Grant Park Futures Fund Limited Partnership 10-Q 2012 Q1 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the Quarterly Period Ended:  March 31, 2012

oTRANSITION 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. 626 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 x  No o

Indicate by check mark whether the Registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the Registrant was required to submit and post such files).  Yes x  No o

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

Large accelerated filer o	Accelerated filer o
Non-accelerated filer x	Smaller reporting company o

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 o  No x

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

QUARTER ENDED MARCH 31, 2012

INDEX

PART I - FINANCIAL INFORMATION
	Item 1.	Financial Statements
		Consolidated Statements of Financial Condition as of March 31, 2012 (unaudited) and December 31, 2011 (audited)	1
		Consolidated Condensed Schedule of Investments as of March 31, 2012 (unaudited)	2
		Consolidated Condensed Schedule of Investments as of December 31, 2011 (audited)	4
		Consolidated Statements of Operations for the three months ended March 31, 2012 and 2011 (unaudited)	6
		Consolidated Statements of Changes in Partners’ Capital (Net Asset Value) for the three months ended March 31, 2012 and 2011 (unaudited)	7
		Notes to Consolidated Financial Statements (unaudited)	9
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	21
	Item 3.	Quantitative and Qualitative Disclosures About Market Risk	27
	Item 4.	Controls and Procedures	31
PART II - OTHER INFORMATION
	Item 1A.	Risk Factors	31
	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	31
	Item 6.	Exhibits	33
SIGNATURES			34
CERTIFICATIONS			35

PART I - FINANCIAL INFORMATION

Item 1.  Financial Statements

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Financial Condition

	March 31, 2012		December 31, 2011
	(Unaudited)
Assets
Equity in brokers’ trading accounts:
Securities owned, at fair value (cost $19,417,662 and $66,603,904, respectively)	$	19,448,367	$	66,744,630
Cash	99,524,480		27,781,186
Unrealized gain (loss) on open contracts, net	299,080		8,025,123
Total equity in brokers’ trading accounts	119,271,927		102,550,939
Cash and cash equivalents	190,695,301		271,405,439
Securities owned, at fair value (cost $463,175,524 and $464,530,065, respectively)	463,591,009		464,744,436
Interest receivable	43,432		88,659
Total assets	$	773,601,669	$	838,789,473
Liabilities and Partners’ Capital (Net Asset Value)
Liabilities
Brokerage commission payable	$	4,347,062	$	4,866,939
Accrued incentive fees	1,862,811		381,337
Organization and offering costs payable	184,687		200,428
Accrued operating expenses	159,904		173,782
Pending partner additions	3,617,770		3,590,048
Redemptions payable	19,101,210		30,734,748
Total liabilities	29,273,444		39,947,282
Partners’ Capital (Net Asset Value)
General Partner
Class A (2,499.78 and 3,008.66 units outstanding at March 31, 2012 and December 31, 2011)	3,193,002		3,898,734
Class B (0 and 427.01 units outstanding at March 31, 2012 and December 31, 2011)	—		469,305
Legacy 1 Class (1,025.00 units outstanding at both March 31, 2012 and December 31, 2011)	926,925		935,031
Legacy 2 Class (1,000.00 units outstanding at both March 31, 2012 and December 31, 2011)	894,704		903,063
Global 1 Class (1,372.89 units outstanding at both March 31, 2012 and December 31, 2011)	1,192,733		1,200,376
Global 2 Class (1,974.70 units outstanding at both March 31, 2012 and December 31, 2011)	1,698,511		1,710,523
Global 3 Class (0 and 500.00 units outstanding at March 31, 2012 and December 31, 2011)	—		411,298
Limited Partners
Class A (30,236.66 and 32,119.81 units outstanding at March 31, 2012 and December 31, 2011, respectively)	38,621,730		41,622,105
Class B (382,184.00 and 419,169.11 units outstanding at March 31, 2012 and December 31, 2011, respectively)	413,341,260		460,685,410
Legacy 1 Class (4,992.34 and 5,210.84 units outstanding at March 31, 2012 and December 31, 2011, respectively)	4,514,662		4,753,458
Legacy 2 Class (15,778.15 and 16,534.92 units outstanding at March 31, 2012 and December 31, 2011, respectively)	14,116,773		14,932,071
Global 1 Class (13,736.68 and 14,017.11 units outstanding at March 31, 2012 and December 31, 2011, respectively)	11,934,052		12,255,712
Global 2 Class (30,420.19 and 30,586.54 units outstanding at March 31, 2012 and December 31, 2011, respectively)	26,165,552		26,494,677
Global 3 Class (280,028.44 and 277,864.25 units outstanding at March 31, 2012 and December 31, 2011, respectively)	227,728,321		228,570,428
Total partners’ capital (net asset value)	744,328,225		798,842,191
Total liabilities and partners’ capital (net asset value)	$	773,601,669	$	838,789,473

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

1

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

March 31, 2012

(Unaudited)

Futures, Forwards, and Options on Futures Contracts

	Expiration	No. of Contracts		Unrealized gain/(loss) on open long			Percent of Partners’ Capital (Net Asset		Unrealized gain/(loss) on open short			Percent of Partners’ Capital (Net Asset		Net unrealized gain/(loss) on open			Percent of Partners’ Capital (Net
	Dates	Long	Short	contracts			Value)		contracts			Value)		contracts			Asset Value)
Futures Contracts *
U.S. Futures Positions:
Agriculturals				$	3,334,762		0.45	%	$	(526,072	)	(0.07	)%	$	2,808,690		0.38	%
Currencies				$	496,243		0.07	%	$	(447,618	)	(0.06	)%	$	48,625		0.01	%
Energy				$	(1,536,951	)	(0.21	)%	$	2,367,310		0.32	%	$	830,359		0.11	%
Interest rates				$	(63,821	)	(0.01	)%	$	(821,746	)	(0.11	)%	$	(885,567	)	(0.12	)%
Meats				$	(46,928	)	(0.00	)%	$	812,066		0.11	%	$	765,138		0.11	%
Metals				$	(141,835	)	(0.02	)%	$	(108,069	)	(0.01	)%	$	(249,904	)	(0.03	)%
Soft commodities				$	(265,889	)	(0.03	)%	$	1,290,207		0.17	%	$	1,024,318		0.14	%
Stock indices and single stock futures				$	3,307,928		0.44	%	$	73,508		0.01	%	$	3,381,436		0.45	%
Total U.S. Futures Positions				$	5,083,509				$	2,639,586				$	7,723,095
Foreign Futures Positions:
Agriculturals				$	178,584		0.02	%	$	—		0.00	%	$	178,584		0.02	%
Energy				$	(1,385,050	)	(0.19	)%	$	(171	)	0.00	%	$	(1,385,221	)	(0.19	)%
Interest rates				$	3,561,128		0.48	%	$	(306,255	)	(0.04	)%	$	3,254,873		0.44	%
Metals
Aluminum	4/18/2012-6/19/2013	1,931	2,164	$	(13,295,342	)	(1.79	)%	$	10,914,380		1.47	%	$	(2,380,962	)	(0.32	)%
Other metals				$	(6,104,951	)	(0.82	)%	$	2,100,956		0.28	%	$	(4,003,995	)	(0.54	)%
Soft commodities				$	(55,461	)	(0.01	)%	$	3,633		0.00	%	$	(51,828	)	(0.01	)%
Stock indices				$	(113,465	)	(0.01	)%	$	466,755		0.06	%	$	353,290		0.05	%
Total Foreign Futures Positions				$	(17,214,557	)			$	13,179,298				(4,035,259		)
Total Futures Contracts				$	(12,131,048	)	(1.63	)%	$	15,818,884		2.13	%	$	3,687,836		0.50	%
Forward Contracts *
Currencies				$	(976,170	)	(0.13	)%	$	(2,409,806	)	(0.32	)%	$	(3,385,976	)	(0.45	)%
Options on Futures Contracts*
U.S. stock indices				$	1,958		0.00	%	$	(4,738	)	0.00	%	$	(2,780	)	0.00	%
Total Futures, Forward and Options on Futures and Forward Contracts				$	(13,105,260	)	(1.76	)%	$	13,404,340		1.80	%	$	299,080		0.04	%

*No individual futures, forward, or options on futures contract position, other than those presented, constituted greater than 1 percent of partners’ capital (net asset value).  Accordingly, the number of contracts and the expiration dates are not presented.

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

2

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2012

(Unaudited)

U.S. Government securities in brokers’ trading accounts**

Face Value		Maturity Date	Description	Fair Value		Percent of Partners’ Capital (net asset value)
$	19,450,000	4/5/2012-6/28/2012	U.S. Treasury Bills, 0.04-0.07% (cost $19,417,662)	$	19,448,367	2.61	%

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

Securities owned

Bank deposits

Face Value		Maturity Date	Description	Fair Value		Percent of Partners’ Capital (net asset value)
$	41,000,000	5/1/2012-10/19/2012	U.S. Certificates of deposit, 0.4-0.5% (cost $40,999,662)	$	41,064,524	5.52	%

U.S. Commercial paper

Face Value		Maturity Date	Description	Fair Value		Percent of Partners’ Capital (net asset value)
$	42,945,000	5/1/2012-6/29/2012	U.S. Commercial paper, 0.3-0.7% (cost $42,885,230)	$	42,905,039	5.76	%

U.S. Government-sponsored enterprises

Face Value		Maturity Date	Description	Fair Value		Percent of Partners’ Capital (net asset value)
$	275,925,000	9/23/2013-12/15/2014	Federal Farm Credit Bank, 0.2-1.6%	$	276,016,569	37.08	%
$	67,500,000	3/6/2013-10/27/2014	Federal Home Loan Bank, 0.2-0.9%	$	67,591,697	9.08	%
$	12,000,000	1/9/2015	Federal Agricultural Mortgage Corporation, 0.9%	$	12,024,327	1.62	%
		Total U.S. Government-sponsored enterprises (cost $355,336,739)		$	355,632,593	47.78	%

U.S. Government securities

Face Value		Maturity Date	Description	Fair Value		Percent of Partners’ Capital (net asset value)
$	24,000,000	6/28/2012	U.S. Treasury Bills, 0.2% (cost $23,953,893)	$	23,988,853	3.22	%

	Fair Value		Percent of Partners’ Capital (net asset value)
Total securities owned	$	463,591,009	62.28	%

