Grant Park Fund Prospectus 03.25.09

PART ONE: DISCLOSURE DOCUMENT

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP$200,000,000 Legacy 1 Class Units$200,000,000 Legacy 2 Class Units

$200,000,000 Global Alternative Markets 1 Class Units$200,000,000 Global Alternative Markets 2 Class Units$350,000,000 Global Alternative Markets 3 Class Units

The Offering

Grant Park Futures Fund Limited Partnership, which is referred toin this prospectus as Grant Park, is a multi-advisor commodity poolorganized to pool assets of investors for the purpose of investing thoseassets in U.S. and international futures and forward contracts, optionscontracts and other interests in commodities. Grant Park, which is notregistered as a mutual fund under the Investment Company Act of1940, has been in continuous operation since January 1989. It ismanaged by its general partner, Dearborn Capital Management, L.L.C.,and invests through independent professional commodity tradingadvisors.

This offering consists of five classes of limited partnership units:Legacy 1 Class units, Legacy 2 Class units, Global Alternative Markets1 (‘‘GAM 1’’) Class units, Global Alternative Markets 2 (‘‘GAM 2’’)Class units and Global Alternative Markets 3 (‘‘GAM 3’’) Class units,each of which are being offered to new and existing investors of GrantPark. Through and until the initial closing date for the offered units,Grant Park publicly offered two additional classes of units: Class Aunits and Class B units. Although we are no longer offering Class AUnits or Class B Units, existing holders of Class A and Class B Unitsmay continue to own such units.

The offered units have different fee arrangements and restrictionson redemptions. Additionally, investments in the offered units will beallocated to different commodity trading advisors who will apply

different investment strategies with respect to each class of units. TheLegacy 1 Class and Legacy 2 Class units and GAM 1 Class and GAM2 Class units are initially being offered only to investors who arerepresented by approved selling agents who are directly compensatedby the investor for services rendered in connection with an investmentin Grant Park (such arrangements commonly referred to as‘‘wrap-accounts’’).

The selling agents will offer the units at a price of $1,000 per unitduring the initial offering period, and, thereafter, at a price equal to thenet asset value per unit of each of the units at the close of business oneach closing date, which is the last business day of each month. Weanticipate that the initial offering period will end and the units willbegin trading on the initial closing date with a net asset value of $1,000per unit, respectively.

The selling agents are not required to sell any specific quantity ordollar amount of units, but have agreed to use their best efforts to sellthe units offered. Subscriptions approved for investment will beeffective as of each closing date and will be held in Grant Park’ssubscription account until invested. The offering is not contingent on aminimum aggregate level of investment and is expected to continueuntil all registered units are sold. The general partner may, however, inits discretion, suspend or terminate the offering at any time, or it mayelect to register and offer additional units.

The Risks

Before you decide whether to invest, you should read this entireprospectus carefully and consider the risk factors beginning on page 19.

• An investment in Grant Park is speculative and leveraged; asa result of this leverage, small movements in the price of acommodity interest may cause you to incur significantlosses.

• Performance can be volatile; rapid and substantialfluctuations in commodity interest prices could cause GrantPark’s trading positions to suddenly turn unprofitable andcause you to lose all or substantially all of your investmentin Grant Park.

• Trading in commodity interests is a zero-sum economicactivity in which, for every gain, there is an offsetting loss.Grant Park therefore bears the risk that, on every trade, itwill incur the loss.

• Grant Park’s past performance is not necessarily indicativeof future performance.

• Grant Park’s use of multiple trading advisors may result inGrant Park taking offsetting trading positions, thereby

incurring additional expenses with no net change inholdings.

• No secondary market exists for the units; redemptions of theunits are prohibited during the first three months followingan initial and each subsequent investment and, in the case ofthe GAM 3 Class units, redemptions prior to the firstanniversary date of an investment will result in earlyredemption fees.

• Grant Park pays substantial fees and expenses, including feespaid to its trading advisors, that must be offset by tradingprofits and interest income.

• A substantial portion of the trades executed for Grant Parktakes place outside of the U.S., much of which exposesGrant Park to substantial credit, regulatory and foreignexchange risk.

• You will have no right to participate in the management ofGrant Park.

• The structure and operation of Grant Park involve severalconflicts of interest.

Minimum Investment

There is a $10,000 minimum investment required to invest in theLegacy 1 Class and Legacy 2 Class units, except that, in the case ofinvestors that are employee benefit plans and/or individual retirementaccounts, the minimum investment is $1,000. The minimum investmentin the GAM 1 Class, GAM 2 Class and GAM 3 Class units is $5,000,respectively, except that in the case of investors that are employeebenefit plans and/or individual retirement accounts, the minimum

investment is $1,000. Any minimum initial investment amounts orwrap-account requirements may be waived in the sole discretion of thegeneral partner.

Neither the Securities and Exchange Commission nor anystate securities commission has approved or disapproved of thesesecurities or passed upon the accuracy or adequacy of thisprospectus. Any representation to the contrary is a criminal offense.

THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS OF PARTICIPATING INTHIS POOL NOR HAS THE COMMODITY FUTURES TRADING COMMISSION PASSED ON THE ADEQUACY OR ACCURACYOF THIS PROSPECTUS.

This prospectus is in two parts: a disclosure document and a statement of additional information. These parts are bound together,and both parts contain important information.

The date of this prospectus is March 25, 2009

COMMODITY FUTURES TRADING COMMISSION

RISK DISCLOSURE STATEMENT

YOU SHOULD CAREFULLY CONSIDER WHETHER YOUR FINANCIAL CONDITIONPERMITS YOU TO PARTICIPATE IN A COMMODITY POOL. IN SO DOING, YOU SHOULD BEAWARE THAT FUTURES AND OPTIONS TRADING CAN QUICKLY LEAD TO LARGE LOSSESAS WELL AS GAINS. LARGE TRADING LOSSES CAN SHARPLY REDUCE THE NET ASSETVALUE OF THE POOL AND CONSEQUENTLY THE VALUE OF YOUR INTEREST IN THE POOL.IN ADDITION, RESTRICTIONS ON REDEMPTIONS MAY AFFECT YOUR ABILITY TOWITHDRAW YOUR PARTICIPATION IN THE POOL.

FURTHER, COMMODITY POOLS MAY BE SUBJECT TO SUBSTANTIAL CHARGES FORMANAGEMENT, ADVISORY AND BROKERAGE FEES. IT MAY BE NECESSARY FOR THOSEPOOLS THAT ARE SUBJECT TO THESE CHARGES TO MAKE SUBSTANTIAL TRADINGPROFITS TO AVOID DEPLETION OR EXHAUSTION OF THEIR ASSETS. THIS PROSPECTUSCONTAINS A COMPLETE DESCRIPTION OF EACH EXPENSE TO BE CHARGED THIS POOLBEGINNING ON PAGE 93 AND A STATEMENT OF THE PERCENTAGE RETURN NECESSARYTO BREAK EVEN, THAT IS, TO RECOVER THE AMOUNT OF YOUR INITIAL INVESTMENT,ON PAGE 11.

THIS BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER FACTORSNECESSARY TO EVALUATE YOUR PARTICIPATION IN THIS COMMODITY POOL.THEREFORE, BEFORE YOU DECIDE TO PARTICIPATE IN THIS COMMODITY POOL, YOUSHOULD CAREFULLY STUDY THIS PROSPECTUS, INCLUDING THE DESCRIPTION OF THEPRINCIPAL RISK FACTORS OF THIS INVESTMENT, BEGINNING ON PAGE 19.

YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY POOL MAY TRADE FOREIGNFUTURES OR OPTIONS CONTRACTS. TRANSACTIONS ON MARKETS LOCATED OUTSIDETHE UNITED STATES, INCLUDING MARKETS FORMALLY LINKED TO A UNITED STATESMARKET, MAY BE SUBJECT TO REGULATIONS WHICH OFFER DIFFERENT OR DIMINISHEDPROTECTION TO THE POOL AND ITS PARTICIPANTS. FURTHER, UNITED STATESREGULATORY AUTHORITIES MAY BE UNABLE TO COMPEL THE ENFORCEMENT OF THERULES OF REGULATORY AUTHORITIES OR MARKETS IN NON-UNITED STATESJURISDICTIONS WHERE TRANSACTIONS FOR THE POOL MAY BE EFFECTED.

A NUMBER OF JURISDICTIONS IN WHICH THE UNITS ARE OFFERED IMPOSE ONTHEIR RESIDENTS HIGHER MINIMUM SUITABILITY REQUIREMENTS, WHICH AREDESCRIBED IN APPENDIX C TO THIS PROSPECTUS. PLEASE SEE PAGES C-3 AND C-4 OFAPPENDIX C FOR A DETAILED DESCRIPTION OF THE MINIMUM SUITABILITYREQUIREMENTS IN THE STATE IN WHICH YOU RESIDE. YOU WILL BE REQUIRED TOREPRESENT THAT YOU MEET THE REQUIREMENTS SET FORTH IN YOUR STATE OFRESIDENCE BEFORE YOUR SUBSCRIPTION TO PURCHASE UNITS WILL BE ACCEPTED.THESE SUITABILITY REQUIREMENTS ARE, IN EACH CASE, REGULATORY MINIMUMSONLY, AND JUST BECAUSE YOU MEET SUCH REQUIREMENTS DOES NOT MEAN THAT ANINVESTMENT IN THE UNITS IS SUITABLE FOR YOU. IN NO EVENT MAY YOU INVEST MORETHAN 10% OF YOUR NET WORTH, EXCLUSIVE OF HOME, FURNISHINGS ANDAUTOMOBILES, IN GRANT PARK.

Dearborn Capital Management, L.L.C.General Partner

555 West Jackson Boulevard, Suite 600Chicago, IL 60661

(312) 756-4450

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REGULATORY NOTICES

NO DEALER, SALESMAN OR ANY OTHER PERSON HAS BEEN AUTHORIZED TO GIVE ANYINFORMATION OR TO MAKE ANY REPRESENTATION NOT CONTAINED IN THIS PROSPECTUS,AND, IF GIVEN OR MADE, SUCH OTHER INFORMATION OR REPRESENTATION MUST NOT BERELIED UPON AS HAVING BEEN AUTHORIZED BY THE FUND, THE GENERAL PARTNER, THEAUTHORIZED PARTICIPANTS OR ANY OTHER PERSON.

THIS PROSPECTUS DOES NOT CONSTITUTE AN OFFER TO SELL OR A SOLICITATION OF ANOFFER TO BUY THE SECURITIES OFFERED HEREBY TO ANY PERSON OR BY ANYONE IN ANYJURISDICTION IN WHICH SUCH OFFER OR SOLICITATION MAY NOT LAWFULLY BE MADE.

THE BOOKS AND RECORDS OF THE FUND WILL BE MAINTAINED AT ITS PRINCIPALOFFICE, 555 WEST JACKSON BOULEVARD, SUITE 600, CHICAGO, IL 60661. LIMITED PARTNERSWILL HAVE THE RIGHT, DURING NORMAL BUSINESS HOURS, TO HAVE ACCESS TO AND COPY(UPON PAYMENT OF REASONABLE REPRODUCTION COSTS) SUCH BOOKS AND RECORDS INPERSON OR BY THEIR AUTHORIZED ATTORNEY OR AGENT. EACH MONTH, THE GENERALPARTNER WILL DISTRIBUTE REPORTS TO ALL LIMITED PARTNERS SETTING FORTH SUCHINFORMATION AS THE COMMODITY FUTURES TRADING COMMISSION (THE ‘‘CFTC’’) AND THENATIONAL FUTURES ASSOCIATION (THE ‘‘NFA’’) MAY REQUIRE BE GIVEN TO THEPARTICIPANTS IN COMMODITY POOLS WITH RESPECT TO THE FUND AND ANY SUCH OTHERINFORMATION AS THE GENERAL PARTNER MAY DEEM APPROPRIATE. THERE WILL SIMILARLYBE DISTRIBUTED TO LIMITED PARTNERS, NOT MORE THAN 90 DAYS AFTER THE CLOSE OFEACH OF THE FUND’S FISCAL YEARS, CERTIFIED AUDITED FINANCIAL STATEMENTS AND (INNO EVENT LATER THAN MARCH 15 OF THE IMMEDIATELY FOLLOWING YEAR) THE TAXINFORMATION RELATING TO SHARES OF THE FUND NECESSARY FOR THE PREPARATION OFLIMITED PARTNERS’ ANNUAL FEDERAL INCOME TAX RETURNS.

THE DIVISION OF INVESTMENT MANAGEMENT OF THE SECURITIES AND EXCHANGECOMMISSION REQUIRES THAT THE FOLLOWING STATEMENT BE PROMINENTLY SET FORTHHEREIN: ‘‘GRANT PARK FUTURES FUND LIMITED PARTNERSHIP IS NOT A MUTUAL FUND ORANY OTHER TYPE OF INVESTMENT COMPANY WITHIN THE MEANING OF THE INVESTMENTCOMPANY ACT OF 1940, AS AMENDED, AND IS NOT SUBJECT TO REGULATION THEREUNDER.’’

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GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

TABLE OF CONTENTS

Page

Part One: Disclosure DocumentSummary . . . . . . . . . . . . . . . . . . . . . . 1Risk Factors . . . . . . . . . . . . . . . . . . . . 19Cautionary Note Regarding

Forward-Looking Statements . . . . . . . . 30Selected Financial Data . . . . . . . . . . . . . 31Supplementary Financial Information . . . . 32Grant Park . . . . . . . . . . . . . . . . . . . . . . 33The General Partner . . . . . . . . . . . . . . . 33The Trading Advisors . . . . . . . . . . . . . . 35Performance of Grant Park — Class A

Units . . . . . . . . . . . . . . . . . . . . . . . . 61Performance of Grant Park — Class B

Units . . . . . . . . . . . . . . . . . . . . . . . . 62Management’s Discussion and Analysis of

Financial Condition and Results ofOperations . . . . . . . . . . . . . . . . . . . . 73

Quantitative and Qualitative DisclosuresAbout Market Risk . . . . . . . . . . . . . . 82

The Clearing Brokers . . . . . . . . . . . . . . 87Conflicts of Interest . . . . . . . . . . . . . . . 91Fees and Expenses . . . . . . . . . . . . . . . . 93Use of Proceeds . . . . . . . . . . . . . . . . . . 99Limited Partnership Agreement . . . . . . . . 100U.S. Federal Income Tax Consequences . . 104Investment by ERISA and Other Plan

Accounts . . . . . . . . . . . . . . . . . . . . . 107

Page

Plan of Distribution . . . . . . . . . . . . . . . 110Privacy Policy . . . . . . . . . . . . . . . . . . . 114Legal Matters . . . . . . . . . . . . . . . . . . . . 114Experts . . . . . . . . . . . . . . . . . . . . . . . . 114Where You Can Find More Information . . 114Index to Financial Statements . . . . . . . . . 115

Part Two: Statement ofAdditional Information 166

The Commodity Interest Markets . . . . . . 168Historical Perspective of the Managed

Futures Industry . . . . . . . . . . . . . . . . 174Potential Advantages of Investment . . . . . 175Supplemental Performance Information of

Grant Park Futures Fund . . . . . . . . . . SAI-E-1

AppendicesAppendix A: Limited Partnership

Agreement . . . . . . . . . . . . . . . . . . . . A-1Appendix B: Subscription Agreement and

Power of Attorney . . . . . . . . . . . . . . . B-1Appendix C: Subscription Requirements . C-1

Investor Suitability Standards . . . . . . C-3Appendix D: Request for Redemption

Form . . . . . . . . . . . . . . . . . . . . . . . . D-1Appendix E: Glossary . . . . . . . . . . . . . . E-1

You should rely only on the information contained in this prospectus. Grant Park, the general partnerand the selling agents have not authorized anyone to provide you with different information, and if you receiveany unauthorized information, you should not rely on it. We are not making an offer of these securities in anyplace where the offer is not permitted. You should assume that the information in this prospectus or anyprospectus supplement is accurate only as of the date of the front cover of that document, regardless of thetime you receive this prospectus.

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SUMMARY

This summary highlights information containedelsewhere in this prospectus. This summary does notcontain all of the information that you shouldconsider before investing in the units. You shouldread this entire prospectus carefully, including therisk factors beginning on page 19, the Statement ofAdditional Information and all exhibits to theprospectus, before deciding to invest. See the glossaryin Appendix E for definitions of certain key termsrelating to Grant Park’s trading activities that areused in this prospectus.

Grant Park

Grant Park is organized to pool assets ofinvestors for the purpose of trading in the U.S. andinternational markets for currencies, interest rates,stock indices, agricultural and energy products,precious and base metals and other commodities. Intrading on these markets, Grant Park may employfutures and forward contracts, security futurescontracts, options contracts and other interests incommodities. Grant Park is a multi-advisor pool thatinvests the assets of each class of the fund in varioustrading companies, each of which allocates thoseassets to one of the independent professionalcommodity trading advisors retained by the generalpartner, or to other trading companies. Grant Park’sgeneral partner, commodity pool operator andsponsor is Dearborn Capital Management, L.L.C., anIllinois limited liability company. The managingmember of Dearborn Capital Management, L.L.C. isDearborn Capital Management, Ltd., an Illinoiscorporation whose sole shareholder is David M.Kavanagh.

Grant Park has been trading continuously sinceJanuary 1989 and, as of December 31, 2008, had anet asset value of approximately $643.6 million andapproximately 17,341 limited partners. Since itsinception and through February 28, 2003, Grant Parkoffered its beneficial interests exclusively to qualifiedinvestors on a private placement basis. EffectiveJune 30, 2003, Grant Park began offering units forsale to the public.

Grant Park’s main office is located at 555 WestJackson Boulevard, Suite 600, Chicago, Illinois60661, and its telephone number is (312) 756-4450.

Reorganization of Grant Park

As a result of recent changes in the rules andregulations of the Financial Industry RegulatoryAuthority (‘‘FINRA’’) affecting commodity pools, thegeneral partner has determined to make certain

changes to the organization of Grant Park, includingthe creation of the Legacy 1 Class units, the Legacy2 Class units, the Global Alternative Markets 1, orGAM 1 Class, units, the Global AlternativeMarkets 2, or GAM 2 Class, units and the GlobalAlternative Markets 3, or GAM 3 Class, units, andhas determined to terminate the offering and sale ofany new Class A and Class B units.

Investments in the offered units will be investedthrough different commodity trading advisors retainedby the general partner with respect to each class ofunits. However, instead of each trading advisormaintaining a separate account in the name of GrantPark, as was historically the case, the assets of eachclass, including the existing Class A and Class Bunits, and the offered units, will be invested invarious trading companies, each of which will beorganized as a limited liability company. Each tradingcompany will then allocate those assets to one of thecommodity trading advisors retained by the generalpartner. See ‘‘MANAGEMENT’S DISCUSSIONAND ANALYSIS OF FINANCIAL CONDITIONAND RESULTS OF OPERATIONS —Reorganization of Grant Park.’’

The Offered Units

Grant Park’s limited partnership units are beingoffered in five separate and distinct classes: theLegacy 1 Class units, the Legacy 2 Class units, theGAM 1 Class units, the GAM 2 Class units and theGAM 3 Class units. In addition to the offered units,Grant Park has two outstanding classes of limitedpartnership units, the Class A and Class B units,which, as of the initial closing date, are no longerbeing offered for sale and are not offered hereunder.

Investments in the offered units will be investedthrough different commodity trading advisors retainedby the general partner with respect to each class ofunits. Each of the trading advisors employs technicaland trend-following trading strategies throughproprietary trading programs in an effort to achievecapital appreciation while controlling risk andvolatility. The general partner may, in its solediscretion, reallocate assets among the tradingadvisors upon termination of a trading advisor orretention of any new trading advisors, or at thecommencement of any month. Consequently, thecurrent apportionments are subject to change.

The offered units are subject to a three-monthlock-up period.

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Legacy 1 Class and Legacy 2 Class units

The Legacy 1 Class and Legacy 2 Class unitswill be allocated to the same trading advisors and areinitially being offered only to investors who arerepresented by approved selling agents who aredirectly compensated by the investor for servicesrendered in connection with an investment in GrantPark (such arrangements commonly referred to as‘‘wrap-accounts’’). Selling agents who sell Legacy 1Class or Legacy 2 Class units do not receive anyupfront sales compensation. Each selling agent whosells Legacy 2 Class units does, however, receiveongoing compensation for continuing administrativeservices at an annual rate of 25 basis points (0.25%)of the month-end net asset value of the unit. See‘‘FEES AND EXPENSES — Fees and Expenses Paidby the General Partner — Selling AgentCompensation.’’

Each of Rabar Market Research, Inc., EMCCapital Management, Inc., Graham CapitalManagement, L.P., Eckhardt Trading Company, orETC, Winton Capital Management Limited, WeltonInvestment Corporation, Global Advisors L.P.,Transtrend B.V., Revolution Capital ManagementLLC, or RCM, and Quantitative InvestmentManagement, LLC, or QIM, serve as Grant Park’scommodity trading advisors with respect to theLegacy 1 Class and Legacy 2 Class units. Thetrading advisors and their respective asset allocationswith respect to the Legacy 1 Class and Legacy 2Class units are the same as with respect to the fund’sexisting Class A and Class B units. As of March 1,2009, with respect to the Class A and Class B unitsof the fund, each of Rabar, EMC, ETC, Winton andWelton managed between 10% to 20% of GrantPark’s net assets, and each of Graham, GlobalAdvisors, Transtrend, RCM and QIM were allocatedless than 10% of Grant Park’s net assets to manage.

The trading advisors for the Legacy 1 Class andLegacy 2 Class units will pursue a technical trendtrading philosophy, which is the same tradingphilosophy the trading advisors have historically usedfor the existing Class A and Class B units.

GAM 1 Class, GAM 2 Class and GAM 3 Class units

Investments in the GAM 1 Class, GAM 2 Classand GAM 3 Class units will be allocated to the sametrading advisors. However, GAM 1 Class and GAM2 Class units are initially being offered only toinvestors purchasing such units throughwrap-accounts. Selling agents who sell GAM 1 Classor GAM 2 Class units do not receive any upfrontsales compensation. Each selling agent who sells

GAM 2 Class units does, however, receive ongoingcompensation for continuing administrative servicesat an annual rate of 25 basis points (0.25%) of themonth-end net asset value of the unit. See ‘‘FEESAND EXPENSES — Fees and Expenses Paid by theGeneral Partner — Selling Agent Compensation.’’

Selling agents who sell GAM 3 Class unitsreceive an upfront sales commission of up to 2.0% ofthe subscription amount. Beginning with thethirteenth month after the subscription proceeds of aGAM 3 Class unit are invested in Grant Park, eachselling agent who sells GAM 3 Class units willreceive ongoing compensation for continuingadministrative services at an annual rate of 2.0% ofthe month-end net asset value of the unit. In theevent that the total underwriting compensation paidto a selling agent per a GAM 3 Class unit meetscertain limits, such GAM 3 Class unit will beautomatically exchanged for an equal net assetamount of GAM 1 Class units at no additional cost.See ‘‘FEES AND EXPENSES — Fees and ExpensesPaid by the General Partner — Selling AgentCompensation.’’

GAM 3 Class units redeemed after the threemonth lock-up period, but on or before the one-yearanniversary of the subscription are subject to a fee ofup to 1.50% of the net asset value of the redeemedunits; the GAM 1 Class and GAM 2 Class units arenot subject to an early redemption fee.

Each of EMC, ETC, Graham, Winton,Transtrend, QIM and Revolution CapitalManagement, or RCM, serve as Grant Park’scommodity trading advisors with respect to the GAM1 Class, GAM 2 Class and GAM 3 Class units. Thegeneral partner anticipates that, with respect to theGAM 1 Class, GAM 2 Class and GAM 3 Classunits, each trading advisor will manage between 10%and 20% of Grant Park’s net assets, respectively.

The trading advisors for the GAM 1 Class,GAM 2 Class and GAM 3 Class units will pursuetechnical trend trading philosophies, as well aspattern recognition philosophies focused on relativelyshorter timeframes than the Legacy 1 Class andLegacy 2 Class units.

Break-Even Amounts for Each Class of Units

The following summarizes the approximatedollar returns and percentage returns required for theredemption value of a hypothetical $1,000 initialinvestment in offered units to equal the amountinvested 12 months after the investment was made.The breakeven summary for the GAM 3 Class units

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shows the amount required to ‘‘break-even’’ bothwith and without an early redemption fee which, forpurposes of this summary, has been averaged toapproximate the effect that payment of an earlyredemption fee will have on a redemption of suchunits during the first year of investment.

• Legacy 1 Class: 3.95% (or $39.53).

• Legacy 2 Class: 4.25% (or $42.47).

• GAM 1 Class: 3.31% (or $33.11).

• GAM 2 Class: 3.60% (or $36.04).

• GAM 3 Class: 5.72% (or $57.24) withoutaverage early redemption fee, or 6.72% (or$67.24) with average early redemption fee.

See ‘‘SUMMARY — Breakeven Analysis’’beginning on page 11 for detailed breakeven analysisof the offered units.

Initial Offering Period

Grant Park will accept subscriptions for theoffered units during an initial offering period for upto thirty (30) days. We refer to this period as theinitial offering period. Redemptions of the offeredunits will not be permitted during the initial offeringperiod. There is no minimum aggregate amount ofsubscriptions that Grant Park must receive in order toend the initial offering period.

Continuous Offering Period

After the initial offering period, Grant Park willoffer the offered units on a continuous basis and willcontinue to offer such units until the maximumamount of Legacy 1 Class, Legacy 2 Class, GAM 1Class, GAM 2 Class and GAM 3 Class units,respectively, which are registered are sold. We referto this period as the continuous offering period. Thegeneral partner may terminate the continuous offeringperiod at any time.

Commodity Interests

Grant Park trades in U.S. and internationalfutures and forward contracts and other interests incommodities, including options contracts on futures,forwards and commodities, spot contracts andsecurity futures contracts. The commoditiesunderlying these contracts may include stock indices,interest rates, currencies, or physical commodities,such as agricultural products, energy products ormetals. A brief description of Grant Park’s main typesof investments is set forth below.

• A futures contract is a standardized contracttraded on an exchange that calls for thefuture delivery of a specified quantity of acommodity at a specified time and place.

• A forward contract is an individuallynegotiated contract between principals, nottraded on an exchange, to buy or sell aspecified quantity of a commodity at orbefore a specified date at a specified price.

• An option on a futures contract, forwardcontract or a commodity gives the buyer ofthe option the right, but not the obligation,to buy or sell a futures contract, forwardcontract or a commodity, as applicable, at aspecified price on or before a specified date.Options on futures contracts arestandardized contracts traded on anexchange, while options on forwardcontracts and commodities, referred tocollectively in this prospectus as over-the-counter options, generally are individuallynegotiated, principal-to-principal contractsnot traded on an exchange.

• A spot contract is a cash market transactionin which the buyer and seller agree to theimmediate purchase and sale of acommodity, usually with a two-daysettlement. Spot contracts are not uniformand not exchange-traded.

• A security futures contract is a futurescontract on a single equity security ornarrow-based stock index. Security futurescontracts are relatively new financialinstruments, having only begun trading inthe United States in November 2002.Security futures contracts are exchange-traded. A trading advisor generally maychoose to trade security futures contractsfor Grant Park’s account if the tradingadvisor determines that the market for theparticular contract is sufficiently liquid andthat trading the contract is consistent withthe trading advisor’s trading program.

For convenience and unless otherwise specified,futures contracts, forward contracts, options contractsand all other commodity interests collectively will bereferred to as commodity interests in this prospectus.

For more detailed descriptions of futurescontracts, forward contracts, options contracts, othercommodity interest contracts and other aspects of the

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commodity interest markets, see the statement ofadditional information beginning on page 166.

Plan of Distribution

What is the minimum investment?

• The minimum investment required to investin the Legacy 1 Class and Legacy 2 Classunits is $10,000, except in the case ofinvestors that are employee benefit plansand/or individual retirement accounts forwhich the minimum investment is $1,000;subsequent investment in the Legacy 1Class and Legacy 2 Class units must be atleast $1,000. The selling agents will offerthe Legacy 1 Class and Legacy 2 Classunits at a price of $1,000 per unit as of theinitial closing date. The Legacy 1 Class andLegacy 2 Class units are initially beingoffered only to investors purchasing suchunits through wrap-accounts.

• The minimum investment in the GAM 1Class, GAM 2 Class and GAM 3 Classunits is $5,000, except in the case ofinvestors in such units that are employeebenefit plans and/or individual retirementaccounts for which the minimuminvestment is $1,000; subsequentinvestment in the GAM 1 Class, GAM 2Class and GAM 3 Class units must be atleast $1,000. The selling agents will offerthe GAM 1 Class, GAM 2 Class and GAM3 Class units at a price of $1,000 per unitas of the initial closing date. The GAM 1Class and GAM 2 Class units are initiallybeing offered only to investors purchasingsuch units through wrap-accounts.

• Any of these minimum investmentrequirements, including the requirement toinvest in certain classes of units throughwrap-accounts, may be waived by thegeneral partner in its sole discretion. Fromand after the initial closing date, units willbe sold in fractions calculated to threedecimal places.

How do I invest in Grant Park?

• During the initial offering period, GrantPark will accept subscriptions for units forup to thirty (30) days. During the initialoffering period, subscriptions for units willbe accepted at $1,000 per unit.

• During the continuous offering period, youmay buy units at the close of business on

the last business day of each month, each aclosing date, by submitting a subscription atleast five business days before theapplicable closing date, or at an earlier dateif required by your selling agent. Thenumber of units that you receive will bebased on the net asset value per unit of theapplicable class of units at the close ofbusiness on the closing date. Approvedsubscriptions will be accepted oncepayments are received and cleared, andeach investor will receive writtenconfirmation of the purchase followingacceptance.

• The general partner will accept or rejectyour subscription, in whole or in part, in itssole discretion. The general partner willdeposit your subscription funds in GrantPark’s non-interest bearing subscriptionaccount. If the general partner accepts yoursubscription, your subscription funds willbe invested in Grant Park on the nextapplicable closing date. There is nominimum aggregate subscription amountthat must be received before new investors’funds can be invested. If the general partnerdoes not accept your subscription, yoursubscription funds will be returned to youwithout interest.

• The selling agents, which are the registeredbroker-dealers who are offering the units,will use their best efforts to sell the unitsbeing offered, without any firmunderwriting commitment. You will notdirectly pay sales commissions to theselling agents. All sales commissions andother compensation to the selling agents arepaid by the general partner out of thebrokerage charge paid by Grant Park to thegeneral partner.

• Carefully read the prospectus, along withall appendices, including the limitedpartnership agreement and the subscriptionagreement and power of attorney anddiscuss with your financial advisor anyquestions you have about Grant Park.Investors will be required to make therepresentations and warranties set forth inAppendix C relating to their suitability topurchase the offered units in thesubscription agreement and power ofattorney. If you decide to invest, please

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complete and sign the subscriptionagreement and power of attorney anddeliver to your selling agent a check madepayable to ‘‘Grant Park Futures FundLimited Partnership — SubscriptionAccount,’’ or authorize a wire transfer inthe amount of your subscription inaccordance with the instructions set forth inthe subscription agreement and power ofattorney. Alternatively, if available, youmay authorize your selling agent to debityour customer securities brokerage accountin the amount of your subscription.

What is the difference between the Legacy 1 Class,the Legacy 2 Class, the GAM 1 Class, the GAM 2Class and the GAM 3 Class units?

The Legacy 1 Class, Legacy 2 Class, GAM 1Class and GAM 2 Class units are initially beingoffered only to investors who purchase such unitsthrough wrap-accounts, provided that they meet thesuitability criteria described below and in AppendixC. The GAM 3 Class units are reserved forinvestments by new investors generally, providedthey meet the same suitability criteria.

Trading for the Legacy 1 Class and Legacy 2Class units, on the one hand, and the GAM 1 Class,GAM 2 Class and GAM 3 Class units, on the otherhand, will be directed by different trading advisors,and such trading advisors will pursue differenttrading strategies. The initial trading advisors for theLegacy 1 Class and Legacy 2 Class units are Rabar,EMC, Graham, ETC, Winton, Welton, GlobalAdvisors, Transtrend, QIM and RCM and suchadvisors will generally pursue a technical trendtrading philosophy. The initial trading advisors, assetallocations and trading philosophy with respect to theLegacy 1 Class and Legacy 2 Class units are thesame as those utilized for Grant Park’s existing ClassA and Class B units. The initial trading advisors forthe GAM 1 Class, GAM 2 Class and GAM 3 Classunits will be EMC, ETC, Graham, Winton,Transtrend, QIM and RCM and such trading advisorswill generally pursue technical trend tradingphilosophies, as well as pattern recognitionphilosophies focused on relatively shorter timeframesthan the Legacy 1 Class and Legacy 2 Class units.

The Legacy 1 Class units bear organization andoffering expenses at an annual rate of 30 basis points(0.30%) of the adjusted net assets of the Legacy 1Class units, calculated and payable monthly on thebasis of month-end adjusted assets (before accrualsfor fees and expenses and redemptions). With respect

to the monthly brokerage charge payable by GrantPark to the general partner, as of the initial closingdate, Legacy 1 Class units will be charged 0.4167%of month-end adjusted net assets of the Legacy 1Class units, a rate of 5.00% annually.

The Legacy 2 Class units bear organization andoffering expenses at an annual rate of 30 basis points(0.30%) of the adjusted net assets of the Legacy 2Class units, calculated and payable monthly on thebasis of month-end adjusted assets (before accrualsfor fees and expenses and redemptions). With respectto the monthly brokerage charge payable by GrantPark to the general partner, as of the initial closingdate, Legacy 2 Class units will be charged 0.4375%of month-end adjusted net assets of the Legacy 2Class units, a rate of 5.25% annually.

The GAM 1 Class units bear organization andoffering expenses at an annual rate of 30 basis points(0.30%) of the adjusted net assets of the GAM 1Class units, calculated and payable monthly on thebasis of month-end adjusted assets (before accrualsfor fees and expenses and redemptions). With respectto the monthly brokerage charge payable by GrantPark to the general partner, as of the initial closingdate, GAM 1 Class units will be charged 0.3708% ofmonth-end adjusted net assets of the GAM 1 Classunits, a rate of 4.45% annually.



Investors in the offered units are prohibited fromredeeming such units for three months following the

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subscription date. This lock-up period may be waivedby the general partner at its sole discretion. GAM 3Class units that are redeemed before the one-yearanniversary of the subscription date will pay an earlyredemption fee of up to 1.5% of the net asset valueat which such units are redeemed. The generalpartner has discretion to waive the redemption fee.The Legacy 1 Class, Legacy 2 Class, GAM 1 Classand GAM 2 Class units are not subject to an earlyredemption fee. After termination of the lock-upperiod, you may cause Grant Park to redeem yourunits at the net asset value per applicable unit as ofthe last business day of each month with at least 10days advance written notice to the general partner, orat an earlier date if required by your selling agent.

Is Grant Park a suitable investment for you?

An investment in Grant Park is speculative andinvolves a high degree of risk. Grant Park is notsuitable for all investors. The general partner offersGrant Park as a diversification opportunity for aninvestor’s entire investment portfolio, and thereforean investment in Grant Park should only represent alimited portion of an investor’s overall portfolio.

To invest in Grant Park, you must have at aminimum:

(1) a net worth of at least $250,000, exclusiveof home, furnishings and automobiles; or

(2) a net worth, similarly calculated, of at least$70,000 and an annual gross income of$70,000.

A number of jurisdictions in which the units areoffered impose on their residents higher minimumsuitability requirements, which are described inAppendix C to this prospectus. Please see AppendixC for a detailed description of the minimumsuitability requirements in the state in which youreside. You will be required to represent that youmeet the requirements set forth in your state ofresidence before your subscription to purchase unitswill be accepted. These suitability requirementsare, in each case, regulatory minimums only, andjust because you meet such requirements does notmean that an investment in the units is suitablefor you. In no event may you invest more than 10%of your net worth, exclusive of home, furnishings andautomobiles, in Grant Park. Employee benefit plansand individual retirement accounts are subject tospecial suitability requirements. See ‘‘INVESTMENTBY ERISA AND OTHER PLAN ACCOUNTS’’beginning on page 107. In addition, individualselling agents may impose even higher minimum

suitability requirements on their clients investingin Grant Park than those described above orrequired by an individual state. You shouldconsult with your financial advisor to confirm thatyou meet these requirements before deciding toinvest in Grant Park.

Risk Factors You Should Consider BeforeInvesting in Grant Park

An investment in Grant Park is highlyspeculative and involves a high degree of risk. Someof the risks you may face are summarized below. Amore extensive discussion of these risks appearsbeginning on page 19.

• The prices of commodity interest contractsare highly volatile and subject to rapid andsubstantial fluctuations. You could thereforelose all or substantially all of yourinvestment if Grant Park’s trading positionssuddenly turn unprofitable. Thesemovements in price are often the result offactors outside of Grant Park’s and itstrading advisors’ control and may not beanticipated by Grant Park’s tradingadvisors.

• Because Grant Park’s trading positions aretypically secured by the deposit of marginfunds that represent only a small percentageof a contract’s entire face value, Grant Parkis highly leveraged. As a result of thisleverage, relatively small movements in theprice of a contract can cause significantlosses to Grant Park.

• Grant Park trades in commodity interests,which, unlike typical stock or bondinvesting, is a zero-sum economic activityin which, for every gain, there is an equaland offsetting loss. As a result, Grant Parkbears the risk on every trade it makes thatit will be the party that incurs a loss.

• Grant Park’s use of multiple independenttrading advisors may result in Grant Parktaking offsetting positions on the samecommodity interest contract therebypossibly incurring additional expenses butwithout any net change in Grant Park’sholdings. In addition, the trading programsused by each trading advisor bear somesimilarities to the trading programs used byother trading advisors, which may negatethe benefits of having multiple tradingadvisors.

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• Past performance of Grant Park is notnecessarily indicative of futureperformance, and you should not rely onthe performance record to date of GrantPark and/or the trading advisors in decidingwhether to invest. This is especially truehere, because the general partner hasincreased Grant Park’s fee and expensestructure in certain respects toaccommodate the public offering of units,and the fees and expenses have an impacton Grant Park’s net performance.

• A substantial portion of Grant Park’s tradestakes place on markets and exchangesoutside the United States. Some non-U.S.markets present risks because they are notsubject to the same degree of regulation astheir U.S. counterparts. In some of thesenon-U.S. markets, the performance on acontract is the responsibility of thecounterparty and is not backed by anexchange or clearing corporation andtherefore exposes Grant Park to credit risk.Trading in non-U.S. markets also leavesGrant Park susceptible to swings in thevalue of the local currency against the U.S.dollar.

• Grant Park pays substantial amounts in feesand expenses that are incurred regardless ofwhether it is profitable. In addition, GrantPark pays each of its trading advisors anincentive fee that is based only on thattrading advisor’s trading profits, whichmeans that Grant Park could pay incentivefees to one or more of its trading advisorseven if Grant Park as a whole is notprofitable.

• You will have no rights to participate in themanagement of Grant Park and will have torely on the fiduciary duty and judgment ofthe general partner to manage Grant Park inthe best interest of the limited partners.

• The structure and operation of Grant Parkinvolves several conflicts of interest. Forexample, DCM Brokers, LLC, an affiliateof Grant Park’s general partner, will serveas Grant Park’s lead selling agent.Additionally, an entity controlled by thegeneral partner’s president occasionallydoes business, which is unrelated to that ofGrant Park, with one of Grant Park’sclearing brokers, MF Global. These and

other conflicts may cause the partiesinvolved to act in a manner that is otherthan in Grant Park’s best interests.

Investment Factors to Consider Before Investingin Grant Park

• Grant Park is an alternative investment fundmanaged by experienced, professionaltrading advisors that trade in a wide rangeof futures and other commodity interestcontracts.

• The trading programs that the tradingadvisors use for Grant Park are comprisedof a variety of proprietary trading strategiesand systems.

• An investment in Grant Park may diversifya traditional securities portfolio. A diverseportfolio consisting of assets that performin an unrelated manner, or non-correlatedassets, may increase overall return andreduce the volatility of a portfolio. As a risktransfer activity, commodity interest tradinghas no inherent correlation with any otherinvestment. However, non-correlation willnot provide any diversification advantagesunless the non-correlated assets areoutperforming other portfolio assets, andthere is no guarantee that Grant Park willoutperform other sectors of an investor’sportfolio or not produce losses. GrantPark’s profitability also depends on thesuccess of the trading advisors’ tradingtechniques. If Grant Park is unprofitable,then it will not increase the return on aninvestor’s portfolio or achieve itsdiversification objectives.

• Investors in Grant Park obtain theadvantage of limited liability in highlyleveraged trading.

The General Partner

Dearborn Capital Management, L.L.C., anIllinois limited liability company, is Grant Park’sgeneral partner and commodity pool operator and hassole authority and responsibility for administeringGrant Park. Along with its managing member andpredecessor as Grant Park’s general partner andcommodity pool operator, Dearborn CapitalManagement, Ltd., the general partner has hadmanagement responsibility for Grant Park since GrantPark’s inception. The general partner is registered asa commodity pool operator and as a commodity

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trading advisor under the Commodity Exchange Actand is a member of the National Futures Association,or NFA.

The office of the general partner is located at555 West Jackson Boulevard, Suite 600, Chicago,Illinois 60661; telephone: (312) 756-4450; facsimile:(312) 756-4452; e-mail: [email protected] general partner’s website address iswww.dearborncapital.com. The information on thiswebsite is not a part of this prospectus. The booksand records of the general partner and Grant Parkwill be kept and made available for inspection at thegeneral partner’s office.

The Trading Advisors

As of December 31, 2008, Grant Park tradedthrough nine independent professional commoditytrading advisors: Rabar Market Research, Inc., EMCCapital Management, Inc., Graham CapitalManagement, L.P., Eckhardt Trading Company, orETC, Winton Capital Management Limited, WeltonInvestment Corporation, Global Advisors L.P.,Transtrend B.V. and Quantitative InvestmentManagement, LLC, or QIM. Effective February 1,2009, Revolution Capital Management, or RCM, wasadded as a trading advisor. Each of the tradingadvisors is registered as a commodity trading advisorunder the Commodity Exchange Act and is a memberof the NFA. The general partner may terminate orreplace any or all of the trading advisors, or addadditional trading advisors, at any time in its solediscretion.

Rabar Market Research, Inc. is located at 10Bank Street, Suite 830, White Plains, New York10606, and its telephone number is (914) 682-8363.EMC Capital Management, Inc. is located at 2201Waukegan Road, Suite West 240, Bannockburn,Illinois 60015, and its telephone number is (847)267-8700. Graham Capital Management, L.P. islocated at Rock Ledge Financial Center, 40 HighlandAvenue, Rowayton, Connecticut 06853, and itstelephone number is (203) 899-3400. ETC is locatedat 1314 North Dearborn Parkway, Carriage House,Chicago, Illinois 60610, and its telephone number is(312) 787-1107. Winton Capital Management islocated at 1 5 St. Mary Abbott’s Place, London, W86LS, United Kingdom, and its telephone number is+44-20-7610-5350. Welton Investment Corporation islocated at the Eastwood Building, San Carlosbetween 5th and 6th, Carmel, California 93921, andits telephone number is (831) 626-5190. GlobalAdvisors L.P.’s offices are located at 19 BerkeleyStreet, Fourth Floor Rear, London, W1J 8ED,

England, and its telephone number is +44-20-7629-1117. The business office of Transtrend B.V. islocated at Weena 723, Unit C5.070, 3013 AMRotterdam, The Netherlands and its telephone numberis +31-10-453-6500. QIM is located at 401 EastMarket Street, Suite 104, Charlottesville, Virginia22902, and its telephone number is (434) 817-4800.RCM is located at 10955 Westmoor Drive, Suite 400,Westminster, Colorado 80021, and its telephonenumber is (303) 379-2867.

The Clearing Brokers

MF Global Inc. (‘‘MF Global’’) acts as aclearing broker for Grant Park in addition to actingas one of Grant Park’s additional selling agents. MFGlobal provides commodity interest brokerage andclearing services to Grant Park. MF Global is not asponsor or general partner of Grant Park, and doesnot act in any supervisory capacity with respect tothe general partner or participate in the managementof either the general partner or Grant Park.Nevertheless, it should be noted that a brokerageentity owned by David M. Kavanagh, who indirectlycontrols and is president of the general partner,receives compensation from MF Global in exchangefor transactions introduced to and cleared throughMF Global. This compensation is unrelated to thetrading activities of Grant Park. MF Global’sprincipal office is located at 717 Fifth Avenue, 9thFloor, New York, New York 10022-8101, and itstelephone number is (212) 589-6200. It is registeredas a futures commission merchant and a commoditypool operator under the Commodity Exchange Actand is a member of the NFA. MF Global also is amember of all major U.S. futures exchanges.

UBS Securities LLC (‘‘UBS Securities’’) acts asa clearing broker for Grant Park. UBS Securities hasnot sponsored or organized Grant Park, and is notresponsible for the activities of the general partner orthe trading advisors. UBS Securities is awholly-owned indirect subsidiary of UBS AG. It isregistered as a futures commission merchant underthe Commodity Exchange Act and is a member ofthe NFA. UBS Securities’ principal office is locatedat 677 Washington Blvd., Stamford, Connecticut06901, and its telephone number is (203) 719-4066.

Newedge USA, LLC (‘‘Newedge USA’’) becameone of Grant Park’s clearing brokers effective July 1,2008 to execute and clear Grant Park’s futurestransactions and provide other brokerage-relatedservices. Newedge Financial Inc. (‘‘NFI’’) is awholly-owned subsidiary of Newedge USA whichmerged into Newedge USA effective September 1,

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2008. Newedge Alternative Strategies, Inc.(‘‘NAST’’) may execute foreign exchange or otherover the counter transactions with Grant Park, asprincipal. Newedge USA and NAST are subsidiariesof Newedge Group. Newedge USA and NAST areheadquartered at 630 Fifth Avenue, Suite 500, NewYork, NY 10111 with branch offices in SanFrancisco, California; Chicago, Illinois; Philadelphia,Pennsylvania; Kansas City, Missouri; and Houston,Texas. Newedge USA is a futures commissionmerchant and broker-dealer registered with the CFTCand the SEC, and is a member of FINRA. NewedgeUSA is a clearing member of all principal futuresexchanges located in the United States as well as amember of the Chicago Board Options Exchange,International Securities Exchange, New York StockExchange, Options Clearing Corporation, andGovernment Securities Clearing Corporation. NASTis an eligible swap participant that is not registered orrequired to be registered with the CFTC or the SEC,and is not a member of any exchange. Prior toJanuary 2, 2008, Newedge USA, LLC was known asFimat USA, LLC, while NAST was known as FimatAlternative Strategies Inc. On September 1, 2008,Newedge USA, LLC merged with futurescommission merchant and broker dealerNFI — formerly known as Calyon Financial, Inc.Newedge USA, LLC was the surviving entity.

The clearing brokers or their affiliates also mayact as dealers through which Grant Park’s forwardcontracts, over-the-counter options contracts, spotcontracts and/or swap contracts will be transacted.The trading advisors also may utilize other dealers inengaging in such transactions, with the generalpartner’s consent.

The general partner may retain additional orsubstitute clearing brokers for Grant Park in its solediscretion.

Fees and Expenses

The following fees and expenses include allcompensation, fees, profits and other benefits that thegeneral partner, the trading advisors, the sellingagents, the clearing brokers, any executing brokersand other dealers used by Grant Park, and theaffiliates of those parties may earn or receive inconnection with the offering of units in, and theoperation of, Grant Park. Please see page E-3 for adefinition of ‘‘net asset value’’ and ‘‘net assets.’’

• Brokerage Charge — The following unitsare assessed monthly brokerage charges:

Legacy 1 Class units pay the generalpartner a brokerage charge equal to0.4167%, a rate of 5.00% annually, ofthe month-end adjusted net assets ofthe Legacy 1 Class units.

Legacy 2 Class units pay the generalpartner a monthly brokerage chargeequal to 0.4375%, a rate of 5.25%annually, of the month-end adjustednet assets of the Legacy 2 Class units.

GAM 1 Class units pay the generalpartner a brokerage charge equal to0.3708%, a rate of 4.45% annually, ofthe month-end adjusted net assets ofthe GAM 1 Class units.

GAM 2 Class units pay the generalpartner a monthly brokerage chargeequal to 0.3917%, a rate of 4.70%annually, of the month-end adjustednet assets of the GAM 2 Class units.

GAM 3 Class units pay the generalpartner a monthly brokerage chargeequal to 0.5375%, a rate of 6.45%annually, of the month-end adjustednet assets of the GAM 3 Class units.

The general partner pays from thebrokerage charge all clearing,execution and give-up, floor brokerage,exchange, and NFA fees, any othertransaction costs, selling agentcompensation, selling agentadministration fees, and consulting feesto the trading advisors. The paymentsto the clearing brokers will be basedupon a specified amount per round-turn for each exchange-tradedcommodity interest transactionexecuted on behalf of Grant Park. Around-turn is both the purchase, orsale, of a commodity interest contractand the subsequent offsetting sale, orpurchase, of the contract. Theall-inclusive payments to the clearingbrokers are expected to be between$5.00 and $10.00 per round-turntransaction. The amounts paid toselling agents, trading advisors orothers may be based upon a specifiedpercentage of net asset value or round-turn transactions of the units. Thebalance of the brokerage charge not

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paid out to other parties shall beretained by the general partner aspayment for its services to Grant Park.

• Dealer Spreads — Grant Park will tradeforeign currency forward contracts andother non-exchange traded commodityinterest contracts. These contracts are tradedamong dealers, which act as principals orcounterparties to each trade. The executioncosts are included in the price of thecontract purchased or sold, and accordingly,these costs to Grant Park cannot bedetermined. However, the general partnerbelieves the bid-ask spreads paid by GrantPark will be competitive with the spreadspaid by other institutional customersgenerally. Any commissions or othertransaction fees that may be incurred byGrant Park in trading forward and othernon-exchange traded contracts, other thanthe associated bid-ask spreads, will be paidby the general partner out of the brokeragecharge.

• Incentive Fees — Grant Park currently payscertain trading advisor a quarterly incentivefee based on any new trading profitsachieved on the trading advisor’s allocatednet assets at the end of each calendarquarter. Generally, new trading profitsmeans the net increase in trading profits,realized and unrealized, experienced by thetrading advisor on its allocated net assetsfrom the most recent prior quarter in whichan incentive fee was paid to the tradingadvisor, or if an incentive fee has yet to bepaid to that trading advisor, the tradingadvisor’s initial allocation of net assets.Currently, with respect to our existing ClassA and Class B units, the incentive feespayable to each of Grant Park’s tradingadvisors that are allocated 10% or more ofthe fund’s assets are as follows: 20% toRabar, 22.5% to EMC, 24% to ETC, 20%to Winton and 20% to Welton. Grant Parkpays incentive fees ranging between 20%and 26% to each of Graham, GlobalAdvisors, Transtrend, RCM and QIM. Withrespect to the offered units, Grant Park willpay the trading advisors the same incentivefees as allocated for the Class A and ClassB units. The method of calculating new

trading profits on the allocated net assets ofeach trading advisor is described in ‘‘FEESAND EXPENSES — Incentive Fees.’’

• Organization and Offering Expenses — Allexpenses incurred in connection with theorganization and ongoing offering of theunits are paid by the general partner andthen reimbursed to the general partner byGrant Park. This reimbursement is mademonthly. Each class of offered units willbear organization and offering expenses atan annual rate of 30 basis points (0.30%) ofthe adjusted net assets of each such class,calculated and payable monthly on the basisof month-end adjusted net assets. ‘‘Adjustednet assets’’ is defined as the month-end netassets of the particular class before accrualsfor fees and expenses and redemptions. Inits discretion, the general partner mayrequire Grant Park to reimburse the generalpartner in any subsequent calendar year foramounts that exceed these limits in anycalendar year, provided that the maximumamount reimbursed by Grant Park will notexceed the overall limit set forth above.Amounts reimbursed by Grant Park withrespect to the ongoing public offeringexpenses are charged against partners’capital at the time of reimbursement oraccrual. Any amounts reimbursed by GrantPark with respect to organization expensesare expensed at the time the reimbursementis incurred or accrued. If Grant Parkterminates prior to completion of paymentof the calculated amounts to the generalpartner, the general partner will not beentitled to any additional payments, andGrant Park will have no further obligationto the general partner.

• Operating Expenses — Grant Park hasborne, and will continue to bear, allongoing operating expenses subject to amaximum charge for such expenses of0.25% of the average net assets of GrantPark per year, including legal, auditing,administration, transfer agent, printing andpostage expenses and the costs andexpenses associated with preparing andfiling required periodic reports with theSEC. To the extent operating expenses areless than 0.25% of Grant Park’s average netassets during the year, the difference maybe reimbursed pro rata to recordholders as

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of December 31 of each year. The generalpartner estimates that the legal and auditfee portion of the operating expensechargeable to Grant Park during 2009 willbe approximately $400,000. Grant Park isalso responsible for any federal, state andlocal taxes payable by it, which amountsare not included in this estimate. Thegeneral partner, not Grant Park, isresponsible for paying any operatingexpenses during any year that exceed0.25% of the average net assets of GrantPark per year.

• Early Redemption Fee — Investors in theoffered units are prohibited from redeemingsuch units for the first three monthsfollowing the subscription for units.Additionally, GAM 3 Class limited partnersthat cause Grant Park to redeem their unitsbefore the one-year anniversary of theirsubscription for units will pay the generalpartner an early redemption fee. The earlyredemption fee with respect to the GAM 3Class units is based on the net asset valueof the redeemed units and will differdepending on when the units are redeemedduring the first year of investment asfollows:

• units redeemed after the third month-end and on or before the sixth month-end after the subscription are subjectto a fee of 1.50% of the net assetvalue of the redeemed units;

• units redeemed after the sixth month-end and on or before the ninth month-end after the subscription are subjectto a fee of 1.0% of the net asset valueof the redeemed units; and

• units redeemed after the ninth month-end and before the one-yearanniversary of the subscription aresubject to a fee of 0.5% of the netasset value of the redeemed units.

Legacy 1 Class, Legacy 2 Class, GAM 1and GAM 2 Class limited partners,generally, and GAM 3 Class limitedpartners causing redemption of their unitson or after the one-year anniversary of theirsubscription for the redeemed GAM 3Class, units do not pay any redemptionfees.

• Extraordinary Expenses — Grant Park isrequired to pay all of its extraordinaryexpenses, such as litigation expenses or IRSaudit expenses, if any.

Breakeven Analysis

The breakeven analysis below indicates theapproximate dollar returns and percentage returnsrequired for the redemption value of a hypothetical$1,000 initial investment in offered units to equal theamount invested 12 months after the investment wasmade. The breakeven analysis for the GAM 3 Classunits shows the amount required to ‘‘break-even’’both with and without an early redemption fee which,for purposes of this analysis, has been averaged toapproximate the effect that payment of an earlyredemption fee will have on a redemption of suchunits during the first year of investment. Thebreakeven analysis is an approximation only.

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Legacy 1 Class Breakeven AnalysisLegacy 1

Class Units

Assumed initial selling price per unit(1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,000.00Trading advisors’ incentive fees(2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2.03Brokerage charge(3) (5.00%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 50.00Operating expenses(4) (0.25%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2.50Offering expenses(5) (0.30%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3.00Interest income(6) (1.80%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (18.00)Amount of trading income required for the redemption value at the end of one year to

equal the initial selling price of the unit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 39.53

Percentage of initial selling price per Legacy 1 Class unit . . . . . . . . . . . . . . . . . . . . . . . 3.95%

(1) The minimum investment required to invest in the Legacy 1 Class units is $10,000. For ease ofcomparability, $1,000 will be deemed to be the assumed selling price per unit of a Legacy 1 Class unit,and, as described below, a Legacy 2 Class unit, a GAM 1 Class unit, a GAM 2 Class unit and a GAM 3Class unit, for purposes of the breakeven analysis.

(2) Reflects incentive fees payable to Graham, EMC, ETC, Rabar, Winton, Welton, Global Advisors,Transtrend, RCM and QIM assuming they manage between 5% and 20% of invested assets and assumingeach of the advisors have equivalent performance returns for the 12-month period. Actual incentive feesare calculated quarterly on the basis of each trading advisor’s individual performance, not the overallperformance of Grant Park or the Legacy 1 Class units. Because incentive fees payable to certain ofthese trading advisors are calculated on the basis of trading profits realized on the assets they manageafter deduction for the allocable portion of only certain expenses charged to Grant Park, these advisorswould receive an incentive fee before Grant Park has recouped all expenses and reaches the‘‘break-even’’ level. Incentive fees payable to certain other of these trading advisors are calculated afterdeduction for the allocable portion of expenses charged to Grant Park. These advisors would not receivean incentive fee before Grant Park has recouped all expenses.

(3) The brokerage charge is paid to the general partner on a monthly basis. Effective the initial closing date,the brokerage charge for the Legacy 1 Class units equals 0.4167% per month, a rate of 5.00% annually,of such units’ month-end adjusted net assets. Out of this amount, the general partner pays all clearing,execution and give-up, floor brokerage, exchange and NFA fees, any other transaction costs, selling agentcompensation, selling agent service fees and consulting fees to the trading advisors. The general partnerretains the balance as payment for its services to Grant Park. Bid-ask spreads on Grant Park’s forwardand other non-exchange traded contracts are not included in this breakeven table due to the difficulty ofdetermining those spreads.

(4) Grant Park is responsible for ongoing operating expenses, up to an amount not to exceed 0.25% ofGrant Park’s average net assets per year. This amount is used for purposes of this breakeven analysis.

(5) Grant Park’s organization and offering expenses are paid by the general partner and then reimbursed tothe general partner by Grant Park. To pay this reimbursement, effective the initial closing date, Legacy 1Class units are assessed at an annual rate of 30 basis points (0.30%) of adjusted net assets, calculated andpayable monthly on the basis of month-end adjusted net assets of the applicable class.

(6) Grant Park earns interest on free cash balances held in its futures trading accounts. Interest is estimatedfor these purposes at a rate of 1.80% per year.

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Legacy 2 Class Breakeven AnalysisLegacy 2

Class Units

Assumed initial selling price per unit(1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,000.00Trading advisors’ incentive fees(2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2.47Brokerage charge(3) (5.25%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 52.50Operating expenses(4) (0.25%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2.50Offering expenses(5) (0.30%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3.00Interest income(6) (1.80%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (18.00)Amount of trading income required for the redemption value at the end of one year to

equal the initial selling price of the unit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 42.47

Percentage of initial selling price per Legacy 2 Class unit . . . . . . . . . . . . . . . . . . . . . . . 4.25%

(1) The minimum investment required to invest in the Legacy 2 Class units is $10,000. For ease ofcomparability, $1,000 will be deemed to be the assumed selling price per unit of a Legacy 2 Class unit,and, as described above, a Legacy 1 Class unit, and, as described below, a GAM 1 Class unit, a GAM 2Class unit and a GAM 3 Class unit, for purposes of the breakeven analysis.

(2) Reflects incentive fees payable to Graham, EMC, ETC, Rabar, Winton, Welton, Global Advisors,Transtrend, RCM and QIM assuming they manage between 5% and 20% of invested assets and assumingeach of the advisors have equivalent performance returns for the 12-month period. Actual incentive feesare calculated quarterly on the basis of each trading advisor’s individual performance, not the overallperformance of Grant Park or the Legacy 2 Class units. Because incentive fees payable to certain ofthese trading advisors are calculated on the basis of trading profits realized on the assets they manageafter deduction for the allocable portion of only certain expenses charged to Grant Park, these advisorswould receive an incentive fee before Grant Park has recouped all expenses and reaches the‘‘break-even’’ level. Incentive fees payable to certain other of these trading advisors are calculated afterdeduction for the allocable portion of expenses charged to Grant Park. These advisors would not receivean incentive fee before Grant Park has recouped all expenses.

(3) The brokerage charge is paid to the general partner on a monthly basis. Effective the initial closing date,the brokerage charge for the Legacy 2 Class units equals 0.4375% per month, a rate of 5.25% annually,of such units’ month-end adjusted net assets. Out of this amount, the general partner pays all clearing,execution and give-up, floor brokerage, exchange and NFA fees, any other transaction costs, selling agentcompensation, selling agent service fees and consulting fees to the trading advisors. The general partnerretains the balance as payment for its services to Grant Park. Bid-ask spreads on Grant Park’s forwardand other non-exchange traded contracts are not included in this breakeven table due to the difficulty ofdetermining those spreads.


(5) Grant Park’s organization and offering expenses are paid by the general partner and then reimbursed tothe general partner by Grant Park. To pay this reimbursement, effective the initial closing date, Legacy 2Class units are assessed at an annual rate of 30 basis points (0.30%) of adjusted net assets, calculated andpayable monthly on the basis of month-end adjusted net assets of the applicable class.


13

GAM 1 Class Breakeven AnalysisGAM 1

Class Units

Assumed initial selling price per unit(1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,000.00Trading advisors’ incentive fees(2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1.11Brokerage charge(3) (4.45%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 44.50Operating expenses(4) (0.25%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2.50Offering expenses(5) (0.30%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3.00Interest income(6) (1.80%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (18.00)Amount of trading income required for the redemption value at the end of one year to

equal the initial selling price of the unit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 33.11

Percentage of initial selling price per GAM 1 Class unit. . . . . . . . . . . . . . . . . . . . . . . . . 3.31%

(1) The minimum investment required to invest in the GAM 1 Class units is $5,000. For ease ofcomparability, $1,000 will be deemed to be the assumed selling price per unit of a GAM 1 Class unit,and, as described above, a Legacy 1 Class unit and a Legacy 2 Class unit, and, as described below, aGAM 2 Class unit and a GAM 3 Class unit, for purposes of the breakeven analysis.

(2) Reflects incentive fees payable to EMC, ETC, Graham, Winton, Transtrend, QIM and RCM assumingthey manage between 5% and 20% of invested assets and assuming each of the advisors have equivalentperformance returns for the 12-month period. Actual incentive fees are calculated quarterly on the basisof each trading advisor’s individual performance, not the overall performance of Grant Park or the GAM1 Class units. Because incentive fees payable to certain of these trading advisors are calculated on thebasis of trading profits realized on the assets they manage after deduction for the allocable portion ofonly certain expenses charged to Grant Park, these advisors would receive an incentive fee before GrantPark has recouped all expenses and reaches the ‘‘break-even’’ level. Incentive fees payable to certainother of these trading advisors are calculated after deduction for the allocable portion of expensescharged to Grant Park. These advisors would not receive an incentive fee before Grant Park has recoupedall expenses.

(3) The brokerage charge is paid to the general partner on a monthly basis. Effective the initial closing date,the brokerage charge for the GAM 1 Class units equals 0.3708% per month, a rate of 4.45% annually, ofsuch units’ month-end adjusted net assets. Out of this amount, the general partner pays all clearing,execution and give-up, floor brokerage, exchange and NFA fees, any other transaction costs, selling agentcompensation, selling agent service fees and consulting fees to the trading advisors. The general partnerretains the balance as payment for its services to Grant Park. Bid-ask spreads on Grant Park’s forwardand other non-exchange traded contracts are not included in this breakeven table due to the difficulty ofdetermining those spreads.


(5) Grant Park’s organization and offering expenses are paid by the general partner and then reimbursed tothe general partner by Grant Park. To pay this reimbursement, effective the initial closing date, GAM 1Class units are assessed at an annual rate of 30 basis points (0.30%) of adjusted net assets, calculated andpayable monthly on the basis of month-end adjusted net assets of the applicable class.


14


Class Units

Assumed initial selling price per unit(1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,000.00Trading advisors’ incentive fees(2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1.54Brokerage charge(3) (4.70%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 47.00Operating expenses(4) (0.25%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2.50Offering expenses(5) (0.30%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3.00Interest income(6) (1.80%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (18.00)Amount of trading income required for the redemption value at the end of one year to

equal the initial selling price of the unit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 36.04

Percentage of initial selling price per GAM 2 Class unit. . . . . . . . . . . . . . . . . . . . . . . . . 3.60%

(1) The minimum investment required to invest in the GAM 2 Class units is $5,000. For ease ofcomparability, $1,000 will be deemed to be the assumed selling price per unit of a GAM 2 Class unit,and, as described above, a Legacy 1 Class unit, a Legacy 2 Class unit and a GAM 1 Class unit, and, asdescribed below, a GAM 3 Class unit, for purposes of the breakeven analysis.


(3) The brokerage charge is paid to the general partner on a monthly basis. Effective the initial closing date,the brokerage charge for the GAM 2 Class units equals 0.3917% per month, a rate of 4.70% annually, ofsuch units’ month-end adjusted net assets. Out of this amount, the general partner pays all clearing,execution and give-up, floor brokerage, exchange and NFA fees, any other transaction costs, selling agentcompensation, selling agent service fees and consulting fees to the trading advisors. The general partnerretains the balance as payment for its services to Grant Park. Bid-ask spreads on Grant Park’s forwardand other non-exchange traded contracts are not included in this breakeven table due to the difficulty ofdetermining those spreads.


(5) Grant Park’s organization and offering expenses are paid by the general partner and then reimbursed tothe general partner by Grant Park. To pay this reimbursement, effective the initial closing date, GAM 2Class units are assessed at an annual rate of 30 basis points (0.30%) of adjusted net assets, calculated andpayable monthly on the basis of month-end adjusted net assets of the applicable class.


15


Class Units

Assumed initial selling price per unit(1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,000.00Trading advisors’ incentive fees(2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5.24Brokerage charge(3) (6.45%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 64.50Operating expenses(4) (0.25%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2.50Offering expenses(5) (0.30%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3.00Interest income(6) (1.80%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (18.00)Amount of trading income required for the redemption value at the end of one year to

equal the initial selling price of the unit, without early redemption fee . . . . . . . . . . . . . . $ 57.24Percentage of initial selling price per unit, without early redemption fee. . . . . . . . . . . . . . . 5.72%Early redemption fee(7) (1.00%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 10.00Amount of trading income required for the redemption value at the end of one year to

equal the initial selling price per GAM 3 Class unit, with average early redemption fee . . $ 67.24

Percentage of initial selling price per GAM 3 Class unit, with average early redemptionfee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.72%

(1) The minimum investment in the GAM 3 Class units is $5,000. However, for ease of comparability,$1,000 will be deemed to be the assumed selling price per unit of a GAM 3 Class unit, and, as describedabove, a Legacy 1 Class unit, a Legacy 2 Class unit, a GAM 1 Class unit and a GAM 2 Class unit, forpurposes of the breakeven analysis.


(3) The brokerage charge is paid to the general partner on a monthly basis. Effective the initial closing date,the brokerage charge for the GAM 3 Class units will equal 0.5375% per month, a rate of 6.45% annually,of such units’ month-end adjusted net assets. Out of this amount, the general partner pays all clearing,execution and give-up, floor brokerage, exchange and NFA fees, any other transaction costs, selling agentcompensation, selling agent service fees and consulting fees to the trading advisors. The general partnerretains the balance as payment for its services to Grant Park. Bid-ask spreads on Grant Park’s forwardand other non-exchange traded contracts are not included in this breakeven table due to the difficulty ofdetermining those spreads.


(5) Grant Park’s organization and offering expenses are paid by the general partner and then reimbursed tothe general partner by Grant Park. To pay this reimbursement, GAM 3 Class units will be assessed at anannual rate of 30 basis points (0.30%) of adjusted net assets, calculated and payable monthly on the basisof month-end adjusted net assets of the applicable class.


(7) GAM 3 Class limited partners are prohibited from redeeming such units for three months following thesubscription for units. Thereafter, GAM 3 Class limited partners causing redemption of their units on orbefore the one-year anniversary of their subscription for the redeemed units will pay an early redemptionfee of 1.5%, 1.0% or 0.5% of the net asset value of the redeemed units, depending on when the units areredeemed during the first year. For purposes of this breakeven analysis, the early redemption fee has beenpresented as an average of the three different early redemption fees to approximate the effect a paymentof an early redemption fee would have on a redemption of GAM 3 Class units at a undetermined pointduring the first year of investment. Because the early redemption fee has been averaged and the otherfees and expenses shown assume an investment in Grant Park for one year, the breakeven analysis doesnot reflect the actual amount required to ‘‘break-even’’ for GAM 3 Class units that are redeemed prior tothe one-year anniversary of the investment, which will vary depending on the date of redemption.

16

Transfers, Redemptions and Distributions

You may transfer your units subject toconditions described in the limited partnershipagreement, which is attached to this prospectus asAppendix A; however, no secondary market for theunits exists or is likely to develop. You may causeGrant Park to redeem your units at the net assetvalue per applicable unit as of the last business dayof each month with at least 10 days advance writtennotice to the general partner, or at an earlier date ifrequired by your selling agent. The offered units maynot be redeemed until after the third-month end afterthe subscription for the redeemed units. GAM 3Class units redeemed after the three month lock-upperiod, but on or before the one-year anniversary ofthe subscription are subject to a fee of up to 1.50%of the net asset value of the redeemed units. Thereare no redemption fees applicable to Legacy 1 Class,Legacy 2 Class, GAM 1 Class and GAM 2 Classlimited partners or to GAM 3 Class limited partnerswho cause Grant Park to redeem their units on orafter the one-year anniversary of their subscriptionfor the redeemed units. The general partner does notintend to make any distributions of Grant Park’sassets.

Federal Income Tax Aspects

Grant Park has received an opinion of counsel tothe effect that Grant Park will be treated as apartnership and not as an association or publiclytraded partnership taxable as a corporation for federalincome tax purposes, so long as Grant Park haspreviously satisfied and currently satisfies an annualgross income test, which the general partneranticipates that Grant Park will satisfy, and isorganized and operated in accordance with its

governing agreements and applicable law.Accordingly, as a partner in a partnership, whether ornot Grant Park makes any distributions to you, youwill be required to report your share of income, gain,loss and deduction of Grant Park and will beindividually liable for federal and state income tax onthat share. The gain or loss on Grant Park’sinvestment in commodity interest contracts,depending on the contracts traded, will constitute amixture of ordinary income or loss and capital gainor loss. Trading losses of Grant Park, which willgenerally constitute capital losses, may only be usedby non-corporate taxpayers to offset a limited amountof the ordinary income allocated to you, and thedeductibility of Grant Park expenses may be subjectto specified limitations.

Reports to Limited Partners

Grant Park will furnish limited partners withannual reports as required by the rules andregulations of the SEC as well as with those reportsrequired by the Commodity Futures TradingCommission, or CFTC, and the NFA, including, butnot limited to, a certified annual report containingfinancial statements audited by Grant Park’sindependent accountants and monthly statementssetting forth the value of your units and otherinformation relating to Grant Park’s performance. Nolater than March 15th of each year, limited partnerswill be provided with appropriate informationnecessary to file their United States federal and stateincome tax return on a timely basis.

Glossary

The meanings of certain commodity interestindustry terms used in this prospectus are provided inthe glossary set forth as Appendix E.

17

Organizational Chart

The organizational chart below illustrates the relationship among the various service providers forGrant Park.

Grant Park Futures Fund, L.P.Classes

Grant Park Futures FundClasses The Selling Agents

–DCM Brokers Ltd.(Lead)–Addition Broker-

The Selling Agents– DCM Brokers, LLC (Lead)– Additional Broker-Dealers act as additional selling agents

Over-the--

iates- Bank of America, NA.

Over-the-Counter Counterparties

– Bank of America, NA.

Cle

arin

g an

d O

TC A

gree

men

ts w

ith e

ach

Trad

ing

Com

pany

GP 1, LLC *

GP 3, LLC *

GP 4, LLC *

GP 5, LLC *

GP 6, LLC *

GP 7, LLC *

GP 8, LLC *

GP 9, LLC *

GP 10, LLC *

Selling

Agreements

Investorbuys units

$

GP Cash Management, LPGP Cash Management, LLCC

lear

ing

and

OTC

Agr

eem

ents

with

eac

h Tr

adin

g C

ompa

ny

A # B # Legacy 1 A # B # Legacy 2 GAMGAM 1GAM 2GAM 3

Allo

catio

n to

Tra

ding

Adv

isor

s

Allo

catio

n to

Tra

ding

Adv

isor

s

Dearborn Capital Management, L.L.C.

General Partner

The Clearing Brokers– MF Global Inc.– UBS Securities LLC– Newedge USA, LLC

– The Clearing Brokers and their Affiliates

GP 11, LLC *

Notes:

# Classes A and B are closed to new investment. These classes will no longer be offered by the SellingAgents.

* Grant Park invests through an individual Trading Company for each Trading Advisor. An AdvisoryAgreement is entered by the Trading Company, Grant Park and Dearborn Capital Management, L.L.C., asgeneral partner.

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RISK FACTORS

You should carefully consider the risks anduncertainties described below, as well as all of theother information included in the prospectus, beforeyou decide whether to purchase any units. Any of thefollowing risks and uncertainties could materiallyadversely affect Grant Park, its trading activities,operating results, financial condition and net assetvalue and therefore could negatively impact the valueof your investment. You should not invest in the unitsunless you can afford to lose all of your investment.

Market Risks

The commodity interest markets in which GrantPark trades are highly volatile, which could causesubstantial losses to Grant Park and may cause youto lose your entire investment.

Commodity interest contracts are highly volatileand are subject to occasional rapid and substantialfluctuations. Consequently, you could lose all orsubstantially all of your investment in Grant Parkshould Grant Park’s trading positions suddenly turnunprofitable. The profitability of Grant Park dependsprimarily on the ability of Grant Park’s tradingadvisors to predict these fluctuations accurately. Pricemovements for commodity interests are influencedby, among other things:

• changes in interest rates;

• governmental, agricultural, trade, fiscal,monetary and exchange control programsand policies;

• weather and climate conditions;

• changing supply and demand relationships;

• changes in balances of payments and trade;

• U.S. and international rates of inflation;

• currency devaluations and revaluations;

• U.S. and international political andeconomic events; and

• changes in philosophies and emotions ofmarket participants.

The trading advisors’ technical trading methodsmay not take account of these factors except as theymay be reflected in the technical input data analyzedby the trading advisors.

In addition, governments from time to timeintervene, directly and by regulation, in certainmarkets, often with the intent to influence pricesdirectly. The effects of governmental intervention

may be particularly significant at certain times in thefinancial instrument and currency markets, and thisintervention may cause these markets to moverapidly.

Options are volatile and inherently leveraged, andsharp movements in prices could cause Grant Parkto incur large losses.

Grant Park may use options on futures contracts,forward contracts or on commodities to generatepremium income or speculative gains. Optionsinvolve risks similar to futures, because options aresubject to sudden price movements and are highlyleveraged, in that payment of a relatively smallpurchase price, called a premium, gives the buyer theright to acquire an underlying futures contract,forward contract or commodity that has a face valuesubstantially greater than the premium paid. Thebuyer of an option risks losing the entire purchaseprice of the option. The writer, or seller, of an optionrisks losing the difference between the purchase pricereceived for the option and the price of the futurescontract, forward contract or commodity underlyingthe option that the writer must purchase or deliverupon exercise of the option. There is no limit on thepotential loss. Specific market movements of thefutures contracts, forward contracts or commoditiesunderlying an option cannot accurately be predicted.In addition, over-the-counter options present risks inaddition to those associated with exchange-tradedoptions, as discussed immediately below.

Over-the-counter transactions are subject to little, ifany, regulation and may be subject to the risk ofcounterparty default.

A portion of Grant Park’s assets may be used totrade over-the-counter commodity interest contracts,such as forward contracts, option contracts in foreigncurrencies and other commodities or spot contracts.Over-the-counter contracts are typically traded on aprincipal-to-principal basis through dealer marketsthat are dominated by major money center andinvestment banks and other institutions and areessentially unregulated by the CFTC. You thereforedo not receive the protection of CFTC regulation orthe statutory scheme of the Commodity ExchangeAct in connection with this trading activity by GrantPark. The markets for over-the-counter contracts relyupon the integrity of market participants in lieu ofthe additional regulation imposed by the CFTC onparticipants in the futures markets. The lack ofregulation in these markets could expose Grant Park

19

in certain circumstances to significant losses in theevent of trading abuses or financial failure byparticipants.

Grant Park also faces the risk ofnon-performance by the counterparties to the over-the-counter contracts. Unlike in futures contracts, thecounterparty to these contracts is generally a singlebank or other financial institution, rather than aclearing organization backed by a group of financialinstitutions. As a result, there will be greatercounterparty credit risk in these transactions.Counterparty risk has recently intensified asevidenced by the recent failure of Bear Stearns,bankruptcy of Lehman Brothers Holdings and theongoing disruptions in the credit markets. Theclearing member, clearing organization or othercounterparty may not be able to meet its obligationsto Grant Park, in which case Grant Park could suffersignificant losses on these contracts.

Historically, the only over-the-countertransactions in which Grant Park has invested are inthe forward, option and spot foreign currencymarkets. Grant Park’s investment in these transactionshistorically has ranged from approximately 0% to20% of its assets. It is anticipated, however, that asassets allocated to the trading advisors increase, thepercentage invested in the over-the-counter foreigncurrency markets may also increase.

Exchange-for-physicals, forward and optiontransactions are over-the-counter, are not regulatedand are subject to credit risk.

Grant Park’s trading advisors may, from time totime, trade exchange-for-physical, forward and optioncontracts in foreign currencies, metals and energy.Such contracts are typically traded over-the-counterthrough a dealer market, which is dominated bymajor money center and investment banks, and is notregulated by the CFTC. Thus, you do not receive theprotection of CFTC regulation or the statutoryscheme of the Commodity Exchange Act inconnection with this trading activity on behalf ofGrant Park. The market for exchange-for-physical,forward and option contracts relies upon the integrityof market participants in lieu of the additionalregulation imposed by the CFTC on participants inthe futures markets. This regulation includes, forexample, trading practices and other customerprotection requirements, and minimum financial andtrade reporting requirements. The absence ofregulation on this type of trading could expose GrantPark to significant losses in the event of tradingabuses or financial failure by participants in the

forward and option markets which it might otherwisehave avoided if its trading advisor did not trade theseinstruments. Also, Grant Park faces the risk of non-performance by its counterparties to forward andoption contracts, and such non-performance maycause some or all of its gains to remain unrealized.

Certain of Grant Park’s investments could beilliquid.

Grant Park may not always be able to liquidateits commodity interest positions at the desired price.It is difficult to execute a trade at a specific pricewhen there is a relatively small volume of buy andsell orders in a market. A market disruption, such asa foreign government taking political actions thatdisrupt the market in its currency or in a majorexport, can also make it difficult to liquidate aposition. Alternatively, limits imposed by futuresexchanges or other regulatory organizations, such asspeculative position limits and daily price fluctuationlimits, may contribute to a lack of liquidity withrespect to some commodity interests.

Unexpected market illiquidity may cause majorlosses to investors at any time or from time to time.The large face value of the positions that the tradingadvisors will acquire for Grant Park increases the riskof illiquidity by both making its positions moredifficult to liquidate at favorable prices and increasingthe losses incurred while trying to do so.

The units are subject to restrictions on redemptionand transfer.

There is not likely to be a secondary market forthe units. While the units have redemption rights,there are restrictions. For example, investors in theoffered units are prohibited from redeeming suchunits for three months following the subscription forunits. GAM 3 Class units that are redeemed after thethree-month lock period, but before the one-yearanniversary of the subscription for the units will besubject to an early redemption fee of up to 1.5% ofthe net asset value at which such units are redeemed.Additionally, redemptions can occur only monthly.Transfers of units are permitted only with the priorwritten consent of the general partner and providedthat conditions specified in the limited partnershipagreement are satisfied.

