Grant Park Futures Fund Limited Partnership 424B3 Prospectus supplement

Filed pursuant to Rule 424(b)(3)

File No. 333-119338

March 19, 2009

Grant Park Fund February 2009 Performance Update

Supplement dated March 19, 2009 to Prospectus dated December 3, 2007

February, 2009
	February ROR	YTD ROR	Total NAV	NAV/Unit
Class A Units	-0.80%	-1.71%	$88.8M	$1,543.415
Class B Units	-0.88%	-1.85%	$655.9M	$1,333.395

ALL PERFORMANCE REPORTED IS NET OF FEES AND EXPENSES

Sector Commentary

In February, the losses in the Fund were predominantly in the currency sector.  Long positions in the Japanese yen created losses as the currency dipped against the U.S. dollar.  The decline in the value of the yen was probably caused by sharp declines in the Japanese stock market and by a decrease in demand for Japanese exports.

Long positions in the fixed income markets also had minor losses this month and were primarily attributed to the Fund’s positions in the short-term domestic and international interest rate markets.  U.S. Government stimulus activity increased the debt supply and caused prices to fall, against Grant Park’s positions. The long positions in the Eurodollar, short sterling, and Australian bills markets were among the least profitable positions.

Mixed positions in the metals sector registered setbacks for February. Gold prices nearly reached all-time highs early in February but declined sharply against Grant Park’s long positions at month-end. Increased strength in the U.S. dollar and profit-taking by traders were the likely causes of the sell off.

Performance in the energy market was slightly positive in February.  Short positions in the natural gas markets made gains as a 9% price decrease moved alongside the Fund’s positions.  Those gains were partially offset by losses on short positions in unleaded gas and crude oil.

Solid gains in the equity indices markets helped offset losses during February.  Grant Park’s short positions in the S&P 500 posted profits as investors liquidated equity positions, partially driven by data showing a contraction in the U.S. economy and by ongoing turmoil in the banking sector.  In the Asian markets, short positions in the Japanese Nikkei 225 and Hong Kong Hang Seng indices benefitted from price declines caused by weak export data and the region’s ailing financial sector.

The Fund’s short agricultural positions finished positive for February.  Short positions in corn and lean hogs earned profits as the global recession weighed on demand and prices.  Short positions in the cotton markets were profitable, as cotton prices fell because of reduced demand for cotton in the U.S. textile sector.

Additional Fund Information

Status of the new investment classes withinthe Grant Park Fund

As we have described previously, the Grant Park Fund is in the final stages of completing the registration processes to allow individuals additional alternatives within the Fund.  We continue to obtain approvals by the appropriate federal and state authorities and believe the Fund will be open for additional investments in the near future.

When the new investment classes are available, we will launch a comprehensive campaign to fully inform you and your financial advisor(s) about the changes.

555 W. Jackson Blvd. § Suite 600 § Chicago, IL 60661

Toll Free: 866-242-4055 § Phone: 312-756-4450 § Fax: 312-756-4452

www.dearborncapital.com

IRS Schedule K-1's for 2008

During mid-February, investors with taxable accounts were mailed IRS Schedule K-1’s (Form 1065).  If you have a taxable account and have not yet received a Schedule K-1 for 2008 or if there is an error on the K-1 you did receive, please contact us.

Online Investor Statements

Investors may access their statements online once they have set up their accounts for this purpose. To register for online access, please go to the Customer Services section at www.dearborncapital.com and complete the simple process.  You may also elect to stop receiving paper statements by completing and signing the Request for Paper Statement Elimination form and returning it to our office at the fax number listed below.

If you have any questions or need assistance, please contact our Client Service Operations team at 800-217-7955 or via email at funds@dearborncapital.com.

Sincerely,

David Kavanagh

President

Enclosures

Daily fund performance is available on our website at www.dearborncapital.com along with weekly commentary.   Weekly performance information is also available on our performance hotline at (312)788-2272 or (866) 516-1574 (toll free)

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

FUTURES TRADING INVOLVES A HIGH DEGREE OF RISK AND IS NOT SUITABLE FOR ALL INVESTORS

THIS DOES NOT CONSTITUTE AN OFFER OF ANY SECURITY FOR SALE. OFFERING BY PROSPECTUS ONLY.