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

3

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2011

Futures, Forwards and Options on Futures Contracts

	Expiration	No. of Contracts		Unrealized gain/(loss) on open long			Percent of Partners’ Capital (Net Asset		Unrealized gain/(loss) on open short			Percent of Partners’ Capital (Net Asset		Net unrealized gain/(loss) on open			Percent of Partners’ Capital (Net
	Dates	Long	Short	contracts			Value)		contracts			Value)		contracts			Asset Value)
Futures Contracts *
U.S. Futures Positions:
Agriculturals				$	585,674		0.07	%	$	(1,895,802	)	(0.24	)%	$	(1,310,128	)	(0.17	)%
Currencies				$	1,033,683		0.13	%	$	1,954,273		0.24	%	$	2,987,956		0.37	%
Energy				$	(66,017	)	(0.01	)%	$	2,482,748		0.31	%	$	2,416,731		0.30	%
Interest rates				$	1,516,424		0.19	%	$	(762,104	)	(0.10	)%	$	754,320		0.09	%
Meats				$	(77,043	)	(0.01	)%	$	(19,996	)	0.00	%	$	(97,039	)	(0.01	)%
Metals				$	(556,221	)	(0.07	)%	$	272,588		0.03	%	$	(283,633	)	(0.04	)%
Soft commodities				$	(23,739	)	0.00	%	$	654,538		0.08	%	$	630,799		0.08	%
Stock indices and single stock futures				$	362,188		0.05	%	$	(32,147	)	0.00	%	$	330,041		0.04	%
Total U.S. Futures Positions				$	2,774,949				$	2,654,098				$	5,429,047
Foreign Futures Positions:
Agriculturals				$	49,468		0.01	%	$	(2,768	)	0.00	%	$	46,700		0.01	%
Energy				$	(43,296	)	(0.00	)%	$	190,332		0.02	%	$	147,036		0.02	%
Interest rates				$	3,769,880		0.47	%	$	(167,601	)	(0.02	)%	$	3,602,279		0.45	%
Metals
Copper	1/18/2012-3/20/2013	464	499	$	(11,127,466	)	(1.39	)%	$	8,698,821		1.09	%	$	(2,428,645	)	(0.30	)%
Aluminum	1/18/2012-3/20/2013	2355	2624	$	(21,274,187	)	(2.66	)%	$	19,699,975		2.46	%	$	(1,574,212	)	(0.20	)%
Other metals				$	(753,673	)	(0.09	)%	$	743,163		0.09	%	$	(10,510	)	0.00	%
Soft commodities				$	(29,165	)	0.00	%	$	70,401		0.01	%	$	41,236		0.01	%
Stock indices				$	212,226		0.03	%	$	101,920		0.01	%	$	314,146		0.04	%
Total Foreign Futures Positions				$	(29,196,213	)			$	29,334,243				138,030
Total Futures Contracts				$	(26,421,264	)	(3.31	)%	$	31,988,341		4.00	%	$	5,567,077		0.69	%
Forward Contracts *
Currencies				$	147,817		0.02	%	$	2,314,511		0.29	%	$	2,462,328		0.31	%
Options on Futures Contracts*
U.S. stock indices				$	3,271		0.00	%	$	(7,553	)	0.00	%	$	(4,282	)	0.00	%
Total Futures, Forward and Options on Futures and Forward Contracts				$	(26,270,176	)	(3.29	)%	$	34,295,299		4.29	%	$	8,025,123		1.00	%

*No individual futures, forward, or options on futures contract position, other than those presented, constituted greater than 1 percent of partners’ capital (net asset value).  Accordingly, the number of contracts and the expiration dates are not presented.

U.S. Government securities in brokers’ trading accounts**

Face Value		Maturity Dates	Description	Fair Value		Percent of Partners’ Capital (net asset value)
$	66,750,000	2/9/2012-7/26/2012	U.S. Treasury Bills, 0.1-0.3% (cost $66,603,904)	$	66,744,630	8.35	%

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

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

4

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2011

Securities owned

Bank deposits

Face Value		Maturity Date	Description	Fair Value		Percent of Partners’ Capital (net asset value)
$	41,000,000	5/1/2012-10/19/2012	U.S. Certificates of deposit, 0.4-0.5% (cost $40,999,662)	$	41,037,669	5.14	%

U.S. Commercial paper

Face Value		Maturity Date	Description	Fair Value		Percent of Partners’ Capital (net asset value)
$	31,300,000	1/24/2012-3/23/2012	U.S. Commercial paper, 0.2-0.5% (cost $31,266,369)	$	31,279,645	3.92	%

U.S. Government-sponsored enterprises

Face Value		Maturity Date	Description	Fair Value		Percent of Partners’ Capital (net asset value)
$	275,875,000	9/23/2013-12/15/2014	Federal Farm Credit Bank, 0.3-1.6%	$	275,919,554	34.54	%
$	67,500,000	3/6/2013-10/27/2014	Federal Home Loan Bank, 0.2-0.9%	$	67,539,449	8.45	%
$	25,000,000	3/19/2012	Federal National Mortgage Association Discount Note, 0.2%	$	24,990,792	3.13	%
		Total U.S. Government-sponsored enterprises (cost $368,310,141)		$	368,449,795	46.12	%

U.S. Government securities

Face Value		Maturity Date	Description	Fair Value		Percent of Partners’ Capital (net asset value)
$	24,000,000	6/28/2012	U.S. Treasury Bills, 0.2% (cost $23,953,893)	$	23,977,327	3.00	%

	Fair Value		Percent of Partners’ Capital (net asset value)
Total securities owned	$	464,744,436	58.18	%

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

5

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Operations

	Three Months Ended March 31,
	2012			2011
	(Unaudited)
Net trading gains (losses)
Net gain (loss) from futures and forward trading
Realized	$	13,792,108		$	21,313,660
Change in unrealized	(7,640,108		)	(11,162,525		)
Commissions	(2,970,555		)	(3,316,550		)
Net gains (losses) from futures and forward trading	3,181,445			6,834,585
Net gain (loss) from equities, equity options and exchange-traded funds
Realized	—			(454,595		)
Change in unrealized	—			462,163
Commissions	—			(113,022		)
Net gains (losses) from equities, equity options and exchange-traded funds	—			(105,454		)
Total trading gains (losses)	3,181,445			6,729,131
Net investment income (loss)
Income
Dividend income	—			33,962
Interest income	496,088			939,118
Total income	496,088			973,080
Expenses from operations
Dividend expense	—			40,063
Brokerage commission	11,343,441			13,659,601
Incentive fees	1,862,811			1,655,846
Organizational and offering costs	571,843			653,463
Operating expenses	495,092			571,595
Total expenses	14,273,187			16,580,568
Net investment loss	$	(13,777,099	)	$	(15,607,488	)
Net loss	$	(10,595,654	)	$	(8,878,357	)

Net loss per unit from operations (based on weighted average number of units
outstanding during the period) and decrease in net asset value per unit for the
period:

General Partner & Limited Partner Class A Units	$	(18.52	)	$	(11.92	)
General Partner & Limited Partner Class B Units	$	(17.52	)	$	(12.21	)
General Partner & Limited Partner Legacy 1 Class Units	$	(7.91	)	$	(2.42	)
General Partner & Limited Partner Legacy 2 Class Units	$	(8.36	)	$	(3.21	)
General Partner & Limited Partner Global 1 Class Units	$	(5.57	)	$	(6.28	)
General Partner & Limited Partner Global 2 Class Units	$	(6.08	)	$	(6.84	)
General Partner & Limited Partner Global 3 Class Units	$	(9.37	)	$	(11.31	)

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

6

Grant Park Futures Fund Limited Partnership

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

Three Months Ended March 31, 2012

(Unaudited)

	Class A										Class B										Legacy 1 Class									Legacy 2 Class
	General Partner					Limited Partners					General Partner					Limited Partners					General Partner				Limited Partners					General Partner				Limited Partners
	Number of Units		Amount			Number of Units		Amount			Number of Units		Amount			Number of Units		Amount			Number of Units	Amount			Number of Units		Amount			Number of Units	Amount			Number of Units		Amount
Partners’ capital, (net asset value) December 31, 2011	3,008.66		$	3,898,734		32,119.81		$	41,622,105		427.01		$	469,305		419,169.11		$	460,685,410		1,025.00	$	935,031		5,210.84		$	4,753,458		1,000.00	$	903,063		16,534.92		$	14,932,071
Contributions	—		—			—		—			—		—			—		—			—	—			40.15		36,650			—	—			604.88		548,158
Redemptions	(508.88	)	(650,000		)	(1,883.15	)	(2,435,481		)	(427.01	)	(461,824		)	(36,985.11	)	(40,528,157		)	—	—			(258.65	)	(236,856		)	—	—			(1,361.65	)	(1,224,278		)
Net loss	—		(55,732		)	—		(564,894		)	—		(7,481		)	—		(6,815,993		)	—	(8,106		)	—		(38,590		)	—	(8,359		)	—		(139,178		)
Partners’ capital, (net asset value) March 31, 2012	2,499.78		$	3,193,002		30,236.66		$	38,621,730		—		$	—		382,184.00		$	413,341,260		1,025.00	$	926,925		4,992.34		$	4,514,662		1,000.00	$	894,704		15,778.15		$	14,116,773

Net asset value per unit at December 31, 2011	$	1,295.84	$	1,099.04	$	912.23	$	903.06
Net asset value per unit at March 31, 2012	$	1,277.32	$	1,081.52	$	904.32	$	894.70

	Global 1 Class									Global 2 Class									Global 3 Class
	General Partner				Limited Partners					General Partner				Limited Partners					General Partner					Limited Partners
	Number of Units	Amount			Number of Units		Amount			Number of Units	Amount			Number of Units		Amount			Number of Units		Amount			Number of Units		Amount			Total Amount
Partners’ capital, (net asset value) December 31, 2011	1,372.89	$	1,200,376		14,017.11		$	12,255,712		1,974.70	$	1,710,523		30,586.54		$	26,494,677		500.00		$	411,298		277,864.25		$	228,570,428		$	798,842,191
Contributions	—	—			332.65		293,420			—	—			1,306.58		1,141,500			—		—			11,771.49		9,724,701			11,744,429
Redemptions	—	—			(613.08	)	(537,393		)	—	—			(1,472.93	)	(1,281,661		)	(500.00	)	(406,616		)	(9,607.30	)	(7,900,475		)	(55,662,741			)
Net loss	—	(7,643		)	—		(77,687		)	—	(12,012		)	—		(188.964		)	—	��	(4,682		)	—		(2,666,333		)	(10,595,654			)
Partners’ capital, (net asset value) March 31, 2012	1,372.89	$	1,192,733		13,736.68		$	11,934,052		1,974.70	$	1,698,511		30,420.19		$	26,165,552		—		$	—		280,028.44		$	227,728,321		$		744,328,225