An investment in Grant Park may not diversify anoverall portfolio.

Historically, managed futures have beengenerally non-correlated to the performance of otherasset classes such as stocks and bonds.Non-correlation means that there is no statistically

20

valid relationship between the performance of futuresand other commodity interest transactions, on the onehand, and stocks or bonds, on the other hand. Non-correlation should not be confused with negativecorrelation, where the performance of two assetclasses would be opposite of each other. Because ofthis non-correlation, Grant Park cannot be expectedto be automatically profitable during unfavorableperiods for the stock market, or vice versa. If,however, during a particular period of time, GrantPark’s performance moves in the same generaldirection as the general financial markets or GrantPark does not perform successfully, you will obtainlittle or no diversification benefits during that periodfrom an investment in the units. In such a case, GrantPark may have no gains to offset your losses fromother investments, and you may suffer losses on yourinvestment in Grant Park at the same time losses onyour other investments are increasing. This was thecase, for example, during the first quarter of 1994,when Grant Park yielded a loss of approximately3.66% while the Standard & Poor’s 500 Indexyielded a loss of approximately 3.79%. You shouldtherefore not consider Grant Park to be a hedgeagainst losses in your core stock and bond portfolios.

Trading in international markets exposes GrantPark to credit and regulatory risk.

A substantial portion of Grant Park’s trades havein the past and are expected in the future to continueto take place on markets or exchanges outside theUnited States. There is no limit to the amount ofGrant Park assets that may be committed to tradingon non-U.S. markets, and historically, as much asapproximately 30% to 60% of Grant Park’s overallmarket exposure has involved positions taken on non-U.S. markets. The risk of loss in trading non-U.S.futures and options on futures contracts can besubstantial. Participation in non-U.S. futures andoptions on futures contracts involves the executionand clearing of trades on, or subject to the rules of, aforeign board of trade or exchange. Some of thesenon-U.S. markets, in contrast to U.S. exchanges, areso-called principals’ markets in which performance isthe responsibility only of the individual counterpartywith whom the trader has entered into a commodityinterest transaction and not of the exchange orclearing corporation. In these kinds of markets, GrantPark will be subject to the risk of bankruptcy orother failure or refusal to perform by thecounterparty.

Some non-U.S. markets present additional risk,because they are not subject to the same degree ofregulation as their U.S. counterparts. None of the

CFTC, NFA or any domestic exchange regulatesactivities of any foreign boards of trade or exchanges,including the execution, delivery and clearing oftransactions, nor has the power to compelenforcement of the rules of a foreign board of tradeor exchange or of any applicable non-U.S. laws.Similarly, the rights of market participants, such asGrant Park, in the event of the insolvency orbankruptcy of a non-U.S. market or broker are alsolikely to be more limited than in the case of U.S.markets or brokers. As a result, in these markets,Grant Park has less legal and regulatory protectionthan it does when it trades domestically.

Additionally, trading on non-U.S. exchanges issubject to the risks presented by exchange controls,expropriation, increased tax burdens and exposure tolocal economic declines and political instability. Anadverse development with respect to any of thesevariables could reduce the profit or increase the lossearned on trades in the affected international markets.

Grant Park’s international trading activities subjectit to foreign exchange risk.

The price of any non-U.S. futures, options onfutures or other commodity interest contract and,therefore, the potential profit and loss on suchcontract, may be affected by any variance in theforeign exchange rate between the time the order isplaced and the time it is liquidated, offset orexercised. As a result, changes in the value of thelocal currency relative to the U.S. dollar may causelosses to Grant Park even if the contract traded isprofitable.

Grant Park’s international trading may expose it tolosses resulting from non-U.S. exchanges that areless developed or less reliable than U.S. exchanges.

Some non-U.S. exchanges also may be in amore developmental stage so that prior price historiesmay not be indicative of current price dynamics. Inaddition, Grant Park may not have the same access tocertain positions on foreign trading exchanges as dolocal traders, and the historical market data on whichthe trading advisors base their strategies may not beas reliable or accessible as it is in the United States.

Trading in commodity interests is a zero sumeconomic activity, unlike stocks and bonds.

Trading in commodity interests is a zero-sumeconomic activity in which for every gain there is anequal and offsetting loss, disregarding transactioncosts. This distinguishes it from a typical stock orbond investment, where there is an expectation of, inthe case of bonds, constant yields, or, in the case of

21

equity, participation over time in general economicgrowth. Grant Park may incur major losses whilestock and bond prices rise substantially in aprospering economy.

Trading Risks

Grant Park will be highly leveraged, which meansthat sharp declines in price could lead to largelosses.

Because the amount of margin funds necessaryto be deposited with a clearing broker to enter into afutures or forward contract position is typically about2% to 10% of the total value of the contract, thegeneral partner can hold positions in Grant Park’saccount with face values equal to several times GrantPark’s net assets. The ratio of margin to equity istypically 8% to 15%, but can range from 5% to 33%.As a result of this leveraging, even a smallmovement in the price of a contract can cause majorlosses. Any purchase or sale of a futures or forwardcontract may result in losses that substantially exceedthe amount invested in the contract. For example, if$2,200 in margin is required to hold one U.S.Treasury bond futures contract with a face value of$100,000, a $2,200 decrease in the value of thatcontract could, if the contract is then closed out,result in a complete loss of the margin deposit, noteven taking into account deductions of fees and/orcommissions. Severe short-term price declines could,therefore, force the liquidation of open positions withlarge losses.

There are disadvantages to making tradingdecisions based on technical analysis.

The trading advisors base their trading decisionsprimarily on trading strategies that use mathematicalanalyses of technical factors relating to past marketperformance. The buy and sell signals generated by atechnical, trend-following trading strategy are derivedfrom a study of actual daily, weekly and monthlyprice fluctuations, volume variations and changes inopen interest in the markets. The profitability of anytechnical, trend-following trading strategy dependsupon the occurrence in the future of significant,sustained price moves in some of the markets traded.A danger for trend-following traders is whip-sawmarkets, that is, markets in which a potential pricetrend may start to develop but reverses before anactual trend is realized. A pattern of false starts maygenerate repeated entry and exit signals in technicalsystems, resulting in unprofitable transactions. In thepast, there have been prolonged periods withoutsustained price moves. Presumably these periods willcontinue to occur. Periods without sustained price

moves may produce substantial losses fortrend-following trading strategies. Further, any factorthat may lessen the prospect of these types of movesin the future, such as increased governmental controlof, or participation in, the relevant markets, mayreduce the prospect that any trend-following tradingstrategy will be profitable in the future.

The risk management approaches of one or all ofthe trading advisors may not be fully effective.

The mechanisms employed by each tradingadvisor to monitor and manage the risks associatedwith its trading activities on behalf of Grant Parkmay not succeed in mitigating all identified risks. Forexample, even if a trading advisor utilizespredetermined stop-loss levels for a position as partof its risk management approach, such stop-lossorders may not necessarily limit losses, since theybecome market orders upon execution. As a result,the order may not be executed at the stop-loss price,resulting in a loss in excess of the loss that wouldhave been incurred if the order had been executed atthe stop-loss price. Even if a trading advisor’s riskmanagement approaches are fully effective, it cannotanticipate all risks that it may face. To the extent oneor more of the trading advisors fails to identify andadequately monitor and manage all of the risksassociated with its trading activities, Grant Park maysuffer losses.

Increased competition from other systematic andtechnical trading systems could reduce the tradingadvisors’ profitability.

There has been a dramatic increase over the pastquarter century in the amount of assets managed bysystematic and technical trading systems like that ofthe trading advisors. Assets in managed futures, forexample, have grown from approximately $300million in 1980 to over $206 billion in December2008. This means increased trading competitionamong a larger number of market participants fortransactions at favorable prices, which could operateto the detriment of Grant Park by preventing GrantPark from affecting transactions at its desired price. Itmay become more difficult for Grant Park toimplement its trading strategy if other commoditytrading advisors using technical systems are, at thesame time, also attempting to initiate or liquidatecommodity interest positions at the same time asGrant Park.

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Speculative position limits and daily pricefluctuation limits may alter trading decisions forGrant Park.

The CFTC and U.S. exchanges have establishedlimits, known as speculative position limits, on themaximum net long or net short positions that anyperson may hold or control in certain futures andoptions on futures contracts. Most exchanges alsoimpose limits, known as daily limits, on the amountof fluctuation in certain futures and options onfutures contracts in a single trading day. All accountscontrolled by a particular trading advisor arecombined for speculative position limit purposes. Ifpositions in those accounts were to approach thelevel of the particular speculative position limit, or ifprices were to approach the level of the daily limit,these limits could cause a modification of theparticular trading advisor’s trading decisions or forceliquidation of certain futures or options on futurespositions. If one or more of Grant Park’s tradingadvisors must take either of these actions, Grant Parkmay be required to forego profitable trades orstrategies.

Increases in assets under management of any of thetrading advisors may affect trading decisions.

In general, none of the trading advisors intendsto limit the amount of additional equity of Grant Parkthat it may manage, and each will continue to seekmajor new accounts. The more equity a tradingadvisor manages, the more difficult it may be for it totrade profitably because of the difficulty of tradinglarger positions without adversely affecting prices andperformance and of managing risk associated withlarger positions. Accordingly, future increases inequity under management may require a tradingadvisor to modify its trading decisions for Grant Parkor may cause the general partner to add additionaltrading advisors, either of which could have adetrimental effect on your investment.

The use of multiple trading advisors may result inoffsetting or opposing trading positions and mayalso require one trading advisor to fund the marginrequirements of another trading advisor.

The use of multiple trading advisors may resultin developments or positions that adversely affectGrant Park’s net asset value. For example, becausethe trading advisors will be acting independently,Grant Park could buy and sell the same futurescontract, thereby incurring additional expenses butwith no net change in its holdings. The tradingadvisors also may compete, from time to time, forthe same trades or other transactions, increasing the

cost to Grant Park of making trades or transactions orcausing some of them to be foregone altogether. And,even though each trading advisor’s marginrequirements ordinarily will be met from that tradingadvisor’s allocated net assets, one trading advisormay incur losses of such magnitude that Grant Parkis unable to meet margin calls from the allocated netassets of that trading advisor. In this event, GrantPark’s clearing brokers may require liquidations andcontributions from the allocated net assets of anothertrading advisor.

The trading advisors’ trading programs bear somesimilarities and, therefore, may lessen the benefitsof having multiple trading advisors.

Some of the trading advisors initially receivedtheir trading experience under the guidance of thesame individual. However, each trading advisor has,over time, developed and modified the program itwill use for Grant Park. Nevertheless, the tradingadvisors’ trading programs have some similarities.These similarities may, in fact, mitigate the positiveeffect of having multiple trading advisors. Forexample, in periods where one trading advisorexperiences a draw-down, it is possible that thesesimilarities will cause the other trading advisors toalso experience a draw-down.

Grant Park’s positions may be concentrated fromtime to time, which may render Grant Parksusceptible to larger losses than if Grant Park weremore diversified.

One or more of the trading advisors may fromtime to time cause Grant Park to hold a few,relatively large positions in relation to its assets.Consequently, a loss in any such position could resultin a proportionately greater loss to Grant Park than ifGrant Park’s assets had been spread among a widernumber of instruments.

Trend following and pattern recognition can berisky.

Grant Park is a multiple-manager fund whichemploys several trading advisors, all employingproprietary, systematic trend following and patternrecognition systems in various forms. Grant Park’strading advisors aim to exploit the tendency ofmarkets to either trend or exhibit repeated patternsover time through the use of their proprietarysystematic trading systems. These systems are strictlyadhered to in all market scenarios. Since trendfollowing is a reactive trading strategy rather than apredictive one, positions are entered into or exitedfrom in reaction to price movement; there is no

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prediction of future price. Pattern recognition looks topredict price movement based on historic repeatableprice patterns. If the trend or patterns are notconfirmed, the position will be exited on a stop.However, if the trend or patterns are confirmed,positions may be increased depending on themomentum of the trend. Trends or patterns are notgenerally discovered until they are well establishedand not exited from until they are over. Because wedo not know which markets will trend or when thetrend will begin or whether patterns will reoccur, themechanisms are there to identify and capture thedeveloping trends or patterns as they occur. It is thiswillingness to allow a trend or pattern to run itscourse and eventually reverse that can lead to gainsin any particular market.

Operating Risks

Past performance is not necessarily indicative offuture performance.

You should not rely for predictive purposes onthe record to date of Grant Park, the general partneror any of the trading advisors. This is particularly sobecause Grant Park’s fee and expense structure waschanged in certain respects to accommodate thepublic offering of units, and Grant Park’s fees andexpenses impact Grant Park’s net performance.Likewise, you should not assume that any tradingadvisor’s future trading decisions will create profit,avoid substantial losses or result in performancecomparable to that trading advisor’s pastperformance. Trading advisors may alter theirstrategies from time to time, and their performanceresults in the future may materially differ from theirprior trading records. Moreover, the technical analysisemployed by the trading advisors may not take intoaccount the effect of economic or market forces orevents that may cause losses to Grant Park.Furthermore, the general partner, in its discretion,may terminate any of the trading advisors or changethe allocation of assets among the trading advisors,which could cause a substantial change in GrantPark’s future performance.

Grant Park pays substantial fees and expensesregardless of profitability.

Grant Park pays brokerage charges, organizationand offering expenses, ongoing operating expensesand over-the-counter dealer spreads, in all casesregardless of whether Grant Park’s activities areprofitable. In addition, Grant Park pays certaintrading advisors an incentive fee based on apercentage of Grant Park’s trading profits earned onGrant Park’s net assets allocated to that trading

advisor. It is possible that Grant Park could paysubstantial incentive fees to one or more tradingadvisors in a year in which Grant Park has no nettrading profits or in which it actually loses money.Accordingly, Grant Park must earn trading gainssufficient to compensate for these fees and expensesbefore it can earn any profit.

Grant Park may incur higher fees and expensesupon renewing existing or entering into newcontractual relationships.

The clearing arrangements between the clearingbrokers and Grant Park generally are terminable bythe clearing brokers once the clearing broker hasgiven Grant Park notice. Upon termination, thegeneral partner may be required to renegotiate ormake other arrangements for obtaining similarservices if Grant Park intends to continue trading incommodity interest contracts at its present level ofcapacity. The services of MF Global, Newedge USA,UBS Securities or an additional or substitute clearingbroker may not be available, or even if available,these services may not be available on terms asfavorable as those of the expired or terminatedclearing arrangements.

Likewise, upon termination of any of theadvisory contracts entered into between Grant Parkand each trading advisor, the general partner may berequired to renegotiate the contracts or make otherarrangements for obtaining commodity tradingadvisory services. The services of the particulartrading advisor may not be available, or theseservices may not be available on terms as favorableas those contained in the expired or terminatedadvisory contract. There is severe competition for theservices of qualified commodity trading advisors, andthe general partner may not be able to retainreplacement or additional trading advisors onacceptable terms. This could result in losses to GrantPark and/or the inability of Grant Park to achieve itsinvestment objectives. Moreover, if an advisorycontract is renegotiated or additional or substitutetrading advisors are retained by the general partneron behalf of Grant Park, the fee structures of the newor additional arrangements may not be as favorableto Grant Park as are those currently in place.

The incentive fees could be an incentive to thetrading advisors to make riskier investments.

Each trading advisor employs a speculativestrategy for Grant Park and certain trading advisorsreceive incentive fees based on the trading profitsearned by it for Grant Park. Accordingly, thesetrading advisors have a financial incentive to make

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investments that are riskier than might be made ifGrant Park’s assets were managed by a tradingadvisor that did not receive performance-basedcompensation.

You will not participate in the management of GrantPark.

You will only have limited voting rights withrespect to Grant Park’s affairs, which rights will notpermit you to participate in the management orcontrol of Grant Park or the conduct of its business.You must therefore rely upon the fiduciaryresponsibility and judgment of the general partner tomanage Grant Park’s affairs in the best interests ofthe limited partners.

An unanticipated number of redemption requestsduring a short period of time could have an adverseeffect on the net asset value of Grant Park.

If a substantial number of requests forredemption are received by Grant Park during arelatively short period of time, Grant Park may notbe able to satisfy the requests from funds notcommitted to trading. As a consequence, it could benecessary to liquidate positions in Grant Park’strading positions before the time that the tradingadvisors’ trading strategies would dictate liquidation.If this were to occur, it could affect adversely the netasset value per unit of each class, not only for limitedpartners redeeming units but also for nonredeeminglimited partners.

Conflicts of interest exist in the structure andoperation of Grant Park.

Mr. Kavanagh, who indirectly controls and ispresident of the general partner, has a conflict ofinterest with Grant Park, because an entity controlledby him occasionally receives from MF Global, one ofGrant Park’s clearing brokers and additional sellingagents, compensation for trades introduced to andcleared through MF Global. He therefore may have adisincentive to cause the general partner to terminateor replace MF Global even if such replacement is inGrant Park’s best interest.

MF Global and an affiliate of one of GrantPark’s other clearing broker, UBS Securities, alsoserve as Grant Park’s selling agents, so the generalpartner may be inclined not to replace or terminateMF Global or UBS Securities as clearing broker if itbelieves that this will adversely affect MF Global’s orUBS’ efforts as selling agent. MF Global’s and UBS’dual roles may also give rise to a conflict in that as aselling agent it may have a disincentive to advisepotential investors against investing in Grant Park or

to advise existing investors to cause Grant Park toredeem their units, in either case in the best interestsof the investors, because to do so would reduce GrantPark’s assets and in turn the compensation paid toMF Global and UBS Securities as clearing broker.

The general partner, the trading advisors andtheir respective principals, all of which are engagedin other investment activities, are not required todevote substantially all of their time to Grant Park’sbusiness, which also presents the potential fornumerous conflicts of interest with Grant Park. In thecase of the trading advisors, for example, it ispossible that other accounts managed by the tradingadvisor or its affiliates may compete with Grant Parkfor the same or similar trading positions, which maycause Grant Park to obtain prices that are lessfavorable than those obtained for the other accounts.The trading advisors may also take positions in theirproprietary accounts that are opposite to or ahead ofGrant Park’s account. Trading ahead presents aconflict because the trade executed first may receivea more favorable price than the later trade.

As a result of these and other relationships,parties involved with Grant Park have a financialincentive to act in a manner other than in the bestinterests of Grant Park and its limited partners. Thegeneral partner has not established, and has no plansto establish, any formal procedures to resolve theseand other conflicts of interest. Consequently, there isno independent control over how the general partnerwill resolve these conflicts on which investors canrely in ensuring that Grant Park is treated equitably.

The failure or bankruptcy of one of its clearingbrokers could result in a substantial loss of GrantPark’s assets.

Under CFTC regulations, a clearing brokermaintains customers’ assets in a bulk segregatedaccount. If a clearing broker fails to do so, or isunable to satisfy a substantial deficit in a customeraccount, its other customers may be subject to risk ofloss of their funds in the event of that clearingbroker’s bankruptcy. In that event, the clearingbroker’s customers, such as Grant Park, are entitledto recover, even in respect of property specificallytraceable to them, only a proportional share of allproperty available for distribution to all of thatclearing broker’s customers. Grant Park also may besubject to the risk of the failure of, or delay inperformance by, any exchanges and markets and theirclearing organizations, if any, on which commodityinterest contracts are traded.

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From time to time, the clearing brokers may besubject to legal or regulatory proceedings in theordinary course of their business. A clearing broker’sinvolvement in costly or time-consuming legalproceedings may divert financial resources orpersonnel away from the clearing broker’s tradingoperations, which could impair the clearing broker’sability to successfully execute and clear Grant Park’strades. Material legal proceedings involving theclearing brokers within the last five years aresummarized on pages 87 through 91.

You will not be able to review Grant Park’s holdingson a daily basis.

The trading advisors make Grant Park’s tradingdecisions. While the trading advisors receive dailytrade confirmations from the clearing brokers of eachtransaction entered into by Grant Park, Grant Park’strading results are only reported to investors monthlyin summary fashion. Accordingly, an investment inGrant Park does not offer investors the sametransparency that a personal trading account offers.

Grant Park could terminate before you achieve yourinvestment objective.

The general partner may, in its sole discretion,terminate Grant Park at any time, regardless ofwhether Grant Park has incurred losses, withoutgiving you prior notice. In particular, unforeseencircumstances, including substantial losses,withdrawal of Grant Park’s general partner orsuspension or revocation of the general partner’s orany of trading advisors’ respective registrations withthe CFTC or memberships in the NFA could causeGrant Park to terminate before its stated terminationdate of December 31, 2027. However, no level oflosses will require the general partner to terminateGrant Park. Grant Park’s termination would cause theliquidation and potential loss of your investment andcould upset the overall maturity and timing of yourinvestment portfolio.

Grant Park is not a regulated investment company.

Grant Park is not an investment companysubject to the Investment Company Act of 1940.Accordingly, you do not have the protections affordedby that statute which, for example, requiresinvestment companies to have a majority ofdisinterested directors and regulates the relationshipbetween the investment company and its investmentmanager.

The general partner relies heavily on its keypersonnel to manage Grant Park’s trading activities.

In managing and directing the day-to-dayactivities and affairs of Grant Park, the generalpartner relies heavily on Mr. Kavanagh, PatrickMeehan, the general partner’s chief operating officer,and Maureen O’Rourke, the general partner’s chieffinancial officer. In the event of the loss of theservices of any of these persons, or if any of theseindividuals is unable to carry out his or her presentresponsibilities, it may have an adverse effect on themanagement of Grant Park.

The general partner places significant reliance onthe trading advisors and their key personnel.

The general partner relies on the tradingadvisors to achieve trading gains for Grant Park,entrusting each of them with the responsibility for,and discretion over, the investment of their allocatedportions of Grant Park’s assets. The trading advisors,in turn, are dependent on the services of a limitednumber of persons to develop and refine their tradingapproaches and strategies and execute Grant Park’stransactions. The loss of the services of any tradingadvisor’s principals or key employees, or the failureof those principals or key employees to functioneffectively as a team, may have an adverse effect onthat trading advisor’s ability to manage its tradingactivities successfully or may cause the tradingadvisor to cease operations entirely, either of which,in turn, could negatively impact Grant Park’sperformance. Each of Grant Park’s trading advisors iscontrolled, directly or indirectly, by singleindividuals, or, in the case of Transtrend, of which100% of the voting interest is owned by RobecoNederland B.V., by its managing directors. Theseindividuals, Paul Rabar at Rabar, Elizabeth Cheval atEMC, William Eckhardt at ETC, Kenneth Tropin atGraham, David Winton Harding at Winton, PatrickWelton at Welton, Russell Newton at GlobalAdvisors, Johannes P.A. van den Broek and HaroldM. De Boer at Transtrend, Jaffrey Woodriff, MichaelGeismar and Ryan Vaughan at QIM and MichaelMundt, Mark Chapin and Theodore Robert Olson atRCM have major roles in developing, refining andimplementing each of their trading advisor’s tradingstrategies and operating its business. The death,incapacity or other prolonged unavailability of suchindividuals likely would greatly hinder these tradingadvisors’ operations, and could result in their ceasingoperations entirely, which could adversely affect thevalue of your investment in Grant Park.

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The general partner may terminate, replace and/oradd trading advisors in its sole discretion.

The general partner may terminate, substitute orretain trading advisors on behalf of Grant Park in itssole discretion. The addition of a new trading advisorand/or the removal of one or more of the currenttrading advisors may cause disruptions in GrantPark’s trading as assets are reallocated and newtrading advisors transition over to Grant Park, whichmay have an adverse effect on the net asset value ofGrant Park.

The general partner’s allocation of the assets ofeach class of Grant Park among trading advisorsmay result in less than optimal performance byGrant Park.

The general partner may reallocate assets amongthe trading advisors upon termination of a tradingadvisor or retention of a new trading advisor or at thecommencement of any month. Consequently, the netassets of Grant Park may be apportioned among thetrading advisors in a different manner than thecurrent apportionment. The general partner’sallocation of assets will directly affect theprofitability of Grant Park’s trading, possibly in anadverse manner. For example, a trading advisor mayexperience a high rate of return but may be managingonly a small percentage of Grant Park’s net assets. Inthis case, the trading advisor’s performance couldhave a minimal effect on the net asset value of GrantPark.

Third parties may infringe or otherwise violate atrading advisor’s intellectual property rights orassert that a trading advisor has infringed orotherwise violated their intellectual property rights,which may result in significant costs and divertedattention.

Third parties may obtain and use a tradingadvisor’s intellectual property or technology,including its trading program software, withoutpermission. Any unauthorized use of a tradingadvisor’s proprietary software and other technologycould adversely affect its competitive advantage.Proprietary software and other technology arebecoming increasingly easy to duplicate, particularlyas employees with proprietary knowledge leave theowner or licensed user of that software or othertechnology. Each trading advisor may have difficultymonitoring unauthorized uses of its proprietarysoftware and other technology. The precautions it hastaken may not prevent misappropriation orinfringement of its proprietary software and othertechnology. Also, third parties may independently

develop proprietary software and other technologysimilar to that of a trading advisor or claim that thetrading advisor has violated their intellectual propertyrights, including their copyrights, trademark rights,trade names, trade secrets and patent rights. As aresult, a trading advisor may have to litigate in thefuture to protect its trade secrets, determine thevalidity and scope of other parties’ proprietary rights,defend itself against claims that it has infringed orotherwise violated other parties’ rights, or defenditself against claims that its rights are invalid. Anylitigation of this type, even if the trading advisor issuccessful and regardless of the merits, may result insignificant costs, divert its resources from Grant Park,or require it to change its proprietary software andother technology or enter into royalty or licensingagreements.

The success of Grant Park depends on the ability ofeach of the trading advisors’ personnel to accuratelyimplement their trading systems, and any failure todo so could subject Grant Park to losses on suchtransactions.

The trading advisors’ computerized tradingsystems rely on the trading advisors’ personnel toaccurately process the systems’ outputs and executethe transactions called for by the systems. Inaddition, each trading advisor relies on its staff toproperly operate and maintain its computer andcommunications systems upon which the tradingsystems rely. Execution and operation of each tradingadvisor’s systems is therefore subject to humanerrors. Any failure, inaccuracy or delay inimplementing any of the trading advisors’ systemsand executing Grant Park’s transactions could impairits ability to identify profit opportunities and benefitfrom them. It could also result in decisions toundertake transactions based on inaccurate orincomplete information. This could cause substantiallosses on transactions.

Grant Park may experience substantial losses ontransactions if a trading advisor’s computer orcommunications systems fail.

Each trading advisor’s trading activities,including its risk management, depends on theintegrity and performance of the computer andcommunications systems supporting it. Extraordinarytransaction volume, hardware or software failure,power or telecommunications failure, a naturaldisaster or other catastrophe could cause any tradingadvisor’s computer systems to operate at anunacceptably slow speed or even fail. Any significantdegradation or failure of the systems that a trading

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advisor uses to gather and analyze information, enterorders, process data, monitor risk levels andotherwise engage in trading activities may result insubstantial losses on transactions, liability to otherparties, lost profit opportunities, damages to thetrading advisors’, the general partner’s and GrantPark’s reputations, increased operational expenses anddiversion of technical resources.

If a trading advisor, or third parties on which atrading advisor depends, fail to upgrade computerand communications systems, Grant Park’s financialcondition could be harmed.

The development of complex communicationsand new technologies may render the existingcomputer and communication systems supporting thetrading advisors’ trading activities obsolete. Inaddition, these computer and communicationssystems must be compatible with those of thirdparties, such as the systems of exchanges, clearingbrokers and the executing brokers used by the tradingadvisors. As a result, if these third parties upgradetheir systems, the trading advisors will need to makecorresponding upgrades to continue effectively itstrading activities. Grant Park’s future success willdepend on each trading advisor’s and third parties’ability to respond to changing technologies on atimely and cost-effective basis.

Each trading advisor depends on the reliableperformance of the computer or communicationssystems of third parties, such as brokers and futuresexchanges, and may experience substantial losseson transactions if they fail.

Each trading advisor depends on the proper andtimely function of complex computer andcommunications systems maintained and operated bythe futures exchanges, brokers and other dataproviders that the trading advisor uses to conduct itstrading activities. Failure or inadequate performanceof any of these systems could adversely affect thetrading advisor’s ability to complete transactions,including its ability to close out positions, and resultin lost profit opportunities and significant losses oncommodity interest transactions. This could have amaterial adverse effect on revenues and materiallyreduce Grant Park’s available capital. For example,unavailability of price quotations from third partiesmay make it difficult or impossible for a tradingadvisor to use its proprietary software that it reliesupon to conduct its trading activities. Unavailabilityof records from brokerage firms can make it difficultor impossible for the trading advisor to accuratelydetermine which transactions have been executed or

the details, including price and time, of anytransaction executed. This unavailability ofinformation also may make it difficult or impossiblefor the trading advisor to reconcile its records oftransactions with those of another party or toaccomplish settlement of executed transactions.

The occurrence of a terrorist attack, or theoutbreak, continuation or expansion of war or otherhostilities could disrupt Grant Park’s trading activityand materially affect Grant Park’s profitability.

The operations of the general partner, the tradingadvisors, Grant Park, the exchanges, brokers andcounterparties with which the general partner, thetrading advisors and Grant Park do business, and themarkets in which the general partner, the tradingadvisors and Grant Park do business could beseverely disrupted in the event of a major terroristattack or the outbreak, continuation or expansion ofwar or other hostilities. The aftermath of the war andcontinuing reconstruction process in Iraq, global anti-terrorism initiatives and political unrest in the MiddleEast and Southeast Asia continue to fuel this concern.

If any of the trading advisors are unable to attractand retain qualified employees, its ability to conducttrading activities may be adversely affected.

Grant Park’s future success and growth dependson each trading advisor’s ability to attract and retainemployees that fit into its culture. There is intensecompetition for the limited pool of qualifiedpersonnel that meets these criteria. If any of thetrading advisors are unable to attract and retainqualified personnel, its ability to successfully executeits trading strategies may be diminished.

Regulation of the commodity interest markets isextensive and constantly changing; futureregulatory developments are impossible to predict,but may significantly and adversely affect GrantPark.

The futures, options on futures and securityfutures markets are subject to comprehensive statutes,regulations and margin requirements. Recentlegislation has created a new multi-tiered structure ofexchanges in the United States subject to varyingdegrees of regulation, and rules and interpretationsregarding various aspects of this new regulatorystructure have only recently been proposed orfinalized. Traditional futures exchanges, which arenow called designated contract markets, are nowsubject to more streamlined and flexible coreprinciples rather than the prior statutory andregulatory mandates. However, with respect to these

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traditional futures exchanges, the CFTC and theexchanges are authorized to take extraordinaryactions in the event of a market emergency,including, for example, the retroactiveimplementation of speculative position limits orhigher margin requirements, the establishment ofdaily limits and the suspension of trading.

The regulation of commodity interesttransactions in the United States is a rapidly changingarea of law and is subject to ongoing modification bygovernment and judicial action. In addition, variousnational governments have expressed concernregarding the disruptive effects of speculative tradingin the currency markets and the need to regulate thederivatives markets in general. There is a possibilityof future regulatory changes altering, perhaps to amaterial extent, the nature of an investment in GrantPark or the ability of the trading advisors to continueto implement their respective investment strategies.The effect of any future regulatory change on GrantPark is impossible to predict, but could be substantialand adverse.

Tax Risks

Your tax liability may exceed your cashdistributions.

Cash is distributed to limited partners at the solediscretion of the general partner, and the generalpartner does not currently intend to distribute cash tolimited partners. Limited partners nevertheless will besubject to federal income tax on their share of GrantPark’s net income and gain each year, regardless ofwhether they redeem any units or receive any cashdistributions from Grant Park.

You could owe taxes on your share of Grant Park’sordinary income despite overall losses.

Gain or loss on domestic futures and options onfutures as well as on most foreign currency contractswill generally be taxed as capital gains or losses forU.S. federal income tax purposes. Interest incomeand other ordinary income earned by Grant Parkgenerally cannot be offset by capital losses.Consequently, you could owe taxes on your allocableshare of Grant Park’s ordinary income for a calendaryear even if Grant Park reports a net trading loss forthat year. Also, your ability to deduct particularoperating expenses of Grant Park, such as tradingadvisor consulting fees, may be subject to limitationsfor purposes of calculating your federal and/or stateand local income tax liability.

Partnership treatment is not assured.

Grant Park has received an opinion of counsel tothe effect that, under current U.S. federal income taxlaw, Grant Park will be treated as a partnership forU.S. federal income tax purposes, provided that (a) atleast 90% of Grant Park’s annual gross income haspreviously consisted of and currently consists of‘‘qualifying income’’ as defined in the InternalRevenue Code and (b) Grant Park is organized andoperated in accordance with its governing agreementsand applicable law. The general partner believes it islikely, but not certain, that Grant Park will continueto meet the income test. An opinion of counsel issubject to any changes in applicable tax laws and isnot binding on the Internal Revenue Service or thecourts.

If Grant Park were to be treated as anassociation or publicly traded partnership taxable as acorporation instead of as a partnership for U.S.federal income tax purposes, (1) its net income wouldbe taxed at corporate income tax rates, therebysubstantially reducing its profitability, (2) you wouldnot be allowed to deduct your share of losses ofGrant Park and (3) distributions to you, other thanliquidating distributions, would constitute dividendsto the extent of Grant Park’s current or accumulatedearnings and profits, and would be taxable as such.

There is the possibility of a tax audit.

We cannot assure you that Grant Park’s taxreturns will not be audited by a taxing authority orthat an audit will not result in adjustments to GrantPark’s returns. Any adjustments resulting from anaudit may require each limited partner to file anamended tax return and to pay additional taxes plusinterest, which generally is not deductible, and mightresult in an audit of the limited partner’s own return.Any audit of a limited partner’s return could result inadjustments of non-Grant Park, as well as GrantPark, income and deductions.

Non-U.S. investors may face exchange rate risk andlocal tax consequences.

Non-U.S. investors should note that the units aredenominated in U.S. dollars and that changes in therates of exchange between currencies may cause thevalue of their investment to decrease. Non-U.S.investors should consult their own tax advisorsconcerning the applicable U.S. and foreign taximplications of this investment.

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CAUTIONARY NOTE REGARDINGFORWARD-LOOKING STATEMENTS

This prospectus includes forward-lookingstatements that reflect the general partner’s currentexpectations about the future results, performance,prospects and opportunities of Grant Park. Thegeneral partner has tried to identify these forward-looking statements by using words such as ‘‘may,’’‘‘will,’’ ‘‘expect,’’ ‘‘anticipate,’’ ‘‘believe,’’ ‘‘intend,’’‘‘should,’’ ‘‘estimate’’ or the negative of those termsor similar expressions. These forward-lookingstatements are based on information currentlyavailable to the general partner and are subject to anumber of risks, uncertainties and other factors, bothknown, such as those described in ‘‘RISK

FACTORS’’ and elsewhere in this prospectus, andunknown, that could cause Grant Park’s actualresults, performance, prospects or opportunities todiffer materially from those expressed in, or impliedby, these forward-looking statements.

You should not place undue reliance on anyforward-looking statements. Except as expresslyrequired by the federal securities laws, the generalpartner undertakes no obligation to publicly update orrevise any forward-looking statements or the risks,uncertainties or other factors described in thisprospectus, as a result of new information, futureevents or changed circumstances or for any otherreason after the date of this prospectus.

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SELECTED FINANCIAL DATA

The selected financial information for the years ended December 31, 2008, 2007, 2006, 2005 and 2004has been derived from the financial statements of Grant Park audited by McGladrey & Pullen, LLP, GrantPark’s independent registered public accountant.

You should read this information in conjunction with ‘‘MANAGEMENT’S DISCUSSION ANDANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS’’ and our financial statementsand the related notes included elsewhere in this prospectus. Results from past periods are not necessarilyindicative of results that may be expected for any future period.

For the Year Ended December 31,

2008 2007 2006 2005 2004

Total assets . . . . . . . . . . . . . . . . . . . . . . . . . $684,995,026 $467,212,443 $407,930,032 $307,245,733 $304,631,802Total partners’ capital . . . . . . . . . . . . . . . . . . . 643,595,209 455,685,796 382,252,995 289,897,819 289,654,031Net gains from trading . . . . . . . . . . . . . . . . . . . 127,520,875 57,385,145 37,071,404 2,673,678 1,219,593Income allocated from Dearborn Select Master Fund,

SPC − Winton Segregated Portfolio . . . . . . . . . . 16,714,939 9,417,448 — — —Interest income . . . . . . . . . . . . . . . . . . . . . . . 12,681,834 17,475,172 16,093,168 8,436,400 3,005,585Total expenses . . . . . . . . . . . . . . . . . . . . . . . 60,900,881 33,855,319 26,850,877 21,466,551 17,933,626Net income (loss) . . . . . . . . . . . . . . . . . . . . . . 96,016,767 50,422,446 26,313,695 (10,356,473) (13,708,448)Net income (loss) per General Partner & Class A Unit

Limited Partner* . . . . . . . . . . . . . . . . . . . . . 263.77 148.80 98.75 (36.11) (88.44)Net income (loss) per Class B Unit Limited Partner* . 223.70 125.29 82.71 (35.34) (81.15)Increase (decrease) in net asset value per General

Partner & Class A Unit Limited Partner . . . . . . . 260.73 146.87 97.03 (37.96) (90.50)Increase (decrease) in net asset value per Class B Unit

Limited Partner . . . . . . . . . . . . . . . . . . . . . 215.79 120.26 78.14 (41.89) (90.42)

* Grant Park converted its ‘‘Interests’’ to units effective April 1, 2003, with all existing Limited Partners atthat date converting to Class A Units. The financial results are presented on a unitized basis from thatdate. Class B Units began trading on August 1, 2003. The financial results are based on weighted averagenumber of units outstanding during the period.

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SUPPLEMENTARY FINANCIAL INFORMATION

The following summarized quarterly financial information presents Grant Park’s results of operations forthe three month periods ended March 31, June 30, September 30, and December 31, 2008 and 2007.

1st Quarter2008

2nd Quarter2008

3rd Quarter2008

4th Quarter2008

(Unaudited) (Unaudited) (Unaudited) (Unaudited)

Net Gains from trading . . . . . . . . . . . $57,815,049 $33,745,709 $(19,860,656) $55,820,773Net income (loss) . . . . . . . . . . . . . . 53,627,759 27,202,378 (35,815,585) 51,002,215Net income (loss) per General Partner

& Class A Unit Limited Partner** . 153.78 75.39 (93.39) 128.01Net income (loss) per Class B Unit

Limited Partner** . . . . . . . . . . . . . 132.70 64.11 (82.55) 109.43Increase (decrease) in net asset value

per General Partner & Class A UnitLimited Partner . . . . . . . . . . . . . . 153.03 74.62 (94.13) 127.21

Increase (decrease) in net asset valueper Class B Unit Limited Partner . . 130.79 62.10 (84.47) 107.37

Net asset value per General & Class AUnit Limited Partner . . . . . . . . . . . 1,462.50 1,537.12 1,442.99 1,570.20

Net asset value per Class B UnitLimited Partner . . . . . . . . . . . . . . 1,273.47 1,335.57 1,251.10 1,358.47

1st Quarter2007

2nd Quarter2007

3rd Quarter2007

4th Quarter2007

(Unaudited) (Unaudited) (Unaudited) (Unaudited)

Gains (losses) from trading . . . . . . . . $(28,430,628) $58,327,905 $3,815,508 $23,672,360Net income (loss) . . . . . . . . . . . . . . (30,157,708) 54,515,284 3,664,029 22,400,841Net income (loss) per General Partner

& Class A Unit Limited Partner ** . (85.38) 158.30 11.00 64.88Net income (loss) per Class B Unit

Limited Partner ** . . . . . . . . . . . . (76.10) 137.65 8.37 55.39Increase (decrease) in net asset value

per General Partner & Class A UnitLimited Partner . . . . . . . . . . . . . . (85.97) 157.69 10.39 64.76

Increase (decrease) in net asset valueper Class B Unit Limited Partner . . (77.62) 136.06 6.77 55.05

Net asset value per General Partner &Class A Unit Limited Partner . . . . . 1,076.63 1,234.32 1,244.71 1,309.47

Net asset value per Class B UnitLimited Partner . . . . . . . . . . . . . . 944.80 1,080.86 1,087.63 1,142.68

** Based on weighted average number of units outstanding during the period.

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GRANT PARK

Grant Park is organized to pool assets ofinvestors for the purpose of trading in the U.S. andinternational markets for currencies, interest rates,stock indices, agricultural and energy products,precious and base metals and other commodities. Intrading on these markets, Grant Park may employfutures and forward contracts, security futurescontracts, options contracts and other interests incommodities. Grant Park is a multi-advisor pool thatinvests the assets of each class of the fund in varioustrading companies, each of which allocate thoseassets to one of the independent professionalcommodity trading advisors retained by the generalpartner. Grant Park’s general partner, commodity pooloperator and sponsor is Dearborn CapitalManagement, L.L.C., an Illinois limited liabilitycompany. The managing member of Dearborn CapitalManagement, L.L.C. is Dearborn CapitalManagement, Ltd., an Illinois corporation whose soleshareholder is David M. Kavanagh.

Grant Park has been trading continuously sinceJanuary 1989 and, as of December 31, 2008, had anet asset value of approximately $643.6 million andapproximately 17,341 limited partners. Since itsinception and through February 28, 2003, Grant Parkoffered its beneficial interests exclusively to qualifiedinvestors on a private placement basis. EffectiveJune 30, 2003, Grant Park began offering units forsale to the public.

Grant Park’s main office is located at 555 WestJackson Boulevard, Suite 600, Chicago, Illinois60661, and its telephone number is (312) 756-4450.

THE GENERAL PARTNER

Background

Dearborn Capital Management, L.L.C., anIllinois limited liability company, is Grant Park’sgeneral partner, commodity pool operator andsponsor. Along with its managing member andpredecessor as general partner and commodity pooloperator, Dearborn Capital Management Ltd., thegeneral partner has had management responsibilityfor Grant Park since its inception. The generalpartner has been registered as a commodity pooloperator and a commodity trading advisor under theCommodity Exchange Act and has been a member ofthe NFA since December 1995. Dearborn CapitalManagement Ltd., which served as Grant Park’sgeneral partner, commodity pool operator andsponsor from 1989 through 1995, was registered as acommodity pool operator between August 1988 and

March 1996 and as a commodity trading advisorbetween September 1991 and March 1996, anintroducing broker between January 1991 andMarch 1996 and January 1997 and December 1998and was a member of the NFA between August 1988and March 1996 and January 1997 andDecember 1998.

General management responsibility for GrantPark is vested solely in the general partner under thelimited partnership agreement. The general partnerhas full responsibility for this offering, the selection,monitoring and replacement of the trading advisors,the ongoing operation of Grant Park, the preparationand mailing of monthly and annual reports, the filingwith the SEC, CFTC and other regulatory or self-regulatory authorities of all required reports, thepreparation of all Grant Park and limited partner taxinformation, the handling of redemption requests, theinvestment of Grant Park’s funds not committed totrading in U.S. government obligations or bankdepositories and the admission of additional limitedpartners. The general partner utilizes the services ofthird parties to assist in the provision of some ofthese services.

The general partner also is the general partner ofthe Dearborn Select Fund L.P. and the investmentadvisor of the Dearborn Alternative Investment FundSeries 2, a Channel Islands company, and theinvestment manager of the Dearborn Select MasterFund, SPC, a Cayman Islands company. TheDearborn Alternative Investment Fund Series 2 is amulti-manager private investment fund pursuingvarious trading and arbitrage opportunities and isopen for investment only to qualified non-U.S.investors. Dearborn Select is a private investmentfund organized as a segregated portfolio companywith limited liability incorporated under the laws ofthe Cayman Islands on April 7, 2006.

Dearborn Capital Management Ltd. and CentumPrata Holdings, Inc., a Delaware corporation, own thegeneral partner. David Kavanagh is the soleshareholder of Dearborn Capital Management Ltd.and, indirectly through his ownership of DearbornCapital Management Ltd., which is the managingmember of the general partner, has a majority andcontrolling interest in the general partner.

There have been no material administrative, civilor criminal actions within the past five years againstthe general partner or its principals and no suchactions currently are pending.

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The limited partnership agreement requires thegeneral partner to own units in Grant Park in anamount at least equal to the greater of (1) 1% of theaggregate capital contributions of all limited partnersor (2) $25,000, during any time that units in GrantPark are publicly offered for sale.

The past performance record of Grant Park’sClass A and Class B units is found on pages 61 and62.

Principals of the General Partner

The principals of the general partner areDearborn Capital Management Ltd., Centum PrataHoldings, Inc., David M. Kavanagh, Patrick Meehan,Maureen O’Rourke and Abdullah Mohammed AlRayes. Only the officers of the general partner, Mr.Kavanagh, Mr. Meehan and Ms. O’Rourke, havemanagement responsibility and control over thegeneral partner.

David M. Kavanagh, president of the generalpartner, 53, has been responsible for overseeing alloperations and activities of the general partner sinceits formation. Commencing in October 1998, Mr.Kavanagh also became president, a principal and anassociated person of Dearborn Capital Brokers Ltd.,an independent introducing broker and commoditypool operator. It became registered as an independentintroducing broker in October 1998 and as a CPO inSeptember 1999. From 1983 to 2005, Mr. Kavanaghwas a member in good standing of the ChicagoBoard of Trade. Between March 1983 andOctober 1998, Mr. Kavanagh served as aninstitutional salesman in the financial futures area onbehalf of Refco, a futures commission merchant, andConti Commodity Services, Inc., a futurescommission merchant, which was acquired by Refcoin 1984. His clients included large hedge funds andfinancial institutions. Since October 1998, Mr.Kavanagh has from time to time continued toperform introducing brokerage services for MFGlobal Inc., formerly known as Man Financial, Inc.,a futures commission merchant, through DearbornCapital Brokers. Neither Dearborn Capital Brokersnor Mr. Kavanagh provide brokerage services toGrant Park’s trading account. Mr. Kavanaugh alsoserves as the president of DCM Brokers, LLC, whichserves as Grant Park’s lead selling agent. In the past,from time to time Mr. Kavanagh has providedbrokerage services to Financial ConsortiumInternational LLC, a registered introducing broker,commodity pool operator and broker-dealer, sinceOctober 1999. In 1980, Mr. Kavanagh received anMBA from the University of Notre Dame, and in

1978, graduated with a B.S. in businessadministration from John Carroll University.

Patrick J. Meehan, chief operating officer of thegeneral partner, 53, is primarily responsible for theday to day operations of Dearborn. Mr. Meehanbecame listed as a principal of Dearborn effectiveJanuary 2009. Prior to joining the general partner inApril 2008, Mr. Meehan was a member of the seniorexecutive team at Houghton Mifflin Company inBoston, MA, beginning in March 1999. Hisassignments focused on leading technology andoperational organizations and included a three yearassignment as the President of the business unit thatwas the largest provider of professional testing andlicensure services to State Regulatory Agencies in theUnited States. He also served as the ChiefInformation/Technology Officer of the company forthree years, responsible for directing an annualtechnology portfolio in excess of $100 million. Mr.Meehan began his career as a commissioned officerin the United States Marine Corps, retiring from theReserves after 20 years in the grade of LieutenantColonel. He received an AB degree from JohnCarroll University, an MBA from Webster Universityand holds Series 22, 31, and 63 licenses.

Maureen O’Rourke, chief financial officer of thegeneral partner, 43, is responsible for financialreporting and compliance issues. Ms. O’Rourkebecame listed as a principal and registered as anassociated person of Dearborn effectiveSeptember 2003. Prior to joining the general partnerin May 2003, Ms. O’Rourke was employed asassistant vice president at MetLife Investors LifeInsurance Company from 1992 to September 2001.Before that, Ms. O’Rourke was employed as a seniortax accountant at KPMG LLP (formerly KPMG PeatMarwick LLP) from 1987 to 1991. Ms. O’Rourkealso serves as the chief financial officer of DCMBrokers, LLC, which serves as Grant Park’s leadselling agent. Ms. O’Rourke is a certified publicaccountant. She received a B.B.A. in accounting fromthe University of Notre Dame in 1987 and received aMasters of Science in Taxation from DePaulUniversity in 1996.

Miscellaneous

The general partner shall have fiduciaryresponsibility for the safekeeping and use of all fundsand assets of Grant Park, whether or not in itsimmediate possession or control, and the generalpartner shall not employ, or permit another to employsuch funds or assets in any manner except for theexclusive benefit of Grant Park.

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THE TRADING ADVISORS

The general partner has retained Rabar MarketResearch, Inc., EMC Capital Management, Inc.,Eckhardt Trading Company, or ETC, Graham CapitalManagement, L.P., Global Advisors L.P., TranstrendB.V., Quantitative Investment Management LLC, or

QIM, Revolution Capital Management LLC, or RCM,Winton Capital Management Limited and WeltonInvestment Corporation as Grant Park’s tradingadvisors. The table below illustrates the tradingadvisors for each class of Grant Park’s outstandinglimited partnership units:

Rabar EMC ETC GrahamGlobal

Advisors Transtrend QIM RCM Winton Welton

Class A . . . . . . . . . . X X X X X X X X X XClass B . . . . . . . . . . X X X X X X X X X XLegacy 1 . . . . . . . . . X X X X X X X X X XLegacy 2 . . . . . . . . . X X X X X X X X X XGAM 1 . . . . . . . . . . X X X X X X XGAM 2 . . . . . . . . . . X X X X X X XGAM 3 . . . . . . . . . . X X X X X X X

The trading advisors and their respective assetallocations with respect to the Legacy 1 Class andthe Legacy 2 Class units are the same as with respectto our existing Class A and Class B units. As ofMarch 1, 2009, the general partner allocated GrantPark’s net assets among the trading advisors withrespect to our existing Class A and Class B units asfollows: Rabar, EMC, ETC, Winton and Weltonmanaged between 10% to 20% of Grant Park’s netassets and Graham, Global Advisors, Trandstrend,RCM and QIM were allocated less than 10% ofGrant Park’s net assets to manage. The tradingadvisors for the Legacy 1 Class and Legacy 2 Classunits will pursue a technical trend trading philosophy,which is the same trading philosophy the tradingadvisors have historically used for the existing ClassA and Class B units.

For the GAM 1 Class, GAM 2 Class and GAM3 Class units, the general partner anticipates thatbetween 10% and 20% of Grant Park’s assets will beallocated to each of EMC, ETC, Graham, Transtrend,QIM, RCM and Winton. The trading advisors for theGAM 1 Class, GAM 2 Class and GAM 3 Class unitswill pursue technical trend trading philosophies, aswell as pattern recognition philosophies focused onrelatively shorter timeframes than the Legacy 1 Classand Legacy 2 Class units.

The general partner may, in its sole discretion,reallocate assets among the trading advisors upontermination of a trading advisor or retention of anynew trading advisors, or at the commencement of anymonth. Consequently, the current apportionment forall classes of units is subject to change.

Rabar and EMC have been trading on behalf ofGrant Park since January 1989 and ETC has beentrading on behalf of Grant Park since April 1998.Graham began trading for Grant Park onSeptember 1, 2003 and Winton began trading forGrant Park on August 1, 2004. Welton began tradingfor Grant Park on March 1, 2006. Global Advisorsand Transtrend each began trading for the fund onJuly 1, 2008, QIM began trading for the fund onOctober 1, 2008 and RCM began trading for the fundon February 1, 2009.

The advisory contracts authorize the generalpartner to reallocate assets among the tradingadvisors monthly as it determines in its solediscretion upon 10 days’ prior written notice to theaffected trading advisors. However, no reallocation ofassets will be made to a trading advisor if the tradingadvisor determines that the amount of the reallocatedassets, together with other assets that are alreadyunder the trading advisor’s management or which,pursuant to firm written commitments, will be placedunder the trading advisor’s discretion, would exceedthe total amount of funds the trading advisor couldmanage without detriment to the accounts it manages.

Because the advisory contracts also provide forreallocation upon termination of a trading advisor’sadvisory contract, it is possible that, during the termsof the advisory contracts, the percentage of assetsmanaged by the trading advisors may vary, perhapssubstantially, from the current allocations. Theadvisory contracts are generally for a term of oneyear and are generally automatically renewable forsuccessive one-year terms until terminated or in thecase of Transtrend, in force until terminated by eitherparty. The advisory contracts generally provide that

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either party may terminate the advisory contract atany time for any or no reason upon no less than 60days’ written notice, or, in the case of Transtrend,may be terminated at any time with at least onebusiness day prior written notice. The advisorycontracts also generally provide that either party mayterminate the advisory contract immediately uponwritten notice of the occurrence of enumerated eventsincluding the withdrawal of the general partner, thesuspension, revocation or withdrawal of either party’sCFTC registration or NFA membership or a materialbreach of the advisory contract by a trading advisor.

From time to time, the general partner allocatesfunds in excess of actual funds, referred to asnotional funds, to one or more of the tradingadvisors. Because of the leverage available from theuse of notional funds, performance of a notionallyfunded account expressed as a percentage of nominalaccount size, which is the sum of notional funds andactual funds, will be different than the performanceof the account expressed as a percentage of actualfunds only. The rates of return on the actual fundsallocated to the trading advisors who have beenallocated notional funds by the general partner willbe a higher percentage amount, both positive in thecase of gains and negative in the case of losses, thanif the trading advisor had been allocated actual fundsonly. The general partner also may ‘‘de-leverage’’ atrading advisor by allocating more of Grant Park’sassets to it than is necessary to maintain theportfolio’s positions. The general partner may payconsulting fees with respect to notional fundsallocated to the trading advisors. Incentive fees onlyare paid to a trading advisor if the trading advisorhas new trading profits on its allocated net assets,which includes any notional funds and actual funds.

No trading advisor has authority orresponsibility for the selection of any clearing brokerfor Grant Park or for negotiating the terms, includingthe commission rates, upon which a clearing brokeror brokers are engaged. For ease of administration,however, the trading advisors have discretion todirect all or a portion of their trades on behalf ofGrant Park to one or more executing brokers or floorbrokers of their choice for execution with instructionto give-up the executed trade to the clearing broker,which will clear and settle the trade and carry theresulting position in Grant Park’s account. Thetrading advisors also may from time to time executeGrant Park’s over-the-counter options, forward andspot contracts with dealers other than the clearingbrokers or their affiliates, but only with the priorwritten consent of the general partner.

The trading advisors and their principals maycurrently, or may in the future, trade for their ownaccounts and/or invest in other commodity pools forwhich they serve as advisor. In doing so, thesetrading advisors and/or principals may make tradesthat are different from, opposite to or similar to,trades entered into by Grant Park and they may evenbe the other party to a trade entered into by GrantPark. Investors should note that any orders for otheraccounts might not be part of a block order but mightbe placed before or after orders for Grant Park, andmight or might not obtain more favorable orderexecution. If the trading advisors or their principalsengage in personal account trading, or trading forcommodity pools in which they invest, limitedpartners will not be permitted to inspect records ofthis trading or any written policies related to thistrading.

The advisory contracts with each trading advisorgenerally provide that the general partner andGrant Park shall indemnify and hold harmless thetrading advisor and its affiliates against any losses,liabilities, expenses (including reasonable attorneys’and accountants’ fees), judgments or settlements ifthe trading advisor or its affiliates acted in good faithand in a manner it reasonably believed to be in ornot opposed to the best interests of Grant Park, andprovided that the trading advisor’s or its affiliates’conduct does not constitute negligence (or, in thecase of certain trading advisors, gross negligence) ora breach of its or their fiduciary obligations.

The following descriptions include backgroundinformation on each trading advisor and itsprincipals, as well as information concerning eachtrading advisor’s strategy applicable to the class orclasses of Grant Park that it trades. You should notethat the descriptions were prepared by each tradingadvisor and may emphasize different aspects of each.Because each trading advisor’s strategies andprograms are proprietary and confidential, theirdescriptions here are general in nature. Each of thetrading advisors has advised the general partner thatthere have been no material administrative, civil orcriminal actions within the past five years against thattrading advisor or its principals and no such actionsare currently pending.

Rabar Market Research, Inc.

Rabar is an Illinois corporation and wasregistered as a commodity trading advisor andcommodity pool operator in June 1988. Rabar hasbeen a member of the NFA since June 1998. Thebusiness address of Rabar is 10 Bank Street, Suite

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830, White Plains, New York 10606-1933, and itstelephone number is (914) 682-8363. Rabar wasoriginally named Rainbow Market Research, Inc.when it was incorporated in November 1986. Itsname was changed to Rabar Market Research, Inc. inJanuary 1989. It has managed accounts continuouslysince July 1988.

Management

The principals of Rabar are Paul Rabar andJeffrey Izenman.

Paul Rabar is the president and founder ofRabar. Since 1988, Mr. Rabar has focused his fullbusiness time and attention on the operation of Rabarwith a particular focus on trading and research. Mr.Rabar first became involved with futures when hebegan trading for his own account in 1980. He thenworked as an account executive in the futures area atE.F. Hutton, a brokerage firm, from September 1981to August 1983 and later at Clayton Brokerage, abrokerage firm, where he worked fromSeptember 1983 to November 1984. In 1985, Mr.Rabar was selected among a large pool of applicantsto participate in a futures trading program operatedby Mr. Richard J. Dennis, Jr., a trader of futures andoptions. Mr. Rabar participated in that program in1985 and 1986, managing a proprietary account forMr. Dennis, and beginning in January 1987 throughMay 1988, managing an account for Mr. Tom Denniswho was also an experienced trader in futures andoptions. Mr. Rabar then managed his personalaccount in futures in 1988 and also began theoperations of, and the managing of client assetsthrough, Rabar. Mr. Rabar is a graduate of the NewEngland Conservatory of Music. He did additionalwork, primarily in science and mathematics, atHarvard University and, in 1979 and 1980 was anassistant instructor of physics at Harvard University.As of February 2005, Mr. Rabar was a principal ofVaca Capital Management, LLC, a registeredcommodity trading advisor and commodity pooloperator, as well as a hedge management company.Mr. Rabar became registered as an associated personand listed principal of Rabar in June 1988.

Jeffrey Izenman is the executive vice presidentof Rabar, having joined Rabar in that capacity inNovember 1998. Also, he has been a managingmember of BRI Partners LLC, a venture capital firmfor emerging and developing hedge fund managers,since June 2001. He became a registered associatedperson and listed principal of BRI in June 2001.From September 1994 through October 1998, he wasthe president of EMC Capital Management, Inc.,

where he was responsible for business development,client relations and various administrative andoperational aspects of EMC. Mr. Izenman is also thepast chairman, and a past member of the board ofdirectors and executive committee of the ManagedFunds Association. Mr. Izenman also served for 10years as a member of the business conduct committeeof the NFA. Before joining EMC, Mr. Izenman was apartner in the law firm of Katten Muchin Zavis(which is now known as Katten Muchin ZavisRosenman) from October 1988 through August 1994,and an associate with that firm from September 1982through September 1988. There he specialized in therepresentation of commodity trading advisors,including Rabar, and commodity pool operators, aswell as securities investment advisors and hedge fundoperators. Mr. Izenman received his J.D. degree fromthe University of Michigan Law School in May 1982and a B.S. in accountancy from the University ofIllinois in May 1979. He has also passed the UniformCertified Public Accountants exam.

Rabar’s Trading Program

Strategy. Rabar currently uses a tradingprogram known as the Diversified Program in tradingfor Grant Park. Rabar has been trading theDiversified Program since January 1989. Theobjective of Rabar’s investment strategy is togenerate capital appreciation over the long run byinvesting exclusively in exchange-traded futurescontracts, options on futures contracts, foreigncurrency forward contracts and, to a very limitedextent, cash commodities. Rabar may also engage inexchange for physical transactions, more commonlyreferred to as EFPs. An EFP transaction involves theexchange of a futures position for the underlyingcommodity without making an open competitivetrade on an exchange, as permitted by exchangerules.

Rabar’s strategy employs a diversified,systematic, technical, trend-following approach,utilizing a blend of several separate and distinctquantitative models. Each of these elements isdescribed more fully below.

• The approach is diversified in that it can beinvested in more than 90 markets, coveringmore than 20 different exchanges in 25different countries. The portfolio includesfutures contracts on currencies, financialinstruments, precious and base metals, stockindices, energies, and agricultural and soft

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commodities. The specific markets havebeen chosen for, among other reasons, theirhistorical performance and customaryliquidity.

• The approach is systematic in that Rabarutilizes multiple quantitative investmentmodels that generate signals directing Rabarto initiate or liquidate positions in eachmarket at specific, predetermined pricepoints. In the vast majority ofcircumstances, Rabar will follow thespecific signals generated by the models.The approach does, however, incorporate asmall discretionary element. In this regard,Rabar may, from time to time, analyzecertain key fundamental factors affectingsupply and demand, such as a regional orglobal financial crisis, extreme weatherconditions, or major political events. As aresult of the analysis Rabar may makeadjustments to the size of positions or thetiming of trades in the portfolio in an effortto control risk or to take advantage ofpotential profit opportunities.

• The approach is technical, meaning that thesignals generated by the models are basedupon an analysis of objective technicalfactors rather than fundamental factors.Although the technical indicators analyzedare varied, they are all based primarily ondaily, weekly, and monthly price movement.

• The approach is trend-following and, insome cases, trend-identifying. In thisregard, Rabar seeks to invest in marketsexhibiting directional price movement overtime. Since the portfolio will maintain bothlong and short positions, it is notnecessarily relevant whether a particularmarket is rising or falling. It is merely thecase that Rabar’s best opportunity for profitwill come from markets movingcontinuously in one direction while Rabarwill have a difficult time profiting from, andmay incur losses in, markets that are notexhibiting sustained directional movement.

• The approach incorporates a blend ofquantitative models. Specifically, themethodology employs several totallyseparate and distinct investment models inits overall approach, and several additionalvariations of those models, all of which areblended together in Rabar’s program.

Risk Management. Rabar employs a number ofrisk management techniques in the strategy with aview toward reducing and controlling risk in theportfolio. For example, Rabar’s portfolio is broadlydiversified thereby spreading the risk across multiplemarkets. Rabar’s portfolio is also diversified acrossmultiple quantitative models, limiting the riskexposure in the portfolio to any one such model.Rabar also employs predetermined stop loss levels orexit points for each position. These stop losses canhave the effect of limiting the exposure to eachposition, system, market and market sector, and inthe portfolio as a whole. In addition, Rabar utilizes aproprietary quantitative methodology to determine thesize of each position with a view toward equalizingrisk in the portfolio across all markets.

It should be noted that the risk managementtechniques described above may not have the desiredeffects of controlling or even reducing risk in theportfolio, as investing in commodity interestsinvolves a high degree of risk.

Research & Development. Rabar believes thatthe development of quantitative models for use ininvesting in commodity interests is a continualprocess. To this end, Rabar conducts an ongoingresearch and development effort led by Paul Rabarand including a team of professionals working onresearch related matters. The goal of the researcheffort is to evaluate the continued viability of theexisting models, to enhance the existing models, andto develop new models. Although these goals maynot be achieved, through its research effort Rabar hasmodified its models over time and it is likely thatmodifications will be made in the future. Thus, themodels that might be used by Rabar in the futuremay differ from those presently used or those used inthe past. Clients such as Grant Park will not beinformed about non-material modifications, includinggenerally, markets or commodity interest contractstraded.

Miscellaneous. As stated above, someinvestment decisions involve the exercise ofjudgment by Rabar. For example, the decision not totrade particular commodity interests or to reduce oreliminate exposure in particular markets may result attimes in missing price moves and hence profits ofgreat magnitude, which other managers who arewilling to trade these commodity interests or havenot reduced exposure may be able to capture. Forthese and other reasons, the performance of Rabarmay not result in profitable trading.

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EMC Capital Management, Inc.

EMC is an Illinois corporation formed andorganized in January 1988. It has been registered as acommodity trading advisor since May 1988 and as acommodity pool operator since February 1991. EMCfiled a 4.7 Exemption in September 2007. EMC alsois a member of the NFA. The business address andtelephone number of EMC are 2201 Waukegan Road,Suite West 240, Bannockburn, Illinois 60015, and(847) 267-8700.

Management

The principals of EMC Capital Management,Inc. are Elizabeth A. Cheval, John C. Krautsack,David F. Polli, Brian D. Proctor and the Elizabeth A.Cheval Revocable Trust.

Elizabeth A. Cheval is the Chairman of EMC,and through the Elizabeth A. Cheval Revocable Trust,of which she is the sole beneficiary and trustee, itssole shareholder. Ms. Cheval began investing incommodity interests for clients in January 1984 whenshe was selected by Richard J. Dennis, Jr., aspeculative trader of futures and options, to invest forhis personal account pursuant to a program developedby Mr. Dennis. As his employee, Ms. Chevalreceived extensive training from Mr. Dennis, whopersonally supervised her investment activities. InDecember 1986, Ms. Cheval became self-employedand continued to invest for accounts of familymembers of Mr. Dennis. In May of 1988, Mr. Denniselected to discontinue his trading program andMs. Cheval started EMC at that time. Ms. Cheval hasinvested in futures since June 1983, when she beganinvesting in financial futures for her own account.Ms. Cheval holds a B.A. in Mathematics fromLawrence University. Ms. Cheval became registeredas an associated person and listed as a principal ofEMC effective May 24, 1988.

John C. Krautsack joined EMC in April 1995and has served as Managing Director, Trading sinceJuly 2008, Vice President, Director of Trading sinceFebruary 2003, and Senior Trader since April 1995.Mr. Krautsack supervises the active management ofEMC’s portfolio and is responsible for all tradingoperations. Mr. Krautsack attended Winona StateUniversity School of Business. Mr. Krautsack becameregistered as an associated person and listed as aprincipal of EMC effective June 29, 1995 andAugust 12, 2008, respectively.

David F. Polli joined EMC in October 2002 andhas served as Managing Director, Research sinceJuly 2008, Director of Research since May 2007, and

Director of IT and Senior Trader since October 2002.Mr. Polli directs research at EMC and is responsiblefor the design and integration of all trading andresearch platforms employed by EMC. Mr. Polligraduated with honors from the Illinois Institute ofTechnology with a B.S. in Computer and ElectricalEngineering. Mr. Polli became registered as anassociated person and listed as a principal of EMCeffective March 6, 2003 and July 7, 2008,respectively.

Brian D. Proctor joined EMC in August 2005and has served as Managing Director sinceJuly 2008, and Vice President, Director of Marketingsince August 2005. Mr. Proctor is active in trading,research, and business development for EMC. Mr.Proctor was employed by Morgan Stanley DW Inc.as a financial advisor from July 2002 to July 2005prior to joining EMC. Mr. Proctor holds a B.A. ineconomics from Miami of Ohio, University and J.D.from John Marshall Law School. Mr. Proctor becameregistered as an associated person and listed as aprincipal of EMC effective December 20, 2005 andJuly 7, 2008, respectively.

The Elizabeth A. Cheval Revocable Trustbecame a listed principal of EMC in May 1991.

EMC’s Trading Program

EMC’s objective in providing managementservices to Grant Park is to effect appreciation ofGrant Park’s assets through speculative trading ofcommodity interests.

EMC currently trades its Classic Program onbehalf of Grant Park. EMC has been trading theClassic Program since January 1985. The investmentstrategy employed in the Classic Program is technicalrather than fundamental in nature in that it isdeveloped from analyses of patterns of actualmonthly, weekly and daily price movements and isnot based on analysis of fundamental factors such assupply and demand, general economic conditions oranticipated world events. EMC relies on historicalanalyses of these price patterns to interpret currentmarket behavior and to evaluate technical indicatorsfor trade initiations and liquidations. EMC’sinvestment strategy in the Classic Program is trend-following in that initiations and liquidations ofpositions in a particular market are generally in thedirection of the price trend in that market.

EMC employs an investment strategy that uses anumber of trading systems simultaneously. Also, thestrategies are diversified in that EMC actively investsin a portfolio of over 80 markets.

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Although the specific commodity interests,including futures contracts, options on futurescontracts, forward contracts and cash commodities, tobe invested in through the Classic Program will varyfrom time to time, at the present time, EMCprincipally invests in futures contracts and forwardcurrency contracts for its clients. EMC currentlytrades futures contracts in a number of sectorsincluding precious and base metals, U.S. and foreignfixed income instruments, stock indices, foreignexchange, grains and agricultural products, energyproducts such as crude oil, and soft commoditiessuch as orange juice, sugar and coffee. EMC mayinvest in other commodity interests in the future.EMC also may invest in foreign currency forwardcontracts and, to a lesser extent, may engage in EFPtransactions.

The commodity interests typically chosen for theClassic Program have been selected for, among otherthings, their historical performance and for theircustomary liquidity. EMC may frequently invest,however, in less liquid markets. If an open positioncannot be liquidated, Grant Park may be required toaccept delivery of the underlying commodity. In thesecircumstances, it may be necessary for Grant Park toborrow funds.

If possible within existing market conditions,EMC adheres to the requirements of a moneymanagement system that determines and limits theequity committed to each position, each commodityand each group of commodities, and sets optimalstop-losses for each position and each account. Thelevel of liquidation determined by this moneymanagement system can override liquidationsdetermined by technical indicators.

EMC continues to develop investment strategiesand programs, as well as risk and moneymanagement systems. As a result of EMC’s ongoingresearch and development, enhancements andmodifications have been made from time to time inthe specifics of EMC’s methods, and it is likely thatsimilar enhancements and modifications will be madein the future. Accordingly, the methods that may beused by EMC in the future might differ from thosepresently being used. The general partner will beinformed of changes in EMC’s trading methods ifstrategy changes are deemed material by EMC.

Eckhardt Trading Company (ETC)

ETC is an Illinois corporation formed inMay 1992 that became registered as a commoditytrading advisor and commodity pool operator and amember of the NFA in June 1992. ETC succeeded to

the business formerly conducted by WilliamEckhardt, who was individually registered as acommodity trading advisor and commodity pooloperator and a member of the NFA from June 1991until his registration was changed over to ETC inJune 1992. William Eckhardt is the chairman, chiefexecutive officer and sole shareholder of ETC; JohnD. Fornengo is president. The address and telephonenumber of ETC’s business office is 1314 NorthDearborn Parkway, Carriage House, Chicago, IL60610 and (312) 787-1107.

Management

The listed principals of ETC are WilliamEckhardt, John D. Fornengo and William Eckhardt asTrustee of William Eckhardt Revocable Trust.

Mr. Eckhardt has traded futures professionallyfor over 33 years. He received a B.A. in mathematicsfrom DePaul University in 1969 and a M.S. inmathematics from the University of Chicago in 1970.In 1974, after four years of doctoral research at theUniversity of Chicago in mathematical logic, hebegan trading for his own account at theMid-America Commodity Exchange. Mr. Eckhardttraded off-floor for his personal account from 1978through July 1991. In July 1986, he began managingaccounts for a small number of friends and businessassociates, and in July 1991, he began managingaccounts as a registered commodity trading advisor.

In conjunction with his trading, over the past 30years Mr. Eckhardt has conducted extensive researchinto the nature of futures price action and riskmanagement. He has developed numerous technicaltrading systems. Along with Richard Dennis, he co-developed certain trading systems and subsequentlyco-taught these systems to a group of individuals thathave become known as the ‘‘Turtles.’’ Mr. Eckhardtwas an associated person of Mr. Dennis fromNovember 1983 to January 1992.

Mr. Eckhardt was a full member of the ChicagoBoard of Trade from 1983 to 1988 and the ChicagoMercantile Exchange (‘‘CME’’) from 1979 to 1986and held other memberships at various other times.He currently holds a seat at the CME Index andOption Market. From October 1983 to July 1991, Mr.Eckhardt was a partner of C&D Commodities, whichwas formerly active as a futures commissionmerchant and chiefly involved with clearing partnercapital, futures research and trading administration. In1991, the partnership (and FCM) ceased all businessoperations and C&D Commodities, Inc. (‘‘C&D,Inc.’’) was established to continue the futuresresearch and trading administration activities

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previously conducted by the partnership.Mr. Eckhardt was an officer of C&D, Inc. untilAugust 1997. In January 2001, ETC took over theemployment of the individuals previously employedby C&D Commodities. Mr. Eckhardt became a listedprincipal of ETC in June 1991. Mr. Eckhardt wasregistered as a floor broker in November 1982.

Mr. Fornengo, a 1980 honors graduate of LakeForest College, Lake Forest, Illinois, has tradedfutures for over 21 years. He has been professionallyassociated with Mr. Eckhardt since the beginning ofhis trading career in April 1986. In December 1991,he became registered as a commodity trading advisorand began managing client accounts utilizing thetechnical indicators of ETC’s system, which hemodified with systematically larger position sizes. Mr.Fornengo became an associated person, listedprincipal and approved branch manager of ETC inFebruary 1993, June 1995 and July 1997,respectively.

In January 1993, Mr. Fornengo began workingwith ETC to assist Mr. Eckhardt in theimplementation and execution of ETC’s tradingprogram. In June 1995, Mr. Fornengo became vicepresident of ETC, and in August 1999, he becamepresident. From January 1989 through June 1995, Mr.Fornengo managed a proprietary account for Mr.Eckhardt, the cash balance of which was invested inEckhardt Futures Limited Partnership in July 1995.Mr. Fornengo is registered in his individual capacityas a sole proprietor commodity trading advisor;currently, he has no accounts under management.

Mr. Eckhardt directs ETC’s system developmentand ongoing research. Mr. Fornengo is responsiblefor ETC’s trading operations, including theimplementation and execution of ETC’s tradingprograms. Mr. Eckhardt and Mr. Fornengo areresponsible for the overall activities of ETC andshare the responsibility of any judgment or discretionutilized for the implementation of ETC’s tradingprograms. William Eckhardt as Trustee of WilliamEckhardt Revocable Trust became a listed principalof ETC in March 2008.

ETC’s Trading Program

Effective June 1, 2007, ETC trades its StandardProgram-Higher Leveraged (formerly called HigherLeveraged Program) on behalf of Grant Park. Prior toJune 1, 2007, ETC’s Global Financial Program wasincluded in Grant Park. Both trading programs arebased on the same trading approach. The primarydifference between the two programs relates toposition sizes and the markets that may be traded in

the programs. The Standard Program-HigherLeveraged (Standard-HL) positions are approximately20% larger than those in the Global FinancialProgram, and the program includes additionalcommodity markets. Due to increased leverage, theStandard-HL entails a greater degree of risk. ETCbegan managing accounts according to the Standard-HL in October 1991. Currently the market groups orcontracts traded for the Standard-HL include U.S. andinternational interest rates and stock indices,currencies and cross-rates, metals, energy products,grains and soft markets.

ETC’s objective is to achieve appreciation of itsclients’ assets through speculative trading of futurescontracts and related investments. ETC primarilyengages in trading futures contracts on U.S. and non-U.S. exchanges. In addition, ETC may trade optionson futures, forward contracts on commodities andcurrencies, and cash currencies, and may engage intransactions in physical commodities, including EFPs(in addition to EFPs in currencies). The exact natureof ETC’s methods are proprietary and confidential.The following description is, of necessity, generaland not exhaustive.

ETC’s trading approach is the product of over30 years of intensive research on futures price action,risk management and trading system development.Diversified systems are melded in accordance withthe modern mathematical theory of risk. The systemsare technical in origin and trend following in thrust.They are not based on the analysis of fundamentalsupply and demand factors.

ETC’s trading approach is predominantly appliedin an algorithmic or mechanical manner.Occasionally, discretion and judgment may be used;discretion is nonetheless informed by investigationsinto historical price action and is often employed forrisk management purposes. Discretion also may beutilized in connection with the timing of the entry oforders in the markets traded.

ETC believes that research is a crucialcomponent of the trading enterprise; time andresources are devoted to it accordingly. The systemsused have undergone an evolutionary development,some for protracted periods. Many of the currentsystems bear little resemblance to their prototypes.The systems are subject to change if ETC’smethodological principles indicate that it iswarranted. Additionally, trading decisions mayrequire the exercise of judgment of ETC. Thedecision not to trade certain futures, not to makecertain trades or to reduce position sizes may result

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at times in missing price moves and profits of greatmagnitude that other trading advisors who are willingto trade such positions, or trade larger positions, maybe able to capture. The past performance of ETC isnot indicative of profitable trading in the future.

The markets traded have been chosen forhistorical performance, and for customary liquidity;however, there can be no assurance of liquidity. Fromtime to time ETC may trade in less liquid markets. Incases involving futures contracts, ETC may determineto accept or to make delivery, or market conditionsmay be such that an open position cannot beliquidated to avoid delivery. In the event of delivery,it may be necessary for Grant Park to borrow funds.Such borrowing may, but is not required to, bearranged by ETC from independent third parties,generally banks, at market rates for short-term loans;any borrowing will be at Grant Park’s expense.

Graham Capital Management

Graham Capital Management, L.P. wasorganized as a Delaware limited partnership inMay 1994. The general partner of Graham is KGT,Inc., a Delaware corporation of which Kenneth G.Tropin is the president and sole shareholder. Thelimited partner of Graham is KGT InvestmentPartners, L.P., a Delaware limited partnership ofwhich KGT, Inc. is also a general partner and inwhich Mr. Tropin is the principal investor. Grahambecame registered as a commodity pool operator andcommodity trading advisor and a member of the NFAon July 27, 1994.

As of August 1, 2008, Graham hadapproximately 155 employees and managed assets ofapproximately $4.7 billion. Graham maintains itsmain business office at 40 Highland Avenue,Rowayton, CT 06853. Graham’s telephone number is203-899-3400.

Management

The listed principals of Graham are Kenneth G.Tropin, Paul Sedlack, Mark B. Werner, Robert E.Murray, Thomas P. Schneider, Robert Griffith, JeffBaisley, Fred J. Levin, William G. Pertusi, Barry S.Fox, Isaac Finkle, Gavin, Gilbert, Sanjeev Gupta,Britton Holland, Steven H. Jacolow, Peter Jespen,David E. Keelan, Jon Tiktinsky, Marwan Younes,KGT Inc. and KGT Investment Partners LP.

Kenneth G. Tropin is the Chairman and thefounder of Graham. He became a NFA member, anassociated person and principal of Graham effectiveJuly 27, 1994. Mr. Tropin has developed the majorityof the firm’s core trading programs and he is

responsible for the overall management of theorganization, including the investment of itsproprietary trading capital. Mr. Tropin foundedGraham in May 1994 and was between employmentfrom October 1993 until May 1994. Prior to foundingGraham in 1994, Mr. Tropin served as President,Chief Executive Officer, and a Director of John W.Henry & Company, Inc., a commodity pool operatorand commodity trading advisor, from March 1989 toSeptember 1993, during which the assets undermanagement grew from approximately $200 millionto approximately $1.2 billion. He was an associatedperson of John W. Henry & Company Inc. fromApril 1989 to September 1993, and a principal fromApril 1989 to June 1994; an associated person ofJWH Investments Inc. from June 1991 toSeptember 1993; and an associated person andprincipal of Henry John W. & Company fromNovember 1992 to November 1993. From May 1990to September 1993, Mr. Tropin also served as anassociated person and principal of Global CapitalManagement Limited; and from September 1990 toSeptember 1993 as an associated person and principalof Westport Capital Management Corporation.Previously, Mr. Tropin was Senior Vice President atDean Witter Reynolds, an investment bank, where hebegan in February 1982 as Director of ManagedFutures and in October 1984 assumed the role ofDirector of Precious Metals as well. InNovember 1984, Mr. Tropin was appointed Presidentof Demeter Management Corporation, a commoditypool operator, for which he served as principal andassociated person from August 1984 to July 1985 andas principal from November 1985 to March 1989. InJune 1987 Mr. Tropin was appointed President ofDean Witter Futures and Currency Management Inc.,a commodity trading advisor, (currently d.b.a.Morgan Stanley Futures & Currency ManagementInc.). From January 1984 to March 1989, Mr. Tropinserved as an associated person of Morgan StanleyDW Inc. (since merged into Morgan Stanley & Co.Incorporated); from August 1984 as an associatedperson and July 1988 as a principal VK Capital Inc.(d.b.a. Morgan Stanley Futures & CurrencyManagement Inc.) until March 1989. Mr. Tropin hasalso served as Chairman of the Managed FundsAssociation and its predecessor organization, whichhe was instrumental in founding during the 1980’s.

