UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the Quarterly Period Ended: September 30, 2011

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

For the Transition Period From                     to                     .

Commission File Number: 0-50316

Grant Park Futures Fund

Limited Partnership

(Exact name of registrant as specified in its charter)

Illinois	36-3596839
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)

c/o Dearborn Capital Management, L.L.C.

626 West Jackson Boulevard, Suite 600

Chicago, Illinois 60661

(Address of principal executive offices, including zip code)

(312) 756-4450

Registrant’s telephone number, including area code:

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  ¨

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  ¨

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 definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

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

Indicate by check mark whether the Registrant is a shell company (as defined in Rule 12b-2 of the Securities Exchange Act of 1934).    Yes  ¨    No  x

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

FORM 10-Q FOR THE QUARTER ENDED September 30, 2011

INDEX

PART I - FINANCIAL INFORMATION
Item 1.	Financial Statements
	Consolidated Statements of Financial Condition as of September 30, 2011 (unaudited) and December 31, 2010 (audited)	1
	Consolidated Condensed Schedule of Investments as of September 30, 2011 (unaudited)	2
	Consolidated Condensed Schedule of Investments as of December 31, 2010 (audited)	4
	Consolidated Statements of Operations for the three and nine months ended September 30, 2011 and 2010 (unaudited)	6
	Consolidated Statements of Changes in Partners’ Capital (Net Asset Value) for the nine months ended September 30, 2011 and 2010 (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	32
Item 4.	Controls and Procedures	35
PART II - OTHER INFORMATION
Item 1A.	Risk Factors	36
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	36
Item 5.	Other Information	38
Item 6.	Exhibits	39
SIGNATURES		40
CERTIFICATIONS		41

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Financial Condition

	September 30, 2011		December 31, 2010
	(Unaudited)
Assets
Equity in brokers’ trading accounts:
Securities owned, at fair value (cost $142,436,784 and $98,314,299, respectively)	$	142,706,687	$	98,441,357
Cash		23,135,785		6,757,371
Unrealized gain (loss) on open contracts, net		13,502,755		35,956,214
Total equity in brokers’ trading accounts		179,345,227		141,154,942
Cash and cash equivalents		338,821,301		338,154,495
Securities owned, at fair value (cost $393,476,855 and $446,933,117, respectively)		393,861,668		447,426,370
Interest and dividends receivable		56,667		82,357
Total assets	$	912,084,863	$	926,818,164
Liabilities and Partners’ Capital (Net Asset Value)
Liabilities
Brokerage commission payable	$	5,278,592	$	5,622,480
Accrued incentive fees		3,626,389		9,372,262
Organization and offering costs payable		215,485		217,123
Accrued operating expenses		187,267		140,163
Pending partner additions		10,048,195		12,218,587
Redemptions payable		10,072,940		7,334,779
Total liabilities		29,428,868		34,905,394
Partners’ Capital (Net Asset Value)
General Partner
Class A (3,008.66 units outstanding at both September 30, 2011 and December 31, 2010)		4,108,386		4,478,872
Class B (427.01 units outstanding at both September 30, 2011 and December 31, 2010)		495,354		542,672
Legacy 1 Class (1,025.00 units outstanding at both September 30, 2011 and December 31, 2010)		980,025		1,050,542
Legacy 2 Class (1,000.00 units outstanding at both September 30, 2011 and December 31, 2010)		947,447		1,019,793
Global 1 Class (1,044.66 units outstanding at both September 30, 2011 and December 31, 2010)		954,798		1,028,338
Global 2 Class (1,974.70 and 1,181.06 units outstanding at September 30, 2011 and December 31, 2010, respectively)		1,789,199		1,155,098
Global 3 Class (500.00 units outstanding at both September 30, 2011 and December 31, 2010)		432,113		473,009
Limited Partners
Class A (36,871.49 and 40,362.54 units outstanding at September 30, 2011 and December 31, 2010, respectively)		50,348,818		60,086,201
Class B (452,430.44 and 498,484.71 units outstanding at September 30, 2011 and December 31, 2010, respectively)		524,840,719		633,504,348
Legacy 1 Class (5,356.08 and 5,908.00 units outstanding at September 30, 2011 and December 31, 2010, respectively)		5,121,065		6,055,220
Legacy 2 Class (16,970.56 and 6,361.06 units outstanding at September 30, 2011 and December 31, 2010, respectively)		16,078,710		6,486,967
Global 1 Class (14,540.38 and 10,133.38 units outstanding at September 30, 2011 and December 31, 2010, respectively)		13,289,628		9,975,048
Global 2 Class (29,871.22 and 18,631.40 units outstanding at September 30, 2011 and December 31, 2010, respectively)		27,065,169		18,221,772
Global 3 Class (273,313.79 and 156,270.73 units outstanding at September 30, 2011 and December 31, 2010, respectively)		236,204,564		147,834,890
Total partners’ capital (net asset value)		882,655,995		891,912,770
Total liabilities and partners’ capital (net asset value)	$	912,084,863	$	926,818,164

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

1

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

September 30, 2011

(Unaudited)

Futures, Forwards, and Options on Futures Contracts

							Unrealized gain/(loss) on open long contracts						Unrealized gain/(loss) on open short contracts						Net unrealized gain/(loss) on open contracts
	Expiration Dates		No. of Contracts							Percent of Partners’ Capital						Percent of Partners’ Capital						Percent of Partners’ Capital
			Long		Short
Futures Contracts *
U.S. Futures Positions:
Agriculturals							$	(2,368,612	)		(0.27	)%	$	5,488,956			0.62	%	$	3,120,344			0.35	%
Currencies							$	(1,024,787	)		(0.11	)%	$	3,276,536			0.37	%	$	2,251,749			0.26	%
Energy							$	(1,370,547	)		(0.16	)%	$	4,345,592			0.50	%	$	2,975,045			0.34	%
Interest rates							$	255,569			0.03	%	$	292,377			0.03	%	$	547,946			0.06	%
Meats							$	689,549			0.07	%	$	(211,210	)		(0.02	)%	$	478,339			0.05	%
Metals							$	(700,977	)		(0.08	)%	$	1,275,369			0.14	%	$	574,392			0.06	%
Soft commodities							$	(544,161	)		(0.06	)%	$	1,539,189			0.17	%	$	995,028			0.11	%
Stock indices and single stock futures							$	(905,963	)		(0.10	)%	$	874,553			0.10	%	$	(31,410	)		0.00	%
Total U.S. Futures Positions							$	(5,969,929	)				$	16,881,362					$	10,911,433
Foreign Futures Positions:
Agriculturals							$	(1,021	)		0.00	%	$	29,422			0.00	%	$	28,401			0.00	%
Energy							$	(818,782	)		(0.09	)%	$	570,801			0.07	%	$	(247,981	)		(0.02	)%
Interest rates							$	2,190,852			0.25	%	$	91,286			0.01	%	$	2,282,138			0.26	%
Metals
Copper		10/19/2011- 12/19/2012		706		752	$	(36,984,873	)		(4.19	)%	$	37,627,242			4.26	%	$	642,369			0.07	%
Aluminum		10/19/2011- 12/19/2012		3119		3484	$	(28,109,358	)		(3.18	)%	$	28,640,169			3.24	%	$	530,811			0.06	%
Nickel		10/19/2011- 3/21/2012		416		467	$	(11,331,026	)		(1.28	)%	$	11,302,585			1.28	%	$	(28,441	)		0.00	%
Other Metals							$	(5,158,921	)		(0.59	)%	$	5,810,286			0.66	%	$	651,365			0.07	%
Soft commodities							$	(13,741	)		0.00	%	$	99,934			0.01	%	$	86,193			0.01	%
Stock indices							$	(43,470	)		0.00	%	$	(375,869	)		(0.04	)%	$	(419,339	)		(0.04	)%
Total Foreign Futures Positions							$	(80,270,340	)				$	83,795,856					$	3,525,516
Total Futures Contracts							$	(86,240,269	)		(9.77	)%	$	100,677,218			11.41	%	$	14,436,949			1.64	%
Forward Contracts *
Currencies							$	(7,746,614	)		(0.88	)%	$	6,832,705			0.77	%	$	(913,909	)		(0.11	)%
Options on Futures Contracts *
U.S. stock indices							$	23,050			0.00	%	$	(43,335	)		0.00	%	$	(20,285	)		0.00	%
Total Futures, Forward and Options on Futures and Forward Contracts							$	(93,963,833	)		(10.65	)%	$	107,466,588			12.18	%	$	13,502,755			1.53	%

* No individual futures, forward, and options on futures and forward contract position, other than those presented, constituted greater than 1 percent of partners’ capital. Accordingly, the number of contracts and 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)

September 30, 2011

(Unaudited)

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

Face Value	Maturity Date		Description	Fair Value		Percent of Partners’ Capital (net asset value)
$142,750,000		2/9/2012-7/26/2012	U.S. Treasury Bills, 0.1-0.3% (cost $142,436,784)	$	142,706,687	16.17%

*** 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)
$25,000,000		11/3/2011-5/24/2012	U.S. Certificates of deposit, 0.2-0.4% (cost $25,000,000)	$	25,029,226	2.83%

U.S. Commercial paper

Face Value	Maturity Date		Description	Fair Value		Percent of Partners’ Capital (net asset value)
$40,000,000		10/18/2011-12/21/2011	U.S. Commercial paper, 0.2-0.3% (cost $39,974,200)	$	39,988,997	4.53%

U.S. Government-sponsored enterprises

Face Value		Maturity Date	Description	Fair Value		Percent of Partners’ Capital (net asset value)
	$139,675,000	9/23/2013-9/29/2014	Federal Farm Credit Bank, 0.2-1.6%	$	139,854,356	15.85%
	$89,000,000	3/6/2013-7/28/2014	Federal Home Loan Bank, 0.2-1.3%	$	89,094,186	10.09%
	$25,000,000	3/19/2012	Federal National Mortgage Association Discount Note, 0.2%	$	24,979,931	2.83%
			Total U.S. Government-sponsored enterprises (cost $253,629,287)	$	253,928,473	28.77%

U.S. Government securities

Face Value	Maturity Dates		Description	Fair Value		Percent of Partners’ Capital (net asset value)
$75,000,000		5/3/2012-6/28/2012	U.S. Treasury Bills, 0.2% (cost $74,873,368)	$	74,914,972		8.49	%

	Fair Value		Percent of Partners’ Capital (net asset value)
Total securities owned	$	393,861,668	44.62%