Net asset value per unit at December 31, 2011	$	874.34	$	866.22	$	822.60
Net asset value per unit at March 31, 2012	$	868.77	$	860.14	$	813.23

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

7

Grant Park Futures Fund Limited Partnership

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

Three Months Ended March 31, 2011

(Unaudited)

	Class A									Class B									Legacy 1 Class									Legacy 2 Class
	General Partner				Limited Partners					General Partner				Limited Partners					General Partner				Limited Partners					General Partner				Limited Partners
	Number of Units	Amount			Number of Units		Amount			Number of Units	Amount			Number of Units		Amount			Number of Units	Amount			Number of Units		Amount			Number of Units	Amount			Number of Units		Amount
Partners’ capital, (net asset  value) December 31, 2010	3,008.66	$	4,478,872		40,362.54		$	60,086,201		427.01	$	542,672		498,484.71		$	633,504,348		1,025.00	$	1,050,542		5,908.00		$	6,055,220		1,000.00	$	1,019,793		6,361.06		$	6,486,967
Contributions	—	—			—		—			—	—			—		—			—	—			124.08		128,000			—	—			2,015.11		2,066,519
Redemptions	—	—			(531.98	)	(795,590		)	—	—			(13,196.95	)	(16,764,389		)	—	—			(490.12	)	(504,278		)	—	—			(63.32	)	(65,224		)
Net loss	—	(35,884		)	—		(471,439		)	—	(5,216		)	—		(5,934,982		)	—	(2,481		)	—		(12,296		)	—	(3,209		)	—		(37,551		)
Partners’ capital, (net asset value) March 31, 2011	3,008.66	$	4,442,988		39,830.56		$	58,819,172		427.01	$	537,456		485,287.76		$	610,804,977		1,025.00	$	1,048,061		5,541.96		$	5,666,646		1,000.00	$	1,016,584		8,312.85		$	8,450,711

Net asset value per unit at December 31, 2010	$	1,488.66	$	1,270.86	$	1,024.92	$	1,019.79
Net asset value per unit at March 31, 2011	$	1,476.74	$	1,258.65	$	1,022.50	$	1,016.58

	Global 1 Class									Global 2 Class									Global 3 Class
	General Partner				Limited Partners					General Partner				Limited Partners					General Partner				Limited Partners
	Number of Units	Amount			Number of Units		Amount			Number of Units	Amount			Number of Units		Amount			Number of Units	Amount			Number of Units		Amount			Total Amount
Partners’ capital, (net asset value) December 31, 2010	1,044.66	$	1,028,338		10,133.38		$	9,975,048		1,181.06	$	1,155,098		18,631.40		$	18,221,772		500.00	$	473,009		156,270.73		$	147,834,890		$	891,912,770
Contributions	—	—			1,463.83		1,441,940			173.26	170,000			2,195.28		2,151,424			—	—			32,966.67		31,201,996			37,159,879
Redemptions	—	—			(324.86	)	(318,172		)	—	—			(618.82	)	(606,770		)	—	—			(3,998.46	)	(3,753,708		)	(22,808,131		)
Net loss	—	(6,562		)	—		(73,393		)	—	(9,815		)	—		(141,129		)	—	(5,654		)	—		(2,138,746		)	(8,878,357		)
Partners’ capital, (net asset value) March 31, 2011	1,044.66	$	1,021,776		11,272.35		$	11,025,423		1,354.32	$	1,315,283		20,207.86		$	19,625,297		500.00	$	467,355		185,238.94		$	173,144,432		$	897,386,161

Net asset value per unit at December 31, 2010	$	984.38	$	978.01	$	946.02
Net asset value per unit at March 31, 2011	$	978.10	$	971.17	$	934.71

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

8

Grant Park Futures Fund Limited Partnership

Notes to Consolidated 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 under Illinois law 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 (“CFTC”), 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. The Partnership is a registrant with the Securities and Exchange Commission (“SEC”) and, accordingly, is subject to the regulatory requirements under the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended.

The Partnership engages in the speculative trading of futures and forward contracts for commodities, financial instruments or currencies, any rights pertaining thereto and any options thereon, or on physical commodities, equities, listed options, and broad-based exchange-traded funds. The Partnership may also engage in hedge, arbitrage and cash trading of commodities and futures.

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”), the Partnership and the Partnership’s subsidiary limited liability trading companies (each, a “Trading Company” and collectively, the “Trading Companies”). The Trading Companies were set up to, among other things, segregate risk by commodity trading advisor. Effectively, this structure isolates one trading advisor from another and any losses from one Trading Company will not carry over to the other Trading Companies. The following is a list of the Trading Companies, for which the Partnership is the sole member and all of which were organized as Delaware limited liability companies:

GP 1, LLC (“GP 1”)	GP 7, LLC (“GP 7”)	GP 12, LLC (“GP 12”)
GP 3, LLC (“GP 3”)	GP 8, LLC (“GP 8”)	GP 14, LLC (“GP 14”)
GP 4, LLC (“GP 4”)	GP 9, LLC (“GP 9”)	GP 15, LLC (“GP 15”)
GP 5, LLC (“GP 5”)	GP 10, LLC (“GP 10”)	GP 16, LLC (“GP 16”)
GP 6, LLC (“GP 6”)	GP 11, LLC (“GP 11”)

There were no assets allocated to GP 6 and GP 11 as of March 31, 2012 and December 31, 2011.

Additionally, GP Cash Management, LLC was created as a Delaware limited liability company to collectively manage and invest excess cash not required to be held at clearing brokers. The members of GP Cash Management, LLC are the Trading Companies.

Classes of interests: The Partnership has seven classes of limited partner interests (each, a “Class” and collectively, the “Interests”), Class A, Class B, Legacy 1 Class, Legacy 2 Class, Global Alternative Markets 1 (“Global 1”) Class, Global Alternative Markets 2 (“Global 2”) Class and Global Alternative Markets 3 (“Global 3”) Class units.

The Class A and Class B units are outstanding but are no longer offered by the Partnership. Both Class A and Class B units are traded pursuant to identical trading programs and differ only in respect to the brokerage commission payable to the General Partner.

The Legacy 1 Class and Legacy 2 Class units are traded pursuant to trading programs pursuing a technical trend trading philosophy, which is the same trading philosophy used for the Class A and Class B units. The Legacy 1 Class and Legacy 2 Class units differ in respect to the General Partner’s brokerage commission and organization and offering costs. The Legacy 1 Class and Legacy 2 Class units are offered only to investors who are represented by approved selling agents who are directly compensated by the investor for services rendered in connection with an investment in the Partnership (such arrangements commonly referred to as “wrap-accounts”).

The Global 1 Class, Global 2 Class and Global 3 Class units are traded pursuant to trading programs pursuing technical trend trading philosophies, as well as pattern recognition philosophies. The Global 1 Class, Global 2 Class and Global 3 Class units differ in respect to the General Partner’s brokerage commission. The Global 1 Class and Global 2 Class units are offered only to investors in wrap-accounts.

9

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

The Partnership’s significant accounting policies are as follows:

Consolidation: The Partnership is the sole member of each of the Trading Companies. The Trading Companies, in turn, are the only members of GP Cash Management, LLC. The Partnership presents consolidated financial statements for the Partnership, which include the accounts of the Trading Companies and GP Cash Management, LLC. All material inter-company accounts and transactions are eliminated in consolidation.

Use of estimates: The preparation of financial statements in conformity with generally accepted accounting principles (“GAAP”) 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 may include cash, overnight investments, commercial paper, U.S. treasury bills and short-term investments in interest-bearing demand deposits with banks and cash managers with original maturities of three months or less at the date of acquisition. 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, forward contracts, investments in equity securities, exchange traded funds and equity options are recorded on a trade date basis and realized gains or losses are recognized when contracts/positions are liquidated. Unrealized gains or losses on open contracts/positions (the difference between contract trade price and market price) or securities are reported in the consolidated 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 FASB ASC 210-20, Balance Sheet, Offsetting. Any change in net unrealized gain or loss from the preceding period is reported in the consolidated statement of operations. Interest income and expense is recognized under the accrual basis.  Dividend income and expense is recognized on the ex-dividend date.

Redemptions payable: Pursuant to the provisions of FASB ASC 480, Distinguishing Liabilities from Equity, redemptions approved by the General Partner prior to month end with a fixed effective date and fixed amount are recorded as redemptions payable as of month end.

Income taxes: No provision for income taxes has been made in these consolidated 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.

The Partnership follows the provisions of ASC 740, Income Taxes. The Partnership is generally not subject to examination by U.S. federal or state taxing authorities for tax years before 2008. As of March 31, 2012, the Partnership has no material uncertain income tax positions and, accordingly, has not recorded a liability for the payment of interest or penalties.

Organization and offering costs: All expenses incurred in connection with the organization and the 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. In its discretion, the General Partner may require the Partnership to reimburse the General Partner in any subsequent calendar year for amounts that exceed the limits in Note 5 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 ongoing public offering expenses are charged to expense from operations at the time of reimbursement or accrual. Any amounts reimbursed by the Partnership with respect to organizational 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, 2012, 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 consolidated 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.

10

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

The Partnership does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.

Statement of Cash Flows: The Partnership has elected not to provide statements of cash flows as permitted by FASB ASC 230, Statement of Cash Flows. The Partnership noted that as of and for the periods ended March 31, 2012 and 2011 substantially all investments were highly liquid, all investments are carried at fair value, the Partnership carried no debt, and the statements of changes in partners’ capital (net asset value) were presented.