Paul Sedlack is Chief Executive Officer and theGeneral Counsel of Graham. He became anassociated person of Graham effective November 20,1998 and a principal on August 21, 1998. Heoversees the operation of the finance and

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administration departments and is also responsible forall legal and compliance matters. Mr. Sedlack beganhis career at the law firm of Coudert Brothers in NewYork in October 1986 until June 1993; and wasresident in Coudert’s Singapore office from 1988 to1989. From June 1993 until June 1995, Mr. Sedlackwas associated with the law firm, Sutherland Asbilland Brennan LLP. Prior to joining Graham inJune 1998, Mr. Sedlack was a partner at the law firmof McDermott, Will & Emery in New York, focusingon securities and commodities laws pertaining to theinvestment management and related industries fromJune 1995. Mr. Sedlack received a J.D. from CornellLaw School in 1986 and an M.B.A. in finance in1983 and B.S. in engineering in 1982 from StateUniversity of New York at Buffalo.

Mark B. Werner is the President of Graham,responsible for oversight of the firm’s discretionarytraders as well as the risk management department.He became a principal of Graham effectiveDecember 3, 2007 and an associated person ofGraham effective December 28, 2007. Prior tojoining Graham in November 2007, Mr. Wernerserved as Chief Executive Officer of Banc of AmericaSecurities, LLC at Bank of America Corporation,where he was employed from October 2004 throughJune 2007. Mr. Werner was between employmentsfrom July 2007 until November 2007. During histenure at Bank of America, Mr. Werner was Head ofGlobal Markets, responsible for the debt and equitybusinesses, including origination, sales, trading andresearch. He also served on several of Bank ofAmerica’s corporate management committees,including the Asset Liability Committee, Credit RiskCommittee, and Management Operating Committee.From April 1982 to October 2004, Mr. Werner heldpositions of increasing responsibility at variousentities of the investment bank, JPMorgan Chase (andpredecessors), including Managing Director and Headof North American Interest Rate Sales, Trading andResearch and Vice Chairman of JPMorgan Securities,Inc. Mr. Werner also served as a member of theinvestment bank’s executive committee. Mr. Wernerreceived his B.A. in economics from the Universityof Pennsylvania in 1980. Mr. Werner is a currentmember and past chairman of the U.S. TreasuryDepartment’s Borrowing Advisory Committee.

Robert E. Murray is the Chief Operating Officerof Graham and is responsible for the managementand oversight of client services, systematic trading,and technology at Graham. He became an associatedperson and principal of Graham effective June 27,2003. Prior to joining Graham, from January 1985

until June 2003, Mr. Murray held positions ofincreasing responsibility at various entities at theinvestment bank, Morgan Stanley (and predecessors),including Managing Director of the StrategicProducts Group, Chairman of Demeter ManagementCorporation (a commodity pool operator that grew to$2.3 billion in assets under management during Mr.Murray’s tenure) and Chairman of Morgan StanleyFutures & Currency Management Inc. (a commoditytrading advisor). During his time at Morgan Stanley,Mr. Murray was a principal of Demeter ManagementCorporation from June 1995 to June 2003, andassociated person of Morgan Stanley DW Inc. (sincemerged into Morgan Stanley & Co. Incorporated)from March 1997 to June 2003, and a principal ofVK Capital Inc. (d.b.a. Morgan Stanley Futures &Currency Management Inc.) from August 1993 toOctober 2003. Mr. Murray is currently a member ofthe Board of Directors of the NFA and serves on itsMembership and Finance Committees. Mr. Murrayhas served as Vice Chairman and a Director of theBoard of the Managed Funds Association. Mr.Murray received a Bachelor’s Degree in Financefrom Geneseo State University in 1983.

Thomas P. Schneider is an Executive VicePresident, and the Chief Trader of the Manager. Hebecame an associated person of Graham effectiveSeptember 12, 1994 and a principal on November 30,1995. He is responsible for managing Graham’ssystematic futures and foreign exchange tradeexecution, including all of its core and short termquantitative trading strategies, and developing andmaintaining relationships with independent executingbrokers and FCMs. From June 1985 throughSeptember 1993, Mr. Schneider held positions ofincreasing responsibility at ELM Financial, Inc., acommodity trading advisor in Dallas, Texas, where hewas ultimately Chief Trader, Vice President andPrincipal responsible for 24-hour trading execution,compliance and accounting. In January 1994, Mr.Schneider began working as Chief Trader for ChangCrowell Management Corporation, a commoditytrading advisor in Norwalk, Connecticut, where hewas responsible for streamlining operations for moreefficient order execution, and for maintaining anddeveloping relationships with over 15 FCMs on aglobal basis until joining Graham in June 1994. Mr.Schneider was between employment fromSeptember 1993 to December 1993. Mr. Schneidergraduated from the University of Notre Dame in1983 with a B.B.A. in Finance and received hisExecutive M.B.A. from the University of Texas atAustin in 1997.

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Robert G. Griffith is an Executive Vice Presidentof Graham, responsible for evaluating andimplementing research-related initiatives. He becamean associated person and principal of Grahameffective March 8, 1996. Prior to joining Graham,Mr. Griffith’s company, Veridical Methods, Inc.,provided computer programming and consultingservices to such firms as GE Capital, LehmanBrothers and Morgan Guaranty Trust. He received hisB.B.A. in Management Information Systems from theUniversity of Iowa in 1979.

Jeff Baisley, C.P.A., is the Chief FinancialOfficer of Graham. He became an associated personof Graham effective March 17, 2008 and a principalon April 8, 2008. Prior to joining Graham as itsManager of Financial Reporting in March 2004, hewas Vice President in Global Equity DerivativesAccounting at RBC Dominion Securities, aninvestment bank, from June 2001 until March 2004.From February 2001 to June 2001, Mr. Baisley was aconsultant for Robert Half & Associates, a financialrecruiting firm, during which time he was theController of Division for a large telecommunicationscompany. He was Director of Perseus DebtOpportunity Fund at Perseus Capital LLC, amerchant bank and private equity fund, fromAugust 2000 to January 2001. Mr. Baisley heldpositions of increasing responsibility at UBS WarburgAG, an investment bank, from March 1996 toJune 2000, including Business Manager forDistressed Debt Trading. He was betweenemployment in July 2000. Prior to UBS, he was anAssistant Vice President in the Firm TradingAccounting Department of Lehman Brothers, aninvestment bank, from June 1993 to February 1996.Mr. Baisley began his career at Ernst & Young, anaccounting firm, where he worked fromSeptember 1991 to June 1993, as Staff Auditor. Hereceived his B.S. in accounting from FordhamUniversity in 1991.

Fred J. Levin is the Chief Economist and aSenior Discretionary Trader of Graham specializingin fixed income markets with particular emphasis onshort-term interest rates. He became an associatedperson of Graham effective December 8, 1999 and aprincipal on March 11, 2000. Prior to joining Grahamin March 1999, Mr. Levin was employed as directorof research at Aubrey G. Lanston & Co. Inc., a bondtrading firm, from August 1998 to March 1999. FromMarch 1991 to June 1998, Mr. Levin was the chiefeconomist and a trader at Eastbridge Capital, aninvestment management firm. From March 1988 toMarch 1991, Mr. Levin was the chief economist and

a trader at Transworld Oil, an oil trading firm. FromSeptember 1982 to March 1988, Mr. Levin was thechief economist, North American Investment Bank atCitibank. From September 1970 to September 1982,Mr. Levin headed the domestic research departmentand helped manage the open market desk at theFederal Reserve Bank of New York. Mr. Levinreceived an M.A. in economics from the Universityof Chicago in 1968 and a B.S. from the University ofPennsylvania, Wharton School in 1964.

William Pertusi is the Risk Manager of Graham,responsible for identifying, monitoring and actingupon financial risks relative to financial returns inGraham’s diverse trading strategies. He became anassociated person of Graham effective July 24, 2006and a principal on November 28, 2006. Prior tojoining Graham in April 2006, Mr. Pertusi held thepositions of Director and Risk Manager at SACCapital Advisors LLC, an investment managementfirm, from July 2004 to April 2006. From July 2002to July 2004, he was employed as a PortfolioManager at SAC specializing in Mortgage BackedSecurities. From March 1999 to July 2002, Mr.Pertusi held various positions with Lehman BrothersInc., the investment bank, including Senior VicePresident and Global Head of Content fore-Commerce. From January 1992 throughFebruary 1998, he worked at Lehman as Senior VicePresident, holding positions in sales, trading and riskmanagement. Mr. Pertusi worked at Credit SuisseFirst Boston, the investment bank, as a Director fromFebruary 1998 through November 1998. He wasbetween employment from November 1998 untilMarch 1999. He held the position of Vice Presidentin fixed income sales at Salomon Brothers Inc., aninvestment bank, from June 1990 to January 1992and Assistant Vice President in fixed income sales atThe First Boston Corporation, an investment bank,from June 1987 through June 1990. Mr. Pertusireceived a B.S. in Electrical Engineering from LehighUniversity in 1983, an M.B.A. from Harvard in 1987,and an M.S. in Mathematics from Fairfield Universityin 2006.

Barry S. Fox is Director of Research of Graham.He became an associated person of Graham effectiveNovember 10, 2000 and a principal on November 15,2007. Mr. Fox joined Graham in August 2000 as aportfolio manager and developed several systematictrading programs. In May 2005, he joined Graham’sResearch Department, was appointed Co-AssociateDirector of Research in October 2005, and wasappointed Director of Research in April 2007. FromMarch 1991 until April 1998, Mr. Fox held positions

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of increasing responsibility at John W. Henry & Co.Inc., a commodity pool operator and commoditytrading advisor, concluding as the director ofresearch. Mr. Fox was between employment fromApril 1998 until August 2000. From June 1989 untilMarch 1991, Mr. Fox was a partner at TechnicalTrading Group an investment management firm inFarmingdale, New York. Mr. Fox received a B.S. inBusiness Administration from State University ofNew York at Buffalo in 1986.

Isaac Finkle is Chief Legal Officer and aPrincipal of Graham. He became an associated personof Graham effective April 16, 2004 and a principalon June 5, 2007. As Chief Legal Officer, he overseesthe legal aspects related to the firm’s futuresactivities. Prior to joining Graham in May 2003, Mr.Finkle worked at Morgan Stanley DW Inc., a U.S.broker-dealer, in New York, from September 1999through May 2003, as First Vice President and SeniorAttorney, and from December 1997 toSeptember 1999, as a legal consultant, focusing onthe firm’s commodity pool and futures businesses. InNovember 1997, Mr. Finkle completed work on hisdoctoral dissertation in sociological theory for whichhe received a Ph.D. in May 1998 from the Universityof Pennsylvania. Mr. Finkle began his legal career asan associate at Skadden, Arps, Slate, Meagher &Flom from September 1985 to October 1989 and atMilbank, Tweed, Hadley & McCloy fromOctober 1989 to February 1991, each in New York.From September 1991 to November 1997, whileengaged in work on his Ph.D. degree, Mr. Finkleworked as a legal consultant to Salomon BrothersInc. (April to November 1997) and to WestpacBanking Corporation (September 1996 toMarch 1997), as an associate with Debevoise &Plimpton (December 1994 to November 1995) and ascounsel for Law Cost Management Group(October 1993 to November 1994), all in New York.Mr. Finkle received a J.D. from New York UniversitySchool of Law in 1985 and a B.A. with honors inphilosophy from Haverford College in 1973.

Gavin Gilbert is a discretionary trader ofGraham, specializing in fixed income markets. Hebecame an associated person and principal of Grahameffective June 24, 2008. Prior to joining Graham inMarch 2008, Mr. Gilbert was senior trader at BrevanHoward Asset Management, an investmentmanagement firm, where he was employed fromApril 2004 to March 2008. During March 2004, Mr.Gilbert was between employment. From April 2002to February 2004, Mr. Gilbert was a trader for D.E.Shaw & Co. LLC, an investment management firm.

Mr. Gilbert was Associate Director in EuroGovernment Bonds for Barclays Capital, aninvestment bank, from November 2000 toMarch 2002. Mr. Gilbert was between employmentfrom April 2000 to November 2000. FromMarch 1997 to April 2000, Mr. Gilbert was a traderfor Renaissance Capital, an investment bank.

Sanjeev Gupta is a discretionary trader and aprincipal of Graham, specializing in the global fixedincome and foreign exchange markets. He became anassociated person of Graham effective August 20,2007 and a principal on October 11, 2007. Prior tojoining Graham in May 2007, Mr. Gupta worked as aFund Manager and Senior Trader at Proxima AlfaInvestments USA LLC, a commodity trading advisor,and Vega Asset Management USA LLC, aninvestment management firm, from June 2002 toApril 2007. From June 1992 to May 2002, Mr. Guptawas a Senior Vice President at Banco Santander,trading fixed income and foreign exchange. FromJune 1986 to August 1990, Mr. Gupta was employedby Citicorp Software, where he served as a SoftwareEngineer and Consultant. Mr. Gupta earned aBachelor’s degree from The Indian Institute ofTechnology in May 1986 and an M.B.A. from TheWharton School of the University of Pennsylvania inMay 1992.

Britton Holland is a discretionary trader ofGraham, specializing in the energy commoditymarkets. He became an associated person of Grahameffective April 6, 2005 and a principal on April 27,2005 and a Branch Office Manager on April 23,2008. Prior to joining Graham in March 2004, Mr.Holland worked as Manager, Financial Trading atDuke Energy Corporation, an energy distributor.From August 1998 to April 2002, he was employedin various groups at Duke Energy, ranging from RiskManagement to Term Deal Origination, beforemoving to its Financial Trading group untilFebruary 2004. Mr. Holland received a B.A. inEconomics in 1997 from the University of Texas inAustin, Texas.

Steven H. Jacolow is a discretionary trader ofGraham specializing in global macro markets with afocus on global foreign exchange, fixed income andequity indices. He became an associated person ofGraham effective February 15, 2007 and a principalon June 5, 2007. Prior to joining Graham inSeptember 2006, Mr. Jacolow managed a portfolio athis investment management firm, Aboukir InvestmentManagement, from October 2005 throughAugust 2006. From March 2004 through

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September 2005, Mr. Jacolow worked as aproprietary trader at Deutsche Bank in New York. InJanuary 2002, Mr. Jacolow founded MermaidInvestments which served as a trading manager forCunningham Asset Management, an investmentmanagement firm in London, from November 2002until February 2004. Prior to that time, he was onsabbatical from November 2000 to December 2001.From April 1999 through October 2000, Mr. Jacolowwas employed as a senior trader for the Bank ofTokyo-Mitsubishi in London. From August 1998through April 1999, Mr. Jacolow served as aproprietary trader for AIG Trading, a financial tradingfirm, in London; and from October 1997 throughJuly 1998 for Union Bank of Switzerland/Swiss BankCorporation in London. From April 1996 throughOctober 1997, Mr. Jacolow was employed as aportfolio manager at Winchester Asset ManagementLtd., an investment management firm, and itsaffiliates. Mr. Jacolow was also an associated personand principal from October 1996 to October 1997 forChilbolton Investments Inc., a registered commoditypool operator and commodity trading advisor duringthat period. From April 1993 through June 1995, Mr.Jacolow worked as a trader for Caxton Corporation,an investment management firm. Mr. Jacolow wasself employed from June 1995 to March 1996 andwas employed by Moore Capital Management inMarch 1993. From September 1991 toFebruary 1993, Mr. Jacolow worked as a foreignexchange trader for Commodities Corporation, acommodity trading advisor. From January 1988 toAugust 1991, Mr. Jacolow was employed by Ernst &Young, the accounting firm, as a Senior Consultant.Mr. Jacolow received a B.A. in Economics in 1987and a M.B.A. in Accounting from Rutgers Universityin 1989.

Peter Jepsen is a discretionary trader of Graham,specializing in global macro markets with a focus onfixed income and currencies. He became anassociated person of Graham effective June 12, 2006and a principal on June 22, 2006. Prior to joiningGraham in March 2006, Mr. Jepsen was employed asa portfolio manager at Exis Capital Management, aninvestment management firm, in New York fromMarch 2002 to March 2006. From February 2001 toFebruary 2002, he worked as a portfolio manager atArgonaut Capital Management in New York, aninvestment management firm. Mr. Jepsen began hiscareer at Bankers Trust/Deutsche Bank AssetManagement in June 1993 where he worked on theinternational fixed income desk and thereafter thedomestic fixed income desk until January 2001. He

qualified as a Chartered Financial Analyst in 1996.Mr. Jepsen graduated from Bucknell University inJune 1993 where he received his B.A. in Economics.

David E. Keelan is a discretionary trader of theManager, specializing in long/short credit strategies.He became an associated person and principal of theManager effective, respectively, March 16, 2007 andMay 11, 2007. Prior to joining the Manager inFebruary 2007, Mr. Keelan was a Senior PortfolioManager at Exis Capital, an investment managementfirm, from May 2006 to January 2007 and fromSeptember 2002 to August 2005, where he ran along/short credit strategy. From September 2005 toApril 2006, Mr. Keelan worked as a PortfolioManager at Millennium Partners, an investmentmanagement firm, in New York. From June 1999 toAugust 2002, Mr. Keelan was an Associate PortfolioManager at State Street Research, an investmentmanagement firm in Boston, focused on credit. Mr.Keelan worked as a Trader for RAIF, an investmentmanagement firm, from November 1998 throughJanuary 1999. He was between employment fromFebruary 1999 to May 1999. From August 1995 toOctober 1998, Mr. Keelan was a Government BondTrader for Merrill Lynch, the investment bank. Mr.Keelan received a M.B.A in finance from New YorkUniversity in 1995 and a B.A. from ColgateUniversity in 1988. Mr. Keelan received thedesignation Chartered Financial Analyst in 2002.

Jon Tiktinsky is a discretionary trader ofGraham, specializing in the U.S. fixed incomemarkets. He became an associated person of Grahameffective May 23, 2008 and a principal on May 30,2008. Prior to joining the Manager in May 2008, Mr.Tiktinsky held positions of increasing responsibility,including Managing Director, Head of U.S. TreasuryDealership, at RBS Greenwich Capital, an investmentbank, where he was employed from July 2004 toMarch 2008. Mr. Tiktinsky was President andFounder of Hulls Farm Capital LLC, an investmentmanagement firm, from February 2002 to June 2004.From January 2001 to December 2001, Mr. Tiktinskyserved as a managing director for Dresdner,Kleinwort & Wasserstein, an investment bank. Mr.Tiktinksy was between employment during themonths of April 2008 and January 2002. FromFebruary 1989 to December 2000, Mr. Tiktinsky heldpositions of increasing responsibility at Donaldson,Lufkin and Jenrette, an investment bank, concludingas Managing Director, Head of Government BondDealership. Mr. Tiktinsky received his B.A. ineconomics from Colgate University in 1982.

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Marwan Younes is a discretionary trader ofGraham, specializing in the commodities markets. Hebecame an associated person of Graham effectiveApril 18, 2008 and a principal on May 1, 2008. Priorto joining Graham in November 2007, Mr. Younesworked as an associate in the commoditiesdepartment of the investment bank Morgan Stanley inNew York from July 2006 to October 2007. Beforejoining Morgan Stanley, Mr. Younes was onsabbatical during June 2006. Mr. Younes attained hisengineering degree in May 2006 from EcoleNationale Supérieure de Techniques Avancées(‘‘ENSTA’’) in Paris, France where he was enrolledfrom September 2002 through May 2006. InMay 2006, Mr. Younes also received his Masters ofScience in Financial Engineering from ColumbiaUniversity where he was enrolled from July 2005 toMay 2006. During his enrollment at ENSTA, Mr.Younes completed a corporate internship at the Paris,France office of the investment bank Lazard Frereswhere he worked as an analyst in the Equities andCapital Markets Department from July 2004 throughJune 2005.

KGT Inc. became a listed principal of Grahamin July 1994.

KGT Investment Partners LP became a listedprincipal of Graham in July 1994.

Graham’s Trading Methods

Graham trades actively in both U.S. and foreignmarkets, primarily in futures contracts, forwardcontracts, spot contracts and associated derivativeinstruments such as options and swaps. Graham mayengage in exchange for physical (EFP) transactions,which involve the exchange of a futures position forthe underlying physical commodity without makingan open, competitive trade on an exchange. Grahamalso may take long and short positions in equitysecurities, fixed income securities, hybrid instruments,options, warrants, customized contractual agreementsand other financial instruments as it endeavors toachieve superior results for investors and enhancedportfolio diversification. Graham at times will tradecertain instruments as a substitute for futures oroptions traded on futures exchanges. Instruments andcontracts not traded on any organized exchange maybe entered into with banks, brokerage firms or otherfinancial institutions or commodity firms ascounterparties. Graham has complete flexibility in theinstruments and markets in which it may invest.

At standard leverage, Graham normally willcommit between 10% and 30% of an account’sequity to meet initial margin requirements, and initial

margin requirements over time are expected toaverage 13% to 20%. Margins required to initiate ormaintain open positions are established by brokeragefirms selected by Graham clients to perform clearingservices. The typical margin levels described aboveare applicable to brokerage arrangements withcompetitive terms for major institutional customers.Higher margin requirements may be observed underalternative arrangements or when a broker establishesmargins exceeding exchange minimum levels.

Graham’s Trading Program

Graham trades Grant Park’s assets allocated to itin accordance with its K4D Program (previously theGlobal Diversified Program), which Graham has beentrading since February 1995, as described below.Margin requirements over time at standard leverageare expected to average about 13% to 20% of equityfor the accounts traded by Graham.

Graham reserves the right in extraordinarymarket conditions to reduce leverage and portfoliorisk if it feels in its sole discretion that it is in thepotential best interest of its clients to do so. Whilesuch actions are anticipated to occur veryinfrequently, no assurance can be given thatGraham’s actions will enhance performance.

The K4D Program utilizes multiplecomputerized trading models and offers broaddiversification in both financial and non-financialmarkets, trading in approximately 90–100 globalmarkets.

The systems that are utilized are intended togenerate significant returns over time with anacceptable degree of risk and volatility. The computermodels on a daily basis analyze the recent priceaction, the relative strength and the riskcharacteristics of each market and comparestatistically the quantitative results of this data toyears of historical data on each market.

In addition to the trend system or systems at itsbase, each Graham quantitative investment programhas added substantial other trading strategiesdeveloped by Graham’s research department. Grahambelieves strongly in the importance of research anddevelopment activity and particularly in thedevelopment of new trading strategies. As oneexample of such efforts, Graham has incorporated aproprietary multi-factor leverage model within eachof its trend-following programs to adjust theprogram’s exposure to key market sectorssystematically based on proprietary factors that assessthe potential of prices to trend in the near term. Other

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trading strategies developed by Graham research andadded to Graham investment programs include notonly a broad array of trend systems with varyingtime horizons as well as counter-trend tradingsystems and trading systems that do not seek toidentify or follow price trends at all. Such systemsgenerally are based on computerized mathematicalmodels and rely primarily on technical rather thanfundamental information as the basis for their tradingdecisions.

In addition, Graham may include as a part ofany investment program discretionary tradingstrategies that, unlike Graham’s quantitative tradingstrategies, determine trades subjectively on the basisof a Graham trader’s personal assessment of tradingdata and trading experience.

Graham believes that the use of multiple tradingsystems and strategies for each account can diversifythe management of a client’s capital, enhanceperformance and reduce volatility and risk. Counter-trend systems, non-trend systems and other strategiesmay add value attributable to their low correlation toGraham’s trend systems. Importantly, counter-trendsystems, non-trend systems and other quantitativestrategies may generate successful performanceresults in trading range type markets where there arefew long-term trends.

In connection with its programs’ quantitativetrading, Graham may employ discretion indetermining the leverage and timing of trades fornew accounts and the market weighting andparticipation.

Winton Capital Management

Winton Capital Management Limited, a UnitedKingdom company, became registered as acommodity trading advisor in January 1998, and as acommodity pool operator on December 16, 1998.Winton is a member of the NFA. Winton is alsoauthorized and regulated by the United Kingdom’sFinancial Services Authority (‘‘FSA’’). Winton’sprincipal office is located at 1-5 St. Mary Abbot’sPlace, London W8 6LS, United Kingdom, and itstelephone number is 011-44-20-7610-5350.

Management

The listed principals for Winton are DavidWinton Harding, Osman Murgian, Martin John Hunt,Anthony Daniell, Gurpreet Singh (Peter) Jauhal,David Beddall, Amur Jersey Limited and SamurJersey Limited.

David Winton Harding, born in 1961, foundedWinton Capital Management Limited inFebruary 1997, and is the firm’s managing director.Having graduated from Cambridge University with aFirst Class Honors Degree, he began his career in thefinancial industry in 1982. Between September 1982and December 1984, he held various positions as aUK Gilt trader and salesman at two UK stockbrokers:Wood MacKenzie and Johnson Matthey & Wallace.He then joined Sabre Fund Management Ltd, aCFTC-registered commodity trading advisor locatedin London, as an assistant technical trader andresearcher, and was later promoted to Director ofResearch. In December 1986, he moved to BrockhamSecurities Ltd (‘‘Brockham’’), a privately ownedsugar trading and managed futures company, to assistin the development and marketing of the firm’sfutures fund management services.

In February 1987, Mr. Harding left Brockhamand, together with colleagues Michael Adam andMartin Lueck, founded Adam, Harding and LueckLtd. (‘‘AHL’’), a computer-driven, research-basedcommodity trading advisor. By 1989, this firm hadgrown into the UK’s largest commodity tradingadvisor, with more than $50 million undermanagement. At that time, the principals sold a 51%stake to E D & F Man Group Ltd. (‘‘EDFM’’), oneof the largest distributors of futures fundsinternationally.

Between 1989 and 1993, when assets undermanagement rose to $300 million, Mr. Hardingheaded up AHL’s quantitative research team,supervising approximately 15 full-time research staff,supported by a software team of approximately adozen programmers. This team developed amultiplicity of quantitative trading strategies inaddition to AHL’s successful trend-following tradingapproach. During this time, Mr. Harding was alsoinvolved in the company’s international institutionalmarketing efforts, in particular in Europe, the MiddleEast, South East Asia, Japan and the U.S.

In September 1994, EDFM bought out theminority shares owned by Mr. Harding and theoriginal partners, and AHL was consolidated intoEDFM fund management division. Mr. Harding thenformed and headed up a new division of EDFM,called E D & F Man Quantitative Research, leading aresearch team that developed quantitative tradingmodels primarily for use by EDFM’s fundmanagement companies. Mr. Harding left EDFM inAugust 1996 and in February 1997 founded Wintontogether with Martin Hunt and Osman Murgian.

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Winton’s founding principle is the belief that robuststatistical research provides the richest and mostreliable source of information on market behaviour.Research has always constituted the largest area ofinvestment in the company, which remains privateand tightly controlled, employing around 130 people.In 2005, Winton set up a research ‘‘campus’’ in theOxford Science Park to better pursue its mission oflong term scientific research. In July 2007 Wintonopened a second research campus in Hammersmith.The company currently employs over 70 researcherswith PhDs and Masters degrees in such diverse fieldsas: operations research, statistics, actuarial science,extragalactic astrophysics and financial mathematics,with a distinct focus on practical application. Mr.Harding became a listed principal and associatedperson of Winton in January 1998.

Osman Murgian, born in 1934, is a foundingdirector of Winton. Educated at Brighton College inEngland, Mr. Murgian was also one of the originalshareholders and directors of AHL. Mr. Murgian livesin Nairobi, Kenya, and is the owner of or an investorin a number of international businesses ranging fromreal estate to transportation. Mr. Murgian has abeneficial interest of more than 10% of Winton’sshare capital. This interest is held by Samur JerseyLtd. and Amur Jersey Ltd., both of which areinvestment holding companies ultimately owned byMr. Murgian’s family foundation. Mr. Murgainbecame a listed principal of Winton in January 1998.

Martin John Hunt, born in 1962, is a director ofthe firm. Mr. Hunt began his career in the UKmanaged futures industry in October 1983 as atrainee trader for a trading advisor, Futures FundManagement Ltd. In January 1986, he was appointedmanager of the trading operations for Sabre FundManagement, also a trading advisor. InFebruary 1988, he joined AHL, then a newlyestablished trading advisor, where he was responsiblefor the company’s trading operations. Mr. Hunt’s rolewas to ensure the efficient execution of the firm’scomputer-generated futures and interbank orders onover $120 million of assets under management. Theseorders spanned more than 60 markets, five time zonesand 15 exchanges worldwide.

In August 1991, Mr. Hunt assumedresponsibility for marketing and operations atRoyston Investments, Ltd, which at the time was aCFTC-registered commodity trading advisor. InMarch 1994, he established himself as anindependent marketing and compliance consultant tofirms in the UK managed futures industry. These

consultancy activities continued until February 1997,when he was recruited by David Harding to handlethe formation, structuring and subsequent day-to-dayoperations of Winton. At Winton, Mr. Huntsupervises the trading operations and hasresponsibility for the firm’s regulatory complianceand finance. Mr. Hunt became a listed principal andassociated person of Winton in January 1998.

Anthony Hamilton Daniell, born in 1954, leadsWinton’s sales and marketing team. After 10 years inthe British Army, which included gaining a civilengineering degree, Mr. Daniell began his career inthe financial sector in March 1983 at David Allsoppand Partners, as an equity analyst following U.S.defense companies. He moved to Rowe and Pitmanin April 1986 where he became co-head of U.S.equity sales. From March 1994 to December 2001,Mr. Daniell was co-head of emerging markets andthen head of Latin American equities. Mr. Daniellwas responsible for cash and derivative sales, tradingand research and was promoted to managing directorin January 1999. From April 1986 to December 2001,as a result of a series of mergers and acquisitions,Rowe and Pitman changed its name a number oftimes and ultimately became part of UBS. Mr.Daniell left UBS in December 2001. In January 2002he started at Eday Ltd, an FSA registered privatelimited company which marketed absolute returnfunds. In 2003, Eday Ltd began to assist Winton’smarketing. In October 2004, Mr. Daniell joinedWinton and became a director in October 2006. Mr.Daniell became an associated person and listedprincipal of Winton in April 2005 and October 2006,respectively.

Gurpreet Singh (Peter) Jauhal was appointed tothe main Board of Directors at Winton CapitalManagement in August 2008. On the same date hewas appointed Chief Administrative Officer(Research). Mr. Jauhal studied Mathematics atCambridge University from September 1980 toJune 1983 before qualifying as an actuary in 1989.After a brief hiatus, he began his career as anactuarial assistant at Swiss Reinsurance, an insurancecompany, in August 1983, leaving in February 1985.In February 1985 he joined Mercer Human ResourcesConsulting, a consulting firm, again acting as anactuarial assistant until March 1986. In March 1986,he became an associate at Towers Perrin, a globalprofessional services firm, until April 1991. InApril 1991, he became an associate director at HayManagement Consultants, a consulting firm, untilApril 2001. In April 2001 he became a seniorconsultant at Mercer Human Resources Consulting,

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where he worked until March 2002, when he becamea managing director at Inbucon Consulting, aconsulting firm, until April 2004. He then became anassociate at Hewitt Associates, a human resourcesconsulting firm, from April 2004 until July 2006.Mr. Jauhal joined Winton as Director of Creativityand Motivation in August 2006. He had beenworking as a consultant for Winton since April 2004.Mr. Jauhal’s primary role has been organizationdesign and implementing strategies that have enabledthe company to grow more effectively. During thepast four years employees have risen from 30 to over200, the research department now numbers over 110and Winton has expanded from one to four officelocations. Mr. Jauhal became a listed principal ofWinton in September 2008.

Matthew Beddall was appointed to the mainBoard of Directors at Winton Capital Management inDecember 2008. He was appointed Chief InvestmentOfficer in December 2008. Mr. Beddall joined Wintonin 2001 as a researcher after his graduation fromSouthampton University with a first class honoursdegree in Mathematics and Computer Science. Forthe past seven years, Mr. Beddall has beenextensively involved in all aspects of the researchprocess and has led the development of much of thesoftware that underlies the design and running ofWinton’s trading strategy. Mr. Beddall also has anMSc in Applied Statistics from Birkbeck College,University of London. As CIO, Mr. Beddall’sresponsibilities are principally focused on managingthe investment process behind the Winton FuturesFund and overseeing a large section of the researchdepartment. Mr. Beddall became a listed principal ofWinton in January 2009. He became registered as anassociated person of Winton in February 2009.

Amur Jersey Limited became a listed principalof Winton in February 2007.

Samur Jersey Limited became a listed principalof Winton in February 2007.

Winton’s Trading Methods

Winton’s investment philosophy is directedtowards long-term capital appreciation throughcompound growth. This is achieved by pursuing adiversified trading scheme without reliance onfavorable conditions in any particular market, nordoes it depend on the general direction of marketprices. The investment technique of Winton’sDiversified Program, which Winton has been tradingsince October 1997, trades a portfolio of more than100 futures, options and forward markets(collectively referred to hereafter as trading in

‘‘commodity interests’’) on major commodityexchanges and forward markets worldwide,employing a totally computerized, technical,principally trend-following trading system developedby its principals. This system tracks the daily pricemovements from these markets around the world, andcarries out certain computations to determine eachday how long or short the portfolio should be tomaximize profit within a certain range of risk. Atrend-following system is one that attempts to takeadvantage of the observable tendency of the marketsto trend, and to tend to make exaggerated movementsin both upward and downward directions as a resultof such trends. These exaggerated movements arelargely explained as a result of the influence of crowdpsychology or the herd instinct, amongst marketparticipants. The Winton trading system has beendeveloped by relating the probability of the size anddirection of future price movements with certainindicators derived from past price movements whichcharacterize the degree of trending of each market atany time.

Trade selection is not subject to intervention byWinton’s principals and therefore, is not subject tothe influences of individual judgment. As amechanical trading system, the Winton modelembodies all the expert knowledge required toanalyze market data and direct trades, thuseliminating the risk of basing a trading program onone indispensable person. Equally as important is thefact that mechanical systems can be tested insimulation for long periods of time and the model’sempirical characteristics can be measured. Thesystem’s output is rigorously adhered to in tradingthe portfolio and intentionally no importance is givento any external or fundamental factors.

The Winton system trades in all the easilyaccessible and liquid commodity interests that itpractically can. As at the date of this document,Winton’s portfolio mainly consists of commodityinterests which are futures, options and forwardcontracts in the following areas: stock indices; bonds;short term interest rates; currencies; precious andbase metals; grains; livestock; energy and agriculturalproducts. Winton is constantly looking for newopportunities to add additional markets to theportfolio, thus further increasing the portfolio’sdiversification.

The trading strategy and account managementprinciples described here are factors upon whichWinton will base its trading decisions. Suchprinciples may be revised from time to time by

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Winton as it deems advisable or necessary.Accordingly, no assurance is given that all of thesefactors will be considered with respect to every tradeor recommendation made on behalf of a Programaccount or that consideration of any of these factorsin a particular situation will lessen a client’s risk ofloss or increase the potential for profits.

Welton Investment Corporation

Welton Investment Corporation is a Delawarecorporation and is the successor to a Californiacorporation originally formed in November 1988. InJanuary 1989, Welton became a registered commoditytrading advisor and commodity pool operator. Thefirm has been a member of the NFA since January1989 and is also a member of the Managed FundsAssociation, and the Alternative InvestmentManagement Association. Welton’s offices are locatedat the Eastwood Building, San Carlos between 5thand 6th, Carmel, California 93921-6147. The firm’stelephone number is (831) 626-5190. As of August31, 2008, Welton managed approximately $483million and had 18 employees.

Management

The listed principals of Welton are PatrickWelton, Annette Welton, Jerry Harris, Brent Hankins,and David Nowlin. All five principals have workedtogether at Welton for over 15 years.

Patrick Welton co-founded the firm in 1988, andserves as Chief Executive Officer and Chairman.Dr. Welton oversees the firm’s trading and researchefforts, and is the senior management reviewer of allrisk management reporting. Dr. Welton is also aprincipal of Welton Global Funds ManagementAssociation, which acts as the statutory commoditypool operator for Welton’s offshore funds. This entitywas registered as a commodity pool operator andcommodity trading advisor in February 1996. Dr.Welton has been active in futures, options, andequities market research since 1981 and was amember of the NFA Board of Directors from 1997 to2000. Dr. Welton has spoken at conferences, authoredarticles, participated in panel presentations and servedon committees for the MFA and the NFA. He is alsoan investment committee member of a Californiapension plan and an endowment. Dr. Welton holdsundergraduate, doctoral and postdoctoral degreesfrom the University of Wisconsin, UCLA andStanford University, respectively. Dr. Welton becamea listed principal and associated person of Welton inFebruary 1996. Dr. Welton also became an associatedperson and listed principal of Welton Global FundsManagement Corporation in February 1996. Welton

Global Funds Management Corporation is thestatutory commodity pool operator for Welton’soffshore fund and became registered as a commoditytrading advisor and commodity pool operator inFebruary 1996.

Annette Welton co-founded Welton in 1988, andserves as the Chief Operating Officer. Ms. Weltonoversees all corporate finance and operations for thefirm. She leads Welton’s executive team in additionto developing strategic corporate planning policy. Ms.Welton served in the MFA’s Public Relations andTrading and Markets Committees, as well as on theNFA’s Nominating Committee. She holds a BS fromUCLA. Ms. Welton has been a listed principal andassociated person of Welton since February 1996.Ms. Welton also became an associated person andlisted principal of Welton Global Funds ManagementCorporation in February 1996. Welton Global FundsManagement Corporation is the statutory commoditypool operator for Welton’s offshore fund and becameregistered as a commodity trading advisor andcommodity pool operator in February 1996.

Jerry Harris serves as Director of BusinessDevelopment. Mr. Harris leads Welton’s businessdevelopment efforts, drawing on 20 years of senior-level experience with various global alternativeinvestment firms. He has been member of AIMA,MFA, Center for International Securities andDerivatives Management (CISDM) and the FamilyOffice Exchange. Mr. Harris holds the CAIAdesignation and earned an MS from University ofSouthern California and a BS from the University ofVirginia. Mr. Harris has been with Welton since1993. Mr. Harris became a listed principal andassociated person of Welton in February 1993 andDecember 1992, respectively.

Brent Hankins is the firm’s Senior PortfolioManager. Mr. Hankins’ primary responsibilitiesinclude portfolio management, research anddevelopment of trading strategies, and oversight ofthe firm’s trading operations. Mr. Hankins has spokenat numerous alternative investment conferencesthroughout the U.S. and Asia. He holds the CAIAdesignation and earned a BS from CaliforniaPolytechnic University at San Luis Obispo. Mr.Hankins has been with Welton since 1993. Mr.Hankins became a listed principal and associatedperson of Welton in February 2000 and March 1993,respectively.

David Nowlin is the firm’s Chief ComplianceOfficer. Mr. Nowlin oversees all aspects of the firm’scorporate and regulatory compliance along with the

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administrative operations. Previously, he worked asan associate with the firms formerly known as PriceWaterhouse and Dean Witter Reynolds. Mr. Nowlinearned an MBA from Santa Clara University and aBA from Westmont College. Mr. Nowlin has beenwith Welton since 1993. Mr. Nowlin became a listedprincipal and associated person of Welton in February2000 and June 1994, respectively.

Welton’s Trading Program

Since its inception, Welton has offered managedfutures advisory services to trading managers,institutional and high net worth clients. Welton willuse its Global Directional Portfolio program,described below, in managing assets for Grant Park.

Global Directional, which has been trading sinceJune 2004, was designed to reliably improve the risk-adjusted returns of investors’ existing portfolios bydelivering non-correlated, peer-leading performance.To achieve this, three objectives drove GlobalDirectional initial design and remain the guidingobjectives of the program today:

(1) Diversify investors’ existing equity, fixedincome and alternative asset holdings;

(2) Minimize investors’ manager-selection risk;and

(3) Achieve top-tier performance versus peers.

Global Directional’s competitive advantage isderived from design clarity, disciplined diversificationacross many portfolio architectural elements (strategiccontribution, analytic inputs, market application, etc.),capital allocation proportional to degree of edge, andWelton’s emphasis on rigorous product qualityassurance practices.

The early clarity of Global Directional’s goalshas been a significant differentiator for this program.It has unified Welton research efforts and continues toserve as a constant reminder of the performance traitsGlobal Directional is charged with delivering for itsinvestors. Global Directional’s design straddles thecharacteristics of both managed futures andsystematic global macro. In addition, its design isexceptionally diversified in a disciplined andsystematic way across 4 broad sectors within 95markets, providing not only risk managementbenefits, but also expanding Global Directional’sopportunity set for possible incremental alphageneration. Furthermore, Global Directional’sportfolio management system is capable ofdynamically allocating exposure based on thestrength of the many opportunities the portfolio is

constantly assessing in a systematic way from the‘‘bottom’s up’’ through the many model-marketcombinations engaging and disengaging within theirindividual, segregated risk budgets. The net effect ofthis then is rather than allocating exposure from the‘‘top down’’ through static limits or ever changingdiscretionary amounts, the Global Directionalportfolio exposure enables its alpha generatingtendencies (exposure) to expand when more model-market combinations ‘‘line up’’ in one direction witha confirmation of possible opportunities in a givensector or sub-style model or alternatively theportfolio’s alpha generating tendencies (exposure)will decrease when the signals of variousmodel-market combinations are less clearly definedand cross each other or go flat.

Global Advisors L.P.

Global Advisors L.P. was formed as a limitedpartnership in England and Wales on March 1, 2001.Global Advisors is authorized and regulated by theUnited Kingdom Financial Services Authority(‘‘FSA’’), is registered as a commodity tradingadvisor and has been a member of the NFA sinceJune 2001. Global Advisors’ offices are located at19 Berkeley Street, Fourth Floor Rear, London, W1J8ED, England. The firm’s telephone number is +44-20-7629-1117.

The investment and trading strategy of GlobalAdvisors and the implementation thereof is conductedby Global Advisors Limited (‘‘GAL’’) in its capacityas general partner of Global Advisors. GAL is alimited liability company which was incorporated inEngland in October 1996. GAL has been registeredas principal of Global Advisors with the NFA sinceJune 2001.

Management

The listed principals of Global Advisors areRussell Newton, Daniel Masters and Global AdvisorsLimited.

Russell Newton is a limited partner of GlobalAdvisors and a director and shareholder of GAL. Hehas been registered as a principal and an associatedperson of Global Advisors since June 2001 with theNFA, and as an approved person of Global Advisorswith the FSA. Mr. Newton, supported by his team ofquantitative analysts, is solely responsible for the riskmanagement, research and portfolio management ofthe Global Commodity Systematic Program. Togetherwith Mr. Masters, Mr. Newton co-manages thediscretionary client accounts of Global Advisors. Mr.Newton is based in London. From July 1994 to

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February 1999, Mr. Newton was employed by theMorgan Guaranty Trust Company (MGT) in London.His most recent position, held since mid-1997, wasglobal commodities strategist. This post covered baseand precious metals as well as energy, and includeddevelopment and execution of new derivative tradestructures, market analysis (economic, fundamental,statistical and technical), market modeling andtechnical trading system design. Prior to this, Mr.Newton was head of European Energy Trading atMGT, while also trading forward, futures, physicaland swaps speculative book, focusing on Brent andDubai crude oils.

From 1987 to 1994, Mr. Newton traded NorthSea and Middle Eastern crude oil markets for ShellInternational Trading Company (fromSeptember 1986 to November 1992), Phibro (fromDecember 1992 to January 1994) and finallyRheinOel Limited from (January 1994 to July 1994),all in London. In the late 1980s, while head offutures and forwards trading at Shell InternationalTrading Company, he was among those responsiblefor developing pricing models of the Brent CFDmarket. Mr. Newton received a Bachelor of Arts(Honors) in Natural Sciences (ExperimentalPsychology) from Cambridge University, UK, in1986. Mr. Newton became a listed principal andassociated person of Global Advisors in June 2001.Mr. Newton was registered as a listed principal andassociated person of Global Advisors Jersey Limitedas of December 2008 and January 2009, respectively.Global Advisors Jersey Limited is a financial servicesfirm and was registered as a NFA member andCommodity Trading Advisor in January 2009.

Daniel Masters is a director and shareholder ofGAL. Mr. Masters is a beneficial owner of RadigundPartnerships, Inc. and Radigund Management, LLC,each of which are limited partners of GlobalAdvisors. Mr. Masters is responsible for tradeexecution for the Global Commodity SystematicProgram. Together with Mr. Newton, Mr. Mastersco-manages the discretionary client accounts ofGlobal Advisors. Mr. Masters is based in New York.Mr. Masters became a listed principal of GlobalAdvisors in October 2008. Mr. Masters wasregistered as a listed principal and associated personof Global Advisors Jersey Limited as of December2008 and January 2009, respectively. Global AdvisorsJersey Limited is a financial services firm and wasregistered as a NFA member and Commodity TradingAdvisor in January 2009.

Prior to commencing the business of GAL (andits predecessor firm), Mr. Masters was employed byMGT in New York from February 1994 toFebruary 1999. His most recent position at MGT washead of the global energy trading business. In thiscapacity he directed trading strategies and wasresponsible for risk management for a group ofapproximately 30 individuals. Mr. Masters’responsibilities included all actively traded energybases including physical markets, forwardtransactions, swaps, options and exotic derivativeproducts. Mr. Masters was also responsible fordirecting research into methods of profitingsystematically from the price, political andfundamental information available in the energymarkets. From July 1987 to January 1994, Mr.Masters was employed by the Phibro Energy Divisionof Salomon, Inc. (‘‘Phibro’’). His responsibilities atPhibro included several trading and risk managementfunctions. He was involved in the establishment ofthe UK natural gas and electricity markets,transacting some of the first electricity forwardagreements and some newly structuredoptions-related physical natural gas deals. Prior tothis, Mr. Masters held a senior trading position in theZug, Switzerland, office of Phibro, where he ran aspeculative forward, physical and futures bookfocused on the Atlantic Basin region, including Brent,WTI, Dubai and several other physical grades. Healso was an original and subsequently very activeparticipant in the Contract for Difference (‘‘CFD’’)market in Europe, trading based on pricerelationships between physical crude andcorresponding futures. Mr. Masters’ first employment,from September 1985 to June 1987, was with ShellInternational Trading Company in London, UK, withShell included physical oil trader in the European andMediterranean region, energy risk manager and co-coordinator of a portfolio of physical North Seacrude oils. Mr. Masters earned a Bachelor of Science(Honors) in Physics from Exeter University, UK in1984, and a Masters in Management Science andOperational Research from Imperial College, London,UK in 1985.

Global Advisors Limited became a listedprincipal of Global Advisors in June 2001.

Global Advisors’ Trading Program

Global Advisors uses a program known as theGlobal Commodity Systematic Program in trading forGrant Park.

Global Advisors operates a fully automated andsystematic quantitative trade and portfolio

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management tool that has been developed for thecommodity futures markets. This tool has beendesigned to run as a low volatility, low draw-downsystem that provides diversification across a widerange of instruments, including inter- andintra-commodity spreads. It trades infrequently andincrementally with the aim of reducing the effects oftransaction costs and to increase capacity within itsmarkets. Global Advisors uses the systematic tooldescribed above to manage Grant Park’s relativeexposure to the commodity markets.

The system is comprised of three parts:

• The first part processes the data and thenextracts those features relevant to thetrading system, discarding noise in anadaptive and novel manner.

• The second part then takes this feature setand applies the trade models, outputting aset of positions and stops across thecommodity portfolio.

• The third and final part of the systemcomprises the portfolio overlay.

Transtrend B.V.

Transtrend is a Dutch limited liability companyformed in November 1991 to provide commoditytrading advisory services to selected clients.Transtrend has been registered as a commoditytrading advisor and commodity pool operator sinceSeptember 23, 1994, and has been a member of theNFA since September 1994. Transtrend is alsolicensed as a portfolio manager, and subject to,among others, regulation by the NetherlandsAuthority for the Financial Markets (‘‘AFM’’). Thebusiness office of Transtrend, where its books andrecords are kept, is located at Weena 723, UnitC5.070, 3013 AM Rotterdam, The Netherlands andits telephone number is +31-10-453-6500. As ofAugust 31, 2008, Transtrend managed approximately$6.8 billion, including notional funding.

Transtrend specializes in the design andmanagement of consistent systematic tradingstrategies based on quantitative analysis of pricebehavior while attempting to control risks.Transtrend’s first approved trading system started inOctober 1991 after four years of in-depth priceresearch and product development. UntilOctober 1993, Transtrend managed substantialproprietary accounts with comparable returns basedon (at the time) identical trading systems. As ofOctober 1993, Transtrend has offered its expertise tothird parties. Apart from trading in the OTC market,

Transtrend operates on approximately 50 differentfutures and option exchanges in approximately 25countries on five continents.

Management

The listed principals of Transtrend are JohannesP.A. van den Broek, Harold M. De Boer, Mark H.A.van Dongen, Andre P. Honig and Robeco NederlandB.V.

Johannes ‘‘Joep’’ P.A. van den Broek (born in1969) graduated in August 1995 with a MasterDegree in Business Economics from ErasmusUniversity Rotterdam. He joined Transtrend as atrader in December of 1995. In October 1997, he wasappointed Deputy Director (for Trading) therebybecoming a member of Transtrend’s managementteam. Effective as of January 1, 1999, Mr. Van denBroek was appointed a Managing Director ofTranstrend. Mr. Van den Broek has been registered asan associated person of Transtrend since October 2,1998, and listed as a principal of Transtrend sinceJanuary 22, 1999, and has been a member of theNFA since July 30, 1998.

Harold M. De Boer (born in 1966) graduated in1990 with a Master Degree in Applied Mathematicsfrom Universiteit Twente in The Netherlands. InDecember 1989 he worked in conjunction with thepredecessor of Transtrend for his thesis titled‘‘Cointegration in Commodity Futures Markets.’’ InApril of 1990, he joined the predecessor ofTranstrend as a research analyst. In 1992 he becameresponsible for Transtrend’s research department, andas of October 1997, he became a member ofTranstrend’s management team with the title ofDeputy Director. Effective August 1, 1999, he wasappointed a Director of Transtrend, and effectiveMarch 1, 2007 he assumed the role of a ManagingDirector of Transtrend. Mr. De Boer’s primaryresponsibility remains research and productdevelopment. Mr. De Boer has been listed as aprincipal of Transtrend since November 15, 1999.

Mark H.A. van Dongen (born in 1968)graduated in 1991 with a Master Degree inEconometrics from the Catholic University ofBrabant. He joined Transtrend as a research analystin 1992 and was appointed Deputy Director (researchand operations) in 1997. Effective as of March 1,2007, Mr. Van Dongen was appointed an ExecutiveDirector of Transtrend. Mr. van Dongen has beenregistered as an associated person of Transtrend sinceAugust 21, 1998, and has been a member of the NFA

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since July 30, 1998. In addition, Mr. van Dongen hasbeen listed as a principal of Transtrend sinceMarch 12, 2007.

Andre P. Honig (born in 1967) graduated in1991 with a Master Degree in Business Econometricsfrom Erasmus University Rotterdam. He obtained theCertified European Financial Analyst degree in 2000.After having worked as a consultant for the businessconsultancy firm Ortec Consultants from 1992 to1996 and for the business consultancy firm KPMGConsulting from 1996 to 2000, he joined Robeco inJanuary 2000 where he was responsible forconsultant relations until October 2002 and where hewas general manager of Robeco Gestions, the Parisasset management branch of Robeco, fromNovember 2002 until April 2004. In May 2004, Mr.Honig joined Transtrend as Deputy Director InvestorRelations. Effective as of March 1, 2007, Mr. Honigwas appointed an Executive Director of Transtrend.Mr. Honig has been registered as an associatedperson of Transtrend since October 12, 2004, and hasbeen a member of the NFA since October 1, 2004. Inaddition, Mr. Honig has been listed as a principal ofTranstrend since March 21, 2007.

Robeco Nederland B.V. has been a listedprincipal of Transtrend since July 2002.

The aforementioned principals of Transtrendeach have an academic degree and ample experiencein dealing with derivative markets.

Shareholder

100% of the voting interest in Transtrend isowned by Robeco Nederland B.V., which is awholly-owned subsidiary of Robeco Groep N.V.,which in its turn is 100% owned by CoöperatieveCentrale Raiffeissen-Boerenleenbank B.A. (RabobankNederland). Robeco Nederland B.V. has been listedas a principal of Transtrend since July 8, 2002.

Transtrend’s Trading Program

Transtrend trades its Diversified Trend Program,subset Enhanced Risk for Grant Park. Transtrend hasoffered its Diversified Trend Program to third partiessince October 1993. Transtrend’s Diversified TrendProgram can at any time be (net) long, short, orneutral in any given market, and the program mayinclude any known futures market, including OTCcurrency positions.

The applied principles of risk management playa dominant role in Transtrend’s trading program,which is designed to pursue capital growth within thelimits of a defined risk tolerance. The program is

entirely based on quantitative analysis of signaledprice behavior of outright futures and of intra-marketand/or inter-market combinations of futuresconcerned and therefore not on fundamental analysis.

The program may enter into both long and shortpositions in any of the futures involved, or they mayhave no position. Long and short positions are likelyto be leveraged and unhedged and/or uncovered. Thedegree of leverage is implicitly determined by therisk/reward profile selected by the client. The degreeof leverage can be expressed as the number ofcontracts traded or held in position per million U.S.dollar under management. A higher degree ofleverage represents a higher degree of risk as it goeshand in hand with a higher number of contracts heldin a position for each U.S. dollar under management.As such, a selected risk profile has a consequence forthe number of contracts traded and/or held in aposition for each U.S. dollar under management.

The program is systematic by nature andrequires a consistent application. Therefore,discretionary inputs are not essential to theeffectiveness of the program. Exceptional marketcircumstances of the observed past, both favorableand unfavorable, are integrally reflected in thepresented performance profile of the program. WhileTranstrend generally will not use discretionary inputsin trading client accounts, in the event of exceptionalmarket circumstances, Transtrend may use discretionin an attempt to limit risk to a position or account.The use of discretion by Transtrend may have apositive or negative impact on performance.

Transtrend defines the portfolio composition andthe relative weighting of futures within each portfolioirrespective of the outcome of historical trades. Theguiding principle is a strategic diversification inpursuit of a maximum attainable risk spreading,taking correlation analysis and degrees of profitexpectancy into account. As the applied strategiesrequire particular transaction sizes to allow formultiple entry and exit points and because certainminimum transaction sizes may be required orrecommendable, the attainable degree ofdiversification is among others a function of theamount under management. Generally, largeraccounts have a higher degree of diversification.

Specific risk provisions are computed for eachmarket exposure. The risk provisions are designed tohave a pre-defined reliability. In all trading systemsthe assessment of price volatility plays a prominentrole. Risk assessments are determined on the basis ofa regular or continuous evaluation of daily price

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behavior, possibly leading to regular adjustmentsduring the lifetime of exposures. In most tradingsystems there are elements which identify and respectthe dominant market direction. The trading systemsare designed to exploit recurring, non-randomcharacteristics of price behavior in all markets. Thetotality of the advised trades has thus far representedan ‘elevated collective profit expectancy’ over thecourse of time and is expected to provide the basisfor future profitability as long as past and futuremarket behavior remain generally compatible overtime. The applied market approach does not forecastmarkets or price levels but participates in asystematic and dynamic way in signaled pricepatterns. The trading systems exploit directional pricemovement of outright prices, of time spreads in oneor more time frames and of inter-market and -productcombinations.

One of the strengths of Transtrend’s DiversifiedTrend Program is the disciplined, systematic anddynamic nature of market participation. The overallperformance is determined by the entirety of allmarkets and all trades. The results of individualtrades deserve only limited attention in a portfoliostrategy. In a systematic market approach, theconsistent (i.e. disciplined) application by Transtrendand a consistent (i.e., prolonged) participation by theclient are both essential to realize the pursued returnsover the course of time.

Quantitative Investment Management LLC (QIM)

Management

The listed principals for QIM are JaffrayWoodriff, Michael Geismar, Greyson Williams, RyanVaughan and Paul McKee.

Jaffray Woodriff has 21 years of experiencetrading financial markets using proprietaryquantitative models that he has developed. In April2003, Mr. Woodriff co-founded QIM to offer theGlobal Program to outside clients. He guides allaspects of QIM’s business and is chiefly responsiblefor the innovation and improvement of the modelsand techniques that underlie QIM’s predictions,trading, and risk management. Mr. Woodriff becamean associated person and principal of QIM in January2004.

Mr. Woodriff served as head trader for BlueRidge Trading, Ltd. from October 1991 toSeptember 1994. Blue Ridge Trading, Ltd. wasregistered as an introducing broker (‘‘IB’’) inJuly 1989 and as a commodity trading advisor inDecember 1991. Mr. Woodriff was registered as an

associated person and principal of Blue RidgeTrading in July 1994. Blue Ridge Trading withdrewits designation as an IB in September 1992 and as aCTA in September 1994, at which time Mr. Woodriffwithdrew as an associated person and was no longerregistered as a principal of that firm. InOctober 1994, Mr. Woodriff founded, and became anassociated person and principal of Woodriff Trading,which was registered as a CTA in October 1994. Mr.Woodriff left the firm, and withdrew his associatedperson and principal status from Woodriff Trading, inJanuary 1998 at which time the firm’s designation asa CTA was withdrawn. In January 1998, he joinedSociété Générale in its New York office, where heserved for two years as a director in the treasurydepartment, trading proprietary funds in futures,currencies and U.S. equities. Following his departurefrom Société Générale in March 2000, Mr. Woodriffand Mr. Geismar began managing their own moneyin a short-term, market-neutral equities program. InMarch 2000, the two co-founded DHR, LLC, abroker-dealer, registered with the SEC, whereMr. Woodriff was affiliated until December 2005. InOctober 2002, Mr. Woodriff also co-foundedBiomind, a bioinformatics consulting and softwarefirm. Biomind is still in existence, but occupies anextremely small portion of Mr. Woodriff’s time. Mr.Woodriff graduated from the University of Virginiawith a B.S. in Commerce in 1991.

Michael Geismar co-founded QIM in April 2003with Mr. Woodriff after 18 months of trading theirproprietary accounts. As the head of trading for QIM,he implements the firm’s investment models andoversees its portfolio management. Mr. Geismar alsomanages investor relations and QIM’s generalbusiness affairs. Mr. Geismar became an associatedperson of QIM in November 2005, and a principal ofQIM in January 2004.

Mr. Geismar and Mr. Woodriff first workedtogether from January 1994 until August 1994, whenMr. Geismar was an assistant trader at Blue RidgeTrading. Mr. Geismar then worked as an actuary andbenefits consultant for Towers Perrin, a financialconsulting firm, from September 1994 untilAugust 1996. After that he worked as an associate atCoopers & Lybrand, an accounting firm, fromAugust 1996 until October 1997, as an analyst atWilliam M. Mercer, a consulting firm, fromOctober 1997 until October 1998, and as an analystat Capital One Financial, a financial services firm,from October 1998 until February 2000. InFebruary 2000, he rejoined Mr. Woodriff, assisting inthe development of an equities investment program

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that led the two to co-found DHR LLC, a broker-dealer, registered with the SEC, in March 2000,where Mr. Geismar was affiliated until December2005. Mr. Geismar graduated from the University ofVirginia in 1994 with a B.A. in Mathematics and aminor in Statistics.

Greyson Williams co-founded QIM after joiningMr. Woodriff and Mr. Geismar as a consultant toDHR in December 2002. He serves as an analyst,assists in statistical analysis and the development ofpredictive and risk models, and manages the internaldatabases and in-house software development. Mr.Williams became an associated person of QIM inNovember 2005, and a principal of QIM inJanuary 2004.

Mr. Williams has spent the past 10 yearsspecializing in the collection, management, analysis,and application of financial information and marketdata. He worked as an analyst in the Bank Mergers& Acquisitions department at SNL Securities fromAugust 1997 until May 1999, serving as Director ofBanking M&A Research from May 1999 until hisdeparture in August 2000. After a brief hiatus, Mr.Williams co-founded VW Capital LLC, in December2000, a firm created to map complex merger termsinto programmatic models for interfacing with real-time market data, where he remained affiliated untilSeptember 2002. In October 2002, he founded JobeAnalytics & Consulting, Ltd., a financial informationmanagement consulting firm. Jobe is still in existencebut occupies an extremely small portion of Mr.Williams’ time. Mr. Williams graduated from theUniversity of Virginia in 1995 with a B.A. in Englishand a minor in Art History.

Ryan Vaughan is the Chief Financial Officer forQIM. Mr. Vaughan began has career at QIM inSeptember 2005. Prior to joining QIM, Mr. Vaughanfounded and worked for Blue Ridge PlanningServices as a financial advisor from February 2004 toSeptember 2005. He also worked as a registeredtrainee for UBS PaineWebber, a financial servicescompany, from September 2002 until February 2004.In December 2000, Mr. Vaughan and Mr. Williamsfounded Vaughan Williams Capital LLC, a firmcreated to map complex merger terms intoprogrammatic models for interfacing with real-timemarket data where he remained affiliated untilSeptember 2002. Prior to Vaughan Williams Capital,Mr. Vaughan worked as a director of the BankIndustry Group for SNL Securities LLC, a financialinformation and research company, from March 1999to December 2000, and as an analyst covering the

banking industry for Friedman Billings Ramsey, afinancial services firm, from September 1997 toMarch 1999. Mr. Vaughan graduated from theUniversity of Virginia in 1993 with a BS inCommerce, concentrating in Management InformationSystems. Mr. Vaughan graduated from the Universityof Georgia in 1995 with an MBA and spent twoyears as a PhD student in the University of NorthCarolina — Chapel Hill Finance Department. Mr.Vaughan was awarded the Chartered FinancialAnalyst (CFA) designation in 2003. Mr. Vaughanbecame registered as an associated person of QIM inJune 2006. He became a listed principal of QIM inOctober 2006.

Paul McKee is the Head of Trading Systems andAnalysis at QIM. Mr. McKee serves as an analyst, aprogrammer and a researcher, focusing mainly ontrading algorithms, predictive models and newmathematical techniques. Mr. McKee was a researchphysicist at the University of Virginia fromSeptember 2000 to October 2004. His research wasprimarily conducted at Department of Energy particleaccelerator facilities in Newport News, Virginia, andStanford University, California. After a 2-monthhiatus, Mr. McKee joined QIM in January 2005. Mr.McKee graduated from Georgetown University in1990 with a B.S. in Physics and a minor in ComputerScience, from the University of Virginia in 1995 withan M.A. in Physics, and from the University ofVirginia in 2000 with a Ph.D. in Nuclear Physics. Mr.McKee became an associated person and listedprincipal of QIM in February 2009 and March 2009,respectively.

Trading Methodology

Background

Jaffray Woodriff has spent his career creating astatistical learning method for time series prediction.Over the course of the past 21 years, he has meshedthis endeavor with an interest and career in thefinancial markets. Mr. Woodriff has managed clientaccounts as a CTA and also has spent two yearstrading on a Wall Street firm’s proprietary desk. InApril 2000, Mr. Woodriff and Mr. Geismar launcheda proprietary market neutral equities program. InDecember 2001, Mr. Woodriff and Mr. Geismarbegan to manage a proprietary futures account usingthe Global Program methodology. In October 2003,after managing this account for almost two years, Mr.Woodriff, Mr. Geismar and Mr. Williams decided tooffer the Global Program to clients.

QIM was registered as a commodity tradingadvisor and commodity pool operator in January

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2004 and April 2005, respectively. QIM became amember of the NFA in January 2004.

Predictive Modeling

Numerous small inefficiencies exist in financialmarkets which can be exploited. QIM’s GlobalProgram looks to take advantage of theseinefficiencies through the prudent use of robustquantitative analysis and predictive technologies.

QIM currently employs numerous quantitativetrading models that utilize pattern recognition topredict price movements. All models are tested acrossmassive data sets that expose them to a wide rangeof market, economic, and political environments, aswell as a wide range of time frames and interactions.Only those models that prove to be the most robust,statistically significant, and conceptually diverse areused in actual trading. The resultant system ofmodels creates predictions on a daily basis that haveresulted in outperformance versus most benchmarksover the past six and a half years.

Risk Management

QIM applies highly complex risk managementprocedures that take into account the price, size,volatility, liquidity, and inter-relationships of themarkets traded. On the portfolio level, account risk ismonitored on a daily basis to target a specificstandard deviation or daily returns. For the standardversion of the Global Program, annualized volatilityis targeted at 12%. During significant drawdowns inequity, QIM reduces market exposure by scaling backthe overall leverage.

Execution

The execution of QIM’s trading strategies issystematic. All facets of the predictive models, riskmanagement, and trade allocation are fullyautomated. However, discretion plays a role in theevolution of the trading system over time as QIMdoes seek improvements to the trading strategy.

In addition to the numerous technologies drivingthe daily trading, QIM’s staff monitors every marketin which it trades on a daily basis and monitorsnumerous other factors, including, but not limited to:volume and open interest, news, correlation pairings,cash prices, opening calls, slippage and volatility.

The trading is discretionary in that finaldecisions are made, and systems can be overridden,based on the full set of information that has beencompiled. That being said, the trading system hasnever been overridden.

Revolution Capital Management LLC (RCM)

RCM is a Colorado limited liability company.RCM has been registered as a commodity tradingadvisor and commodity pool operator with the CFTCand has been a member of the NFA sinceDecember 27, 2004. Trading systems developmentdecisions will be made jointly by the three principals.RCM’s address is 10955 Westmoor Drive, Suite 400,Westminster, CO 80021. Its telephone number is(303) 379-2867. RCM’s main business is commodityfutures technical research and management ofcommodity futures trading portfolios.

Management

The principals of RCM are Michael Mundt,Mark Chapin and Theodore Robert Olson.

Mr. Mundt’s tasks primarily consist of modeldevelopment, business/marketing, and coordinatingRCM’s overall business and trading strategy. He hasbeen in the managed futures industry for seven years.Mr. Mundt was registered as an associated personand listed principal of Analytic Investments LLC(AILLC), an NFA member and CPO registered withthe CFTC from April 1999 through August 2003. Mr.Mundt’s background is in engineering and appliedscience. He received his Bachelor of Science degreein Aerospace Engineering from the University ofColorado in 1989. He was awarded a Ph.D. inAerospace Engineering in 1993, also from theUniversity of Colorado; his thesis involved theexploration of chaos and turbulence in simpleweather/climate models. After spending a few yearsin academia at both the University of Colorado andthe University of California at Santa Cruz, Mr.Mundt transitioned into the technology industry. Hewas employed by Seagate Technology as an engineerspecializing in computational fluid mechanicsbetween March 1998 and July 2007. He currentlyholds nineteen U.S. patents in the area of disk-drivehead/disk mechanics. Mr. Mundt has been registeredas an associated person and listed principal of RCMsince December 2004.

Mr. Chapin’s primary focus is the developmentof short-term trading methodologies for RCM.Mr. Chapin received his Bachelor of Science degreefrom Clarkson University in 1997 and his Masters ofScience degree from the University of California atBerkeley in 1999. Both degrees are in mechanicalengineering. Mr. Chapin has an extensive backgroundand also a strong interest both in algorithms and theirimplementation in numerical code. Mr. Chapin wasemployed by Seagate Technology between June 1999and July 2007, where he worked on advanced

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concepts in the head/media department. He currentlyholds twelve U.S. patents in the area of disk-drivehead/disk mechanics and has co-authored severalpeer-reviewed journal articles. Mr. Chapin has notbeen previously employed by a managed-futures firm.He has been an NFA-registered principal of RCMsince October 2005 and has been registered as anassociated person of RCM since June 2008.

Mr. Olson oversees the architecture anddevelopment of the hardware and software computinginfrastructure at RCM. Mr. Olson received hisBachelor of Science degree in Aerospace Engineeringat the University of Arizona in 1989. He received hisMaster’s and Doctorate degrees in AerospaceEngineering at the University of Colorado in 1992and 1996, respectively. Mr. Olson was employed atRaytheon Technology, an aerospace defensecontractor, from June 1996 through June 2006. Hisprimary job duties included code/softwaredevelopment, data analysis, and the development ofstatistical algorithms to process high-frequency, real-time data. Mr. Olson is familiar with a wide range ofcomputing languages, operating systems andapplication software. Mr. Olson has not beenpreviously employed by a managed-futures firm. Hehas been an NFA-registered principal of RCM sinceSeptember 2005 and has been registered as anassociated person of RCM since June 2008.

RCM’s Trading Program

RCM utilizes rigorous statistical methods touncover and exploit numerous inefficiencies in futuresmarkets. RCM utilizes multiple different modelarchitectures encompassing several hundredindependent signal generators for each market tradedand combines these signals in a proprietary mannerto maximize risk-adjusted performance. All tradingsignals are generated and followed in a systematicmanner, although RCM reserves the right to overridethe system in a discretionary manner in the event ofextreme or extraordinary market conditions. RCM’soverall model ensemble exploits inefficiencies overshort- to long-term time scales, which we define as a1 to 200 day range. The models attempt to profitfrom price trends, but not all of the models used are‘‘trend-following’’ in nature. RCM is involved inongoing research and development and will continueto add models to the trading ensemble as they aredeveloped and validated. The offered tradingprograms use various combinations of models fromthe ensemble. Thus, the overall strategy for anoffered program may change over time, and clientswill not necessarily be informed of these changes asthey occur.

RCM employs sophisticated risk-managementtechniques that account for long-term volatility, short-term volatility, the number and liquidity of themarkets traded, and the dependencies/inter-relationships between markets and market sectors.The account positions are automatically balanced onan ongoing basis to maximize the expectedrisk-adjusted return of the account.

The execution of the trading system is fullyautomated: data acquisition, data processing, andorder requests are all automated. Nonetheless, inorder to minimize the probability of mistakes, allpotential orders are validated by RCM’s principalsbefore actual execution occurs.

Mosaic Program

The Mosaic Program incorporates only short-term models into its aggregate system. The exclusionof a long-term component is intended to reduce thepositive correlation to the performance of long-term(generally trend-following) strategies.

In order to improve the performance or liquidityof the trading systems, RCM may alter both themarkets in which they trade and also thesector/market allocations at any time. The client willnot be notified of such changes as they may occur.

All markets currently traded are on regulatedexchanges. All markets that are not currently tradedbut may be in the future would also be on regulatedexchanges. Any offsetting positions will be treated ina standard first-in, first-out (FIFO) manner.

Supplemental Information

RCM and DUNN Capital Management, Inc.,have a strategic relationship. Under the currentagreement, DUNN offers to provide consulting,testing, marketing, trade execution and back officesupport for RCM accounts and in return, RCM hasagreed to a fee sharing arrangement from accountsbenefiting from DUNN’s services.

Trading Policies of Grant Park

The objective of Grant Park is to achieveappreciation of its assets through trading in futurescontracts, forward contracts, options contracts andother interests in commodities. The general partnerand the trading advisors follow the operating policiesdescribed below in attempting to achieve thisobjective.

Liquidity

Grant Park invests primarily in futures contractsand other commodity interests that are traded in

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sufficient volume to permit, in the opinion of thetrading advisors, ease of taking and liquidatingpositions.

Spot Commodities

Although Grant Park does not expect to make ortake delivery of commodities, it is authorized to doso. In addition, Grant Park may from time to timetrade in spot, or cash, commodities.

Leverage

Grant Park normally will not be as highlyleveraged as permitted in the case of an investmentby an individual investor, and the trading advisorsmay use less than the otherwise available amount ofleverage in the application of certain moneymanagement techniques on behalf of Grant Park.Historically, Grant Park’s ratio of margin to equityhas typically been between 8% to 15%, but it canrange from 5% to 33%.

Borrowings

Grant Park does not currently trade in cashcommodities. Also, since inception, Grant Park hasnot been required to take physical delivery, and doesnot anticipate being required to do so in the future.However, in the unlikely event that physical deliveryis required, the general partner believes that it wouldbe able to borrow sufficient funds from U.S. banks at

current market rates to provide the funds necessary toaccept such delivery.

Spreads and Straddles

Grant Park may employ spreads or straddles inits trading. Spreads and straddles are futures tradingtransactions involving the simultaneous buying andselling of a particular futures contract in the same ora related commodity but involving different deliverydates. The purpose of these trades is to earn profitsfrom a widening or narrowing movement of the twoprices of the futures contracts.

Pyramiding

Grant Park does not employ the technique,commonly known as pyramiding, in which thespeculator uses unrealized profits on existingpositions as margin for the purchase or sale ofadditional positions in the same or anothercommodity interest.

Modifications in Trading Policies

The advisory contracts require the tradingadvisors to notify the general partner of any materialmodification in trading policies promptly and in anyevent no less than 10 business days prior toinstitution of the modification. The general partnerwill not be notified of non-material changes in thenature or types of commodity interests traded.

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PERFORMANCE OF GRANT PARK — CLASS A UNITS(Unaudited)

As required by CFTC regulations, the past performance record of Grant Park’s Class A units for the lastfive full calendar years is presented below. The past performance record of Grant Park Class A units sinceGrant Park’s inception in January 1989 appears in the Statement of Additional Information on page 166.

While the performance record set forth in the table below has not been independently audited, the generalpartner believes that the information presented is accurate. All performance information is shown net offees and expenses.

Name . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Grant Park Futures Fund Limited Partnership(Class A units)

Type . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Privately offered (through February 2003); Publiclyoffered beginning June 30, 2003; Multi-advisor

Inception of trading . . . . . . . . . . . . . . . . . . . . . . . . . January 1989Aggregate gross subscriptions at December 2008 . . . . . $144,552,551Net asset value at December 2008 . . . . . . . . . . . . . . . $89,119,649Worst monthly percentage draw-down (Since January

2004)(1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (11.66%) 04/04Worst peak-to-valley draw-down (Since January 2004)(2) (23.65%) 02/04 − 08/04

Rate of Return(3)

(Through the Month Ended December 31, 2008)2008 2007 2006 2005 2004

January . . . . . . . . . . . . . . . . . . . . . . 2.49% 1.25% 3.49% (5.96%) 0.38%February . . . . . . . . . . . . . . . . . . . . . . 9.66 (4.18) (3.28) 3.42 7.33March . . . . . . . . . . . . . . . . . . . . . . . (0.63) (4.55) 4.06 (0.51) (1.40)April . . . . . . . . . . . . . . . . . . . . . . . . (0.13) 5.23 9.46 (5.05) (11.66)May . . . . . . . . . . . . . . . . . . . . . . . . 2.11 4.60 (0.81) 3.98 (4.75)June . . . . . . . . . . . . . . . . . . . . . . . . 3.06 4.16 (2.85) 1.89 (4.47)July . . . . . . . . . . . . . . . . . . . . . . . . . (5.06) (3.72) (3.66) (1.96) (3.36)August . . . . . . . . . . . . . . . . . . . . . . . (2.41) (3.71) 2.20 1.97 (0.32)September . . . . . . . . . . . . . . . . . . . . 1.31 8.78 (1.10) (0.04) 1.07October . . . . . . . . . . . . . . . . . . . . . . 4.76 5.23 (0.64) (3.38) 3.43November . . . . . . . . . . . . . . . . . . . . 2.76 (0.66) 3.59 4.16 8.45December . . . . . . . . . . . . . . . . . . . . . 1.08 0.63 (0.92) (1.36) (0.89)

Year . . . . . . . . . . . . . . . . . . . . . . . 19.91% 12.63% 9.11% (3.44%) (7.58%)

(1) Worst monthly percentage draw-down is the largest monthly loss experienced by Grant Park in anycalendar month expressed as a percentage of total equity in Grant Park and includes the month and yearof that draw-down.

(2) Worst peak-to-valley draw-down is the greatest cumulative percentage decline in month-end net assetvalue of Grant Park due to losses sustained by Grant Park during a period in which the initial month-endnet asset value of Grant Park is not equaled or exceeded by a subsequent month-end net asset value ofGrant Park and includes the time period in which the draw-down occurred.

(3) The monthly rate of return is computed by dividing monthly performance by beginning monthly equityplus additions less redemptions. The monthly rates are then compounded to arrive at the annual rate ofreturn.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS61

PERFORMANCE OF GRANT PARK — CLASS B UNITS(Unaudited)

The past performance record of Grant Park’s Class B units through December 31, 2008 is presentedbelow. While the performance record set forth in the table below has not been independently audited, thegeneral partner believes that the information presented is accurate. All performance information is shownnet of fees and expenses.

Name . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Grant Park Futures Fund Limited Partnership(Class B units)

Type . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Public; Multi-advisorInception of trading . . . . . . . . . . . . . . . . . . . . . . . . . August 2003Aggregate gross subscriptions at December 2008 . . . . . $602,892,120Net asset value at December 2008 . . . . . . . . . . . . . . . $554,475,560Worst monthly percentage draw-down (Since January

2004)(1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (11.72%) 04/04Worst peak-to-valley draw-down (Since January 2004)(2) (23.99%) 02/04 − 08/04

Rate of Return(3)

(Through the Month Ended December 31, 2008)

2008 2007 2006 2005 2004

January . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.42% 1.18% 3.41% (6.04) 0.31%February . . . . . . . . . . . . . . . . . . . . . . . . . . 9.58 (4.25) (3.35) 3.34 7.25March . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.70) (4.62) 3.98 (0.59) (1.47)April . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.20) 5.15 9.38 (5.12) (11.72)May . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.03 4.52 (0.88) 3.90 (4.82)June . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.99 4.09 (2.92) 1.81 (4.55)July . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (5.12) (3.79) (3.73) (2.03) (3.44)August . . . . . . . . . . . . . . . . . . . . . . . . . . . (2.48) (3.78) 2.12 1.89 (0.40)September . . . . . . . . . . . . . . . . . . . . . . . . . 1.24 8.70 (1.17) (0.11) 0.99October . . . . . . . . . . . . . . . . . . . . . . . . . . 4.69 5.16 (0.71) (3.45) 3.35November . . . . . . . . . . . . . . . . . . . . . . . . . 2.69 (0.73) 3.51 4.08 8.37December . . . . . . . . . . . . . . . . . . . . . . . . . 1.01 0.64 (0.90) (1.35) (0.96)

Year . . . . . . . . . . . . . . . . . . . . . . . . . . . 18.88% 11.76% 8.28% (4.25%) (8.40%)

(1) Worst monthly percentage draw-down is the largest monthly loss experienced by Grant Park in anycalendar month expressed as a percentage of total equity in Grant Park and includes the month and yearof that draw-down.

(2) Worst peak-to-valley draw-down is the greatest cumulative percentage decline in month-end net assetvalue of Grant Park due to losses sustained by Grant Park during a period in which the initial month-endnet asset value of Grant Park is not equaled or exceeded by a subsequent month-end net asset value ofGrant Park and includes the time period in which the draw-down occurred.