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, 2010

Futures, Forwards and Options on Futures Contracts

							Unrealized gain/(loss) on open long contracts
	Expiration Dates		No. of Contracts							Percent of Partners’ Capital (net asset value)			Unrealized gain/(loss) on open short contracts			Percent of Partners’ Capital (net asset value)			Net unrealized gain/(loss) on open contracts			Percent of Partners’ Capital (net asset value)
			Long		Short
Futures Contracts *
U.S. Futures Positions:
Agriculturals							$	6,663,696			0.75	%	$	(377,927	)		(0.04	)%	$	6,285,769			0.71	%
Currencies							$	9,558,662			1.07	%	$	2,283,505			0.26	%	$	11,842,167			1.33	%
Energy							$	2,655,082			0.30	%	$	(1,303,695	)		(0.15	)%	$	1,351,387			0.15	%
Interest rates							$	277,176			0.03	%	$	(418,671	)		(0.05	)%	$	(141,495	)		(0.02	)%
Meats							$	787,250			0.09	%	$	(20,500	)		0.00	%	$	766,750			0.09	%
Metals							$	4,039,143			0.45	%	$	(616,704	)		(0.07	)%	$	3,422,439			0.38	%
Soft commodities							$	2,720,770			0.31	%	$	(216,592	)		(0.02	)%	$	2,504,178			0.29	%
Stock indices and single stock futures							$	928,568			0.10	%	$	71,857			0.01	%	$	1,000,425			0.11	%
Total U.S. Futures Positions							$	27,630,347					$	(598,727	)				$	27,031,620
Foreign Futures Positions:
Agriculturals							$	24,719			0.00	%	$	0			0.00	%	$	24,719			0.00	%
Energy							$	509,737			0.06	%	$	(17,165	)		0.00	%	$	492,572			0.06	%
Interest rates							$	2,243,690			0.25	%	$	(983,344	)		(0.11	)%	$	1,260,346			0.14	%
Metals
Copper		1/19/2011- 6/15/2011		386		208	$	8,937,572			1.00	%	$	(4,285,970	)		(0.48	)%	$	4,651,602			0.52	%
Other Metals							$	7,077,265			0.79	%	$	(7,672,518	)		(0.86	)%	$	(595,253	)		(0.07	)%
Soft commodities							$	27,959			0.00	%	$	0			0.00	%	$	27,959			0.00	%
Stock indices							$	(120,097	)		(0.01	)%	$	148,949			0.02	%	$	28,852			0.01	%
Total Foreign Futures Positions							$	18,700,845					$	(12,810,048	)				$	5,890,797
Total Futures Contracts							$	46,331,192			5.19	%	$	(13,408,775	)		(1.50	)%	$	32,922,417			3.69	%
Forward Contracts *
Currencies							$	3,078,051			0.34	%	$	(39,629	)		0.00	%	$	3,038,422			0.34	%
Options on Futures Contracts*
U.S. stock indices							$	4,840			0.00	%	$	(9,465	)		0.00	%	$	(4,625	)		0.00	%
Total Futures, Forward and Options on Futures Contracts
							$	49,414,083			5.54	%	$	(13,457,869	)		(1.51	)%	$	35,956,214			4.03	%

* No individual futures, forward, or options on futures contract position, other than those presented, constituted greater than 1 percent of partners’ capital. Accordingly, the number of contracts and 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)
$98,450,000		1/6/2011-3/31/2011	U.S. Treasury Bills, 0.1%-0.3% (cost $98,314,299)	$	98,441,357	11.04%

*** 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, 2010

Securities owned

Bank deposits

Face Value	Maturity Date		Description	Fair Value		Percent of Partners’ Capital (net asset value)
$20,000,000		4/29/2011	Bank of Nova Scotia, 0.3 % (cost $20,000,000)	$	20,009,468	2.24%

U.S. Commercial paper

Face Value	Maturity Date		Description	Fair Value		Percent of Partners’ Capital (net asset value)
$15,000,000		2/2/2011	Citigroup Funding, 0.3% (cost $14,988,158)	$	14,996,133	1.68%

U.S. Government-sponsored enterprises

Face Value	Maturity Dates	Description	Fair Value		Percent of Partners’ Capital (net asset value)
$130,500,000	9/9/2013-12/30/2013	Federal Home Loan Bank, 1.0-1.6%	$	130,677,841	14.65%
$61,575,000	2/14/2011-12/16/2013	Federal Farm Credit Bank, 0.2-1.4%	$	61,636,684	6.91%
$45,000,000	4/27/2012-5/25/2012	Federal National Mortgage Association, 1.3-1.4%	$	45,087,111	5.05%
$30,075,000	2/1/2011-1/25/2012	Federal Home Loan Mortgage Corp., 0.1-1.3%	$	30,109,748	3.38%
$15,000,000	8/23/2013	Federal Agricultural Mortgage Corp., 1.3%	$	15,066,667	1.69%
$10,000,000	7/8/2011	Federal Home Loan Discount Note, 0.4%	$	9,977,544	1.12%
	Total U.S. Government-sponsored enterprises (cost $292,091,597)		$	292,555,595	32.80%

U.S. Government securities

Face Value	Maturity Dates		Description	Fair Value		Percent of Partners’ Capital (net asset value)
$120,000,000		3/31/2011-11/17/2011	U.S. Treasury Bills, 0.1%-0.3% (cost $119,853,362)	$	119,865,174	13.44%

	Fair Value		Percent of Partners’ Capital (net asset value)
Total securities owned	$	447,426,370		50.16	%

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 September 30,						Nine Months Ended September 30,
	2011			2010			2011			2010
	(Unaudited)						(Unaudited)
Net trading gains (losses)
Net gain (loss) from futures and forward trading
Realized	$	1,533,658		$	10,463,626		$	(1,222,983	)	$	(1,204,732	)
Change in unrealized		15,103,836			39,616,125			(22,508,037	)		33,622,932
Commissions		(3,414,338	)		(3,112,918	)		(9,958,730	)		(9,233,034	)
Net gains (losses) from futures and forward trading		13,223,156			46,966,833			(33,689,750	)		23,185,166
Net gain (loss) from equities, equity options and exchange-traded funds
Realized		0			0			408,727			0
Change in unrealized		0			0			0			0
Commissions		0			0			(68,873	)		0
Net gains (losses) from equities, equity options and exchange-traded funds		0			0			339,854			0
Total trading gains (losses)		13,223,156			46,966,833			(33,349,896	)		23,185,166
Net investment income (loss)
Income
Dividend income		0			0			72,394			0
Interest income		640,016			1,112,997			2,469,140			3,579,508
Total income		640,016			1,112,997			2,541,534			3,579,508
Expenses from operations
Dividend expense		0			0			159,212			0
Brokerage commission		13,228,036			12,600,591			40,279,215			37,743,852
Incentive fees		3,626,389			3,520,544			5,389,425			4,901,477
Organizational and offering costs		654,280			591,669			1,957,079			1,749,728
Operating expenses		569,056			518,820			1,707,397			1,538,839
Total expenses		18,077,761			17,231,624			49,492,328			45,933,896
Net investment loss		(17,437,745	)		(16,118,627	)		(46,950,794	)		(42,354,388	)
Net income (loss)	$	(4,214,589	)	$	30,848,206		$	(80,300,690	)	$	(19,169,222	)
Net income (loss) per unit from operations (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period:
General Partner & Limited Partner Class A Units	$	(6.90	)	$	58.30		$	(123.14	)	$	(24.56	)
General Partner & Limited Partner Class B Units	$	(7.76	)	$	48.19		$	(110.81	)	$	(26.74	)
General Partner & Limited Partner Legacy 1 Class Units	$	0.60		$	42.29		$	(68.80	)	$	(5.45	)
General Partner & Limited Partner Legacy 2 Class Units	$	(1.50	)	$	41.19		$	(72.34	)	$	(7.70	)
General Partner & Limited Partner Global 1 Class Units	$	3.96		$	19.31		$	(70.40	)	$	(20.56	)
General Partner & Limited Partner Global 2 Class Units	$	3.28		$	18.66		$	(71.95	)	$	(22.68	)
General Partner & Limited Partner Global 3 Class Units	$	(0.77	)	$	14.11		$	(81.79	)	$	(35.13	)

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)

Nine Months Ended September 30, 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		0		0			0			0			0		0			0			0			0		0			630.38			641,324			0		0			11,200.61			11,017,655
Redemptions		0		0			(3,491.05	)		(5,009,150	)		0		0			(46,054.27	)		(56,338,190	)		0		0			(1,182.30	)		(1,186,506	)		0		0			(591.11	)		(580,322	)
Net loss		0		(370,486	)		0			(4,728,233	)		0		(47,318	)		0			(52,325,439	)		0		(70,517	)		0			(388,973	)		0		(72,346	)		0			(845,590	)
Partners’ capital, (net asset value)
September 30, 2011		3,008.66	$	4,108,386			36,871.49		$	50,348,818			427.01	$	495,354			452,430.44		$	524,840,719			1,025.00	$	980,025			5,356.08		$	5,121,065			1,000.00	$	947,447			16,970.56		$	16,078,710
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
September 30, 2011						$	1,365.52										$	1,160.05										$	956.12										$	947.45

	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		0		0			5,943.67			5,678,180			793.64		749,000			13,448.42			12,662,684			0		0			129,777.96			118,496,683			149,245,526
Redemptions		0		0			(1,536.67	)		(1,445,731	)		0		0			(2,208.60	)		(2,089,944	)		0		0			(12,734.90	)		(11,551,768	)		(78,201,611	)
Net loss		0		(73,540	)		0			(917,869	)		0		(114,899	)		0			(1,729,343	)		0		(40,896	)		0			(18,575,241	)		(80,300,690	)
Partners’ capital, (net asset value)
September 30, 2011		1,044.66	$	954,798			14,540.38		$	13,289,628			1,974.70	$	1,789,199			29,871.22		$	27,065,169			500.00	$	432,113			273,313.79		$	236,204,564		$	882,655,995
Net asset value per unit at
December 31, 2010						$	984.38										$	978.01										$	946.02
Net asset value per unit at
September 30, 2011						$	913.98										$	906.06										$	864.23

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

7

Grant Park Futures Fund Limited Partnership

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

Nine Months Ended September 30, 2010

(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, 2009		3,008.66	$	4,287,922			48,356.59		$	68,917,549			427.01	$	522,813			570,593.04		$	698,607,417			1,025.00	$	990,276			3,851.25		$	3,720,780			1,000.00	$	964,540			3,122.95		$	3,012,215
Contributions		0		0			0			0			0		0			0			0			0		0			2,356.83			2,198,500			0		0			2,385.49			2,202,484
Redemptions		0		0			(7,010.05	)		(9,489,208	)		0		0			(57,230.37	)		(66,376,279	)		0		0			(371.46	)		(349,276	)		0		0			(70.14	)		(66,215	)
Net loss		0		(73,890	)		0			(1,516,898	)		0		(11,422	)		0			(17,425,262	)		0		(5,592	)		0			37,045			0		(7,697	)		0			55,119
Partners’ capital,
September 30, 2010		3,008.66	$	4,214,032			41,346.54		$	57,911,443			427.01	$	511,391			513,362.67		$	614,805,876			1,025.00	$	984,684			5,836.62		$	5,607,049			1,000.00	$	956,843			5,438.30		$	5,203,603
Net asset value per unit at
December 31, 2009						$	1,425.20										$	1,224.35										$	966.12										$	964.54
Net asset value per unit at
September 30, 2010						$	1,400.64										$	1,197.61										$	960.67										$	956.84

	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, 2009		1,044.66	$	999,554			3,358.60		$	3,213,581			708.97	$	676,076			7,333.83		$	6,993,517			500.00	$	469,821			40,328.60		$	37,894,437		$	831,270,498
Contributions		0		0			5,716.30			5,212,637			382.09		350,000			10,049.83			9,188,976			0		0			93,620.45			83,433,378			102,585,975
Redemptions		0		0			(605.13	)		(558,058	)		0		0			(541.85	)		(491,764	)		0		0			(2,844.72	)		(2,522,593	)		(79,853,393	)
Net loss		0		(21,479	)		0			61,759			0		(10,387	)		0			(12,424	)		0		(17,568	)		0			(220,526	)		(19,169,222	)
Partners’ capital,
September 30, 2010		1,044.66	$	978,075			8,469.77		$	7,929,919			1,091.06	$	1,015,689			16,841.81		$	15,678,305			500.00	$	452,253			131,104.33		$	118,584,696		$	834,833,858
Net asset value per unit at
December 31, 2009						$	956.82										$	953.60										$	939.64
Net asset value per unit at
September 30, 2010						$	936.26										$	930.92										$	904.51

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 September 30, 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 and 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: Financial Accounting Standards Board (“FASB”) guidance under FASB ASC 810 establishes accounting and reporting requirements for noncontrolling interests. This guidance requires noncontrolling interests to be reported as a component of partners’ capital (net asset value) on the consolidated statement of financial condition and the amount of net income (loss) attributable to noncontrolling interests to be identified on the consolidated statement of operations.