Recent accounting pronouncements: In May 2011, the FASB issued ASU No. 2011-04, Fair Value Measurement (Topic 820): Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs (ASU 2011-04). This ASU represents the converged guidance of the FASB and the IASB (the Boards) on fair value measurement. The collective efforts of the Boards and their staffs, reflected in ASU 2011-04, have resulted in common requirements for measuring fair value and for disclosing information about fair value measurements, including a consistent meaning of the term “fair value” and enhanced disclosure requirements for investments that do not have readily determinable fair values. The Boards have concluded the common requirements will result in greater comparability of fair value measurements presented and disclosed in financial statements prepared in accordance with U.S. GAAP and IFRSs. The amendments to the FASB Codification in this ASU are to be applied prospectively. For public entities, the amendments are effective during interim and annual periods beginning after December 15, 2011. Early application by public entities is not permitted. The Partnership adopted ASU 2011-04 as of January 1, 2012 and the adoption did not have a material impact on its consolidated financial statements.

In November 2011, the FASB issued ASU 2011-11-Balance Sheet (Topic 210) containing new guidance that requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position.  This guidance is effective for annual and interim periods beginning on or after January 1, 2013.  An entity should provide the disclosures required by those amendments retrospectively for all comparative periods presented.  The Partnership’s effective date is January 1, 2013 and management is currently assessing the impact on its future consolidated financial statements.

Note 2.   Fair Value Measurements

The Partnership follows the provisions of FASB ASC 820, Fair Value Measurements and Disclosures. FASB ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurement and also emphasizes that fair value is a market-based measurement, not an entity-specific measurement. FASB ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date and sets out a fair value hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Inputs are broadly defined under FASB ASC 820 as assumptions market participants would use in pricing an asset or liability. The three levels of the fair value hierarchy under FASB ASC 820 are described below:

Level 1. Unadjusted quoted prices in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level 2. Inputs other than quoted prices within Level 1 that are observable for the asset or liability, either directly or indirectly. A significant adjustment to a Level 2 input could result in the Level 2 measurement becoming a Level 3 measurement.

Level 3. Inputs that are unobservable for the asset or liability.

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

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

11

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

The Partnership values bank deposits, which consist of certificates of deposit, at face value plus accrued interest, which approximates fair value based on prevailing interest rates, and these financial instruments are classified in Level 2 of the fair value hierarchy. The Partnership values forward contracts based on third-party quoted dealer values on the Interbank market, and forward contracts are classified in Level 2.  The Partnership believes that the carrying amounts of other assets and liabilities approximate the fair values of such items due to their short maturity or comparable interest rates and are classified as Level 1 of the fair value hierarchy.

The following table presents the Partnership’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of March 31, 2012:

Assets	Level 1			Level 2			Level 3		Total
Equity in brokers’ trading accounts
U.S. Government securities	$	19,448,367		$	—		$	—	$	19,448,367
U.S. and foreign futures contracts	3,687,836			—			—		3,687,836
Forward contracts	—			(3,385,976		)	—		(3,385,976		)
Options on futures contracts	(2,780		)	—			—		(2,780		)
Cash and cash equivalents
Bank deposits	—			13,432			—		13,432
U.S. Commercial paper	187,107,872			—			—		187,107,872
Securities owned
Bank deposits	—			41,064,524			—		41,064,524
U.S. Commercial paper	42,905,039			—			—		42,905,039
U.S. Government-sponsored enterprises	355,632,593			—			—		355,632,593
U.S. Government securities	23,988,853			—			—		23,988,853

The gross presentation of the fair value of the Partnership’s derivatives by contract type is shown in Note 10.  See the consolidated condensed schedule of investments for additional detail categorization.

The following table presents the Partnership’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of December 31, 2011:

Assets	Level 1			Level 2		Level 3		Total
Equity in brokers’ trading accounts
U.S. Government securities	$	66,744,630		$	—	$	—	$	66,744,630
U.S. and foreign futures contracts	5,567,077			—		—		5,567,077
Forward contracts	—			2,462,328		—		2,462,328
Options on futures contracts	(4,282		)	—		—		(4,282		)
Cash and cash equivalents
Bank deposits	—			3,133,349		—		3,133,349
U.S. Commercial paper	264,772,440			—		—		264,772,440
Securities owned
Bank deposits	—			41,037,669		—		41,037,669
U.S. Commercial paper	31,279,645			—		—		31,279,645
U.S. Government-sponsored enterprises	368,449,795			—		—		368,449,795
U.S. Government securities	23,977,327			—		—		23,977,327

The gross presentation of the fair value of the Partnership’s derivatives by contract type is shown in Note 10.  See the consolidated condensed schedule of investments for additional detail categorization.

The Partnership assesses the level of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Partnership’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no significant transfers among levels 1, 2 and 3 during the three months ended March 31, 2012 and year ended December 31, 2011.

12

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Note 3.   Deposits with Brokers

The Partnership, through the Trading Companies, deposits assets with clearing brokers subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury bills, Government-sponsored enterprises and cash with such clearing brokers. The Partnership earns interest income on its assets deposited with the clearing brokers.

Note 4.   Commodity Trading Advisors

The Partnership, through the Trading Companies, allocates assets to the commodity trading advisors. Each Trading Company has entered into an advisory contract with its own Advisor. The commodity trading advisors are Alder Capital Limited, Amplitude Capital International Limited, Denali Asset Management, LLLP, EMC Capital Management, Inc., Eckhardt Trading Co., Global Advisors Jersey Limited, Quantitative Investment Management LLC, Rabar Market Research, Inc., Sunrise Capital Partners, LLC, Transtrend B.V., Winton Capital Management Limited, and Welton Investment Corporation (collectively, the “Advisors”). The Advisors are paid a consulting fee, either monthly or quarterly, ranging from 0 percent to 3 percent per annum of the Partnership’s month-end allocated net assets and a quarterly incentive fee ranging from 20 percent to 26 percent of the new trading profits on the allocated net assets of the Advisor.

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 Partnership is characterized as a general partnership interest. Notwithstanding, the general partnership interest will continue to pay all fees associated with a limited partnership interest.

The Partnership pays the General Partner a monthly brokerage commission, organization and offering costs and operating expenses as presented in the table below:

	Brokerage commission*		Organization and Offering Reimbursement*		Operating Expense*
Class A units	7.50	%	.10	%	.25	%
Class B units	7.95	%	.30	%	.25	%
Legacy 1 Class units	5.00	%	.30	%	.25	%
Legacy 2 Class units	5.25	%	.30	%	.25	%
Global 1 Class units	4.45	%	.30	%	.25	%
Global 2 Class units	4.70	%	.30	%	.25	%
Global 3 Class units	6.45	%	.30	%	.25	%

*The fees are 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.

Included in the total brokerage commission are amounts paid to the clearing brokers for execution and clearing costs which are reflected in the commissions line of the consolidated statements of operations, and the remaining amounts are management fees paid to the Advisors, compensation to the selling agents and an amount to the General Partner for management services rendered

13

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

which are reflected in the brokerage commission line on the consolidated statements of operations. Operating expenses of the Partnership are paid for by the General Partner and reimbursed by the Partnership.

Note 6.  Redemptions

Class A and Class B 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. Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class Limited Partners are prohibited from redeeming such units for the three months following the subscription for units. There are no redemption fees applicable to Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class Limited Partners or to Global 3 Class Limited Partners who redeem their units on or after the one-year anniversary of their subscription. Global 3 Class Limited Partners who redeem their units after the three-month lock-up, but 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 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 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 and is not annualized. Individual partner’s ratios may vary from these ratios based on various factors, including but not limited to, the timing of capital transactions.

	Three Months Ended March 31,
	2012		2011
	(Unaudited)
Total return — Class A Units	(1.43	)%	(0.80	)%
Total return — Class B Units	(1.59	)%	(0.96	)%
Total return-Legacy 1 Class Units	(0.87	)%	(0.24	)%
Total return-Legacy 2 Class Units	(0.93	)%	(0.31	)%
Total return-Global 1 Class Units	(0.64	)%	(0.64	)%
Total return-Global 2 Class Units	(0.70	)%	(0.70	)%
Total return-Global 3 Class Units	(1.14	)%	(1.20	)%
Ratios as a percentage of average net assets:
Expenses prior to incentive fees (1)	6.40	%	6.64	%
Incentive fees (2)	0.24	%	0.18	%
Total expenses	6.64	%	6.82	%
Net investment loss (1) (3)	(6.14	)%	(6.21	)%

(1)Annualized.

(2)Not annualized.

(3)Excludes incentive fee.

The expense ratios above are computed based upon the weighted average net assets of the Partnership for the three months ended March 31, 2012 and 2011 (annualized).

14

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

The following per unit performance calculations reflect activity related to the Partnership for the three months ended March 31, 2012 and 2011.

Class A Units

	Three Months Ended March 31,
	2012			2011
	(Unaudited)
Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	1,295.84		$	1,488.66
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	4.84			13.37
Expenses net of interest and dividend income*	(23.36		)	(25.29		)
Total income (loss) from operations	(18.52		)	(11.92		)
Net asset value per unit at end of period	$	1,277.32		$	1,476.74

Class B Units

	Three Months Ended March 31,
	2012			2011
	(Unaudited)
Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	1,099.04		$	1,270.86
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	4.27			11.49
Expenses net of interest and dividend income*	(21.79		)	(23.70		)
Total income (loss) from operations	(17.52		)	(12.21		)
Net asset value per unit at end of period	$	1,081.52		$	1,258.65

Legacy 1 Class Units

	Three Months Ended March 31,
	2012			2011
	(Unaudited)
Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	912.23		$	1,024.92
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading *	3.31			9.35
Expenses net of interest and dividend income*	(11.22		)	(11.77		)
Total income (loss) from operations	(7.91		)	(2.42		)
Net asset value per unit at end of period	$	904.32		$	1,022.50

15

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Legacy 2 Class Units

	Three Months Ended March 31,
	2012			2011
	(Unaudited)
Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	903.06		$	1,019.79
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	3.38			9.25
Expenses net of interest and dividend income*	(11.74		)	(12.46		)
Total income (loss) from operations	(8.36		)	(3.21		)
Net asset value per unit at end of period	$	894.70		$	1,016.58

Global 1 Class Units

	Three Months Ended March 31,
	2012			2011
	(Unaudited)
Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	874.34		$	984.38
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	3.38			2.47
Expenses net of interest and dividend income*	(8.95		)	(8.75		)
Total income (loss) from operations	(5.57		)	(6.28		)
Net asset value per unit at end of period	$	868.77		$	978.10

Global 2 Class Units

	Three Months Ended March 31,
	2012			2011
	(Unaudited)
Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	866.22		$	978.01
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	3.38			2.47
Expenses net of interest and dividend income*	(9.46		)	(9.31		)
Total income (loss) from operations	(6.08		)	(6.84		)
Net asset value per unit at end of period	$	860.14		$	971.17

16

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Global 3 Class Units

	Three Months Ended March 31,
	2012			2011
	(Unaudited)
Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	822.60		$	946.02
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	3.29			2.52
Expenses net of interest and dividend income*	(12.66		)	(13.83		)
Total income (loss) from operations	(9.37		)	(11.31		)
Net asset value per unit at end of period	$	813.23		$	934.71

* Expenses net of interest and dividend income per unit and organization and offering costs per unit are calculated by dividing the expenses net of interest and dividend income and organization and offering costs by the average number of units outstanding during the period.  The net realized and change in unrealized gain (loss) 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, through its Advisors, engages in the speculative trading of a variety of instruments, including U.S. and foreign futures contracts, options on U.S. and foreign futures contracts, forward contracts, and equity options (collectively, derivatives; see Note 10). These derivatives include both financial and nonfinancial contracts held as part of a diversified trading strategy. Additionally, the Partnership’s speculative trading includes equities and exchange-traded funds. 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. The Partnership utilizes Jefferies Bache, LLC, R.J. O’Brien & Associates, LLC, UBS Securities LLC and Newedge USA LLC as its clearing brokers.