555 W. Jackson Blvd. § Suite 600 § Chicago, IL 60661

Toll Free: 866-242-4055 § Phone: 312-756-4450 § Fax: 312-756-4452

www.dearborncapital.com

GRANT PARK FUTURES FUND, LIMITED PARTNERSHIP

ACCOUNT STATEMENT

(PREPARED FROM BOOKS WITHOUT AUDIT)

FOR THE MONTH ENDED

FEBRUARY 28, 2009

Statement of Income

	Month (A Units) In US $			Year to Date (A Units) In US $			Month (B Units) In US $			Year to Date (B Units) In US $			Month Total In US $			Year to Date Total In US $
Trading Income (Loss):
Realized Trading Income (Loss)		(43,487	)		(300,770	)		(319,163	)		(1,930,857	)		(362,650	)		(2,231,627	)
Change in Unrealized Income (Loss)		(181,640	)		(69,983	)		(1,333,112	)		(633,659	)		(1,514,752	)		(703,642	)
Brokerage Commissions		(16,061	)		(29,187	)		(117,880	)		(200,106	)		(133,941	)		(229,293	)
Exchange, Clearing Fees and NFA charges		(28,265	)		(54,937	)		(207,445	)		(374,528	)		(235,710	)		(429,465	)
Other Trading Costs		(62,703	)		(134,421	)		(460,197	)		(909,459	)		(522,900	)		(1,043,880	)
Change in Accrued Commissions		(6,141	)		(9,221	)		(45,063	)		(64,343	)		(51,204	)		(73,564	)
Net Trading Income (Loss)		(338,297	)		(598,519	)		(2,482,860	)		(4,112,952	)		(2,821,157	)		(4,711,471	)
Other Income:
Interest, U.S. Obligations		48,165			110,767			353,496			745,652			401,661			856,419
Interest, Other		53,383			127,074			391,794			853,416			445,177			980,490
US Govt Sec Gain/Loss		(9,470	)		(22,572	)		(69,507	)		(151,581	)		(78,977	)		(174,153	)
Total Income (Loss)		(246,219	)		(383,250	)		(1,807,077	)		(2,665,465	)		(2,053,296	)		(3,048,715	)
Expenses:
Incentive Fees to Trading Managers		(7,062	)		192,906			(51,832	)		1,200,824			(58,894	)		1,393,730
Administrative Fees		18,862			37,961			138,431			258,073			157,293			296,034
O&O Expenses		15,089			30,368			332,234			619,374			347,323			649,742
Brokerage Expenses		456,449			918,645			3,599,205			6,709,892			4,055,654			7,628,537
Illinois Replacement Tax
Total Expenses		483,338			1,179,880			4,018,038			8,788,163			4,501,376			9,968,043
Net Income (Loss)		(729,557	)		(1,563,130	)		(5,825,115	)		(11,453,628	)		(6,554,672	)		(13,016,758	)
Statement of Changes in Net Asset Value
Beginning Balance		90,701,534			89,119,649			566,691,679			554,475,560			657,393,213			643,595,209
Additions					2,601,110			98,996,167			119,085,947			98,996,167			121,687,057
Net Income (Loss)		(729,557	)		(1,563,130	)		(5,825,115	)		(11,453,628	)		(6,554,672	)		(13,016,758	)
Redemptions		(1,141,012	)		(1,326,664	)		(3,922,301	)		(6,167,449	)		(5,063,313	)		(7,494,113	)
Balance at FEBRUARY 28, 2009		88,830,965			88,830,965			655,940,430			655,940,430			744,771,395			744,771,395
Total Units Held at End of The Period					57,554.82602						491,932.60363
Net Asset Value Per Unit					1,543.415						1,333.395
Rate of Return		-0.80	%		-1.71	%		-0.88	%		-1.85	%

To the best of my knowledge and belief the information

contained herein is accurate and complete.

DAVID KAVANAGH, PRESIDENT

FOR DEARBORN CAPITAL MANAGEMENT, LLC

GENERAL PARTNER OF GRANT PARK FUTURES FUND LIMITED PARTNERSHIP