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 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 or securities are liquidated. Unrealized gains or losses on open contracts (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.

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 not generally subject to examination by U.S. federal or state taxing authorities for tax years before 2007. As of September 30, 2011, 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 September 30, 2011, 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.

Reclassification: Certain amounts in the 2010 financial statements have been reclassified to conform with the 2011 presentation.

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 September 30, 2011 and 2010 substantially all investments were highly liquid and carried at fair value, the Partnership carried little or 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 is currently assessing the impact of ASU 2011-04 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 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.

The Partnership values bank deposits, which consist of certificates of deposit, at face value plus accrued interest, which approximates fair value, 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 following table presents the Partnership’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of September 30, 2011:

11

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Assets	Level 1			Level 2			Level 3		Total
Equity in brokers’ trading accounts
U.S. Government securities	$	142,706,687		$	0		$	0	$	142,706,687
U.S. and foreign futures contracts		14,436,949			0			0		14,436,949
Forward contracts		0			(913,909	)		0		(913,909	)
Options on futures contracts		(20,285	)		0			0		(20,285	)
Cash and cash equivalents
Bank deposits		0			3,534,083			0		3,534,083
U.S. Commercial paper		325,290,007			0			0		325,290,007
Securities owned
Bank deposits		0			25,029,226			0		25,029,226
U.S. Commercial paper		39,988,997			0			0		39,988,997
U.S. Government-sponsored enterprises		253,928,473			0			0		253,928,473
U.S. Government securities		74,914,972			0			0		74,914,972

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, 2010:

Assets	Level 1			Level 2		Level 3		Total
Equity in brokers’ trading accounts
U.S. Government securities	$	98,441,357		$	0	$	0	$	98,441,357
U.S. and foreign futures contracts		32,922,417			0		0		32,922,417
Forward contracts		0			3,038,422		0		3,038,422
Options on futures contracts		(4,625	)		0		0		(4,625	)
Cash and cash equivalents
Bank deposits		0			28,202,983		0		28,202,983
U.S. Commercial paper		297,810,795			0		0		297,810,795
Securities owned
Bank deposits		0			20,009,468		0		20,009,468
U.S. Commercial paper		14,996,133			0		0		14,996,133
U.S. Government-sponsored enterprises		292,555,595			0		0		292,555,595
U.S. Government securities		119,865,174			0		0		119,865,174

Note 3.    Deposits with Brokers

The Partnership, through the Trading Companies, deposits assets with brokers subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury bills, securities of Government-sponsored enterprises and cash with such brokers. The Partnership earns interest income on its assets deposited with the 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 Rabar Market Research, Inc., EMC Capital Management, Inc., Eckhardt Trading Co., Winton Capital Management Limited, Welton Investment Corporation, Global Advisors Jersey Limited, Transtrend B.V., Quantitative Investment Management LLC, Sunrise Capital Partners, LLC, Amplitude Capital International Limited, Alder Capital Limited and Denali Asset Management, LLLP (collectively, the “Advisors”). The Advisors are paid a quarterly management fee 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

12

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

amount at least equal to the greater of: (a) 1 percent of all capital contributions of all Partners to the Partnership; or (b) $25,000; or such other amount satisfying the requirements then imposed by the North American Securities Administrators Association, Inc. (NASAA) Guidelines. Further, during such time as the Units are registered for sale to the public, the General Partner shall, so long as it remains a general partner of the Partnership, maintain a net worth (as such term may be defined in the NASAA Guidelines) at least equal to the greater of: (i) 5 percent of the total capital contributions of all partners and all limited partnerships to which it is a general partner (including the Partnership) plus 5 percent of the Units being offered for sale in the Partnership; or (ii) $50,000; or such other amount satisfying the requirements then imposed by the NASAA Guidelines. In no event, however, shall the General Partner be required to maintain a net worth in excess of $1,000,000 or such other maximum amount satisfying the requirements then imposed by the NASAA Guidelines.

Ten percent of the General Partner limited partnership interest in the Grant Park Futures Fund Limited Partnership is characterized as a general partnership interest. Notwithstanding, the general partnership interest will continue to pay all fees associated with a limited partnership interest.

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 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.

13

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

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 September 30,						Nine Months Ended September 30,
	2011			2010			2011			2010
Total return – Class A Units		(0.50	)%		4.34	%		(8.27	)%		(1.72	)%
Total return – Class B Units		(0.66	)%		4.19	%		(8.72	)%		(2.18	)%
Total return – Legacy 1 Class Units		0.06	%		4.60	%		(6.71	)%		(0.56	)%
Total return – Legacy 2 Class Units		(0.16	)%		4.50	%		(7.09	)%		(0.80	)%
Total return – Global 1 Class Units		0.44	%		2.11	%		(7.15	)%		(2.15	)%
Total return – Global 2 Class Units		0.36	%		2.05	%		(7.36	)%		(2.38	)%
Total return – Global 3 Class Units		(0.09	)%		1.58	%		(8.65	)%		(3.74	)%
Ratios as a percentage of average net assets:
Expenses prior to incentive fees (1)		6.53	%		6.75	%		6.57	%		6.76	%
Incentive fees (2)		0.41	%		0.43	%		0.60	%		0.61	%
Total expenses		6.94	%		7.18	%		7.17	%		7.37	%
Net investment loss (1) (3)		(6.24	)%		(6.20	)%		(6.19	)%		(6.17	)%

(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 and nine months ended September 30, 2011 and 2010 (annualized).

The following per unit performance calculations reflect activity related to the Partnership for the three and nine months ended September 30, 2011 and 2010.

Class A Units	Three Months Ended September 30,						Nine Months Ended September 30,
	2011			2010			2011			2010
Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	1,372.42		$	1,342.34		$	1,488.66		$	1,425.20
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*		19.39			83.99			(49.54	)		41.45
Expenses net of interest and dividend income*		(26.29	)		(25.69	)		(73.60	)		(66.01	)
Total income (loss) from operations		(6.90	)		58.30			(123.14	)		(24.56	)
Net asset value per unit at end of period	$	1,365.52		$	1,400.64		$	1,365.52		$	1,400.64

14

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Class B Units	Three Months Ended September 30,						Nine Months Ended September 30,
	2011			2010			2011			2010
Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	1,167.81		$	1,149.42		$	1,270.86		$	1,224.35
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*		16.57			71.91			(42.04	)		35.43
Expenses net of interest and dividend income*		(24.33	)		(23.72	)		(68.77	)		(62.17	)
Total income (loss) from operations		(7.76	)		48.19			(110.81	)		(26.74	)
Net asset value per unit at end of period	$	1,160.05		$	1,197.61		$	1,160.05		$	1,197.61
Legacy 1 Class Units	Three Months Ended September 30,						Nine Months Ended September 30,
	2011			2010			2011			2010
Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	955.52		$	918.38		$	1,024.92		$	966.12
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading *		13.47			57.89			(34.67	)		30.68
Expenses net of interest and dividend income*		(12.87	)		(15.60	)		(34.13	)		(36.13	)
Total income (loss) from operations		0.60			42.29			(68.80	)		(5.45	)
Net asset value per unit at end of period	$	956.12		$	960.67		$	956.12		$	960.67
Legacy 2 Class Units	Three Months Ended September 30,						Nine Months Ended September 30,
	2011			2010			2011			2010
Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	948.95		$	915.65		$	1,019.79		$	964.54
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*		14.54			57.72			(32.53	)		30.87
Expenses net of interest and dividend income*		(16.04	)		(16.53	)		(39.81	)		(38.57	)
Total income (loss) from operations		(1.50	)		41.19			(72.34	)		(7.70	)
Net asset value per unit at end of period	$	947.45		$	956.84		$	947.45		$	956.84

15

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Global 1 Class Units	Three Months Ended September 30,						Nine Months Ended September 30,
	2011			2010			2011			2010
Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	910.02		$	916.95		$	984.38		$	956.82
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*		16.49			31.15			(40.76	)		11.54
Expenses net of interest and dividend income*		(12.53	)		(11.84	)		(29.64	)		(32.10	)
Total income (loss) from operations		3.96			19.31			(70.40	)		(20.56	)
Net asset value per unit at end of period	$	913.98		$	936.26		$	913.98		$	936.26
Global 2 Class Units	Three Months Ended September 30,						Nine Months Ended September 30,
	2011			2010			2011			2010
Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	902.78		$	912.26		$	978.01		$	953.60
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*		16.42			30.92			(40.48	)		11.17
Expenses net of interest and dividend income*		(13.14	)		(12.26	)		(31.47	)		(33.85	)
Total income (loss) from operations		3.28			18.66			(71.95	)		(22.68	)
Net asset value per unit at end of period	$	906.06		$	930.92		$	906.06		$	930.92
Global 3 Class Units	Three Months Ended September 30,						Nine Months Ended September 30,
	2011			2010			2011			2010
Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	865.00		$	890.40		$	946.02		$	939.64
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*		15.81			30.59			(38.52	)		12.29
Expenses net of interest and dividend income*		(16.58	)		(16.48	)		(43.27	)		(47.42	)
Total income (loss) from operations		(0.77	)		14.11			(81.79	)		(35.13	)
Net asset value per unit at end of period	$	864.23		$	904.51		$	864.23		$	904.51

* 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 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

16

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

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 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 September 30, 2011 and December 31, 2010 was $142,706,687 and $98,441,357, respectively, which was 16.1% and 11.0% of the net asset value, respectively. The cash deposited with interbank market makers at September 30, 2011 and December 31, 2010 was $10,742,926 and $7,931,341, respectively, which was 1.2% and 0.9% 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.

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 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, which improves 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.