The amount of required margin and good faith deposits with the FCMs and interbank market makers usually ranges from 5% to 35% of the Partnership’s net asset value. The fair value of securities held to satisfy such requirements at March 31, 2012 and December 31, 2011 was $19,448,367 and $66,744,630, respectively, which was 2.6% and 8.4% of the net asset value, respectively. The cash deposited with interbank market makers at March 31, 2012 and December 31, 2011 was $21,011,953 and $1,880,107, respectively, which was 2.8% and 0.2% of the net asset value, respectively.

For derivatives, risks arise from changes in the fair 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.

17

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

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.

Securities sold short represent obligations of the Partnership to deliver specific securities and thereby create a liability to purchase these instruments in the open market at prevailing prices. These transactions may result in market risk not reflected in the consolidated statement of financial condition as the Partnership’s ultimate obligation to satisfy its obligation for trading liabilities may exceed the amount reflected in the consolidated statement of financial condition.

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.

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 fair value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

Note 9. 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 10.   Derivative Instruments

The Partnership follows the provisions of FASB ASC 815, Derivatives and Hedging. FASB ASC 815 is intended to improve transparency in financial reporting by requiring enhanced disclosures of an entity’s derivative instruments and hedging activities and their effects on the entity’s financial position, financial performance, and cash flows. FASB ASC 815 applies to all derivative instruments within the scope of FASB ASC 815-10-05. It also applies to non-derivative hedging instruments and all hedged items designated and qualifying as hedges under FASB ASC 815-10-05. FASB ASC 815 amends the current qualitative and quantitative disclosure requirements for derivative instruments and hedging activities set forth in FASB ASC 815-10-05 and generally increases the level of disaggregation that will be required in an entity’s financial statements. FASB ASC 815 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk related contingent features in derivative agreements.

The Partnership’s business is speculative trading. The Partnership intends to close out all futures, options on futures and forward contracts prior to their expiration. The Partnership 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, the Partnership 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. The Partnership 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%.

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. 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. The Partnership trades only with those counterparties that it believes to be creditworthy. Nonetheless,

18

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

the clearing member, clearing organization or other counterparty to these transactions may not be able to meet its obligations to the Partnership, in which case the Partnership could suffer significant losses on these contracts.

The Partnership does not designate any derivative instruments as hedging instruments under FASB ASC 815-10-05. For the three months ended March 31, 2012 and 2011 the monthly average futures contracts, forward contracts, options on futures contracts and equity options bought and sold was 7,452 and 8,273, respectively. The following tables summarize the quantitative information required by FASB ASC 815:

Fair Values of Derivative Instruments

Type of Contract	Asset Derivatives* 3/31/2012		Liability Derivatives* 3/31/2012			Fair Value
Agriculturals contracts	$	3,664,206	$	(676,932	)	$	2,987,274
Currencies contracts	4,178,323		(7,515,674		)	(3,337,351		)
Energy contracts	2,971,669		(3,526,531		)	(554,862		)
Interest rates contracts	4,418,911		(2,049,605		)	2,369,306
Meats contracts	812,396		(47,258		)	765,138
Metals contracts	19,156,669		(25,791,530		)	(6,634,861		)
Soft commodities contracts	1,560,426		(587,936		)	972,490
Stock indices contracts	5,653,487		(1,921,541		)	3,731,946
	$	42,416,087	$	(42,117,007	)	$	299,080

*The fair values of all asset and liability derivatives, including agriculturals, currencies, energy, interest rates, meats, metals, soft commodities and stock indices contracts, are included in unrealized gain (loss) on open contracts within equity in broker trading accounts in the consolidated statement of financial condition.

Fair Values of Derivative Instruments

Type of Contract	Asset Derivatives* 12/31/2011		Liability Derivatives* 12/31/2011			Fair Value
Agriculturals contracts	$	745,901	$	(2,009,329	)	$	(1,263,428	)
Currencies contracts	7,718,062		(2,267,778		)	5,450,284
Energy contracts	3,542,499		(978,732		)	2,563,767
Interest rates contracts	5,746,860		(1,390,261		)	4,356,599
Meats contracts	109,127		(206,166		)	(97,039		)
Metals contracts	33,643,473		(37,940,473		)	(4,297,000		)
Soft commodities contracts	1,114,674		(442,639		)	672,035
Stock indices contracts	1,071,101		(431,196		)	639,905
	$	53,691,697	$	(45,666,574	)	$	8,025,123

*The fair values of all asset and liability derivatives, including agriculturals, currencies, energy, interest rates, meats, metals, soft commodities and stock indices contracts, are included in unrealized gain (loss) on open contracts within equity in broker trading accounts in the consolidated statement of financial condition.

19

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

The Effect of Derivative Instruments on the Consolidated Statement of Operations for the Three Months Ended

March 31, 2012 and 2011

Type of Contract	Three Months Ended March 31, 2012*			Three Months Ended March 31, 2011*
Agriculturals contracts	$	(3,640,157	)	$	(1,985,095	)
Currencies contracts	(15,310,478		)	2,000,811
Energy contracts	16,483,097			18,742,824
Interest rates contracts	(15,994,930		)	(11,398,041		)
Meats contracts	104,952			3,001,101
Metals contracts	(5,715,264		)	117,373
Soft commodities contracts	(798,746		)	3,832,359
Stock indices and equity options contracts	31,023,526			(3,180,181		)
	$	6,152,000		$	11,131,151

*The gains or losses on derivatives, including agriculturals, currencies, energy, interest rates, meats, metals, soft commodities and stock indices contracts are included in the realized and change in unrealized gains (loss) from futures and forward trading in the consolidated statement of operations. The gains or losses on derivatives for equity options contracts are included in the realized and unrealized gains (loss) from equities, equity options and exchange-traded funds in the Partnership’s consolidated statements of operations.

Line Item in Consolidated Statement of Operations	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
Net gain (loss) from futures and forward trading
Realized	$	13,792,108		$	21,313,660
Change in unrealized	(7,640,108		)	(11,162,525		)
Total realized and changed in unrealized net gain (loss) from futures and forward trading	6,152,000			10,151,135
Net gain (loss) from equity options
Realized	—			274,887
Change in unrealized	—			705,129
Total realized and changed in unrealized net gain (loss) from equity options trading	—			980,016
Total realized and changed in unrealized net gain (loss) from futures, forward and equity options trading	$	6,152,000		$	11,131,151

Note 11.  Subsequent Events

The Partnership has evaluated subsequent events for potential recognition and/or disclosure. Subsequent to March 31, 2012, there were contributions and redemptions totaling approximately $6,030,000 and $37,000, respectively.

20

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 the purpose of trading in the U.S. and international spot and derivatives markets for currencies, interest rates, stock indices, agricultural and energy products, precious and base metals and other commodities and underlies. The Partnership also engages in equity securities, listed options, broad based exchange traded funds, hedge, arbitrage and cash trading of commodities and futures. 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 manager of Dearborn Capital Management, L.L.C. is David M. Kavanagh, its President.

Organization of Grant Park

Grant Park invests through different commodity trading advisors retained by the general partner. However, instead of each trading advisor maintaining a separate account in the name of Grant Park, the assets of Grant Park are invested in various Trading Companies, each of which is organized as a limited liability company. Each Trading Company allocates those assets to one of the commodity trading advisors retained by the general partner.

The following is a list of the Trading Companies, for which Grant Park is the sole member and all of which were organized as Delaware limited liability companies:

GP 1, LLC (“GP 1”)	GP 7, LLC (“GP 7”)	GP 12, LLC (“GP 12”)
GP 3, LLC (“GP 3”)	GP 8, LLC (“GP 8”)	GP 14, LLC (“GP 14”)
GP 4, LLC (“GP 4”)	GP 9, LLC (“GP 9”)	GP 15, LLC (“GP 15”)
GP 5, LLC (“GP 5”)	GP 10, LLC (“GP 10”)	GP 16, LLC (“GP 16”)
GP 6, LLC (“GP 6”)	GP 11, LLC (“GP 11”)

There were no assets allocated to GP 6 and GP 11 as of March 31, 2012 and December 31, 2011.

Grant Park invests through the Trading Companies with independent professional commodity trading advisors retained by the general partner. Alder Capital Limited (“Alder”), Amplitude Capital International Limited (“Amplitude”), Denali Asset Management, LLLP (“Denali”), EMC Capital Management, Inc. (“EMC”), Eckhardt Trading Co. (“ETC”), Global Advisors Jersey Limited (“Global Advisors”), Quantitative Investment Management LLC (“QIM”), Rabar Market Research, Inc. (“Rabar”), Sunrise Capital Partners, LLC (“Sunrise”), Transtrend B.V. (“Transtrend”), Welton Investment Corporation (“Welton”) and Winton Capital Management (“Winton”), 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, 2012, the general partner allocated Grant Park’s net assets through the respective Trading Companies among its core trading advisors Amplitude and Winton and non-core trading advisors Alder, Denali, EMC, ETC, Global Advisors, QIM, Rabar, Sunrise, Transtrend, and Welton. No more than twenty percent of Grant Park’s assets are allocated to any one Trading Company and, in turn, any one trading advisor. The general partner may terminate or replace the trading advisors or retain additional trading advisors in its sole discretion.

