	967.26		19,144.62		(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. The General Partner may permit earlier redemptions in its discretion.

(2) Not determinable.

21

Item 6. Exhibits

(a)	Exhibits
	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

22

SIGNATURES

Pursuant to the requirements 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.

	GRANT PARK FUTURES FUND LIMITED PARTNERSHIP
Date:  April 28, 2006	By:	Dearborn Capital Management, L.L.C. its General Partner
	By:	/s/ David M. Kavanagh

David M. Kavanagh

President

(principal executive officer)

By:   /s/ Maureen O’Rourke

Maureen O’Rourke

Chief Financial Officer

(principal financial and accounting officer)

23