17

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

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, 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. The monthly average futures contracts, forward contracts, options on futures contracts and equity options bought and sold was approximately 6,662 and 7,706, respectively, for the three and nine months ended September 30, 2011 and 8,686 and 8,599, respectively, for the three and nine months ended September 30, 2010. The following tables summarize the quantitative information required by FASB ASC 815:

	Fair Values of Derivative Instruments September 30, 2011
	Asset Derivatives*		Liability Derivatives*			Fair Value
Agriculturals contracts	$	5,554,418	$	(2,405,673	)	$	3,148,745
Currencies contracts		13,968,745		(12,630,905	)		1,337,840
Energy contracts		4,958,502		(2,231,438	)		2,727,064
Interest rates contracts		5,184,274		(2,354,190	)		2,830,084
Meats contracts		693,052		(214,713	)		478,339
Metals contracts		84,868,820		(82,498,324	)		2,370,496
Soft commodities contracts		1,722,256		(641,035	)		1,081,221
Stock indices contracts		1,694,883		(2,165,917	)		(471,034	)
	$	118,644,950	$	(105,142,195	)	$	13,502,755

* 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 equity in broker trading accounts in the Partnership’s consolidated statements of financial condition.

18

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

	Fair Values of Derivative Instruments December 31, 2010
	Asset Derivatives*		Liability Derivatives*			Fair Value
Agriculturals contracts	$	6,741,957	$	(431,469	)	$	6,310,488
Currencies contracts		20,057,183		(5,176,594	)		14,880,589
Energy contracts		3,684,943		(1,840,984	)		1,843,959
Interest rates contracts		2,945,795		(1,826,944	)		1,118,851
Meats contracts		846,430		(79,680	)		766,750
Metals contracts		20,402,750		(12,923,962	)		7,478,788
Soft commodities contracts		3,241,903		(709,766	)		2,532,137
Stock indices contracts		2,674,715		(1,650,063	)		1,024,652
	$	60,595,676	$	(24,639,462	)	$	35,956,214

* 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 equity in broker trading accounts in the consolidated statement of financial condition.

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

September 30, 2011 and 2010

	Three Months Ended			Three Months Ended			Nine Months Ended			Nine Months Ended
Type of Contract	September 30, 2011*			September 30, 2010*			September 30, 2011*			September 30, 2010*
Agriculturals contracts	$	(6,764,659	)	$	10,172,660		$	(15,721,792	)	$	888,475
Currencies contracts		(20,765,064	)		7,952,460			(27,284,899	)		9,818,873
Energy contracts		(7,646,687	)		(5,732,482	)		(5,874,550	)		(26,884,790	)
Interest rates contracts		58,520,368			26,489,368			66,485,195			75,587,579
Meats contracts		(1,129,600	)		49,834			(1,923,770	)		76,953
Metals contracts		10,903,716			10,102,678			(351,400	)		4,395,426
Soft commodities contracts		(3,655,235	)		8,999,759			(2,484,797	)		4,055,312
Stock indices and equity options contracts		(12,825,345	)		(7,954,526	)		(32,653,911	)		(35,519,628	)
	$	16,637,494		$	50,079,751		$	(19,809,924	)	$	32,418,200

* 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 Partnership’s consolidated statements 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.

19

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

	Three Months Ended				Nine Months Ended
	September 30,				September 30,
Line Item in Consolidated Statement of Operations	2011		2010		2011			2010
Net gain (loss) from futures and forward trading
Realized	$	1,533,658	$	10,463,626	$	(1,222,983	)	$	(1,204,732	)
Change in unrealized		15,103,836		39,616,125		(22,508,037	)		33,622,932
Total realized and changed in unrealized net gain (loss) from futures and forward trading		16,637,494		50,079,751		(23,731,020	)		32,418,200
Net gain (loss) from equity options
Realized		0		0		3,921,096			0
Change in unrealized		0		0		0			0
Total realized and changed in unrealized net gain (loss) from equity options trading		0		0		3,921,096			0
Total realized and changed in unrealized net gain (loss) from futures, forward and equity options trading	$	16,637,494	$	50,079,751	$	(19,809,924	)	$	32,418,200

Note 11.    Subsequent Events

Subsequent to September 30, 2011, there were contributions and redemptions totaling approximately $16,100,000 and $0 respectively.

On October 31, 2011, MF Global Holdings Ltd., the parent of MF Global Inc. (collectively “MF Global”), one of the clearing brokers of the Partnership, reported to the SEC and CFTC possible deficiencies in customer segregated accounts held at the firm. As a result, the SEC and CFTC determined that a SIPC-led bankruptcy proceeding would be the safest and most prudent course of action to protect customer accounts and assets, and SIPC initiated the liquidation of MF Global under the Securities Investor Protection Act.

The Partnership’s General Partner does not believe that these actions will have a material impact upon the operations of the Partnership in valuing or satisfying redemption requests or for providing accurate valuation for new or existing limited partners.

Three of the Partnership’s twelve commodity trading advisors executed a portion of their trading activity through MF Global. In the aggregate, the assets of the Partnership allocated to these trading advisors and on deposit with MF Global immediately prior to October 31, 2011 represent approximately 2.3%, or approximately $20 million, of the Partnership’s total net assets as of October 31, 2011, and the Partnership had total net assets of approximately $842.7 million. None of these traders executed any Forex trading through MF Global.

On October 31, 2011, the Partnership established customer segregated accounts at Jefferies Bache LLC (“Jefferies”), an affiliate of Jefferies & Company. The Partnership’s other clearing brokers, Newedge USA LLC and UBS Securities LLC, continue to clear trades for the Partnership in the normal course of business.

On November 2, 2011, the Chicago Mercantile Exchange (“CME”) notified the CFTC of the CME’s intention to transfer certain customer positions in connection with the SIPC liquidation of MF Global. As a result, certain of the Partnership’s positions held at MF Global as of October 31, 2011 aggregating approximately $4.7 million were transferred to R.J. O’Brien & Associates on November 4, 2011. Also, various foreign exchanges liquidated certain other positions of the Partnership between November 1, 2011 and November 4, 2011. Approximately 1.8%, or $15.4 million, of the Partnership’s assets remain at MF Global and are held in cash and U.S. Treasury bills in customer segregated or secured accounts as of November 4, 2011.

The Partnership’s General Partner continues to monitor the situation relating to MF Global and is attempting to effect the orderly transfer of all of the Partnership’s remaining cash balances currently held at MF Global to R.J. O’Brien & Associates. However, there can be no assurances when or if the Partnership will have access to any or all of its assets that remain in accounts held at MF Global or as to the amount or value of those assets under the SIPC liquidation.

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 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 underliers. The Partnership may also engage 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 managing member of Dearborn Capital Management, L.L.C. is Dearborn Capital Management, Ltd., an Illinois corporation whose majority shareholder is David M. Kavanagh.

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”)

None of the assets of Grant Park were invested in GP 6 and GP 11 as of September 30, 2011.

Grant Park invests through the Trading Companies with independent professional commodity trading advisors retained by the general partner. Rabar Market Research, Inc. (“Rabar”), EMC Capital Management, Inc. (“EMC”), Eckhardt Trading Co. (“ETC”), Winton Capital Management (“Winton”), Welton Investment Corporation (“Welton”), Global Advisors Jersey Limited (“Global Advisors”), Transtrend B.V. (“Transtrend”), Quantitative Investment Management LLC (“QIM”), Sunrise Capital Partners, LLC (“Sunrise”), Amplitude Capital International Limited (“Amplitude”), Alder Capital Limited (“Alder”) and Denali Asset Management, LLLP (“Denali”) 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 September 30, 2011, the general partner allocated Grant Park’s net assets through the respective Trading Companies among its core trading advisors EMC, Winton and Welton and non-core trading advisors ETC, Rabar, Global Advisors, QIM, Transtrend, Sunrise, Amplitude, Alder and Denali. 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 September 30, 2011:

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 other commodity investment pools and 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. FASB guidance under FASB ASC 810 establishes accounting and reporting requirements for noncontrolling interests. This guidance requires noncontrolling interests to be reported as a component of partners’ capital on the consolidated statement of financial condition and the amount of net income (loss) attributable to noncontrolling interests to be identified on the consolidated statement of operations.

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 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. The Partnership values bank deposits at face value plus accrued interest, which approximates fair value.

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 and nine months ended September 30, 2011 and 2010, are set forth in the table below:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2011			2010			2011			2010
Total return – Class A units		(0.50	)%		4.34	%		(8.27	)%		(1.72	)%
Total return – Class B units.		(0.66	)%		4.19	%		(8.72	)%		(2.18	)%
Total return – Legacy 1 Class units		0.06	%		4.60	%		(6.71	)%		(0.56	)%
Total return – Legacy 2 Class units		(0.16	)%		4.50	%		(7.09	)%		(0.80	)%
Total return – Global 1 Class units		0.44	%		2.11	%		(7.15	)%		(2.15	)%
Total return – Global 2 Class units		0.36	%		2.05	%		(7.36	)%		(2.38	)%
Total return – Global 3 Class units		(0.09	)%		1.58	%		(8.65	)%		(3.74	)%

22

Grant Park’s net asset value at September 30, 2011 was approximately $882.7 million, at December 31, 2010 was approximately $891.9 million and at September 30, 2010 was approximately $834.8 million.

The table below sets forth Grant Park’s trading gains or losses by sector for the three and nine month periods ended September 30, 2011 and 2010.

	% Gain (Loss)
	Three Months Ended September 30,						Nine Months Ended September 30,
Sector	2011			2010			2011			2010
Agriculturals		—	%		—	%		—	%		—	%
Currencies		(2.7	)		1.0			(3.3	)		1.1
Energy		(0.9	)		(0.7	)		(1.0	)		(3.2	)
Interest rates		7.0			3.3			7.5			9.1
Meats		—			—			0.3			—
Metals		1.2			1.2			—			0.6
Softs		(1.3	)		2.4			(2.2	)		0.6
Stock indices, equities, equity options and exchange traded funds		(1.4	)		(1.0	)		(3.9	)		(4.2	)
Total		1.9	%		6.2	%		(2.6	)%		4.0	%

Three months ended September 30, 2011 compared to three months ended September 30, 2010

For the three months ended September 30, 2011, Grant Park had a negative return of approximately 0.5% for the Class A units, 0.7% for the Class B units, positive return of approximately 0.1% for the Legacy 1 Class units, negative return of 0.2% for the Legacy 2 Class units, positive return of 0.4% for the Global 1 Class units, positive return of 0.4% for the Global 2 Class units and negative return of 0.1% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading gains of approximately 1.9% which were further increased by 0.1% from interest income. These trading gains were decreased by approximately 2.4% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park. For the same period in 2010, Grant Park had a positive return of approximately 4.3% for the Class A units, 4.2% for the Class B units, 4.6% for the Legacy 1 Class units, 4.5% for the Legacy 2 Class units, 2.1% for the Global 1 Class units, 2.1% for the Global 2 Class units and 1.6% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading gains of approximately 6.2% which were further increased by approximately 0.1% from interest income. These trading gains were decreased by approximately 2.5% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park.