The table below illustrates the trading advisors for each class of Grant Park’s outstanding limited partnership units as of March 31, 2012:

Alder

Amplitude

Denali

EMC

ETC

Global Advisors

QIM

Rabar

Sunrise

Transtrend

Welton

Winton

Class A

X

X

X

X

X

X

X

X

X

X

X

X

Class B

X

X

X

X

X

X

X

X

X

X

X

X

Legacy 1

X

X

X

X

X

X

X

X

X

X

X

X

Legacy 2

X

X

X

X

X

X

X

X

X

X

X

X

Global 1

X

X

X

X

X

X

X

X

X

X

X

Global 2

X

X

X

X

X

X

X

X

X

X

X

Global 3

X

X

X

X

X

X

X

X

X

X

X

The trading advisors for the Legacy 1 Class and Legacy 2 Class units pursue a technical trend trading philosophy, which is the same trading philosophy the trading advisors have historically used for the Class A and Class B units. The trading advisors for the Global 1 Class, Global 2 Class and Global 3 Class units pursue technical trend trading philosophies, as well as pattern recognition.

The general partner may, in its sole discretion, reallocate assets among the trading advisors upon termination of a trading advisor or retention of any new trading advisors, or at the commencement of any month.

21

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, other interests in commodities, and fixed income products. The 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 and fixed income products including U.S. Government-sponsored enterprises and commercial paper, which are stated at cost plus accrued interest, which approximates fair value based on quoted market prices in an active market. With the valuation of the investments easily obtained, there is little or no judgment or uncertainty involved in the valuation of investments, and accordingly, it is unlikely that materially different amounts would be reported under different conditions using different but reasonably plausible assumptions.

The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. Grant Park’s significant accounting policies are described in detail in Note 1 of the consolidated financial statements.

Grant Park is the sole member of each of the Trading Companies. The Trading Companies, in turn, are the only members of GP Cash Management, LLC. Grant Park presents consolidated financial statements which include the accounts of the Trading Companies and GP Cash Management, LLC. All material inter-company accounts and transactions are eliminated in consolidation.

Valuation of Financial Instruments

Grant Park follows the provisions of FASB ASC 820, Fair Value Measurements and Disclosures. FASB ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurement and also emphasizes that fair value is a market-based measurement, not an entity-specific measurement. Grant Park records all investments at fair value in the financial statements. Changes in fair value from the prior period are recorded as unrealized gain or losses and are reported in the consolidated statement of operations. Fair value of exchange-traded futures contracts and options on futures contracts are based upon exchange settlement prices. Equity securities, equity options and exchange-traded funds are recorded at fair value based on quoted market prices, which is generally the exchange settlement price. U.S. Government securities, securities of U.S. Government-sponsored enterprises and commercial paper are stated at cost plus accrued interest, which approximates fair value based on quoted market prices in an active market.  Grant Park values bank deposits at face value plus accrued interest, which approximates fair value. Grant Park values forward contracts based on third-party quoted dealer values on the Interbank market.

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 three months ended March 31, 2012 and 2011, are set forth in the table below:

	Three Months Ended March 31,
	2012		2011
Total return — Class A units	(1.43	)%	(0.80	)%
Total return — Class B units	(1.59	)%	(0.96	)%
Total return — Legacy 1 Class units	(0.87	)%	(0.24	)%
Total return — Legacy 2 Class units	(0.93	)%	(0.31	)%
Total return — Global 1 Class units	(0.64	)%	(0.64	)%
Total return — Global 2 Class units	(0.70	)%	(0.70	)%
Total return — Global 3 Class units	(1.14	)%	(1.20	)%

Grant Park’s net asset value at March 31, 2012 was approximately $744.3 million, at December 31, 2011 was approximately $798.8 million and at March 31, 2011 was approximately $897.4 million.

22

The table below sets forth Grant Park’s trading gains or losses by sector for the three month periods ended March 31, 2012 and 2011.

	% Gain (Loss)
	Three Months Ended March 31,
Sector	2012		2011
Agriculturals	(0.5	)%	—	%
Currencies	(2.1	)	(0.1	)
Energy	2.2		1.8
Interest rates	(2.1	)	(1.2	)
Meats	—		0.3
Metals	(0.8	)	0.1
Soft commodities	(0.1	)	0.5
Stock indices, equities, equity options and exchange traded funds	4.2		(0.3	)
Total	0.8	%	1.1	%

Three months ended March 31, 2012 compared to three months ended March 31, 2011

For the three months ended March 31, 2012, Grant Park had a negative return of approximately 1.4% for the Class A units, 1.6% for the Class B units, 0.9% for the Legacy 1 Class units, 0.9% for the Legacy 2 Class units, 0.6% for the Global 1 Class units, 0.7% for the Global 2 Class units and 1.1% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading gains of approximately 0.8%, which were further increased by gains of approximately 0.1% from interest income. These trading gains were offset by approximately 2.3% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park. For the same period in 2011, Grant Park had a negative return of approximately 0.8% for the Class A units, 1.0% for the Class B units, 0.2% for the Legacy 1 Class units, 0.3% for the Legacy 2 Class units, 0.6% for the Global 1 Class units, 0.7% for the Global 2 Class units and 1.2% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading gains of approximately 1.1%, which were further increased by gains of approximately 0.1% from interest income. These trading gains were offset by approximately 2.2% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park.

Three months ended March 31, 2012

Natural gas markets fell nearly 30% in the first quarter as U.S. Energy Information Administration reports showed steady increases to already elevated domestic inventory levels.  Reduced demand for natural gas caused by temperate climates across the U.S. also put pressure on prices.  Crude oil experienced modest declines due to speculation U.S. officials were considering tapping strategic oil reserves.

Soybean markets rallied sharply due to droughts in key South American farming regions and news of an agriculture trade agreement between the U.S. and China.  Sugar markets rose because of reports showing export delays and depressed production in Brazil.

Gold and silver markets moved higher as concerns surrounding the debt markets of Spain and Portugal and continued tensions between Iran and the West caused a surge in safe-haven demand.  Base metals also strengthened due to China’s decision to ease lending policies.  Hope that strength in the equity markets would drive long-term industrial demand higher helped boost base metals prices as well.

The euro finished stronger, holding onto early-quarter gains stemming from the announcement of the new Greek debt deal and bullish consumer confidence and manufacturing data from Germany.  The Swiss franc also moved higher against counterparts following reports showing the largest jump in consumer confidence seen since early 2011.  The Japanese yen weakened sharply due to data showing the current account surplus had fallen to a 15-year low and speculation of further monetary easing by the Bank of Japan.

The Japanese Nikkei 225 index rose nearly 20% as investors believed the sharp weakening of the yen would bode well for the nation’s export industries.  North American and European equity prices also moved higher, propelled by bullish economic indicators and hope that Greece would be able to recover from its recent debt crisis following the announcement of the new debt-restructuring plan.

U.S. Treasury markets declined from recent highs as investors shifted their focus toward riskier assets.  The German bund market only posted modest declines as the bearish effect of reduced safe-haven demand was nearly offset by increased bund demand caused by Moody’s Investor Services’ debt downgrading of several smaller European nations.

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Key trading developments for Grant Park during the first three months of 2012 included the following:

Grant Park recorded gains and losses in the month of January. Class A units were down 0.00%, Class B units were down 0.06%, Legacy 1 Class units were up 0.18%, Legacy 2 Class units were up 0.17%, Global 1 Class units were up 0.39%, Global 2 Class units were up 0.37% and Global 3 Class units were up 0.22%.  European currencies generally rose against the U.S. dollar, following bullish news that the region’s financial outlook may be improving.  The euro strengthened following news that the International Monetary Fund was considering increasing aid to smaller European nations. The Swiss franc also posted gains following a jump in investor confidence, which was the largest since the second quarter of 2011.  The combination of unusually warm weather and increased supplies drove natural gas prices nearly 15% lower for the month. Crude oil markets posted modest gains due to ongoing supply concerns stemming from tension surrounding Iran.  In Asia, speculators drove Japanese equity markets higher on beliefs the Chinese government might stimulate the nation’s economy in response to data which showed decreasing inflation. North American equity markets also moved higher, supported by bullish domestic housing and manufacturing data and strong earnings reports by several key U.S. firms. European equity markets rose as investors believed Greece and its creditors were nearing an agreement on a new debt restructuring deal.  In the U.S. fixed-income markets, there was a sharp increase in demand for safe-haven assets after Standard & Poor’s downgraded French debt. Reports which showed weaker-than-expected GDP growth data for the U.S. also prompted buying in the debt markets, which drove prices higher.  Corn prices fell nearly 2% after recent supply concerns eased due to improved weather conditions in South America.  Wheat prices also declined, driven lower by U.S. Department of Agriculture reports which showed an upward revision to 2012 harvest estimates. In the livestock markets, increased buying by large commodity funds led to gains in the lean hogs and live cattle markets.  Concerns surrounding the Eurozone economy and tensions between Iran and the West caused an increase in demand for safe-haven assets, which drove gold and silver prices higher. Investors increased buying in an attempt to hedge against U.S inflation, which also played a role in driving precious metals prices higher. Base metals prices also moved higher due to an improved growth outlook for China and beliefs that the strength in the global equity markets will foster industrial demand.