(3) The monthly rate of return is computed by dividing monthly performance by beginning monthly equityplus additions less redemptions. The monthly rates are then compounded to arrive at the annual rate ofreturn.


Pro Forma Performance of the Legacy 1 Class and Legacy 2 Class Units

The pro forma performance of the Legacy 1 Class and Legacy 2 Class units appears in the Statement ofAdditional Information beginning on page SAI-E-5 and SAI-E-13, respectively.

Performance Information of the GAM 1 Class, GAM 2 Class and GAM 3 Class Trading Advisors

We are including below the capsule historical performance information of each of the trading advisors forthe GAM 1 Class, GAM 2 Class and GAM 3 Class.

Investors are cautioned that the information set forth in the following historical performance summaries isnot necessarily indicative of, and may have no bearing on, any trading results that may be attained by any ofthe trading advisors or the GAM 1 Class, GAM 2 Class and GAM 3 Class units in the future, since pastperformance is not indicative of future results. There can be no assurance that the trading advisors will makeany profits at all, or will be able to avoid incurring substantial losses. Investors should also note that interestincome may constitute a significant portion of a commodity pool’s total income and, in certain instances, maygenerate profits where there have been realized or unrealized losses from commodity trading.

The hypothetical performance record of the GAM 1 Class, GAM 2 Class and GAM 3 Class units appearsin the Statement of Additional Information beginning on page SAI-E-36.


ECKHARDT TRADING COMPANYStandard Program — Higher Leveraged

Capsule Performance Record

This Capsule Performance Record presents the composite past performance of ETC’s client accountsmanaged pursuant to the Standard Program — Higher Leveraged from January 2004 through December 2008.This Capsule Performance Record presents performance on a composite basis rather than account by account.Composite performance tends to have an averaging effect on the performance results and each individualaccounts performance is likely to differ, in some cases, significantly, from the composite figures shown. ETChas modified and will continue to modify its trading approach. The results shown in this Capsule PerformanceRecord do not necessarily reflect the exact approach that will be used by ETC on behalf of future accounts.No representation is being made that any account will, or is likely to, receive profits or incur losses similar tothose shown.

Name of the CTA . . . . . . . . . . . . . . . . . . . . . . . . . . Eckhardt Trading CompanyName of the investment program . . . . . . . . . . . . . . . . Standard Program — Higher LeveragedDate began trading this program . . . . . . . . . . . . . . . . October 1991Number of accounts traded pursuant to the program as

of December 2008 . . . . . . . . . . . . . . . . . . . . . . . . 9Total assets under management (including notional

funds) as of December 2008(1) . . . . . . . . . . . . . . . .All programs — $640.490 millionThis program — $171.777 million

Largest monthly percentage draw-down (SinceJanuary 2004)(2) . . . . . . . . . . . . . . . . . . . . . . . . . . (6.54%), 7/08

Largest peak-to-valley draw-down (SinceJanuary 2004)(3) . . . . . . . . . . . . . . . . . . . . . . . . . . (12.78%), 2/04 to 7/04

Number of accounts opened and closed with positive netlifetime ROR (Since January 2004) . . . . . . . . . . . . . 1, 64.52%

Number of accounts opened and closed with negativenet lifetime ROR (Since January 2004) . . . . . . . . . . 0


ECKHARDT TRADING COMPANYStandard Program — Higher Leveraged

Capsule Performance Record (continued)

Rate of Return(Computed on a Compounded Monthly Basis through December 2008)

Month 2008 2007 2006 2005 2004

January . . . . . . . . . . . . . . . . . . . . . . . . 2.16% 0.35% 0.68% (4.09%) (2.48%)February . . . . . . . . . . . . . . . . . . . . . . . . 11.42% 0.84% (2.64%) 0.29% 5.10%March . . . . . . . . . . . . . . . . . . . . . . . . . 0.30% (4.54%) (5.29%) 1.54% (0.91%)April . . . . . . . . . . . . . . . . . . . . . . . . . . 0.23% 3.71% 5.63% (2.16%) (5.27%)May . . . . . . . . . . . . . . . . . . . . . . . . . . 1.96% 2.10% 1.29% 7.22% 0.06%June . . . . . . . . . . . . . . . . . . . . . . . . . . 3.48% 5.81% 2.06% 3.65% (4.19%)July . . . . . . . . . . . . . . . . . . . . . . . . . . . (6.54%) 1.48% (4.21%) (0.38%) (3.08%)August . . . . . . . . . . . . . . . . . . . . . . . . . (2.98%) (2.00%) 2.09% 4.87% 5.11%September . . . . . . . . . . . . . . . . . . . . . . 3.09% 13.33% (2.22%) (2.25%) 1.08%October . . . . . . . . . . . . . . . . . . . . . . . . 0.12% 6.04% 0.71% 0.31% 6.92%November . . . . . . . . . . . . . . . . . . . . . . 1.38% 3.36% 7.09% 0.72% 5.28%December . . . . . . . . . . . . . . . . . . . . . . . 0.18% 4.18% (3.10%) 0.40% (1.19%)

Year . . . . . . . . . . . . . . . . . . . . . . . . . 14.76% 39.28% 1.3% 10.00% 5.65%

(1) Total assets under management (including notional funds) is the aggregate sum of total equity undermanagement for all programs managed by ETC, including ‘‘notional funds’’. Certain accounts arecomprised in whole or part of ‘‘notional funds’’, i.e. the amount by which an account’s ‘‘account size’’exceeds the cash deposited to or committed to the trading account at the client’s FCM. Account sizedetermines the level of trading (i.e., the number of contracts purchased or sold) and does not refer to thelevel or type of funding in the account.

(2) Largest monthly percentage draw-down represents the largest loss experienced by any individual accountin any calendar month expressed as a percentage of beginning equity or beginning net asset value.

(3) Largest peak-to-valley draw-down represents the greatest cumulative percentage decline in the month-endnet asset value of any individual account due to losses sustained by ETC during any period in which theaccount’s initial month-end net asset value is not equaled or exceeded by a subsequent month-end netasset value.

Due to the inclusion of accounts that include notional equity, beginning July 1996, the monthly rate ofreturn is computed by using the Fully-Funded Subset (‘‘Subset’’) method. The Subset is composed of accountswhich contain only actual (i.e., cash or committed) funds. In addition to excluding accounts which containnotional equity, for certain months, the Subset may also exclude fully funded accounts whose inclusion maydistort performance due to circumstances such as: the accounts opened or closed mid-month or experiencedmaterial additions or withdrawals. In addition, during the first 12 months of a program’s performance history,if the only accounts under management are those that include notional equity, they may be used forperformance purposes until a fully-funded account is brought under management. The net performance of theSubset is divided by the beginning equity of the Subset.


EMC CAPITAL MANAGEMENT, INC.The Classic Program


This Capsule Performance Record shows the composite performance record on a monthly basis of allaccounts managed by Ms. Cheval and EMC since January, 2004 utilizing the Classic Program.

Name of the CTA . . . . . . . . . . . . . . . . . . . . . . . . . . EMC Capital Management, Inc.Name of the investment program . . . . . . . . . . . . . . . . The Classic ProgramDate began trading this program . . . . . . . . . . . . . . . . January 1985Number of accounts traded pursuant to the program as

of December 2008 . . . . . . . . . . . . . . . . . . . . . . . . 7Total assets under management (including Notional

Funds) as of December 2008 . . . . . . . . . . . . . . . . .All programs — $223.822 millionThis program — $221.287 million



Number of accounts opened and closed with positive netlifetime ROR (Since January 2004) . . . . . . . . . . . . . 0


Rate of Return(3)

(Computed on a Compounded Monthly Basis through December 2008)Month 2008 2007 2006 2005 2004January . . . . . . . . . . . . . . . . . . . . . . . . 3.50% 3.80% 4.60% (5.00%) (1.10%)February . . . . . . . . . . . . . . . . . . . . . . . 14.90% (5.20%) (5.90%) 7.30% 9.60%March . . . . . . . . . . . . . . . . . . . . . . . . . (1.40%) (3.20%) 7.60% (1.80%) (2.10%)April . . . . . . . . . . . . . . . . . . . . . . . . . . 0.20% 4.20% 16.10% (4.00%) (12.50%)May . . . . . . . . . . . . . . . . . . . . . . . . . . 1.70% 3.60% 1.20% 3.70% (5.60%)June . . . . . . . . . . . . . . . . . . . . . . . . . . 5.40% 4.70% (2.40%) 2.00% (5.00%)July . . . . . . . . . . . . . . . . . . . . . . . . . . (6.10%) (7.30%) (4.20%) 0.20% (3.80%)August . . . . . . . . . . . . . . . . . . . . . . . . 1.20% (1.10%) 1.30% 3.70% 0.10%September . . . . . . . . . . . . . . . . . . . . . . 5.80% 10.40% (2.0%) 4.10% (1.50%)October . . . . . . . . . . . . . . . . . . . . . . . . 11.9% 6.60% 0.70% (7.60%) 3.60%November . . . . . . . . . . . . . . . . . . . . . . 2.80% (0.30%) 1.40% 8.20% 10.50%December . . . . . . . . . . . . . . . . . . . . . . 0.50% 1.30% 0.00% (0.40%) (3.80%)

Year . . . . . . . . . . . . . . . . . . . . . . . . 46.30% 17.30% 18.00% 9.40% (13.20%)

(1) Largest monthly percentage draw-down is the largest monthly loss experienced by the program on acomposite basis in any calendar month expressed as a percentage of the total equity in the program andincludes the month and year of such drawdown.

(2) Largest peak-to-valley draw-down is largest cumulative percentage decline in month-end net asset valueof the program due to losses sustained by the program during a period in which the initial month-end netasset value of the program is not equaled or exceeded by a subsequent month-end net asset value of theProgram and includes the time period in which it occurred.

(3) The monthly rate of return is computed by dividing the net income by the beginning nominal equity.Accounts that have middle of the month additions or withdrawals are excluded from the computation.Prior to March, 2004, the monthly rate of return was computed by using the Fully-Funded Subset method(beginning in July, 1993) as previously described. The monthly rates are then compounded to arrive atthe annual rate of return.


GRAHAM CAPITAL MANAGEMENT, LPK4D Program


Name of the CTA . . . . . . . . . . . . . . . . . . . . . . . . . . Graham Capital Management, LPName of the investment program . . . . . . . . . . . . . . . . K4D ProgramDate began trading this program . . . . . . . . . . . . . . . . February 1995Number of accounts traded pursuant to the program as


funds) as of December 2008 . . . . . . . . . . . . . . . . .All programs — $4.849 billionThis program — $701.368 million



Number of accounts opened and closed with positive netlifetime ROR (Since January 2004) . . . . . . . . . . . . . 2, 0.03% to 7.50%

Number of accounts opened and closed with negativenet lifetime ROR (Since January 2004) . . . . . . . . . . 2, (0.71%) to (1.58%)

Rate of Return(3)

(Computed on a Compounded Monthly Basis through December 2008)Month 2008 2007 2006 2005 2004January . . . . . . . . . . . . . . . . . . . . . . . . 1.15% (0.30%) 1.39% (5.64%) 0.99%February . . . . . . . . . . . . . . . . . . . . . . . 4.07% (3.09%) 0.05% (1.07%) 6.10%March . . . . . . . . . . . . . . . . . . . . . . . . 1.72% (1.68%) 2.88% 0.67% 0.08%April . . . . . . . . . . . . . . . . . . . . . . . . . 1.15% 3.77% 3.95% (5.30%) (6.14%)May . . . . . . . . . . . . . . . . . . . . . . . . . . 1.63% 7.27% (1.35%) 0.62% (2.99%)June . . . . . . . . . . . . . . . . . . . . . . . . . . 3.53% 4.16% (0.17%) 2.29% (2.25%)July . . . . . . . . . . . . . . . . . . . . . . . . . . (3.53%) (2.48%) (1.24%) (1.43%) (3.07%)August . . . . . . . . . . . . . . . . . . . . . . . . (1.69%) (1.62%) (0.82%) 2.28% 0.57%September . . . . . . . . . . . . . . . . . . . . . . 1.21% 2.99% 1.61% 2.15% 3.70%October . . . . . . . . . . . . . . . . . . . . . . . 7.40% 4.84% 0.44% 0.74% 5.07%November . . . . . . . . . . . . . . . . . . . . . . 2.40% 0.08% 1.14% 0.70% 3.92%December . . . . . . . . . . . . . . . . . . . . . . 1.26% (1.29%) 0.44% (0.92%) 3.38%

Year . . . . . . . . . . . . . . . . . . . . . . . . 21.82% 12.73% 8.50% (5.15%) 8.92%

(1) Largest monthly percentage draw-down is the largest monthly loss experienced by the program on acomposite basis in any calendar month expressed as a percentage of the total equity in the program andincludes the month and year of such drawdown.

(2) Largest peak-to-valley draw-down is largest cumulative percentage decline in month-end net asset valueof the program due to losses sustained by the program during a period in which the initial month-end netasset value of the program is not equaled or exceeded by a subsequent month-end net asset value of theProgram and includes the time period in which it occurred.

(3) The monthly rate of return is computed by dividing the net income by the beginning nominal equity.


QUANTITATIVE INVESTMENT MANAGEMENT LLCGlobal Program


This Capsule Performance Record shows the composite performance record on a monthly basis of allaccounts managed by QIM utilizing the Global Program. The Capsule Performance Record also shows thecomposite record on an annual basis of all accounts utilizing the Global Program from January 2004 throughDecember 2008.

Name of the CTA . . . . . . . . . . . . . . . . . . . . . . . . . . Quantitative Investment Management LLCName of the investment program . . . . . . . . . . . . . . . . Global ProgramDate began trading this program . . . . . . . . . . . . . . . . October 2003Number of accounts traded pursuant to the program as


funds) as of December 2008 . . . . . . . . . . . . . . . . .All programs — $2.675 billionThis program — $2.612 billion






Month 2008 2007 2006 2005 2004

January . . . . . . . . . . . . . . . . . . . . . . . . (7.77%) 1.65% 1.04% (0.39%) 1.12%February . . . . . . . . . . . . . . . . . . . . . . . 5.17% 1.37% 1.46% (1.68%) 4.24%March . . . . . . . . . . . . . . . . . . . . . . . . . 3.62% 5.50% 0.92% 4.48% (9.11%)April . . . . . . . . . . . . . . . . . . . . . . . . . . 2.08% 1.32% (2.17%) 7.19% (0.51%)May . . . . . . . . . . . . . . . . . . . . . . . . . . 5.70% (4.03%) 5.12% 2.94% 2.91%June . . . . . . . . . . . . . . . . . . . . . . . . . . (1.63%) 0.94% (2.57%) (2.17%) 1.37%July . . . . . . . . . . . . . . . . . . . . . . . . . . (1.92%) 2.05% 2.05% 0.62% 0.93%August . . . . . . . . . . . . . . . . . . . . . . . . 3.41% 7.66% (0.26%) 0.80% 0.15%September . . . . . . . . . . . . . . . . . . . . . . 3.02% 1.09% (1.52%) 0.98% 6.18%October . . . . . . . . . . . . . . . . . . . . . . . . (2.53%) 3.98% 2.37% 0.56% 6.41%November . . . . . . . . . . . . . . . . . . . . . . 2.33% 3.02% 0.21% 1.94% 10.89%December . . . . . . . . . . . . . . . . . . . . . . 0.68% 1.15% (1.28%) 3.08% (1.66%)

Year . . . . . . . . . . . . . . . . . . . . . . . . 11.94% 28.41% 5.23% 19.54% 23.83%

(1) Largest monthly percentage draw-down is the largest monthly loss experienced in any calendar monthexpressed as a percentage of nominal account size.

(2) Largest peak-to-valley draw-down is the highest calendar-month-end to lowest calendar-month-endexperienced as a percentage of nominal account size.


REVOLUTION CAPITAL MANAGEMENT LLCMosaic Program


This Capsule Performance Record shows the composite performance record on a monthly basis of allaccounts managed by RCM since January 2004 utilizing the Mosaic Program. The monthly returns arecomputed in accordance with both Generally Accepted Accounting Principles (GAAP) and also NationalFutures Association guidelines. In order to avoid a distortion of true returns, the ‘‘Only Accounts Traded’’(OAT) approach is used to exclude accounts that have yielded non-representative returns during a particularmonth due to material additions or withdrawals. For accounts that have non-material additions or withdrawals,the ‘‘time-weighting’’ approach is used to generate an accurate beginning net asset value (BNAV). The annualrate of return is calculated using the Value Added Monthly Index (VAMI) method and incorporates a 0%management fee and 25% incentive fee.

Name of the CTA . . . . . . . . . . . . . . . . . . . . . . . . . . Revolution Capital Management LLC.Name of the investment program . . . . . . . . . . . . . . . . Mosaic ProgramDate began trading this program . . . . . . . . . . . . . . . . October 2006Number of accounts traded pursuant to the program as


funds) as of December 2008 . . . . . . . . . . . . . . . . .All programs — $214.456 millionThis program — $187.994 million



Number of accounts opened and closed with positive netlifetime ROR (Since January 2004) . . . . . . . . . . . . . 0



Month 2008 2007 2006

January. . . . . . . . . . . . . . . . . . (2.27%) 5.96% —February . . . . . . . . . . . . . . . . . (2.83%) 5.52% —March . . . . . . . . . . . . . . . . . . 10.43% 8.87% —April . . . . . . . . . . . . . . . . . . . 3.41% 13.52% —May. . . . . . . . . . . . . . . . . . . . 12.67% 6.68% —June . . . . . . . . . . . . . . . . . . . . 1.87% 13.16% —July . . . . . . . . . . . . . . . . . . . . (0.58%) 6.98% —August . . . . . . . . . . . . . . . . . . 12.47% 13.13% —September. . . . . . . . . . . . . . . . 7.10% 3.04% —October . . . . . . . . . . . . . . . . . 10.40% (4.57%) (10.59%)*November . . . . . . . . . . . . . . . . 11.00% (8.32%) 3.66%December . . . . . . . . . . . . . . . . 6.23% (0.69%) (0.59%)

Year . . . . . . . . . . . . . . . . . . 94.06% 80.76% (7.86%)



* Partial month: program started on October 11, 2006


TRANSTREND B.V.Diversified Trend Program (Enhanced Risk USD)


This Capsule Performance Record presents the performance results of all of the accounts of Transtrend’sDiversified Trend Program Enhanced Risk Program from January 2004 to December 2008 on a compositebasis based upon the nominal account size.

Name of the CTA . . . . . . . . . . . . . . . . . . . . . . . . . . Transtrend B.V.Name of the investment program . . . . . . . . . . . . . . . . Diversified Trend Program (Enhanced Risk USD)Date began trading this program . . . . . . . . . . . . . . . . January 1995Number of accounts traded pursuant to the program as


funds) as of December 2008 . . . . . . . . . . . . . . . . .All programs — $8.141 billionThis program — $4.753 billion






Month 2008 2007 2006 2005 2004

January . . . . . . . . . . . . . . . . . . . . . . . (0.48%) 1.64% 1.78% (4.35%) 2.08%February . . . . . . . . . . . . . . . . . . . . . . 5.55% (4.07%) (2.26%) 2.74% 4.95%March . . . . . . . . . . . . . . . . . . . . . . . . 1.33% (3.24%) 0.89% 2.03% (2.18%)April . . . . . . . . . . . . . . . . . . . . . . . . . 0.59% 5.69% 1.94% (3.48%) (3.17%)May . . . . . . . . . . . . . . . . . . . . . . . . . 3.28% 6.84% (3.78%) 1.03% (0.31%)June . . . . . . . . . . . . . . . . . . . . . . . . . 3.03% 3.65% (1.26%) 4.02% (2.35%)July. . . . . . . . . . . . . . . . . . . . . . . . . . (2.38%) (2.50%) (3.69%) 3.26% (1.34%)August. . . . . . . . . . . . . . . . . . . . . . . . (1.38%) (2.44%) 4.72% (0.49%) (0.42%)September . . . . . . . . . . . . . . . . . . . . . 4.95% 7.81% 0.12% 1.80% 1.63%October . . . . . . . . . . . . . . . . . . . . . . . 7.12% 9.02% 4.56% (0.67%) 3.20%November . . . . . . . . . . . . . . . . . . . . . 2.57% (2.16%) 3.68% 3.40% 8.97%December. . . . . . . . . . . . . . . . . . . . . . 2.29% 1.32% 5.29% (3.00%) 1.71%

Year . . . . . . . . . . . . . . . . . . . . . . . 29.38% 22.39% 12.03% 5.98% 12.82%



In order to aggregate and compare the performance of individual accounts a pro forma reporting formatis used, i.e, a standardized format irrespective of specific terms and conditions that may govern individualaccounts in practice.

The rate of return reflects the pro forma net performance for the period divided by beginning aggregatenominal account size. Drawdown is expressed as a percentage of the nominal account size.


TRANSTREND B.V.Diversified Trend Program (Enhanced Risk USD)

Capsule Performance Record (continued)

Rates of return are calculated on a daily basis which compound to a monthly return. Thus, intra-monthadditions and/or withdrawals are taken into account when they occur without distorting the monthly rate ofreturn.

Pro forma net performance presents the gross realized trading gain or loss on all transactions closed outduring the period, plus the change in unrealized gain or loss on open positions at the end of the current monthand the end of the previous month adjusted as follows: (a) less actual brokerage commissions and mark-upswhich currently amount to approximately 1.5% of the nominal account size per annum for the DiversifiedTrend Program’s Enhanced Risk Profile (on average approximately $8 per round-turn trade, worldwide)(however, such actual brokerage commissions have been as high as approximately 3% for the Enhanced RiskProfile in the past); (b) less pro forma monthly management fess of 0.25% of beginning nominal account size(approximately 33% per annum); (c) less pro forma monthly performance fees at 25% of new trading profits;and (d) plus estimated interest income earned on actual funds.

Before May 1, 2004 pro forma interest income was calculated at a rate equal to 90% of the relevant 3-month interest rate on the nominal account size. As of May 1, 2004, the rate of return includes interestincome earned by such accounts on Actual Funds. As Transtrend is not privy in all cases of the arrangementsbetween Transtrend’s customer’s and their brokers, the amount of interest income actually earned by suchaccounts is estimated t a rate equal to 90% of the prevailing 3-month interest rate relevant to the underlyingcurrency subset of the Diversified Trend Program.

A negative monthly rate of return is mitigated by a consistent book entry reversal of the pro formaperformance fees accrued and/or to be accrued in the future, which may not necessarily happen, and, beforeMay 1, 2005, by pro forma interest income on the nominal account size, irrespective whether the book entryreversal was actually effectuated or interest was actually received.

Certain accounts managed by Transtrend are subject to a variety of additional third party fees andexpenses which are not directly related to Transtrend’s trading activities for such accounts but which are paidout of the assets of the accounts to various third parties, including, without limitations, selling agents,administrators, risk managers, consultants, valuation agents, attorneys, accountants, regulators, and others. Thetype and amount of such fees and expenses varies on an account by account basis and most accounts do notincur any substantial third party fees or expenses. Since Transtrend neither is paid nor is sharing in these feesor expenses and has no control over the amount and timing of such fees or expenses, Transtrend believes thatdeducting such fees and expenses from the performance of the accounts shown would not accurately representTranstrend’s trading performance for such accounts. Moreover, such fees and expenses usually do not impactTranstrend’s performance fees as the advisory agreement does not take such third party expenses into accountwhen determining if an account has experienced net new trading profits for purposes of determiningTranstrend’s performance fee. Accordingly, the performance of such accounts has not been adjusted to takeaccount of these fees or expenses. In certain circumstances where Transtrend is managing an account for afund sponsored by a third party, the advisory agreement between Transtrend and the fund may require that thecalculation of Transtrend’s performance fee take certain of such third party’s expenses into consideration,which third party expenses would reduce the performance fees otherwise payable to Transtrend.

Substantially all of the clients accounts are partially-funded accounts.

Transtrend believes that the performance of each subset as stated in the respective table is reflective forthe performance of the individual accounts what are included in such subset. However for various reasons anindividual account may have realized more or less favorable results than the composite results indicate.


WINTON CAPITAL MANAGEMENTWinton Diversified Trading Program


The following represents the trading results of client accounts managed by Winton in the WintonDiversified Trading Program as of December 31, 2008, for the period January 2003 through December 2008,on a monthly and annual basis (year-to-date for partial years). Management fees are charged at rates rangingfrom 0% to 1/12 of 2% (2% annually) of net assets. Incentive fees are charged at rates ranging from 14% to30% of new net profits. Rate of return (ROR) is calculated by dividing net performance by nominal accountsize. Additions and withdrawals are accounted for in accordance with the modified OAT (Only AccountsTraded) method as described in NFA Rule 2-34. In January 2004, eight accounts are excluded from the RORcalculation due to being traded only part of the month. ROR including these eight accounts would have been1.17%.

Name of the CTA . . . . . . . . . . . . . . . . . . . . . . . . . . Winton Capital ManagementName of the investment program . . . . . . . . . . . . . . . . Winton Diversified Trading ProgramDate began trading this program . . . . . . . . . . . . . . . . October 1997Number of accounts traded pursuant to the program as

of December 2008 . . . . . . . . . . . . . . . . . . . . . . . . 45Total assets under management (including Notional

Funds) as of December 2008 . . . . . . . . . . . . . . . . .All programs — $13.360 billionThis program — $13.155 billion





Rate of Return*(Computed on a Compounded Monthly Basis through December 2008)

Month 2008 2007 2006 2005 2004January . . . . . . . . . . . . . . . . . . . . . . . . 3.92% 4.03% 3.93% (5.16%) 2.65%February . . . . . . . . . . . . . . . . . . . . . . . 8.21% (6.39%) (2.74%) 5.72% 11.93%March . . . . . . . . . . . . . . . . . . . . . . . . . (0.92%) (4.13%) 3.88% 4.70% (0.5%)April . . . . . . . . . . . . . . . . . . . . . . . . . . (0.97%) 6.13% 5.68% (4.03%) (8.27%)May . . . . . . . . . . . . . . . . . . . . . . . . . . 1.95% 5.04% (3.21%) 6.49% (0.16%)June . . . . . . . . . . . . . . . . . . . . . . . . . . 5.22% 1.83% (1.34%) 2.85% (3.12%)July . . . . . . . . . . . . . . . . . . . . . . . . . . (4.66%) (1.38%) (0.62%) (2.15%) 0.88%August . . . . . . . . . . . . . . . . . . . . . . . . (3.09%) (0.96%) 4.58% 7.66% 2.64%September . . . . . . . . . . . . . . . . . . . . . . (0.38%) 6.83% (1.43%) (6.50%) 4.78%October . . . . . . . . . . . . . . . . . . . . . . . . 3.65% 2.38% 1.43% (3.02%) 3.37%November . . . . . . . . . . . . . . . . . . . . . . 4.48% 2.45% 3.10% 7.05% 6.38%December . . . . . . . . . . . . . . . . . . . . . . 1.93% 0.12% 2.03% (4.59%) (0.58%)

Year . . . . . . . . . . . . . . . . . . . . . . . . 20.25% 16.13% 15.83% 7.66% 20.31%


(2) Largest peak-to-valley draw-down means the greatest cumulative percentage decline in month-end netasset value due to losses sustained by an account during any period in which the initial month-end netasset value is not equaled or exceeded by a subsequent month-end net asset value.

* The composite performance for the Diversified Trading Program contains interest income from the use ofcash management services provided by one or more registered investment advisers to the Winton FuturesFund Limited.


MANAGEMENT’S DISCUSSION ANDANALYSIS OF FINANCIAL CONDITION AND

RESULTS OF OPERATIONS

Overview

Grant Park is a multi-advisor commodity poolorganized to pool assets of its investors for purposesof investing those assets in U.S. and internationalcommodity futures, forward contracts and othercommodity interests, including options contracts onfutures, forwards and commodities, spot contracts andsecurity futures. Grant Park has been in continuousoperation since it commenced trading on January 1,1989.

Reorganization of Grant Park

As a result of recent changes in the rules andregulations of the Financial Industry RegulatoryAuthority (‘‘FINRA’’) affecting commodity pools, thegeneral partner, has determined to make certainchanges to the organization of Grant Park, includingthe creation of the Legacy 1 Class units, the Legacy2 Class units, the GAM 1 Class units, the GAM 2Class units and the GAM 3 Class units, and hasdetermined to terminate the offering and sale of anynew Class A and Class B units.

Investments in the offered units will be investedthrough different commodity trading advisors retainedby the General Partner with respect to each class ofunits. However, instead of each trading advisormaintaining a separate account in the name of GrantPark, as was historically the case, the assets of eachclass, including the existing Class A and Class Bunits, and the offered units, will be invested invarious trading companies, each of which will beorganized as a limited liability company. Each tradingcompany will then allocate those assets to one of thecommodity trading advisors retained by the generalpartner.

Additionally, a separate cash managementmultiple member limited liability company will becreated to collectively manage excess cash not heldat the clearing brokers for each individual manager.Effectively, this new structure will segregate andisolate one manager from another, reducing crossliabilities of the managers. This was not the case inGrant Park’s previous structure. Finally, the abovereorganization will be done at no additional cost tothe limited partners.

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The diagram below depicts our organizational structure immediately after the reorganization and relatedtransaction:

Grant Park Futures Fund, L.P.Classes

Grant Park Futures FundClasses The Selling Agents

–DCM Brokers Ltd.(Lead)–Addition Broker-

The Selling Agents– DCM Brokers, LLC (Lead)– Additional Broker-Dealers act as additional selling agents

Over-the--

iates- Bank of America, NA.

Over-the-Counter Counterparties

– Bank of America, NA.

Cle

arin

g an

d O

TC A

gree

men

ts w

ith e

ach

Trad

ing

Com

pany

GP 1, LLC *

GP 3, LLC *

GP 4, LLC *

GP 5, LLC *

GP 6, LLC *

GP 7, LLC *

GP 8, LLC *

GP 9, LLC *

GP 10, LLC *

Selling

Agreements

Investorbuys units

$

GP Cash Management, LPGP Cash Management, LLC

Cle

arin

g an

d O

TC A

gree

men

ts w

ith e

ach

Trad

ing

Com

pany

A # B # Legacy 1 A # B # Legacy 2 GAMGAM 1GAM 2GAM 3

Allo

catio

n to

Tra

ding

Adv

isor

s

Allo

catio

n to

Tra

ding

Adv

isor

s

Dearborn Capital Management, L.L.C.

General Partner

The Clearing Brokers– MF Global Inc.– UBS Securities LLC– Newedge USA, LLC

– The Clearing Brokers and their Affiliates

GP 11, LLC *

Notes:

# Classes A and B are closed to new investment. These classes will no longer be offered by the SellingAgents.

* Grant Park invests through an individual Trading Company for each Trading Advisor. An AdvisoryAgreement is entered by the Trading Company, Grant Park and Dearborn Capital Management, L.L.C., asgeneral partner.

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Critical Accounting Policies

Grant Park’s most significant accounting policyis the valuation of its assets invested in othercommodity investment pools and in U.S. andinternational futures and forward contracts, optionscontracts and other interests in commodities. Thesubstantial majority of these investments areexchange-traded contracts, valued based uponexchange settlement prices. The remainder of itsinvestments are non-exchange-traded contracts withvaluation of those investments based on third-partyquoted dealer values on the Interbank market. Withthe valuation of the investments easily obtained, thereis little or no judgment or uncertainty involved in thevaluation of investments, and accordingly, it isunlikely that materially different amounts would bereported under different conditions using different butreasonably plausible assumptions.

The preparation of financial statements inconformity with generally accepted accountingprinciples requires management to make estimatesand assumptions that affect the reported amounts ofassets and liabilities and disclosure of contingentassets and liabilities at the date of the financialstatements and the reported amounts of revenue andexpenses during the reporting period. Actual resultscould differ from those estimates. Grant Park’ssignificant accounting policies are described in detailin Note 1 of the financial statements.

Valuation of Financial Instruments

Proper valuation of financial instruments is acritical component of Grant Park’s financial statementpreparation. On January 1, 2008, Grant Park adoptedStatement of Financial Accounting Standards No.157, Fair Value Measurements (‘‘SFAS No. 157’’) asit relates to financial assets and financial liabilities.SFAS No. 157 is effective for fiscal years beginningafter November 15, 2007, except for nonfinancialassets and nonfinancial liabilities that are recognizedor disclosed at fair value in the financial statementson a nonrecurring basis for which delayed applicationis permitted until fiscal years beginning afterNovember 15, 2008.

SFAS No. 157 defines fair value as the pricethat would be received to sell an asset or paid totransfer a liability in an orderly transaction betweenmarket participants at the measurement date and setsout a fair value hierarchy. The fair value hierarchygives the highest priority to quoted prices in activemarkets for identical assets or liabilities (Level 1)and the lowest priority to unobservable inputs (Level3). Inputs are broadly defined under SFAS 157 as

assumptions market participants would use in pricingan asset or liability. The three levels of the fair valuehierarchy under SFAS 157 are described below:

Level 1. Unadjusted quoted prices in activemarkets for identical assets or liabilities that thereporting entity has the ability to access at themeasurement date.

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

Level 3. Inputs are unobservable for the assetor liability.

The following section describes the valuationtechniques used by Grant Park to measure differentfinancial instruments at fair value and includes thelevel within the fair value hierarchy in which thefinancial instrument is categorized.

Fair value of exchange-traded contracts is basedupon exchange settlement prices. Fair value of non-exchange-traded contracts is based on third-party-quoted dealer values on the Interbank market. U.S.Government securities, Government-sponsoredenterprises and commercial paper are stated at costplus accrued interest, which approximates fair value.These financial instruments are classified in Level 1of the fair value hierarchy.

Certificates of deposit are stated at cost plusaccrued interest, which approximates fair value.These instruments are classified in Level 2 of the fairvalue hierarchy.

Grant Park’s investment in the GP Class isreported in the statement of financial condition at fairvalue. Fair value ordinarily is the value determinedby the management of the GP Class in accordancewith the valuation policies of the GP Class and asreported at the time of Grant Park’s valuation.Generally, the fair value of Grant Park’s investmentin the GP Class represents the amount that GrantPark could reasonably expect to receive from the GPClass if Grant Park’s investment was redeemed at thetime of valuation, based on information reasonablyavailable at the time the valuation is made that GrantPark believes to be reliable. This financial instrumentis classified in Level 3 of the fair value hierarchy.

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The following table presents Grant Park’s fairvalue hierarchy for those assets and liabilitiesmeasured at fair value on a recurring basis as ofDecember 31, 2008:

Assets Level 1 Level 2 Level 3 TotalEquity in brokers’

trading accountsU.S. Government

securities $ 29,215,898 $ — $— $ 29,215,898Government-

sponsoredenterprises . . 15,695,417 — — 15,695,417

Futures contracts 6,603,439 — — 6,603,439Forward

contracts (1,393,208) — — (1,393,208)Cash and cash

equivalentsCertificates of

deposit . . . . 40,655,321 — 40,655,321

Commercialpaper . . . . . 89,383,455 — — 89,383,455

Government-sponsoredenterprises . . 4,993,389 — — 4,993,389

Certificates ofdeposit . . . . . 28,525,736 — 69,095,321

Commercial paper . 9,979,833 — — 9,979,833Government-

sponsoredenterprises. . . . 311,078,226 — — 311,078,226

Investment inDearborn SelectMaster Fund,SPC* . . . . . . — — — —

* The Investment in Dearborn Select Master Fund,SPC was redeemed at December 31, 2008 and isshown on the statement of financial condition asa redemption receivable.

Financial instruments classified as Level 3 in thefair value hierarchy represent Grant Park’s investmentin the GP Class in which management has used atleast one significant unobservable input in thevaluation model. The following table presents areconciliation of activity for the GP Class:

Balance at January 1, 2008 . . . . . . . . . . . . . $ 98,629,036Total Realized Gain included in Income . . . . . . 16,714,939Purchases, Issuances and Settlements . . . . . . . —Redemption . . . . . . . . . . . . . . . . . . . . . (115,343,975)Transfers in and (or) out of Level 3 . . . . . . . . —Balance at December 31, 2008 . . . . . . . . . . . $ —

Results of Operations

Grant Park’s returns, which are Grant Park’strading gains plus interest income less brokerage fees,performance fees, operating costs and offering costsborne by Grant Park, for the year endedDecember 31, 2008, were 19.9% for Class A unitsand 18.9% for Class B units, for the year endedDecember 31, 2007 were 12.6% for Class A unitsand 11.8% for Class B units, and for the year endedDecember 31, 2006 were 9.1% for Class A units and8.3% for Class B units. Grant Park’s total net asset

value at December 31, 2008, 2007 and 2006 was$643.6 million, $455.7 million and $382.3 million,respectively. Results from past periods are notindicative of results that may be expected for anyfuture period.

The table below sets forth Grant Park’s tradinggains or losses which include the investment in theGP Class by sector for each of the years endedDecember 31, 2008, 2007 and 2006.

% Gain (Loss)Year Ended December 31,

Sector 2008 2007 2006

Interest Rates. . . . . . . 8.6% 7.2% (1.0)%Currencies . . . . . . . . 0.1 5.7 0.8Stock Indices . . . . . . . 5.6 (2.3) 6.9Energy . . . . . . . . . . 8.4 5.0 (1.7)Agriculturals . . . . . . . 3.0 4.1 (2.1)Meats . . . . . . . . . . . 0.3 (0.6) (0.3)Metals . . . . . . . . . . 3.0 0.7 10.8Softs . . . . . . . . . . . 1.5 (1.8) 0.3Miscellaneous . . . . . . — — —

Total . . . . . . . . . . 30.5% 18.0% 13.7%

Year ended December 31, 2008

Grant Park began 2008 on a positive note. Theongoing effect of the 2007 credit crisis played a largerole in the portfolio’s positive performance in the firstquarter. Fueled by uncertainty surrounding the futureof the U.S. economy and a 150 basis point interestrate cut, the U.S. dollar weakened steadily againstmany of its major counterparts. Short dollar positionsdirectly benefited from the decline as the euro,British pound, and New Zealand dollar all rosesteadily against the U.S. dollar. A weak dollar alsoserved Grant Park’s commodity positions well, as thedevalued currency drove metals prices upwardsalongside long positions. Speculators bid up the goldmarkets as a hedge against expected inflationincreases resulting in profits for long positions. Longgrains positions were among the top performersthroughout the quarter. USDA reports announcinglower than expected grain inventory levels, combinedwith news from China that weather conditions hadhurt the farming regions, propelled a strong uptrendin the grains markets. An abundance of pooreconomic data put steady pressure on the equitymarkets benefiting the portfolio’s short positions. Theeffects of slumping home sales, reduced industrialproduction, and weak consumer confidence pushedglobal share prices lower. In attempts to shore up thefaltering global economy the U.S. Federal Reserve, aswell as other major Central Banks, begancommenting on the continued need to ease interestrates in the near future. Speculation of interest ratecuts sent prices on fixed income products upwards,resulting in profits for long positions.

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The portfolio started out the second quarterquietly with a slight loss in April. Gains in theenergy markets were overcome by setbacks in thefixed income and equity indices markets. Afterreaping the benefits of declining stock prices early in2008, a shift in investor sentiment resulted in lossesfor Grant Park’s short stock indices positions. Capitalinfusions into major financial players like LehmanBrothers and UBS ignited a spark in the equitymarkets resulting in a steady rally across the sector.A firming in the U.S. equity markets drove up theU.S. dollar which put pressure on the metals andagricultural markets adding to setbacks. Longpositions in the copper and corn markets werenegatively impacted as technical selling in responseto a strong dollar drove down prices. As April ended,performance for the portfolio began to change for thebetter. The bulk of gains came from long positions inthe crude oil markets where supply constraintsstemming from violence in Nigeria and a hawkishOPEC sent prices steadily upwards. In the fixedincome sector, strong economic data out of theEurozone supported a bullish outlook for theeconomy, causing investors to liquidate more risk-averse fixed income positions. The reduced demandfor fixed income products pushed prices lowerresulting in profits for the portfolio’s short positions.Long grains positions further added to gains, as badweather swept across the Midwestern U.S., ralliedprices. Vicious rainstorms left America’s key farmingregions under as much as 6 inches of water fueling abearish forecast for 2008’s corn and soybean crop.Positioned on the short side of the equity indicesmarkets, Grant Park benefited from weak shareprices. Poor earnings reports from leading financialinstitutions coupled with waning consumerconfidence put pressure on the major indices forcingthem sharply lower.

Market shifts in the third quarter of 2008 provedto be trying for performance. A reversal in thecommodities markets, headlined by a sharp decline inthe price of crude oil, moved against Grant Park’slong positions. Contrary to forecasts, HurricaneBertha narrowly missed key energy producingfacilities in the Gulf of Mexico resulting in a massiveunwinding of speculative long positions pushingprices lower resulting in losses for the portfolio. Afterreaching all-time highs early in the year, prices acrossthe agricultural sector slid sharply due to improvedweather patterns in the Midwest. Speculation ofpossible government intervention in the futuresmarkets also weighed on commodity prices. Fearingthat intervention would adversely affect commodities

holdings, major institutions began massiveliquidations, especially in the gold markets, drivingprices lower against positions. September marked apositive shift in performance for the portfolio. Shortpositions in the equity markets posted gains as thefailure and government takeover of mortgage giantsFannie Mae and Freddie Mac put substantial pressureon the share markets. The announcement of thecreation of the $700 billion Troubled Asset ReliefProgram (TARP) and the failure of WashingtonMutual and Lehman Brothers drove the equitymarkets sharply downwards. By the end of the thirdquarter the majority of Grant Park’s commoditypositions reversed to the short side to take advantageof the downward trending markets. Positions in themetals markets were among the strongest source ofprofits due to price declines stemming from reduceddemand from emerging nations such as Brazil,Russia, India, and China. Improved harvestingconditions across U.S. farmlands negated prior supplyconstraints driving prices in the grains markets lower.Forecasted supply concerns in Nigeria resulted inlosses for Grant Park’s short energy positions.Renewed threats of violence on major Nigerian crudeoil refineries by rebel group MEND (Movement forthe Emancipation of the Niger Delta) called intoquestion the region’s production capabilities drivingprices higher.

Turmoil in the financial markets continued intothe start of the fourth quarter boding well forperformance. Tight credit markets and rapidlydecreasing consumer confidence caused investors toflee equity positions driving prices lower. Majorindices falling in excess of 20% caused an increasein demand for safer fixed income markets driving upprices across the sector in line with long positions.Falling share prices spurred mass liquidations in thecommodities markets driving prices downwards.Positioned on the short side of the metals andagriculturals markets, the portfolio was able tocapitalize on the downtrend through most of October.Reduced production due to lack of capital in thecredit markets furthered declines in the commoditiesmarkets. With global manufacturing nearing all-timelows, demand for energy and base metals declinedresulting in profits for Grant Park’s short positions.The bulk of the portfolio’s gains throughoutNovember came from long fixed income positions.Speculators responding to monetary policy shiftsfrom a number of central banks and turbulence in theequity markets fueled strong uptrends in the debtmarkets resulting in profits for long positions.Positions in the equity indices sector also proved to

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be a strong source of profits. In the equity markets, arevision to the TARP, which moved the focus of theprogram away from buying toxic financial assets,weighed heavily on the share prices of financial firmsdriving most major North American equity indiceslower. Commodities markets continued their steadydecline into year-end. Slowing production andreduced demand for industrial commodities weighedheavily on prices. One of the rare exceptions wasprices on gold which experienced a near 15%increase for the month of November. Short positionsin gold markets endured losses as speculators bid upthe gold markets in attempts to hedge positions in thefinancial markets. Grant Park finished 2008 with astrong December. As occurred during the monthbefore, the bulk of gains came from long fixedincome positions. Yields on U.S. Treasuries breachedall-time lows as the U.S. Federal Reserve broughtinterest rates to near 0% driving prices upwards.Although gains were made in the fixed incomesector, the Federal Reserve’s decision to slash ratesweighed heavily on the U.S. dollar. Long dollarpositions against a number of emerging currenciesposted losses as the dollar weakened.

For the year ended December 31, 2008, GrantPark had a positive return of 19.9% for the Class Aunits and a positive return of 18.9% for the Class Bunits. On a combined basis prior to expenses,approximately 30.5% resulted from trading gains andapproximately 2.9% was due to interest income.These gains are offset by approximately 14.3% incombined total brokerage fees, performance fees andoffering costs borne by Grant Park. An analysis ofthe 30.5% trading gains by sector is as follows:

Sector% Gain(Loss)

Interest Rates . . . . . . . . . . . . . . . . . . . . . 8.6%Currencies . . . . . . . . . . . . . . . . . . . . . . 0.1Stock Indices . . . . . . . . . . . . . . . . . . . . . 5.6Energy . . . . . . . . . . . . . . . . . . . . . . . . 8.4Agriculturals . . . . . . . . . . . . . . . . . . . . . 3.0Meats . . . . . . . . . . . . . . . . . . . . . . . . . 0.3Metals. . . . . . . . . . . . . . . . . . . . . . . . . 3.0Softs . . . . . . . . . . . . . . . . . . . . . . . . . 1.5Miscellaneous . . . . . . . . . . . . . . . . . . . . —

Total . . . . . . . . . . . . . . . . . . . . . . . . 30.5%


Grant Park began 2007 on a positive note afterinterest rate hikes in the Euro-zone and concerns overinflation in the U.S. forced fixed income prices lower,benefiting short positions in government debtmarkets. Speculation that OPEC would not push forproduction cuts resulted in gains for shorts in crudeoil while an upswing in U.S. fuel inventories did the

same for similar positions in unleaded gasoline. Thedrop in energy prices sparked buying on global sharemarkets that produced gains for Grant Park’s longequity index positions. Metals positions, which weresomewhat disparate at the beginning of January, werealso a source of income after a downturn in the U.S.housing market weakened copper prices and thethreat of a strike at a Canadian mine put a bid intothe nickel market. Gains recorded by Grant Park overthe first month were erased quickly over the next twomonths as a dramatic drop in share prices led tolosses for Grant Park’s equity, interest rate andcurrency positions. In February, a massive single-session plunge in the Chinese equity market (theapparent result of worries over whether thegovernment there would impose stricter regulationson investments) spilled over into European and NorthAmerican share markets. The sell-off continued intoMarch, further influenced by rising energy prices thatwere partly the result of growing tension between theUnited States and Iran over the latter’s nuclearambitions. The volatile downturn in equities marketssparked losses in the interest rate sector afterinvestors fled stocks for the relative safety ofgovernment debt instruments; weak reports on U.S.GDP, new home sales and manufacturing drove bondprices higher still, adding to losses. The Japanese yenrallied violently as investors strapped for the cashneeded to cover massive stock market lossesliquidated profitable carry trades in which they hadinitially borrowed the yen in order to purchasecurrencies from economies offering higher rates ofreturn. Short positions in the dollar were alsounprofitable after the greenback rallied on a drop inthe February U.S. unemployment rate. Longs in thesoft/agricultural commodities, which had producedsomewhat neutral results during the first two monthsof the year, ended the first quarter with net lossesafter USDA reports pointing to an increase in acreagededicated to corn production sent grain prices lower.Grant Park’s losses over the opening quarter wererounded out after the weakness in equities led tolower gold prices.

April 2007 began a streak of three straightprofitable months for Grant Park after investors,encouraged by optimistic forecasts on globaleconomic growth, began to wade back into equitiesmarkets. Gains continued into May as positiveearnings reports, an increase in merger andacquisition activity and lower reports on U.S.inflation had investors convinced that stocks hadturned the corner. Positions in the currency sectorgained over the second quarter, particularly the short

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bias in the U.S. dollar, which depreciated against theeuro and British pound in response to weak domesticeconomic data. Speculation that U.S. interest ratesmight be headed lower while European rates movedhigher pushed the dollar lower still. Short positions inthe Japanese yen also gained as the stability ofequities markets allowed currency traders, alreadyemboldened by anemic data on Japanese consumerprices and industrial production, to resume the carrytrade in an effort to take advantage of the low cost ofborrowing in yen. Short positions in the interest ratesector got out of the box slowly in April after thedrop in U.S. consumer prices resulted in a bond rallybut rebounded and posted gains over the next twomonths as global bond prices fell in response toforecasts for greater European economic growth anda confirmed rise in Canadian inflation. Gains camefor the soft/agricultural commodities sector after shortpositions in the cotton market benefited from a jumpin inventories during April; long positions in thegrain markets provided the bulk of gains during Mayand June when prices in the soybean complex surgedon a lack of rain and the prospect of increaseddemand for bio-fuel. Metals positions experienced aperiod of directionless trade during the secondquarter. A jump in Chinese demand for copper andconcerns over nickel supplies resulted in April gainsthat were somewhat mitigated in May when basemetals prices fell on news that the Chinesegovernment, which was worried about an overheatingeconomy, increased the stamp tax in an effort todampen stock market speculation. Advancing nickelinventories during June added to losses. Energypositions also entered a period of sideways tradeduring the second quarter. Rising prices as the resultof Iran’s stand-off with the West signaled a change inGrant Park’s energy bias from short to long thatresulted in gains after unleaded gasoline rallied onreports of contracted inventories. Long positions innatural gas that were unprofitable during May werereversed by Grant Park’s traders during June andwere able to recoup some of the previous month’slosses after prices continued lower by quarter’s endon reports of rising fuel stocks.

The third quarter of 2007 represented a periodof high volatility across global financial markets thatled to losses for Grant Park in July and August.Standard and Poor’s decision to downgrade Europeancollateralized debt obligations that were tied todefaulting U.S. sub-prime mortgages resulted insetbacks for short positions in the fixed income sectoras investors’ uncertainty about the corporate sector’sexposure to sub-prime debt sparked heavy buying in

more secure government bond markets. Equitiesmarkets, which had held their ground for the betterpart of July, plunged near month’s end on worriesthat the rapidly developing mortgage crisis couldresult in a global credit crunch. The sell-off in stockshurt Grant Park’s equity long positions and furtherexacerbated losses in the fixed income sector asinvestors sought safe haven in government securities.As was the case in February, investors once againwere forced to liquidate positions in the profitableJapanese yen carry trade in order to compensate forequities losses. Grant Park’s positions in the cross-rates sustained losses as the New Zealand dollar fellviolently against the yen. Long positions in the eurosustained losses after the European Central Bankinjected billions of euros into the banking system inan effort to head off a shortage of cash. Worries overthe availability of credit translated into losses forGrant Park’s long positions in the metals sector afterinvestors’ aversion to risk and a rising U.S. dollarsent gold prices tumbling. Base metals prices fell onconcerns that an economic slowdown wouldaccompany the dilemma facing credit markets. Longenergy positions gained ground in July after reportsof falling inventories and sectarian strife in Nigeriarallied crude prices; those same positions were dealtlosses in August after prices fell when HurricaneDean failed to disrupt refinery operations in the Gulfof Mexico. Heavy rains over the Midwest in July andAugust caused losses to Grant Park’s long positionsin the soybean complex.

September marked a change in direction forGrant Park’s performance and market exposure.Positions in the interest rate sector, which had beennet-short for the majority of the 2007 calendar year,were reversed by Grant Park’s trading advisors as aresult of the material change in price directionbrought about by the flight to government debt as analternative to corporate bonds. Long positions indomestic markets were immediately rewarded afteran unexpected drop in August U.S. payrolls, alongwith downward revisions to July and June payrolls,prompted the U.S. Federal Reserve Bank to cut short-term interest rates by 50 basis points. Long positionsin the euro and Canadian dollar (which reachedparity with the U.S. dollar for the first time in thirtyyears) reported gains as the greenback plunged on theFed’s intervention. Wheat prices, which had begun torise at the end of August, provided the bulk of gainsfor soft/agricultural positions on a spike in demandfrom India and the Middle East. The Fed’s decisionto cut rates sparked a rally that saw gold prices tradeabove $700 for the first time in sixteen months,

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adding to Grant Park’s gains. Speculation that lowerinterest rates and a lower dollar would translate intogreater demand for energy benefited long crudepositions as oil traded above the $80 mark for thefirst time. Long stock index positions, which hadbeen pared considerably by the end of September,were profitable after Asian stocks rallied on news thatthe Chinese government had relaxed investmentrestrictions on its citizens. By the end of September,Grant Park reported gains in every sector and had allbut erased the losses sustained during July andAugust.

Grant Park’s traders recorded gains during thefourth quarter of 2007 after the bulk of Grant Park’spositions continued to post advances throughoutOctober. Tremors from the effects of failingsub-prime mortgages continued to reverberate acrossglobal financial markets while a number of highlyrated lending institutions were forced to disclose thedepth of their exposure to the risky loans. In an effortto stabilize financial markets the Fed cut short termrates by another 25 basis points in October, a movethat resulted in another down move for thebeleaguered U.S. dollar and gains for euro, poundand Canadian dollar longs. Uncertainty as to how farthe mortgage crisis reached continued to benefit longpositions in the interest rate sector as investorsshunned corporate issues for the safety ofgovernment bonds. Long positions in the energysector gained ground over the final quarter as a lowerdollar combined with geopolitical concerns andgrowing seasonal fuel demand pushed crude oilprices to all-time highs above $95 per barrel. Soft/agricultural commodities sector reported losses duringOctober after wheat prices, which had establishednew all-time highs above $9 per bushel in September,fell on speculation that record prices would result ina dramatic increase in acreage dedicated to the crop.Grant Park’s long positions in the sector wererewarded during November and December as drygrowing conditions and increased foreign demand forgrain sustained the upward trend in soybean and cornprices. Metals markets reported gains during thisperiod after gold rallied to its highest levels in 27years as investors sought protection from the weakdollar and rising energy costs. Reports of bloatedcopper inventories resulted in losses duringNovember but these were quickly recovered aftergold rallied throughout December in response tohigher energy costs. The Fed’s rate cut, along withadditional cash infusions on behalf of the EuropeanCentral Bank’s effort to stave off a liquiditymeltdown resulted in gains for the equity index

sector during October but these were erased over thefinal two months of the year as the expanding creditcalamity and recessionary fears continued to sendstock investors to the exits.


Sector% Gain(Loss)

Interest Rates . . . . . . . . . . . . . . . . . . . . 7.2%Currencies . . . . . . . . . . . . . . . . . . . . . . 5.7Stock Indices . . . . . . . . . . . . . . . . . . . . (2.3)Energy . . . . . . . . . . . . . . . . . . . . . . . . 5.0Agriculturals . . . . . . . . . . . . . . . . . . . . . 4.1Meats . . . . . . . . . . . . . . . . . . . . . . . . (0.6)Metals . . . . . . . . . . . . . . . . . . . . . . . . 0.7Softs . . . . . . . . . . . . . . . . . . . . . . . . . (1.8)Miscellaneous . . . . . . . . . . . . . . . . . . . . —

Total . . . . . . . . . . . . . . . . . . . . . . . . 18.0%

The general partner has agreed to rebate back toGrant Park a portion of Grant Park’s operating,organization and offering expenses to the extentactual expenses were less than the actual amountGrant Park paid the general partner. For 2007, thegeneral partner reimbursed Grant Park a total of$750,000, of which $250,000 related to operatingexpenses and $500,000 related to organization andoffering expenses.


Grant Park reported profits during 2006 asidentifiable price trends allowed our traders to takeadvantage of increased volatility in the marketplace.

Grant Park started out the year on a positivenote in January as the rally in base metals prices thathad begun in earnest in 2005 continued into 2006. Akey component to the upward price movement wasthe ongoing expansion of the Chinese economy,which had continued to outpace economists’ growthestimates. Gains in the sector continued throughoutthe year as work stoppages at several mines, growthin the housing sector and falling inventories kept abid in the market for nickel, aluminum, copper andzinc. Precious metals positions were profitable asgeopolitical concerns over Iran’s nuclear ambitionsand questions regarding the direction of U.S.monetary policy saw gold prices climb above the$650 level. Silver positions rounded out profits in the

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sector as prices rose primarily on news that Barclayswould introduce a silver-backed ETF (ExchangeTraded Fund) into the marketplace. By the end of2006, profits from base and precious metal positions,a sector which makes up 11% of Grant Park’s marketexposure, accounted for approximately 55% of GrantPark’s net gains.

Positions in global stock indices were the secondlargest source of Grant Park’s profits during 2006.Foreign equity markets performed well from theonset of the year as favorable business conditionscoupled with strong earnings forecasts resulted inhigher share prices on the Paris CAC, London FTSE-100, German DAX and Spanish IBEX. Europeanstock prices continued to surge throughout the year asmerger and acquisition activity heated up. The S&PComposite Index and Hong Kong Hang Seng wereresponsible for the biggest gains in the sector andprices in both indices continued higher in the secondhalf of the year on speculation that the U.S. FederalReserve Bank, which had completed the last of itsseventeen consecutive rate rises in June, might be ina position to ease short-term interest rates after astream of economic data suggested that the U.S.economy might be slowing down enough to warranta rate cut.

Currency positions also reported gains for GrantPark’s investors, particularly in the cross-ratemarkets. The Japanese yen depreciated materiallyagainst some of its major counterparts late in theyear, allowing Grant Park’s traders to take advantageof the increased volatility in the sector. Disparitybetween interest rates was a driving force in thecross-rates as the prospect of tighter Europeanmonetary policy pushed the euro and British poundhigher relative to the yen.

The largest losses for Grant Park were the resultof positions in the soft/agricultural commodities, thegrain markets in particular. The soybean marketpresented the most difficulty in terms of identifyingclear price direction as it traded in a narrow rangebetween $5.91 and $6.55 from January through July.Short positions benefited from a breakout to thedownside in August and September but concerns oversoybean rust led to an October rally that erased thegains from the previous two months. While pricescontinued higher throughout November a definitivetrend was difficult to identify as prices experienced adownside reversal during December.

Positions in the interest rate sector also sustainedlosses during 2006. The underlying themereverberating throughout financial markets during the

year was the state of the U.S. economy and whatdirection the Federal Reserve Bank would take withregard to monetary policy. The central bank was inthe midst of a tightening cycle as the year began andremained in that mode until June when itimplemented the last of its consecutive rate hikes.Following the halt to the rate increases comments byFed officials concerning any further risk of inflationkept financial markets on edge even as economic datasuggested that the U.S. economy might be slowingdown, causing the markets to speculate that the nextmove by the Fed could be to lower short-term rates.These circumstances resulted in losses for positionsin the Eurodollars, Ten-year notes and Thirty-yearbonds as uncertainty and choppiness in themarketplace made it difficult for Grant Park’s tradersto identify and exploit a price trend in eitherdirection.


Sector% Gain(Loss)

Interest Rates . . . . . . . . . . . . . . . . . . . . (1.0)%

Currencies . . . . . . . . . . . . . . . . . . . . . . 0.8

Stock Indices . . . . . . . . . . . . . . . . . . . . 6.9

Energy . . . . . . . . . . . . . . . . . . . . . . . . (1.7)

Agriculturals . . . . . . . . . . . . . . . . . . . . . (2.1)

Meats . . . . . . . . . . . . . . . . . . . . . . . . (0.3)

Metals . . . . . . . . . . . . . . . . . . . . . . . . 10.8

Softs . . . . . . . . . . . . . . . . . . . . . . . . . 0.3

Miscellaneous . . . . . . . . . . . . . . . . . . . . —

Total . . . . . . . . . . . . . . . . . . . . . . . . 13.7%

For 2006, the general partner reimbursed GrantPark a total of $700,000, of which $200,000 relatedto operating expenses and $500,000 related toorganization and offering expenses.

Capital Resources

Grant Park plans to raise additional capital onlythrough the sale of units pursuant to the continuousoffering and does not intend to raise any capitalthrough borrowing. Due to the nature of Grant Park’sbusiness, it does not make any capital expendituresand does not have any capital assets that are notoperating capital or assets.

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Liquidity

Most U.S. futures exchanges limit fluctuations insome futures and options contract prices during asingle day by regulations referred to as daily pricefluctuation limits or daily limits. During a singletrading day, no trades may be executed at pricesbeyond the daily limit. Once the price of a contracthas reached the daily limit for that day, positions inthat contract can neither be taken nor liquidated.Futures prices have occasionally moved to the dailylimit for several consecutive days with little or notrading. Similar occurrences could prevent Grant Parkfrom promptly liquidating unfavorable positions andsubject Grant Park to substantial losses that couldexceed the margin initially committed to those trades.In addition, even if futures or options prices do notmove to the daily limit, Grant Park may not be ableto execute trades at favorable prices, if little tradingin the contracts is taking place. Other than theselimitations on liquidity, which are inherent in GrantPark’s futures and options trading operations, GrantPark’s assets are expected to be highly liquid.

Off-Balance Sheet Risk

Off-balance sheet risk refers to an unrecordedpotential liability that, even though it does not appearon the balance sheet, may result in future obligationor loss. Grant Park trades in futures and othercommodity interest contracts and is therefore a partyto financial instruments with elements of off-balancesheet market and credit risk. In entering into thesecontracts, Grant Park faces the market risk that thesecontracts may be significantly influenced by marketconditions, such as interest rate volatility, resulting insuch contracts being less valuable. If the marketsshould move against all of the commodity interestpositions of Grant Park at the same time, and ifGrant Park were unable to offset positions, GrantPark could lose all of its assets and the limitedpartners would realize a 100% loss. Grant Parkminimizes market risk through real-time monitoringof open positions, diversification of the portfolio andmaintenance of a margin-to-equity ratio that rarelyexceeds 33%. All positions of Grant Park are valuedeach day on a mark-to-market basis.

In addition to market risk, in entering intocommodity interest contracts there is a credit risk thata counterparty will not be able to meet its obligationsto Grant Park. The counterparty for futures andoptions on futures contracts traded in the UnitedStates and on most non-U.S. futures exchanges is theclearing organization associated with such exchange.In general, clearing organizations are backed by the

corporate members of the clearing organization whoare required to share any financial burden resultingfrom the non-performance by one of their membersand, as such, should significantly reduce this creditrisk.

In cases where the clearing organization is notbacked by the clearing members, like some non-U.S.exchanges, it is normally backed by a consortium ofbanks 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 otherinstitutional market rather than on exchanges, thecounterparty is generally a single bank or otherfinancial institution, rather than a central clearingorganization backed by a group of financialinstitutions. As a result, there likely will be greatercounterparty credit risk in these transactions. GrantPark trades only with those counterparties that itbelieves to be creditworthy. Nonetheless, the clearingmember, clearing organization or other counterpartyto these transactions may not be able to meet itsobligations to Grant Park, in which case Grant Parkcould suffer significant losses on these contracts.

In the normal course of business, Grant Parkenters into contracts and agreements that contain avariety of representations and warranties and whichprovide general indemnifications. Grant Park’smaximum exposure under these arrangements isunknown, as this would involve future claims thatmay be made against Grant Park that have not yetoccurred. Grant Park expects the risk of any futureobligation under these indemnifications to be remote.

Contractual Obligations

None.

QUANTITATIVE AND QUALITATIVEDISCLOSURES ABOUT MARKET RISK

Introduction

Grant Park is a speculative commodity pool. Themarket sensitive instruments held by it are acquiredfor speculative trading purposes, and all or asubstantial amount of Grant Park’s assets are subjectto the risk of trading loss. Unlike an operatingcompany, the risk of market sensitive instruments isintegral, not incidental, to Grant Park’s business.

Market movements result in frequent changes inthe fair market value of Grant Park’s open positionsand, consequently, in its earnings and cash flow.Grant Park’s market risk is influenced by a widevariety of factors, including the level and volatility of

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exchange rates, interest rates, equity price levels, themarket value of financial instruments and contracts,market prices for base and precious metals, energycomplexes and other commodities, the diversificationeffects among Grant Park’s open positions and theliquidity of the markets in which it trades.

Grant Park rapidly acquires and liquidates bothlong and short positions in a wide range of differentmarkets. Consequently, it is not possible to predicthow a particular future market scenario will affectperformance. Grant Park’s current trading advisors allemploy trend-following strategies that rely onsustained movements in price. Erratic, choppy,sideways trading markets and sharp reversals inmovements can materially and adversely affect GrantPark’s results. Grant Park’s past performance is notnecessarily indicative of its future results.

Value at risk is a measure of the maximumamount that Grant Park could reasonably be expectedto lose in a given market sector in a given day.However, the inherent uncertainty of Grant Park’sspeculative trading and the recurrence in the marketstraded by Grant Park of market movements farexceeding expectations could result in actual tradingor non-trading losses far beyond the indicated valueat risk or Grant Park’s experience to date. This risk isoften referred to as the risk of ruin. In light of theforegoing as well as the risks and uncertaintiesintrinsic to all future projections, the inclusion of thequantification included in this section should not beconsidered to constitute any assurance orrepresentation that Grant Park’s losses in any marketsector will be limited to value at risk or by GrantPark’s attempts to manage its market risk. Moreover,value at risk may be defined differently as used byother commodity pools or in other contexts.

Materiality, as used in this section, is based onan assessment of reasonably possible marketmovements and the potential losses caused by suchmovements, taking into account the leverage, andmultiplier features of Grant Park’s market sensitiveinstruments.

The following quantitative and qualitativedisclosures regarding Grant Park’s market riskexposures contain forward-looking statements. Allquantitative and qualitative disclosures in this sectionare deemed to be forward-looking statements, exceptfor statements of historical fact and descriptions ofhow Grant Park manages its risk exposure. GrantPark’s primary market risk exposures, as well as thestrategies used and to be used by its trading advisorsfor managing such exposures are subject to numerous

uncertainties, contingencies and risks, any one ofwhich could cause the actual results of Grant Park’srisk controls to differ materially from the objectivesof such strategies. Government interventions, defaultsand expropriations, illiquid markets, the emergence ofdominant fundamental factors, political upheavals,changes in historical price relationships, an influx ofnew market participants, increased regulation andmany other factors could result in material losses aswell as in material changes to the risk exposures andthe risk management strategies of Grant Park. GrantPark’s current market exposure and/or riskmanagement strategies may not be effective in eitherthe short- or long-term and may change materially.

Quantitative Market Risk

Trading Risk

Grant Park’s approximate risk exposure in thevarious market sectors traded by its trading advisorsis quantified below in terms of value at risk. Due toGrant Park’s mark-to-market accounting, any loss inthe fair value of Grant Park’s open positions isdirectly reflected in Grant Park’s earnings, realized orunrealized.

Exchange maintenance margin requirementshave been used by Grant Park as the measure of itsvalue at risk. Maintenance margin requirements areset by exchanges to equal or exceed the maximumlosses reasonably expected to be incurred in the fairvalue of any given contract in 95% to 99% of anyone-day interval. The maintenance margin levels areestablished by brokers, dealers and exchanges usinghistorical price studies as well as an assessment ofcurrent market volatility and economic fundamentalsto provide a probabilistic estimate of the maximumexpected near-term one-day price fluctuation.Maintenance margin has been used rather than themore generally available initial margin, becauseinitial margin includes a credit risk component that isnot relevant to value at risk.

In the case of market sensitive instruments thatare not exchange-traded, including currencies andsome energy products and metals in the case of GrantPark, the margin requirements for the equivalentfutures positions have been used as value at risk. Inthose cases in which a futures-equivalent margin isnot available, dealers’ margins have been used.

In the case of contracts denominated in foreigncurrencies, the value at risk figures include foreigncurrency margin amounts converted into U.S. dollarswith an incremental adjustment to reflect theexchange rate risk inherent to Grant Park, which is

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valued in U.S. dollars, in expressing value at risk in afunctional currency other than U.S. dollars.

In quantifying Grant Park’s value at risk, 100%positive correlation in the different positions held ineach market risk category has been assumed.Consequently, the margin requirements applicable tothe open contracts have simply been aggregated todetermine each trading category’s aggregate value atrisk. The diversification effects resulting from the factthat Grant Park’s positions are rarely, if ever, 100%positively correlated have not been reflected.

Value at Risk by Market Sectors

The following tables indicate the trading valueat risk associated with the GP Class and Grant Park’sopen positions by market category as ofDecember 31, 2008 and December 31, 2007 and thetrading gains/losses by market category for the yearsended December 31, 2008 and 2007. All openposition trading risk exposures of the GP Class andGrant Park have been included in calculating thefigures set forth below. As of December 31, 2008,Grant Park’s net asset value was approximately$643.6 million. As of December 31, 2007, GrantPark’s net asset value was approximately $455.7million.

As of December 31, 2008

Market SectorValue

at Risk% of Total

CapitalizationTrading

Gain/(Loss)

Interest Rates . . . . . . $14,965,191 2.3% 8.6%

Currencies . . . . . . . . 5,596,368 0.9 0.1

Metals . . . . . . . . . . 3,323,166 0.5 3.0

Stock Indices . . . . . . 2,393,475 0.4 5.6

Energy . . . . . . . . . 1,509,880 0.2 8.4

Agriculturals . . . . . . 642,068 0.1 3.0

Softs . . . . . . . . . . . 603,856 0.1 1.5

Meats . . . . . . . . . . 240,495 — 0.3

Total . . . . . . . . . $29,274,499 4.5% 30.5%

As of December 31, 2007

Market SectorValue

at Risk% of Total

CapitalizationTrading

Gain/(Loss)

Currencies . . . . . . . . $10,046,639 2.2% 5.7%

Stock Indices . . . . . . 4,885,229 1.1 (2.3)

Interest Rates . . . . . . 4,165,346 0.9 7.2

Energy . . . . . . . . . 4,131,368 0.9 5.0

Metals . . . . . . . . . . 3,984,802 0.9 0.7

Agriculturals . . . . . . 3,548,025 0.8 4.1

Softs . . . . . . . . . . . 1,981,086 0.4 (1.8)

Meats . . . . . . . . . . 693,850 0.1 (0.6)

Total . . . . . . . . . $33,436,345 7.3% 18.0%

Material Limitations on Value at Risk as anAssessment of Market Risk

The face value of the market sector instrumentsheld by Grant Park is typically many times theapplicable maintenance margin requirement, whichgenerally ranges between approximately 1% and 10%of contract face value, as well as many times thecapitalization of Grant Park. The magnitude of GrantPark’s open positions creates a risk of ruin nottypically found in most other investment vehicles.Because of the size of its positions, certain marketconditions — unusual, but historically recurring fromtime to time — could cause Grant Park to incursevere losses over a short period of time. The valueat risk table above, as well as the past performanceof Grant Park, gives no indication of this risk of ruin.

Non-Trading Risk

Grant Park has non-trading market risk on itsforeign cash balances not needed for margin.However, these balances, as well as the market riskthey represent, are immaterial. Grant Park also hasnon-trading market risk as a result of investing asubstantial portion of its available assets in U.S.Treasury bills and Treasury repurchase agreements.The market risk represented by these investments isalso immaterial.

Qualitative Market Risk

Trading Risk

The following were the primary trading riskexposures of Grant Park as of December 31, 2008,by market sector.

Interest Rates. Interest rate risk is a principalmarket exposure of Grant Park. Interest ratemovements directly affect the price of the futurespositions held by Grant Park and indirectly the valueof its stock index and currency positions. Interest ratemovements in one country as well as relative interestrate movements between countries materially impactGrant Park’s profitability. Grant Park’s primaryinterest rate exposure is due to interest ratefluctuations in the United States and the other G-7countries. However, Grant Park also takes futurespositions on the government debt of smaller nations,such as Australia. The general partner anticipates thatG-7 interest rates will remain the primary marketexposure of Grant Park for the foreseeable future. Asof December 31, 2008, Grant Park was long interestrate instruments in the U.S., UK, Europe, Asia,Australia and New Zealand. Despite beingpredominantly long, the portfolio did have smallshort positions in a few European markets.

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Currencies. Exchange rate risk is a significantmarket exposure of Grant Park. Grant Park’s currencyexposure is due to exchange rate fluctuations,primarily fluctuations that disrupt the historicalpricing relationships between different currencies andcurrency pairs. These fluctuations are influenced byinterest rate changes as well as political and generaleconomic conditions. Grant Park trades in a largenumber of currencies, including cross-rates, whichare positions between two currencies other than theU.S. dollar. The general partner anticipates that thecurrency sector will remain one of the primarymarket exposures for Grant Park for the foreseeablefuture. As of December 31, 2008, Grant Park waslong the U.S. dollar against various major currenciesincluding the British pound, Canadian dollar,Australian dollar, and New Zealand dollar, but wasshort the U.S. dollar against the Japanese yen, euro,Swiss franc, and Mexican peso. In general, with theexception of the Japanese yen, euro, Swiss franc, andMexican peso, a stronger U.S. dollar against mostmajor currencies would benefit Grant Park.

Metals. Grant Park’s metals market exposure isdue to fluctuations in the price of both preciousmetals, including gold and silver, as well as basemetals including aluminum, copper, nickel and zinc.As of December 31, 2008, in the precious metalssector Grant Park had short positions in palladium,platinum and silver, but had long positions in gold. Inthe base metals markets, Grant Park was shortaluminum, copper, nickel and zinc, but had minorlong positions in lead and tin.

Stock Indices. Grant Park’s primary equityexposure is due to equity price risk in the G-7countries as well as other jurisdictions includingHong Kong, Taiwan, and Australia. The stock indexfutures contracts currently traded by Grant Park aregenerally limited to futures on broadly based indices,although Grant Park may trade narrow-based stockindex futures contracts in the future. As ofDecember 31, 2008, Grant Park was predominantlyshort most major indices in the U.S., Asia, andWestern Europe, but had various minor long positionsin indices in Hong Kong, the UK, and the U.S. GrantPark is primarily exposed to the risk of adverse pricetrends or static markets in the major U.S., Europeanand Asian indices. Static markets would not causemajor market changes but would make it difficult forGrant Park to avoid being ‘‘whipsawed’’ intonumerous small losses.

Energy. Grant Park’s primary energy marketexposure is due to gas and oil price movements,

often resulting from political developments in theMiddle East, Nigeria, Russia and Venezuela. As ofDecember 31, 2008, the energy market exposure ofGrant Park was predominantly short. Short energypositions included crude oil, gas oil, unleadedgasoline, natural gas and a minor position in brentcrude oil. Oil and gas prices can be volatile andsubstantial profits and losses have been and areexpected to continue to be experienced in thismarket.

Agricultural/Meats/Softs. Grant Park’s primarycommodities exposure is due to agricultural pricemovements, which are often directly affected bysevere or unexpected weather conditions as well asother factors. As of December 31, 2008, in the grainsmarkets, Grant Park had short positions in soybeans,corn, and wheat and a long position in soybean meal.Grant Park was predominantly short the livestockmarkets with positions in feeder cattle, live cattle,and lean hogs. In the softs/industrials sectors, GrantPark was short sugar, coffee, and cotton, while GrantPark had long positions in cocoa.

Non-Trading Risk Exposure

The following were the only non-trading riskexposures of Grant Park as of December 31, 2008.

Foreign Currency Balances. Grant Park’sprimary foreign currency balances are in Japaneseyen, British pounds, Euros and Australian dollars.The advisors regularly convert foreign currencybalances to U.S. dollars in an attempt to controlGrant Park’s non-trading risk.

Cash Management. Grant Park maintains aportion of its assets at its clearing brokers, as well asat Lake Forest Bank & Trust Company. These assets,which may range from 5% to 33% of Grant Park’svalue, are held in U.S. Treasury securities and/orGovernment-sponsored enterprises. The balance ofGrant Park’s assets, which range from 67% to 95%,are invested in investment grade money marketinvestments purchased by Middleton DickinsonCapital Management, LLC which are held in aseparate, segregated account at State Street Bank andTrust Company. Violent fluctuations in prevailinginterest rates or changes in other economic conditionscould cause mark-to-market losses on Grant Park’scash management income.

Managing Risk Exposure

The general partner monitors and controls GrantPark’s risk exposure on a daily basis throughfinancial, credit and risk management monitoringsystems and, accordingly, believes that it has effective

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procedures for evaluating and limiting the credit andmarket risks to which Grant Park is subject.

The general partner monitors Grant Park’sperformance and the concentration of its openpositions, and consults with the trading advisorsconcerning Grant Park’s overall risk profile. If thegeneral partner felt it necessary to do so, the generalpartner could require the trading advisors to close outindividual positions as well as enter positions tradedon behalf of Grant Park. However, any interventionwould be a highly unusual event. The general partnerprimarily relies on the trading advisors’ own riskcontrol policies while maintaining a generalsupervisory overview of Grant Park’s market riskexposures. The trading advisors apply their own riskmanagement policies to their trading. The tradingadvisors often follow diversification guidelines,margin limits and stop loss points to exit a position.The trading advisors’ research of risk managementoften suggests ongoing modifications to their tradingprograms.

As part of the general partner’s riskmanagement, the general partner periodically meetswith the trading advisors to discuss their riskmanagement and to look for any material changes tothe trading advisors’ portfolio balance and tradingtechniques. The trading advisors are required tonotify the general partner of any material changes totheir programs.

General

From time to time, certain regulatory or self-regulatory organizations have proposed increasedmargin requirements on futures contracts. BecauseGrant Park generally will use a small percentage ofassets as margin, Grant Park does not believe thatany increase in margin requirements, as proposed,will have a material effect on Grant Park’soperations.

THE CLEARING BROKERS

MF Global, Newedge USA, LLC and UBSSecurities LLC serve as Grant Park’s clearingbrokers. The following descriptions for each clearingbroker provide background information andinformation regarding material legal proceedingsinvolving the clearing broker.

For ease of administration, the trading advisorsmay direct all or a portion of their trades on behalfof Grant Park to executing brokers or floor brokersfor execution with instructions to give-up theexecuted trade to the clearing broker for clearing andsettlement. The cost of any give-up fees to brokers

will be included in Grant Park’s brokerage charge.Grant Park’s over-the-counter options, forward, swapand spot contracts generally will be transactedthrough the clearing brokers or their affiliates. Thetrading advisors also from time to time may selectother dealers through which such contracts will betraded, but only with the prior written consent of thegeneral partner.

MF Global Inc.

General

MF Global, formerly known as Man FinancialInc. (‘‘MFI’’), has served as Grant Park’s clearingbroker since November 1, 2005, when it replacedRefco, Inc. as one of Grant Park’s clearing brokers.The address of MF Global’s main office is 717 FifthAvenue, 9th Floor, New York, New York10022-8101, and its telephone number is (212) 589-6200. MF Global is registered under the CommodityExchange Act as a futures commission merchant anda commodity pool operator and is a member of theNFA. It also is a member of all major U.S. futuresexchanges.

MF Global provides commodity interestbrokerage and clearing services to Grant Park, andalso acts as one of Grant Park’s additional sellingagents. MF Global is not a sponsor or general partnerof Grant Park, and will not act in any supervisorycapacity with respect to the general partner orparticipate in the management of either the generalpartner of Grant Park. MF Global does not have oraccept any discretionary authority with respect totransactions or investments in Grant Park’s tradingaccount. MF Global may use the services of otherclearing brokers and brokers who are members ofexchanges of which MF Global is not a member. MFGlobal maintains the trading account of Grant Parkon its books and records as a separate account.

Conflicts of Interest

MF Global is presently acting as clearing brokerfor other commodity pools, providing services similarto those provided Grant Park, and expects to continueto serve in this capacity for commodity pools in thefuture. MF Global also serves a number of other non-commodity pool customers. Its responsibilities toGrant Park and the responsibilities that it has or mayundertake in the future may cause a conflict ofinterest. These conflicts may result in competitionamong commodity pools and other customers forservices provided to them by the clearing broker. Inaddition, MF Global may in the future charge other

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customers, including public and private commoditypools, a lower brokerage rate than is being charged toGrant Park.