Nine months ended September 30, 2011 compared to nine months ended September 30, 2010

For the nine months ended September 30, 2011, Grant Park had a negative return of approximately 8.3% for the Class A units, 8.7% for the Class B units, 6.7% for the Legacy 1 Class units, 7.1% for the Legacy 2 Class units, 7.2% for the Global 1 Class units, 7.4% for the Global 2 Class units and 8.7% for the Global 3 Class units. On a combined unit basis prior to expenses, approximately 2.6% resulted from trading losses which were offset by 0.3% of interest income. The trading losses were further increased by approximately 6.2% in brokerage fees, performance fees and operating and offering costs borne by Grant Park. For the same period in 2010, Grant Park had a negative return of approximately 1.7% for the Class A units, 2.2% for the Class B units, 0.6% for the Legacy 1 Class units, 0.8% for the Legacy 2 Class units, 2.2% for the Global 1 Class units, 2.4% for the Global 2 Class units, and 3.7% for the Global 3 Class units. On a combined unit basis prior to expenses, approximately 4.0% resulted from trading gains which were further increased by 0.4% of interest income. The trading gains were decreased by approximately 6.8% in brokerage fees, performance fees and operating and offering costs borne by Grant Park.

Nine months ended September 30, 2011

Crude oil markets predominantly fell in the third quarter as diminished investor sentiment regarding global economic growth weighed heavily on demand. Weak economic data and the lack of a resolution to the Eurozone debt situation were the main drivers putting pressure on demand. Natural gas markets also fell, driven lower by temperate climates in the U.S. and elevated domestic inventories.

Corn and soybean markets underwent a sharp retracement of nearly 5% and 10% respectively in September due to depressed Chinese demand and upward revisions to harvest estimates. Wheat markets finished higher, holding on to gains from early in the quarter stemming from poor weather and delayed plantings in key farming regions. In the softs markets, sugar and coffee prices declined as reports forecasted better-than-expected growing conditions in Brazil.

23

Gold markets firmed in the third quarter because of safe-haven buying by investors attempting to reduce risk in their portfolios. Silver markets fell sharply as the decision to raise margin requirements on silver positions prompted liquidations. Base metals markets generally fell due to weak industrial demand forecasts caused by equity market declines.

The Swiss franc endured a sharp selloff against counterparts due to intervention by the Swiss National Bank to devalue the nation’s currency. Ongoing concerns surrounding a potential default on Greece’s debt obligations led to declines in the euro and U.S. dollar strength. The Australian and New Zealand dollars declined as a result of sharp downturns in the commodities markets and depressed demand for higher-yielding currencies.

Global equity markets fell sharply in the third quarter as the downgrading of the U.S. debt markets resulted in selling. The failure of European officials to come to terms on a new plan to aid the ailing Eurozone financial markets also added to declines.

U.S. Treasury markets posted large profits as investors shifted their focus towards safe-haven assets amid steep declines in equity markets and Eurozone financial instability. Bund markets also posted gains, as investors diversified away from European sovereign debt as they believed a Greek default would impact the economies of other more stable European nations.

Key trading developments for Grant Park during the first nine 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 by 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.

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.

24

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.

Grant Park recorded gains in April. Class A units were up 3.79%, Class B units were up 3.74%, Legacy 1 Class units were up 3.84%, Legacy 2 Class units were up 3.77%, Global 1 Class units were up 2.92%, Global 2 Class units were up 2.91% and Global 3 Class units were up 2.75%. Corn prices rose nearly 9% due to two factors: poor weather forecasts in major U.S. and European farming regions and increased corn demand from ethanol producers. Sugar prices fell sharply based on strong production forecasts from Thailand, the world second-largest exporter. Precious metals markets moved steadily higher on increased buying by investors seeking to hedge against U.S. dollar weakness. Safe-haven buying caused by the economic situation in Japan and political unrest in the Middle East and Africa also played a role in driving precious metals markets higher. Copper prices declined due to forecasts for weaker industrial demand caused by the recent Japanese earthquake and potential interest rate hikes in China. The U.S. dollar weakened against global counterparts on concerns about economic growth in the U.S. Weak employment data and reports from Standard & Poor’s called for a prolonged U.S. economic recovery and put further pressure on the dollar. The euro and Swiss franc strengthened against the dollar as speculators believed that monetary policy shifts in the U.S. would lag those of its European counterparts. North American and European equity markets moved predominantly higher, fueled by strong corporate earnings reports for the first quarter. Japanese equity markets finished the month slightly higher due to heavy buying by investors looking to take advantage of low share prices caused by recent downtrends. The Hong Kong Hang Seng index fell due to concerns over potential Chinese interest rate hikes which could hinder the nation’s economic growth. U.S. Treasury markets posted monthly gains as an unexpected rise in jobless claims put pressure on investor risk appetite. The current crisis events in Japan and turmoil in the Middle East and Africa combined to support increased demand in this sector.

Grant Park recorded losses in May. Class A units were down 6.93%, Class B units were down 6.98%, Legacy 1 Class units were down 6.63%, Legacy 2 Class units were down 6.63%, Global 1 Class units were down 6.49%, Global 2 Class units were down 6.53% and Global 3 Class units were down 6.67%. The U.S. dollar and Swiss franc resumed their roles as safe-haven currencies in May, strengthening against counterparts. Ongoing fears surrounding the Eurozone debt markets was the main driver behind elevated risk-aversion. Comments made by the President of the European Central Bank which suggested that Eurozone interest rates would remain unchanged for the near future put heavy pressure on the euro. The Japanese yen also posted minor setbacks because of forecasts predicting a longer recovery time than previously expected from the nation’s recent earthquake. Crude oil markets declined due to weak demand forecasts. Elevated gas prices and weak global economic indicators were the main drivers behind weakening demand. Adding to crude oil’s setbacks was uncertainty regarding the outcome of an upcoming meeting of the Organization of Petroleum Exporting Countries (OPEC). Global equity markets fell as ongoing fears surrounding Eurozone debt weighed heavily on investor sentiment. China’s decision to raise reserve requirements also played a role in driving the global share prices lower. In the U.S., weak employment estimates fueled a pessimistic outlook for domestic growth and caused liquidations in the North American equity markets. U.S. fixed-income markets posted solid gains in May as increased global risk-aversion prompted buying. Equity market setbacks and a weaker outlook for global economic growth fostered the liquidations of riskier assets in exchange for safer debt instruments. Bund markets also moved higher as fears surrounding the sovereign debt of smaller European nations drove demand for safe-haven investments higher. Wheat markets finished the month predominantly higher as speculators believed recent rains in the Midwest would delay plantings, thereby putting pressure on supplies. Sugar prices experienced modest declines following reports of strong production from Thailand. In the precious metals markets, silver prices declined in excess of 21% following news regarding rising margin requirements for silver positions, weighing on demand. Also adding to weakness in the metals markets was U.S. dollar strength. Base metals generally fell on concerns about the global economy and industrial production slowdowns in China.

25

Grant Park recorded losses in June. Class A units were down 3.79%, Class B units were down 3.84%, Legacy 1 Class units were down 3.62%, Legacy 2 Class units were down 3.66%, Global 1 Class units were down 3.33%, Global 2 Class units were down 3.36% and Global 3 Class units were down 3.50%. The U.S. dollar posted strong gains against international counterparts after reports showed a narrower U.S. trade deficit. The dollar rose higher on increased demand for safe-haven assets amidst continuing concerns regarding a potential Greek debt collapse. Conversely, higher-yielding currencies, including the Australian and New Zealand dollars experienced heavy losses as investors sought safer investments. Crude oil markets fell nearly 12% in June following depressed industrial demand forecasts which spurred liquidations. Adding to crude oil’s declines were improved supply forecasts stemming from increased production in Saudi Arabia and the release of reserves from the International Energy Agency. Natural gas also moved lower as U.S. Energy Information Administration reports showed a larger-than-expected increase in domestic inventories. Ongoing uncertainty regarding the fate of the Greek financial system weighed heavily on the equity markets. Uncertainty about a possible Greek collapse caused investors to liquidate global equity positions and adopt more risk-averse portfolios. Furthering the decline in the North American markets was disappointing unemployment data and cautious comments from the Chairman of the U.S. Federal Reserve. U.S. Treasuries predominantly finished higher as equity weakness increased demand for more risk-averse assets. Also adding to the rally in the domestic debt markets were reports showing an increase in Chinese demand for U.S. debt. In the Eurozone, Bund prices also moved higher as comments from the European Central Bank President failed to provide any clarity on the timeframe for a new Greek bailout plan. Alleviated supply concerns in the grains markets put heavy pressure on prices. Favorable weather conditions in key U.S. farming regions and the lifting of a Russian grains export ban were the main drivers behind elevated supply forecasts. Sugar prices rallied sharply due to delays at key Brazilian ports and weak Brazilian supply data. Precious metals markets fell, driven lower by liquidations from large commodity funds attempting to lock in profits following recent upward trends in the gold and silver markets. Base metals markets also moved lower due to weak global economic data including falling U.S. home prices, weak consumer confidence in Germany, and disappointing Chinese manufacturing data. Also weighing on the base and precious metals markets was a stronger U.S. dollar.

Grant Park recorded gains in July. Class A units were up 3.02%, Class B units were up 2.96%, Legacy 1 Class units were up 3.23%, Legacy 2 Class units were up 3.18%, Global 1 Class units were up 3.09%, Global 2 Class units were up 3.07% and Global 3 Class units were up 2.92%. The U.S. dollar slipped against major currencies as investor confidence fell while Congress failed to reach an agreement on a new U.S. debt ceiling. Investors sought non-U.S. assets, a move that benefitted safe-haven currencies, including the Japanese yen and Swiss franc. The euro fell when Portuguese debt was reclassified to “junk” status. Also pushing the euro lower were fears the recent financial instability in the Eurozone was beginning to affect larger European nations. The Australian dollar posted gains as investors believed recent jumps in inflation would prompt the Reserve Bank of Australia to raise interest rates sooner than expected. Despite heavy volatility throughout the month, the crude oil markets were able to hold on to early-month gains and finish July slightly positive. The crude oil market was driven by reports of strong U.S. manufacturing data and decreases in U.S. stockpiles. Natural gas markets fell over 5% on weak industrial demand forecasts and cool temperatures at month-end. European equity markets generally fell as investors feared that recent financial instability could begin to affect the economies of larger nations, including Spain and Italy. In the U.S., equity prices moved lower because of the failed debt-ceiling negotiations. Japanese share prices finished with modest gains stemming from bullish manufacturing data. U.S. fixed-income markets posted strong gains in July as uncertainty regarding the overall global economic outlook prevailed. Weak economic data, ailing European nations, and U.S. debt-ceiling concerns all played a role in driving demand for safe-haven assets higher. The German Bund picked up additional gains as some fixed-income investors shifted their focus outside of the U.S. U.S. grains markets finished last month higher as a combination of heat waves and dry weather threatened domestic supplies. Reports of elevated demand from biofuel and livestock producers added to profits in the grains and foods markets. Sugar prices also moved higher due to reports showing weaker-than-expected sugar production from Brazil, the world’s largest sugar exporter. Gold and silver markets moved more than 8% and 15%, respectively, as investors sought safe-haven assets due to a number of global economic concerns. Ongoing fears regarding the financial stability of the Eurozone economy and uncertainty surrounding the inability of lawmakers to pass a plan to establish a new U.S. debt ceiling were among the critical factors that influenced the markets. In the base metals markets, copper markets rose because of improved Chinese import data and a work stoppage at a key Chilean copper production facility.