Grant Park recorded gains in February. Class A units were up 0.80%, Class B units were up 0.75%, Legacy 1 Class units were up 1.00%, Legacy 2 Class units were up 0.98%, Global 1 Class units were up 0.96%, Global 2 Class units were up 0.94% and Global 3 Class units were up 0.79%.  The euro and Swiss franc posted strong gains against counterparts following the announcement of the new Greek debt plan.  Rising consumer confidence in Germany also boded well for the euro and franc.  The Japanese yen weakened sharply following reports the nation’s current account surplus had fallen to a 15-year low and on speculation of further monetary easing by the Bank of Japan.  Crude oil prices rallied nearly 10% due to potential supply concerns stemming from ongoing tensions between Iran and Western nations. U.S. Energy Information Administration Reports showing increased petroleum byproduct production supported crude oil prices.  Natural gas markets moved lower following decreased heating demand caused by this winter’s abnormally warm weather.  U.S. equity markets moved higher to levels unseen since pre-2008 due to optimistic economic data and strong earnings reports from key U.S. firms. European and Asian markets moved higher as well, fueled by optimism surrounding Greece and strong industrial production data from the UK, Germany, and China.  Positive economic data and an overall positive outlook for the Eurozone weighed on the global debt markets, moving prices lower. Moody’s Investors Service downgraded several European nations near month-end, which had a bullish impact on the Bund markets and nearly offset early-month losses.  Soybean prices rose after the release of strong U.S. grains export data and news the Chinese and U.S. governments had agreed to cooperate on farm trade.  Wheat markets registered profits because of reports the Russian government was contemplating another grain export tax.  Reports which showed depressed agriculture production in Brazil had a bullish effect on the sugar markets and drove prices over 12% higher.  Precious metals posted gains due to a surge in safe-haven buying amidst tensions regarding the Iranian nuclear program.  Speculation the U.S. government may begin another round of stimulus activity also added to precious metals profits. Base metals markets moved higher due to the Chinese government’s decision to ease lending policies and on the belief the signed Greek debt deal would help the ailing Eurozone economy.

Grant Park recorded losses in March. Class A units were down 2.21%, Class B units were down 2.27%, Legacy 1 Class units were down 2.03%, Legacy 2 Class units were down 2.04%, Global 1 Class units were down 1.97%, Global 2 Class units were down 1.99% and Global 3 Class units were down 2.13%.  The Japanese yen declined sharply as investors believed the Bank of Japan was considering new economic stimulus initiatives. The Swiss franc strengthened against international counterparts due to reports which showed an upward revision to recent economic growth data. The U.S. dollar also posted gains as investors moved their focus to the U.S. markets amidst growing concerns regarding the Eurozone debt markets.  Natural gas prices declined nearly 19% in March as steadily rising domestic inventories and mild temperatures across the U.S. put pressure on prices.  Crude oil markets fell due to speculation U.S. officials were considering tapping emergency oil reserves.  Decreased demand from China for crude oil also weighed on prices.  North American equity markets rallied due to bullish economic data in the U.S. and strong earnings forecasts for the first quarter.  Japanese equity indices rose to levels unseen since last year’s devastating earthquake due to strong forecasts for the nation’s export industries stemming from yen weakness.  German Bund prices declined because of early-month optimism surrounding the new Greek debt deal. U.S. Treasury markets also experienced setbacks as rallies in the equity markets and bullish intramonth economic indicators put pressure on demand for safe-haven assets.  Soybean prices moved higher due to increased demand for U.S. crops after severe droughts in South America impacted supplies.  Corn and wheat markets moved lower as favorable weather conditions in key U.S. farming regions lifted supply forecasts. Sugar prices also declined due to speculation global supplies could begin to outpace

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demand.  Precious metals markets fell due to a decrease in safe-haven demand fostered by bullish economic data in the U.S. Base metal markets declined as renewed Eurozone debt concerns, stemming from troubling reports in Spain and Portugal, weighed heavily on industrial demand forecasts.

Three months ended March 31, 2011

Grains prices rallied in excess of 10% due to concerns regarding global supply constraints. Supply concerns were driven by USDA reports forecasting weak supplies in the U.S. and severe flooding in key Australian farming regions. In the livestock markets, lean hogs prices underwent a sharp rally because of an increase in Chinese pork demand.

The Japanese yen posted strong gains in the early part of the first quarter because of safe-haven buying caused by unrest in Libya. The yen’s rally continued into the second half of the quarter as Japanese investors repatriated capital in order to fund rebuilding efforts after last month’s catastrophic earthquake. Breaking recent downtrends, the euro strengthened against counterparts due to better-than-expected debt auctions throughout the Eurozone.

Crude oil prices rose nearly 17%, driven higher by supply constraints stemming from turmoil in the Middle East. Also supporting the crude oil markets was the temporary shutdown of an 800-mile Alaskan pipeline. Prices in the natural gas markets moved generally lower due to temperate climates in the U.S.

The Japanese equity markets declined due to ongoing uncertainty surrounding the impact of March 2011’s earthquake on the nation’s growth prospects. Also weighing down the Japanese markets were concerns stemming from the ongoing crisis at key Japanese nuclear power facilities. North American equities moved steadily higher throughout the quarter, supported by positive economic data and increased investor risk appetite.  In Europe, easing concerns surrounding the financial stability of several smaller European nations drove equity share prices higher.

U.S. Treasury markets declined because of liquidations prompted by decreased risk-aversion. Positive economic indicators, including strong U.S. industrial production and employment data, supported an optimistic outlook for the global economy causing investors to exit debt positions.

Precious metals markets rallied due to safe-haven buying amidst tensions in Libya and ongoing inflation concerns. Silver markets underwent an especially large move, moving nearly 23% higher during the first quarter. Base metals markets produced mixed results in the first quarter due to conflicting global influences. Copper prices predominantly fell due to production disruptions in Japan and interest rate hikes in China. Others base metals, including aluminum and tin, moved higher for the quarter as strong economic data and rallies in the equity markets supported buying.

Key trading developments for Grant Park during the first three months of 2011 included the following:

Grant Park recorded losses in the month of January. Class A units were down 0.52%, Class B units were down 0.58%, Legacy 1 Class units were down 0.35%, Legacy 2 Class units were down 0.37%, Global 1 Class units were down 0.74%, Global 2 Class units were down 0.76% and Global 3 Class units were down 0.91%. Grains prices predominantly moved higher in January due to supply concerns stemming from severe flooding in Australia and poor weather conditions in South America. In the commodities markets, sugar prices also rose, driven by U.S. dollar weakness. Successful debt auctions in several smaller European nations were received as a sign that economic stability in the Eurozone may be improving and strengthened the euro against major counterparts. Adding to the euro rally was speculation European leaders were close to formalizing a plan for creating emergency financing for ailing European nations. Renewed optimism for the Eurozone weighed on the U.S. dollar and moved it lower against other major currencies. The British pound strengthened against counterparts as speculators believed recent inflation data might cause the Bank of England to raise interest rates sooner than previously expected. Speculators drove crude oil markets higher as supply concerns were raised by the closure of an 800-mile Alaskan pipeline. The political events in Egypt raised additional concerns about oil production in the region and also played a role in moving crude oil price higher. Natural gas markets also rose as abnormally cold temperatures served as a bullish influence on demand.  An improved economic outlook for Europe boded well for the global equity markets in January. North American, European, and Asian equity markets moved higher as optimism spurred investor risk appetite. Positive earnings reports and strong economic data from the U.S. and the Eurozone also drove markets higher. Global fixed-income markets endured setbacks due to decreased investor risk-aversion. Investors shifted their focus towards riskier assets and liquidated positions in the U.S. Treasury markets, which pushed prices sharply lower. In Europe, Bund prices fell as improving sentiment strengthened demand for European sovereign debt. The metals sector performed similarly to the fixed income markets as investor desire to pursue additional risk put heavy pressure on metal prices. A better economic outlook for Europe allowed investors to liquidate euro-hedging gold positions and caused a near 6% price decline. Base metals profited from strength in the global equity markets. Strong U.S. manufacturing data and better-than-expected earnings reports by manufacturing firms served as indicators that industrial demand may be on the rise, further supporting base metals prices.

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Grant Park recorded gains in February. Class A units were up 2.26%, Class B units were up 2.20%, Legacy 1 Class units were up 2.37%, Legacy 2 Class units were up 2.33%, Global 1 Class units were up 2.00%, Global 2 Class units were up 1.99% and Global 3 Class units were up 1.76%. Corn markets underwent a sharp rally after the United States Department of Agriculture issued a report which forecasted tight U.S. supplies. Soybean prices declined due to expectations of bullish supply and slowing international demand. In the livestock markets, prices for lean hogs moved higher following the largest increase in pork demand by China since the early 1980s. Safe-haven currencies including the Japanese yen and Swiss franc strengthened amidst growing instability in the Middle East. Optimistic comments by the Reserve Bank of Australia provided bullish support to the Australian dollar, moving the currency higher against foreign counterparts. Crude oil markets rose in excess of 6% in February as speculators perceived escalating violence in the Middle East as a threat to crude oil production in the region. Warm weather forecasts in the U.S. put substantial pressure on the natural gas markets, moving prices sharply lower.  Global equity markets generally moved higher in February as declines in U.S. jobless estimates fueled investor sentiment. The Japanese Nikkei 225 rallied due to strong earnings reports from several key Japanese firms. Hong Kong’s Hang Seng index, however, moved lower due to uncertainty surrounding the impact of rising Chinese interest rates on the nation’s economy. U.S. Treasury Bonds finished higher in February, following a late-month rally caused by instability in the Middle East. Unsure of the overall effects of recent upheaval in Libya, many investors shifted their focus to safe-haven fixed-income products. Precious metals markets benefitted from increased risk-aversion. Safe-haven buying resulted in a 6% and 20% respective price increase in the gold and silver markets. Base metal prices finished slightly higher due to bullish industrial demand forecasts early in the month.

Grant Park recorded losses in March. Class A units were down 2.48%, Class B units were down 2.53%, Legacy 1 Class units were down 2.21%, Legacy 2 Class units were down 2.22%, Global 1 Class units were down 1.85%, Global 2 Class units were down 1.89% and Global 3 Class units were down 2.01%. Corn and wheat prices generally fell after the United States Department of Agriculture reported upcoming harvests may produce near-record supplies. Adding to the decline in grains prices was weak demand from China for U.S crops. In the livestock markets, strong U.S. meat export data led to rallies in the live cattle and lean hogs markets. The Swiss franc posted gains as ongoing tension in Libya and the Japanese earthquake increased demand for safe-haven currencies. Comments made by the European Central Bank alluding to a potential interest rate hike in the Eurozone caused the euro to strengthen over major counterparts. Crude oil markets rallied, predominantly led higher by global turmoil. Supply concerns caused by unrest in Libya, strong economic data, and optimistic recovery forecasts for Japan combined to move crude oil prices higher. Natural gas finished nearly 9% higher for the month on speculation that Japanese demand for alternative fuels would increase due to ongoing turmoil at some of the nation’s key nuclear power plants. The Japanese Nikkei 225 fell in excess of 10% amidst concerns regarding the economic outlook for the nation following the recent earthquake and threats of a radiation leak at a key nuclear power plant. European equity markets also finished lower on renewed fears surrounding the financial stability of Spain and Portugal which weighed on investor sentiment. U.S. fixed-income markets predominantly declined because of liquidations prompted by optimistic employment and U.S. growth data. Intra-month gains in the U.S. equity markets also played a role in moving debt prices lower.  Precious metals markets experienced gains as ongoing tension in Libya buoyed demand for safe-haven assets. The base metals markets moved generally lower as production disruptions in Japan and reports showing a Chinese trade deficit weighed on prices.