MF Global also acts as an additional sellingagent for Grant Park. Because MF Global’scompensation as clearing broker is based, at least inpart, on the net asset value of Grant Park, it mayhave a conflict of interest between acting in the bestinterest of its clients when advising them to purchaseor redeem units and assuring continued compensationto itself.

MF Global and its principals, employees andagents may trade commodity interest contracts fortheir own accounts. These trades may be differentfrom, opposite to or entered ahead of trades enteredinto by Grant Park, and these persons may even bethe other party to a trade entered into by Grant Park.The records of any of these trades will not beavailable to limited partners.

Legal Proceedings

At any given time, MF Global is involved innumerous legal actions and administrativeproceedings, which MF Global has advised thegeneral partner are not, in the aggregate, as of thedate of this prospectus, expected to have a materialeffect upon its condition, financial or otherwise, or tothe services it renders to Grant Park. MF Global hasalso advised the general partner that, as of the date ofthis prospectus, there have been no materialadministrative, civil or criminal proceedings pending,on appeal, or concluded against MF Global or itsprincipals within the last five years, except asfollows:

In May, 2006, MFI was sued by the Receiverfor Philadelphia Alternate Asset Fund (‘‘PAAF’’) andassociated entities for common law negligence,common law fraud, violations of the CommodityExchange Act and RICO violations (the‘‘Litigation’’). In December, 2007, without admittingany liability of any party to the Litigation to anyother party to the Litigation, the Litigation wassettled with MFI agreeing to pay $69 million, plus $6million of legal expenses, to the Receiver, inexchange for releases from all applicable parties andthe dismissal of the Litigation with prejudice. In arelated action, MFI settled a CFTC administrativeproceeding (In the Matter of MF Global, f/k/a ManFinancial Inc., and Thomas Gilmartin) brought bythe CFTC against MFI and one of its employees forfailure to supervise and recordkeeping violations.Without admitting or denying the allegations, MFIagreed to pay a civil monetary penalty of $2 million

and accepted a cease and desist order. MFI hasinformed the General Partner that the settlementsreferenced above will not materially affect MFGlobal or its ability to perform as a clearing brokerfor Grant Park.

On February 20, 2007, MFI also settled a CFTCadministrative proceeding (In the Matter of Steven M.Camp and Man Financial Inc., CFTC Docket No.07-04) in which MFI was alleged to have failed tosupervise one of its former associated persons(‘‘AP’’) who was charged with fraudulently solicitingcustomers to open accounts at MFI. The CFTCalleged that the former AP misrepresented theprofitability of a web-based trading system and of apurported trading system to be traded by acommodity trading advisor. Without admitting ordenying the allegation, MFI agreed to pay restitutionto customers amounting to $196,900.44 and a civilmonetary penalty of $120,000. MFI also agreed to acease and desist order and to strengthen itssupervisory system for overseeing sales solicitationsby employees in connection with accounts to betraded under letters of direction in favor of thirdparty system providers.

On March 6, 2008, and thereafter, five virtuallyidentical proposed class action securities suits werefiled against MF Global’s parent, MF Global Ltd.,certain of its officers and directors, and Man Groupplc. These suits have now been consolidated into asingle action. The complaints seek to hold defendantsliable under Sections 11, 12, and 15 of the SecuritiesAct of 1933 by alleging that the registrationstatement and prospectus issued in connection withMF Global Ltd.’s initial public offering in July 2007,were materially false and misleading to the extentthat representations were made regarding MF GlobalLtd.’s risk management policies, procedures andsystems. The allegations are based upon MF GlobalLtd.’s disclosure of $141.5 million in trading lossesincurred in a single day by an AP in his personaltrading account, which losses MF Global wasresponsible to pay as an exchange clearing member.

In connection with the incident involving thetrading losses referenced above, the CFTC issued aformal order of investigation naming MF Global andthe AP. The CFTC, in coordination with the ChicagoMercantile Exchange (‘‘CME’’), has been collectingdocumentation and taking depositions of MF Globalemployees. This investigation is ongoing and it is notyet certain what actions the CFTC and/or the CMEmight take. MF Global Ltd. has established anaccrual of $10.0 million to cover potential CFTC

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civil monetary penalties in this matter and the twoCFTC matters referred to below. This is MF GlobalLtd.’s best estimate at this time and there is noassurance that the $10.0 million accrual will besufficient for these purposes or that the CFTC willnot require remedial measures. No accrual has beenmade for the CME matter.

In May 2007, MF Global and two of itsemployees received what is commonly referred to asa ‘‘Wells notice’’ from the staff of the Division ofEnforcement of the CFTC. The notice relates to twotrades MF Global executed in 2004 for a customerand reported to NYMEX. The notice indicates thatthe SEC’s Division of Enforcement is consideringrecommending to the CFTC that a civil proceedingbe commenced against MF Global and the twoemployees, in which the CFTC would assert that MFGlobal and the two employees violated Section9(a)(4) of the Commodity Exchange Act, whichgenerally prohibits any person from willfully makingany false, fictitious, or fraudulent statements orrepresentations, or making or using any false writingor document knowing the same to contain any false,fictitious, or fraudulent statement to a board of trade.The Division of Enforcement staff contends that MFGlobal and the individuals presented or participatedin the submission of information to NYMEX thatfalsely represented the dates on which the trades inquestion occurred. MF Global and the individualsdispute these contentions. It is not yet certain whataction the CFTC will take, but see the reference to a$10.0 million accrual above.

Additionally, MF Global Ltd. is currentlycooperating in an investigation conducted by a NewYork County Grand Jury in conjunction with the U.S.Attorney’s Office in the Southern District of NewYork, with which the CFTC and the SEC are alsoinvolved. The investigation centers around trading bya market making energy trader at Bank of Montreal(BMO) who allegedly mismarked his book. An MFGlobal broker did business with the BMO trader, andused bid and offer prices for forward OTC trades theBMO trader sent to him as a basis for prices whichthe MF Global broker disseminated to MF Global’scustomers, including BMO, as price indications thatreflected a consensus. MF Global has been told thatneither MF Global nor the broker are targets of theGrand Jury investigation. In connection with thisinvestigation, MF Global has been served by theCFTC with a Wells notice in anticipation of civilcharges against the broker under the anti-fraudprovisions of CFTC Regulation 33.10 and MF Globalwith derivative liability for the broker’s actions. It is

not yet certain what action the CFTC may takeagainst MF Global or the broker, but see thereference to a $10.0 million accrual above.

MF Global acts only as clearing broker for thefutures accounts to be traded by Grant Park and assuch is paid commissions for executing and clearingtrades. MF Global has not passed upon the adequacyor accuracy of this prospectus and will not act in anysupervisory capacity with respect to the GeneralPartner of the commodity pool or to the CommodityTrading Advisor, as the case may be, nor participatein the management of the General Partner or anytrading advisor of Grant Park. Therefore, prospectiveinvestors should not rely on MF Global in decidingwhether or not to invest in Grant Park.

Newedge USA, LLC

General

Newedge USA, LLC (‘‘Newedge USA’’) becameone of Grant Park’s clearing brokers effective July 1,2008 to execute and clear Grant Park’s futurestransactions and provide other brokerage-relatedservices. Newedge Financial Inc. (‘‘NFI’’) is awholly-owned subsidiary of Newedge USA whichmerged into Newedge USA effective September 1,2008. Newedge Alternative Strategies, Inc.(‘‘NAST’’) may execute foreign exchange or otherover the counter transactions with Grant Park, asprincipal. Newedge USA and NAST are subsidiariesof Newedge Group. Newedge USA and NAST areheadquartered at 630 Fifth Avenue, Suite 500, NewYork, NY 10111 with branch offices in SanFrancisco, California; Chicago, Illinois; Philadelphia,Pennsylvania; Kansas City, Missouri and Houston,Texas. Newedge USA is a futures commissionmerchant and broker-dealer registered with the CFTCand the SEC, and is a member of FINRA. NewedgeUSA is a clearing member of all principal futuresexchanges located in the United States as well as amember of the Chicago Board Options Exchange,International Securities Exchange, New York StockExchange, Options Clearing Corporation, andGovernment Securities Clearing Corporation. NASTis an eligible swap participant that is not registered orrequired to be registered with the CFTC or the SEC,and is not a member of any exchange. Prior toJanuary 2, 2008 Newedge USA, LLC was known asFimat USA, LLC, while NAST was known as FimatAlternative Strategies Inc. On September 1, 2008,Newedge USA merged with future commissionmerchant and broker-dealer NFI — formerly knownas Calyon Financial Inc. Newedge USA was thesurviving entity.

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Newedge USA provides commodity interestbrokerage and clearing services to Grant Park. Theforeign futures trades made on behalf of Grant Parkare cleared and carried through an affiliate of theNewedge Group, Newedge Group (UK Branch)(‘‘Newedge UK’’). Grant Park has entered into aprime brokerage relationship with Newedge UK forthe clearing of its OTC foreign currency transactions.Newedge USA is not a sponsor or general partner ofGrant Park, and will not act in any supervisorycapacity with respect to the general partner orparticipate in the management of either the generalpartner of Grant Park. NFI does not have or acceptany discretionary authority with respect totransactions or investments in Grant Park’s tradingaccount. NFI may use the services of other clearingbrokers, including its affiliates, and brokers who aremembers of exchanges of which NFI is not amember. NFI maintains the trading account of GrantPark on its books and records as a separate account.

Conflicts of Interest

Newedge USA is presently acting as clearingbroker for other commodity pools, providing servicessimilar to those provided Grant Park, and expects tocontinue to serve in this capacity for commoditypools in the future. Newedge USA also serves anumber of other non-commodity pool customers. Itsresponsibilities to Grant Park and the responsibilitiesthat it has or may undertake in the future may causea conflict of interest. These conflicts may result incompetition among commodity pools and othercustomers for services provided to them by theclearing broker. In addition, Newedge USA may inthe future charge other customers, including publicand private commodity pools, a lower brokerage ratethan is being charged to Grant Park.

Newedge USA and its principals, employees andagents may trade commodity interest contracts fortheir own accounts. These trades may be differentfrom, opposite to or entered ahead of trades enteredinto by Grant Park, and these persons may even bethe other party to a trade entered into by Grant Park.The records of any of these trades will not beavailable to limited partners.

Legal Proceedings

At any given time, Newedge USA is involved innumerous legal actions and administrativeproceedings, which Newedge USA has advised thegeneral partner are not, in the aggregate, as of thedate of this prospectus, expected to have a materialeffect upon its condition, financial or otherwise, or tothe services it renders to Grant Park. Newedge USA

has also advised the general partner that, as of thedate of this prospectus, there have been no material,administrative, civil or criminal proceedings pending,on appeal or concluded against Newedge USA,NAST or its principals within the last five years,except as follows:

In March 2008, NFI settled, without admittingor denying the allegations, a disciplinary actionbrought by the New York Mercantile Exchange(‘‘NYMEX’’) alleging that NFI violated NYMEXrules related to: numbering and time stamping ordersby failing properly to record a floor order ticket;wash trading; failure to adequately superviseemployees; and violation of a prior NYMEX ceaseand desist order, effective as of December 5, 2006,related to numbering and time stamping orders andblock trades. NFI paid a $100,000 fine to NYMEX inconnection with this settlement.

In April 2003, the CFTC instituted, and NFIsimultaneously settled, an administrative enforcementproceeding alleging that NFI violated CFTC recordkeeping requirements. In the settlement, NFI neitheradmitted nor denied the CFTC’s allegations. NFIconsented to a civil monetary penalty of $75,000 anda cease and desist order based on the CFTC’s findingin the settlement order that NFI had violated therecord keeping requirements by failing to locate andproduce cancelled and unfilled order tickets thatpertained to orders placed on certain dates during theperiod between July 1998 and February 2000.

UBS Securities LLC

General

UBS Securities’ principal office is located at 677Washington Blvd., Stamford, Connecticut 06901,telephone: (203) 719-4066. It is registered as abroker-dealer with FINRA and as a futurescommission merchant with the CFTC. It is a memberof various U.S. futures and securities exchanges.UBS Securities is a wholly-owned indirect subsidiaryof UBS AG.

UBS Securities did not sponsor or organizeGrant Park and is not responsible for the activities ofthe general partner or the trading advisors. UBSFinancial Services, Inc., an affiliate of UBSSecurities, acts as one of the selling agents for GrantPark.

UBS Securities clears all foreign futures tradesmade on behalf of Grant Park and carried by UBSSecurities through its parent UBS AG. Grant Park hasentered into a prime brokerage relationship with UBS

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AG’s Stamford, Connecticut office for the clearing ofits OTC foreign currency transactions.

Legal Proceedings

UBS Securities has advised the general partnerthat, except as set forth below, neither UBSSecurities nor any of its principals have beeninvolved in any administrative, civil or criminalproceeding, whether pending, on appeal or concluded,within the past five years that is in UBS Securities’determination material to a decision whether to investin Grant Park in light of all the circumstances. Likemost securities firms, UBS Securities is and has beena defendant in numerous legal actions relating to itssecurities and commodities business that allegevarious violations of federal and state securities laws.

UBS Securities is the defendant in twopurported securities class actions pending in DistrictCourt of the Northern District of Alabama, broughtby holders of stocks and bonds of HealthSouth,captioned In re HealthSouth Corporation Stockholder,No. CV-03-BE-1501-S and In re HealthSouthCorporation Bondholder Litigation, No. CV-03-BE-1502-S. Both complaints assert liability under theSecurities Act of 1934.

On June 27, 2007, the Securities Division of theSecretary of the Commonwealth of Massachusetts(‘‘Massachusetts Securities Division’’) filed anadministrative complaint (the ‘‘Complaint’’) andnotice of adjudicatory proceeding against UBSSecurities LLC, captioned In The Matter of UBSSecurities, LLC, Docket No. E-2007-0049, whichalleges, in sum and substance, that UBS Securitieshas been violating the Massachusetts UniformSecurities Act (the ‘‘Act’’) and related regulations byproviding the advisers for certain hedge funds withgifts and gratuities in the form of below market officerents, personal loans with below market interest rates,event tickets, and other perks, in order to inducethose hedge fund advisers to increase or retain theirlevel of prime brokerage fees paid to UBS Securities.The Complaint seeks a cease and desist order fromconduct that violates the Act and regulations, tocensure UBS Securities, to require UBS Securities topay an administrative fine of an unspecified amount,and to find as fact the allegations of the Complaint.

On June 26, 2008, the Massachusetts SecuritiesDivision filed an administrative complaint and noticeof adjudicatory proceeding against UBS Securitiesand UBS Financial Services, Inc. (‘‘UBS Financial’’),captioned In the Matter of UBS Securities, LLC andUBS Financial Services, Inc., Docket No. 2008-0045,which alleged that UBS Securities and UBS Financial

violated the Act in connection with the marketing andsale of auction rate securities.

On July 22, 2008, the Texas State Securitiesboard filed an administrative proceeding against UBSSecurities and UBS Financial captioned the Matter ofthe Dealer Registrations of UBS Financial Services,Inc. and UBS Securities LLC, SOAH Docket No.312-08-3918, SSB Docket No. 08-IC04, allegingviolations of the anti-fraud provision of the TexasSecurities Act in connection with the marketing andsale of auction rate securities.

On July 24, 2008 the New York AttorneyGeneral (‘‘NYAG’’) filed a complaint in SupremeCourt of the State of New York against UBSSecurities and UBS Financial captioned State of NewYork v. UBS Securities LLC and UBS FinancialServices, Inc., No. 650262/2008, in connection withUBS’s marketing and sale of auction rate securities.The complaint alleges violations of the anti-fraudprovisions of New York state statutes and seeks ajudgment ordering that the firm buy back auction ratesecurities from investors at par, disgorgement,restitution and other remedies.

On August 8, 2008, UBS Securities and UBSFinancial reached agreements in principle with theSEC, the NYAG, the Massachusetts SecuritiesDivision and other state regulatory agenciesrepresented by the North American SecuritiesAdministrators Association (‘‘NASAA’’) to restoreliquidity to all remaining client’s holdings of auctionrate securities by June 30, 2012. On August 20, 2008,the Texas proceeding was dismissed and withdrawn.On October 2, 2008, UBS Securities and UBSFinancial entered into a final consent agreement withthe Massachusetts Securities Division settling allallegations in the Massachusetts Securities Division’sadministrative proceeding against UBS Securities andUBS Financial with regards to the auction ratesecurities matter. On December 11, 2008, UBSSecurities and UBS Financial executed an Assuranceof Discontinuance in the auction rate securitiessettlement with the NYAG. On the same day, UBSSecurities and UBS Financial finalized settlementswith the SEC.

On August 14, 2008 the New Hampshire Bureauof Securities Regulation filed an administrative actionagainst UBS Securities relating to a student loanissuer, the New Hampshire Higher Education LoanCorp. (NHHELCO). The complaint alleges fraudulentand unethical conduct in violation of New Hampshirestate statues. The complaint seeks an administrativefine, a cease and desist order, and restitution to

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NHHELCO. The claim does not impact the globalsettlement with the SEC, NYAG and NASAA relatingto the marketing and sale of ARS to investors.

Further, UBS Securities, like most full serviceinvestment banks and broker-dealers, receivesinquiries and is sometimes involved in investigationsby the SEC, FINRA, NYSE and various otherregulatory organizations, exchanges and governmentagencies. UBS Securities fully cooperates with theauthorities in all such requests. UBS Securitiesregularly discloses to the FINRA arbitration awards,disciplinary action and regulatory events. Thesedisclosures are publicly available on the FINRA’swebsite at www.finra.org. Actions with respect toUBS Securities’ futures commission merchantbusiness are publicly available on the website of theNational Futures Association(http://www.nfa.futures.org/).

UBS Securities will act only as clearing brokerfor Grant Park and as such will be paid commissionsfor executing and clearing trades on behalf of theGrant Park. UBS Securities has not passed upon theadequacy or accuracy of this Prospectus. UBSSecurities neither will act in any supervisory capacitywith respect to the General Partner nor participate inthe management of the General Partner or the GrantPark.

Other Clearing Brokers

The general partner may, in its sole discretion,appoint additional or substitute clearing brokers forGrant Park. These clearing brokers may becompensated at a level higher or lower than GrantPark currently pays to its current clearing brokers.

Other Brokers

Grant Park has also entered into a relationshipwith Bank of America N.A. for engaging in a portionof Grant Park’s OTC foreign currency transactions.

CONFLICTS OF INTEREST

Some of the parties involved with the operationand/or management of Grant Park, including thegeneral partner, have other relationships that maycreate disincentives to act in the best interests ofGrant Park and its limited partners. The generalpartner has not established, and has no plans toestablish, any procedures or controls to prevent,address or resolve these conflicts. As a result, theseconflicts may inhibit or interfere with the sound andprofitable operation of Grant Park.

In evaluating these conflicts of interest, youshould be aware that the general partner has a

responsibility to investors to exercise good faith andfairness in all dealings affecting Grant Park. Thefiduciary responsibility of a general partner toinvestors is a developing and changing area of thelaw and if you have questions concerning the dutiesof the general partner, you should consult with yourcounsel.

Relationship of the General Partner and MFGlobal

Mr. Kavanagh, who indirectly controls and ispresident of the general partner, receives, throughDearborn Capital Brokers LTD, compensation fromMF Global, Grant Park’s current clearing broker, inexchange for transactions that Dearborn CapitalBrokers LTD introduces to MF Global for clearing.Therefore, he may have a disincentive to cause thegeneral partner to terminate or replace MF Globaleven if termination or replacement may be in the bestinterest of Grant Park. Mr. Kavanagh does not sharein any commissions paid by Grant Park to MFGlobal.

Other Activities of the General Partner

Because the general partner may engage fromtime to time in other activities in the normal courseof business, including acting as general partner toother similar partnerships and acting as sponsor andinvestment manager of the Dearborn AlternativeInvestment Fund Series 2, and the Dearborn SelectWinton Series, LP, the general partner’s full effortswill not be devoted to the activities of Grant Park.This may create a conflict of interest with respect tothe general partner’s commitment to Grant Park of itsresources. The general partner, however, intends todevote sufficient time Grant Park activities toproperly manage Grant Park consistent with itsfiduciary duties.

Other Trading Activities of the Trading Advisors

Each of the trading advisors and some of theirprincipals currently manage other trading accountsincluding their own accounts, and each will remainfree to manage additional accounts in the future.These other trading activities present various conflictof interest, some of which are described below.

The trading advisors or their principals maysometimes take positions in their proprietary accountsthat are opposite to or ahead of Grant Park’s account.Trading ahead of Grant Park presents a conflictbecause the trade first executed may receive a morefavorable price than the same trade later executed forGrant Park. In addition, the trading advisors mayhave financial incentives to favor other accounts over

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Grant Park’s account. The trading advisors may tradeother customer accounts that pay higher advisory feesthan does Grant Park, which may cause the tradingadvisors to devote more attention to these otheraccounts or trade these other accounts in a differentmanner. Finally, accounts traded by the tradingadvisors will compete with Grant Park and thetrading advisors may compete with each other, inbuying and selling commodity interest contracts forGrant Park’s account. When similar orders areentered at the same time, the prices at which GrantPark’s trades are filled may be less favorable than theprices allocated to other accounts. Some orders maybe difficult or impossible to execute in markets withlimited liquidity where prices may rise or fall sharplyin response to orders entered. However, each tradingadvisor is required to use an allocation methodologythat is fair to all of its customers. Because recordswith respect to other accounts are not accessible toinvestors in Grant Park, investors will not be able todetermine if any other accounts are being favoredover Grant Park’s account.

Commodity Interest Trading by General Partnerand its Principals

Mr. Kavanagh currently trades futures contractsfor his own account and may do so in the future.These trades may be different from, opposite to orentered ahead of trades entered into by Grant Park,and Mr. Kavanagh may even be the other party to atrade entered into by Grant Park. The general partnerdoes not intend to trade for its own account, but maydo so in the future. Records of trading of the generalpartner or its principals would not be made availableto limited partners for inspection, so you would notbe aware of the nature or details of any such trading.

General Partner and Trading Advisor OwnershipInterest in Grant Park

As of December 31, 2008, Grant Park had netassets of approximately $643.6 million, and hasissued limited partnership interests in transactionsregistered under the Securities Act of 1933 for netaggregate capital contributions equal to $747,444,671.The general partner has made and is required tomaintain a cash general partnership investment inGrant Park equal to 1% of such amount from time totime. The general partner may make withdrawals ofany investment in excess of this amount. As ofDecember 31, 2008, the sole principal of EMCbeneficially owned approximately 0.04% of theinterests in Grant Park as a limited partner, and aprincipal of Rabar, Paul Rabar, owned approximately0.24% of the interests in Grant Park as a limitedpartner. As of December 31, 2008, Ms. O’Rourke and

Mr. Meehan, principals of the general partner, ownedless than 0.04% of the interests in Grant Park aslimited partners. Other principals of or personsaffiliated with the general partner or the tradingadvisors may, from time to time, own interests inGrant Park. However, at December 31, 2008, noother persons affiliated with any of the tradingadvisors, other than as detailed above, own aninterest in Grant Park.

The general partner is subject to these and otherpotential conflicts of interest. The general partner,however, intends to treat Grant Park fairly, acting inaccordance with its fiduciary duty.

General Partner Acts as Transfer Agent for GrantPark

Currently, the general partner acts as GrantPark’s transfer agent. The fees and expensesassociated in its role as transfer agent for Grant Parkare operating expenses of Grant Park and will bereimbursed to the general partner by Grant Park. Thetotal ongoing operating expenses of Grant Park areestimated to be approximately 0.25% of the averagenet assets of Grant Park per year. This amount mayinclude certain overhead expenses and a portion ofthe salaries of those employees of the general partnerattributable to acting in the capacity as transfer agentof Grant Park.

DCM Brokers, LLC Acts as Lead Selling Agentfor Grant Park

DCM Brokers, LLC, or DCM, will act as leadselling agent for Grant Park with respect to theoffered units. DCM is a registered broker-dealer andan affiliate of Grant Park’s general partner, DearbornCapital Management, L.L.C. As lead selling agent,DCM will be entitled to receive selling commissionsand other related compensation that will be paiddirectly by the general partner. See ‘‘PLAN OFDISTRIBUTION — Selling Agent Compensation.’’

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FEES AND EXPENSES

Fees and Expenses Paid by Grant Park

Grant Park pays the following fees and expensesin connection with the offering of units, tradingactivities and operation of Grant Park:

RecipientNature ofPayment Amount of Payment

General Partner BrokerageCharge

Class A: 7.50%*Class B: 7.95%*Legacy 1 Class: 5.00%*Legacy 2 Class: 5.25%*GAM 1 Class: 4.45%*GAM 2 Class: 4.70%*GAM 3 Class: 6.45%** Annualized basis.

Counterparties Dealer Spreads Grant Park pays itscounterparties bid-askspreads on Grant Park’snon-exchange tradedcommodity interestcontracts.

Trading Advisors Incentive Fees Grant Park pays eachtrading advisor a quarterlyincentive fee ranging from20% to 26% of the newtrading profits, if any,achieved on the tradingadvisor’s allocated netassets as of the end ofeach calendar quarter.

General Partner Organizationand OfferingExpenseReimbursement

Grant Park reimburses thegeneral partner on amonthly basis for itsadvancement of GrantPark’s organization andoffering expenses, up toan amount not to exceed1.0% per annum of theaverage month-end netassets of Grant Park.

Third Parties OperatingExpenses;ExtraordinaryExpenses

Grant Park pays itsongoing operatingexpenses up to amaximum of 0.25% ofGrant Park’s average netassets per year. Thisincludes expensesassociated with GrantPark’s SEC reportingobligations, which for2008 are estimated to beapproximately $350,000.Grant Park also pays anyextraordinary expenses itincurs.

A more complete description of these fees andexpenses follows below. Please see page E-3 for adefinition of ‘‘net asset value’’ and ‘‘net assets.’’

Brokerage Charge

On or prior to the initial closing date, Class Aunits pay the general partner a monthly brokeragecharge equal to 0.625%, a rate of 7.50% annually, ofClass A’s month-end adjusted net assets; Class Bunits pay the general partner a monthly charge equal

to 0.6625%, a rate of 7.95% annually, of Class B’smonth-end adjusted net assets. Legacy 1 Class unitswill pay the general partner a monthly brokeragecharge equal to 0.4167%, a rate of 5.00% annually;Legacy 2 Class units will pay the general partner amonthly brokerage charge equal to 0.4375%, a rate of5.25% annually; GAM 1 Class units will pay thegeneral partner a monthly brokerage charge equal to0.3708%, a rate of 4.45% annually; GAM 2 Classunits will pay the general partner a monthlybrokerage charge equal to 0.3917%, a rate of 4.70%annually; and GAM 3 Class units will pay thegeneral partner a monthly brokerage charge equal to0.5375%, a rate of 6.45% annually. The generalpartner pays from the brokerage charge all clearing,execution and give-up, floor brokerage, exchange andNFA fees, any other transaction costs, selling agentcompensation and consulting fees to the tradingadvisors. The payments to the clearing brokers arebased upon a specified amount per round-turn foreach commodity interest transaction executed onbehalf of Grant Park. Legacy 1 Class, Legacy 2Class, GAM 1 Class and GAM 2 Class units areinitially being offered only to investors purchasingsuch units through wrap accounts. The amounts paidto selling agents, trading advisors or others may bebased upon a specified percentage of Grant Park’s netasset value or round-turn transactions. A round-turn isboth the purchase, or sale, of a commodity interestcontract and the subsequent offsetting sale, orpurchase, of the contract. The balance of thebrokerage charge not paid out to other parties isretained by the general partner as payment for itsservices to Grant Park.

Grant Park pays the general partner thebrokerage charge, which is based on a fixedpercentage of net assets, regardless of whether actualtransaction costs were less than or exceeded thisfixed percentage or whether the number of tradessignificantly increases. When Grant Park accesses atrading advisor through a fund or sub-fund account,in order for amounts allocated to such funds or sub-funds to have the same expense ratio as ourinvestments in advisors made through tradingcompanies, the general partner will reimburse GrantPark for certain fees charged by such funds or sub-funds. For the Legacy 1 Class units, assuming GrantPark’s brokerage charge was expressed on aper-transaction basis, the brokerage charge equates toround-turn commissions of approximately $37.35based on the average trading activity of the Legacy 1Class units’ trading advisors for the last three

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calendar years and assuming current allocations tothe trading advisors.

For the Legacy 2 Class units, assuming GrantPark’s brokerage charge was expressed on aper-transaction basis, the brokerage charge equates toround-turn commissions of approximately $41.84based on the average trading activity of the Legacy 2Class units’ trading advisors for the last threecalendar years and assuming current allocations tothe trading advisors.

For the GAM 1 Class units, assuming GrantPark’s brokerage charge was expressed on aper-transaction basis, the brokerage charge equates toround-turn commissions of approximately $22.90based on the average trading activity of the GAM 1Class units’ trading advisors for the last threecalendar years and assuming current allocations.

For the GAM 2 Class units, assuming GrantPark’s brokerage charge was expressed on aper-transaction basis, the brokerage charge equates toround-turn commissions of approximately $24.19based on the average trading activity of the GAM 2Class units’ trading advisors for the last threecalendar years and assuming current allocations.

For the GAM 3 Class units, assuming GrantPark’s brokerage charge was expressed on aper-transaction basis, the brokerage charge equates toround-turn commissions of approximately $33.20based on the average trading activity of the GAM 3Class units’ trading advisors for the last threecalendar years and assuming current allocations ofnet assets to the trading advisors.

The clearing brokers are also paid by the generalpartner, out of its brokerage charge, an average ofbetween approximately $5.00 and $10.00 per roundturn transaction entered into by Grant Park. Thisround turn commission includes all clearing,exchange and NFA fees.

The Guidelines for the Registration ofCommodity Pool Programs developed by the NorthAmerican Securities Administrators Association, Inc.,or NASAA Guidelines, require that the brokeragecharge payable by Grant Park will not be greater than(1) 80% of the published retail commission rate pluspit brokerage fees, or (2) 14% annually of GrantPark’s average net assets, including pit brokeragefees. Net assets for purposes of this limitationexclude assets not directly related to trading activity,if any. The general partner intends to operate GrantPark so as to comply with these limitations.

Dealer Spreads

Grant Park trades foreign currency forwardcontracts and other non-exchange traded commodityinterest contracts. These contracts are traded amongdealers that act as principals or counterparties to eachtrade. The execution costs are included in the price ofthe contract purchased or sold, and accordingly, thesecosts to Grant Park cannot be determined. However,the general partner believes the bid-ask spreads paidby Grant Park are competitive with the spreads paidby other institutional customers generally. Anycommissions or other transaction fees that may beincurred by Grant Park in trading forward and othernon-exchange traded contracts, other than theassociated bid-ask spreads, are paid by the generalpartner out of the brokerage charge.

Incentive Fees

Grant Park pays each trading advisor a quarterlyincentive fee based on any new trading profitsachieved on that trading advisor’s allocated net assetsas of the end of each calendar quarter. Generally,new trading profits means the net increase in tradingprofits, realized and unrealized, experienced by thetrading advisor on its allocated net assets from themost recent prior quarter in which an incentive feewas paid to the trading advisor, or if an incentive feehas yet to be paid to that trading advisor, the tradingadvisor’s initial allocation of net assets. Currently, theincentive fees payable to each of Grant Park’s tradingadvisors that are allocated 10% or more of the fund’sassets are as follows: 20% to Rabar, 22.5% to EMC,24% to ETC, 20% to Winton and 20% to Welton.Grant Park pays incentive fees ranging between 20%and 26% to each of Graham, Global Advisors,Transtrend, RCM and QIM.

Calculation of New Trading Profits. Newtrading profits are calculated with respect to eachtrading advisor’s allocated net assets. Allocated netassets means that portion of the net assets of eachclass of Grant Park allocated to the trading advisorby the general partner through the trading companyand subject to the trading advisor’s discretion(including any notional funds), together with anyappreciation or depreciation in such allocated netassets. New trading profits are calculated on a highwater mark basis, as described in the paragraphbelow. For a definition of net assets, please see‘‘Limited Partnership Agreement — Nature of Classesand Determination of Net Asset Value.’’

New trading profits on the allocated net assets ofeach trading advisor are calculated as the sum of(1) the net of any profits (excluding interest income)

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and losses realized on all trades closed out during theperiod of such allocated net assets, plus (2) the net ofany unrealized profits and losses on open positions asof the end of such period on such allocated netassets, minus (3)(A) the net of any unrealized profitsor losses on open positions as of the end of thepreceding period on such allocated net assets, (B) allexpenses (except the incentive fee payable to thetrading advisor, if any, for the current period andapplicable state taxes) attributable to such allocatednet assets incurred or accrued during such period,including, without limitation, the brokerage chargeand Grant Park’s ongoing expenses, and (C)cumulative net realized or unrealized trading losseson such allocated net assets (reduced by aproportionate share of realized and unrealized tradinglosses on such allocated net assets attributable toredeemed units or reallocated amounts as of anyredemption or reallocation date), if any, carriedforward from all preceding periods since the lastperiod for which an incentive fee was payable to thetrading advisor. The general partner may, however, inits sole discretion, adjust the computation of newtrading profits on the allocated net assets of anytrading advisor to exclude or include all or a portionof particular expenses for purposes of calculating thattrading advisor’s incentive fee. In the case ofGraham, ETC, Winton, Welton, Global Advisors,Transtrend, RCM and QIM, only certain allocatedexpenses of Grant Park are included for the purposeof calculating that trading advisor’s incentive fee,while for EMC and Rabar, all allocated expenses ofGrant Park are included.

Incentive fees paid at the end of a quarter willbe retained by each trading advisor and will not berepaid to Grant Park if the net assets of Grant Parkor of any class subsequently decline. This couldresult in substantial incentive fees being paid to atrading advisor despite the fact that an overall declinein the net assets of Grant Park or of any class hasoccurred. Because each trading advisor’s incentivefee will be determined independently based on newtrading profits experienced on the net assets allocatedto the trading advisor, it also is possible that one ofthe trading advisors could be paid incentive fees for aquarter even though, because of losses suffered byanother trading advisor, the net asset value per unitof a limited partner’s units declined during thequarter. Incentive fees will be payable on realizedand unrealized profits and, therefore, without regardto cash available for distribution.

The general partner generally reallocates assetsto or from a trading advisor as of the first trading day

of a calendar month. However, the advisory contractsauthorize the general partner to reallocate assetsamong the trading advisors monthly as it determinesin its sole discretion upon 10 days’ prior writtennotice to the affected trading advisors. If a tradingadvisor’s advisory contract with Grant Park isterminated other than as of the end of a calendarquarter or assets are allocated away from the tradingadvisor on other than a quarter-end, the tradingadvisor will receive an incentive fee, if due, asthough the termination date or reallocation date werethe end of a calendar quarter. With respect to anyallocated assets, in determining the trading advisor’squarterly incentive fee, reallocated assets aretransferred at the net asset value they had on the lasttrading day immediately prior to the date they areallocated away from the trading advisor, and thetrading advisor is paid its quarterly incentive fee onthe new trading profits on the reallocated assets.Below is a sample calculation of the incentive fee:

Assume one of Grant Park’s trading advisors,referred to as trading advisor A, is entitled to a 20%incentive fee. Assume Grant Park paid an incentivefee to trading advisor A at the end of the fourthquarter of 2007 and assume that trading advisor A’sallocated net assets recognized trading profits, net ofall applicable fees and expenses, of $100,000 duringthe first quarter of 2008. The new trading profits,excluding interest income, for the quarter would be$100,000 and trading advisor A’s incentive fee wouldbe $20,000 (0.2 ÷ $100,000). Alternatively, assumethat Grant Park paid an incentive fee to tradingadvisor A at the end of the fourth quarter of 2007 butdid not pay an incentive fee to trading advisor A atthe end of the first quarter of 2008, because tradingadvisor A had trading losses of $50,000. If tradingadvisor A’s allocated net assets recognized tradingprofits of $100,000 at the end of the second quarterof 2008, the net trading profits, excluding interestincome, for the quarter would be $50,000($100,000 − $50,000 loss carryforward) and tradingadvisor A’s incentive fee would be $10,000 (0.2 ÷$50,000). You should note that this simplifiedexample assumes that no additional assets have beenallocated to, nor have any assets been allocated awayfrom, trading advisor A during these sample timeframes.

Calculation of New Trading Profits andAllocation of Incentive Fees Among LimitedPartners. Before April 1, 2003, for purposes ofcalculating trading advisor incentive fees, assets ineach limited partner’s capital account were allocatedamong the trading advisors and incentive fees were

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then calculated for each limited partner based on thenew trading profits earned on the portion of assets ofthat limited partner that were allocated to that tradingadvisor. The result was that incentive fees were fairlyspecific to each limited partner’s investmentexperience.

As of April 1, 2003, new trading profits arecalculated on the performance of each tradingadvisor’s allocated net assets of Grant Park as awhole, and not on a capital account-by-capitalaccount basis. In particular, because incentive feesare calculated on the basis of any new trading profitsattributable to a trading advisor’s allocated net assets,the incentive fees are subject to equal allocationamong all limited partners, even though these personsmay have purchased their units at different times.Furthermore, because incentive fees are calculated onthe trading advisor’s allocated net assets and not onthe new trading profits experienced by a class ofunits, and each class of units bears differingproportions of Grant Park’s organization and offeringexpenses, for purposes of calculating new tradingprofits these expenses are deemed to be sharedproportionately among each unit.

The distortions described above are the productof calculating and allocating incentive compensationamong multi-advisor, multi-class, open-end fundsamong persons investing at different times while stillmaintaining a uniform net asset value per unit ofeach class. This method is the most common methodused in publicly-offered managed futures funds inwhich the large number of investors makes itimpracticable to individually track capital accountsfor each investor, but can result in incentive fees thatdisproportionately benefit or disadvantage particularlimited partners in comparison to funds that canassess fees solely based upon the individualinvestment experience of each limited partner.

Miscellaneous

The NASAA Guidelines impose the followingrestrictions on the amount of advisory fees paid byGrant Park: any management fees, any advisory fees,and all other fees paid by Grant Park, excludingincentive fees and brokerage commissions, whenadded to the customary and routine administrativeexpenses of Grant Park may not exceed 1⁄2 of 1% ofnet assets per month, or 6% annually. Aggregateincentive fees may not exceed 15% of new tradingprofits. An additional 2% incentive fee, however, maybe paid for each 1% by which the fees and expensesdescribed above are reduced below 6% annually. The

general partner intends to operate Grant Park so as tocomply with these limitations.

Organization and Offering Expenses

All expenses incurred in connection with theorganization and ongoing offering of the units arepaid by the general partner and then reimbursed tothe general partner by Grant Park. The limitedpartnership agreement provides that Grant Park shallbe entitled to reimbursement for organization andoffering expenses at a rate of up to 1.0% per annum,computed monthly, of which up to 10% of suchamount is reimburseable by Class A and 90% isreimburseable by Class B. Class A units bearorganization and offering expenses at an annual rateof 20 basis points (0.20%) of the adjusted net assetsof the Class A units, calculated and payable monthlyon the basis of month-end adjusted net assets.Effective April 1, 2009, Class A units bearorganization and offering expenses at an annual rateof 10 basis points (0.10%) of the adjusted net assetsof the Class A units, calculated and payable monthlyon the basis of month-end adjusted net assets.Effective September 1, 2005, Class B units bear theseexpenses at an annual rate of 60 basis points (0.60%)of the adjusted net assets of the Class B units,calculated and payable monthly on the basis ofmonth-end adjusted net assets. Effective April 1,2009, Class B units bear organization and offeringexpenses at an annual rate of 30 basis points (0.30%)of the adjusted net assets of the Class B units,calculated and payable monthly on the basis ofmonth-end adjusted net assets. The Legacy 1 Classunits bear organization and offering expenses at anannual rate of 30 basis points (0.30%) of the adjustednet assets of the Legacy 1 Class units, calculated andpayable monthly on the basis of month-end adjustedassets. The Legacy 2 Class units bear organizationand offering expenses at an annual rate of 30 basispoints (0.30%) of the adjusted net assets of theLegacy 2 Class units, calculated and payable monthlyon the basis of month-end adjusted assets. The GAM1 Class units bear organization and offering expensesat an annual rate of 30 basis points (0.30%) of theadjusted net assets of the GAM 1 Class units,calculated and payable monthly on the basis ofmonth-end adjusted assets. The GAM 2 Class unitsbear organization and offering expenses at an annualrate of 30 basis points (0.30%) of the adjusted netassets of the GAM 2 Class units, calculated andpayable monthly on the basis of month-end adjustedassets. The GAM 3 Class units bear organization andoffering expenses at an annual rate of 30 basis points(0.30%) of the adjusted net assets of the GAM 3

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Class units, calculated and payable monthly on thebasis of month-end adjusted assets. In no event,however, will the reimbursement from Grant Park tothe general partner exceed 1.0% per annum of theaverage month-end net assets of Grant Park. Thegeneral partner has the discretion to change theamounts assessed to each class for organization andoffering expenses, provided the amounts do notexceed the limits set forth in the limited partnershipagreement. In its discretion, the general partner mayrequire Grant Park to reimburse the general partner inany subsequent calendar year for amounts that exceedthese limits in any calendar year, provided that themaximum amount reimbursed by Grant Park in anycalendar year will not exceed the overall limits setforth above.

The NASAA Guidelines require that theorganization and offering expenses of Grant Park donot exceed 15% of the total subscriptions accepted.The general partner, and not Grant Park, isresponsible for any expenses in excess of thatlimitation. Since the general partner has agreed tolimit Grant Park’s responsibility for these expenses toa total of 1% of Grant Park net assets per year, thegeneral partner does not expect the NASAAGuidelines limit of 15% of total subscriptions to bereached.

Operating Expenses

Grant Park has borne, and will continue to bear,all ongoing operating expenses subject to a maximumcharge for such expenses of 0.25% of the average netassets of Grant Park per year, including legal, audit,internal control attestation, administration, transferagent, printing and postage expenses and the costsand expenses of preparing and filing requiredperiodic reports with the SEC. To the extentoperating expenses are less than 0.25% of GrantPark’s average net assets during the year, thedifference may be reimbursed pro rata torecordholders as of December 31 of each year. Ifactual operating expenses are higher than 0.25% ofGrant Park’s average net assets during any year, thegeneral partner, not Grant Park, will bear the excessamount. The general partner estimates that the legaland audit fee portion of the operating expensechargeable to Grant Park during 2009 will beapproximately $400,000. The general partner does notanticipate that Grant Park will be liable for anyincome or other business taxes. The portion of theoperating expense borne by Grant Park relating to thefees and expenses associated with Grant Park’stransfer agent will be paid to the general partner,which acts as Grant Park’s transfer agent.

The general partner will not cause Grant Park topay any of the general partner’s indirect expenses,other than organization and offering expenses asdescribed above, incurred in connection with itsadministration of Grant Park, including salaries, rent,travel expenses or other items generally consideredoverhead.

Extraordinary Expenses

Grant Park is required to pay all of itsextraordinary expenses, if any. These expensesinclude any litigation expenses and IRS auditexpenses, among others.

Early Redemption Fee

Investors in the offered units are prohibited fromredeeming such units for three months following thesubscription for units. GAM 3 Class units that areredeemed after the three-month lock-up, but beforethe one-year anniversary of the subscription for theunits will pay the general partner an early redemptionfee. The early redemption fee is based on the netasset value of the redeemed units as of the close ofbusiness on the date of the redemption and will differdepending on when the units are redeemed during thefirst year of investment as follows:

• units redeemed after the third month-endand on or before the sixth month-end afterthe subscription are subject to a fee of1.50% of the net asset value of theredeemed units;

• units redeemed after the sixth month-endand on or before the ninth month-end afterthe subscription are subject to a fee of 1.0%of the net asset value of the redeemedunits; and

• units redeemed after the ninth month-endand before the one-year anniversary of thesubscription are subject to a fee of 0.5% ofthe net asset value of the redeemed units.

No offered units may be redeemed during theinitial offering period.

For purposes of determining the existence andthe amount of an early redemption fee with respect tothe GAM 3 Class units, redemptions are made on afirst-in, first-out basis such that the redeemed unitswill be deemed to have been acquired on theredeeming limited partner’s earliest subscription datefor which units have not yet been redeemed. GAM 3Class limited partners who redeem units on or after

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the one year anniversary of their subscription for theredeemed units do not pay any redemption fees forsuch redemption.

Fees and Expenses Paid by the General Partner

The general partner pays the following fees andexpenses in connection with the offering of units,trading activities and operation of Grant Park.

Transaction Costs

As described above under ‘‘FEES ANDEXPENSES — Fees and Expenses Paid by GrantPark — Brokerage Charge,’’ the general partner paysall clearing, execution and give-up, floor brokerage,exchange and NFA fees, and other transaction costsincurred in connection with Grant Park’s tradingactivities.

Selling Agent Compensation

The general partner pays all upfront salescommissions and other ongoing compensation to theselling agents for the sales of any units. You will notdirectly pay sales compensation to the selling agents.

Legacy 1 Class Units. Selling agents who sellLegacy 1 Class units do not receive any upfront salescompensation and will not receive an administrativefee. However, such selling agents may be reimbursedfor bona fide due diligence expenses.

Legacy 2 Class Units. Beginning with the firstmonth after the subscription proceeds of a Legacy 2Class unit have been invested in Grant Park, sellingagents who sell Legacy 2 Class units will receive anadministrative fee calculated and payable monthly atan annual rate of 25 basis points (0.25%) of themonth-end net asset value of the unit, paid on amonthly basis, in order to compensate them forongoing administrative and other support servicesprovided to the unit holder. However, in no eventwill the total underwriting compensation per Legacy2 Class unit exceed 10% of the subscription proceedsof the unit (plus bona fide due diligence expenses).This ongoing compensation will continue as long asthe unit remains outstanding.

GAM 1 Class Units. Selling agents who sellGAM 1 Class units do not receive any upfront salescompensation and will not receive an administrativefee. However, such selling agents may be reimbursedfor bona fide due diligence expenses.

GAM 2 Class Units. Beginning with the firstmonth after the subscription proceeds of a GAM 2Class unit have been invested in Grant Park, sellingagents who sell GAM 2 Class units will receive an

administrative fee calculated and payable monthly atan annual rate of 25 basis points (0.25%) of themonth-end net asset value of the unit, paid on amonthly basis, in order to compensate them forongoing administrative and other support servicesprovided to the unit holder. However, in no eventwill the total underwriting compensation per GAM 2Class unit exceed 10% of the subscription proceedsof the unit (plus bona fide due diligence expenses).This ongoing compensation will continue as long asthe unit remains outstanding.

GAM 3 Class Units. Selling agents who sellGAM 3 Class units receive for each unit sold salescompensation as follows: The general partner paysthat selling agent an upfront sales commission of upto 2.0% of the purchase price per GAM 3 Class unitat the time that each GAM 3 Class unit is sold. Then,beginning with the thirteenth month after thesubscription proceeds of a GAM 3 Class unit areinvested in Grant Park, in return for ongoing servicesprovided to the limited partners, the selling agentwho sold the unit will receive ongoing compensation,calculated and payable monthly at an annual rate ofup to 2.0% of the month-end net asset value of theunit, provided that the total underwritingcompensation per GAM 3 Class unit does not exceed10% of the subscription proceeds of the unit (plusbona fide due diligence expenses). Once begun, thisongoing compensation will continue as long as theunit remains outstanding. In the event that the totalunderwriting compensation paid to the selling agentper a GAM 3 Class unit meets this limit, such GAM3 Class unit will be automatically exchanged for anequal net asset amount of GAM 1 Class units at noadditional cost. The GAM 1 Class units, which areinitially offered only to investors throughwrap-accounts, are identical to the GAM 3 Classunits, except for a different (lower) fee structure andnot subject to the payment of trailing commissions orany other ongoing compensation.

Ongoing Compensation Paid to Selling AgentsWho Previously Sold Class A and Class BUnits. Although we are no longer offering Class Aor Class B units, selling agents who previously soldClass A units continue to receive ongoingcompensation for continuing services provided toClass A unit holders calculated and payable monthlyat an annual rate ranging between 2.0% and 2.25% ofthe month-end net asset value of the unit, providedthat the total underwriting compensation per Class Aunit does not exceed 10% of the subscriptionproceeds of the unit unless the selling agent isregistered with the CFTC and is a member of the

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NFA as a futures commission merchant orintroducing broker and the registered representativeof the selling agent responsible for the sale isregistered with the CFTC, is a member of the NFAand has either passed the Series 3 or Series 31examination or was ‘‘grandfathered’’ as an associatedperson of the selling agent and agrees to performcertain ongoing services with respect to the holder ofthe unit. Once begun, this ongoing compensation willcontinue as long as the unit remains outstanding.

Selling agents who previously sold Class B unitscontinue to receive ongoing compensation, calculatedand payable monthly at an annual rate of up to 3.5%of the month-end net asset value of the unit, providedthat the total underwriting compensation per Class Bunit does not exceed 10% of the subscriptionproceeds of the unit unless the selling agent isregistered with the CFTC and is a member of theNFA as a futures commission merchant orintroducing broker and the registered representativeof the selling agent responsible for the sale isregistered with the CFTC, is a member of the NFAand has either passed the Series 3 or Series 31examination or was ‘‘grandfathered’’ as an associatedperson of the selling agent and agrees to performcertain ongoing services with respect to the holder ofthe unit. Once begun, this ongoing compensation willcontinue as long as the unit remains outstanding.

Grant Park also engages certain employees ofthe general partner to perform wholesaling activitieswith respect to the fund. Any compensation ofemployees of the general partner for theirwholesaling services is either considered part ofGrant Park’s organization and offering expenses, andis payable by Grant Park in accordance with theprocedure described above under ‘‘FEES ANDEXPENSES — Fees and Expenses Paid by GrantPark — Organization and Offering Expenses,’’ or ispaid by the general partner out of its own assets, inthe general partner’s sole discretion.

The general partner may engage third-parties,including affiliates of the selling agents, to provideadministrative services to certain investors in GrantPark. The general partner will be responsible for thepayment of any fees or expenses incurred inconnection with such arrangements.

Trading Advisor Consulting Fees

Each trading advisor receives a consulting fee,payable by the general partner not Grant Park,ranging from 0% to 2% per year, computed andaccrued monthly on the basis of the trading advisor’sallocated net assets either at the beginning of the

month or at month-end and paid monthly orquarterly. The consulting fees payable to each ofGrant Park’s trading advisors that are allocated 10%or more of the fund’s assets are as follows: 2% toRabar, 1.5% to EMC, 1% to ETC, 1% to Winton and1% to Welton. Grant Park pays consulting feesranging between 0% and 2% to each of Graham,Global Advisors, Transtrend, RCM and QIM. Noadvisor fees are payable with respect to certainadvisors.

USE OF PROCEEDS

The proceeds of the offering will be deposited inGrant Park’s bank and allocated to the tradingadvisors for the purpose of engaging in tradingactivities in accordance with Grant Park’s tradingpolicies and the trading advisors’ respective tradingstrategies. The trading advisors will be accessedthrough trading companies or such trading advisors’funds.

Approximately 5% to 33% of Grant Park’sassets will be committed as margin for futures,options on futures or security futures contracts andheld by the clearing brokers, although the amountcommitted may vary significantly. These assets aremaintained in segregated accounts with the clearingbrokers pursuant to the Commodity Exchange Actand CFTC regulations and are generally held in U.S.government securities. Approximately 1% to 5% ofGrant Park’s assets are deposited with the clearingbrokers, their affiliates or other dealers to initiate andmaintain forward, over-the-counter options, swap orspot contracts. These assets are not held insegregation or otherwise regulated under theCommodity Exchange Act and generally are heldeither in U.S. government securities or short-termtime deposits with U.S.-regulated banks, which mayor may not be affiliated with the clearing brokers,their affiliates or other dealers. The general partneranticipates investing through GP Cash Management,LLC the remaining 67% to 95% of Grant Park’sassets in U.S. Treasury securities, including Treasurybills and repurchase agreements utilizing investmentgrade securities, securities issued by U.S. governmentagencies and other investment grade money marketsecurities. Investors should note that maintenance ofGrant Park’s assets in U.S. government securities andbanks does not reduce the risk of loss from tradingcommodity interest contracts. Grant Park receives allinterest earned on its assets.

The trading advisors will not, directly orindirectly, commingle Grant Park’s assets with the

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property of any other person nor loan Grant Park’sassets to the trading advisors or any affiliate of thetrading advisors.

LIMITED PARTNERSHIP AGREEMENT

The following is a summary of Grant Park’sThird Amended and Restated Limited PartnershipAgreement, a form of which is attached as AppendixA.

Nature of Grant Park

Grant Park is organized under the RevisedUniform Limited Partnership Act of the State ofIllinois. The purpose of Grant Park is to seek toprofit from investing in, trading, buying, selling orotherwise acquiring, holding or disposing ofcommodity interests and all rights or interests in orpertaining to such activities and engaging in anyother related activities.

Nature of Classes and Determination of Net AssetValue

Effective the initial closing date, Grant Park willbe organized into seven separate classes of limitedpartnership units, Class A units, Class B units,Legacy 1 Class units, Legacy 2 Class units, GAM 1Class units, GAM 2 Class units and GAM 3 Classunits, each having the rights and preferencesdescribed in this prospectus and in the limitedpartnership agreement. The general partner has theauthority to establish one or more additional classesof units in its discretion.

The terms ‘‘net asset value’’ or ‘‘net assets’’ asof any date with respect to any class of units refer to(1) the total assets of Grant Park constituting suchclass as of such date including all cash and cashequivalents, plus the market value of all opencommodity interest positions and U.S. Treasury bills;minus (2) any brokerage commission attributable tothat class that are or would be payable directly byGrant Park if all open commodity interest positionswere closed as of the date the calculation is made;and minus (3) all accrued liabilities of Grant Park asof that date attributable to that class determined inaccordance with generally accepted accountingprinciples. The terms ‘‘net asset value’’ or ‘‘netassets’’ as of any date with respect to Grant Park as awhole refer to the sum of the net asset values or netassets of all classes as of that date. Net assets includeany unrealized profits or losses attributable to the netassets and any accrued fees or expenses, includingfees and expenses based on a percentage of netassets, attributable to the net assets.

The market value of a commodity interest is theprice quoted on the exchange on which thatcommodity interest is traded as of the close of eachtrading day, or if the commodity interest is not tradedon an exchange, the fair market value of thecommodity interest, as determined by the generalpartner.

Each class shall share in the assets, expensesand liabilities of Grant Park on a proportional basiswith each other class, except to the extent otherwisespecifically provided in the limited partnershipagreement or to the extent that the general partnerdetermines, in good faith, that any expense orliability of Grant Park, or any portion of any expenseor liability of Grant Park, should be attributable onlyto a particular class or classes including, withoutlimitation, expenses incurred in connection with theorganization and offering of units. This allocation willbe final and binding on all limited partners.

The term ‘‘net asset value per unit’’ with respectto units of any class refers to the net asset value ofthat class divided by the number of units outstandingin that class. Thus, each unit within a class shall havethe same net asset value as all other units within thatsame class.

The general partner will calculate theapproximate net asset value per unit of each class ona daily basis and furnish this information uponrequest to a limited partner.

Liability of Limited Partners

When purchased in this offering, units will befully paid and nonassessable. A limited partner willbe liable for the losses and obligations of Grant Parkonly to the extent of its capital contribution and anyshare of undistributed profits. Once a limited partnerhas caused Grant Park to redeem its units, Grant Parkmay have a claim against that limited partner forliabilities of Grant Park that arose before the date ofredemption, but the claim will not exceed the limitedpartner’s capital contribution and share ofundistributed profits together with interest. Grant Parkwill make a claim against a limited partner only inthe event that assets of Grant Park are insufficient todischarge Grant Park’s liabilities to its creditors. Thegeneral partner will be liable for all obligations ofGrant Park to the extent that Grant Park’s assets areinsufficient to discharge those obligations. Althoughthe limited partnership units are separated intodistinct classes, the assets and liabilities of GrantPark will not be segregated between the classes forlegal purposes.

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Management of Grant Park Affairs

The general partner is solely responsible for themanagement of Grant Park. With few exceptions,limited partners will take no part in the managementand will have no voice in the operations of GrantPark. The general partner will delegate to the tradingadvisors the authority to make commodity interesttrading decisions for Grant Park. The limitedpartners, by executing the subscription agreement anda power of attorney in favor of the general partner,will appoint the general partner their attorney-in-factfor purposes of executing various documents onbehalf of Grant Park. In general, the general partnerwill not be liable, responsible or accountable indamages or otherwise to Grant Park or any of thelimited partners for any act or omission performed byit in good faith pursuant to the authority granted to itby the limited partnership agreement.

The general partner is accountable to Grant Parkand its participants as a fiduciary and consequentlymust exercise good faith and integrity in handlingGrant Park’s affairs. This is a rapidly developing andchanging area of the law, and if you have questionsconcerning the general partner’s duties you shouldconsult with your counsel.

Redemptions, Distributions and Transfers

Redemption of Units

A limited partner may cause any of its units tobe redeemed by Grant Park for an amount equal tothe net asset value per applicable unit as of the lastbusiness day of each month by delivering a writtenrequest for redemption to the general partner, a formof which is attached as Appendix D, indicating thenumber or dollar amount worth of units that thelimited partner wishes to redeem and the requestedredemption date. Such written notice must bedelivered to the general partner at least 10 days inadvance of the requested redemption date, or at anearlier date if required by your selling agent. Thegeneral partner, in its sole discretion, may permitlimited partners to cause their units to be redeemedunder other conditions, at other times or upon shorternotice as it determines. The general partner willnotify a redeeming limited partner in writing withinten days after the proposed redemption date regardingwhether redemption has been, or will be, effected onthe requested redemption date. Except as describedbelow, the redemption amount will be paid by thefifteenth business day of the month following theredemption date, as applicable. The general partnerwill redeem units at the net asset value per unit onthe requested redemption date unless the number of

redemptions would be detrimental to the tax status ofGrant Park. In such a case, the general partner willselect by lot that number of redemptions as will notimpair Grant Park’s tax status. The right to obtainredemption also is contingent upon Grant Park’shaving property sufficient to discharge its liabilitieson the redemption date and may be delayed if thegeneral partner determines that earlier liquidation ofcommodity interest positions to meet redemptionpayments would be detrimental to Grant Park ornonredeeming limited partners.

The terms of the redemption request, which shallbe irrevocable, must include (1) the number or dollaramount worth of units and the date for whichredemption is requested, (2) an acknowledgment ofthe basis upon which valuation of the units beingredeemed will be made, and (3) a representation bythe limited partner that the limited partner is thelawful owner of the units being redeemed and thatthe units have not been encumbered in any fashion.Redemptions of the offered units are prohibitedduring the first three months following an initial andeach subsequent investment. There will be noredemption charge for redemption of Legacy 1 Classand Legacy 2 Class units or GAM 1 Class and GAM2 Class units. Holders of GAM 3 Class units whodesire to redeem any or all of their units after thethree-month lock-up period, but before the one yearanniversary of their subscription for the redeemedunits, will pay the applicable early redemption fee tothe general partner as described elsewhere in thisprospectus. All redemptions shall be made on a first-in, first-out basis, such that the redeemed units willbe deemed to have been acquired on the redeeminglimited partner’s earliest subscription date for whichunits have not yet been redeemed.

The net asset value per applicable unit as of thedate of redemption may differ substantially from thenet asset value per unit as of the date by which theirrevocable notice of redemption must be submitted.

Required Redemption

The general partner may, at any time in its solediscretion, require any limited partner to withdrawentirely from Grant Park, or to withdraw a portion ofthe limited partner’s units, on not less than 15 days’advance notice in writing to the limited partner. Inaddition, the general partner without notice mayrequire at any time, or retroactively, withdrawal ofany limited partner (1) that it determines is anemployee benefit plan in order for the assets of GrantPark not to be treated as plan assets of the investingplan under ERISA, (2) that made a misrepresentation

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to the general partner in connection with its purchaseof units, or (3) if the limited partner’s ownership ofunits would result in the violation of applicable lawsor regulations by Grant Park or a partner. Amandatorily redeemed limited partner is treated aswithdrawn from Grant Park or as having made apartial withdrawal from his capital account, as thecase may be, without further action on the part of thelimited partner.

Special Redemption Date

The general partner will declare a specialredemption date whenever Grant Park experiences adecline in the net asset value of a unit at the close ofbusiness on any business day to less than 50% of thenet asset value per unit on the last valuation date.Grant Park will suspend trading during any specialredemption period.

Distributions

The general partner is not required to makedistributions of Grant Park assets to any limitedpartner. While the general partner has the authority tomake distributions of Grant Park assets, it does notintend to do so. The general partner believes that it isnot necessary to make distributions, because you maycause Grant Park to redeem any or all of your unitson a periodic basis. You should note, however, that,if Grant Park realizes profits during any fiscal year,your allocable share of those profits will constitutetaxable income to you for federal income taxpurposes whether or not the general partner makesdistributions to you.

Transfers and Assignments

A limited partner may transfer or assign his orher units in Grant Park upon 30 days’ prior writtennotice to the general partner and subject to approvalby the general partner of the assignee. The generalpartner will provide approval when it is satisfied thatthe transfer complies with applicable laws and/ordoes not endanger Grant Park’s tax status as apartnership. An assignee not admitted to Grant Parkas a limited partner will have only limited rights toshare in the profits and capital of Grant Park and alimited redemption right.

Termination of Grant Park

The affairs of Grant Park will be wound up andGrant Park will be liquidated upon the happening ofany of the following events (1) expiration of GrantPark’s term on December 31, 2027, (2) a decision bythe limited partners to liquidate Grant Park, (3)withdrawal or dissolution of the general partner and

the failure of the limited partners to elect a substitutegeneral partner to continue Grant Park, or (4)assignment for the benefit of creditors or adjudicationof bankruptcy of the general partner or appointmentof a receiver for or seizure by a judgment creditor ofthe general partner’s interest in Grant Park.

Amendments and Meetings

In general, the limited partnership agreementmay be amended if limited partners owning morethan 50% of the outstanding units agree. The generalpartner may amend the limited partnership agreementwithout the approval of the limited partners in orderto clarify inaccuracies or ambiguities, make changesrequired by any regulatory or self-regulatoryauthority, or by law or to make other changes thegeneral partner deems advisable so long as they arenot adverse to limited partners.

Limited partners owning at least 10% of theoutstanding units can require the general partner tocall a meeting of Grant Park. In general, at themeeting, the limited partners owning more than 50%of the outstanding units may vote to (1) amend thelimited partnership agreement as provided in thelimited partnership agreement, (2) remove the generalpartner, (3) elect a substitute general partner orgeneral partners upon the removal or withdrawal ofthe existing general partner, provided that thesubstitute general partner shall continue the businessof Grant Park without dissolution, (4) terminate anycontract between Grant Park and the general partneror any trading advisor, or (5) liquidate Grant Park.

In the event that the matter to be voted onaffects only one class of units, then only limitedpartners holding units of the affected class will beentitled to vote, with such matter being approved bya vote of limited partners owning more than 50% ofthe outstanding units of the affected class.

Any material changes to Grant Park’sfundamental investment objectives or policies, asdetermined by the general partner in good faith, shallrequire the prior written approval of limited partnersholding more than 50% of Grant Park’s outstandingunits.

Indemnity

Grant Park will indemnify and hold harmless thegeneral partner and its members, directors, officers,employees and agents from and against any loss,expense or other liability (including reasonableattorneys’ fees and expenses) incurred by them byreason of any act performed or omission by them onbehalf of Grant Park, provided that (1) the general

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partner has determined, in good faith, that the courseof conduct that caused the loss or liability was in thebest interests of Grant Park, (2) the general partner orsuch related person was acting on behalf of, orperforming services for, Grant Park, and (3) the lossor liability was not the result of negligence ormisconduct by the general partner or such relatedperson. Grant Park may only advance funds to thegeneral partner and/or its members, directors, officers,employees and agents under this indemnity if (a) thelegal action relates to acts or omissions relating tothe performance of duties on behalf of Grant Park,(b) the legal action is initiated by someone other thana limited partner, or if initiated by a limited partner,the court approves the advance, and (c) the generalpartner and/or its members, directors, officers,employees and agents, as the case may be, agree toreimburse Grant Park for the amount of the advanceplus interest if the legal action is subsequentlydeemed not to give rise to indemnification. Anyindemnification of the general partner or any relatedperson is recoverable only from the assets of GrantPark and not from the limited partners. Nevertheless,Grant Park shall not indemnify the general partner orany related person for any loss, expense or otherliability arising from an alleged violation of federalor state securities laws unless the indemnificationcomplies with the requirements for indemnificationset forth in the NASAA Guidelines.

The limited partnership agreement furtherprovides that the general partner is authorized tocause Grant Park to indemnify and hold harmless thetrading advisors, the clearing brokers, the sellingagents and other third parties to the extent permittedby applicable law. In no event, however, will anyundertaking to indemnify any selling agent or otherperson be contrary to the limitations onindemnification set forth in the NASAA Guidelines.

No indemnity by Grant Park will increase theliability of any limited partner beyond the amount ofthe limited partner’s capital contribution and profits,if any, in Grant Park.

Reports and Notices to Limited Partners

Limited partners will receive monthly statementswithin 30 days after the last day of the prior monthsetting forth the value of their units and otherinformation relating to Grant Park as may be requiredby CFTC rules. No later than March 15th of eachyear, a certified annual report of financial conditionof Grant Park will be distributed to limited partners,together with tax information necessary for limitedpartners to prepare their annual income tax returns.

This certified annual report will contain financialstatements that have been audited by Grant Park’sindependent accountants. If a certified annual reportis due to be distributed within 45 days after the endof a calendar year, a monthly statement of accountfor December may not be distributed.

Limited partners will have the right to inspectGrant Park’s books and records at the generalpartner’s offices during reasonable business hoursupon reasonable notice to the general partner.

In addition, notice will be mailed to each limitedpartner, together with a description of limitedpartners’ redemption and voting rights and adescription of any material effect that the applicablefollowing event may have on limited partners, withinseven business days of any of the following events:

(1) a decrease in the net asset value perapplicable unit to 50% or less of the netasset value per unit most recently reported;

(2) any material change in any contract with atrading advisor, including any change totrading advisors or any modification inconnection with the method of calculatingthe incentive fee, as determined by thegeneral partner in good faith; and

(3) any material change in the amount of thebrokerage charge or any other materialchange affecting the compensation of anyparty, as determined by the general partnerin good faith.

Miscellaneous

In compliance with the NASAA Guidelines, thelimited partnership agreement provides that (1) noloans may be made by Grant Park to the generalpartner or any other person, (2) Grant Park’s assetswill not be commingled with the assets of any otherperson — assets used to satisfy margin requirementswill not be considered commingled for this purpose,(3) no rebates or give ups may be received by thegeneral partner nor may the general partnerparticipate in any reciprocal business arrangementsthat could circumvent the NASAA Guidelines, (4) notrading advisor will receive a fee from Grant Parkbased on Grant Park net assets if the trading advisorshares, directly or indirectly, in any brokeragecommissions generated by Grant Park, (5) theduration of any contract between Grant Park and thegeneral partner or any trading advisor shall notexceed one year (although these contracts may beautomatically renewable for successive one-yearperiods until terminated) and must be terminable

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without penalty upon no less than 60 days’ priorwritten notice, (6) any other proposed orcontemplated agreement, arrangement or transactionmay be restricted in the discretion of a statesecurities administrator if it would be consideredunfair to the limited partners, (7) Grant Park will notengage in pyramiding, and (8) at no time will atrading advisor be an affiliate of Grant Park’s clearingbroker nor at any time will a trading advisor be anaffiliate of the general partner.

In the event of the general partner’s removal orwithdrawal from Grant Park, the general partner willbe entitled to redeem any units it owns at theapplicable net asset value on the next valuation datefollowing such removal or withdrawal.

U.S. FEDERAL INCOME TAXCONSEQUENCES

The following summarizes the material U.S.federal income tax consequences to U.S. residentindividual investors in Grant Park. Grant Park hasobtained an opinion of Vedder Price P.C., counsel toGrant Park, that the summary below correctlydescribes the material U.S. federal income taxconsequences as of the date hereof to Grant Park andto a U.S. resident individual who invests in GrantPark. The summary is based on current U.S. federalincome tax law, which is subject to change. VedderPrice P.C.’s opinion is based on the facts described inthe registration statement of which this prospectus isa part and on the accuracy of factual representationsmade by the general partner. Vedder Price P.C.’sopinion represents only its legal judgment and doesnot bind the Internal Revenue Service or the courts.No ruling has been or will be sought from theInternal Revenue Service as to any matters discussedbelow. Certain tax consequences discussed belowmay vary in their application to each limited partnerdepending on that limited partner’s particularcircumstances, and the summary below therefore isnot intended to be a substitute for professional taxadvice. You should consult with your ownprofessional tax advisor concerning the U.S. federal,state, local and foreign tax consequences of investingin Grant Park.

The Partnership Tax Status Of Grant Park

The general partner has received an opinion ofcounsel from Vedder Price P.C. to the effect that,under current U.S. federal income tax law, GrantPark will be treated as a partnership for U.S. federalincome tax purposes, provided that (1) at least 90%of Grant Park’s annual gross income has previouslyconsisted of and currently consists of ‘‘qualifying

income’’ as defined in the Internal Revenue Code of1986, as amended (the ‘‘Code’’) and (2) Grant Parkis organized and operated in accordance with itsgoverning agreements and applicable law. As apartnership for U.S. federal income tax purposes,Grant Park will not pay any U.S. federal corporateincome tax. However, Grant Park may constitute apublicly traded partnership if less than 90% of GrantPark’s annual gross income consists of ‘‘qualifiedincome’’ as defined in the Code. In that case, GrantPark generally would be subject to U.S. federalincome tax as a corporation, and distributions tolimited partners would be taxable as dividends. Thegeneral partner believes that Grant Park haspreviously satisfied and currently satisfies the 90%test and that it is likely, but not certain, that GrantPark will continue to do so.

Taxation Of Limited Partners On Profits AndLosses Of Grant Park

Assuming that Grant Park will be treated as apartnership for U.S. federal income tax purposes,each limited partner will be subject to federal incometax on that limited partner’s share of any of GrantPark’s net income and gains, losses, deductions, etc.as determined for federal income tax purposes, eventhough Grant Park does not intend to make currentcash distributions. The profits and losses of GrantPark will be allocated to the limited partners in amanner set forth in the limited partnership agreement.The general partner believes that the allocationsprovided for in the limited partnership agreementreflect each limited partner’s economic interest inGrant Park and therefore should be respected forfederal income tax purposes. However, it is possiblethat the allocations may be challenged by the relevanttaxing authorities and such challenge may result inprofits and losses being allocated for federal incometax purposes in a manner different from that set forthin the limited partnership agreement. In such event,limited partners may be required to amend their taxreturns to take into account such different allocationsand could potentially pay additional taxes plusinterest and possible penalties.

Limited partners will be allocated theirproportionate share of the taxable income and lossesrealized by Grant Park during the period that unitsare owned by them. Taxable income will be allocatedto correspond as closely as possible to economicincome allocations. However, because some limitedpartners may redeem units before all other limitedpartners do so, the allocation of taxable income may

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differ from the way the economic benefits of theincome have been allocated among the limitedpartners.

Losses Allocated To Limited Partners

You may deduct any of Grant Park’s tax lossesonly to the extent of your adjusted income tax basisin your interest in Grant Park. Generally, your taxbasis is the total amount invested by you in GrantPark, reduced (but not below zero) by your share ofany Grant Park distributions, losses and expenses andincreased by your share of Grant Park’s income andgains and liabilities, if any. However, if you are anindividual or other limited partner who is subject toat-risk limitations (generally, non-corporate taxpayersand closely-held corporations), you can only deductlosses to the extent you are at-risk. Generally, theamount at-risk is a limited partner’s allocable shareof capital invested and such partner’s share ofrecourse debt for which the limited partner is liable.Amounts representing nonrecourse financing (otherthan certain nonrecourse financing to hold real estate)are generally not considered to be at-risk. Losses thatcannot be claimed under the ‘‘at-risk’’ rules may becarried forward and deducted in subsequent tax years,subject to the ‘‘at-risk’’ and other applicablelimitations on deductibility. You should consult yourown professional tax advisor concerning theapplication of the ‘‘at-risk’’ rules to your investmentin Grant Park.

Passive-Activity Loss Rules And Their Effect OnThe Treatment Of Income And Loss

Because Grant Park’s allocable items of income,gain, loss, deductions, etc. will generally be derivedfrom trading activities or consist of items of‘‘portfolio income’’ and related losses, such items ofincome and loss generally will not be treated asderived from a ‘‘passive activity’’, and therefore thepassive activity loss rules will not result in thedeductibility of any tax losses of Grant Park beinglimited by reason of the passive activity loss rules(but such losses may be subject to other deductibilitylimitations described in this summary). BecauseGrant Park’s income and gains generally will not betreated as passive activity income, such incomecannot offset any of your passive activity losses fromother investments.

Cash Distributions and Redemptions

When you receive cash from Grant Park, eitherthrough a distribution or a partial redemption, youwill not pay federal income tax on that cash until thedistribution exceeds your adjusted tax basis in yourinterest in Grant Park.

If you receive a cash payment in completeredemption of all of your units, you will recognizegain or loss for federal income tax purposes equal tothe difference between the amount of cash youreceive and your adjusted tax basis in your units. Thegain or loss will generally be characterized as long-term or short-term capital gain or loss depending onwhether you held the units for more than one year.

Gain Or Loss On Section 1256 Contracts AndNon-Section 1256 Contracts

Section 1256 Contracts include regulated futurescontracts (other than security futures contracts) tradedon U.S. and certain non-U.S. futures exchanges, mostoptions traded on U.S. futures exchanges and certainforeign currency contracts. For federal income taxpurposes, Section 1256 Contracts that remain open atthe close of the taxable year are treated as if theywere sold at year-end. The gain or loss on Section1256 Contracts is characterized as 60% long-termcapital gain or loss and 40% short-term capital gainor loss (60/40 gain or loss), regardless of how longthe contracts are held. Any gain or loss arising fromactual sales of Section 1256 Contracts are alsotreated as 60/40 gain or loss.

Contracts which are not Section 1256 Contractsinclude, among other things, most futures contractstraded on foreign exchanges, security futurescontracts and certain foreign currency transactions.The gain and loss from non-Section 1256 Contractsgenerally will be short-term capital gain or loss, butcertain of these transactions may generate ordinaryincome.

Capital Gains And Losses

For non-corporate taxpayers, net long-termcapital gains, such as net gain on capital assets heldmore than one year and 60% of the gain on Section1256 Contracts, are taxed at a current maximum U.S.federal income tax rate of 15% for taxable yearsbeginning on or before December 31, 2010, and netshort-term capital gains, such as most net gain onnon-Section 1256 Contracts held one year or less and40% of the gain on Section 1256 Contracts, aresubject to federal income tax at the same rates asordinary income, with a current maximum U.S.federal income tax rate of 35%. Non-corporatetaxpayers can deduct capital losses to the extent oftheir capital gains, and any capital losses in excess ofcapital gains may be used to offset up to $3,000($1,500 for a married individual filing separately) ofordinary income. Any unused capital losses can becarried over to future years. Accordingly, Grant Parkcould suffer significant capital losses, and you could

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still be required to pay federal income tax on, forexample, your share of Grant Park’s interest income.

Unlike net capital losses derived from the saleor exchange of a capital asset, a non-corporatetaxpayer may elect to carry back net losses onSection 1256 Contracts three years to offset earliergains on Section 1256 Contracts. To the extent thetaxpayer cannot offset past Section 1256 Contractgains, the taxpayer can carry forward such lossesindefinitely.

Limited Deduction For Certain Expenses

The general partner intends to report the tradingadvisors’ consulting and incentive fees incurred byGrant Park and reported on Grant Park’s federalincome tax returns as trade or business expenses thatare not subject to the limitations on deductibility forinvestment expenses and other ‘‘miscellaneousitemized deductions.’’ The Internal Revenue Serviceor a state or local taxing authority could contendotherwise. For example, in a recent revenue ruling,the Internal Revenue Service ruled that where anupper-tier partnership held interests in several lower-tier partnerships that were engaged in the trade orbusiness of trading in securities, the fees charged bythe upper-tier partnership were not trade or businessexpenses, but rather were expenses incurred inconnection with investment activities.

If Grant Park expenses are recharacterized asinvestment expenses, the ability of limited partnerswho are non-corporate taxpayers to deduct theirproportionate share of such expenses may be limitedand such expenses would not be deductible at all forfederal alternative minimum tax purposes. Theconsequences of the limitations on the deductibilityof investment expenses will vary depending on theparticular tax situation of each taxpayer.Non-corporate taxpayers should consult their ownprofessional tax advisors with respect to theapplication of these limitations to their situation.

In any event, Grant Park’s expenses of offeringinterests are not deductible or amortizable for incometax purposes.

Interest Income

Interest earned by Grant Park will be taxed asordinary income and generally cannot be offset bycapital losses. See the section above entitled ‘‘CapitalGains And Losses.’’

Investment Interest Deductibility Limitations

Non-corporate limited partners can deductinvestment interest, such as interest on indebtedness

allocable to property held for investment, only to theextent that it does not exceed their net investmentincome. Net investment income does not include netcapital gain and qualified dividend income, as definedin Section 1(h)(11)(B) of the Code, absent an electionby the limited partner to treat such gain and suchdividends as ordinary income. The limitation oninvestment interest relates to property held forinvestment, which for this purpose would generallyinclude the units of Grant Park. Thus, interestexpense incurred by a limited partner to purchasesuch units and the limited partner’s allocable share ofGrant Park’s interest expense, if any, will generallybe subject to this limitation.

Unrelated Business Taxable Income

The general partner anticipates that tax-exemptlimited partners will not be required to pay federalincome tax on their share of income or gains ofGrant Park, provided that tax-exempt limited partnersdo not purchase their units with borrowed funds.Grant Park has not generated unrelated businesstaxable income in the past and the general partnerdoes not anticipate the generation of unrelatedbusiness taxable income in the future. However, ifGrant Park were to purchase interests in commoditieswith borrowed funds (although the general partnerdoes not currently intend to do so), unrelatedbusiness taxable income may arise and be taxable forfederal income tax purposes to tax-exempt limitedpartners. You should consult with your tax advisorsas to whether an investment in Grant Park will resultin any unrelated business taxable income to you.

Foreign Individual Limited Partners

A foreign individual limited partner generally isnot subject to United States taxation on capital gainsfrom commodity or derivatives trading, provided suchforeign individual limited partner is not present formore than 182 days in the United States during thetaxable year, and provided further, that such foreignindividual limited partner is not otherwise engaged ina trade or business within the United States duringthe taxable year to which the income, gain or loss istreated as ‘‘effectively connected.’’ An investment inGrant Park should not, by itself, cause a foreignindividual limited partner to be engaged in a trade orbusiness within the United States for the foregoingpurposes, based on the manner of Grant Park’strading activities as described herein. Pursuant tocertain ‘‘safe harbors’’ under the Code, an investmentfund whose United States business activities consistsolely of trading commodities and derivatives for itsown account should not be treated as engaged in a

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trade or business within the United States providedthat such investment fund is not a dealer incommodities or derivatives and that the commoditiestraded are of a kind customarily dealt in on anorganized commodity exchange. If the contractstraded by Grant Park in the future are not covered bythese safe harbors, there is a risk that Grant Parkwould be treated as engaged in a trade or businesswithin the United States and foreign individuallimited partners would, in such case, be required tofile United States federal income tax returns, besubject to United States federal income taxwithholding and be required to pay United Statesfederal income tax.