Grant Park recorded losses in August. Class A units were down 1.81%, Class B units were down 1.86%, Legacy 1 Class units were down 1.62%, Legacy 2 Class units were down 1.69%, Global 1 Class units were down 1.25%, Global 2 Class units were down 1.28% and Global 3 Class units were down 1.43%. The Swiss franc underwent a sharp selloff due to intervention by the Swiss National Bank attempting to devalue the currency. The euro posted modest gains against counterparts on news the European Central Bank (ECB) was considering buying Italian debt to aid the ailing Italian financial system. Higher-yielding currencies, such as the Australian and New Zealand dollars, declined sharply as concerns surrounding global economic growth weighed on investor risk appetite. Crude oil markets fell in excess of 7% due to weak industrial demand throughout the month. Disappointing economic indicators, waning investor confidence, and concerns regarding stalled global economic growth were the main drivers behind declines. Temperate U.S. climates and a rise in domestic inventories pushed natural gas markets lower. The credit downgrading of the U.S. debt markets sent a wave of panic through the financial markets and caused a sharp selloff in equities. Failure of the ECB to produce a new plan to aid the ailing European financial system put pressure on Eurozone equity prices. In Asia, the Hong Kong Hang Seng Index declined due to beliefs the elevated inflation rate in China would make it difficult for the Chinese government to foster growth by easing monetary policy. U.S. Treasury markets produced strong gains due to increased safe-haven buying amidst turmoil in the financial markets. Investors drove U.S. debt products higher as they sought safety from the financial instability of the Eurozone and

26

from sharp declines in the global equity markets. U.S. grain markets moved sharply higher due to delayed plantings and weak harvest estimates stemming from poor weather conditions in key U.S. farming regions. Sugar prices also rose following reports which forecasted weak Brazilian production and elevated demand from China. Gold and silver markets rallied due to a surge in safe-haven demand stemming from the credit downgrading of the U.S. fixed-income markets. Investors bought gold to hedge short-term U.S. dollar weakness and added to gains. Base metals markets generally fell during the month, depressed by sharp declines in the global equity markets and weak economic data.

Grant Park recorded losses in September. Class A units were down 1.64%, Class B units were down 1.69%, Legacy 1 Class units were down 1.47%, Legacy 2 Class units were down 1.57%, Global 1 Class units were down 1.34%, Global 2 Class units were down 1.36% and Global 3 Class units were down 1.52%. The euro weakened against major counterparts as the failure of Eurozone officials to come to terms on new funding plans for ailing Greece prompted liquidations. Amidst European financial instability investors focused their attention on the U.S. dollar, driving the currency steadily higher throughout September. The Swiss franc and Japanese yen declined as investors feared further intervention to devalue the currencies by the countries’ respective financial policy makers. Crude oil markets declined as weak economic data in the U.S. and concerns about global economic growth weighed on industrial demand forecasts. Natural gas prices fell because of beliefs the rising inventories in the U.S. would be sufficient to meet demand in the foreseeable future. Comments from the U.S. Federal Reserve Chairman stating the U.S. still faced significant obstacles weighed heavily on investor sentiment, resulting in sharp declines in the domestic equity markets. News that rating-agency Moody’s Investors Services was planning to downgrade the credit rating of three major U.S. banks also put pressure on domestic share prices. In Europe, ongoing concerns surrounding possible contagion from a Greek default put pressure on the equity markets. Fixed income prices finished the month generally higher as risk-averse investors purchased safer debt instruments. Weak economic data from the U.S. and fears that a Greek debt default could impact the economies of larger more stable nations, also supported safe-haven demand. U.S. Department of Agriculture reports showing strong supply forecasts put heavy pressure on the grains markets, driving corn, wheat, and soybeans nearly 20% lower for the month. Depressed demand from China also played a role in driving grains prices lower. In the softs markets, coffee and sugar prices declined as crop supply forecasts for Brazil were revised higher. Gold and silver underwent sharp price declines as the decision to raise margin requirements on key U.S. exchanges prompted liquidations. Base metals dipped because losses in the global equity markets caused investors to liquidate riskier commodities positions.

Nine months ended September 30, 2010

Forecasts of weak supply in the grains markets sent grains prices predominantly higher in the third quarter. Supply concerns were caused by droughts in key Russian farming areas and abnormally warm temperatures in the Midwest. Increased overseas demand for U.S crops also played a role in moving prices higher. Sugar prices also rose as severe flooding in Pakistan put pressure on supply.

Weak economic data in the U.S. and speculation that the Federal Reserve would be instating further quantitative easing policies weakened the U.S. dollar against competitors. In Europe, the euro strengthened as a result of positive economic data across the Eurozone, including improved investor sentiment and positive GDP growth data for France. The Australian dollar rallied because investors viewed data showing improved manufacturing conditions in China as a positive indicator for the Australian economy.

Rallies in the U.S. equity markets bode well for crude oil prices in the third quarter. Speculators drove the crude markets higher as they viewed rising equity prices as a sign that industrial demand may improve. Mild temperatures in the U.S. put pressure on the natural gas markets, moving prices lower. Also driving natural gas prices lower were forecasts that the hurricane season for 2010 would be weaker than previously expected.

Global equity markets moved generally higher in the third quarter. Strong corporate earnings reports served as a bullish influence for the U.S. equity markets, driving prices up. In Europe, better-than-expected results from recent stress tests on the Eurozone banking system supported prices. The Hong Kong based Hang Seng index moved nearly 10% for the quarter as reports of improving manufacturing conditions in China spurred renewed buying in the Asian equity markets.

Speculation that the U.S. Federal Reserve may be resuming quantitative easing practices spurred buying in the U.S. fixed-income markets, supporting prices. Uncertainty surrounding the outlook for the global economy following ongoing weak unemployment data also propelled debt prices upwards. In the Eurozone, German bund prices rallied as renewed fears regarding the Spanish and Irish economies caused an increase in demand for safer debt instruments.

Both base and precious metals markets moved higher in the third-quarter in response to the sharp weakening of the U.S. dollar. Industrial metals performed particularly well as an improved economic outlook in the Eurozone supported demand forecasts. Another major contributor to the rallies in the metals markets was data that showed increased manufacturing activity in China.

Key trading developments for Grant Park during the first nine months of 2010 included the following:

Grant Park recorded losses in the month of January. Class A units were down 7.95%, Class B units were down 8.00%,

27

Legacy 1 Class units were down 7.77%, Legacy 2 Class units were down 7.79%, Global 1 Class units were down 7.80%, Global 2 Class units were down 7.82% and Global 3 Class units were down 7.95%. Grains markets predominantly fell as turmoil in the financial markets and record U.S. grains supplies weighed on prices. In the softs markets, sugar continued its recent uptrend due to weak supply forecasts from Brazil and ongoing strong demand from Southeast Asia. The Japanese yen posted solid gains for January following short-term weakness in the U.S. dollar. Despite intra-month volatility, the U.S. dollar finished the month higher as several changes in Chinese banking regulations increased investor risk aversion. Crude oil markets declined due to weak industrial demand forecasts resulting from poor economic data and depressed crude production estimates from U.S. refiners. In the natural gas markets, prices increased slightly as a cold front in the U.S. supported demand. Share price declines in several large European financial firms sent most benchmark indices sharply lower. The Eurostoxx 50 and the German Dax indices, which both declined in excess of 5%, were among the most affected. In the U.S., concerns over changes to Chinese lending policies spurred liquidations in the U.S. equity markets, moving prices lower. U.S. Treasury prices rallied in January as a number of weaker-than-expected economic indicators, including unemployment estimates and U.S. retail sales in December, supported demand for more risk-averse U.S. debt instruments. German Bunds also moved higher due to decreased demand for sovereign debt following financial trouble in Greece and other smaller EU nations. Gold and silver prices underwent several intra-month price swings to finish nearly unchanged for January. The flat performance in the precious metals markets was due to the effects of short-term dollar weakness being offset by lower-than-expected Consumer Price Index data and weak demand forecasts. Industrial metals generally declined as a result of bearish Chinese demand and elevated global base metals inventories.

Grant Park recorded gains in February. Class A units were up 0.63%, Class B units were up 0.57%, Legacy 1 Class units were up 0.82%, Legacy 2 Class units were up 0.80%, Global 1 Class units were up 0.71%, Global 2 Class units were up 0.69% and Global 3 Class units were up 0.54%. Grains markets rallied as strong sales data and downward revisions to inventory estimates bolstered prices. Moving contrary to its recent uptrend, sugar prices declined following liquidations from large commodity funds. In the livestock markets, prices rose as gains in the equity markets supported bullish demand forecasts. Ongoing concerns over several smaller EU nations led to a decline in major currencies across Europe. The Swiss franc, euro, and British pound all declined against the U.S. dollar as investors sought safer assets. Strong Australian unemployment data led to gains in the Australian dollar over most major currencies. Bullish demand forecasts from the Energy Information Administration and positive U.S. industrial production data led to gains in the crude oil markets. Elevated U.S. natural gas inventories put substantial pressure on the natural gas markets, moving prices nearly 7% lower for the month. Optimistic economic data in the U.S. propelled North American equity markets higher in February. Ailing economies in several European nations drove European equity markets down. Ongoing fears in Asia regarding changes to Chinese lending polices resulted in declines in Hong Kong’s Hang Seng Index. Weak demand for European sovereign debt resulted in strong gains in the U.S. Treasury markets. An unexpected jump in U.S. jobless claims added to the rally in the U.S. debt markets. In Europe, short-term gains in the European equity markets put pressure on the Bund market. Concern over the economic state of the European Union and short-term U.S. dollar weakness propelled the gold markets higher in February. In the base metals markets, bullish demand forecasts spurred by strong economic data led to gains in a number of industrial metals, including copper, aluminum, and tin.

Grant Park recorded gains in March. Class A units were up 4.08%, Class B units were up 4.03%, Legacy 1 Class units were up 4.15%, Legacy 2 Class units were up 4.13%, Global 1 Class units were up 3.65%, Global 2 Class units were up 3.56% and Global 3 Class units were up 3.40%. Sugar prices fell nearly 30% in March as elevated supply forecasts from India and Brazil weighed on prices. Higher prices also reduced demand, causing prices to fall further. In the grains markets, corn and wheat prices declined as a result of mild weather conditions in the Midwest and on the strength in the U.S. dollar. Improving economic indicators, including better-than-expected payroll estimates and U.S. industrial production, led to gains in the U.S. dollar. The euro fell as concerns regarding the economic stability of Greece and Portugal caused investors to liquidate European holdings. The New Zealand dollar moved higher against its counterparts due to speculation about a narrowing interest rate gap between New Zealand and Australia. Natural gas prices fell sharply in March because of elevated U.S. inventories. Unusually warm weather also put pressure on the natural gas markets. Crude oil markets moved lower due to ongoing weak demand forecasts and uncertainty following the pace of the economic recovery in the U.S. Equity markets rallied as improving economic indicators fostered optimism in the global economy. Bullish forecasts for Japanese exports, caused by weakness in the Japanese yen, drove the Nikkei 225 index higher. Eurozone equity markets rallied following strong German consumer sentiment data. Decreased demand for safe-haven debt instruments led to a decline in the U.S. fixed-income markets. Increased demand for riskier assets led to price declines in the U.S. debt markets, as evidenced by poor results in recent Treasury auctions. In the Eurozone, concerns regarding sovereign debt of several ailing European nations weighed on the debt markets. Gold markets declined in March under pressure from a stronger U.S. dollar. Base metals generally rose following reports that industrial production in the U.S. had improved during February. Nickel made especially big gains as production disruptions in Canada and Australia prompted supply concerns.