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.

Grant Park maintains 65% to 95% of its net asset value in cash, cash equivalents or other liquid positions over and above that needed to post as collateral for trading. These funds are available to meet redemptions each month.

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.

A portion of each Trading Company’s assets is used as margin to support its trading. Margin requirements are satisfied by the deposit of U.S. Treasury bills, obligations of Government-sponsored enterprises and/or cash with brokers subject to CFTC regulations

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and various exchange and broker requirements.

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 35% of Grant Park’s value, are held in cash, U.S. Treasury securities, commercial paper and/or Government-sponsored enterprises. The balance of Grant Park’s assets, which range from 65% 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. 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.

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, when 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.

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. 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.

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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 within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). 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

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 (VaR). 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.

Grant Park uses an Aggregate Returns Volatility method to calculate VaR for the portfolio. The method consists of creating historical price time series for each instrument or its proxy instrument for the past 200 days, and then measures the standard deviation of that return history. Then, using a normal distribution (normal distribution curve has a mean of zero and a standard deviation of one), the standard deviation measurement is scaled up in order to achieve a result in line with the 95% degree of confidence, which corresponds to a scaling factor of approximately 1.645 times of standard deviations.

The VaR for each market sector represents the one day risk of loss for the aggregate exposures associated with that sector. The current methodology used to calculate VaR represents the VaR of Grant Park’s open positions across all market sectors and is less than the sum of the VaR of the individual market sectors due to the diversification benefit across all market sectors combined.

Grant Park’s VaR methodology and computation is based on the underlying risk of each contract or instrument in the portfolio and does not distinguish between exchange and non-exchange traded contracts. It is also not based on exchange maintenance margin requirements. VaR does not typically represent the worst case outcome.

VaR 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, VaR does not typically represent the worst case outcome. 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 preceding information, as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification 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 VaR or by Grant Park’s attempts to manage its market risk. VaR models, including Grant Park’s, are continually evolving as trading portfolios become more diverse and modeling systems and techniques continue to evolve. Moreover, value at risk may be defined differently as used by other commodity pools or in other contexts.

The composition of Grant Park’s trading portfolio, based on the nature of its business of speculative trading of futures, forwards and options, can change significantly, over any period of time, including a single day of trading. These changes can positively or negatively have a material impact on the market risk as measured by VaR.

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, 2012 and December 31, 2011 and the trading gains/losses by market category for the three months ended March 31, 2012 and the year ended December 31, 2011. All open position trading risk exposures of Grant Park have been included in calculating the figures set forth below. As of March 31, 2012, Grant Park’s net asset value was approximately $744.3 million. As of December 31, 2011, Grant Park’s net asset value was approximately $798.8 million.

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	March 31, 2012
Market Sector	Value at Risk*		Trading Gain/(Loss)
Currencies	0.5	%	(2.1	)%
Interest rates	0.5		(2.1	)
Energy	0.4		2.2
Stock indices	0.4		4.2
Agriculturals/softs/meats	0.2		(0.6	)
Metals	0.1		(0.8	)
Aggregate/Total	1.1	%	0.8	%

*The VaR for a market sector represents the one day risk of loss for the aggregate exposure for that particular sector. The aggregate VaR represents the VaR of Grant Park’s open positions across all market sectors and is less than the sum of the VaR of the individual market sectors due to the diversification benefit across all market sectors combined.

	December 31, 2011
Market Sector	Value at Risk*		Trading Gain/(Loss)
Interest rates	0.5	%	7.3	%
Currencies	0.4		(4.2	)
Energy	0.2		(0.6	)
Metals	0.2		(0.5	)
Stock indices	0.1		(5.1	)
Agriculturals/softs/meats	0.1		(2.7	)
Aggregate/Total	0.7	%	(5.8	)%

*The VaR for a market sector represents the one day risk of loss for the aggregate exposure for that particular sector. The aggregate VaR represents the VaR of Grant Park’s open positions across all market sectors and is less than the sum of the VaR of the individual market sectors due to the diversification benefit across all market sectors combined.

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

Past market risk factors will not always result in an accurate prediction of future distributions and correlations of future market movements. Changes in the portfolio value caused by market movements may differ from those measured by the VaR model. The VaR model reflects past trading positions while future risk depends on future trading positions. VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated within one day. The historical market risk data for the VaR model may provide only limited insight into the losses that could be incurred under unusual market movements. 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 March 31, 2012, by market sector.

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.

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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, 2012, Grant Park was short the U.S. dollar against various major currencies including the British pound, Mexican peso, euro, New Zealand dollar, and Australian dollar, and long the U.S. dollar against the Swiss franc and Japanese yen.  In general, a weaker U.S. dollar against most major currencies would benefit Grant Park.

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 affect 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.  Grant Park also takes futures positions on the government debt of smaller nations, such as Australia, New Zealand, Singapore, and Mexico.  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, 2012, Grant Park was predominantly long interest rate instruments in the U.S., Eurozone, Canada, Australia, New Zealand, United Kingdom, Japan, and Mexico.

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 South America.  As of March 31, 2012, the energy market exposure of Grant Park was predominantly long Brent crude oil, crude gas oil, gasoline Blendstock, heating oil, kerosene, Oman crude oil, and WTI crude oil, and short the natural gas and Phelix Baseload markets.  Energy prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in these markets.

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, South, Africa, India, Singapore, South Korea, and Australia. The stock index futures contracts currently traded by Grant Park are generally futures on broadly based indices, although Grant Park also trades narrow-based stock index or single-stock futures contracts. As of March 31, 2012, Grant Park was predominantly long indices in the U.S., Eurozone, Taiwan, Australia, South Africa, Singapore, Japan, Canada, Hong Kong, and short indices positions in India.  Static markets would not cause major market changes but would make it difficult for Grant Park to avoid being “whipsawed” into numerous small losses.

Agriculturals/Meats/Softs

Grant Park’s primary commodities exposure is due to agricultural price movements, which are often directly affected by severe or unexpected weather conditions as well as other factors.  As of March 31, 2012, in the grains markets, Grant Park had long positions in the milling wheat, oats, rapeseed, canola, soybeans, soybean oil, and soybean meal markets, and short the corn and wheat markets.  In the livestock markets, Grant Park was short feeder cattle, lean hogs, and live cattle.  In the foods/industrials markets Grant Park was short the cocoa, coffee, cotton, lumber, and orange juice, and long sugar and rubber.

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, lead, copper, tin, nickel and zinc. As of March 31, 2012, in the precious metals sector Grant Park had long positions in gold and silver and short positions in palladium and platinum.  In the base metals markets, Grant Park was short aluminum, lead, and nickel, and long copper and zinc.

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

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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.

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 (the “Exchange Act”). 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, 2012 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 Annual Report on Form 10-K for its fiscal year ended December 31, 2011, in response to Item 1A to Part 1 of Form 10-K.

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

(a)           None.

(b)           None.

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Issuer Purchases of Equity Securities

(c)           The following table provides information regarding the total Class A, Class B, Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class units redeemed by Grant Park during the three months ended March 31, 2012.

Period	Total Numberof Class A Units Redeemed	WeightedAverage Price Paid per Unit		Total Numberof Class B Units Redeemed	WeightedAverage Price Paid per Unit		Total Numberof Legacy 1 Class Units Redeemed	WeightedAverage Price Paid per Unit		Total Numberof Legacy 2 Class Units Redeemed	WeightedAverage Price Paid per Unit		Total Numberof Global 1 Class Units Redeemed	WeightedAverage Price Paid per Unit		Total Numberof Global 2 Class Units Redeemed	WeightedAverage Price Paid per Unit		Total Numberof Global 3 Class Units Redeemed	WeightedAverage 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)
01/01/12 through 01/31/12	1,282.97	$	1,295.80	12,730.37	$	1,098.39	15.53	$	913.91	338.83	$	904.56	254.88	$	877.76	730.19	$	869.39	2,387.53	$	824.39	17,740.30	(2)
02/01/12 through 02/29/12	221.02	$	1,306.19	12,492.12	$	1,106.59	150.02	$	923.02	145.14	$	913.38	141.98	$	886.21	461.29	$	877.59	3,435.45	$	830.95	17,047.02	(2)
03/01/12 through 03/31/12	888.04	$	1,277.32	12,189.63	$	1,081.52	93.10	$	904.32	877.68	$	894.70	216.22	$	868.77	281.45	$	860.14	4,284.32	$	813.23	18,830.44	(2)
Total	2,392.03	$	1,289.90	37,412.12	$	1,095.63	258.65	$	915.74	1,361.65	$	899.14	613.08	$	876.55	1,472.93	$	870.19	10,107.30	$	821.89	53,617.76	(2)

(1)           As previously disclosed, pursuant to the Partnership Agreement, investors in Grant Park may redeem their units for an amount equal to the net asset value per unit at the close of business on the last business day of any calendar month if at least 10 days prior to the redemption date, or at an earlier date if required by the investor’s selling agent, the general partner receives a written request for redemption from the investor.  Generally, redemptions are paid in the month subsequent to the month requested.  The general partner may permit earlier redemptions in its discretion.

(2)           Not determinable.

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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
101.1	The following financial statements from the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2012 formatted in XBRL (eXtensible Business Reporting Language): (i) Consolidated Statements of Financial Condition; (ii) Consolidated Condensed Schedule of Investments; (iii) Consolidated Statements of Operations; (iv) Consolidated Statements of Changes in Partners’ Capital (Net Asset Value); and (v) Notes to Consolidated Financial Statements. +

+  In accordance with Rule 406T of Regulation S-T, the XBRL related information in Exhibit 101.1 shall not be deemed to be “filed” for purposes of Section 11 and Section 12 of the Securities Act of 1933 and Section 18 of the Securities Exchange Act of 1934, or otherwise subject to liability under those sections.

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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: May 15, 2012	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)

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