Certain interest income (such as interestassociated with original issue discount on TreasuryBills having a maturity of 183 days or less orcommercial bank deposits) earned by Grant Park andallocable to foreign individual limited partners shouldnot be subject to United States federal income tax orwithholding, but may be subject to tax in otherjurisdictions to which the foreign individual limitedpartner is connected. Likewise, portfolio interestincome allocable to a foreign individual limitedpartner should not be subject to United States federalincome tax withholding provided such partner is nototherwise engaged in a trade or business within theUnited States and provides Grant Park with a correctand complete Form W-8BEN or other applicableform.

Internal Revenue Service Audits Of Grant ParkAnd Its Limited Partners

Audits of tax items relating to Grant Park areconducted at the Grant Park level rather than at thelimited partner level. The general partner will act astax matters partner with the authority to determineGrant Park’s responses to an audit. If an audit resultsin an adjustment, limited partners may be required topay additional taxes including state and local incometaxes, interest and penalties. Interest on taxdeficiencies generally is not deductible bynon-corporate limited partners.

Foreign, State, Local And Other Taxes

In addition to the U.S. federal income taxconsequences described above, Grant Park and thelimited partners may be subject to various foreign,state, local and other taxes. Prospective investorsshould consult their tax advisors as to the foreign,state and local tax consequences of investing in GrantPark.

Backup Withholding Applicable to U.S. Persons

In order to avoid backup withholding andpossible penalties, each limited partner which is aU.S. person must furnish Grant Park its true, correctand complete ‘‘taxpayer identification number’’ orsocial security number, certify that it is correct andcertify that the limited partner is not subject to back-up withholding. If a taxpayer identification number orsocial security number is not furnished, or if theproper certifications are not provided, Grant Parkmay be required to withhold, as backup withholding,up to 28% of the payments made to such limitedpartner.

Importance Of Obtaining Professional Advice

The foregoing analysis is not intended as asubstitute for careful tax planning, particularlybecause the income tax consequences of aninvestment in Grant Park and of Grant Park’stransactions are complex, and some of theseconsequences would vary significantly with theparticular situation of a limited partner.Accordingly, you are strongly urged to consult yourown tax advisors regarding the possible federal,state, local and foreign tax consequences of thisinvestment, including, for example, the potentialimpact on your liability for federal alternativeminimum tax from earning long-term capital gainrealized from this investment.

INVESTMENT BY ERISA ANDOTHER PLAN ACCOUNTS

General

Most employee benefit plans and individualretirement accounts (‘‘IRAs’’) are subject to theEmployee Retirement Income Security Act of 1974,as amended (‘‘ERISA’’) or the Code, or both. Thissection discusses certain considerations that ariseunder ERISA and the Code that a fiduciary of anemployee benefit plan as defined in ERISA or a planas defined in Section 4975 of the Code who hasinvestment discretion should take into account beforedeciding to invest the plan’s assets in Grant Park.Employee benefit plans and plans are collectivelyreferred to below as plans, and fiduciaries withinvestment discretion are referred to below as planfiduciaries.

This summary is based on the provisions ofERISA and the Code as of the date hereof. Thissummary is not intended to be complete, but only toaddress certain questions under ERISA and the Codelikely to be raised by your advisors. The summarydoes not include state or local law.

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Potential plan investors are urged to consultwith their own professional advisors concerning theappropriateness of an investment in Grant Park andthe manner in which units should be purchased.

Special Investment Considerations

Each plan fiduciary must consider the facts andcircumstances that are relevant to an investment inGrant Park, including the role that an investment inGrant Park would play in the plan’s overallinvestment portfolio. Each plan fiduciary, beforedeciding to invest in Grant Park, must be satisfiedthat the investment is prudent for the plan, that theinvestments of the plan are diversified so as tominimize the risk of large losses and that aninvestment in Grant Park complies with the terms ofthe plan.

Grant Park and Plan Assets

A regulation issued under ERISA contains rulesfor determining when an investment by a plan in anequity interest of a limited partnership will result inthe underlying assets of the partnership being deemedplan assets for purposes of ERISA and Section 4975of the Code. Those rules provide that assets of alimited partnership will not be plan assets of a planthat purchases an equity interest in the partnership ifthe equity interest purchased is a publicly-offeredsecurity. If the underlying assets of a partnership areconsidered to be assets of any plan for purposes ofERISA or Section 4975 of the Code, the operationsof that partnership would be subject to and, in somecases, limited by, the provisions of ERISA andSection 4975 of the Code.

The publicly-offered security exceptiondescribed above applies if the equity interest is asecurity that is:

(1) freely transferable (determined based on therelevant facts and circumstances);

(2) part of a class of securities that is widelyheld (meaning that the class of securities isowned by 100 or more investorsindependent of the issuer and of eachother); and

(3) either (a) part of a class of securitiesregistered under Section 12(b) or 12(g) ofthe Securities Exchange Act of 1934 or (b)sold to the plan as part of a public offeringpursuant to an effective registrationstatement under the Securities Act of 1933and the class of which such security is apart is registered under the SecuritiesExchange Act of 1934 within 120 days (or

such later time as may be allowed by theSEC) after the end of the fiscal year of theissuer in which the offering of such securityoccurred.

The plan asset regulation under ERISA statesthat the determination of whether a security is freelytransferable is to be made based on all the relevantfacts and circumstances. In the case of a security thatis part of an offering in which the minimuminvestment is $10,000 or less, the followingrequirements, alone or in combination, ordinarily willnot affect a finding that the security is freelytransferable: (1) a requirement that no transfer orassignment of the security or rights relating to thesecurity be made that would violate any federal orstate law, (2) a requirement that not less than aminimum number of shares or units of such securitybe transferred or assigned, (3) a requirement that notransfer or assignment be made (a) to an ineligible orunsuitable investor, or (b) which would result in atermination or reclassification of the entity for federalor state tax purposes, or (c) without advance writtennotice given to the entity that issued the security, and(4) any restriction on the substitution of assignee as alimited partner of a partnership, including a generalpartner consent requirement, provided that theeconomic benefits of ownership of the assignor maybe transferred or assigned without regard to suchrestriction or consent (other than compliance withany of the foregoing restrictions).

The general partner believes that the units arefreely transferable within the meaning of theregulation. For ERISA accounts, the minimuminvestment in the offered units is $1,000. Limitedpartners may assign their economic interests in thepartnership by providing written notice to the generalpartner, provided such assignment would not violateany applicable laws, adversely affect the tax status ofthe partnership, or have any other adverse legalconsequences.

The general partner believes that the conditionsdescribed above will be satisfied with respect to theunits. The general partner believes that the unitsshould therefore constitute publicly-offered securities,and the underlying assets of Grant Park should not beconsidered to constitute plan assets of any plan thatpurchases units.

Prohibited Transactions

ERISA and the Code generally prohibit certaintransactions involving the plan and persons who havecertain specified relationships to the plan.

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In general, units may not be purchased with theassets of a plan if the general partner, the clearingbrokers, the trading advisors, or any of their affiliates,agents or employees:

• exercise any discretionary authority ordiscretionary control with respect tomanagement of the plan;

• exercise any authority or control withrespect to management or disposition of theassets of the plan;

• render investment advice for a fee or othercompensation, direct or indirect, withrespect to any moneys or other property ofthe plan;

• have any authority or responsibility torender investment advice with respect toany monies or other property of the plan; or

• have any discretionary authority ordiscretionary responsibility in theadministration of the plan.

Also, a prohibited transaction may occur underERISA or the Code when circumstances indicate that(1) the investment in a unit is made or retained forthe purpose of avoiding application of the fiduciarystandards of ERISA, (2) the investment in a unitconstitutes an arrangement under which Grant Park isexpected to engage in transactions that wouldotherwise be prohibited if entered into directly by theplan purchasing the unit, (3) the investing plan, byitself, has the authority or influence to cause GrantPark to engage in such transactions, or (4) a personwho is prohibited from transacting with the investingplan may, but only with the aid of certain of itsaffiliates and the investing plan, cause Grant Park toengage in such transactions with such person.

Special IRA Rules

IRAs are not subject to ERISA’s fiduciarystandards, but are subject to their own rules,including the prohibited transaction rules of Section4975 of the Code, which generally mirror ERISA’sprohibited transaction rules. For example, IRAs aresubject to special custody rules and must maintain aqualifying IRA custodial arrangement separate anddistinct from Grant Park and its custodialarrangement. Otherwise, if a separate qualifyingcustodial arrangement is not maintained, aninvestment in the units will be treated as adistribution from the IRA. Second, IRAs areprohibited from investing in certain commingledinvestments, and the general partner makes no

representation regarding whether an investment inunits is an inappropriate commingled investment foran IRA. Third, in applying the prohibited transactionprovisions of Section 4975 of the Code, in additionto the rules summarized above, the individual forwhose benefit the IRA is maintained is also treated asthe creator of the IRA. For example, if the owner orbeneficiary of an IRA enters into any transaction,arrangement, or agreement involving the assets of hisor her IRA to benefit the IRA owner or beneficiary(or his or her relatives or business affiliates)personally, or with the understanding that suchbenefit will occur, directly or indirectly, suchtransaction could give rise to a prohibited transactionthat is not exempted by any available exemption.Moreover, in the case of an IRA, the consequences ofa non-exempt prohibited transaction are that theIRA’s assets will be treated as if they weredistributed, causing immediate taxation of the assets(including any early distribution penalty taxapplicable under Section 72 of the Code), in additionto any other fines or penalties that may apply.

Exempt Plans

Certain employee benefit plans may begovernmental plans or church plans. Governmentalplans and church plans are generally not subject toERISA, nor do the above-described prohibitedtransaction provisions apply to them. These plans are,however, subject to prohibitions against certainrelated-party transactions under Section 503 of theCode, which operate similar to the prohibitedtransaction rules described above. In addition, thefiduciary of any governmental or church plan mustconsider any applicable state or local laws and anyrestrictions and duties of common law imposed uponthe plan.

No view is expressed as to whether aninvestment in Grant Park (and any continuedinvestment in Grant Park), or the operation andadministration of Grant Park, is appropriate orpermissible for any governmental plan or church planunder Code Section 503, or under any state, county,local or other law relating to that type of plan.

Acceptance of subscriptions on behalf of plansis not to be construed as a representation byGrant Park, its general partner, any trading advisor,any clearing broker, the selling agents or legalcounsel or other advisors to such parties or anyother party that this investment meets some or all ofthe relevant legal requirements with respect toinvestments by any particular plan or that thisinvestment is appropriate for any such particular

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plan. The person with investment discretion shouldconsult with the plan’s attorney and financialadvisors as to the propriety of an investment inGrant Park in light of the circumstances of theparticular plan, current tax law and ERISA.

PLAN OF DISTRIBUTION

The Selling Agents

The selling agents, the broker-dealers who areoffering the units, are offering the units on a bestefforts basis without any firm underwritingcommitment. The lead selling agent for Grant Parkwith respect to the offered units is DCM Brokers,LLC. The general partner may retain additionalselling agents or may replace Grant Park’s existingselling agents in its sole discretion.

Grant Park will enter into a selling agreementwith each of the selling agents. In the sellingagreements, the general partner has agreed toindemnify the selling agents against certain liabilitiesthat the selling agents may incur in connection withthe offering and sale of the units, including liabilitiesunder the Securities Act of 1933, as amended.However, in accordance with the NASAA Guidelines,Grant Park is not permitted to indemnify the sellingagents for any loss, expense or other liability arisingfrom or out of an alleged violation of federal or statesecurities laws unless the following conditions havebeen met:

• there has been a successful adjudication onthe merits of each count involving allegedsecurities law violations as to a particularindemnitee; or

• such claims have been dismissed withprejudice on the merits by a court ofcompetent jurisdiction as to the particularindemnitee; or

• a court of competent jurisdiction approves asettlement of claims against a particularindemnitee and finds that indemnification ofthe settlement amount and any related costsshould be made; provided that the courtconsidering the request for indemnificationhas been advised of the position of the SECand any state securities regulatory authoritywhere Grant Park’s units were offered andsold with respect to such indemnification.

Selling Agent Compensation

The general partner, not Grant Park, pays allupfront sales commissions, any trailing commissionsand other ongoing compensation to the selling agents

for the sales of any units, as described below. Youwill not directly pay sales compensation to the sellingagents.

Legacy 1 Class

Legacy 1 Class units are initially being offeredonly to investors who purchase such units throughwrap accounts. Selling agents who sell Legacy 1Class units do not receive any upfront salescompensation and will not receive an administrativefee. However, such selling agents may be reimbursedfor bona fide due diligence expenses.

Legacy 2 Class

Legacy 2 Class units are initially being offeredonly to investors purchasing such units through wrapaccounts. Selling agents who sell Legacy 2 Classunits do not receive any upfront sales compensation.Each selling agent does, however, receive, beginningwith the first month after the subscription proceeds ofthe Legacy 2 Class units sold have been invested inGrant Park, ongoing compensation for continuingadministrative services it provides to the limitedpartners, calculated and payable monthly at an annualrate of 25 basis points (0.25%) of the month-end netasset value of the unit, provided that the totalunderwriting compensation per Legacy 2 Class unitdoes not exceed 10% of the subscription proceeds ofthe unit (plus bona fide due diligence expenses).

GAM 1 Class

GAM 1 Class units are initially being offeredonly to investors who purchase such units throughwrap accounts. Selling agents who sell GAM 1 Classunits do not receive any upfront sales compensationand will not receive an administrative fee. However,such selling agents may be reimbursed for bona fidedue diligence expenses.

GAM 2 Class

GAM 2 Class units are initially being offeredonly to investors purchasing such units through wrapaccounts. Selling agents who sell GAM 2 Class unitsdo not receive any upfront sales compensation. Eachselling agent does, however, receive, beginning withthe first month after the subscription proceeds of theGAM 2 Class units sold have been invested in GrantPark, ongoing compensation for continuingadministrative services it provides to the limitedpartners, calculated and payable monthly at an annualrate of 25 basis points (0.25%) of the month-end netasset value of the unit, provided that the totalunderwriting compensation per GAM 2 Class unitdoes not exceed 10% of the subscription proceeds ofthe unit (plus bona fide due diligence expenses).

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GAM 3 Class

Grant Park’s selling agents who sell GAM 3Class units receive from the general partner anupfront sales commission of up to 2.0% of thepurchase price per GAM 3 Class unit at the time thateach such unit is sold. The general partner’sregistered representatives who sell GAM 3 Classunits receive a portion of this commission. Thegeneral partner finances the payment of these upfrontsales commissions through a line of credit obtainedby the general partner. Beginning with the thirteenthmonth after the subscription proceeds of a GAM 3Class unit are invested in Grant Park, in return forongoing services provided to the limited partners, theselling agent who sold the unit receives ongoingcompensation, calculated and payable monthly at anannual rate of up to 2.0% of the month-end net assetvalue of the unit, provided that the total underwritingcompensation per GAM 3 Class unit does not exceed10% of the subscription proceeds of the unit (plusbona fide due diligence expenses). Once begun, thisongoing compensation will continue as long as theunits remain outstanding. In the event that the totalunderwriting compensation paid to the selling agentper a GAM 3 Class unit meets this limit, such GAM3 Class unit will be automatically exchanged forGAM 1 Class units at no additional cost. The GAM1 Class units, which are initially offered only toinvestors through wrap-accounts, are identical to theGAM 3 Class units, except for a different (lower) feestructure and not subject to the payment of trailingcommissions or any other ongoing compensation.

Ongoing Compensation Paid to Selling Agents WhoPreviously Sold Class A and Class B Units

Although we are no longer offering Class A andClass B units, selling agents who previously soldClass A units continue to receive ongoingcompensation for continuing services provided toClass A unit holders calculated and payable monthlyat an annual rate ranging between 2.0% and 2.25% ofthe month-end net asset value of the unit, providedthat the total underwriting compensation per Class Aunit does not exceed 10% of the subscriptionproceeds of the unit unless the selling agent isregistered with the CFTC and is a member of theNFA as a futures commission merchant orintroducing broker and the registered representativeof the selling agent responsible for the sale isregistered with the CFTC, is a member of the NFAand has either passed the Series 3 or Series 31examination or was ‘‘grandfathered’’ as an associatedperson of the selling agent and agrees to performcertain ongoing services with respect to the holder of

the unit. Once begun, this ongoing compensation willcontinue as long as the unit remains outstanding.

Selling agents who previously sold Class B unitscontinue to receive ongoing compensation, calculatedand payable monthly at an annual rate of up to 3.5%of the month-end net asset value of the unit, providedthat the total underwriting compensation per Class Bunit does not exceed 10% of the subscriptionproceeds of the unit unless the selling agent isregistered with the CFTC and is a member of theNFA as a futures commission merchant orintroducing broker and the registered representativeof the selling agent responsible for the sale isregistered with the CFTC, is a member of the NFAand has either passed the Series 3 or Series 31examination or was ‘‘grandfathered’’ as an associatedperson of the selling agent and agrees to performcertain ongoing services with respect to the holder ofthe unit. Once begun, this ongoing compensation willcontinue as long as the unit remains outstanding.

In the case of the offered units and Classes Aand B, the ongoing compensation referenced above,once begun, will continue for as long as the unitremains outstanding. Selling agents pay a portion ofthis compensation to their eligible registeredrepresentatives after deduction of due diligence andadministrative expenses incurred in connection withthis offering, in accordance with the selling agent’sstandard compensation arrangements. No sellingagent will receive upfront sales commissions orongoing compensation that exceed the amountsdescribed above.

Other Important Information

Grant Park also engages certain employees ofthe general partner to provide wholesaling serviceswith respect to the fund. Any compensation paid toemployees of the general partner for theirwholesaling services either is considered part ofGrant Park’s organization and offering expenses, andis payable by Grant Park in accordance with theprocedure described above under ‘‘FEES ANDEXPENSES — Fees and Expenses Paid by GrantPark — Organization and Offering Expenses,’’ or ispaid by the general partner out of its own assets, inthe general partner’s sole discretion.

This offering will be made in compliance withNASD Conduct Rule 2810. Underwritingcompensation to participating FINRA members willnot exceed 10% of the initial sale price of the offeredunits, plus bona fide due diligence reimbursements,including the ongoing trailing commissions to be paidto each selling agent as detailed above. The selling

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agents have advised Grant Park that they will notmake any sales to any accounts over which theyexercise discretionary authority without the priorspecific written approval of the customer.

Investor Suitability

The general partner cannot assure you that GrantPark will achieve its objectives or avoid substantiallosses. An investment in Grant Park is suitable onlyfor a limited segment of the risk portion of aninvestor’s portfolio, and no one should invest more inGrant Park than he or she could afford to lose.

To invest in Grant Park, you must meet certainregulatory requirements. Generally, you must have:

• a net worth of at least $250,000, exclusiveof home, furnishings and automobiles; or

• an annual gross income of at least $70,000and a net worth of at least $70,000,exclusive of home, furnishings andautomobiles.

Certain jurisdictions in which the units areoffered impose more stringent minimum suitabilityrequirements on their residents, which are describedin Appendix C to this prospectus. Please seeAppendix C for a detailed description of theminimum suitability requirements in the state inwhich you reside. You will be required to representthat you meet the requirements set forth in your stateof residence before your subscription to purchaseunits will be accepted. You should review thesubscription requirements described in Appendix Ccarefully before deciding whether to invest. Aninvestment in Grant Park may not be suitable for youeven if you meet the regulatory requirementsdescribed above and in Appendix C. These suitabilityrequirements are, in each case, regulatoryminimums only, and merely because you meet therequirements does not mean that an investment inthe units is suitable for you. In no event may youinvest more than 10% of your net worth, exclusive ofhome, furnishings and automobiles, in Grant Park.Employee benefit plans and investment retirementaccounts are subject to special suitabilityrequirements. In addition, individual selling agentsmay impose even higher minimum suitabilityrequirements on their clients investing in GrantPark than those described above or required byan individual state. You should consult with yourfinancial advisor to confirm that you meet theserequirements before deciding to invest in GrantPark. If an investment in Grant Park is suitable foryou, it is suitable only as a limited portion of your

portfolio and you should not invest more than youcan afford to lose. You should consult with yourselling agent and financial advisor and consider thehighly speculative and illiquid nature of aninvestment in Grant Park in determining whether aninvestment in Grant Park is consistent with youroverall portfolio objectives.

Minimum Investment

The minimum investment required to invest inthe Legacy 1 Class and the Legacy 2 Class units is$10,000, except that in the case of investors that areemployee benefit plans and/or individual retirementaccounts, the minimum investment is $1,000. Duringthe initial offering period, the selling agents will offerthe Legacy 1 Class and the Legacy 2 Class units at aprice of $1,000 per unit. Thereafter, during thecontinuous offering period, the selling agents willoffer the Legacy 1 Class and the Legacy 2 Class at aprice equal to the net asset value per unit of each ofthe units at the close of business on each closingdate, which is the last business day of each month (orif such calendar day is not a business day, theimmediately preceding business day). Only investorswho initially purchase units through wrap-accountsmay purchase Legacy 1 Class and Legacy 2 Classunits.

The minimum investment in the GAM 1 Class,GAM 2 Class and GAM 3 Class units is $5,000,except that in the case of investors that are employeebenefit plans and/or individual retirement accounts,the minimum investment is $1,000. During the initialoffering period, the selling agents will offer the GAM1 Class, GAM 2 Class and GAM 3 Class units at aprice of $1,000 per unit. Thereafter, during thecontinuous offering period, the selling agents willoffer the GAM 1 Class, GAM 2 Class and GAM 3Class units at a price equal to the net asset value perunit of each of the units at the close of business oneach closing date, which is the last calendar day ofeach month (or if such calendar day is not a businessday, the immediately preceding business day). Onlyinvestors who initially purchase units through wrap-accounts may purchase GAM 1 Class and GAM 2Class units.

Any of these minimum investment requirements,including the requirement to invest in certain classesof units through wrap-accounts, may be waived bythe general partner in its sole discretion. From andafter the initial closing date, units will be sold infractions calculated to three decimal places.

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Subscription Procedures

During the initial offering period, Grant Parkwill accept subscriptions for units for up to thirty(30) days. During the initial offering period,subscriptions for units will be accepted at $1,000 perunit. Thereafter, during the continuous offeringperiod, the selling agents will offer the units at aprice equal to the net asset value per unit of each ofthe units at the close of business on each closingdate, which is the last business day of each month.

After the initial offering period, you may buyunits as of any closing date, which is the lastbusiness day of each month, by submitting yoursubscription at least five business days before suchclosing date or at an earlier date if required by yourselling agent. The number of units that you receivewill be based on the net asset value per unit for thatparticular class as of the closing date. Units will besold in fractions calculated to three decimal places.There is no minimum aggregate subscription amountthat must be received before new investors’ fundsmay be invested.

The general partner will accept or reject yoursubscription, in whole or in part, in its solediscretion. The general partner will deposit yoursubscription funds in Grant Park’s non-interestbearing subscription account until invested. If thegeneral partner accepts your subscription, yoursubscription funds will be invested in Grant Park onthe applicable closing date. If the general partnerdoes not accept your subscription, your subscriptionfunds will be returned to you without interest.

The selling agents will use their best efforts tosell the units offered, without any firm underwritingcommitment. You will not directly pay any salescommissions to the selling agents. All salescommissions and other compensation to the sellingagents will be paid by the general partner out of itsown assets. Investors will be required to makerepresentations and warranties relating to theirsuitability to purchase the units in the subscriptionagreement and power of attorney.

The general partner and the selling agents willmake every reasonable effort to determine that thepurchase of units is suitable and appropriate for eachinvestor, based on the information provided by theinvestor regarding the investor’s financial conditionand investment objectives. No selling agent maycomplete a sale of units until at least five businessdays after the date the investor receives a finalprospectus.

Read this prospectus as well as the subscriptionagreement carefully and discuss with your financialadvisor any questions you have about Grant Park. Ifyou decide to invest, please complete and sign thesubscription agreement and power of attorney anddeliver to your selling agent a check made payable to‘‘Grant Park Futures Fund Limited Partnership —Subscription Account,’’ or authorize a wire transfer inthe amount of your subscription in accordance withthe instructions set forth in the subscriptionagreement and power of attorney. Alternatively, ifavailable, you may authorize your selling agent todebit your customer securities account in the amountof your subscription.

Additional investments in units may be made bycompleting, executing and delivering an additionalsubscription agreement and power of attorney, alongwith payment at least five business days prior to theapplicable closing date.

Compliance With Anti-Money Laundering Laws

To satisfy Grant Park’s, the general partner’s andthe selling agents’ obligations under applicable anti-money laundering laws and regulations, subscriberswill be required to make representations andwarranties in the subscription agreement concerningthe nature of the subscriber, its source of investmentfunds and other related matters. The general partneror the selling agents reserve the right to requestadditional information from subscribers as the generalpartner or the selling agents in their sole discretionrequire in order to satisfy applicable anti-moneylaundering obligations. By subscribing for units inGrant Park, each subscriber agrees to provide thisinformation upon request.

Representations and Warranties of Investors inthe Subscription Agreement and Power ofAttorney

To invest in Grant Park, you must makerepresentations and warranties in the subscriptionagreement and power of attorney. The representationsand warranties enable the general partner todetermine whether you are qualified to invest inGrant Park. The representations and warranties relateto:

• your eligibility to invest in Grant Park,including legal age, net worth, annualincome, investment objectives andinvestment experience;

• your representative capacity;

• information provided by you;

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• information received by you;

• investments made on behalf of employeebenefit plans; and

• your compliance with applicableanti-money laundering laws.

PRIVACY POLICY

Grant Park and the general partner collectcertain nonpublic personal information aboutinvestors from the information provided by them intheir subscription agreement, power of attorney andrelated subscription documents, as well as in thecourse of processing transaction requests. None ofthis information is disclosed except as necessary inthe course of processing subscriptions andredemptions and otherwise administering GrantPark — and then only subject to customaryundertakings of confidentiality. Grant Park and itsgeneral partner do not disclose nonpublic personalinformation about investors to anyone, except aspermitted by law. Grant Park and the general partnerrestrict access to the nonpublic personal informationthey collect from investors to those employees whoneed access to this information to provide productsand services to investors. Grant Park and the generalpartner each maintain physical, electronic andprocedural controls to safeguard this information.These standards are reasonably designed to (1) ensurethe security and confidentiality of investors’ recordsand information, (2) protect against any anticipatedthreats or hazards to the security or integrity ofinvestors’ records and information, and (3) protectagainst unauthorized access to or use of investors’records or information that could result in substantialharm or inconvenience to any investor.

LEGAL MATTERS

The legality of the units has been passed upon byVedder Price P.C., Chicago, Illinois. The statementsunder ‘‘U.S. FEDERAL INCOME TAXCONSEQUENCES’’ have been reviewed by VedderPrice P.C.

EXPERTS

The financial statements of Grant Park, DearbornSelect Master Fund, SPC — Winton SegregatedPortfolio, and the general partner, Dearborn CapitalManagement, L.L.C., appearing in this Prospectusand Registration Statement, have been audited byMcGladrey & Pullen, LLP, an independent registeredpublic accounting firm, to the extent and for theperiods indicated in their report appearing elsewhereherein, which reports express an unqualified opinionand are included in reliance upon such reports givenupon the authority of that firm as experts inaccounting and auditing.

WHERE YOU CAN FIND MOREINFORMATION

This prospectus is part of a registrationstatement on Form S-1 Grant Park has filed with theSEC. This prospectus does not contain all of theinformation contained in the registration statementand the exhibits to the registration statement.Summaries of agreements or other documents in thisprospectus are not necessarily complete. Please seethe registration statement for more information aboutGrant Park and the exhibits to the registrationstatement for complete copies of the agreements andother documents summarized in this prospectus.

You may read and copy the registrationstatement and the exhibits to the registrationstatement at the SEC public reference room locatedat 100 F Street, N.E, Washington, D.C. 20549. Youmay obtain information on the operation of the publicreference room by calling the SEC at 1-800-SEC-0330. The registration statement is also available onthe SEC’s website at http://www.sec.gov, whichcontains reports, proxy and information statementsand other information regarding companies that fileelectronically with the SEC.

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INDEX TO FINANCIAL STATEMENTS

Grant Park Futures Fund Limited PartnershipReport of Independent Registered Public Accounting Firm . . . . . . . . . . . . . . . . . . . . . . . . . . . 116

Statements of Financial Condition as of December 31, 2008 and 2007 . . . . . . . . . . . . . . . . . 117Condensed Schedule of Investments as of December 31, 2008 . . . . . . . . . . . . . . . . . . . . . . 118Condensed Schedule of Investments as of December 31, 2007 . . . . . . . . . . . . . . . . . . . . . . 122Statements of Operations for the years ended December 31, 2008, 2007 and 2006 . . . . . . . . . 125Statements of Cash Flows for the years ended December 31, 2008, 2007 and 2006 . . . . . . . . 126Statements of Changes in Partners’ Capital for the years ended December 31, 2008, 2007 and

2006 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128

Dearborn Select Master Fund, SPC — Winton Segregated PortfolioIndependent Auditor’s Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138

Statement of Financial Condition as of December 31, 2008 and 2007 . . . . . . . . . . . . . . . . . . 139Condensed Schedule of Investments as of December 31, 2008 . . . . . . . . . . . . . . . . . . . . . . 140Condensed Schedule of Investments as of December 31, 2007 . . . . . . . . . . . . . . . . . . . . . . . 143Statement of Operations for the years ended December 31, 2008 and 2007 . . . . . . . . . . . . . . 145Statement of Cash Flows for the years ended December 31, 2008 and 2007 . . . . . . . . . . . . . 146Statement of Changes in Shareholders’ Equity for the years ended December 31, 2008 and

2007 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 147Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 148

Dearborn Capital Management, L.L.C.Independent Auditor’s Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 154

Consolidated Statement of Financial Condition as of December 31, 2008 . . . . . . . . . . . . . . . 155Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 156

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the PartnersGrant Park Futures Fund Limited PartnershipChicago, Illinois

We have audited the accompanying statements of financial condition, including the condensed schedulesof investments, of Grant Park Futures Fund Limited Partnership as of December 31, 2008 and 2007, and therelated statements of operations, cash flows and changes in partners’ capital for each of the three years in theperiod ended December 31, 2008. These financial statements are the responsibility of the Partnership’smanagement. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting OversightBoard (United States). Those standards require that we plan and perform the audit to obtain reasonableassurance about whether the financial statements are free of material misstatement. An audit includesexamining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Anaudit also includes assessing the accounting principles used and significant estimates made by management, aswell as evaluating the overall financial statement presentation. We believe that our audits provide a reasonablebasis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, thefinancial position of Grant Park Futures Fund Limited Partnership as of December 31, 2008 and 2007, and theresults of its operations and its cash flows for each of the three years in the period ended December 31, 2008,in conformity with U.S. generally accepted accounting principles.

We were not engaged to examine management’s assessment of the effectiveness of Grant Park FuturesFund Limited Partnership’s internal control over financial reporting as of December 31, 2008 included in theaccompanying Report on Management’s Assessment of Internal Control Over Financial Reporting and,accordingly, we do not express an opinion thereon.

/s/ McGladrey & Pullen, LLP

Chicago, IllinoisMarch 4, 2009

McGladrey & Pullen, LLP is a member firm of RSM International — an affiliation of separate andindependent legal entities.

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GRANT PARK FUTURES FUND LIMITED PARTNERSHIPSTATEMENTS OF FINANCIAL CONDITION

December 31, 2008 and 2007

2008 2007

Assets

Equity in brokers’ trading accounts:U.S. Government securities, at fair value . . . . . . . . . . . . . . . . . . . . . $ 29,215,898 $ 61,148,504Government-sponsored enterprises, at fair value . . . . . . . . . . . . . . . . 15,695,417 —Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,972,086 5,227,545Unrealized gain on open contracts, net . . . . . . . . . . . . . . . . . . . . . . . 5,210,231 6,136,840

Deposits with brokers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62,093,632 72,512,889Cash and cash equivalents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157,740,416 72,699,532Certificates of deposit, at fair value . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,525,736 89,082,030Commercial paper, at fair value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,979,833 27,869,290Government-sponsored enterprises, at fair value . . . . . . . . . . . . . . . . . . 311,078,226 105,413,285Investment in Dearborn Select Master Fund, SPC − Winton Segregated

Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 98,629,036Redemption receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115,343,975 —Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 233,208 256,381Receivable from General Partner . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 750,000

Total assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $684,995,026 $467,212,443

Liabilities and Partners’ CapitalLiabilities

Brokerage commission payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,928,422 $ 2,769,915Accrued incentive fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,324,848 2,503,135Organization and offering costs payable . . . . . . . . . . . . . . . . . . . . . . 297,332 206,208Accrued operating expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136,617 96,082Pending partner additions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,690,889 3,426,126Redemptions payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,021,709 2,525,181

Total liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41,399,817 11,526,647Partners’ Capital

General Partner (units outstanding December 31, 2008 − 4,348.18,December 31, 2007 − 3,671.69) . . . . . . . . . . . . . . . . . . . . . . . . . . 6,827,509 4,807,965

Limited PartnersClass A (units outstanding December 31, 2008 − 52,408.70,

December 31, 2007 − 51,371.93) . . . . . . . . . . . . . . . . . . . . . . . 82,292,140 67,269,942Class B (units outstanding December 31, 2008 − 408,160.74,

December 31, 2007 − 335,708.69) . . . . . . . . . . . . . . . . . . . . . . 554,475,560 383,607,889Total partners’ capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 643,595,209 455,685,796Total liabilities and partners’ capital . . . . . . . . . . . . . . . . . . . . $684,995,026 $467,212,443

The accompanying notes are an integral part of these financial statements.117

GRANT PARK FUTURES FUND LIMITED PARTNERSHIPCONDENSED SCHEDULE OF INVESTMENTS

December 31, 2008

ExpirationDate

Unrealizedgain/(loss)on open

longcontracts

Percent ofPartners’Capital

Unrealizedgain/(loss) on

open shortcontracts


Netunrealizedgain/(loss)on opencontracts


No. of contracts

Long Short

Futures Contracts *U.S. Futures Positions:

Currencies . . . . . . . . . . $ (375,126) (0.1)% $ 47,001 ** $ (328,125) (0.1)%Energy . . . . . . . . . . . . . 5,640 ** (145,915) ** (140,275) **Grains . . . . . . . . . . . . . 57,264 ** (207,024) ** (149,760) **Interest rates . . . . . . . . . (150,471) ** (1,063) ** (151,534) **Meats . . . . . . . . . . . . . 332 ** (77,490) ** (77,158) **Metals . . . . . . . . . . . . . 57,033 ** (123,818) ** (66,785) **Soft commodities . . . . . (1,690) ** (116,292) ** (117,982) **Stock indices . . . . . . . . 81,725 ** 12,201 ** 93,926 **

Total U.S. Futures Positions (325,293) (612,400) (937,693)Foreign Futures Positions:

Energy . . . . . . . . . . . . . — ** 188,636 ** 188,636 **Grains . . . . . . . . . . . . . — ** (1,016) ** (1,016) **Interest rates . . . . . . . . . 5,693,855 0.9% (244,950) ** 5,448,905 0.8%Metals

Aluminum . . . . . . . . . 03/09 449 471 (6,717,297) (1.0)% 8,461,295 1.3% 1,743,998 0.3%Other Metals . . . . . . . (8,929,298) (1.4)% 9,148,339 1.4% 219,041 **

Soft commodities . . . . . 95,511 ** 15,170 ** 110,681 **Stock indices . . . . . . . . 49,768 ** (218,881) ** (169,113) **

Total Foreign FuturesPositions . . . . . . . . . . . (9,807,461) 17,348,593 7,541,132

Total Futures Contracts . . $(10,132,754) (1.6)% $16,736,193 2.6% $ 6,603,439 1.0%

Forward Contracts*Currencies . . . . . . . . . . $ 336,467 0.1% $ (1,729,675) (0.3)% $(1,393,208) (0.2)%

Total Futures andForward Contracts . . . $ (9,796,287) (1.5)% $15,006,518 2.3% $ 5,210,231 0.8%

* No individual futures and forward contract position, other than those presented, constituted greater than 1percent of partners’ capital. Accordingly, the number of contracts and expiration dates are not presented.

** Represents less than 0.1% of partners’ capital.


GRANT PARK FUTURES FUND LIMITED PARTNERSHIPCONDENSED SCHEDULE OF INVESTMENTS − (continued)

December 31, 2008

Certificates of deposit

Face Value Maturity Date Description Fair ValuePercent of

Partners’ Capital

$12,000,000 5/1/2009Comerica Bank, 1 month LIBORplus 15 basis points $12,021,183 1.9%

15,000,000 5/4/2009 Bank of America, 2.6% 15,060,417 2.3%240,000 8/14/2009 Amcore Bank, 3.5% 241,120 *240,000 11/12/2009 Huntington National Bank, 3.8% 241,250 *240,000 11/17/2009 Mercantile Bank of Michigan, 3.6% 241,065 *240,000 12/17/2009 Goldman Sachs Bank, 2.6% 240,246 *240,000 12/18/2009 GE Money Bank, 2.6% 240,238 *240,000 12/18/2009 Anchorbank FSB, 2.5% 240,217 *

Total Certificates of deposit $28,525,736 4.4%

* Represents less than 0.1% of partners’ capital.

Commercial paper


Partners’ Capital

$10,000,000 2/3/2009 Hewlett-Packard Co., 2.2% $9,979,833 1.6%Total Commercial paper $9,979,833 1.6%

Government-sponsored enterprises


Partners’ Capital

$10,000,000 1/2/2009

Federal Farm Credit Bank,3 month US Treasury bill plus 82basis points weekly reset $10,030,603 1.6%

10,000,000 1/2/2009 Federal Home Loan Bank, 3.8% 10,093,944 1.6%

8,000,000 1/14/2009

Federal Home Loan Bank,3 month LIBOR minus 20 basispoints quarterly reset 8,081,089 1.3%

10,000,000 1/29/2009 Fannie Mae Discount Note, 2.3% 9,982,500 1.6%

7,500,000 2/13/2009Federal Home Loan BankDiscount Note, 3.2% 7,472,229 1.2%

10,000,000 2/18/2009 Freddie Mac Discount Note, 2.3% 9,970,000 1.5%10,000,000 2/24/2009 Freddie Mac Discount Note, 2.6% 9,961,150 1.5%


8,000,000 4/1/2009 Farmer Mac, 2.3% 8,046,000 1.3%8,000,000 4/7/2009 Freddie Mac, 2.4% 8,044,911 1.3%




December 31, 2008


Partners’ Capital

$10,500,000 4/17/2009Federal Home Loan BankDiscount Note, 3.2% $ 10,404,158 1.6%

10,000,000 4/24/2009

Federal Home Loan Bank,1 month LIBOR minus 8 basispoints monthly reset 9,998,363 1.6%

8,000,000 4/24/2009 Farmer Mac, 2.3% 8,034,244 1.2%






12,000,000 5/20/2009



8,000,000 6/30/2009 Federal Home Loan Bank, 3.0% 8,000,667 1.2%8,000,000 7/14/2009 Federal Home Loan Bank, 3.2% 8,116,755 1.3%


8,500,000 10/5/2009


12,500,000 10/19/2009Freddie Mac, 1 month LIBORminus 6 basis points monthly reset 12,501,579 1.9%

7,000,000 11/25/2009 Freddie Mac, 2.1% 7,014,292 1.1%10,000,000 12/1/2009 Federal Home Loan Bank, 2.0% 10,016,667 1.6%11,000,000 12/15/2009 Federal Home Loan Bank, 1.8% 11,008,996 1.7%11,000,000 12/16/2009 Freddie Mac, 1.9% 11,008,708 1.7%15,000,000 12/30/2009 Farmer Mac, 1.0% 15,000,417 2.3%

10,000,000 2/9/2010

Federal Home Loan Bank,3 month LIBOR minus 3.5 basispoints 10,004,634 1.6%

Total Government-sponsored enterprises $311,078,226 48.3%

U.S. Government securities***


Partners’ Capital

$ 5,500,000 6/4/2009U.S. Treasury Bills, 0.2% (cost$5,493,705) $ 5,497,798 0.8%

23,000,000 12/15/2009U.S. Treasury Notes, 3.5% (cost$23,682,812) 23,718,100 3.7%

Total U.S. Government securities $29,215,898 4.5%



December 31, 2008

Government-sponsored enterprises in brokers’ trading accounts***


Partners’ Capital

$ 6,700,000 1/2/2009Federal Home Loan BankDiscount Note, 0.4% $ 6,699,993 1.0%

4,000,000 3/9/2009 Freddie Mac Discount Note, 2.7% 3,998,295 0.6%



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


GRANT PARK FUTURES FUND LIMITED PARTNERSHIPCONDENSED SCHEDULE OF INVESTMENTS

December 31, 2007


open longcontracts



open shortcontracts




Futures Contracts *U.S. Futures Positions:

Currencies . . . . . . . . . . $ (507,429) (0.1)% $ (181,541) ** $ (688,970) (0.2)%Energy . . . . . . . . . . . . . 2,381,223 0.5% (623,280) (0.1)% 1,757,943 0.4%Grains . . . . . . . . . . . . . 3,996,469 0.9% (591,561) (0.1)% 3,404,908 0.7%Interest rates . . . . . . . . . 230,001 0.1% (1,922) ** 228,079 0.1%Meats . . . . . . . . . . . . . (6,000) ** 23,549 ** 17,549 **Metals . . . . . . . . . . . . . 491,430 0.1% — ** 491,430 0.1%Soft commodities . . . . . 104,661 ** (408,502) (0.1)% (303,841) (0.1)%Stock indices . . . . . . . . (51,977) ** 219,219 ** 167,242 **

Total U.S. Futures Positions 6,638,378 (1,564,038) 5,074,340Foreign Futures Positions:

Energy . . . . . . . . . . . . . 665,591 0.1% (128,820) ** 536,771 0.1%Interest rates . . . . . . . . . 993,584 0.2% 268,995 0.1% 1,262,579 0.3%Metals . . . . . . . . . . . . . (1,718,224) (0.4)% 1,639,699 0.4% (78,525) **Soft commodities . . . . . 12,891 ** — ** 12,891 **Stock indices . . . . . . . . 393,449 ** 174,174 ** 567,623 0.1%

Total Foreign FuturesPositions . . . . . . . . . . . 347,291 1,954,048 2,301,339

Total Futures Contracts . . $ 6,985,669 1.5% $ 390,010 0.1% $ 7,375,679 1.6%

Forward Contracts*Currencies . . . . . . . . . . $ (597,710) (0.1)% $ (960,561) (0.2)% $(1,558,271) (0.3)%

Option Contracts*Currencies . . . . . . . . . . 151,900 ** — ** 151,900 **Interest Rates . . . . . . . . 167,532 ** — ** 167,532 **

Total Option Contracts . . $ 319,432 0.1% $ — ** $ 319,432 0.1%

Total Futures, Forwardand Option Contracts . . $ 6,707,391 1.5% $ (570,551) (0.1)% $ 6,136,840 1.4%

* No individual futures and forward contract position constituted greater than 1 percent of partners’ capital.Accordingly, the number of contracts and expiration dates are not presented.

** Represents less than 0.1% of partners’ capital.



December 31, 2007



Partners’ Capital$10,000,000 1/7/2008 Abbey National Bank, 5.3% $10,265,020 2.3%10,000,000 2/7/2008 Wilmington Trust, 5.3% 10,214,783 2.2%10,000,000 2/13/2008 Branch Bank & Trust, 5.3% 10,476,292 2.3%10,000,000 3/4/2008 Deutsche Bank, 4.8% 10,074,258 2.2%10,000,000 4/28/2008 Comerica Bank, 4.7% 10,087,472 2.2%

10,000,000 6/5/2008Associated Bank, 3 month LIBORless 4 basis points 10,038,325 2.2%

9,500,000 6/20/2008 Washington Mutual Bank, 5.4% 9,776,331 2.1%10,000,000 7/28/2008 Regions Bank, 4.7% 10,087,193 2.2%8,000,000 11/3/2008 Marshall & Ilsley Bank, 4.6% 8,062,356 1.8%


Commercial paper


Partners’ Capital$ 8,000,000 1/10/2008 Progress Energy Co., 5.5% $ 7,989,340 1.7%10,000,000 2/8/2008 Zions Banc Corp, 5.2% 9,947,117 2.2%10,000,000 2/22/2008 GE Capital, 4.8% 9,932,833 2.2%

Total Commercial paper $27,869,290 6.1%



Partners’ Capital

$10,000,000 1/24/2008

Federal Home Loan Bank,3 month U.S. Treasury bill plus22 basis points $ 10,069,463 2.2%

10,000,000 2/7/2008

Federal Home Loan Bank,3 month U.S. Treasury bill plus21 basis points 10,056,005 2.2%

10,000,000 3/12/2008

Federal Home Loan Bank, 1 yearconstant maturity plus 30 basispoints 10,018,789 2.2%

10,000,000 7/16/2008 Federal Home Loan Bank, 5.3% 11,780,935 2.6%10,000,000 8/1/2008 Farmer Mac, 5.3% 10,222,306 2.2%9,000,000 10/8/2008 Farmer Mac, 4.7% 9,094,000 2.0%4,000,000 10/30/2008 Federal Home Loan Bank, 4.5% 4,030,000 0.9%


12,000,000 11/24/2008



8,000,000 12/1/2008





December 31, 2007

U.S. Government securities***


Partners’ Capital

$61,300,000 1/31/2008U.S. Treasury Bills, 2.7% (cost$61,139,861) $61,148,504 13.4%

Total U.S. Government securities $61,148,504 13.4%



GRANT PARK FUTURES FUND LIMITED PARTNERSHIPSTATEMENTS OF OPERATIONS

Years Ended December 31, 2008, 2007 and 2006

2008 2007 2006

Net trading gains (losses)Net gain (loss) from trading

Realized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $135,271,602 $ 67,015,724 $ 37,256,330Change in unrealized . . . . . . . . . . . . . . . . . . . . . (926,609) (4,124,643) 5,033,718Commissions . . . . . . . . . . . . . . . . . . . . . . . . . . (6,824,118) (5,505,936) (5,218,644)Net gains from trading . . . . . . . . . . . . . . . . . . . . 127,520,875 57,385,145 37,071,404

Income allocated from Dearborn Select Master Fund,SPC − Winton Segregated Portfolio . . . . . . . . . . . 16,714,939 9,417,448 —Total trading gains . . . . . . . . . . . . . . . . . . . . . 144,235,814 66,802,593 37,071,404

Net investment incomeIncome

Interest income . . . . . . . . . . . . . . . . . . . . . . . . . 12,681,834 17,475,172 16,093,168Expenses

Brokerage commission . . . . . . . . . . . . . . . . . . . . . 34,156,316 26,032,412 22,357,551Incentive fees . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,332,013 7,017,463 3,823,552Operating expenses . . . . . . . . . . . . . . . . . . . . . . . . 1,412,552 805,444 669,774

Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . 60,900,881 33,855,319 26,850,877Net investment (loss) . . . . . . . . . . . . . . . . . . . . $ (48,219,047) $(16,380,147) $(10,757,709)Net income (loss) . . . . . . . . . . . . . . . . . . . . . . . $ 96,016,767 $ 50,422,446 $ 26,313,695

Net Income (Loss) per General Partner & Class AUnit Limited Partner (based on weighted averagenumber of units outstanding during the year) . . . . $ 263.77 $ 148.80 $ 98.75

Net Income (Loss) per Class B Unit Limited Partner(based on weighted average number of unitsoutstanding during the year) . . . . . . . . . . . . . . . . $ 223.70 $ 125.29 $ 82.71

Increase (decrease) in Net Asset Value per GeneralPartner & Class A Unit Limited Partner . . . . . . . $ 260.73 $ 146.87 $ 97.03

Increase (decrease) in Net Asset Value per Class BUnit Limited Partner . . . . . . . . . . . . . . . . . . . . . $ 215.79 $ 120.26 $ 78.14


GRANT PARK FUTURES FUND LIMITED PARTNERSHIPSTATEMENTS OF CASH FLOWS


2008 2007 2006

Cash flows provided by (used in) operating activitiesNet income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 96,016,767 $ 50,422,446 $ 26,313,695

Adjustments to reconcile net income (loss) to net cash(used in) operating activities . . . . . . . . . . . . . . . . . .

Net sales (purchases) of investments in U.S. Governmentsecurities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,932,606 (2,837,410) (1,971,868)

Net change in unrealized gain (loss) on open contracts,net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 926,609 4,124,643 (5,033,718)

Net (gain) from investment in Dearborn Select MasterFund, SPC − Winton Segregated Portfolio . . . . . . . . . (16,714,939) (9,417,448) —

Net sales (purchases) of investments in Certificates ofdeposit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60,556,294 (58,414,952) (30,667,078)

Net sales (purchases) of investments in Commercialpaper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,889,457 (22,874,327) (4,994,963)

Net (purchases) of investments in Government-sponsoredenterprises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (221,360,358) (17,649,216) (87,764,069)

Net sales (Investments) in Dearborn Select Master Fund,SPC − Winton Segregated Portfolio . . . . . . . . . . . . . 115,343,975 (89,211,588) —

Decrease in interest receivable . . . . . . . . . . . . . . . . . . 23,173 417,640 179,550Decrease (increase) in receivable from General Partner . 750,000 (50,000) (100,000)(Increase) in redemption receivable . . . . . . . . . . . . . . . (115,343,975) — —Increase in brokerage commission payable . . . . . . . . . . 1,158,507 322,864 672,123Increase in accrued incentive fees . . . . . . . . . . . . . . . . 5,821,713 1,288,197 1,214,938Increase in accrued operating expenses . . . . . . . . . . . . 40,535 14,979 18,801Net cash used in operating activities . . . . . . . . . . . . . . (22,959,636) (143,864,172) (102,132,589)

Cash flows provided by financing activitiesPartner additions . . . . . . . . . . . . . . . . . . . . . . . . . . . 175,384,927 62,841,744 130,857,249Redemptions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (57,668,376) (53,878,849) (57,077,208)Offering costs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,971,490) (1,728,970) (1,315,299)Net cash provided by financing activities . . . . . . . . . . . 114,745,061 7,233,925 72,464,742Net (decrease) increase in cash and cash equivalents . . . 91,785,425 (136,630,247) (29,667,847)

Cash and cash equivalentsBeginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77,927,077 214,557,324 244,225,171End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 169,712,502 $ 77,927,077 $ 214,557,324

End of year cash and cash equivalents consists of:Cash in broker trading accounts . . . . . . . . . . . . . . . . . $ 11,972,086 $ 5,227,545 $ 17,592,985Cash and cash equivalents . . . . . . . . . . . . . . . . . . . . . 157,740,416 72,699,532 196,964,339Total end of year cash and cash equivalents . . . . . . . . . $ 169,712,502 $ 77,927,077 $ 214,557,324


GRANT PARK FUTURES FUND LIMITED PARTNERSHIPSTATEMENTS OF CHANGES IN PARTNERS’ CAPITAL


Limited Partners Limited Partners

General Partner Class A Class B

Number ofUnits Amount



TotalAmount

Partners’ capital,December 31, 2005 . . . . 2,839.96 $3,026,173 48,216.06 $ 51,377,474 249,391.39 $235,494,172 $289,897,819Contributions . . . . . . . 558.77 645,000 7,990.87 9,336,899 110,603.12 111,541,043 121,522,942Redemptions . . . . . . . . — — (9,578.72) (10,782,069) (43,010.79) (43,339,995) (54,122,064)Offering costs . . . . . . . — — — (84,032) — (1,275,365) (1,359,397)Net income . . . . . . . . — 280,178 — 4,361,597 — 21,671,920 26,313,695

Partners’ capital,December 31, 2006 . . . . 3,398.73 3,951,351 46,628.21 54,209,869 316,983.72 324,091,775 382,252,995Contributions . . . . . . . 272.96 320,000 14,176.17 16,618,602 56,817.78 59,046,420 75,985,022Redemptions . . . . . . . . — — (9,432.45) (11,166,190) (38,092.81) (40,048,152) (51,214,342)Offering costs . . . . . . . — — — (106,370) — (1,653,955) (1,760,325)Net income . . . . . . . . — 536,614 — 7,714,031 — 42,171,801 50,422,446

Partners’ capital,December 31, 2007 . . . . 3,671.69 4,807,965 51,371.93 67,269,942 335,708.69 383,607,889 455,685,796Contributions . . . . . . . 676.49 1,000,000 14,070.43 20,802,983 105,026.40 134,317,181 156,120,164Redemptions . . . . . . . . — — (13,033.66) (19,201,221) (32,574.35) (41,963,683) (61,164,904)Offering costs . . . . . . . — — — (163,756) — (2,898,858) (3,062,614)Net income . . . . . . . . — 1,019,544 — 13,584,192 — 81,413,031 96,016,767

Partners’ capital,December 31, 2008 . . . . 4,348.18 $6,827,509 52,408.70 $ 82,292,140 408,160.74 $554,475,560 $643,595,209

Net asset value per unit atDecember 31, 2005 . . . . $ 1,065.57 $ 944.28

Net asset value per unit atDecember 31, 2006 . . . . $ 1,162.60 $ 1,022.42




GRANT PARK FUTURES FUND LIMITED PARTNERSHIPNOTES TO FINANCIAL STATEMENTS

NOTE 1. NATURE OF BUSINESS AND SIGNIFICANT ACCOUNTING POLICIES

Nature of business: Grant Park Futures Fund Limited Partnership (the ‘‘Partnership’’) was organized asa limited partnership in Illinois in August 1988 and will continue until December 31, 2027, unless soonerterminated as provided for in the Limited Partnership Agreement. As a commodity investment pool, thePartnership is subject to the regulations of the Commodity Futures Trading Commission, an agency of theUnited States (U.S.) government which regulates most aspects of the commodity futures industry; rules of theNational Futures Association, an industry self-regulatory organization; and the requirements of the variouscommodity exchanges where the Partnership executes transactions. Additionally, the Partnership is subject tothe requirements of futures commission merchants (‘‘FCMs’’), interbank and other market makers throughwhich the Partnership trades. Effective June 30, 2003, the Partnership became registered with the Securitiesand Exchange Commission (‘‘SEC’’), accordingly, as a registrant, the Partnership is subject to the regulatoryrequirements under the Securities Act of 1933 and the Securities Exchange Act of 1934.

The Partnership is a multi-advisor pool that carries out its purpose through trading by independentprofessional commodity trading advisors retained by Dearborn Capital Management, L.L.C. (the ‘‘GeneralPartner’’) and the Partnership. The Partnership also invests a portion of its assets in other commodityinvestment pools to achieve its purpose. Through these trading advisors and investments in other commodityinvestment pools, the Partnership’s business is to trade, buy, sell, margin or otherwise acquire, hold or disposeof futures and forward contracts for commodities, financial instruments or currencies, any rights pertainingthereto and any options thereon, or on physical commodities. The Partnership may also engage in hedge,arbitrage and cash trading of commodities and futures.

Classes of interests: The Partnership has two classes of limited partner interests (the ‘‘Interests’’), ClassA and Class B. Both Class A and Class B Interests are traded pursuant to identical trading programs and differonly in respect to the General Partner’s brokerage commission and organization and offering costs.

Significant accounting policies are as follows:

Use of estimates: The preparation of financial statements in conformity with generally acceptedaccounting principles requires management to make estimates and assumptions that affect the reportedamounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financialstatements and the reported amounts of revenue and expenses during the reporting period. Actual results coulddiffer from those estimates.

Cash and cash equivalents: Cash and cash equivalents include cash, overnight investments, U.S.treasury bills and short-term investments in interest-bearing demand deposits with banks and cash managerswith maturities of three months or less. The Partnership maintains deposits with high quality financialinstitutions in amounts that are in excess of federally insured limits; however, the Partnership does not believeit is exposed to any significant credit risk.

Revenue recognition: Futures, options on futures, and forward contracts are recorded on a trade datebasis and realized gains or losses are recognized when contracts are liquidated. Unrealized gains or losses onopen contracts (the difference between contract trade price and market price) are reported in the statement offinancial condition as a net unrealized gain or loss, as there exists a right of offset of unrealized gains orlosses in accordance with the Financial Accounting Standards Board Interpretation No. 39 — ‘‘Offsetting ofAmounts Related to Certain Contracts.’’ Any change in net unrealized gain or loss from the preceding periodis reported in the statement of operations. Fair value of exchange-traded contracts is based upon exchangesettlement prices. Fair value of non-exchange-traded contracts is based on third party quoted dealer values onthe Interbank market. Government-sponsored enterprises and commercial paper are stated at cost plus accruedinterest, which approximates fair value.

The Partnership’s investment in the Dearborn Select Master Fund, SPC — Winton SegregatedPortfolio — Class GP (the ‘‘GP Class’’) is reported in the statement of financial condition at fair value atDecember 31, 2007. Fair value ordinarily is the value determined by the management of the GP Class inaccordance with the valuation policies of the GP Class and as reported at the time of the Partnership’s

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NOTE 1. NATURE OF BUSINESS AND SIGNIFICANT ACCOUNTING POLICIES − (continued)

valuation. Generally, the fair value of the Partnership’s investment in the GP Class represents the amount thatthe Partnership could reasonably expect to receive from the GP Class if the Partnership’s investment wasredeemed at the time of valuation, based on information reasonably available at the time the valuation is madeand that the Partnership believes to be reliable.

Redemptions payable: Pursuant to the provisions of Statement of Financial Accounting Standards No.150, Accounting for Certain Financial Instruments with Characteristics of both Liabilities and Equity (‘‘SFAS150’’), redemptions approved by the General Partner prior to month end with a fixed effective date and fixedamount are recorded as redemptions payable as of month end.

Income taxes: No provision for income taxes has been made in these financial statements as eachpartner is individually responsible for reporting income or loss based on its respective share of thePartnership’s income and expenses as reported for income tax purposes.

Organization and offering costs: All expenses incurred in connection with the organization and theinitial and ongoing public offering of partnership interests are paid by the General Partner and are reimbursedto the General Partner by the Partnership. This reimbursement is made monthly. Class A units bearorganization and offering expenses at an annual rate of 20 basis points (0.20 percent) of the adjusted net assetsof the Class A units, calculated and payable monthly on the basis of month-end adjusted net assets. Class Bunits bear these expenses at an annual rate of 60 basis points (0.60 percent) of the adjusted net assets of theClass B units, calculated and payable monthly on the basis of month-end adjusted net assets. ‘‘Adjusted netassets’’ is defined as the month-end net assets of the particular class before accruals for fees and expenses andredemptions. In its discretion, the General Partner may require the Partnership to reimburse the GeneralPartner in any subsequent calendar year for amounts that exceed these limits in any calendar year, providedthat the maximum amount reimbursed by the Partnership will not exceed the overall limit. Amountsreimbursed by the Partnership with respect to the initial and ongoing public offering expenses are chargedagainst partners’ capital at the time of reimbursement or accrual. Any amounts reimbursed by the Partnershipwith respect to organization expenses are expensed at the time the reimbursement is incurred or accrued. If thePartnership terminates prior to completion of payment of the calculated amounts to the General Partner, theGeneral Partner will not be entitled to any additional payments, and the Partnership will have no furtherobligation to the General Partner. At December 31, 2008, all organization and offering costs incurred by theGeneral Partner have been reimbursed. The General Partner may remit back to the Partnership a portion of thePartnership’s organization and offering expenses to the extent actual expenses incurred were less than theactual amount the Partnership paid the General Partner. At December 31, 2008 and 2007, included inreceivable from General Partner is $0 and $500,000, respectively, related to the reimbursement of organizationand offering expenses of the Partnership.

Foreign currency transactions: The Partnership’s functional currency is the U.S. dollar, however, ittransacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currenciesother than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the statement offinancial condition. Income and expense items denominated in currencies other than the U.S. dollar aretranslated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from thetranslation to U.S. dollars are reported in income currently.

Reclassification: Certain amounts in the 2007 and 2006 financial statements have been reclassified toconform with the 2008 presentation.

Recently adopted accounting pronouncements: In September 2006, the FASB issued Statement ofFinancial Accounting Standards No. 157, Fair Value Measurements (‘‘SFAS No. 157’’). SFAS No. 157 definesfair value, establishes a framework for measuring fair value and expands disclosures about fair valuemeasurement and also emphasizes that fair value is a market-based measurement, not an entity-specificmeasurement. SFAS No. 157 is effective for fiscal years beginning after November 15, 2007, except fornonfinancial assets and nonfinancial liabilities that are recognized or disclosed at fair value in the financial

129



statements on a nonrecurring basis for which delayed application is permitted until fiscal years beginning afterNovember 15, 2008. The adoption of SFAS No. 157 was effective for the Partnership on January 1, 2008, anddid not impact our financial position, results of operations or cash flows.

SFAS No. 157 defines fair value as the price that would be received to sell an asset or paid to transfer aliability in an orderly transaction between market participants at the measurement date and sets out a fairvalue hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets foridentical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Inputs arebroadly defined under SFAS 157 as assumptions market participants would use in pricing an asset or liability.The three levels of the fair value hierarchy under SFAS 157 are described below:

Level 1. Unadjusted quoted prices in active markets for identical assets or liabilities that the reportingentity 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, eitherdirectly or indirectly. A significant adjustment to a Level 2 input could result in the Level 2 measurementbecoming 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 differentfinancial instruments at fair value and includes the level within the fair value hierarchy in which the financialinstrument is categorized.

Fair value of exchange-traded contracts is based upon exchange settlement prices. Fair value ofnon-exchange-traded contracts is based on third party quoted dealer values on the Interbank market. U.S.Government securities, Government-sponsored enterprises and commercial paper are stated at cost plusaccrued interest, which approximates fair value. These financial instruments are classified in Level 1 of thefair value hierarchy.

Certificates of deposit are stated at cost plus accrued interest, which approximates fair value. Thesefinancial instruments are classified in Level 2 of the fair value hierarchy.

The Partnership’s investment in the Dearborn Select Master Fund, SPC – Winton Segregated Portfolio –Class GP (the ‘‘GP Class’’) is reported in the statement of financial condition at fair value. Fair valueordinarily is the value determined by the management of the GP Class in accordance with the valuationpolicies of the GP Class and as reported at the time of the Partnership’s valuation. Generally, the fair value ofthe Partnership’s investment in the GP Class represents the amount that the Partnership could reasonablyexpect to receive from the GP Class if the Partnership’s investment was redeemed at the time of valuation,based on information reasonably available at the time the valuation is made and that the Partnership believesto be reliable. This financial instrument is classified in Level 3 of the fair value hierarchy.

The following table presents the Partnership’s fair value hierarchy for those assets and liabilitiesmeasured at fair value on a recurring basis as of December 31, 2008:

Assets Level 1 Level 2 Level 3 Total

Equity in brokers’ trading accountsU.S. Government securities . . . $29,215,898 $ — $— $29,215,898Government-sponsored

enterprises . . . . . . . . . . . . . 15,695,417 — — 15,695,417Futures contracts . . . . . . . . . . . 6,603,439 — — 6,603,439Forward contracts . . . . . . . . . . (1,393,208) — — (1,393,208)

Cash and cash equivalentsCertificates of deposit . . . . . . . . — 40,655,321 — 40,655,321

130




Commercial paper . . . . . . . . . . 89,383,455 — — 89,383,455Government-sponsored

enterprises . . . . . . . . . . . . . . 4,993,389 — — 4,993,389Certificates of deposit . . . . . . . . . — 28,525,736 — 28,525,736Commercial paper . . . . . . . . . . . 9,979,833 — — 9,979,833Government-sponsored enterprises 311,078,226 — — 311,078,226Investment in Dearborn Select

Master Fund, SPC** . . . . . . . . — — — —

* The Investment in Dearborn Select Master Fund, SPC was redeemed at December 31, 2008 and is shownon the statement of financial condition as a redemption receivable.

Financial instruments classified as Level 3 in the fair value hierarchy represent the Partnership’sinvestment in the GP Class in which management has used at least one significant unobservable input in thevaluation model. The following table presents a reconciliation of activity for the GP Class:

Balance at January 1, 2008 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 98,629,036Total Realized Gain included in Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,714,939Purchases, Issuances and Settlements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . —Redemption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (115,343,975)Transfers in and (or) out of Level 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . —Balance at December 31, 2008 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ —

In April 2007 the FASB issued Interpretation No. 39-1, Amendment of FASB Interpretation No. 39 (‘‘FIN39-1’’). FIN 39-1 defines ‘‘right of setoff’’ and specifies what conditions must be met for a derivative contractto qualify for this right of setoff. It also addresses the applicability of a right of setoff to derivativeinstruments and clarifies the circumstances in which it is appropriate to offset amounts recognized for multiplederivative instruments executed with the same counterparty under a master netting arrangement and fair valueamounts recognized for the right to reclaim cash collateral (a receivable) or the obligation to return cashcollateral (a payable) arising from the same master netting arrangement as the derivative instruments. Thisinterpretation is effective for fiscal years beginning after November 15, 2007. The adoption of FIN 39-1 didnot have a material impact on the Partnership’s financial statements.

Recent accounting pronouncements: In March 2008, the FASB issued SFAS No. 161, Disclosure aboutDerivative Instruments and Hedging Activities, an Amendment of FASB Statement No. 133 (‘‘SFAS No. 161’’).SFAS No. 161 is intended to improve transparency in financial reporting by requiring enhanced disclosures ofan entity’s derivative instruments and hedging activities and their effects on the entity’s financial position,financial performance, and cash flows. SFAS No. 161 applies to all derivative instruments within the scope ofSFAS No. 133. It also applies to non-derivative hedging instruments and all hedged items designated andqualifying as hedges under SFAS No. 133. SFAS No. 161 amends the current qualitative and quantitativedisclosure requirements for derivative instruments and hedging activities set forth in SFAS No. 133 andgenerally increases the level of disaggregation that will be required in an entity’s financial statements. SFASNo. 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitativedisclosures about fair value amounts of gains and losses on derivative instruments, and disclosures aboutcredit-risk related contingent features in derivative agreements. SFAS No. 161 is effective prospectively forfinancial statements issued for fiscal years and interim periods beginning after November 15, 2008.

131


NOTE 2. INVESTMENTS

Effective June 1, 2007, the General Partner reallocated the portion of the Partnership’s net assetspreviously allocated to Winton Capital Management Limited (‘‘Winton’’) to the GP Class of Dearborn SelectMaster Fund, SPC (‘‘Dearborn Select’’). Dearborn Select was incorporated under the laws of the CaymanIslands on April 7, 2006 and is a private investment fund organized as a segregated portfolio company withlimited liability. The GP Class allocated the assets invested by the Partnership to Winton through one or moremanaged accounts, traded pursuant to Winton’s Diversified Program. The Partnership owned all of theoutstanding Class GP units of the GP Class. The general partner of the Partnership was also the InvestmentManager of Dearborn Select. As of December 31, 2008, the investment in the GP Class was redeemed and isshown on the statement of financial condition as a redemption receivable. Effective January 1, 2009, theportion of the Partnership’s net assets allocated to the GP Class was reallocated to one of the Partnership’strading companies, GP 1, LLC, a Delaware limited liability company. GP 1, LLC will allocate assets toWinton to be traded pursuant to Winton’s Diversified Program. There have been no changes to the existingclearing broker arrangements/brokerage charge and no material changes to the other fees and expensesallocated to the Partnership as a result of this reallocation.

As a result of the Partnership’s redemption of its units in Dearborn Select, as of December 31, 2008, thePartnership did not hold an equity interest in Dearborn Select. Summarized information reflecting the totalassets, liabilities and capital for Dearborn Select is shown in the following table.

December 31, 2008

Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $116,080,580Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $116,080,580Total Capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ —

Summarized information reflecting the Partnership’s investment in, and the operations of, Dearborn Selectat December 31, 2008 and 2007, is shown in the following tables.

December 31, 2008 For the twelve months ended December 31, 2008

% ofPartnership’s

Net Assets Cost Fair ValueTotal

Income

Expenses

Net IncomeInvestmentObjective

LiquidityProvisionCommissions Other

0% $— $— $25,394,928 $3,852,792 $4,827,197 $16,714,939 Speculative tradingof futures contracts,options on futurescontracts, forwardcontracts, swaps,derivatives andsynthetics

Monthly or at suchother times as theDirectors may agree

December 31, 2007 For the twelve months ended December 31, 2007

% ofPartnership’s

Net Assets Cost Fair ValueTotal

Income

Expenses

Net IncomeInvestmentObjective

LiquidityProvisionCommissions Other

21.6% $89,211,588 $98,629,036 $14,005,040 $1,929,036 $2,658,556 $9,417,448 Speculative tradingof futures contracts,options on futurescontracts, forwardcontracts, swaps,derivatives andsynthetics

Monthly or at suchother times as theDirectors may agree

132


NOTE 3. DEPOSITS WITH BROKERS

The Partnership deposits assets with brokers subject to Commodity Futures Trading Commissionregulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit ofU.S. Treasury bills, U.S. Treasury notes, Government-sponsored enterprises and cash with such brokers. ThePartnership earns interest income on its assets deposited with the brokers.

NOTE 4. COMMODITY TRADING ADVISORS

In addition to its investment in the GP Class through which a portion of its assets are managed byWinton, the Partnership has entered into advisory contracts with Rabar Market Research, Inc., EMC CapitalManagement, Inc., Eckhardt Trading Co., Graham Capital Management, L.P., Welton Investment Corporation,Global Advisors L.P., Transtrend B.V. and Quantitative Investment Management LLC to act as thePartnership’s commodity trading advisors (the ‘‘Advisors’’). The Advisors are paid a quarterly managementfee ranging from 0 percent to 2 percent per annum of the Partnership’s month-end allocated net assets, whichis paid by the General Partner from the brokerage commission (Note 5).

Additionally, the Advisors, including Winton, receive a quarterly incentive fee ranging from 20 percent to30 percent of the new trading profits on the allocated net assets of the Advisor, which amounted to fees of$25,332,013, $7,017,463, and $3,823,552 for the years ended December 31, 2008, 2007, and 2006,respectively.

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, ownUnits in the Partnership: (i) in an amount sufficient, in the opinion of counsel for the Partnership, for thePartnership to be taxed as a partnership rather than as an association taxable as a corporation; and (ii) duringsuch time as the Units are registered for sale to the public, in an amount at least equal to the greater of: (a) 1percent of all capital contributions of all Partners to the Partnership; or (b) $25,000; or such other amountsatisfying 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, theGeneral Partner shall, so long as it remains a general partner of the Partnership, maintain a net worth (as suchterm may be defined in the NASAA Guidelines) at least equal to the greater of: (i) 5 percent of the totalcapital contributions of all partners and all limited partnerships to which it is a general partner (including thePartnership) plus 5 percent of the Units being offered for sale in the Partnership; or (ii) $50,000; or such otheramount satisfying the requirements then imposed by the NASAA Guidelines. In no event, however, shall theGeneral Partner be required to maintain a net worth in excess of $1,000,000 or such other maximum amountsatisfying the requirements then imposed by the NASAA Guidelines.

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

The Class A units pay the General Partner a monthly brokerage commission equal to one-twelfth of 7.55percent (7.55 percent annualized) of month-end net assets. The Class B units pay the General Partnerone-twelfth of 8.00 percent (8.00 percent annualized) of month-end net assets. Included in the brokeragecommission are amounts paid to the clearing brokers for execution and clearing costs, management fees paidto the Advisors, compensation to the selling agents and an amount to the General Partner for managementservices rendered.

NOTE 6. OPERATING EXPENSES

Operating expenses of the Partnership are paid for by the General Partner and reimbursed by thePartnership. Operating expenses of the Partnership are limited to 0.25 percent per year of the average month-end net assets of the Partnership. To the extent operating expenses are less than 0.25 percent of thePartnership’s average month-end net assets during the year, the difference may be reimbursed pro rata to

133


NOTE 6. OPERATING EXPENSES − (continued)

record-holders as of December 31 of each year. Accordingly, at December 31, 2008 and 2007, included inreceivable from General Partner is $0 and $250,000, respectively, related to the reimbursement of operatingexpenses to the Partnership.

NOTE 7. REDEMPTIONS

Limited Partners have the right to redeem units as of any month-end upon ten (10) days’ prior writtennotice 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 whoredeem their units on or after the one-year anniversary of their subscription. Class B Limited Partners whoredeem their units prior to the one-year anniversary of their subscriptions will pay the applicable earlyredemption fee. Redemptions will be made on the last day of the month for an amount equal to the net assetvalue per unit, as defined, represented by the units to be redeemed. The right to obtain redemption is alsocontingent upon the Partnership’s having property sufficient to discharge its liabilities on the redemption dateand may be delayed if the General Partner determines that earlier liquidation of commodity interest positionsto 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 LimitedPartner’s units upon fifteen (15) days written notice. The General Partner may also immediately redeem anyLimited Partner’s units without notice if the General Partner believes that (i) the redemption is necessary toavoid having the assets of the Partnership deemed Plan Assets under the Employee Retirement IncomeSecurity Act of 1974, as amended (‘‘ERISA’’), (ii) the Limited Partner made a misrepresentation in connectionwith its subscription for the units, or (iii) the redemption is necessary to avoid a violation of law by thePartnership or any Partner.

NOTE 8. FINANCIAL HIGHLIGHTS

The following financial highlights reflect activity related to the Partnership. Total return is based on thechange in value during the period of a theoretical investment made at the beginning of each calendar monthduring the year. Individual investor’s ratios may vary from these ratios based on various factors, including andamong others, the timing of capital transactions.

2008 2007 2006Total return − Class A Units . . . . . . . . . . . . . . . . . . . . . . . . . 19.91% 12.63% 9.11%Total return − Class B Units . . . . . . . . . . . . . . . . . . . . . . . . . 18.88% 11.76% 8.28%Ratios as a percentage of average net assets:*

Interest income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.32% 4.24% 4.78%Expenses prior to incentive fees . . . . . . . . . . . . . . . . . . . . . 6.52% 6.52% 6.83%Incentive fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.64% 1.70% 1.13%

Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11.16% 8.22% 7.96%Net investment (loss) ** . . . . . . . . . . . . . . . . . . . . . . . . . . (4.20)% (2.28)% (2.05)%

* Excludes the Partnership’s proportionate share of expenses and net investment income (loss) fromDearborn Select Master Fund, SPC – Winton Segregated Portfolio.

** Excludes incentive fee.

The interest income and expense ratios above are computed based upon the weighted average net assetsof the limited partners for the years ended December 31, 2008, 2007 and 2006.

134


NOTE 8. FINANCIAL HIGHLIGHTS − (continued)

The following per unit performance calculations reflect activity related to the Partnership.

Class A Units Class B UnitsPer Unit Performance (for unit outstanding throughout the entire period):Net asset value per unit at December 31, 2005 . . . . . . . . . . . . . . . . . . . . . . . $1,065.57 $ 944.28Income (loss) from operations

Net realized and change in unrealized gain from trading . . . . . . . . . . . . . . . 148.32 131.24Expenses net of interest income* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (49.57) (48.53)

Total income (loss) from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . 98.75 82.71Organization and offering costs* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1.72) (4.57)Net asset value per unit at December 31, 2006 . . . . . . . . . . . . . . . . . . . . . . . 1,162.60 1,022.42Income (loss) from operations


Total income (loss) from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . 148.80 125.29Organization and offering costs* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1.93) (5.03)Net asset value per unit at December 31, 2007 . . . . . . . . . . . . . . . . . . . . . . . 1,309.47 1,142.68Income (loss) from operations


Total income (loss) from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . 263.77 223.70Organization and offering costs* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3.04) (7.91)Net asset value per unit at December 31, 2008 . . . . . . . . . . . . . . . . . . . . . . . $1,570.20 $1,358.47

* Expenses net of interest income per unit and organization and offering costs per unit are calculated bydividing the expenses net of interest income and organization and offering costs by the average numberof units outstanding during the period. The net realized and change in unrealized gain from trading is abalancing amount necessary to reconcile the change in net asset value per unit with the other per unitinformation.

NOTE 9. TRADING ACTIVITIES AND RELATED RISKS

The Partnership, through its Advisors, including Winton, engages in the speculative trading of U.S. andforeign futures contracts, options on U.S. and foreign futures contracts, and forward contracts (collectively,derivatives). These derivatives include both financial and nonfinancial contracts held as part of a diversifiedtrading strategy. The Partnership is exposed to both market risk, the risk arising from changes in the marketvalue of the contracts; and credit risk, the risk of failure by another party to perform according to the terms ofa 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 requiresan FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’scash and other property (for example, U.S. Treasury bills) deposited with an FCM are considered commingledwith all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’sinsolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that therecovered amount could be less than the total of cash and other property deposited.

Net trading results from derivatives for the years ended December 31, 2008, 2007 and 2006, are reflectedin the statements of operations. Such trading results reflect the net gain arising from the Partnership’sspeculative trading of futures contracts, options on futures contract, and forward contracts.

For derivatives, risks arise from changes in the market value of the contracts. Theoretically, thePartnership is exposed to a market risk equal to the value of futures and forward contracts purchased andunlimited liability on such contracts sold short. As both a buyer and seller of options, the Partnership pays or

135


NOTE 9. TRADING ACTIVITIES AND RELATED RISKS − (continued)

receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contractunderlying the option. Written options expose the Partnership to potentially unlimited liability; for purchasedoptions 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 acounterparty will not be able to meet its obligations to the Partnership. The counterparty for futures andoptions on futures contracts traded in the United States and on most non-U.S. futures exchanges is theclearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate membersof the clearinghouse who are required to share any financial burden resulting from the nonperformance by oneof their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse isnot backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium ofbanks or other financial institutions.

In the case of forward contracts, over-the-counter options contracts or swap contracts, which are tradedon the interbank or other institutional market rather than on exchanges, the counterparty is generally a singlebank 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 thatit 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 meetits obligations to the Partnership.

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

Futures Contracts(exchange-traded)

Forward Contracts(non-exchange-traded)

Option Contracts(exchange-traded) Total

December 31,2008

December 31,2007

December 31,2008

December 31,2007

December 31,2008

December 31,2007

December 31,2008

December 31,2007

Gross unrealized gains . . $ 27,066,816 $14,183,671 $ 1,785,615 $ 2,046,350 $— $319,432 $ 28,852,431 $ 16,549,453

Gross unrealized (losses) (20,463,377) (6,807,992) (3,178,823) (3,604,621) — — (23,642,200) (10,412,613)

Net unrealized gain (loss) $ 6,603,439 $ 7,375,679 $(1,393,208) $(1,558,271) $— $319,432 $ 5,210,231 $ 6,136,840

The General Partner has established procedures to actively monitor and minimize market and credit risks.The limited partners bear the risk of loss only to the extent of the market value of their respective investmentsand, in certain specific circumstances, distributions and redemptions received.

NOTE 10. INDEMNIFICATIONS

In the normal course of business, the Partnership enters into contracts and agreements that contain avariety of representations and warranties and which provide general indemnifications. The Partnership’smaximum exposure under these arrangements is unknown, as this would involve future claims that may bemade against the Partnership that have not yet occurred. The Partnership expects the risk of any futureobligation under these indemnifications to be remote.