Grant Park recorded gains in April. Class A units were up 1.80%, Class B units were up 1.74%, Legacy 1 Class units were up 1.77%, Legacy 2 Class units were up 1.72%, Global 1 Class units were up 1.52%, Global 2 Class units were up 1.50% and Global 3 Class units were up 1.33%. Increased international demand for U.S. grains drove corn, wheat, and soybean markets higher. Improved production forecasts for Brazil and India put pressure on the sugar markets, moving prices nearly 10% lower. A dispute between Russia and China concerning poultry increased demand for U.S. pork products and drove lean hogs prices up throughout the month. Increased risk-aversion caused by the financial turmoil in Europe moved the U.S. dollar higher against counterparts. Ongoing

28

concerns about the creditworthiness of several smaller European nations weighed heavily on the euro and Swiss franc. In New Zealand, strong prospects for economic growth drove the New Zealand dollar higher. Optimism regarding the U.S. economy led to gains in the crude oil markets. The Energy Information Administration (EIA) reported larger-than-expected draws on U.S. inventories and added to crude oil’s rally. In the natural gas markets, EIA also reported a reduction in U.S. natural gas rigs, creating a lift in prices. Positive economic indicators, including stronger U.S. home sales in March and improving employment conditions, prompted gains in the U.S. equity markets. Better-than-expected earnings projections from several key North American firms also moved equities higher. Asian equity markets declined as investors liquidated positions over concerns the upcoming changes in Chinese lending policy will slow economic growth in the region. Weakness in the global equity markets drove fixed-income prices higher in April. U.S. Treasury markets rallied as demand for safe-haven assets increased after Standard and Poor’s downgraded Portuguese and Greek debt. Short-term dollar weakness and increased risk aversion increased demand for gold and moved prices higher. Base metals prices generally moved lower as speculators viewed Europe’s economic situation as an indicator of a slowing global economic recovery.

Grant Park recorded losses in May. Class A units were down 3.83%, Class B units were down 3.88%, Legacy 1 Class units were down 3.53%, Legacy 2 Class units were down 3.53%, Global 1 Class units were down 2.21%, Global 2 Class units were down 2.24% and Global 3 Class units were down 2.38%. Uncertainty regarding the global economy’s growth potential weighed on demand for grains and moved prices lower. In the sugar markets, favorable weather conditions in India and Brazil produced a strong crop and drove prices down more than 5% in May. The ailing financial situation in Europe put heavy pressure on European currencies. European debt concerns caused investors to purchase the U.S. dollar and Japanese yen, driving each higher against counterparts. The New Zealand and Australian dollars declined sharply against most major currencies as risk-averse investors liquidated higher-yielding currencies. A stronger U.S. dollar put substantial pressure on the crude oil markets, moving prices nearly 15% lower. Weak U.S. economic indicators and global equity market declines caused increased supply forecasts and also drove oil prices down. Natural gas prices rose as low prices spurred technical-buying. Natural gas prices also rose based on the National Oceanic and Atmospheric Administration report predicting an active 2010 hurricane season. Global equity markets faltered as European debt concerns weakened investor sentiment. Weaker-than-expected U.S. employment estimates added to the downturn in the equity markets. U.S. fixed-income prices rose steadily as growth concerns and declines in the global equity markets caused investors to liquidate riskier assets. In Europe, diminished demand for sovereign debt and Germany’s decision to ban the short-selling of various European debt instruments drove Bund prices higher. Safe-haven buying due to the financial situation in Europe led to gains in the gold markets. Gold was also used to reduce exposure to the euro, which experienced heavy losses during the month. Prices in the base metals markets predominantly fell as investors liquidated positions. The main drivers behind declines were weak economic indicators and poor growth prospects for the global economy.

Grant Park recorded gains and losses in June. Class A units were down 0.21%, Class B units were down 0.27%, Legacy 1 Class units were down 0.03%, Legacy 2 Class units were down 0.05%, Global 1 Class units were up 0.29%, Global 2 Class units were up 0.29% and Global 3 Class units were up 0.10%. Ideal weather conditions in the Midwest led to a decline in corn prices. In the softs markets, forecasts of elevated demand, especially from several Middle Eastern and Asian nations, resulted in sharp gains in the sugar markets. Sugar prices finished nearly 30% over the previous month’s close. Concerns regarding the state of the global economy weighed on livestock prices as investors liquidated positions. The British pound rallied as higher-than-expected retail sales figures and several positive economic indicators bolstered the outlook for the UK economy. Also supporting the pound were beliefs Great Britain’s new government would be able to develop policy to solidify the economy. The Japanese yen strengthened against counterparts as investors sought more risk-averse positions due to ongoing concerns over the US and EU economies. Natural gas prices rose in excess of 6% due to abnormally high temperatures across the U.S. Also adding to the rally in natural gas were supply concerns stemming from forecasts of a very active hurricane season in the Gulf of Mexico for 2010. Crude oil prices rallied as weakness in the U.S. dollar and Energy Information Administration reports calling for higher future demand supported prices. Global equity markets generally declined as weak economic indicators and ongoing debt concerns weighed on the outlook for the global economy. Additionally, the equity markets were driven lower by news of fiscal instability in Hungary and by Fitch’s downgrading of BNP Paribas, SA, one of the Eurozone’s largest banks. The U.S. Treasury markets advanced due to weaker-than-expected U.S. housing data and speculation of additional Chinese purchases of U.S. debt would increase. Downturns in the equity markets also played a role in moving fixed-income prices higher as investors sought less volatile investments. Investors attempted to hedge European currency exposures, driving the price of gold higher by nearly 3%. In the base metals markets, a combination of a weaker economic outlook for China and short-term strength in the US dollar put pressure on industrial metals, moving prices lower.

Grant Park recorded losses in July. Class A units were down 1.66%, Class B units were down 1.71%, Legacy 1 Class units were down 1.50%, Legacy 2 Class units were down 1.52%, Global 1 Class units were down 2.51%, Global 2 Class units were down 2.53% and Global 3 Class units were down 2.67%. Grains prices generally rose. Unusually warm temperatures in major U.S. farming regions dampened previous predictions of record-breaking harvests for 2010. Severe droughts in Eastern Europe increased international demand for U.S. crops and further contributed to the rally in the grains. In the softs markets, sugar prices rose over 8% as forecasts for future global demand and export delays from Brazil supported prices. Investors sold the U.S. dollar because of weak economic data including poor consumer sentiment and lower GDP growth data. The results from recent stress tests on the EU financial system resulted in gains in the euro. Comments from the Bank of Japan citing expanding growth forecasts strengthened the yen over many major counterparts. An unexpected drop in U.S. fuel inventories led to gains in the crude oil markets. In the natural

29

gas markets, continued warm temperatures and forecasts for elevated hurricane activity for 2010 drove prices nearly 7% higher over June’s closing prices. North American equity markets generally rose in July as key U.S. firms reported stronger-than-expected second-quarter corporate earnings. European equity markets made strong gains in July, propelled by the positive results from recent stress tests on the EU financial sector. Asian markets also moved higher, predominantly driven by strength in the natural resources sector. A drop in U.S. investor sentiment resulted in stronger demand for U.S. fixed-income products, thereby moving prices higher. Also adding to the rally in the debt markets was short-term weakness in the equity markets that occurred early in the month following the release of pessimistic reports concerning U.S. growth forecasts. Precious metals markets predominantly fell in July as renewed recovery hopes for Europe decreased the need for euro-hedging precious metals positions. Conversely, an improved outlook for the Eurozone bode well for the base metals markets, as investors speculated that an improving global economy would boost industrial demand. Also supporting the base metals markets was news that U.S. existing home sales decreased by less than originally expected in June.

Grant Park recorded gains in August. Class A units were up 2.77%, Class B units were up 2.71%, Legacy 1 Class units were up 2.86%, Legacy 2 Class units were up 2.82%, Global 1 Class units were up 2.71%, Global 2 Class units were up 2.70% and Global 3 Class units were up 2.54%. Corn markets moved higher in August because of abnormally warm temperatures in the Midwest and increased international demand for U.S. crops. Wheat prices came under pressure when reports of rainfall in key Russian farming regions alleviated supply concerns caused by recent droughts. In the meat markets, live cattle prices rose, supported by increased demand for beef products due to Labor Day festivities. A disappointing unemployment report for July led to a flight-to-quality among investors and drove the U.S. dollar, Japanese yen, and Swiss franc higher against counterparts. Conversely, uncertainty surrounding the global outlook did not bode well for various higher-yielding currencies, including the Australian and New Zealand dollars. Crude oil prices fell because a lack of positive data about the global economy supported beliefs that industrial demand would remain depressed for the near future. Also putting pressure on the crude oil markets were reports of near-record high inventories in the U.S. Natural gas markets fell following reports of mild temperatures in the U.S. and revised weather forecasts predicting a weaker hurricane season than previously expected. U.S. equity markets declined in August as weak employment estimates weighed on investor sentiment. Equity markets in Europe also moved lower following reports that recent measures to aid the Greek financial system have yet to stimulate their economy. In Asia, investors drove the Nikkei 225 Index lower on belief a steadily strengthening yen would hinder the nation’s export industries. Flight-to-quality in the financial markets boded well for U.S. Treasuries. Declines in the equity markets and weaker global economic indicators increased demand for safer debt instruments, moving prices higher. The German Bund markets also experienced upswings, as renewed fears surrounding the Spanish and Irish economies spurred buying. Ongoing safe-haven buying in the precious metals markets moved gold prices nearly 6% higher in August. Copper markets underwent modest gains due to short-term rallies in the equity markets and a weaker U.S. dollar early in August.

Grant Park recorded gains in September. Class A units were up 3.24%, Class B units were up 3.21%, Legacy 1 Class units were up 3.24%, Legacy 2 Class units were up 3.20%, Global 1 Class units were up 1.97%, Global 2 Class units were up 1.94% and Global 3 Class units were up 1.79%. Grain prices rose in September after the U.S. Department of Agriculture lowered its forecasts for the corn harvest yields. In the softs markets, the combination of dry weather in key Brazilian growing regions and severe flooding in several areas of Pakistan created supply concerns and caused sugar prices to increase by nearly 30%. The U.S. dollar fell sharply against major counterparts based on expectations the U.S. Federal Reserve would soon enter into another period of quantitative easing. The euro advanced against counterparts as a result of improved trade surplus data and optimistic data regarding economic growth in France. The Australian dollar also exhibited strong gains as investors viewed economic data from China as a positive sign for the Australian economy. Rallies in the equity markets and strong data regarding the U.S. economic recovery drove crude oil prices up over 11% in September. The EIA reported crude oil inventories had fallen in the U.S., which also played a role in driving prices higher. Natural gas prices increased on forecasts a new tropical storm could be forming in the Caribbean near key natural gas rigs. Global equities prices generally rose on positive sentiment surrounding the global economic recovery. Strong industrial production data from China was a major driver behind upward moves in the Australasian markets. In the U.S., prices were supported by optimistic unemployment estimates and reports that the U.S. trade deficit was lower than previously estimated. Strong gains in the global equity markets and optimism surrounding the global economy caused investors to liquidate more risk-averse fixed-income positions, driving prices lower. Prices for base metals surged in September on strong production data from Chinese and on gains in the equity markets. Recent bans on mining in key tin-producing regions of the Democratic Republic of Congo played a role in moving tin prices nearly 16% higher for the month. In the precious metals markets, gold and silver prices moved higher due to increased buying by investors attempting to hedge their U.S. dollar exposure.