NOTE 11. SUBSEQUENT EVENTS

From January 1, 2009 to March 4, 2009, there were contributions and redemptions totaling approximately$121,687,000 and $2,431,000 respectively.

As a result of recent changes in the rules and regulations of the Financial Industry Regulatory Authority(‘‘FINRA’’) affecting commodity pools, the general partner, has determined to make certain changes to theorganization of the Partnership, including the creation of additional classes of units, and has determined toterminate the offering and sale of any new Class A and Class B units by the second quarter of 2009.

As part of the reorganization, the Partnership will continue to invest through different commodity tradingadvisors retained by the general partner. However, instead of each trading advisor maintaining a separateaccount in the name of the Partnership, as was historically the case, the assets of the Partnership will be

136


NOTE 11. SUBSEQUENT EVENTS − (continued)

invested in various trading companies, each of which will be organized as a limited liability company. Eachtrading company will then allocate those assets to one of the commodity trading advisors retained by thegeneral partner. Additionally, a separate cash management limited liability company will be created tocollectively manage excess cash not required to be held at the clearing brokers for each individual manager.

Upon the effective date of the reorganization, the current organization and offering costs charged to theClass A and Class B units will decrease from an annual rate of 20 basis points (.20%) and 60 basis points(.60%), respectively, to 10 basis points (.10%) and 30 basis points (.30%), respectively, of the adjusted netassets of the Class A and Class B units, calculated and payable monthly on the basis of month-end adjustednet assets.

Upon the effective date of the reorganization, the current brokerage commission charged to the Class Aand Class B units will decrease from a monthly rate of one-twelfth of 7.55 percent (7.55 percent annualized)and 8.00 percent (8.00 percent annualized) of month-end net assets, respectively, to a monthly rate ofone-twelfth of 7.50 percent (7.50 percent annualized) and 7.95 percent (7.95 percent annualized) of month-endnet assets.

137

Independent Auditor’s Report

To the Directors and ShareholdersDearborn Select Master Fund, SPC − Winton Segregated PortfolioGrand Cayman, Cayman Islands

We have audited the accompanying statements of financial condition, including the condensed schedulesof investments of Dearborn Select Master Fund, SPC - Winton Segregated Portfolio (the ‘‘Company’’), as ofDecember 31, 2008 and 2007, and the related statements of operations, changes in shareholders’ equity andcash flows for the year ended December 31, 2008 and the period from June 1, 2007 (commencement ofoperations) through December 31, 2007. These financial statements are the responsibility of the Company’smanagement. Our responsibility is to express an opinion on these financial statements based on our audit.

We conducted our audit in accordance with auditing standards generally accepted in the United States ofAmerica. Those standards require that we plan and perform the audit to obtain reasonable assurance aboutwhether the financial statements are free of material misstatement. An audit includes examining, on a testbasis, evidence supporting the amounts and disclosures in the financial statements. An audit also includesassessing the accounting principles used and significant estimates made by management, as well as evaluatingthe overall financial statement presentation. We believe that our audit provides a reasonable basis for ouropinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, thefinancial position of Dearborn Select Master Fund, SPC − Winton Segregated Portfolio as of December 31,2008 and 2007, and the results of its operations and its cash flows for the year ended December 31, 2008 andthe period from June 1, 2007 (commencement of operations) through December 31, 2007 in conformity withaccounting principles generally accepted in the United States of America.




138

DEARBORN SELECT MASTER FUND, SPC − WINTON SEGREGATED PORTFOLIOSTATEMENTS OF FINANCIAL CONDITION

December 31, 2008 and 2007

2008 2007

AssetsEquity in broker trading account:

Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,632,155 $ 7,377,530U.S. Government securities, at fair value . . . . . . . . . . . . . . . . . . . . . 2,998,799 12,469,108Unrealized gain on open futures contracts, net . . . . . . . . . . . . . . . . . 1,958,960 1,250,392

Deposits with broker . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,589,914 21,097,030Cash and cash equivalents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,404,426 27,614,107Certificates of deposit, at fair value . . . . . . . . . . . . . . . . . . . . . . . . . . 3,728,731 20,270,349Commercial paper, at fair value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,573,970 8,458,676Government-sponsored enterprises, at fair value . . . . . . . . . . . . . . . . . . 71,749,054 22,731,032Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,484 81,634

Total assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $116,080,579 $100,252,828

Liabilities and Shareholders’ EquityLiabilities

Brokerage commission payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 327,555 $ 258,428Accrued incentive fee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 396,993 1,175,356Management fee payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 1,948Redemption payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115,343,975 —Other payables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,056 28,100

Total liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116,080,579 1,463,832Shareholders’ equity

Class GP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 98,629,036Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 159,960

Total shareholders’ equity . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 98,788,996Total liabilities and shareholders’ equity . . . . . . . . . . . . . . . . $116,080,579 $100,252,828


DEARBORN SELECT MASTER FUND, SPC − WINTON SEGREGATED PORTFOLIOCONDENSED SCHEDULE OF INVESTMENTS

December 31, 2008(Expressed in U.S. dollars)


open longcontracts

Percent ofShareholders’

Equity*


open shortcontracts

Percent ofshareholders’

equity*



Equity*

Futures Contracts**U.S. Futures Positions:

Currencies . . . . . . . $ 198,481 0.2% $ (611,431) (0.5)% $ (412,950) (0.3)%Energy . . . . . . . . . . — *** 40,428 *** 40,428 ***Grains . . . . . . . . . . — *** (539,362) (0.5)% (539,362) (0.5)%Interest rates . . . . . . 1,037,902 0.9% — *** 1,037,902 0.9%Meats . . . . . . . . . . 5,160 *** 25,800 *** 30,960 ***Metals . . . . . . . . . . — *** (60,808) (0.1)% (60,808) (0.1)%Soft commodities . . 2,290 *** 15,225 *** 17,515 ***Stock indices . . . . . (3,540) *** (20,075) *** (23,615) ***

Total U.S. FuturesPositions . . . . . . . . 1,240,293 (1,150,223) 90,070

Foreign FuturesPositions:Energy . . . . . . . . . . $ 12,585 *** $ 17,810 *** $ 30,395 ***Grains . . . . . . . . . . — *** (1,188) *** (1,188) ***Interest rates . . . . . . 1,363,347 1.2% (2,633) *** 1,360,714 1.2%Metals . . . . . . . . . . (71,206) (0.1)% 528,609 0.5% 457,403 0.4%Soft commodities . . 45,705 *** 2,430 *** 48,135 ***Stock indices . . . . . — *** (26,569) *** (26,569) ***

Total Foreign FuturesPositions . . . . . . . . 1,350,431 518,459 1,868,890

Total FuturesContracts . . . . . . . $2,590,724 2.2% $ (631,764) (0.5)% $1,958,960 1.7%

* Represents the percent of shareholders’ equity on December 31, 2008 before redemption.

** No individual futures and option contract position constituted greater than 5 percent of shareholders’equity. Accordingly, the number of contracts and expiration dates are not presented.

*** Represents less than 0.1% of shareholders’ equity.


DEARBORN SELECT MASTER FUND, SPC − WINTON SEGREGATED PORTFOLIOCONDENSED SCHEDULE OF INVESTMENTS − (continued)



Face Value Maturity Date Description Fair Value


Equity*

$3,000,000 5/1/2009Comerica Bank, 1 month LIBOR plus15 basis points $3,005,296 2.6%

240,000 8/14/2009 Amcore Bank, 3.5% 241,120 0.2%240,000 11/12/2009 Huntington National Bank, 4.0% 241,250 0.2%240,000 11/17/2009 Mercantile Bank of Michigan, 3.6% 241,065 0.2%


* Represents the percent of shareholders’ equity on December 31, 2008 before redemption.

Commercial paper



Equity*

$2,575,000 1/9/2009 Conoco Phillips Co., 1.8% $2,573,970 2.2%Total Commercial paper $2,573,970

* Represents the percent of the shareholders’ equity on December 31, 2008 before redemtpion.




Equity

$2,500,000 1/2/2009 Federal Home Loan Bank, 3.8% $2,523,486 2.2%

2,500,000 1/2/2009

Federal Farm Credit Bank,3 month U.S. Treasury bill plus82 basis points weekly reset 2,507,651 2.2%

2,000,000 1/14/2009


2,500,000 1/29/2009 Fannie Mae Discount Note, 2.3% 2,495,625 2.2%2,000,000 2/24/2009 Freddie Mac Discount Note, 2.6% 1,992,230 1.7%


2,000,000 4/1/2009 Farmer Mac, 2.3% 2,010,930 1.7%2,000,000 4/7/2009 Freddie Mac, 2.4% 2,011,228 1.7%


2,000,000 4/17/2009Federal Home Loan DiscountNote, 3.2% 1,981,744 1.7%






Equity*

$ 2,500,000 4/24/2009

Federal Home Loan Bank,1 month LIBOR minus 8 basispoints monthly reset $ 2,499,586 2.2%

2,000,000 4/24/2009 Farmer Mac, 2.3% 2,008,561 1.7%2,500,000 4/30/2009 Federal Home Loan Bank 2.6% 2,511,120 2.2%




1,000,000 5/18/2009 Federal Home Loan Bank, 1.7% 993,531 0.9%

3,000,000 5/20/2009



2,000,000 6/30/2009 Federal Home Loan Bank, 3.0% 2,000,167 1.7%2,500,000 8/20/2009 Federal Home Loan Bank, 3.1% 2,527,292 2.2%2,000,000 7/14/2009 Federal Home Loan Bank, 3.2% 2,029,189 1.8%

1,500,000 10/5/2009


2,500,000 10/19/2009Freddie Mac, 1 month LIBORminus 6 basis points monthly reset 2,500,315 2.2%

2,000,000 11/25/2009 Freddie Mac, 2.1% 2,004,083 1.7%2,000,000 12/1/2009 Federal Home Loan Bank, 2.0% 2,003,333 1.7%3,500,000 12/15/2009 Federal Home Loan Bank, 1.8% 3,502,862 3.0%3,500,000 12/16/2009 Freddie Mac, 1.9% 3,502,771 3.0%5,000,000 12/30/2009 Farmer Mac, 1.0% 5,000,138 4.3%

2,700,000 2/19/2010

Federal Home Loan Bank,3 month LIBOR minus 3.5 basispoints 2,701,251 2.4%


* Represents the percent of shareholders’ equity at December 31, 2008 before redemption.

U.S. Government Securities**



Equity*

$3,000,000 6/4/2009U.S. Treasury bills, 0.2% (cost$2,996,562) $2,998,799 2.6%

Total U.S. Government Securities $2,998,799

* Represents the percent of shareholders’ equity at December 31, 2008 before redemption.

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


DEARBORN SELECT MASTER FUND, SPC − WINTON SEGREGATED PORTFOLIOCONDENSED SCHEDULE OF INVESTMENTS


UnrealizedGain/(Loss)

on OpenLong

Contracts


Equity

UnrealizedGain/(Loss)

on OpenShort

Contracts


Equity*

NetUnrealizedGain/(Loss)

on OpenContracts


Equity*

Futures Contracts*U.S. Futures Positions:

Currencies . . . . . . . $ 77,274 0.1% $ (34,803) ** $ 42,471 **Energy . . . . . . . . . . 339,275 0.3% (72,290) (0.1)% 266,985 0.3%Grains . . . . . . . . . . 1,015,644 1.0% — ** 1,015,644 1.0%Interest rates . . . . . . (102,891) (0.1)% — ** (102,891) (0.1)%Meats . . . . . . . . . . (13,028) ** 32,560 ** 19,532 **Metals . . . . . . . . . . 390,270 0.4% — ** 390,270 0.4%Soft commodities . . 3,065 ** (170,296) (0.2)% (167,231) (0.2)%Stock indices . . . . . (123,104) (0.1)% — ** (123,104) (0.1)%

Total U.S. FuturesPositions . . . . . . . . 1,586,505 (244,829) 1,341,676

Foreign FuturesPositions:Energy . . . . . . . . . . $ 170,530 0.2% — ** 170,530 0.2%Interest rates . . . . . . (132,569) (0.1)% (39,128) ** (171,697) (0.2)%Metals . . . . . . . . . . (620,144) (0.6)% 316,710 0.3% (303,434) (0.3)%Soft commodities . . 3,420 ** (11,605) ** (8,185) **Stock indices . . . . . 203,780 0.2% 17,722 ** 221,502 0.2%

Total Foreign FuturesPositions . . . . . . . . (374,983) 283,699 (91,284)

Total FuturesContracts . . . . . . . $1,211,522 1.2% $ 38,870 ** $1,250,392 1.3%

* No individual futures and option contract position constituted greater than 5 percent of shareholders’equity. Accordingly, the number of contracts and expiration dates are not presented.

** Represents less than 0.1% of shareholders’ equity.







Equity

$3,000,000 1/7/2008 Abbey National Bank, 5.3% $ 3,079,506 3.1%3,000,000 2/7/2008 Wilmington Trust, 5.3% 3,064,435 3.1%2,500,000 4/28/2008 Comerica Bank, 4.7% 2,521,868 2.5%

5,000,000 6/5/2008Associated Bank, 3 month LIBORless 4 basis points 5,019,162 5.1%

1,500,000 6/20/2008 Washington Mutual Bank, 5.4% 1,543,631 1.6%3,000,000 7/28/2008 Regions Bank, 4.7% 3,026,158 3.1%2,000,000 11/3/2008 Marshall & Ilsley Bank, 4.6% 2,015,589 2.0%


Commercial paper



Equity$2,000,000 1/10/2008 Progress Energy Co., 5.5% $1,997,335 2.0%3,500,000 2/8/2008 Zions Banc Corp., 5.2% 3,481,491 3.5%3,000,000 2/22/2008 GE Capital, 4.8% 2,979,850 3.0%

Total Commercial paper $8,458,676 8.5%




Equity$2,000,000 6/15/2008 Fannie Mae, 5.3% $ 2,004,289 2.0%3,500,000 7/16/2008 Federal Home Loan Bank, 5.3% 3,585,502 3.6%3,000,000 8/1/2008 Farmer Mac, 5.3% 3,066,692 3.1%3,000,000 10/8/2008 Farmer Mac, 4.7% 3,031,333 3.1%1,000,000 10/30/2008 Federal Home Loan Bank, 4.5% 1,007,500 1.0%3,000,000 11/19/2008 Federal Home Loan Bank, 4.6% 3,016,188 3.1%

3,000,000 11/24/2008



2,000,000 12/1/2008



U.S. Government Securities***



Equity

$12,500,000 1/31/2008U.S. Treasury bills, 2.7% (cost$12,466,751) $12,469,108 12.6%

Total U.S. Government Securities $12,469,108



DEARBORN SELECT MASTER FUND, SPC − WINTON SEGREGATED PORTFOLIOSTATEMENT OF OPERATIONS

Year Ended December 31, 2008 and the Period from June 1, 2007(commencement of operations) through December 31, 2007

(Expressed in U.S. dollars)

2008 2007

Investment IncomeInterest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,041,789 $ 2,547,579

ExpensesBrokerage commissions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,694,647 1,767,930Management fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,992 1,948Incentive fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,834,298 2,662,490

Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,532,937 4,432,368Net investment loss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (5,491,148) (1,884,789)Trading gains

Realized gains from trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,467,613 10,066,605Change in unrealized gains from trading . . . . . . . . . . . . . . . . . . . . . (1,250,392) 1,250,392Total trading gains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,217,221 11,316,997

Increase in net assets arising from operations . . . . . . . . . . . . . . . . . . $16,726,073 $ 9,432,208


DEARBORN SELECT MASTER FUND, SPC − WINTON SEGREGATED PORTFOLIOSTATEMENTS OF CASH FLOWS

Year Ended December 31, 2008 and the Period from June 1, 2007(commencement of operations) through December 31, 2007

(Expressed in U.S. dollars)

2008 2007

Cash Flows Used In Operating ActivitiesIncrease in net assets arising from operations . . . . . . . . . . . . . . . . . . $ 16,726,073 $ 9,432,208

Adjustments to reconcile net increase in net assets arising fromoperations to cash used in operating activitiesNet purchases of investments in U.S. Government securities . . . . 9,470,309 (12,469,108)Net change in unrealized gain on open futures contracts, net . . . . (708,568) (1,250,392)Net sales (purchases) of investments in Certificates of deposit . . . . 16,541,618 (20,270,349)Net sales (purchases) of investments in Commercial paper . . . . . . 5,884,706 (8,458,676)Net purchases of investments in Government-sponsored enterprises (49,018,022) (22,731,032)Decrease (Increase) in interest receivable . . . . . . . . . . . . . . . . . 47,150 (81,634)Increase in brokerage commission payable . . . . . . . . . . . . . . . . . 69,127 258,428(Decrease) Increase in accrued incentive fees . . . . . . . . . . . . . . . (778,363) 1,175,356(Decrease) Increase in management fee payable . . . . . . . . . . . . . (1,948) 1,948Increase in redemption payable . . . . . . . . . . . . . . . . . . . . . . . . 115,343,975 —(Decrease) Increase in other payables . . . . . . . . . . . . . . . . . . . . (16,044) 28,100Net cash used in operating activities . . . . . . . . . . . . . . . . . . . . . 113,560,013 (54,365,151)

Cash Flows Provided by Financing ActivitiesProceeds from issuance of shares . . . . . . . . . . . . . . . . . . . . . . . . . — 89,356,788Payments for redemptions of shares . . . . . . . . . . . . . . . . . . . . . . . (115,515,069) —Net cash provided by financing activities . . . . . . . . . . . . . . . . . . . (115,515,069) 89,356,788Net increase (decrease) in cash and cash equivalents . . . . . . . . . . . (1,955,056) 34,991,637

Cash and cash equivalentsBeginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,991,637 —End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 33,036,581 $ 34,991,637

End of year cash and cash equivalents consists of:Cash in broker trading accounts . . . . . . . . . . . . . . . . . . . . . . $ 6,632,155 $ 7,377,530Cash and cash equivalents . . . . . . . . . . . . . . . . . . . . . . . . . . 26,404,426 27,614,107

Total end of year cash and cash equivalents . . . . . . . . . . . . . . . . $ 33,036,581 $ 34,991,637


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147

DEARBORN SELECT MASTER FUND, SPC − WINTON SEGREGATED PORTFOLIONOTES TO FINANCIAL STATEMENTS

NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

Organization: Dearborn Select Master Fund, SPC (the ‘‘Master Fund’’) was formed in April 2006 andis an exempt segregated portfolio company with limited liability incorporated under the Companies Law (2004Revision) of the Cayman Islands. The Master Fund commenced operations on June 16, 2006. The MasterFund’s strategy is to achieve capital appreciation of its assets through the investment and speculative tradingof futures contracts, options on futures contracts, foreign currency and forward contracts, swaps and derivativecontracts by independent trading advisors.

The Master Fund offers shares of various segregated portfolios, each of which may use differentinvestment trading methods and strategies as well as different products. Dearborn Capital Management, L.L.C.(the ‘‘Investment Manager’’) serves as investment manager and manages the Master Fund’s assets pursuant toits trading methods and strategies.

Winton Segregated Portfolio is a segregated portfolio of the Master Fund and commenced operations onJune 1, 2007. At December 31, 2008 the Master Fund had no shareholders. At December 31, 2007, WintonSegregated Portfolio had two shareholders, Dearborn Select Fund, Limited Partnership (‘‘Dearborn Select’’)and Grant Park Futures Fund Limited Partnership (‘‘Grant Park’’).

The Investment Manager allocated to the Winton Segregated Portfolio which traded in accordance withWinton’s Diversified Program. The investment technique of Winton’s Diversified Program consists of trading aportfolio of more than 100 futures and forward contracts on major commodity exchanges and forward marketsworldwide, employing a computerized, technical, trend-following trading system developed by its principals.


Use of estimates: The preparation of financial statements in conformity with generally acceptedaccounting principles requires management to make estimates and assumptions that affect the amounts ofassets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statementsand the reported amounts of revenue and expenses during the reporting period. Actual results could differfrom those estimates.

Cash and cash equivalents: Cash and cash equivalents include cash and short-term investments ininterest-bearing demand deposits with banks with maturities of three months or less. Winton SegregatedPortfolio maintains deposits with high quality financial institutions in amounts that are in excess of federallyinsured limits; however, Winton Segregated Portfolio does not believe it is exposed to any significant creditrisk.

Revenue recognition: Futures, options on futures, and forward contracts are recorded on a trade datebasis and realized gains or losses are recognized when contracts are liquidated. Unrealized gains or losses onopen contracts (the difference between contract trade price and market price) are reported in the statement offinancial condition as a net unrealized gain or loss, as there exists a right of offset of unrealized gains orlosses in accordance with Financial Accounting Standards Board (‘‘FASB’’) Interpretation No. 39, Offsetting ofAmounts Related to Certain Contracts. Any change in net unrealized gain or loss from the preceding period isreported in the statement of operations.

Recently adopted accounting pronouncements: In September 2006, the FASB issued Statement ofFinancial Accounting Standards No. 157, Fair Value Measurements (‘‘SFAS No. 157’’). SFAS No. 157 definesfair value, establishes a framework for measuring fair value and expands disclosures about fair valuemeasurement and also emphasizes that fair value is a market-based measurement, not an entity-specificmeasurement. SFAS No. 157 is effective for fiscal years beginning after November 15, 2007, except fornonfinancial assets and nonfinancial liabilities that are recognized or disclosed at fair value in the financialstatements on a nonrecurring basis for which delayed application is permitted until fiscal years beginning afterNovember 15, 2008. The adoption of SFAS No. 157 was effective for Winton Segregated Portfolio onJanuary 1, 2008, and did not impact Winton Segregated Portfolio’s financial position, results of operations orcash flows.

148


NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES − (continued)

SFAS No. 157 defines fair value as the price that would be received to sell an asset or paid to transfer aliability in an orderly transaction between market participants at the measurement date and sets out a fairvalue hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets foridentical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Inputs arebroadly defined under SFAS 157 as assumptions market participants would use in pricing an asset or liability.The three levels of the fair value hierarchy under SFAS 157 are described below:


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


The following section describes the valuation techniques used by Winton Segregated Portfolio to measuredifferent financial instruments at fair value and includes the level within the fair value hierarchy in which thefinancial instrument is categorized.

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

Certificates of deposit are stated at cost plus accrued interest, which approximates fair value. Thesefinancial instruments are classified in Level 2 of the fair value hierarchy.

The following table presents Winton Segregated Portfolio’s fair value hierarchy for those assets andliabilities measured at fair value on a recurring basis as of December 31, 2008:


Equity in brokers’ trading accountsU.S. Government securities . . . $ 2,998,799 $ — $— $ 2,998,799Futures contracts . . . . . . . . . . . 1,958,960 — — 1,958,960

Cash and cash equivalentsCertificates of deposit . . . . . . . . — 12,456,183 — 12,456,183Commercial paper . . . . . . . . . . 12,450,226 — — 12,450,226Government-sponsored

enterprises . . . . . . . . . . . . . . 1,498,017 — — 1,498,017Certificates of deposit . . . . . . . . . — 3,728,731 — 3,728,731Commercial paper . . . . . . . . . . . 2,573,970 — — 2,573,970Government-sponsored enterprises 71,749,054 — — 71,749,054

In April 2007 the FASB issued Interpretation No. 39-1, Amendment of FASB Interpretation No. 39(‘‘FIN 39-1’’). FIN 39-1 defines ‘‘right of setoff’’ and specifies what conditions must be met for a derivativecontract to qualify for this right of setoff. It also addresses the applicability of a right of setoff to derivativeinstruments and clarifies the circumstances in which it is appropriate to offset amounts recognized for multiplederivative instruments executed with the same counterparty under a master netting arrangement and fair valueamounts recognized for the right to reclaim cash collateral (a receivable) or the obligation to return cashcollateral (a payable) arising from the same master netting arrangement as the derivative instruments. Thisinterpretation is effective for fiscal years beginning after November 15, 2007. The adoption of FIN 39-1 didnot have a material impact on Winton Segregated Portfolio’s financial statements.

149


NOTE 2. COMMODITY TRADING ADVISOR

The Master Fund has entered into an advisory contract for itself and on behalf of the Winton SegregatedPortfolio with Winton Capital Management (the ‘‘Advisor’’) to act as the Winton Segregated Portfolio’scommodity trading advisor. The Investment Manager will pay the Advisor out of the brokerage commission amanagement fee for the Advisor’s services to the Winton Segregated Portfolio in accordance with the OfferingMemorandum. The brokerage commission fee is earned at a rate of 3.5% and is included on the statement ofoperations.

Additionally, the Advisor receives a quarterly incentive fee based upon a percentage of new tradingprofits on the allocated net assets of the Advisor and such incentive fee is included on the statement ofoperations.

NOTE 3. INCOME TAXES

Under the current law of the Cayman Islands, there are no income, withholding, capital, corporation,inheritance or estate taxes. The Winton Segregated Portfolio may not be exempt from withholding tax ondividend and interest income received from its investments in other jurisdictions.

NOTE 4. DEPOSITS WITH BROKER

Winton Segregated Portfolio deposits assets with a broker subject to Commodity Futures TradingCommission (‘‘CFTC’’) regulations and various exchange and broker requirements. Margin requirements aresatisfied by the deposit of U.S. treasury bills and cash with such broker. Winton Segregated Portfolio earnsinterest income on its assets deposited with the broker.

NOTE 5. SHAREHOLDER’S EQUITY

The Master Fund has authorized share capital of $50,000, divided into 10 shares of voting,non-participating shares (the ‘‘Management Shares’’) having a par value of $1 per share and 49,990redeemable, non-voting participating shares (the ‘‘Shares’’) having a par value of $0.01 per share, which aredivided into multiple separate and distinct segregated portfolios. Each portfolio may have differing investmentor trading methods and strategies, and may be subject to differing rights and obligations.

A shareholder may redeem part of or all of his shares in the Master Fund on any day on one businessday’s notice. No redemption fees or penalties will be assessed on redemptions. The Master Fund has the rightto temporarily suspend the right of redemption if it suspends the determination of its net asset value (NAV)per share.

NOTE 6. REDEMPTIONS

The Winton Segregated Portfolio Class A ceased operations on September 30, 2008 and the finalredemption payment of $171,093 was made on November 13, 2008. The Winton Segregated Portfolio ClassGP ceased operations on December 31, 2008, and the redemption payable on the statement of financialcondition represents the net assets as of such date. Effective January 1, 2009, the net assets were reallocatedto GP 1, LLC, an affiliated trading company of Grant Park.

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NOTE 7. FINANCIAL HIGHLIGHTS

Per share operating performance, total return and selected ratios for Class GP for the year endedDecember 31, 2008 and the period from June 1, 2007 through December 31, 2007 and for Class A for theperiod from January 1, 2008 through September 30, 2008 and the period from August 1, 2007 throughDecember 31, 2007, are provided in the tables below. The ratios to average net assets have not beenannualized for the periods presented.

Winton Segregated PortfolioClass GP Class A

2007Total return . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.56% 10.17%Ratios to average net assets:

Interest income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.73% 1.93%Expenses prior to incentive fees . . . . . . . . . . . . . . . . . . . . . . . . . 1.90% 1.27%Incentive fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.85% 2.57%

Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.75% 3.84%

Net investment income* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.83% 0.66%

2008Total return . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16.95% 6.96%Ratios to average net assets:

Interest income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.80% 2.21%Expenses prior to incentive fees . . . . . . . . . . . . . . . . . . . . . . . . . 3.40% 2.28%Incentive fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.45% 4.07%Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.85% 6.35%

Net investment (loss)* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.60)% (0.07)%

* Excludes incentive fee.

The total return is based on the change in value during the period of a theoretical investment made at thebeginning of each calendar month during the year. An individual investor’s return may vary from these returnsbased on participation in different management fee and incentive allocation arrangements (as applicable) andthe timing of capital transactions.

Winton Segregated PortfolioClass GP Class A

Net asset value per share − initial subscription* . . . . . . . . . . . . . . . . . . $ 1,000.00 $ 1,000.00Net investment loss* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (21.09) (20.17)Net realized and change in unrealized gain from trading* . . . . . . . . . . 126.65 121.82

Total increase in net assets arising from operations . . . . . . . . . . . . . . . . 105.56 101.65Net asset value per share − December 31, 2007 . . . . . . . . . . . . . . . . . . $ 1,105.56 $ 1,101.65

Net investment loss* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (61.47) (49.84)Net realized and change in unrealized gain from trading* . . . . . . . . . . (1,044.09) (1,051.81)

Total increase in net assets arising from operations . . . . . . . . . . . . . . . . (1,105.56) (1,101.65)Net asset value per share − December 31, 2007 . . . . . . . . . . . . . . . . . . $ — $ —

* Commencement of operations for Winton Segregated Portfolio Class GP was June 1, 2007 and Class Awas August 1, 2007.

The net investment loss per share above is computed based on the average number of shares outstandingduring the period.

The interest income, expenses prior to incentive fees, and net investment income ratios are computedbased upon the shareholders’ weighted average net assets for the period from January 1, 2008 through

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NOTE 7. FINANCIAL HIGHLIGHTS − (continued)

December 31, 2008 and June 1, 2007 (commencement of operations) through December, 31, 2007 for WintonSegregated Portfolio Class GP and for the period from January 1, 2008 through September 30, 2008 andAugust 1, 2007 (commencement of operations) through December 31, 2007 for Winton Segregated PortfolioClass A.


The Winton Segregated Portfolio, through the Advisor, engages in the speculative trading of futurescontracts, options on futures contracts, and forward contracts, swaps, derivatives and synthetics. Thesederivatives include both financial and nonfinancial contracts held as part of a diversified trading strategy. TheWinton Segregated Portfolio is exposed to both market risk, the risk arising from changes in the market valueof the contracts; and credit risk, the risk of failure by another party to perform according to the terms of acontract.

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

Net trading results from derivatives for the period from January 1, 2008 through December 31, 2008 andJune 1, 2007 (commencement of operations) through December 31, 2007 for the Winton Segregated PortfolioClass GP and for the period from January 1, 2008 through September 20, 2008 and June 1, 2007(commencement of operations) through December 31, 2007 for the Winton Segregated Portfolio Class A arereflected in the statement of operations. Such trading results reflect the net gain arising from the WintonSegregated Portfolio’s speculative trading of futures contracts and options on futures contracts.

For derivatives, risks arise from changes in the market value of the contracts. Theoretically, the WintonSegregated Portfolio is exposed to a market risk equal to the value of futures and forward contracts purchasedand unlimited liability on such contracts sold short. As both a buyer and seller of options, the WintonSegregated Portfolio pays or receives a premium at the outset and then bears the risk of unfavorable changesin the price of the contract underlying the option. Written options expose the Winton Segregated Portfolio topotentially 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 acounterparty will not be able to meet its obligations to the Winton Segregated Portfolio. The counterparty forfutures and options on futures contracts traded in the United States and on most non-U.S. futures exchanges isthe clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporatemembers of the clearinghouse who are required to share any financial burden resulting from thenonperformance by one of their members and, as such, should significantly reduce this credit risk. In caseswhere the clearinghouse is not backed by the clearing members, like some non-U.S. exchanges, it is normallybacked 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 institutionalmarket 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 greatercounterparty credit risk. The Winton Segregated Portfolio trades only with those counterparties that it believesto be creditworthy. All positions of the Winton Segregated Portfolio are valued each day on a mark-to-marketbasis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able tomeet its obligations to the Winton Segregated Portfolio.

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

Futures Contracts(exchange-traded)

Futures Contracts(exchange-traded) Total Total

December 31,2008

December 31,2007

December 31,2008

December 31,2007

Gross unrealized gains . . . . $ 3,676,858 $ 3,499,330 $ 3,676,858 $ 3,499,330Gross unrealized (losses) . . . (1,717,898) (2,248,938) (1,717,898) (2,248,938)Net unrealized gain . . . . . . . $ 1,958,960 $ 1,250,392 $ 1,958,960 $ 1,250,392

The Investment Manager has established procedures to actively monitor and minimize market and creditrisks. The shareholder bears the risk of loss only to the extent of the market value of his investments and, incertain specific circumstances, distributions and redemptions received.


In the normal course of business, the Master Fund and the Winton Segregated Portfolio enter intocontracts and agreements that contain a variety of representations and warranties and which provide generalindemnifications. The Master Fund and the Winton Segregated Portfolio’s maximum exposure under thesearrangements is unknown, as this would involve future claims that may be made against the Master Fund andthe Winton Segregated Portfolio that have not yet occurred. The Master Fund and the Winton SegregatedPortfolio expect the risk of any future obligation under these indemnifications to be remote.

153

Independent Auditor’s Report

To the Managing MemberDearborn Capital Management, L.L.C.Chicago, Illinois

We have audited the accompanying consolidated statement of financial condition of Dearborn CapitalManagement, L.L.C. and Subsidiaries (collectively, ‘‘the Company’’) as of December 31, 2008. This financialstatement is the responsibility of the Company’s management. Our responsibility is to express an opinion onthis financial statement based on our audit.

We conducted our audit in accordance with auditing standards generally accepted in the United States ofAmerica. Those standards require that we plan and perform the audit to obtain reasonable assurance aboutwhether the statement of financial condition is free of material misstatement. An audit includes examining, ona test basis, evidence supporting the amounts and disclosures in the statement of financial condition. An auditalso includes assessing the accounting principles used and significant estimates made by management, as wellas evaluating the overall statement of financial condition presentation. We believe that our audit provides areasonable basis for our opinion.

In our opinion, the consolidated statement of financial condition referred to above presents fairly, in allmaterial respects, the financial position of Dearborn Capital Management, L.L.C. and Subsidiaries as ofDecember 31, 2008, in conformity with accounting principles generally accepted in the United States ofAmerica.




154

DEARBORN CAPITAL MANAGEMENT, L.L.C.CONSOLIDATED STATEMENT OF FINANCIAL CONDITION

December 31, 2008

AssetsCash and cash equivalents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $158,920,111Certificates of deposit, at fair value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,525,736Commercial paper, at fair value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,979,833Government-sponsored enterprises, at fair value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 315,073,024Securities purchased under agreements to resell . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,031,478Deposits with brokers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62,093,632Redemption receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115,343,975Receivables

Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 236,049Advisory and performance fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,984Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 340,865

Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,462,392Property and equipment at cost, net of accumulated depreciation of $236,907 . . . . . . . . . . 781,577Other assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,790

Total assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $699,838,446

Liabilities and Members’ EquityLiabilities

Demand loan payable to bank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,085,000Note payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 581,374Pending partner additions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,520,889Redemptions payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,021,709Accounts payable, accrued expenses and other liabilities . . . . . . . . . . . . . . . . . . . . . . 12,370,683

44,579,655

Minority and non-controlling interest in consolidated subsidiaries . . . . . . . . . . . . . . . . . . 636,987,682Members’ equity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,271,109

Total liabilities and members’ equity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $699,838,446

The accompanying notes are an integral part of this consolidated statement of financial condition.155

DEARBORN CAPITAL MANAGEMENT, L.L.C.NOTES TO CONSOLIDATED STATEMENT OF FINANCIAL CONDITION

NOTE 1. NATURE OF THE BUSINESS AND SIGNIFICANT ACCOUNTING POLICIES

Dearborn Capital Management, L.L.C. (‘‘Dearborn’’) was organized as a limited liability company inIllinois in January 1996 and will continue until December 31, 2045, unless sooner terminated as provided forin the Operating Agreement. Dearborn is registered as a Commodity Pool Operator (‘‘CPO’’) and aCommodity Trading Advisor (‘‘CTA’’) with the Commodity Futures Trading Commission (‘‘CFTC’’) and is amember of the National Futures Association (‘‘NFA’’). Dearborn conducts an investment management businessand acts as the General Partner for Grant Park Futures Fund Limited Partnership (‘‘Grant Park’’). Additionally,DCM Brokers, LLC (‘‘DCM’’), a wholly owned subsidiary of Dearborn, was organized on January 8, 2007and was effectively registered as a broker-dealer on October 17, 2007. DCM seeks to create an investmentbanking firm to act as a wholesaler of primarily U.S.-based public and private companies and limitedpartnerships who may benefit from financing through the private placement via direct participation programsof equity and/or debt capital.


Basis of presentation: The consolidated statement of financial condition includes the accounts ofDearborn, Grant Park, DCM and 555-6, LLC (‘‘555-6’’), (collectively, the ‘‘Company’’). All significantintercompany accounts, balances and transactions have been eliminated in consolidation.

Dearborn consolidates entities which are variable interest entities as defined by Financial AccountingStandards Board (‘‘FASB’’) Interpretation No. 46 (revised December 2003) (‘‘FIN 46 (R)’’). In addition,Dearborn consolidates entities, regardless of ownership percentage, in which Dearborn serves as the generalpartner and the limited partners do not have substantive kick-out rights or substantive participation rights asrequired by Emerging Issues Task Force Issue 04-5, ‘‘Determining Whether a General Partner, or the GeneralPartners as a Group, Controls a Limited Partnership or Similar Entity When the Limited Partners HaveCertain Rights’’ (‘‘EITF 04-5’’). As of December 31, 2008, 555-6 is consolidated under FIN 46 (R) and GrantPark is consolidated under EITF 04-5.

555-6 is an affiliate under common ownership that leases the office space to Dearborn. Financialinformation of 555-6 at December 31, 2008 consisted of assets (principally property), liabilities and members’equity of approximately $803,000, $583,000 and $220,000 respectively.

The consolidation of Grant Park, net of intercompany eliminations, in the consolidated statement offinancial condition of the Company as of December 31, 2008, consists of the following:

Cash and cash equivalents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $157,740,416Certificates of deposit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,525,736Commercial paper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,979,833Government-sponsored enterprises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 311,078,226Deposits with brokers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62,093,632Redemption receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115,343,975Interest Receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 233,208Pending partner additions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,520,889Redemptions payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,021,709Accounts payable, accrued expenses, and other liabilities . . . . . . . . . . . . . . . . . 8,400,569Minority and non-controlling interest in consolidated subsidiaries . . . . . . . . . . . 636,767,700

Use of estimates: The preparation of financial statements in conformity with generally acceptedaccounting principles requires management to make estimates and assumptions that affect the reportedamounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financialstatements and the reported amounts of revenue and expenses during the reporting period. Actual results coulddiffer from those estimates.

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NOTE 1. NATURE OF THE BUSINESS AND SIGNIFICANT ACCOUNTING POLICIES − (continued)

Cash and cash equivalents: Cash and cash equivalents include cash, overnight investments, U.S.treasury bills, commercial paper and short-term investments in interest-bearing demand deposits with banksand cash managers with original maturities of three months or less at the date of acquisition. Dearborn andGrant Park maintain deposits with high quality financial institutions in amounts that are in excess of amountsinsured by the Federal Deposit Insurance Corporation (‘‘FDIC’’) limits of up to $250,000 per depositor, perbank. Accordingly, Dearborn and Grant Park are exposed to concentrations of credit risk. However, Dearbornand Grant Park do not believe they are exposed to any significant credit risk.

Property and equipment: Property and equipment, which includes furniture, fixtures, computerequipment and a building, are recorded at cost. Depreciation is provided on the straight-line method over theestimated useful lives of the assets, ranging from 3 to 39 years.

Securities purchased under agreements to resell: Securities purchased under agreements to resell areaccounted for as collateralized financing transactions and are recorded at the amount at which the securitieswere acquired plus accrued interest, which approximates fair value. It is the policy of Dearborn to obtainpossession of collateral with a market value equal to or in excess of the principal amount loaned.

Revenue recognition: Advisory and management fees accrue monthly based upon a percentage of assetsunder management.

Futures, options on futures, and forward contracts are recorded on a trade date basis and realized gains orlosses are recognized when contracts are liquidated. Unrealized gains or losses on open contracts (thedifference between contract trade price and market price) are reported in deposits with brokers balance in thestatement of financial condition as a net unrealized gain or loss, as there exists a right of offset of unrealizedgains or losses in accordance with the Financial Accounting Standards Board Interpretation No. 39 —Offsetting of Amounts Related to Certain Contracts. Any change in net unrealized gain or loss from thepreceding period is reported in the statement of operations. Fair value of exchange-traded contracts is basedupon exchange settlement prices. Fair value of non-exchange-traded contracts is based on third-party quoteddealer values on the Interbank market. Government-sponsored enterprises and commercial paper are stated atcost plus accrued interest, which approximates fair value.

Income taxes: No provision for income taxes has been made in these financial statements as eachmember is individually responsible for reporting income or loss based on its respective share of theCompany’s income and expenses.

Foreign currency transactions: Grant Park’s functional currency is the U.S. dollar, however, it transactsbusiness in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other thanthe U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the statement of financialcondition.

Recently adopted accounting pronouncements: On July 13, 2006, the FASB released FASBInterpretation No. 48 Accounting for Uncertainty in Income Taxes (‘‘FIN 48’’). FIN 48 provides guidance forhow uncertain tax positions should be recognized, measured, presented and disclosed in the financialstatements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course ofpreparing the Company’s tax returns to determine whether the tax positions are ‘‘more-likely-than-not’’ ofbeing sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-notthreshold would be recorded as a tax benefit or expense in the current year. The Company adopted FIN 48 onJanuary 1, 2008, and the adoption did not impact its financial position.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157, Fair ValueMeasurements (‘‘SFAS No. 157’’). SFAS No. 157 defines fair value, establishes a framework for measuringfair value and expands disclosures about fair value measurement and also emphasizes that fair value is amarket-based measurement, not an entity-specific measurement. SFAS No. 157 is effective for fiscal yearsbeginning after November 15, 2007, except for nonfinancial assets and nonfinancial liabilities that are

157



recognized or disclosed at fair value in the financial statements on a nonrecurring basis for which delayedapplication is permitted until fiscal years beginning after November 15, 2008. The adoption of SFAS No. 157was effective for the Company on January 1, 2008, and did not impact its financial position.

SFAS No. 157 defines fair value as the price that would be received to sell an asset or paid to transfer aliability in an orderly transaction between market participants at the measurement date and sets out a fairvalue hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets foridentical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Inputs arebroadly defined under SFAS No. 157 as assumptions market participants would use in pricing an asset orliability. The three levels of the fair value hierarchy under SFAS No. 157 are described below:


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 theLevel 2 measurement becoming a Level 3 measurement.


The following section describes the valuation techniques used by the Company to measure differentfinancial instruments at fair value and includes the level within the fair value hierarchy in which the financialinstrument is categorized.

Fair value of exchange-traded contracts is based upon exchange settlement prices. Fair value ofnon-exchange-traded contracts is based on third party quoted dealer values on the Interbank market. U.S.Government securities, Government-sponsored enterprises and commercial paper are stated at cost plusaccrued interest, which approximates fair value. These financial instruments are classified in Level 1 of thefair value hierarchy.

Certificates of deposit are stated at cost plus accrued interest, which approximates fair value. Securitiespurchased under agreements to resell are carried at contract value, which approximates fair value. Thesefinancial instruments are classified in Level 2 of the fair value hierarchy.

Grant Park’s investment in the Dearborn Select Master Fund, SPC – Winton Segregated Portfolio – ClassGP (the ‘‘GP Class’’) is reported in the statement of financial condition at fair value. Fair value ordinarily isthe value determined by the management of the GP Class in accordance with the valuation policies of the GPClass and as reported at the time of the Partnership’s valuation. Generally, the fair value of Grant Park’sinvestment in the GP Class represents the amount that Grant Park could reasonably expect to receive from theGP Class if Grant Park’s investment was redeemed at the time of valuation, based on information reasonablyavailable at the time the valuation is made and that Grant Park believes to be reliable. This financialinstrument is classified in Level 3 of the fair value hierarchy.

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The following table presents the Company’s fair value hierarchy for those assets and liabilities measuredat fair value on a recurring basis as of December 31, 2008:


Equity in brokers’ trading accountsU.S. Government securities . . . . . . $ 29,215,898 $ — $— $ 29,215,898Government-sponsored enterprises . 15,695,417 — — 15,695,417Futures contracts . . . . . . . . . . . . . 6,603,439 — — 6,603,439Forward contracts . . . . . . . . . . . . . (1,393,208) — — (1,393,208)

Cash and cash equivalentsCertificates of deposit . . . . . . . . . . — 41,694,011 — 41,694,011Commercial paper . . . . . . . . . . . . 89,383,455 — — 89,383,455Government-sponsored enterprises . 4,993,389 — — 4,993,389

Certificates of deposit . . . . . . . . . . . . — 28,525,736 — 28,525,736Commercial paper . . . . . . . . . . . . . . 9,979,833 — — 9,979,833Government-sponsored enterprises . . . 315,073,024 — — 315,073,024Securities purchased under agreements

to resell . . . . . . . . . . . . . . . . . . . — 7,031,478 — 7,031,478Investment in Dearborn Select Master

Fund, SPC* . . . . . . . . . . . . . . . . .

* The Investment in Dearborn Select Master Fund, SPC was redeemed at December 31, 2008 and is shownon the statement of financial condition as a redemption receivable.

Financial instruments classified as Level 3 in the fair value hierarchy represent Grant Park’s investmentin the GP Class in which management has used at least one significant unobservable input in the valuationmodel. The following table presents a reconciliation of activity for the GP Class:

Balance at January 1, 2008 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 98,629,036Total Realized Gain included in Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,714,939Purchases, Issuances and Settlements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . —Redemption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (115,343,975)Transfers in and (or) out of Level 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . —Balance at December 31, 2008 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ —

In February 2007, the FASB issued Statement of Financial Accounting Standards No. 159, The FairValue Option for Financial Assets and Financial Liabilities (‘‘SFAS No. 159’’). SFAS No.159 permitscompanies to elect to follow fair value accounting for certain financial assets and liabilities in an effort tomitigate volatility in earnings without having to apply complex hedge accounting provisions. The standardalso establishes presentation and disclosure requirements designed to facilitate comparison between entitiesthat choose different measurement attributes for similar types of assets and liabilities. SFAS No. 159 waseffective for fiscal years beginning after November 15, 2007. SFAS No. 159 did not have a material impact onthe Company’s financial position.

In April 2007 the FASB issued Interpretation No. 39-1, Amendment of FASB Interpretation No. 39 (‘‘FIN39-1’’). FIN 39-1 defines ‘‘right of setoff’’ and specifies what conditions must be met for a derivative contractto qualify for this right of setoff. It also addresses the applicability of a right of setoff to derivativeinstruments and clarifies the circumstances in which it is appropriate to offset amounts recognized for multiplederivative instruments executed with the same counterparty under a master netting arrangement and fair valueamounts recognized for the right to reclaim cash collateral (a receivable) or the obligation to return cash

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collateral (a payable) arising from the same master netting arrangement as the derivative instruments. Thisinterpretation was effective for fiscal years beginning after November 15, 2007. The adoption of FIN 39-1 didnot have a material impact on the Company’s financial position.

Recent accounting pronouncements: In December 2007, the FASB issued Statement of FinancialAccounting Standards No. 160, Noncontrolling Interests in Consolidated Financial Statements, an Amendmentof ARB No. 51 (‘‘SFAS No. 160’’). SFAS No. 160 establishes accounting and reporting standards fornoncontrolling interests in a subsidiary and for the deconsolidation of a subsidiary. Minority interests will berecharacterized as noncontrolling interests and classified as a component of equity. It also establishes a singlemethod of accounting for changes in a parent’s ownership interest in a subsidiary and requires expandeddisclosures. This statement is effective for fiscal years beginning on or after December 15, 2008, with earlyadoption prohibited. The Company does not expect the adoption of this Statement will have a material impacton its financial position.

In March 2008, the FASB issued SFAS No. 161, Disclosure about Derivative Instruments and HedgingActivities, an Amendment of FASB Statement No. 133 (‘‘SFAS No. 161’’). SFAS No. 161 is intended toimprove transparency in financial reporting by requiring enhanced disclosures of an entity’s derivativeinstruments and hedging activities and their effects on the entity’s financial position, financial performance,and cash flows. SFAS No. 161 applies to all derivative instruments within the scope of SFAS No. 133. It alsoapplies to non-derivative hedging instruments and all hedged items designated and qualifying as hedges underSFAS No. 133. SFAS No. 161 amends the current qualitative and quantitative disclosure requirements forderivative instruments and hedging activities set forth in SFAS No. 133 and generally increases the level ofdisaggregation that will be required in an entity’s financial statements. SFAS No. 161 requires qualitativedisclosures about objectives and strategies for using derivatives, quantitative disclosures about fair valueamounts of gains and losses on derivative instruments, and disclosures about credit-risk related contingentfeatures in derivative agreements. SFAS No. 161 is effective prospectively for financial statements issued forfiscal years and interim periods beginning after November 15, 2008.

NOTE 2. INVESTMENTS IN PARTNERSHIPS

Dearborn as General Partner of Grant Park has committed to maintaining an investment in Grant Parkequal to at least the greater of (1) 1 percent of all capital contributions of all limited partners in Grant Park or(2) $25,000, during any time that units in Grant Park are publicly offered for sale. Further, during such timeas the units of the Partnership are registered for sale to the public, Dearborn shall, so long as it remains aGeneral Partner of Grant Park, maintain a net worth at least equal to the greater of 5 percent of the totalcapital contributions of all partners and all limited partnerships to which it is a General Partner (includingGrant Park) plus 5 percent of the units being offered for sale in the Partnership or $50,000. In no event shallDearborn be required to maintain a net worth in excess of $1,000,000.

Through December 31, 2008, a portion of Grant Park’s net assets was allocated to the GP Class ofDearborn Select Master Fund, SPC (the ‘‘Master Fund’’). Master Fund was incorporated under the laws of theCayman Islands on April 7, 2006 and is a private investment fund organized as a segregated portfoliocompany with limited liability. The GP Class allocated the assets invested by Grant Park to Winton CapitalManagement Limited (‘‘Winton’’) through one or more managed accounts, traded pursuant to Winton’sDiversified Program. Grant Park owned all of the outstanding Class GP units of the GP Class. Dearborn isalso the Investment Manager of Dearborn Select. As of December 31, 2008, the investment in the GP Classwas redeemed and is shown on the statement of financial condition as a redemption receivable. EffectiveJanuary 1, 2009, the portion of Grant Park’s net assets allocated to the GP Class was reallocated to GP 1,LLC, a Delaware limited liability company. GP 1, LLC will allocate assets to Winton to be traded pursuant toWinton’s Diversified Program. There have been no changes to the existing clearing brokerarrangement/brokerage charge and no material changes to the other fees and expenses allocated to Grant Parkas a result of this reallocation.

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NOTE 2. INVESTMENTS IN PARTNERSHIPS − (continued)

As a result of Grant Park’s redemption of its units in the GP Class, as of December 31, 2008, Grant Parkdid not hold an equity interest in the Master Fund. Summarized information reflecting the total assets,liabilities and capital for the Master Fund is shown in the following table.

December 31,2008

Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $116,080,580Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $116,080,580Total Capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ —

Summarized information reflecting Grant Park’s investment in, and the operations of, the Master Fund atDecember 31, 2008 and 2007, is shown in the following tables.

December 31, 2008 For the Twelve Months Ended December 31, 2008

Expenses

% ofPartnership’s

Net Assets Cost Fair Value Total Income Commissions Other Net IncomeInvestmentObjective

LiquidityProvision

0% $— $— $25,394,928 $3,852,792 $4,827,197 $16,714,939 Speculativetrading offuturescontracts,options onfuturescontracts,forwardcontracts, swaps,derivatives andsynthetics

Monthly or atsuch other timesas the Directorsmay agree

December 31, 2007 For the Twelve Months Ended December 31, 2007

Expenses

% ofPartnership’s

Net Assets Cost Fair Value Total Income Commissions Other Net IncomeInvestmentObjective

LiquidityProvision

21.6% $89,211,588 $98,629,036 $14,005,040 $1,929,036 $2,658,556 $9,417,448 Speculativetrading offuturescontracts,options onfuturescontracts,forwardcontracts, swaps,derivatives andsynthetics

Monthly or atsuch other timesas the Directorsmay agree

NOTE 3. DEPOSITS WITH BROKERS

Grant Park deposits assets with brokers subject to Commodity Futures Trading Commission regulationsand various exchange and broker requirements. Margin requirements are satisfied by the deposit of U.S.Treasury bills, U.S. Treasury notes, Government-sponsored enterprises and cash with such brokers. Grant Parkearns interest income on assets deposited with the brokers. Included in deposits with brokers are U.S. Treasurybills, U.S. Treasury notes and Government-sponsored enterprises, reported at fair value, totaling $29,215,898that are pledged as collateral to the brokers at December 31, 2008.

NOTE 4. COMMODITY TRADING ADVISORS

In addition to its investment in the Master Fund through which a portion of its assets are managed byWinton, Grant Park has entered into advisory contracts with Rabar Market Research, Inc., EMC CapitalManagement, Inc., Eckhardt Trading Co., Graham Capital Management, L.P., Welton Investment Corporation,

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NOTE 4. COMMODITY TRADING ADVISORS − (continued)

Global Advisors L.P., Transtrend B.V. and Quantitative Investment Management LLC to act as Grant Park’scommodity trading advisors (the ‘‘Advisors’’). The Advisors are paid a quarterly management fee rangingfrom 0 percent to 2 percent per annum of Grant Park’s month-end allocated net assets.

Additionally, the Advisors, including Winton, receive a quarterly incentive fee ranging from 20 percent to30 percent of the new trading profits on the allocated net assets of the respective Advisor.

NOTE 5. BROKERAGE COMMISSION, ORGANIZATION AND OFFERING COSTS ANDOPERATING EXPENSES

As the General Partner and Commodity Trading Advisor of Grant Park, Dearborn is entitled to abrokerage commission equal to 7.55 percent per annum for Class A units and 8.0 percent per annum for ClassB units. Included in the brokerage commission are amounts paid to the clearing brokers for execution andclearance costs. If such commissions and fees exceed the brokerage commission limit in any one year,Dearborn will bear the excess amount. In its discretion, Dearborn may require that Grant Park reimburseDearborn. The remaining amount is for commissions to certain selling agents as compensation for sellinginterests of Grant Park, management fees to Grant Park’s commodity trading advisors, and a management feeretained by Dearborn.

Organization and offering costs: All expenses incurred in connection with the organization and theinitial and ongoing public offering of partnership interests will be paid by Dearborn on behalf of Grant Park,and reimbursed to Dearborn by Grant Park. This reimbursement is made monthly. Class A and Class B unitsbear organization and offering expenses at an annual rate of 20 basis points (0.20 percent) and 60 basis points(0.60 percent), respectively, of the adjusted net assets of the Class A and Class B units, calculated and payablemonthly on the basis of month-end adjusted net assets. ‘‘Adjusted net assets’’ is defined as the month-end netassets of the particular class before accruals for fees, expenses and redemptions. In its discretion, Dearbornmay require Grant Park to reimburse Dearborn in any subsequent calendar year for amounts that exceed theselimits in any calendar year, provided that the maximum amount reimbursed by Grant Park will not exceed theoverall limit.

The reimbursement for organization and offering cost is made on a monthly basis. At December 31,2008, all organization and offering costs have been reimbursed by Grant Park.

Operating expenses: All ongoing operating expenses, such as legal, audit, administrative costs, expenseof preparing and filing required periodic reports with the Securities and Exchange Commission (‘‘SEC’’),transfer agent fees, printing and postage will be paid by Dearborn on behalf of Grant Park and reimbursed toDearborn by Grant Park. This reimbursement is made monthly at a rate 0.021 percent, or 0.25 percentannually of the net asset value of Grant Park. Dearborn bears any of the excess amount. In its discretion,Dearborn may require Grant Park to reimburse Dearborn in any subsequent calendar year for amounts thatexceed these limits in any calendar year, provided that the maximum amount reimbursed by Grant Park willnot exceed the overall limit set forth above. To the extent operating expenses are less than 0.25 percent ofGrant Park’s average net assets during the year, the difference may be reimbursed pro rata to record-holders asof December 31 of each year. Dearborn has received reimbursements from Grant Park totaling $1,412,552 forthe year ended December 31, 2008.

NOTE 6. ADVISORY AND PERFORMANCE FEES RECEIVABLE

Dearborn is a Co-Investment Advisor to Dearborn Alternative Investment Fund Series 2 (‘‘DearbornAlternative’’). The investment advisors receive an annual advisor and distribution fee equal to 2 percent ofDearborn Alternative’s net assets, payable quarterly in arrears, of which Dearborn receives 37.5 percent of thefee. At December 31, 2008, Dearborn has a management fee receivable from Dearborn Alternative of $23,984and related selling agent fees payable of $14,990, which is included in accounts payable, accrued expensesand other liabilities.

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NOTE 7. PENDING PARTNER ADDITIONS AND REDEMPTIONS PAYABLE

At December 31, 2008, redemptions payable and pending partner additions represent capital transactionsat Grant Park. Pursuant to the provisions of Statement of Financial Accounting Standards No. 150, Accountingfor Certain Financial Instruments with Characteristics of both Liabilities and Equity (‘‘SFAS No. 150’’),redemptions approved by the General Partner of Grant Park prior to month-end with a fixed effective date andfixed amount are recorded as redemptions payable as of month-end.

NOTE 8. DEMAND LOAN PAYABLE TO BANK AND NOTE PAYABLE

Dearborn has entered into an agreement with a bank for a credit facility up to a maximum amount of $10million. Amounts can be borrowed in multiple advances; however, the aggregate amount of such advancescannot exceed the maximum amount. Loan amounts are due on demand, no later than May 31, 2009, and bearinterest at the prime rate (3.25 percent at December 31, 2008) with a floor of 4.50 percent. Loans arecollateralized by certain property of Dearborn, including receivables, investments and equipment. AtDecember 31, 2008, Dearborn has an outstanding balance of $3,085,000. This agreement contains financialcovenants requiring the maintenance of an amount of tangible net worth and certain financial ratios. Theagreement also contains certain non-financial covenants. As of December 31, 2008 Dearborn is in compliancewith its financial covenants, and has obtained a waiver of a certain non-financial covenant.

The note payable represents an obligation to a bank that matures on January 15, 2010 and bears interestat the rate of 6.25 percent. The note is payable in monthly installments, including principal and interest, of$4,750 and is collateralized by certain assets of 555-6 and guaranteed by Dearborn. Scheduled repayments ofnotes payable, exclusive of interest, at December 31, 2008 are set forth as follows:

Fiscal year ending December 31:

2009 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 20,7582010 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $560,616

$581,374

NOTE 9. EMPLOYEE BENEFIT PLAN

The Company has established a salary deferral plan under section 401(k) of the Internal Revenue Code.The plan allows eligible employees to defer a portion of their compensation to the plan. The Companymatches employees’ contributions, up to 50 percent of 6 percent of eligible compensation. The plan alsoprovides a component whereby the Company can make a discretionary contribution to the plan.


Grant Park engages in the speculative trading of U.S. and foreign futures contracts, options on U.S. andforeign futures contracts, and forward contracts (collectively, derivatives). These derivatives include bothfinancial and nonfinancial contracts held as part of a diversified trading strategy. Grant Park is exposed to bothmarket risk, the risk arising from changes in the market value of the contracts; and credit risk, the risk offailure 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 FuturesCommission Merchants (‘‘FCMs’’). Additional deposits may be necessary for any loss on contract value. TheCommodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’sproprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited withan FCM are considered commingled with all other customer funds subject to the FCM’s segregationrequirements. In the event of an FCM’s insolvency, recovery may be limited to a pro rata share of segregatedfunds available. It is possible that the recovered amount could be less than the total of cash and other propertydeposited.

For derivatives, risks arise from changes in the market value of the contracts. Theoretically, Grant Park isexposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability

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on such contracts sold short. As both a buyer and seller of options, Grant Park pays or receives a premium atthe outset and then bears the risk of unfavorable changes in the price of the contract underlying the option.Written options expose Grant Park to potentially unlimited liability; for purchased options the risk of loss islimited to the premiums paid.

In addition to market risk, in entering into commodity interest contracts there is a credit risk that acounterparty will not be able to meet its obligations to Grant Park. The counterparty for futures and optionson futures contracts traded in the United States and on most non-U.S. futures exchanges is the clearinghouseassociated with such exchange. In general, clearinghouses are backed by the corporate members of theclearinghouse who are required to share any financial burden resulting from the nonperformance by one oftheir members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse isnot backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium ofbanks or other financial institutions.

In the case of forward contracts, over-the-counter options contracts or swap contracts, which are tradedon the interbank or other institutional market rather than on exchanges, the counterparty is generally a singlebank or other financial institution, rather than a clearing house backed by a group of financial institutions;thus, there likely will be greater counterparty credit risk. Grant Park trades only with those counterparties thatGrant Park believes to be creditworthy. All positions of Grant Park are valued each day on a mark-to-marketbasis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able tomeet its obligations to Grant Park.


In the normal course of business, the Company enters into contracts and agreements that contain avariety of representations and warranties and which provide general indemnifications. The Company’smaximum exposure under these arrangements is unknown, as this would involve future claims that may bemade against the Company that have not yet occurred. The Company expects the risk of any future obligationunder these indemnifications to be remote.

NOTE 12. NET CAPITAL REQUIREMENTS

DCM is a broker-dealer subject to the Securities and Exchange Commission Uniform Net Capital Rule(SEC Rule 15c3-1), which requires the maintenance of minimum net capital and requires that the ratio ofaggregate indebtedness to net capital, both as defined, shall not exceed 15 to 1. Rule 15c3-1 also provides thatequity capital may not be withdrawn or cash dividends paid if the resulting net capital would exceed 10 to 1.At December 31, 2008 DCM has net capital of $15,127 which was $10,127 in excess of its required netcapital of $5,000. At December 31, 2008, DCM’s net capital ratio was 0 to 1.

DCM operates under the provisions of Paragraph (k)(1) of rule 15c3-3 of the Securities Exchange Act of1934 and, accordingly, is exempt from the remaining provisions of that rule. Essentially, the requirements ofParagraph (k)(1) provide that the Company does not hold customer funds or securities or owe money orsecurities to customers.

NOTE 13. SUBSEQUENT EVENTS

From January 1, 2009 to March 4, 2009, Grant Park had contributions and redemptions totalingapproximately $121,687,000 and $2,431,000 respectively.

As a result of recent changes in the rules and regulations of the Financial Industry Regulatory Authority(‘‘FINRA’’) affecting commodity pools, the general partner, has determined to make certain changes to theorganization of Grant Park, including the creation of additional classes of units, and has determined toterminate the offering and sale of any new Class A and Class B units by the second quarter of 2009.

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NOTE 13. SUBSEQUENT EVENTS − (continued)

As part of the reorganization, Grant Park will continue to invest through different commodity tradingadvisors retained by the general partner. However, instead of each trading advisor maintaining a separateaccount in the name of Grant Park, as was historically the case, the assets of Grant Park will be invested invarious trading companies, each of which will be organized as a limited liability company. Each tradingcompany will then allocate those assets to one of the commodity trading advisors retained by the generalpartner. Additionally, a separate cash management limited liability company will be created to collectivelymanage excess cash not required to be held at the clearing brokers for each individual manager.

Upon the effective date of the reorganization, the current organization and offering costs charged to theClass A and Class B units, and reimbursed to Dearborn, will decrease from an annual rate of 20 basis points(.20%) and 60 basis points (.60%), respectively, to 10 basis points (0.10%) and 30 basis points (.30%),respectively, of the adjusted net assets of the Class A and Class B units, calculated and payable monthly onthe basis of month-end adjusted net assets.

Upon the effective date of the reorganization, the current brokerage commission charged to the Class Aand Class B units, and paid to Dearborn, will decrease from a monthly rate of one twelfth of 7.55 percent(7.55 percent annualized) and 8.00 percent (8.00 percent annualized) of month-end net assets, respectively, toa monthly rate of one twelfth of 7.50 percent (7.50 percent annualized) and 7.95 percent (7.95 percentannualized) of month-end net assets.

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PART TWO: STATEMENT OF ADDITIONAL INFORMATION

GRANT PARK FUTURES FUNDLIMITED PARTNERSHIP

$200,000,000 Legacy 1 Class Units$200,000,000 Legacy 2 Class Units

$200,000,000 Global Alternative Markets 1 Class Units$200,000,000 Global Alternative Markets 2 Class Units$350,000,000 Global Alternative Markets 3 Class Units

An investment in the units is speculative. Before you decide whether to invest, you should read thisentire prospectus carefully and consider the risk factors beginning on page 19.

This prospectus is in two parts: a disclosure document and a statement of additional information.These parts are bound together, and both parts contain important information.

This statement of additional information and accompanyingdisclosure document are both dated March 25, 2009.

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PART TWO: STATEMENT OF ADDITIONAL INFORMATION

TABLE OF CONTENTS

The Commodity Interest Markets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 168Historical Perspective of the Managed Futures Industry . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 174Potential Advantages of Investment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 175Supplemental Performance Information of Grant Park Futures Fund . . . . . . . . . . . . . . . . . . . . SAI-E-1

APPENDICES

Appendix A: Limited Partnership Agreement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1Appendix B: Subscription Agreement and Power of Attorney . . . . . . . . . . . . . . . . . . . . . . . . B-1Appendix C: Subscription Requirements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C-1

Investor Suitability Standards . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C-3Appendix D: Request for Redemption Form . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D-1Appendix E: Glossary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E-1

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THE COMMODITY INTEREST MARKETS

The regulation of commodity interesttransactions, markets and intermediaries is governedby the Commodity Exchange Act, or CEA. The CEAprovides for varying degrees of regulation ofcommodity interest transactions depending upon thevariables of the transaction. In general, thesevariables include (1) the type of instrument beingtraded (e.g., contracts for future delivery, options,swaps or spot contracts), (2) the type of commodityunderlying the instrument (distinctions are madebetween instruments based on agriculturalcommodities, energy and metals commodities andfinancial commodities), (3) the nature of the partiesto the transaction (retail, eligible contract participant,or eligible commercial entity), (4) whether thetransaction is entered into on a principal-to-principalor intermediated basis, (5) the type of market onwhich the transaction occurs, and (6) whether thetransaction is subject to clearing through a clearingorganization. Information regarding commodityinterest transactions, markets and intermediaries, andtheir associated regulatory environment, is providedbelow.

Futures Contracts

A futures contract is a standardized contracttraded on, or subject to the rules of, an exchange thatcalls for the future delivery of a specified quantityand type of a commodity at a specified time andplace. Futures contracts are traded on a wide varietyof commodities, including agricultural products,bond, stock index, interest rate, currency, energy andmetal markets. The size and terms of futurescontracts on a particular commodity are identical andare not subject to any negotiation, other than withrespect to price and quantity between the buyer andseller.

The contractual obligations of a buyer or sellermay be satisfied by taking or making physicaldelivery of an approved grade of commodity or bymaking an offsetting sale or purchase of an identicalfutures contract on the same or linked exchangebefore the designated date of delivery. The differencebetween the price at which the futures contract ispurchased or sold and the price paid for the offsettingsale or purchase, after allowance for brokeragecommissions, constitutes the profit or loss to thetrader. Some futures contracts, such as stock indexcontracts, settle in cash (reflecting the differencebetween the contract purchase/sale price and thecontract settlement price) rather than by delivery ofthe underlying commodity.

Forward Contracts

A forward contract is a contractual obligation topurchase or sell a specified quantity of a commodityat or before a specified date in the future at aspecified price and, therefore, is economically similarto a futures contract. Unlike futures contracts,however, forward contracts are typically traded in theover-the-counter markets and are not standardizedcontracts. Forward contracts for a given commodityare generally available in any size and maturity andare subject to individual negotiation between theparties involved. Moreover, generally there is nodirect means of offsetting or closing out a forwardcontract by taking an offsetting position as one woulda futures contract on a U.S. exchange. If a traderdesires to close out a forward contract position, hegenerally will establish an opposite position in thecontract but will settle and recognize the profit orloss on both positions simultaneously on the deliverydate. Thus, unlike in the futures market where atrader who has offset positions will recognize profitor loss immediately, in the forward market a traderwith a position that has been offset at a profit willgenerally not receive such profit until the deliverydate, and likewise a trader with a position that hasbeen offset at a loss will generally not have to paymoney until the delivery date. In recent years,however, the terms of forward contracts have becomemore standardized, and in some instances suchcontracts now provide a right of offset or cashsettlement as an alternative to making or takingdelivery of the underlying commodity.

The forward markets provide what has typicallybeen a highly liquid market for foreign exchangetrading, and in certain cases the prices quoted forforeign exchange forward contracts may be morefavorable than the prices for foreign exchange futurescontracts traded on U.S. exchanges. The forwardmarkets are largely unregulated. Forward contractsare, in general, not cleared or guaranteed by a thirdparty. Commercial banks participating in tradingforeign exchange forward contracts often do notrequire margin deposits, but rely upon internal creditlimitations and their judgments regarding thecreditworthiness of their counterparties. In recentyears, however, many over-the-counter marketparticipants in foreign exchange trading have begunto require that their counterparties post margin.

Further, as the result of the Commodity FuturesModernization Act of 2000, or CFMA, which madepossible a variety of new futures and derivativeexchanges and clearing organizations,over-the-counter derivative instruments such as

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forward contracts and swap agreements (and optionson forwards and physical commodities) may begin tobe traded on lightly-regulated exchanges or electronictrading platforms that may, but are not required to,provide for clearing facilities. Exchanges andelectronic trading platforms on whichover-the-counter instruments may be traded and theregulation and criteria for that trading are more fullydescribed below under ‘‘ — Futures Exchanges andClearing Organizations.’’ Nonetheless, absent aclearing facility, Grant Park’s trading in foreignexchange and other forward contracts is exposed tothe creditworthiness of the counterparties on the otherside of the trade.

Options on Futures Contracts

Options on futures contracts are standardizedcontracts traded on an exchange. An option on afutures contract gives the buyer of the option theright, but not the obligation, to take a position at aspecified price (the striking, strike, or exercise price)in the underlying futures contract or underlyinginterest. The buyer of a call option acquires the right,but not the obligation, to purchase or take a longposition in the underlying interest, and the buyer of aput option acquires the right, but not the obligation,to sell or take a short position in the underlyinginterest.

The seller, or writer, of an option is obligated totake a position in the underlying interest at aspecified price opposite to the option buyer if theoption is exercised. Thus, the seller of a call optionmust stand ready to take a short position in theunderlying interest at the strike price if the buyershould exercise the option. The seller of a put option,on the other hand, must stand ready to take a longposition in the underlying interest at the strike price.

A call option is said to be in-the-money if thestrike price is below current market levels, and out-of-the-money if the strike price is above currentmarket levels. Conversely, a put option is said to bein-the-money if the strike price is above the currentmarket levels, and out-of-the-money if the strikeprice is below current market levels.

Options have limited life spans, usually tied tothe delivery or settlement date of the underlyinginterest. Some options, however, expire significantlyin advance of such date. The purchase price of anoption is referred to as its premium, which consistsof its intrinsic value plus its time value. As an optionnears its expiration date, the time value shrinks andthe market and intrinsic values move into parity. Anoption that is out-of-the-money and not offset by the

time it expires becomes worthless. On certainexchanges, in-the-money options are automaticallyexercised on their expiration date, but on othersunexercised options simply become worthless aftertheir expiration date.

Regardless of how much the market swings, themost an option buyer can lose is the option premiumplus transaction expenses. Option sellers, on the otherhand, face risks similar to participants in the futuresmarkets. For example, since the seller of a call optionis assigned a short futures position if the option isexercised, his risk is the same as someone whoinitially sold a futures contract. Because no one canpredict exactly how the market will move, the optionseller posts margin in amounts set by exchanges todemonstrate his ability to meet potential contractualobligations.

Options on Forward Contracts or Commodities

Options on forward contracts or commoditiesoperate in a manner similar to options on futurescontracts. An option on a forward contract orcommodity gives the buyer of the option the right,but not the obligation, to take a position at aspecified price in the underlying forward contract orcommodity. However, similar to forward contracts,options on forward contracts or on commodities areindividually negotiated contracts betweencounterparties and are typically traded in the over-the-counter market. Therefore, options on forwardcontracts and physical commodities possess many ofthe same characteristics of forward contracts withrespect to offsetting positions and credit risk that aredescribed above.

Spot Contracts

Spot contracts are cash market transactionswhere the buyer and the seller agree to the immediatepurchase and sale of a commodity, usually with atwo-day settlement. Spot contracts are not uniformand not traded on an exchange. An exchange forphysical, or EFP, transaction is one type of commontransaction involving spot contracts. An EFP is thespot purchase or sale of a commodity in conjunctionwith an offsetting sale or purchase of a correspondingfutures contract involving the same or equivalentcommodity, without making an open and competitivetrade for the futures contract on the exchange.Exchange rules govern the manner in which EFPsinvolving futures contracts that are listed on theexchange may be transacted.

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Participants

The two broad classes of persons who tradecommodities are hedgers and speculators. Hedgersinclude financial institutions that manage or deal ininterest rate-sensitive instruments, foreign currenciesor stock portfolios, and commercial marketparticipants, such as farmers and manufacturers, thatmarket or process commodities. The usual objectiveof the hedger is to protect the profit that he expectsto earn from farming, merchandising, or processingoperations rather than to profit from his trading.

Unlike the hedger, the speculator generallyexpects neither to make nor take delivery of theunderlying commodity. Instead, the speculator riskshis capital with the hope of making profits from pricefluctuations in the commodities. All trades made byGrant Park will be for speculative rather than forhedging purposes.

Futures Exchanges and Clearing Organizations

Futures exchanges provide centralized marketfacilities in which multiple persons have the ability toexecute or trade contracts by accepting bids andoffers from multiple participants. Futures exchangesmay provide for execution of trades at a physicallocation utilizing trading pits and/or may provide fortrading to be done electronically throughcomputerized matching of bids and offers pursuant tovarious algorithms. Members of a particular exchangeand the trades executed on such exchanges aresubject to the rules of that exchange.

Clearing organizations provide services designedto mutualize or transfer the credit risk arising fromthe trading of contracts on an exchange or otherelectronic trading facility. Once trades made betweenmembers of an exchange or electronic trading facilityhave been confirmed, the clearing organizationbecomes substituted for the clearing member actingon behalf of each buyer and each seller of contractstraded on the exchange or trading platform and ineffect becomes the other party to the trade.Thereafter, each clearing member party to the tradelooks only to the clearing organization forperformance. A central function of the clearingorganization is to ensure the integrity of trades, andmembers effecting transactions on an exchange neednot concern themselves with the solvency of theparty on the opposite side of the trade; their onlyremaining concerns are the respective solvencies oftheir clearing broker and the clearing organization.

U.S. Futures Exchanges

Futures exchanges in the U.S. are subject tovarying degrees of regulation by the CFTC based ontheir designation as one of the following: adesignated contract market, a derivatives transactionexecution facility, an exempt board of trade or anelectronic trading facility.

A designated contract market is the most highlyregulated level of futures exchange. Designatedcontract markets may offer products to retailcustomers on an unrestricted basis. To be designatedas a contract market, the exchange must demonstratethat it satisfies specified general criteria fordesignation, such as having the ability to preventmarket manipulation, rules and procedures to ensurefair and equitable trading, position limits, disputeresolution procedures, minimization of conflicts ofinterest and protection of market participants. Amongthe principal designated contract markets in theUnited States are the Chicago Board of Trade, theChicago Mercantile Exchange and the New YorkMercantile Exchange.

A derivatives transaction execution facility, orDTEF, is a type of exchange that is subject to fewerregulatory requirements than a designated contractmarket but is subject to both commodity interest andparticipant limitations. DTEFs limit access to eligibletraders that qualify as either eligible contractparticipants or eligible commercial entities for futuresand option contracts on commodities that have anearly inexhaustible deliverable supply, are highlyunlikely to be susceptible to the threat ofmanipulation, or have no cash market, securityfutures products, and futures and option contracts oncommodities that the CFTC may determine, on acase-by-case basis, are highly unlikely to besusceptible to the threat of manipulation. In addition,certain commodity interests excluded or exempt fromthe CEA, such as swaps, etc. may be traded on aDTEF.

An exempt board of trade is substantiallyunregulated, subject only to CFTC anti-fraud andanti-manipulation authority. An exempt board of tradeis permitted to trade futures contracts and options onfutures contracts provided that the underlyingcommodity is not a security or securities index andhas an inexhaustible deliverable supply or no cashmarket. All traders on an exempt board of trade mustqualify as eligible contract participants.

An electronic trading facility, or ETF, is a formof exchange that operates by means of an electronicor telecommunications network and maintains an

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automated audit trail of bids, offers, and the matchingof orders or the execution of transactions on the ETF.The CEA does not apply to, and the CFTC has nojurisdiction over, transactions on an ETF in certainexcluded commodities that are entered into betweenprincipals that qualify as eligible contractparticipants, subject only to CFTC anti-fraud andanti-manipulation authority.

The trading advisors intend to monitor thedevelopment of and opportunities and risks presentedby the less-regulated DTEFs, exempt boards of tradeand ETFs and may, in the future, allocate apercentage of Grant Park’s assets to trading inproducts on these exchanges. Provided Grant Parkmaintains assets exceeding $5 million, Grant Parkwould qualify as an eligible contract participant andthus would be able to trade on such exchanges.

Non-U.S. Futures Exchanges

Non-U.S. futures exchanges differ in certainrespects from their U.S. counterparts. The CFTC isprohibited by statute from regulating trading on non-U.S. futures exchanges and markets. The CFTC,however, has adopted regulations relating to themarketing of non-U.S. futures contracts in the U.S.These regulations permit certain contracts traded onnon-U.S. exchanges to be offered and sold in theU.S. In contrast to U.S. designated contract markets,some non-U.S. exchanges are principals’ markets,where trades remain the liability of the tradersinvolved, and the exchange or an affiliated clearingorganization, if any, does not become substituted forany party. Due to the absence of a clearing system,such exchanges are significantly more susceptible todisruptions. Further, participants in such marketsmust often satisfy themselves as to the individualcreditworthiness of each entity with which they enterinto a trade.

Speculative Position Limits

The CFTC and U.S. designated contract marketshave established limits or position accountabilityrules, referred to as speculative position limits orposition limits, on the maximum net long or net shortspeculative position that any person or group ofpersons under common trading control (other than ahedger, which Grant Park is not) may hold, own orcontrol in commodity interests. Among the purposesof speculative position limits is to prevent a corner orsqueeze on a market or undue influence on prices byany single trader or group of traders. The positionlimits established by the CFTC apply to certainagricultural commodity interests, such as oats, wheat,soybeans and cotton. In addition, U.S. exchanges

may set position limits for all commodity intereststraded on that exchange. Certain exchanges orclearing organizations also set limits on the total netpositions that may be held by a clearing broker. Ingeneral, no position limits are in effect in forward orother over-the-counter contract trading or in tradingon non-U.S. futures exchanges, although theprincipals with which Grant Park and the clearingbrokers may trade in such markets may impose suchlimits as a matter of credit policy. For purposes ofdetermining position limits Grant Park’s commodityinterest positions will not be attributable to investorsin their own commodity interest trading.

Daily Price Limits

Most U.S. futures exchanges (but generally notnon-U.S. exchanges or, in the case of forward orover-the-counter contracts, banks or dealers) maylimit the amount of fluctuation in some futurescontract or options on futures contract prices during asingle trading day by regulations. These regulationsspecify what are referred to as daily price fluctuationlimits or more commonly, daily limits. The dailylimits establish the maximum amount that the priceof a futures or options on futures contract may varyeither up or down from the previous day’s settlementprice. Once the daily limit has been reached in aparticular futures or options on futures contract, notrades may be made at a price beyond the limit.Positions in the futures or options contract may thenbe taken or liquidated, if at all, only at inordinateexpense or if traders are willing to effect trades at orwithin the limit during the period for trading on suchday.