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.

30

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 cash with brokers subject to CFTC regulations 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 U.S. Treasury securities, commercial paper and/or securities of 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.

31

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.

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.

As of March 31, 2011, Grant Park reevaluated the methodology used to calculate VaR and concluded that an Aggregate Returns Volatility method was a more precise method to measure Grant Park’s risk exposure. As of September 30, 2011, 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 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

32

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 September 30, 2011 and December 31, 2010 and the trading gains/losses by market category for the nine months ended September 30, 2011 and the year ended December 31, 2010. All open position trading risk exposures of Grant Park have been included in calculating the figures set forth below. As of September 30, 2011, Grant Park’s net asset value was approximately $882.7 million. As of December 31, 2010, Grant Park’s net asset value was approximately $891.9 million.

	September 30, 2011
Market Sector	Value at Risk*			Trading Gain/(Loss)
Currencies		0.3	%		(3.3	)%
Interest rates		0.3			7.5
Energy		0.2			(1.0	)
Metals		0.2			—
Agriculturals/softs/meats		0.2			(1.9	)
Stock indices		0.1			(3.9	)
Aggregate/Total		0.9	%		(2.6	)%
	December 31, 2010
Market Sector	Value at Risk*			Trading Gain/(Loss)
Agriculturals/softs/meats		0.4	%		4.3	%
Currencies		0.4			3.0
Energy		0.3			(2.5	)
Stock indices		0.3			(1.9	)
Metals		0.3			2.5
Interest rates		0.1			8.0
Aggregate/Total		1.3	%		13.4	%

* 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 of cause 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

33

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 September 30, 2011, 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. 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 September 30, 2011, Grant Park was short the U.S. dollar against various major currencies including the Japanese yen and New Zealand dollar, and long the U.S. dollar against the Australian dollar, Great British pound, euro, Canadian dollar, Swiss franc, and Mexican peso. In general, a stronger 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 September 30, 2011, Grant Park was predominantly long interest rate instruments in the U.S., Eurozone, Australia, Canada, New Zealand, United Kingdom, Japan, and Singapore.

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 September 30, 2011, the energy market exposure of Grant Park was predominantly long in the gas oil and gasoline blendstock markets and short in the brent crude oil, crude oil, heating oil, natural gas, and kerosene markets. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Metals

Grant Park’s metals market exposure is due to fluctuations in the price of both precious metals, including gold and silver, as well as base metals including aluminum, lead, copper, tin, nickel and zinc. As of September 30, 2011, in the precious metals sector Grant Park had long positions in gold and short positions in palladium, platinum and silver. In the base metals markets, Grant Park was short copper, lead, zinc, tin, aluminum, and nickel.

Agricultural/Meat/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 September 30, 2011, in the grains markets, Grant Park had long positions in the corn, rice, and rapeseed markets and short positions in the wheat, oats, soybeans, soybean meal, soybean oil, and canola markets. In the livestock markets, Grant Park was long feeder cattle, lean hogs, and live cattle. In the foods/industrials markets Grant Park was short cocoa, coffee, cotton, lumber, and rubber and long orange juice and sugar.

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, Turkey, 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

34

single-stock futures contracts. As of September 30, 2011, Grant Park was predominantly long indices in the U.S., United Kingdom, South Korea, and Canada. The portfolio was short indices in South Africa, Australia, the Eurozone, Hong Kong, Japan, India, and Singapore. Static markets would not cause major market changes but would make it difficult for Grant Park to avoid being “whipsawed” into numerous small losses.

Non-Trading Risk Exposure

The following were the only non-trading risk exposures of Grant Park as of September 30, 2011.

Foreign Currency Balances

Grant Park’s primary foreign currency balances are in Japanese yen, British pounds, euros and Australian dollars. The trading advisors regularly convert foreign currency balances to U.S. dollars in an attempt to control Grant Park’s non-trading risk.

Managing Risk Exposure

The general partner monitors and controls Grant Park’s risk exposure on a daily basis through financial, credit and risk management monitoring systems and, accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which Grant Park is subject.

The general partner monitors Grant Park’s performance and the concentration of its open positions and consults with the trading advisors concerning Grant Park’s overall risk profile. If the general partner felt it necessary to do so, the general partner could require the trading advisors to close out individual positions as well as enter positions traded on behalf of Grant Park. However, any intervention would be a highly unusual event. The general partner primarily relies on the trading advisors’ own risk control policies while maintaining a general supervisory overview of Grant Park’s market risk exposures. The trading advisors apply their own risk management policies to their trading. The trading advisors often follow diversification guidelines, margin limits and stop loss points to exit a position. The trading advisors’ research of risk management often suggests ongoing modifications to their trading programs.

As part of the general partner’s risk management, the general partner periodically meets with the trading advisors to discuss their risk management and to look for any material changes to the trading advisors’ portfolio balance and trading techniques. The trading advisors are required to notify the general partner of any material changes to their programs.

General

From time to time, certain regulatory or self-regulatory organizations have proposed increased margin requirements on futures contracts. Because Grant Park generally will use a small percentage of assets as margin, Grant Park does not believe that any increase in margin requirements, as proposed, will have a material effect on Grant Park’s operations.

Item 4. Controls and Procedures

As of the end of the period covered by this report, the general partner carried out an evaluation, under the supervision and with the participation of the general partner’s management, including its principal executive officer and principal financial officer, of the effectiveness of the design and operation of Grant Park’s disclosure controls and procedures as contemplated by Rule 13a-15 of the Securities Exchange Act of 1934, as amended. Based on, and as of the date of that evaluation, the general partner’s principal executive officer and principal financial officer concluded that Grant Park’s disclosure controls and procedures are effective, in all material respects, in timely alerting them to material information relating to Grant Park required to be included in the reports required to be filed or submitted by Grant Park with the SEC under the Exchange Act.

There was no change in Grant Park’s internal control over financial reporting in the quarter ended September 30, 2011 that has materially affected, or is reasonably likely to materially affect, Grant Park’s internal control over financial reporting.

35

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, 2010, 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.

36

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 September 30, 2011.

Period	Total Number of Class A Units Redeemed		Weighted Average Price Paid per Unit		Total Number of Class B Units Redeemed		Weighted Average Price Paid per Unit		Total Number of Legacy 1 Class Units Redeemed		Weighted Average Price Paid per Unit		Total Number of Legacy 2 Class Units Redeemed		Weighted Average Price Paid per Unit		Total Number of Global 1 Class Units Redeemed		Weighted Average Price Paid per Unit		Total Number of Global 2 Class Units Redeemed		Weighted Average Price Paid per Unit		Total Number of Global 3 Class Units Redeemed		Weighted Average Price Paid per Unit		Total Number of Units Redeemed as Part of Publicly Announced Plans or Programs(1)		Maximum Number of Units that May Yet Be Redeemed Under the Plans/ Program(1)
07/01/11 through 07/31/11		926.12	$	1,413.87		5,142.89	$	1,202.43		257.88	$	986.36		96.14	$	979.16		266.77	$	938.13		193.69	$	930.47		1,591.79	$	890.25		8,475.28		(2	)
08/01/11 through 08/31/11		343.04	$	1,388.31		6,893.31	$	1,180.05		68.07	$	970.35		132.73	$	962.60		270.09	$	926.36		305.14	$	918.59		1,519.56	$	877.56		9,531.94		(2	)
09/01/11 through 09/30/11		428.18	$	1,365.52		6,285.85	$	1,160.05		25.43	$	956.12		191.48	$	947.45		424.93	$	913.98		78.86	$	906.06		1,799.78	$	864.23		9,234.51		(2	)
Total		1,697.34	$	1,396.51		18,322.05	$	1,179.47		351.38	$	981.07		420.35	$	959.49		961.79	$	924.15		577.69	$	920.86		4,911.13	$	876.79		27,241.73		(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.

37

Item 5. Other Information

On October 31, 2011, MF Global Holdings Ltd., the parent of MF Global Inc. (collectively “MF Global”), one of the clearing brokers of Grant Park, reported to the SEC and CFTC possible deficiencies in customer segregated accounts held at the firm. As a result, the SEC and CFTC determined that a SIPC-led bankruptcy proceeding would be the safest and most prudent course of action to protect customer accounts and assets, and SIPC initiated the liquidation of MF Global under the Securities Investor Protection Act.

Grant Park’s General Partner does not believe that these actions will have a material impact upon the operations of Grant Park in valuing or satisfying redemption requests or for providing accurate valuation for new or existing limited partners.

Three of Grant Park’s twelve commodity trading advisors executed a portion of their trading activity through MF Global. In the aggregate, the assets of Grant Park allocated to these trading advisors and on deposit with MF Global immediately prior to October 31, 2011 represent approximately 2.3%, or approximately $20 million, of Grant Park’s total net assets as of October 31, 2011, and Grant Park had total net assets of approximately $842.7 million. None of these traders executed any Forex trading through MF Global.

On October 31, 2011, Grant Park established customer segregated accounts at Jefferies Bache LLC (“Jefferies”), an affiliate of Jefferies & Company. Grant Park’s other clearing brokers, Newedge USA LLC and UBS Securities LLC, continue to clear trades for Grant Park in the normal course of business.

On November 2, 2011, the Chicago Mercantile Exchange (“CME”) notified the CFTC of the CME’s intention to transfer certain customer positions in connection with the SIPC liquidation of MF Global. As a result, certain of Grant Park’s positions held at MF Global as of October 31, 2011 aggregating approximately $4.7 million were transferred to R.J. O’Brien & Associates on November 4, 2011. Also, various foreign exchanges liquidated certain other positions of Grant Park between November 1, 2011 and November 4, 2011. Approximately 1.8%, or $15.4 million, of Grant Park’s assets remain at MF Global and are held in cash and U.S. Treasury bills in customer segregated or secured accounts as of November 4, 2011.

Grant Park’s General Partner continues to monitor the situation relating to MF Global and is attempting to effect the orderly transfer of all of Grant Park’s remaining cash balances currently held at MF Global to R.J. O’Brien & Associates. However, there can be no assurances when or if Grant Park will have access to any or all of its assets that remain in accounts held at MF Global or as to the amount or value of those assets under the SIPC liquidation.

38

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 September 30, 2011 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.

39

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: November 14, 2011	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)

40