Regulation

The CFTC is the governmental agency chargedwith responsibility for regulation of futuresexchanges and commodity interest trading conductedon those exchanges. The CFTC’s function is toimplement the CEA’s objectives of preventing pricemanipulation and excessive speculation andpromoting orderly and efficient commodity interestmarkets. In addition, the various exchanges andclearing organizations themselves exercise regulatoryand supervisory authority over their member firms.

The CFTC has adopted regulations with respectto the activities of commodity pool operators andcommodity trading advisors. Under the CEA, aregistered commodity pool operator, such as thegeneral partner, is required to make annual filingswith the CFTC describing its organization, capitalstructure, management and controlling persons. Inaddition, the CEA authorizes the CFTC to require

171

and review books and records of, and documentsprepared by, registered commodity pool operators.The CEA gives the CFTC similar authority withrespect to the activities of commodity tradingadvisors, such as Grant Park’s trading advisors.

The CEA requires all futures commissionmerchants, such as Grant Park’s clearing brokers, tomeet and maintain specified fitness and financialrequirements, to segregate customer funds fromproprietary funds and account separately for allcustomers’ funds and positions, and to maintainspecified books and records open to inspection by thestaff of the CFTC. The CFTC has similar authorityover introducing brokers, or persons who solicit oraccept orders for commodity interest trades but whodo not accept margin deposits for the execution oftrades.

Grant Park’s investors are afforded prescribedrights for reparations under the CEA. Investors mayalso be able to maintain a private right of action forviolations of the CEA. The CFTC has adopted rulesimplementing the reparation provisions of the CEA,which provide that any person may file a reparationscomplaint with the CFTC for violation of the CEAagainst a floor broker or a futures commissionmerchant, introducing broker, commodity tradingadvisor, commodity pool operator, and theirrespective associated persons.

Pursuant to authority in the CEA, the NFA hasbeen formed and registered with the CFTC as aregistered futures association. At the present time, theNFA is the only self-regulatory organization forcommodity interest professionals, other than futuresexchanges. The CFTC has delegated to the NFAresponsibility for the registration of commoditytrading advisors, commodity pool operators, futurescommission merchants, introducing brokers, and theirrespective associated persons and floor brokers. Thegeneral partner, each trading advisor, the sellingagents and the clearing brokers are members of theNFA. As such, they are subject to NFA standardsrelating to fair trade practices, financial condition andconsumer protection. Grant Park itself is not requiredto be registered in any capacity with the CFTC or tobecome a member of the NFA. As the self-regulatorybody of the commodity interest industry, the NFApromulgates rules governing the conduct ofprofessionals and disciplines those professionals thatdo not comply with these rules. The NFA alsoarbitrates disputes between members and theircustomers and conducts registration and fitness

screening of applicants for membership and audits ofits existing members.

The regulations of the CFTC and the NFAprohibit any representation by a person registeredwith the CFTC or by any member of the NFA, thatregistration with the CFTC, or membership in theNFA, in any respect indicates that the CFTC or theNFA, as the case may be, has approved or endorsedthat person or that person’s trading program orobjectives. The registrations and memberships of theparties described in this summary must not beconsidered as constituting any such approval orendorsement. Likewise, no futures exchange hasgiven or will give any similar approval orendorsement.

The regulation of commodity interest trading inthe United States and other countries is an evolvingarea of the law. The various statements made in thissummary are subject to modification by legislativeaction and changes in the rules and regulations of theCFTC, the NFA, the futures exchanges, clearingorganizations and other regulatory bodies.

Margin

Original or initial margin is the minimumamount of funds that must be deposited by acommodity interest trader with the trader’s broker toinitiate and maintain an open position in futurescontracts. Maintenance margin is the amount(generally less than the original margin) to which atrader’s account may decline before he must deliveradditional margin. A margin deposit is like a cashperformance bond. It helps assure the trader’sperformance of the futures contracts that he or shepurchases or sells. Futures contracts are customarilybought and sold on margin that represents a verysmall percentage (ranging upward from less than 2%)of the aggregate purchase or sales price of thecontract. Because of such low margin requirements,price fluctuations occurring in the futures marketsmay create profits and losses that, in relation to theamount invested, are greater than are customary inother forms of investment or speculation. The amountof margin required in connection with a particularfutures contract is set from time to time by theexchange on which the contract is traded and may bemodified from time to time by the exchange duringthe term of the contract.

Brokerage firms, such as Grant Park’s clearingbrokers, carrying accounts for traders in commodityinterest contracts may not accept lower, and generallyrequire higher, amounts of margin as a matter ofpolicy to further protect themselves. The clearing

172

brokers require Grant Park to make margin depositsequal to exchange minimum levels for all commodityinterest contracts. This requirement may be alteredfrom time to time in the clearing brokers’ discretion.

Trading in the over-the-counter markets whereno clearing facility is provided generally does notrequire margin but generally does require theextension of credit between counterparties.

When a trader purchases an option, there is nomargin requirement, however, the option premiummust be paid in full. When a trader sells an option,on the other hand, he or she is required to depositmargin in an amount determined by the marginrequirements established for the underlying interestand, in addition, an amount substantially equal to thecurrent premium for the option. The marginrequirements imposed on the selling of options,although adjusted to reflect the probability that out-of-the- money options will not be exercised, can infact be higher than those imposed in dealing in thefutures markets directly. Complicated margin

requirements apply to spreads and conversions, whichare complex trading strategies in which a traderacquires a mixture of options positions and positionsin the underlying interest.

Margin requirements are computed each day bya trader’s clearing broker. When the market value ofa particular open commodity interest position changesto a point where the margin on deposit does notsatisfy maintenance margin requirements, a margincall is made by the broker. If the margin call is notmet within a reasonable time, the broker may closeout the trader’s position. With respect to Grant Park’strading, Grant Park (and not its investors personally)is subject to margin calls.

Many major U.S. exchanges have passed certaincross margining arrangements involving procedurespursuant to which the futures and options positionsheld in an account would, in the case of someaccounts, be aggregated and margin requirementswould be assessed on a portfolio basis, measuring thetotal risk of the combined positions.

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HISTORICAL PERSPECTIVE OF THE MANAGED FUTURES INDUSTRY

Since 1980, the world’s futures markets have expanded from consisting primarily of agricultural contractsto include worldwide financial markets such as stock indices, currencies and global interest rates. The piechart below demonstrates this growth of diversity within the futures industry. In 1980, the agricultural sectordominated the trading volume of the industry. By October 2008, the agricultural sector representedapproximately only 7% of trading while interest rates, currencies and stock indices represented approximately85%.

Futures Industry Sectors

1980 2008

Metals 16%

Currencies5%

Other 0.1% Interest rates14%

Agriculture64%

Energy 0.3%

Interest Rates 28%

Energy 5%

Agriculture 7%Currencies 5%

Metals 3%

Equities 52%

Source: Futures Industry Association, Washington, D.C., Futures and Options Global Trading Volume

The above charts were prepared by Dearborn Capital Management, L.L.C.

The managed futures industry is made up of professional money managers known as commodity tradingadvisors. These commodity trading advisors manage client assets on a discretionary basis using global futuresmarkets as an investment medium. As the chart below illustrates, assets dedicated to managed futures havegrown from approximately $300 million in 1980 to over $206 billion in December 2008.

Growth in the Managed Futures IndustryJanuary 1980 − December 2008

$0$20$40$60$80

$100$120$140$160$180$200$220$240

In b

illio

ns

80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08

This chart was prepared by Dearborn Capital Management, L.L.C. using data obtained from Barclay TradingGroup, Ltd.

174

POTENTIAL ADVANTAGES OF INVESTMENT

The following section provides a description of the potential advantages of investing in Grant ParkFutures Fund.

Value of Diversifying Into Managed Futures

The inclusion of managed futures into a portfolio is based upon the most fundamental of all investmentprinciples: diversification. Dr. Harry Markowitz’s groundbreaking work in portfolio construction concludedthat a more efficient portfolio can be created by investing across non-correlated asset classes. This hypothesisbecame known as Modern Portfolio Theory and earned Dr. Markowitz a Nobel Prize in economics.

In 1980 John Lintner of Harvard University applied this theory to the developing asset class of managedfutures. His study determined that ‘‘the combined portfolios of stocks (or stocks and bonds) after includingjudicious investments...in leveraged managed futures accounts show substantially less risk at every possiblelevel of expected return than portfolios of stocks and bonds alone.’’ While managed futures were intuitivelyunderstood to have a low correlation to traditional asset classes, this landmark study confirmed thediversification benefits derived from allocating a portion of a portfolio into this asset class.

True diversification is derived from investing across asset classes that move independently, or are non-correlated, to each other. Managed futures have long been recognized as having a low correlation to traditionalasset classes.

Historical Correlation and Comparative Performance

The chart below shows the historical correlation of the monthly returns of the NASDAQ CompositeIndex, HFRI Fund Weighted Composite Index, Morgan Stanley Capital International Europe, Australasia, FarEast (MSCI EAFE) Index, Lehman Brothers U.S. Government Index (Long subset) and the CASAM CISDMCommodity Trading Advisors Asset Weighted Index with the Standard & Poor’s 500 Total Return Index (S&P500 Index). The NASDAQ Composite Index, HFRI Fund Weighted Composite Index, MSCI EAFE Index,Lehman Brothers U.S. Government Index (Long subset) and S&P 500 Index are passive, unmanaged indicesof equity or debt securities, as applicable, generally purchased by investors for investment purposes. TheCASAM CISDM Commodity Trading Advisors Asset Weighted Index is an index of the performance ofpublic and private commodity pools. All of the above indices are used by the marketplace in varying degreesas performance benchmarks of the various asset classes they represent.

A correlation of 1.0 indicates a perfect positive and direct correlation between the particular index andthe S&P 500 Index; a correlation of -1.0 indicates a perfectly negative or inverse correlation between theparticular index and the S&P 500 Index. Note that stocks associated with the NASDAQ, HFRI Fund WeightedComposite and MSCI EAFE indices, as well as bonds, have historically had a higher correlation with the S&P500 Index than managed futures investments, as represented by the CASAM CISDM Commodity TradingAdvisors Asset Weighted Index. This low correlation shows that managed futures have a tendency to behavesomewhat independently from stocks.

175

Historical Correlation of Monthly Returns with S&P 500 Stock IndexJanuary 1980 − December 2008

1.00

0.830.73

0.61

0.16

(0.01)(0.20)

0.00

0.20

0.40

0.60

0.80

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S&P 500 Index NASDAQ

Index* Composite

HFRI Fund WeightedComposite Index**

MSCI EAFE Index Lehman Bros.

Index (Long subset)

CASAM CISDM CTAAsset Weighted IndexU.S. Gov't

* Performance data for the NASDAQ Composite Index available only from December 1984 throughDecember 2008.

** Performance data for the HFRI Fund Weighted Composite Index available only from January 1990through December 2008.

This chart was prepared by Dearborn Capital Management, L.L.C.See the glossary in Appendix E for descriptions of the indices in this chart.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

ALL PERFORMANCE REPORTED FOR GRANT PARK IS FOR CLASS A UNITS AND IS NET OFFEES AND EXPENSES

176

The Advantages of Non-Correlation

Given that historically, managed futures investments have had very little correlation to the stock andbond markets, Dearborn Capital Management, L.L.C., Grant Park’s sponsor and general partner, believes thatthe performance of Grant Park should also exhibit a substantial degree of non-correlation with theperformance of traditional equity and debt portfolio components, in part because of the ease of sellingcommodity interests short. This feature of many commodity interest contracts — being able to be long or shorta commodity interest position with similar ease — means that profit and loss from commodity interest tradingis not dependent upon economic prosperity or stability.

However, non-correlation will not provide any diversification advantages unless the non-correlated assetsare outperforming other portfolio assets, and it is entirely possible that Grant Park may not outperform othersectors of an investor’s portfolio, or may produce losses. Additionally, although adding managed futures fundsto a portfolio may provide diversification, managed futures funds are not a hedging mechanism and youshould not assume that managed futures funds will appreciate during periods of inflation or stock and bondmarket declines.

Non-correlated performance should not be confused with negatively correlated performance. Negativecorrelation occurs when the performance of two asset classes are in opposite direction to each other. Non-correlation means only that Grant Park’s performance will likely have no relation to the performance of equityand debt instruments, reflecting the general partner’s belief that certain factors that affect equity and debtprices may affect Grant Park differently and that certain factors that affect equity and debt prices may notaffect Grant Park at all. Grant Park’s net asset value per unit may decline or increase more or less than equityand debt instruments during both rising and falling cash markets. The general partner does not expect thatGrant Park’s performance will be negatively correlated to general debt and equity markets.

The chart below shows the historical correlation of the monthly returns of the CASAM CISDMCommodity Trading Advisors Asset Weighted Index, Lehman Brothers U.S. Government Index (Long subset),the HFRI Fund Weighted Composite Index, the MSCI EAFE Index, S&P 500 Index and the NASDAQComposite Index with Grant Park.

Historical Correlation of Monthly Returns with Grant Park Futures FundJanuary 1989 − December 2008

Grant Park Class A

Units

CASAM CISDM CTA

Asset Weighted Index

S&P 500 Index

NASDAQ Composite

Index

1.00

0.82

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Lehman Bros. U.S. Gov’t

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HFRI Fund Weighted

Composite Index*

MSCI EAFE Index

* Performance data for the HFRI Fund Weighted Composite Index available only from January 1990through December 2008.

This chart was prepared by Dearborn Capital Management, L.L.C.See the glossary in Appendix E for descriptions of the indices in this chart.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTSALL PERFORMANCE REPORTED FOR GRANT PARK IS FOR CLASS A UNITS

AND IS NET OF FEES AND EXPENSES

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Advantages of Commodity Pool Investments

Both the commodity interest markets and funds investing in those markets offer many structuraladvantages that make managed futures an efficient way to participate in global markets. For example, eachinvestor in Grant Park should be able to participate in a greater number of commodity interest markets (bothU.S. and non-U.S.) and to a greater extent than would be possible if Grant Park’s minimum investment weretraded on an individual investor basis.

Profit Potential

Commodity interest contracts can easily be leveraged, which magnifies the potential profit and thepotential loss. As a result of this leveraging, even a small movement in the price of a contract can cause majorlosses.

Interest Income

Unlike some alternative investment funds, Grant Park does not borrow money in order to obtain leverage,so Grant Park does not incur any interest expense. Rather, Grant Park’s margin deposits are maintained incash equivalents, such as U.S. Treasury bills, and interest is earned on 100% of Grant Park’s available assets,which include unrealized profits credited to Grant Park’s accounts.

Diversification within a Single Investment

Commodity interest contracts allow an investor to diversify risk across market sectors, as well asgeographically. For example, an investor can trade interest rates, stock indices, currencies, energy products andmetals in numerous countries around the world. This market diversification may reduce the risk of loss. WhileGrant Park itself trades across a diverse selection of global markets, an investment in Grant Park is not asubstitute for overall portfolio diversification.

The pie chart below demonstrates Grant Park’s collective market sectors exposure of all of the Fundstrading advisors as of December 31, 2008. This is not a reflection of actual positions held on this date, butrather a reflection of the potential estimated exposure to any one market sector on this date.

Grant Park Futures Fund Sector ExposureAs of December 31, 2008

INTEREST RATES25%

CURRENCIES22%

STOCK INDICES16%

AGS/SOFTS13%

ENERGY13%

METALS11%

This chart was prepared by Dearborn Capital Management, L.L.C.See ‘‘The Commodity Interest Markets’’ above for information related to this chart.

Ability to Profit or Lose in a Rising or Falling Market Environment

Grant Park can establish short positions and thereby profit from declining markets as easily as it canestablish long positions. This potential to make money, whether markets are rising or falling around the world,makes managed futures particularly attractive to sophisticated investors. Of course, if markets go higher whilean investor has a short position, the investor will lose money until the short position is exited.

Professional Trading

Grant Park’s trading decisions are made by Rabar Market Research, Inc., EMC Capital Management,Inc., Eckhardt Trading Company, Graham Capital Management, L.P., Winton Capital Management Limited,

178

Welton Investment Corporation, Global Advisors L.P., Transtrend B.V., Quantitative Investment ManagementLLC and Revolution Capital Management LLC, each using its own proprietary trading program. With respectto the Legacy 1 Class and Legacy 2 Class, the trading advisors are Rabar, EMC, Graham, ETC, Winton,Welton, Global Advisors, Transtrend, RCM and QIM. With respect to the GAM 1 Class, the GAM 2 Classand the GAM 3 Class, the trading advisors are EMC, ETC, Graham, Winton, Transtrend, QIM and RCM.

Each of the trading advisors is a full-time commodity trading advisor with an established performancerecord and a dedicated staff of experienced alternative investment professionals. The general partner mayterminate or replace the trading advisors or retain additional trading advisors in its sole discretion.

Convenience

Through Grant Park, investors can participate in global markets and opportunities without needing tomaster complex trading strategies and monitor multiple international markets. In addition, Grant Park providesto or obtains for its investors many services designed to alleviate the administrative details involved in tradingcommodity interests directly, including maintaining books and records of trading activities, preparingunaudited monthly and audited annual account statements to investors and supplying investors withinformation necessary for preparing their federal income tax returns.

Liquidity

In most cases, the commodity interest markets on which Grant Park trades have sufficient liquidity. Somemarkets trade 24 hours on business days. While there can be cases where there may be no buyer or seller fora particular market, Grant Park attempts to select markets for investment based upon, among other things,their perceived liquidity. Most exchanges impose limits on the amount that prices in certain futures or optionscontracts can move in one day. Situations in which markets have moved the limit for several consecutive dayshave not been common, but do occur.

Investors also may cause Grant Park to redeem all or a portion of their units on a monthly basis.

Limited Liability

Investors’ liability is limited to the amount of their investment in Grant Park. Investors cannotindividually be subjected to margin calls and will not be required to contribute additional capital to GrantPark.

Sponsor Experience

Grant Park’s sponsor and general partner, Dearborn Capital Management, L.L.C., and its principals haveextensive experience managing and operating Grant Park. Grant Park has been in continuous existence sinceJanuary 1989. However, past performance is not necessarily indicative of future results.

Low Investment Requirements

The minimum investment required to invest in the Legacy 1 Class and Legacy 2 Class units is $10,000,except in the case of investors that are employee benefit plans and/or individual retirement accounts for whichthe minimum investment is $1,000; subsequent investment in the Legacy 1 Class and Legacy 2 Class unitsmust be at least $1,000. The minimum investment in the GAM 1 Class, GAM 2 Class and GAM 3 Class unitsis $5,000, except in the case of investors that are employee benefit plans and/or individual retirement accountsfor which the minimum investment is $1,000; subsequent investment in the GAM 1 Class, GAM 2 Class andGAM 3 Class units must be at least $1,000. Typically, the minimum investment in an individually managedfutures account would be substantially greater. In fact, some of Grant Park’s current trading advisors have ageneral account size minimum of at least $1,000,000.

179

SUPPLEMENTAL PERFORMANCE INFORMATION OF GRANT PARK FUTURES FUND

The tables and accompanying information on the remaining pages that follow present certainsupplemental historical performance and statistical information of the Class A units of Grant Park. Most newinvestors invested in Class B units, which are assessed an annual rate of 30 basis points (0.30%) of theadjusted net assets of the Class B units in organization and offering expenses, calculated and payable monthlyon the basis of month-end adjusted net assets. Class A units are assessed an annual rate of 10 basis points(0.10%) of the adjusted net assets of the Class A units, calculated and payable monthly on the basis of month-end adjusted net assets. In addition, Class A units pay the general partner a monthly brokerage charge equal to0.6250%, a rate of 7.50% annually, of the month-end adjusted net assets of the Class A units, whereas Class Bunit holders pay a monthly brokerage charge equal to 0.6625%, a rate of 7.95% annually, of the month-endadjusted net assets of the Class B units. Had these additional expenses been reflected, the performance of theClass A units would have been lower. Although the following information has not been audited, the generalpartner believes this information to be reliable. All performance information for Grant Park is shown netof fees and expenses. You should consult Part One of this prospectus regarding the material terms applicableto an investment in Grant Park, including the associated fees and expenses. Past performance is notnecessarily indicative of future results.

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.28)

%3.

42%

7.33

%5.

77%

(5.9

5)%

0.53

%0.

69%

7.95

%2.

62%

7.61

%(1

3.59

)%16

.37%

(9.3

9)%

18.1

3%(5

.32)

%(1

3.31

)%6.

32%

(3.2

9)%

Mar

..

.(0

.63)

%(4

.55)

%4.

06%

(0.5

1)%

(1.4

0)%

(7.4

7)%

2.26

%6.

63%

(1.7

0)%

(5.1

8)%

(1.0

8)%

1.06

%(1

.34)

%20

.67%

23.2

5%1.

57%

(2.3

2)%

1.75

%22

.20%

17.3

4%A

pr.

..

(0.1

3)%

5.23

%9.

46%

(5.0

5)%

(11.

66)%

2.57

%(3

.07)

%(4

.51)

%(3

.84)

%2.

92%

(7.4

6)%

(8.4

5)%

4.97

%10

.88%

2.31

%15

.69%

(4.1

3)%

(6.5

2)%

31.1

0%(9

.51)

%M

ay.

.2.

11%

4.60

%(0

.81)

%3.

98%

(4.7

5)%

9.68

%5.

17%

(0.4

7)%

1.80

%(5

.51)

%3.

13%

(0.9

1)%

(4.3

5)%

14.9

3%14

.29%

2.30

%(2

.34)

%(1

.90)

%(1

5.80

)%26

.07%

Jun

..

.3.

06%

4.16

%(2

.85)

%1.

89%

(4.4

7)%

(1.2

6)%

10.0

7%(2

.66)

%(3

.51)

%0.

22%

(0.3

7)%

0.34

%2.

32%

(1.8

2)%

14.2

5%(2

.34)

%8.

33%

3.93

%14

.00%

(3.3

1)%

Jul

..

.(5

.06)

(3.7

2)%

(3.6

6)%

(1.9

6)%

(3.3

6)%

(0.4

9)%

6.63

%0.

12%

(1.6

0)%

(2.6

8)%

(0.3

0)%

15.7

3%(1

.48)

%(1

4.36

)%(5

.96)

%20

.56%

16.3

4%(1

0.99

)%16

.03%

0.70

%A

ug.

..

(2.4

1)(3

.71)

%2.

20%

1.97

%(0

.32)

%0.

19%

1.57

%2.

88%

4.36

%(1

.16)

%24

.62%

(8.1

7)%

(2.5

3)%

(11.

29)%

(6.2

6)%

0.16

%7.

34%

(1.8

5)%

22.8

3%(2

1.72

)%Se

p.

..

1.31

8.78

%(1

.10)

%(0

.04)

%1.

07%

0.13

%2.

87%

3.69

%(2

.30)

%1.

54%

6.23

%2.

92%

3.81

%(1

0.54

)%2.

76%

(3.9

9)%

(11.

40)%

6.76

%14

.76%

(1.6

8)%

Oct

..

.4.

76%

5.23

%(0

.64)

%(3

.38)

%3.

43%

2.52

%(6

.04)

%5.

30%

0.80

%(8

.65)

%(4

.64)

%(5

.18)

%14

.82%

(5.4

0)%

(7.5

4)%

(5.3

9)%

(0.7

2)%

0.12

%5.

49%

(18.

43)%

Nov

..

.2.

76%

(0.6

6)%

3.59

%4.

16%

8.45

%(0

.91)

%(2

.53)

%(7

.80)

%8.

91%

2.10

%(3

.21)

%0.

81%

7.80

%2.

77%

15.5

0%4.

57%

2.41

%(0

.21)

%2.

83%

5.37

%D

ec.

..

1.08

%0.

63%

(0.9

2)%

(1.3

6)%

(0.8

9)%

6.00

%5.

58%

2.14

%9.

00%

3.05

%2.

09%

6.10

%(6

.99)

%18

.69%

(0.1

7)%

13.1

5%(5

.55)

%35

.80%

(2.6

5)%

29.0

0%Y

ear

..

19.9

1%12

.63%

9.11

%(3

.44)

%(7

.58)

%20

.03%

15.2

5%7.

00%

10.9

7%(8

.24)

%22

.40%

17.3

1%(0

.59)

%23

.04%

24.3

0%84

.25%

(15.

50)%

(6.7

7)%

197.

04%

8.61

%

*W

orst

Mon

thly

Perc

enta

geD

raw

-Dow

nis

the

larg

est

mon

thly

loss

expe

rien

ced

byG

rant

Park

inan

yca

lend

arm

onth

expr

esse

das

ape

rcen

tage

ofto

tal

equi

tyin

Gra

ntPa

rkan

din

clud

esth

em

onth

and

year

ofsu

chdr

aw-d

own.

**W

orst

Peak

-to-

Val

ley

Dra

w-D

own

isgr

eate

stcu

mul

ativ

epe

rcen

tage

decl

ine

inm

onth

-end

net

asse

tva

lue

ofG

rant

Park

due

tolo

sses

sust

aine

dby

Gra

ntPa

rkdu

ring

ape

riod

inw

hich

the

initi

alm

onth

-end

net

asse

tva

lue

ofG

rant

Park

isno

teq

uale

dor

exce

eded

bya

subs

eque

ntm

onth

-end

net

asse

tva

lue

ofG

rant

Park

and

incl

udes

the

time

peri

odin

whi

chsu

chdr

aw-d

own

occu

rred

.

***

The

mon

thly

rate

ofre

turn

isco

mpu

ted

bydi

vidi

ngm

onth

lype

rfor

man

ceby

begi

nnin

gm

onth

lyeq

uity

plus

addi

tions

less

rede

mpt

ions

.T

hem

onth

lyra

tes

are

then

com

poun

ded

toar

rive

atth

ean

nual

rate

ofre

turn

.

†D

urin

gth

epe

riod

pres

ente

dth

roug

hM

arch

31,

2003

,G

rant

Park

’sne

tpr

ofits

and

loss

esw

ere

allo

cate

don

aca

pita

lac

coun

t-by

-cap

ital

acco

unt

basi

s.A

sof

Apr

il1,

2003

,ne

tpr

ofits

and

loss

esar

eal

loca

ted

ona

per-

unit

basi

sw

ithin

each

clas

sof

units

.In

vest

ors

shou

ldno

teth

atth

ese

two

met

hods

ofal

loca

tion

may

resu

ltin

slig

htdi

ffer

ence

sin

how

Gra

ntPa

rk’s

perf

orm

ance

isca

lcul

ated

.

PAST

PE

RF

OR

MA

NC

EIS

NO

TN

EC

ESS

AR

ILY

IND

ICA

TIV

EO

FF

UT

UR

ER

ESU

LTS

AL

LP

ER

FO

RM

AN

CE

RE

PO

RT

ED

ISN

ET

OF

FE

ES

AN

DE

XP

EN

SES

SAI-E-2

SUPPLEMENTAL PERFORMANCE INFORMATIONGRANT PARK FUTURES FUND CLASS B UNITS PERFORMANCE —

INCEPTION THROUGH DECEMBER 2008(Unaudited)

The past performance record of Grant Park’s Class B units is presented below. While the performance record setforth in the table below has not been independently audited, the general partner believes that the information presented isaccurate.

All performance information is shown net of fees and expenses.

Name . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Grant Park Futures Fund LimitedPartnership (Class B units)

Type . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Public; Multi-advisorInception of trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . August 2003Aggregate gross subscriptions at December 2008 . . . . . . . . . . . $602,892,120Net asset value at December 2008 . . . . . . . . . . . . . . . . . . . . . . . $554,475,560Worst monthly percentage draw-down (Since August 2003)* . . (11.72%) 04/04Worst peak-to-valley draw-down (Since August 2003)** . . . . . (23.99%) 02/04 − 08/04

Rate of Return***(Through the Month Ended December 31, 2008)

Month 2008 2007 2006 2005 2004 2003January . . . . . . . . . . 2.42% 1.18% 3.41% (6.04%) 0.31% —February . . . . . . . . . . 9.58% (4.25%) (3.35%) 3.34% 7.25% —March . . . . . . . . . . . (0.70%) (4.62%) 3.98% (0.59%) (1.47%) —April . . . . . . . . . . . . (0.20%) 5.15% 9.38% (5.12%) (11.72%) —May . . . . . . . . . . . . 2.03% 4.52% (0.88%) 3.90% (4.82%) —June . . . . . . . . . . . . 2.99% 4.09% (2.92%) 1.81% (4.55%) —July. . . . . . . . . . . . . (5.12) (3.79%) (3.73%) (2.03%) (3.44%) —August . . . . . . . . . . . (2.48) (3.78%) 2.12% 1.89% (0.40%) 0.12%September . . . . . . . . . 1.24 8.70% (1.17%) (0.11%) 0.99% 0.06%October . . . . . . . . . . 4.69% 5.16% 0.71% (3.45%) 3.35% 2.45%November . . . . . . . . . 2.69% (0.73%) 3.51% 4.08% 8.37% (0.98%)December . . . . . . . . . 1.01% 0.64% (0.90%) (1.35%) (0.96%) 5.93%Year . . . . . . . . . . . . 18.88% 11.76% 8.28% (4.25%) (8.40%) 7.66%

* Worst monthly percentage draw-down is the largest monthly loss experienced by Grant Park in any calendar monthexpressed as a percentage of total equity in Grant Park and includes the month and year of that draw-down.

** Worst peak-to-valley draw-down is the greatest cumulative percentage decline in month-end net asset value of GrantPark due to losses sustained by Grant Park during a period in which the initial month-end net asset value of GrantPark is not equaled or exceeded by a subsequent month-end net asset value of Grant Park and includes the timeperiod in which the draw-down occurred.

*** The monthly rate of return is computed by dividing monthly performance by beginning monthly equity plus additionsless redemptions. The monthly rates are then compounded to arrive at the annual rate of return.


ALL PERFORMANCE REPORTED FOR GRANT PARK IS NET OF FEES AND EXPENSES

SAI-E-3

Pro Forma Performance Record — Legacy 1 Class

The pro forma performance record following on pages SAI-E-5 through SAI-E-11 presents Grant Park’sClass A Class unit historical performance record from inception through December 2008, adjusted to giveapproximate effect to the aggregate fees and expenses applicable to the Legacy 1 Class units as if such feesand expenses had been applicable to all limited partnership interests in Grant Park. This pro formaperformance record should be reviewed in conjunction with the performance record found on pages 61 and 62of this prospectus.

This pro forma performance table is an approximation only, and is in no way intended to implythat Legacy 1 Class limited partners will experience the results depicted. All performance information isshown net of fees and expenses.

SAI-E-4

GR

AN

TPA

RK

LE

GA

CY

1P

RO

FO

RM

AP

ER

FO

RM

AN

CE

RE

CO

RD

(UN

AU

DIT

ED

)

Mo.

Star

ting

Equ

ity

Add

itio

nsR

edem

ptio

ns

Gro

ssR

ealiz

edP

rofit

(Los

s)In

tere

stIn

com

eB

roke

rage

Com

mis

sion

s

Man

agem

ent

and

Ince

ntiv

eF

ees

Oth

erE

xpen

ses

Cha

nge

inU

nrea

lized

Pro

fitor

(Los

s)

Net

Pro

fitor

(Los

s)

Pro

For

ma

Equ

ity

Adj

ustm

ent

End

ing

Equ

ity

Mon

thly

Rat

eof

Ret

urn

VA

MI

1989

Jan

$0

$2,0

28,0

00$

0$

(95,

772)

$3,

042

$9,

639

$12

,524

$0$

148,

905

$34

,012

$(1

4,34

4)$

2,04

7,66

81.

68%

$1,0

16.7

7Fe

b2,

047,

668

00

(31,

992)

3,07

29,

194

(12,

524)

0(3

0,81

9)(5

6,41

0)(1

0,86

6)1,

980,

392

(2.7

5)%

988.

76M

ar1,

980,

392

00

17,5

612,

971

11,2

0710

5,07

10

422,

260

326,

514

16,8

932,

323,

799

16.4

9%1,

151.

78A

pr2,

323,

799

00

144,

515

3,48

69,

730

00

(368

,026

)(2

29,7

55)

8,67

62,

102,

720

(9.8

9)%

1,03

7.90

May

2,10

2,72

00

032

8,16

03,

154

12,8

0910

8,11

30

335,

376

545,

769

2,50

52,

650,

994

25.9

6%1,

307.

30Ju

n2,

650,

994

00

(79,

177)

3,97

611

,729

(30,

605)

0(3

9,82

4)(9

6,14

8)8,

288

2,56

3,13

4(3

.63)

%1,

259.

88Ju

l2,

563,

134

025

4,54

48,

641

3,84

512

,024

7,24

30

24,0

6917

,288

656

2,32

6,53

40.

67%

1,26

8.38

Aug

2,32

6,53

473

8,00

00

(224

,433

)4,

597

11,0

91(7

,243

)0

(446

,648

)(6

70,3

32)

4,82

72,

399,

029

(21.

87)%

990.

94Se

p2,

399,

029

151,

478

0(1

29,4

05)

3,82

611

,690

00

102,

684

(34,

585)

(8,3

79)

2,50

7,54

3(1

.36)

%97

7.50

Oct

2,50

7,54

328

1,00

00

(342

,440

)4,

183

10,5

550

0(1

68,1

05)

(516

,917

)3,

093

2,27

4,71

9(1

8.54

)%79

6.30

Nov

2,27

4,71

930

,000

094

,362

3,45

711

,281

00

36,5

8412

3,12

259

02,

428,

431

5.34

%83

8.84

Dec

2,42

8,43

170

,000

54,5

1056

6,31

93,

748

15,0

480

018

5,04

974

0,06

8(1

5,56

9)3,

168,

420

29.6

2%1,

087.

31Y

ear

toD

ate

Ret

urn

8.73

%

1990

Jan

$3,1

68,4

20$

0$1

45,2

24$

(192

,222

)$

4,75

3$1

5,52

0$

0$0

$37

4,69

0$

171,

701

$(6

,820

)$

3,18

8,07

75.

42%

$1,1

46.2

3Fe

b3,

188,

077

00

249,

461

4,78

215

,826

24,3

520

(20,

493)

193,

572

7,94

13,

389,

590

6.07

%1,

215.

83M

ar3,

389,

590

026

4,16

076

7,14

85,

084

20,4

3125

3,75

20

255,

659

753,

709

(1,1

97)

3,87

7,94

222

.24%

1,48

6.18

Apr

3,87

7,94

240

,000

091

1,04

65,

877

25,5

2739

6,31

50

684,

437

1,17

9,51

838

,828

5,13

6,28

830

.11%

1,93

3.61

May

5,13

6,28

825

5,00

00

70,0

238,

087

20,0

82(2

65,4

82)

0(1

,127

,372

)(8

03,8

62)

(48,

109)

4,53

9,31

7(1

4.91

)%1,

645.

30Ju

n4,

539,

317

100,

000

047

9,55

66,

959

25,5

1921

5,57

40

391,

875

637,

296

12,2

715,

288,

884

13.7

4%1,

871.

31Ju

l5,

288,

884

75,0

0011

2,50

9(1

55,9

63)

8,04

630

,028

277,

418

01,

276,

524

821,

161

38,7

426,

111,

278

15.3

1%2,

157.

79A

ug6,

111,

278

332,

160

356,

622

3,26

3,70

09,

665

38,6

5947

2,73

20

(1,3

58,0

56)

1,40

3,91

866

,804

7,55

7,53

821

.79%

2,62

7.94

Sep

7,55

7,53

80

77,0

8586

7,90

511

,336

41,5

3334

9,11

40

543,

407

1,03

2,00

183

,182

8,59

5,63

613

.66%

2,98

6.79

Oct

8,59

5,63

60

129,

325

70,8

0612

,893

42,6

5815

0,22

80

544,

116

434,

929

36,8

678,

938,

107

5.06

%3,

137.

92N

ov8,

938,

107

074

0,00

01,

827,

985

13,4

0742

,980

81,9

290

(1,4

86,5

73)

229,

911

22,9

198,

450,

937

2.57

%3,

218.

63D

ec8,

450,

937

026

9,23

2(7

84,4

67)

12,6

7637

,874

(71,

477)

050

9,76

6(2

28,4

21)

4,43

37,

957,

717

(2.7

0)%

3,13

1.64

Yea

rto

Dat

eR

etur

n18

8.02

%

1991

Jan

$7,9

57,7

17$

200,

000

$156

,415

$(6

76,2

49)

$12,

237

$33,

164

$0

$0$

(323

,115

)$(

1,02

0,29

1)$

12,1

24$

6,99

3,13

5(1

2.51

)%$2

,739

.96

Feb

6,99

3,13

50

61,6

51(2

72,2

99)

10,4

9028

,219

00

(629

,916

)(9

19,9

44)

(11,

084)

6,00

0,45

6(1

3.15

)%2,

379.

52M

ar6,

000,

456

030

,000

(697

,927

)9,

001

28,2

880

080

4,75

787

,543

17,3

816,

075,

380

1.46

%2,

414.

24A

pr6,

075,

380

1,18

4,53

40

(89,

099)

10,8

9031

,519

00

(366

,846

)(4

76,5

74)

3,05

66,

786,

396

(6.5

6)%

2,25

5.75

May

6,78

6,39

61,

356,

881

30,0

0013

,778

12,2

1537

,081

00

(151

,853

)(1

62,9

41)

8,61

57,

958,

951

(2.0

0)%

2,21

0.62

Jun

7,95

8,95

190

4,95

420

2,28

1(3

6,23

0)13

,296

42,8

000

041

3,00

734

7,27

387

59,

009,

772

3.92

%2,

297.

23Ju

l9,

009,

772

827,

423

131,

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40,6

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58,6

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(1,0

87,3

68)

6,47

98,

625,

147

(11.

05)%

2,04

3.30

Aug

8,62

5,14

786

5,92

731

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(169

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)14

,237

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299

(190

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(82,

103)

6,50

65,

522

9,85

7,73

80.

07%

2,13

6.04

Nov

9,85

7,73

80

546,

171

80,9

2314

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900

0(7

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1992

Jan

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$18,

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$48,

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5)$

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21$1

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1(1

5.51

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Feb

10,5

45,3

110

0(2

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22)

15,8

1846

,313

00

(315

,196

)(5

77,9

13)

17,4

029,

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(5.4

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2,27

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Mar

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163,

626

(236

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45,3

780

048

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2,22

0.48

Apr

9,59

0,01

30

77,6

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17)

14,3

8542

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00

106,

240

(381

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4,27

2)9,

116,

498

(3.9

8)%

2,13

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May

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80

168,

403

(374

,538

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,675

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400

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2,68

1(2

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18,

734,

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Jun

8,73

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973

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336

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364

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513)

8,86

6,94

78.

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Jul

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70

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272)

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2,84

4.21

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2,51

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8,43

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151,

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s)In

tere

stIn

com

eB

roke

rage

Com

mis

sion

s

Man

agem

ent

and

Ince

ntiv

eF

ees

Oth

erE

xpen

ses

Cha

nge

inU

nrea

lized

Pro

fitor

(Los

s)

Net

Pro

fitor

(Los

s)

Pro

For

ma

Equ

ity

Adj

ustm

ent

End

ing

Equ

ity

Mon

thly

Rat

eof

Ret

urn

VA

MI

2007

Jan

$58,

161,

219

$6,1

74,0

00$

225,

457

$47

9,26

4$

96,5

03$3

03,4

43$

201,

795

$0$

698,

219

$76

8,74

8$

37,6

81$6

4,91

6,19

21.

19%

$18,

767.

00Fe

b64

,916

,192

3,05

0,42

31,

015,

179

(98,

368)

101,

950

301,

660

(178

,992

)0

(2,7

46,4

75)

(2,8

65,5

61)

23,5

9364

,109

,468

(4.2

2)%

17,9

75.7

5M

ar64

,109

,468

829,

100

580,

346

(4,8

85,7

14)

97,4

0828

7,69

4(2

9,12

2)0

2,05

3,94

0(2

,992

,938

)38

,654

61,4

03,9

38(4

.61)

%17

,147

.27

Apr

61,4

03,9

381,

272,

755

3,17

6,19

4(6

84,5

82)

94,0

1530

6,31

70

04,

144,

591

3,24

7,70

828

,005

62,7

76,2

115.

18%

18,0

35.7

9M

ay62

,776

,211

539,

219

869,

728

3,00

6,29

494

,973

308,

453

188,

460

027

5,81

62,

880,

170

31,2

5265

,357

,124

4.55

%18

,856

.23

Jun

65,3

57,1

2412

4,80

51,

043,

870

6,95

2,96

698

,223

318,

488

377,

293

0(3

,670

,844

)2,

684,

565

41,0

8067

,163

,704

4.10

%19

,629

.28

Jul

67,1

63,7

041,

799,

297

165,

484

(587

,549

)10

3,44

530

8,41

025

,714

0(1

,795

,669

)(2

,613

,897

)46

,128

66,2

29,7

47(3

.79)

%18

,885

.27

Aug

66,2

29,7

4733

7,00

01,

134,

931

(1,8

71,6

99)

99,8

5029

7,54

6(2

5,65

7)0

(460

,710

)(2

,504

,449

)35

,270

62,9

62,6

38(3

.76)

%18

,174

.75

Sep

62,9

62,6

3897

1,43

070

7,61

289

8,83

095

,901

324,

875

395,

576

05,

314,

462

5,58

8,74

222

,635

68,8

37,8

348.

74%

19,7

63.4

8O

ct68

,837

,834

1,29

9,98

01,

010,

984

1,83

5,86

410

5,20

734

4,77

641

0,61

30

2,46

7,35

03,

653,

031

18,2

8072

,798

,141

5.21

%20

,792

.83

Nov

72,7

98,1

4125

2,69

362

9,59

05,

198,

691

109,

576

337,

560

90,1

850

(5,3

73,1

81)

(492

,658

)13

,295

71,9

41,8

81(0

.67)

%20

,652

.60

Dec

71,9

41,8

8128

7,90

060

6,81

51,

927,

919

108,

345

337,

735

86,2

220

(1,2

42,2

09)

370,

096

84,8

4472

,077

,907

0.51

%20

,758

.42

Yea

rto

Dat

eR

etur

n11

.93%

2008

Jan

$72,

077,

907

$22

6,06

1$

766,

896

$89

2,63

6$1

08,4

56$3

46,2

38$

408,

418

$0$

1,55

7,18

9$

1,80

3,62

5$

(2,0

80)

$73,

338,

617

2.49

%$2

1,27

6.24

Feb

73,3

38,6

171,

417,

510

589,

680

6,19

2,58

111

2,13

438

9,58

31,

799,

033

03,

173,

304

7,28

9,40

3(6

5,13

4)81

,390

,715

9.75

%23

,350

.87

Mar

81,3

90,7

153,

088,

108

8,86

3,56

45,

096,

406

126,

718

389,

852

(114

,122

)0

(5,4

09,5

51)

(462

,158

)(7

1,18

5)75

,081

,916

(0.5

5)%

23,2

23.1

2A

pr75

,081

,916

567,

890

1,66

9,76

5(1

53,4

08)

113,

475

351,

784

59,3

800

451,

495

398

(96,

390)

73,8

84,0

490.

00%

23,2

23.2

5M

ay73

,884

,049

1,70

5,95

982

1,26

21,

611,

039

113,

385

360,

959

399,

994

073

0,78

71,

694,

257

(102

,179

)76

,360

,825

2.24

%23

,743

.77

Jun

76,3

60,8

252,

015,

491

46,9

362,

455,

909

117,

564

379,

037

684,

834

01,

004,

125

2,51

3,72

8(1

11,8

38)

80,7

31,2

693.

21%

24,5

05.2

9Ju

l80

,731

,269

2,14

1,00

525

8,95

1(1

,509

,323

)12

4,30

836

6,13

20

0(2

,323

,678

)(4

,074

,824

)(1

14,8

05)

78,4

23,6

93(4

.92)

%23

,300

.37

Aug

78,4

23,6

931,

151,

840

573,

532

(2,0

70,2

16)

119,

363

361,

387

00

512,

975

(1,7

99,2

65)

(116

,680

)77

,086

,056

(2.2

6)%

22,7

73.5

3Se

p77

,086

,056

2,59

8,42

91,

544,

648

2,24

3,18

811

9,52

737

5,71

315

,813

0(8

12,0

30)

1,15

9,15

9(1

11,6

19)

79,1

87,3

781.

45%

23,1

04.8

1O

ct79

,187

,378

1,02

4,79

01,

155,

814

3,35

5,84

312

0,31

839

3,94

366

3,47

60

1,48

8,62

43,

907,

367

-88,

577

82,8

75,1

444.

87%

24,2

30.3

1N

ov82

,875

,144

1,09

3,00

01,

183,

928

2,73

0,46

312

5,95

240

3,03

433

1,89

60

317,

845

2,43

9,33

0-1

21,2

4885

,102

,297

2.91

%24

,934

.22

Dec

85,1

02,2

974,

772,

900

1,72

6,24

42,

787,

096

134,

813

423,

803

213,

979

0-1

,164

,037

1,12

0,09

0-1

49,3

9589

,119

,647

1.25

%25

,244

.97

Yea

rto

Dat

eR

etur

n21

.61%

PAST

PE

RF

OR

MA

NC

EIS

NO

TN

EC

ESS

AR

ILY

IND

ICA

TIV

EO

FF

UT

UR

ER

ESU

LTS

SAI-E-11

Pro Forma Performance Record — Legacy 2 Class

The pro forma performance record following on pages SAI-E-13 through SAI-E-19 presents Grant Park’sClass A Class unit historical performance record from inception through December 2008, adjusted to giveapproximate effect to the aggregate fees and expenses applicable to the Legacy 2 Class units as if such feesand expenses had been applicable to all limited partnership interests in Grant Park. This pro formaperformance record should be reviewed in conjunction with the performance record found on pages 61 and 62of this prospectus.

This pro forma performance table is an approximation only, and is in no way intended to implythat Legacy 2 Class limited partners will experience the results depicted. All performance information isshown net of fees and expenses.

SAI-E-12

GR

AN

TPA

RK

LE

GA

CY

2P

RO

FO

RM

AP

ER

FO

RM

AN

CE

RE

CO

RD

(UN

AU

DIT

ED

)

Mo.

Star

ting

Equ

ity

Add

itio

nsR

edem

ptio

ns

Gro

ssR

ealiz

edP

rofit

(Los

s)In

tere

stIn

com

eB

roke

rage

Com

mis

sion

s

Man

agem

ent

and

Ince

ntiv

eF

ees

Oth

erE

xpen

ses

Cha

nge

inU

nrea

lized

Pro

fitor

(Los

s)

Net

Pro

fitor

(Los

s)

Pro

For

ma

Equ

ity

Adj

ustm

ent

End

ing

Equ

ity

Mon

thly

Rat

eof

Ret

urn

VA

MI

1989

Jan

$0

$2,0

28,0

00$

0$

(95,

772)

$3,

042

$10,

074

$12

,524

$0$

148,

905

$33

,577

$(1

3,90

9)$

2,04

7,66

81.

66%

$1,0

16.5

6Fe

b2,

047,

668

00

(31,

992)

3,07

29,

608

(12,

524)

0(3

0,81

9)(5

6,82

4)(1

0,45

2)1,

980,

392

(2.7

8)%

988.

35M

ar1,

980,

392

00

17,5

612,

971

11,7

1210

5,07

10

422,

260

326,

009

17,3

982,

323,

799

16.4

6%1,

151.

05A

pr2,

323,

799

00

144,

515

3,48

610

,168

00

(368

,026

)(2

30,1

94)

9,11

52,

102,

720

(9.9

1)%

1,03

7.03

May

2,10

2,72

00

032

8,16

03,

154

13,3

8510

8,11

30

335,

376

545,

192

3,08

22,

650,

994

25.9

3%1,

305.

90Ju

n2,

650,

994

00

(79,

177)

3,97

612

,257

(30,

605)

0(3

9,82

4)(9

6,67

6)8,

816

2,56

3,13

4(3

.65)

%1,

258.

28Ju

l2,

563,

134

025

4,54

48,

641

3,84

512

,565

7,24

30

24,0

6916

,746

1,19

82,

326,

534

0.65

%1,

266.

50A

ug2,

326,

534

738,

000

0(2

24,4

33)

4,59

711

,591

(7,2

43)

0(4

46,6

48)

(670

,832

)5,

327

2,39

9,02

9(2

1.89

)%98

9.26

Sep

2,39

9,02

915

1,47

80

(129

,405

)3,

826

12,2

170

010

2,68

4(3

5,11

2)(7

,852

)2,

507,

543

(1.3

8)%

975.

64O

ct2,

507,

543

281,

000

0(3

42,4

40)

4,18

311

,031

00

(168

,105

)(5

17,3

93)

3,56

92,

274,

719

(18.

55)%

794.

62N

ov2,

274,

719

30,0

000

94,3

623,

457

11,7

890

036

,584

122,

614

1,09

82,

428,

431

5.32

%83

6.90

Dec

2,42

8,43

170

,000

54,5

1056

6,31

93,

748

15,7

250

018

5,04

973

9,39

0(1

4,89

1)3,

168,

420

29.5

9%1,

084.

57Y

ear

toD

ate

Ret

urn

8.46

%

1990

Jan

$3,1

68,4

20$

0$1

45,2

24$

(192

,222

)$

4,75

3$1

6,21

9$

0$0

$37

4,69

0$

171,

002

$(6

,121

)$

3,18

8,07

75.

40%

$1,1

43.1

0Fe

b3,

188,

077

00

249,

461

4,78

216

,539

24,3

520

(20,

493)

192,

859

8,65

43,

389,

590

6.05

%1,

212.

25M

ar3,

389,

590

026

4,16

076

7,14

85,

084

21,3

5125

3,75

20

255,

659

752,

788

(276

)3,

877,

942

22.2

1%1,

481.

48A

pr3,

877,

942

40,0

000

911,

046

5,87

726

,677

396,

315

068

4,43

71,

178,

368

39,9

785,

136,

288

30.0

8%1,

927.

05M

ay5,

136,

288

255,

000

070

,023

8,08

720

,986

(265

,482

)0

(1,1

27,3

72)

(804

,767

)(4

7,20

4)4,

539,

317

(14.

93)%

1,63

9.40

Jun

4,53

9,31

710

0,00

00

479,

556

6,95

926

,669

215,

574

039

1,87

563

6,14

713

,420

5,28

8,88

413

.71%

1,86

4.19

Jul

5,28

8,88

475

,000

112,

509

(155

,963

)8,

046

31,3

8027

7,41

80

1,27

6,52

481

9,80

940

,094

6,11

1,27

815

.28%

2,14

9.12

Aug

6,11

1,27

833

2,16

035

6,62

23,

263,

700

9,66

540

,401

472,

732

0(1

,358

,056

)1,

402,

176

68,5

467,

557,

538

21.7

6%2,

616.

79Se

p7,

557,

538

077

,085

867,

905

11,3

3643

,404

349,

114

054

3,40

71,

030,

130

85,0

538,

595,

636

13.6

3%2,

973.

47O

ct8,

595,

636

012

9,32

570

,806

12,8

9344

,580

150,

228

054

4,11

643

3,00

738

,789

8,93

8,10

75.

04%

3,12

3.26

Nov

8,93

8,10

70

740,

000

1,82

7,98

513

,407

44,9

1681

,929

0(1

,486

,573

)22

7,97

524

,855

8,45

0,93

72.

55%

3,20

2.92

Dec

8,45

0,93

70

269,

232

(784

,467

)12

,676

39,5

80(7

1,47

7)0

509,

766

(230

,127

)6,

139

7,95

7,71

7(2

.72)

%3,

115.

70Y

ear

toD

ate

Ret

urn

187.

28%

1991

Jan

$7,9

57,7

17$

200,

000

$156

,415

$(6

76,2

49)

$12,

237

$34,

658

$0

$0$

(323

,115

)$(

1,02

1,78

5)$

13,6

18$

6,99

3,13

5(1

2.53

)%$2

,725

.45

Feb

6,99

3,13

50

61,6

51(2

72,2

99)

10,4

9029

,490

00

(629

,916

)(9

21,2

15)

(9,8

13)

6,00

0,45

6(1

3.17

)%2,

366.

42M

ar6,

000,

456

030

,000

(697

,927

)9,

001

29,5

620

080

4,75

786

,269

18,6

556,

075,

380

1.44

%2,

400.

45A

pr6,

075,

380

1,18

4,53

40

(89,

099)

10,8

9032

,938

00

(366

,846

)(4

77,9

94)

4,47

66,

786,

396

(6.5

8)%

2,24

2.40

May

6,78

6,39

61,

356,

881

30,0

0013

,778

12,2

1538

,751

00

(151

,853

)(1

64,6

11)

10,2

857,

958,

951

(2.0

2)%

2,19

7.07

Jun

7,95

8,95

190

4,95

420

2,28

1(3

6,23

0)13

,296

44,7

280

041

3,00

734

5,34

52,

803

9,00

9,77

23.

90%

2,28

2.67

Jul

9,00

9,77

282

7,42

313

1,15

9(8

02,8

04)

14,7

5642

,487

00

(258

,664

)(1

,089

,200

)8,

311

8,62

5,14

7(1

1.07

)%2,

029.

93A

ug8,

625,

147

865,

927

31,0

96(1

69,8

38)

14,2

3745

,162

00

8,29

9(1

92,4

64)

16,4

909,

284,

004

(2.0

3)%

1,98

8.76

Sep

9,28

4,00

40

65,8

5315

7,73

813

,926

48,0

610

048

7,98

561

1,58

815

,971

9,84

5,71

06.

59%

2,11

9.77

Oct

9,84

5,71

00

011

9,61

914

,769

47,8

400

0(8

2,10

3)4,

444

7,58

49,

857,

738

0.05

%2,

120.

73N

ov9,

857,

738

054

6,17

180

,923

14,7

8747

,748

00

(74,

549)

(26,

587)

5,69

89,

290,

678

(0.2

7)%

2,11

5.01

Dec

9,29

0,67

80

147,

158

1,40

6,64

613

,936

61,4

3225

6,45

30

1,99

8,83

43,

101,

531

224,

634

12,4

69,6

8533

.38%

2,82

1.07

Yea

rto

Dat

eR

etur

n(9

.46)

%

PAST

PE

RF

OR

MA

NC

EIS

NO

TN

EC

ESS

AR

ILY

IND

ICA

TIV

EO

FF

UT

UR

ER

ESU

LTS

SAI-E-13

GR

AN

TPA

RK

LE

GA

CY

2P

RO

FO

RM

AP

ER

FO

RM

AN

CE

RE

CO

RD

(UN

AU

DIT

ED

)

Mo.

Star

ting

Equ

ity

Add

itio

nsR

edem

ptio

ns

Gro

ssR

ealiz

edP

rofit

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Dec

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Mar

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2004

Jan

$33,

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$35

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Feb

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191,

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Mar

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SAI-E-19

SUPPLEMENTAL PERFORMANCE INFORMATIONNOTES TO PRO FORMA PERFORMANCE RECORD

A summary of the significant accounting policies that have been followed in preparing the Pro FormaPerformance Record is set forth below.

1. ‘‘Starting Equity’’ represents the sum of cash balances plus open trade equity (deficit) at thebeginning of each month.

2. ‘‘Additions’’ represent deposit of all cash or cash equivalents during each month.

3. ‘‘Redemptions’’ represent withdrawal of all cash or cash equivalents during each month, includingredemptions and distributions.

4. ‘‘Gross Realized Profit (Loss)’’ is the gross realized gain (loss) for the month before deduction forManagement and Incentive Fees and Pro Forma Other Expenses.

5. ‘‘Interest Income’’ is interest income from short-term deposits with the accounts of Grant Park eachmonth.

6. ‘‘Brokerage Commissions’’ include the commissions charged on closed trades and the commissionsthat would be charged to liquidate the positions open as of the end of each month.

7. ‘‘Management and Incentive Fees’’ represent the management and incentive fees charged to GrantPark.

8. ‘‘Other Expenses’’ represent (i) actual accounting, legal, custodial and printing fees, state taxes andother ongoing operating expenses, and (ii) pro forma additional expenses equal to 0.25% of netassets per year.

9. ‘‘Change in Unrealized Profit (Loss)’’ represents the total increase (decrease) in unrealized profit(loss) on open futures positions during each month.

10. ‘‘Net Profit (Loss)’’ equals Gross Realized Profit (Loss), plus Interest Income, plus Change inUnrealized Profit (Loss) minus Brokerage Commissions, Management and Incentive Fees and ProForma Other Expenses.

11. ‘‘Pro Forma Equity Adjustment’’ offsets the effect of Pro Forma Other Expenses.

12. ‘‘Ending Equity’’ equals Starting Equity plus Additions, minus Redemptions and Net Profit (Loss)plus Pro Forma Equity Adjustment.

13. ‘‘Monthly Rate of Return’’ equals Net Profit (Loss) divided by Starting Equity plus Additions lessRedemptions.

14. ‘‘Year to Date Return’’ represents the compounded rate of return for Grant Park for each year, orportion of each year, presented. Year to Date Rate of Return is computed by applying successivelythe respective Monthly Rates of Return for each month beginning with the first month of the yearpresented.

15. Performance is based on Class A unit performance with Class A unit expenses backed out and5.55% Legacy 1 expenses and 5.80% Legacy 2 expenses added into the performance. Incentive feesare assumed at 25% and pro forma for the period January 1989 through December 1991.Management and brokerage commission are assumed at 3.5% for the incentive fee calculation. Otherexpenses are included in the Brokerage commission column. Interest Pro Forma is assumed at 1.80%on the beginning balance plus additions.

SAI-E-20

SUPPLEMENTAL PERFORMANCE INFORMATION

Performance by Sector

The following table presents combined trading gains by sector for Grant Park from January 1, 2000through December 31, 2008.

Performance by SectorJanuary 2000 − December 2008

% Gains/(Losses) by Sector

Sector 2000 2001 2002 2003 2004 2005 2006 2007 2008

Currencies . . . . . . . . . . . . 3.1% 1.2% 14.6% 17.9% 1.3% (4.6)% 0.8% 5.7% 0.1%Interest rates . . . . . . . . . . . 18.5% 10.2% 10.1% 6.3% (1.0)% (1.0)% (1.0)% 7.2% 8.6%Metals . . . . . . . . . . . . . . (4.8)% 0.5% (2.0)% 4.3% (1.0)% 1.2% 10.8% 0.7% 3.0%Softs/Agriculturals/Meats . . (1.5)% (0.9)% 2.8% 1.0% 1.4% 0.6% (2.1)% 1.7% 4.8%Stock Indices . . . . . . . . . . (8.3)% 4.7% (0.1)% 3.6% (1.2)% 5.1% 6.9% (2.3)% 5.6%Energy . . . . . . . . . . . . . . 7.8% (2.3)% 1.6% (0.2)% 3.2% 1.0% (1.7)% 5.0% 8.4%Miscellaneous . . . . . . . . . (0.5)% (0.1)% (1.8)% 1.5% (0.7)% (0.1)% 0.0% 0.0% 0.0%Total Trading Gains . . . . . 14.3% 13.3% 25.2% 34.4% 2.0% 2.2% 13.7% 18.0% 30.5%Class A Unit Return . . . . . 11.0% 7.0% 15.3% 20.0% (7.6)% (3.4)% 9.1% 12.6% 19.9%

This table was prepared by Dearborn Capital Management, L.L.C.


ALL PERFORMANCE REPORTED FOR GRANT PARK IS FOR CLASS A UNITS AND IS NETOF FEES AND EXPENSES

SAI-E-21


Comparative Performance Statistics

The table below compares various performance statistics for Grant Park, the S&P 500 Index, the MSCIEAFE Index, the NASDAQ Composite Index, and the Lehman Brothers U.S. Government Index (Longsubset) Index from January 1989, the date of Grant Park’s inception, through December 2008.

Comparative Performance StatisticsJanuary 1989 − December 2008

Grant ParkFutures Fund

A Units

Grant ParkFutures Fund

B Units*S&P 500

IndexMSCI EAFE

Index

NasdaqComposite

Index

Lehman Bros.U.S. Gov’t

Index (LongSubset)

Rate of Return: December 2008 1.08% 1.01% 1.06% 6.02% 2.70% 9.33%Year to date 19.91% 18.88% (37.00)% (43.06)% (40.54)% 22.67%

Compound Annualized Rateof Return

Last 12 Months 19.91% 18.88% (37.00)% (43.06)% (40.54)% 22.67%Last 3 Years 13.80% 12.89% (8.36)% (6.92)% (10.58)% 11.15%Last 5 Years 5.63% 4.76% (2.19)% 2.10% (4.67)% 9.59%Since Jan. 1989* 16.23% 5.82% 8.43% 3.49% 7.36% 9.79%

Cumulative Returns: Last 12 Months 19.91% 18.88% (37.00)% (43.06)% (40.54)% 22.67%Last 3 Years 47.36% 43.86% (23.04)% (19.36)% (28.49)% 37.31%Last 5 Years 31.50% 26.18% (10.47)% 10.97% (21.28)% 58.05%Since Jan. 1989* 1926.33% 35.85% 404.18% 98.52% 314.13% 547.64%

Annualized StandardDeviation of MonthlyReturns (Risk):

Last 12 Months 12.72% 12.71% 21.02% 27.11% 26.59% 15.53%Last 3 Years 13.61% 13.59% 15.29% 19.54% 19.43% 10.42%Last 5 Years 14.49% 14.47% 12.86% 16.48% 17.45% 9.50%Since Jan. 1989* 29.11% 14.13% 14.51% 16.94% 23.83% 8.79%

Worst Case Decline: Last 5 Years (23.65)% (23.99)% (40.68)% (49.21)% (46.29)% (7.19)%Duration 2/04 to 8/04 2/04 to 8/04 10/07 - 11/08 10/07 to 11/08 10/07 to 11/08 8/05 to 5/06Since Jan. 1989* (38.87)% (23.99)% (44.73)% (49.21)% (75.04)% (11.80)%Duration 5/89 to 10/89 2/04 to 8/04 8/00 - 9/02 10/07 to 11/08 2/00 to 9/02 1/94 to 10/94

Correlation with S&P Index: Last 5 Years 0.07 0.07 1.00 0.89 0.93 (0.13)Correlation During S&P 500Index Positive Months:

Last 5 Years 0.37 0.37 1.00 0.39 0.74 (0.23)

Correlation During S&P 500Index Negative Months:

Last 5 Years (0.44) (0.44) 1.00 0.91 0.92 (0.00)

* Performance statistics for Grant Park Class B Units are limited as the units began trading on August 1,2003.


See the glossary in Appendix E for descriptions of the indices in this chart.


ALL PERFORMANCE REPORTED FOR GRANT PARK IS NET OF FEES AND EXPENSES

SAI-E-22


The chart below shows the worst peak-to-valley draw-down for Grant Park and several other indices.Worst peak-to-valley draw-down generally refers to the greatest loss in value of Grant Park or index duringconsecutive months for the period presented.

Worst Peak-to-Valley Draw-DownJanuary 1989 − December 2008

1989 90 91 92 93 94 95 96 97 98 99 2000 01 02 03 04 05 06 07 08

0.00%

-10.00%

-20.00%

-30.00%

-40.00%

-50.00%

-60.00%

Grant Park Class A Units

-38.87%May-Oct

1989MSCI EAFE Index

-49.21%Oct 2007-Nov 2008

CASAM CISDM

CTA Asset

Weighted Index

-10.69%Dec 1991-Apr 1992

Lehman Bros. U.S. Gov’t

Index (Long subset)

-11.80%Jan-Oct

1994

S&P 500 -44.73%Aug 2000-Sep 2002

This chart was prepared by Dearborn Capital Management, L.L.C.




SAI-E-23


Benchmark Comparison

The chart below shows the actual performance of Grant Park compared with the following marketbenchmarks: the MSCI EAFE Index, Bloomberg U.S. Generic Government 3-month Yield Index, MSCI U.S.REIT Index Total Return, Barclay BTOP50 Index, Dow Jones-AIG Commodity Index Total Return, LehmanBrothers U.S. Government Index (Long subset), S&P 500 Total Return Index, and HFRI Equity Hedge Index.

Compound Annualized Rate of ReturnBenchmark Comparison

January 1989 − December 2008

16.23%

12.98%

9.79%

8.43%

8.38%

5.69%

4.64%

4.34%

1.28%

0% 2% 4% 6% 8% 10% 12% 14% 16% 18%

Grant Park Class A Units

HFRI Equity Hedge Index***

Lehman Brothers U.S. Government Index (Long subset)

S&P 500 Total Return Index

Barclay BTOP50 Index

MSCI U.S. REIT Index Total Return**

Dow Jones-AIG Commodity Index Total Return*

Bloomberg U.S. Generic Government 3-month Yield Index

MSCI EAFE Index

Compound Annualized Rate of Return

* Performance data for the Dow Jones-AIG Commodity Index Total Return is for the period February 1991through December 2008

** Performance data for the MSCI U.S. REIT Index Total Return is for the period January 1995 throughDecember 2008

*** Performance data for the HFRI Equity Hedge Index is for the period January 1990 through December2008





SAI-E-24


Benchmark Comparison

The chart below shows the actual performance of Grant Park compared with the following marketbenchmarks: the S&P 500 Index, the NASDAQ Composite Index, the Lehman Brothers U.S. GovernmentIndex (Long subset) and the CASAM CISDM Commodity Trading Advisors Asset Weighted Index.

Growth of $10,000 Initial InvestmentBenchmark Comparison


$0

$20,000

$40,000

$60,000

$80,000

$100,000

$120,000

$140,000

$160,000

$180,000

$200,000

$220,000

1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008

Lehman Bros. U.S. Gov't Index (Long subset) S&P 500 Index NASDAQ Composite IndexGrant Park Class A CASAM CISDM CTA Asset Weighted Index

Grant Park A Units December 31, 2008: $202,632.55 (Unaudited)CASAM CISDM CTA Asset Weighted Index December 31, 2008: $72,095.74

S&P 500 Index December 31, 2008: $50,417.82Lehman Bros. U.S. Gov't Index (Long subset) December 31, 2008: $64,764.07

NASDAQ Composite Index December 31, 2008: $41,413.49





SAI-E-25


Performance History

The following chart illustrates the growth of a $10,000 initial investment in Grant Park on January 1,1989 at the end of each year through December 2008. As of December 31, 2008, that investment would havegrown to $202,632.55, assuming there were no additions or redemptions made over the course of theinvestment.

Performance History of a $10,000 InvestmentJanuary 1989 − December 2008

Value of a $10,000 initial investmentas of December 31, 2008: $202,632.55

$0

$20,000

$40,000

$60,000

$80,000

$100,000

$120,000

$140,000

$160,000

$180,000

$200,000

$220,000

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008




SAI-E-26


Performance Statistics

The following tables present historical performance information and other related information for GrantPark from January 1, 1989 through December 31, 2008.

Performance StatisticsJanuary 1989 − December 2008

Compounded Annual Rates of Return

12-Month . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19.91%36-Month . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13.80%60-Month . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.63%120-Month. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.08%Since Inception (January 1989) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16.23%

Other Performance Statistics

1 Month 12 Month

Average Rate of Return . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.60% 20.91%Average Gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.92% 31.79%Average Loss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4.70% -10.42%Best Period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35.80% 303.33%Worst Period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -21.72% -34.81%

Number of Profitable Months . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130Number of Unprofitable Months . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110Standard Deviation of Monthly Returns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.40%Annualized Standard Deviation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29.11%Annualized Sharpe Ratio (5.00%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.49

These tables were prepared by Dearborn Capital Management, L.L.C.

See the glossary in Appendix E for definitions relevant to these tables.



SAI-E-27


The following table shows the five worst peak-to-valley draw-downs for Grant Park from January 1,1989 through December 31, 2008. The table also reflects the length of the decline and the time to recover tonew highs.

Worst Peak-to-Valley Draw-DownsJanuary 1989 − December 2008

Period Decline Length Recovery

May 1989 − Oct 1989 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (38.87)% 5 Months 5 MonthsNov 1990 − Aug 1991 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (37.34)% 9 Months 20 MonthsMay 1995 − Oct 1995 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (36.88)% 5 Months 34 MonthsFeb 2004 − Aug 2004 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (23.65)% 6 Months 38 MonthsDec 1993 − Feb 1994 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (21.84)% 2 Months 3 Months




SAI-E-28


The tables below demonstrate that historically, Grant Park’s returns are not negatively correlated withstocks, but rather non-correlated and therefore perform independently from stocks. These tables compare theperformance of Grant Park during the ten best performing quarters of the S&P 500 Index since Grant Park’sinception in January 1989 through December 2008 and simultaneously during the ten worst performingquarters of the S&P 500 Index during the same time period.

Worst Peak-to-Valley Draw-DownsJanuary 1989 − December 2008

During 10 Best Quarters During 10 Worst Quarters

(Jan 1989 − December 2008) (Jan 1989 − December 2008)

# QtrS&P 500

IndexGrantPark # Qtr

S&P 500Index

GrantPark

(Unaudited) (Unaudited)

1 Dec-98 21.29% (5.77)% 1 Dec-08 (21.96)% 8.82%2 Jun-97 17.46% (8.97)% 2 Sep-02 (17.28)% 11.41%3 Jun-03 15.40% 11.08% 3 Sep-01 (14.68)% 6.80%4 Dec-99 14.88% (3.89)% 4 Sep-90 (13.75)% 63.55%5 Mar-91 14.52% (22.70)% 5 Jun-02 (13.39)% 12.20%6 Mar-98 13.95% 3.51% 6 Mar-01 (11.85)% 9.20%7 Dec-03 12.18% 7.68% 7 Sep-98 (9.95)% 31.98%8 Sep-89 10.71% (22.50)% 8 Mar-08 (9.45)% 11.69%9 Dec-01 10.69% (0.83)% 9 Sep-08 (8.37)% (6.12)%10 Mar-95 9.75% 25.41% 10 Dec-00 (7.82)% 19.66%

Average: 14.08% (1.70)% Average: (12.85)% 16.92%

These tables were prepared by Dearborn Capital Management, L.L.C.

See the glossary in Appendix E for a description of the S&P 500 Index.



SAI-E-29


The table below further demonstrates that, historically, Grant Park’s returns are not negatively correlatedwith stocks, but rather perform independently from stocks. As shown below, between January 1989 andDecember 2008, Grant Park and the S&P 500 Index have experienced positive returns simultaneously 34% ofthe time; losses simultaneously 16% of the time; and in 50% of the 240 months represented, the performanceof Grant Park and the S&P 500 Index has moved in opposite directions.

Correlation Analysis Grant Park and S&P 500 IndexJanuary 1989 – December 2008

or Returns were opposite

Both returned positive performance

Both returned negative performance

120 of 240 Months50%

81 of 240 Months34%

39 of 240 Months16%




The Effect of Adding Grant Park Futures Fund to an Investment Portfolio

Any discussion of return must also be weighed against the risk factors involved. Historically, the non-correlating aspect of managed futures has allowed investors to lower their overall portfolio risk whileenhancing return. The charts on the pages that follow demonstrate the effect of allocating increasingpercentages of an investment in Grant Park to a hypothetical portfolio of stocks and bonds. The first chartbegins with a portfolio consisting of 60% stocks and 40% bonds. An investment in Grant Park is added inincrements of 5% while the bond portion is reduced by a like amount. The allocations to stocks remain thesame. As the allocation to Grant Park is increased to 10%, returns increased while standard deviation, onemeasure of risk, decreased. An allocation greater than 10% to Grant Park resulted in increased return but riskincreased as well.

Prospective investors must be aware that the hypothetical analysis that follows below is dependent onperiods in which Grant Park outperforms other asset classes used in the portfolio. Grant Park may not,however, outperform the other asset classes during any particular time period. The charts below do notconstitute a recommendation that anyone invest more than 10% of his or her net worth, exclusive of home,furnishings and automobiles, which is the maximum investment permitted, in Grant Park.

SAI-E-30


The Effect of Adding Grant Park to a Hypothetical Portfolio of Stocks and BondsJanuary 1989 − December 2008

8.00%

9.00%

10.00%

11.00%

12.00%

13.00%

14.00%

8.50% 9.50% 10.50% 11.50% 12.50% 13.50% 14.50%

0% Grant Park40% Bonds60% Stocks




Annualized Standard Deviation of Monthly Returns


Com

poun

d A

nnua

lized

Rat

e of

Ret

urn

Grant Park 10% Allocation: Comp Ann. ROR = 10.51%; Std Dev = 9.46%

Grant Park 0% Allocation: Comp Ann. ROR = 9.48%; Std Dev = 9.53%

This chart, prepared by Dearborn Capital Management, L.L.C., contains historical trading results hypotheticallyblended assuming a quarterly rebalancing. The stocks are represented by the S&P 500 Index and the bonds are

represented by the Lehman Brothers U.S. Government Index (Long subset).Grant Park returns are net of all fees. See the glossary in Appendix E for descriptions of those indices.



HYPOTHETICAL PERFORMANCE RESULTS MAY HAVE MANY INHERENT LIMITATIONS,SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THATANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSESHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEENHYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLYACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THATTHEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION,HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICALTRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK INACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERETO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIALPOINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARENUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THEIMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLYACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTSAND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

SAI-E-31


The chart below shows the effect of allocating increasing percentages to Grant Park to a hypotheticalportfolio of stocks and bonds. In this example, allocations to Grant Park are added in increments of 5% whilethe allocation to stocks is reduced by a like amount. The allocations to bonds remain the same.


9.00%

10.00%

11.00%

12.00%

13.00%

14.00%

6.50% 7.50% 8.50% 9.50% 10.50% 11.50% 12.50% 13.50% 14.50% 15.50%







Com

poun

d A

nnua

lized

Rat

e of

Ret

urn

Grant Park 20% Allocation: Comp ROR = 11.70%; Std Dev = 8.94%Grant Park 10% Allocation: Comp ROR = 10.66%; Std Dev = 8.59%Grant Park 0% Allocation: Comp ROR = 9.48%; Std Dev = 9.53%







SAI-E-32


The chart below shows the effect of allocating increasing percentages to Grant Park to a hypotheticalportfolio of stocks and bonds. In this example, allocations to Grant Park are added in increments of 10%while the allocation to stocks and bonds are equally reduced by 5% increments. As the allocation to GrantPark is increased to 10%, returns increased while standard deviation, one measure of risk, decreased. Anallocation greater than 10% to Grant Park resulted in increased return but risk increased as well.


8.00%

9.00%

10.00%

11.00%

12.00%

13.00%

14.00%

8.00% 9.00% 10.00% 11.00% 12.00% 13.00% 14.00%







Com

poun

d A

nnua

lized

Rat

e of

Ret

urn

Grant Park 10% Allocation: Comp ROR = 10.59%; Std Dev = 8.99%

Grant Park 0% Allocation: Comp ROR = 9.48%; Std Dev = 9.53%







SAI-E-33


The chart below demonstrates the effect on a hypothetical portfolio both with and without an allocationto Grant Park. The first gray shaded line in the chart below represents performance of a portfolio consisting of60% stocks and 40% bonds compared to a portfolio of 50% stocks and 40% bonds and 10% allocated toGrant Park, which is represented by the black shaded line in the chart below. The portfolio with a 10%allocation to Grant Park resulted in a 24% better return than the portfolio consisting of stocks and bondsalone.

Value of Hypothetical $100,000 Portfolio with a 10% Allocation to theGrant Park Futures Fund A Units vs. a 60% Equity and 40% Bond Portfolio


$0$100,000$200,000$300,000$400,000$500,000$600,000$700,000$800,000$900,000

1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008

$ 611,720

$ 757,555

24%Difference

50% Equity - 40 % Bonds - 10% Grant Park: Annualized Std Dev 8.59% 60% Equity - 40 % Bonds: Annualized Std Dev 9.53%

This chart, prepared by Dearborn Capital Management, L.L.C., contains historical trading results hypotheticallyblended and rebalanced quarterly. The stock allocation is represented by the S&P 500 Index and the bonds are

represented by the Lehman Brothers U.S. Government Index (Long subset).Grant Park returns are net of all fees. See the glossary in Appendix E for a description of those indices.





SAI-E-34


The information in the following tables reflects the hypothetical performance of the trading advisors thatwill be trading for Grant Park’s GAM 1 Class, GAM 2 Class and GAM 3 Class units. For the GAM 1 Class,GAM 2 Class and GAM 3 Class units, between 10% and 20% of Grant Park’s assets will be allocated to eachof EMC, ETC, Graham, Transtrend, QIM, RCM and Winton. No representation is made that an investor inGrant Park will or is likely to achieve results comparable to those shown, or will make any profit or will notsuffer any loss.




SAI-E-35

SUP

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Cha

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End

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$1,0

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—$1

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$—

$56

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$—

$56

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$—

$1,4

96$

—$

54,8

04$(

54,8

04)

$1,0

00,0

00.0

05.

48%

1,05

4.80

Feb

1,00

0,00

0—

—82

,900

—82

,900

—1,

534

—81

,366

(81,

366)

1,00

0,00

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8.14

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003.

34%

1,08

7.75

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1,00

0,00

0—

—78

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—78

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—1,

528

—77

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(77,

272)

1,00

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1,14

9.29

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0—

—7,

700

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700

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39%

1,21

0.67

Nov

1,00

0,00

0—

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3,20

0)—

(13,

200)

—1,

398

—(1

4,59

8)14

,598

1,00

0,00

0.00

(1.4

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1,19

2.99

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1,00

0,00

0—

—55

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—55

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1,00

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5.43

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25.7

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2004

Jan

$1,0

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—$

—$

8,10

0$

—$

8,10

0$

—$1

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$—

$6,

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$(6

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)$1

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.00

0.67

%$1

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1,00

0,00

0—

—75

,200

—75

,200

—1,

523

—73

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(73,

677)

1,00

0,00

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7.37

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—1,

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40,5

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1,37

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0—

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Jun

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0—

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1,47

8.31

Aug

1,00

0,00

0—

—32

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—1,

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1,52

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0—

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(16,

900)

—1,

393

—18

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(18,

293)

1,00

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(1.8

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1,49

6.87

Nov

1,00

0,00

0—

—41

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—41

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—1,

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SAI-E-36

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Jan

$1,0

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—$

25,7

00$

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25,7

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$—

$24

,247

$(24

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)$1

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2.42

%$1

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Feb

1,00

0,00

0—

—(1

9,30

0)—

(19,

300)

—1,

389

—(2

0,68

9)20

,689

1,00

0,00

0.00

(2.0

7)%

1,55

1.20

Mar

1,00

0,00

0—

—21

,200

—21

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—1,

447

—19

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753)

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0,00

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06%

1,66

1.90

May

1,00

0,00

0—

—3,

900

—3,

900

—1,

422

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99%

1,64

4.16

Sep

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0,00

0—

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400)

—1,

402

—(1

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1,00

0,00

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(1.1

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1,62

4.75

Oct

1,00

0,00

0—

—12

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64%

1,68

6.00

Dec

1,00

0,00

0—

—5,

800

—5,

800

—1,

425

—4,

375

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75)

1,00

0,00

0.00

0.44

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38Y

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9.50

%

2007

Jan

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00,0

00$

—$

—$

22,7

00$

—$

22,7

00$

—$1

,449

$—

$21

,251

$(21

,251

)$1

,000

,000

.00

2.13

%$1

,729

.37

Feb

1,00

0,00

0—

—(1

9,00

0)—

(19,

000)

—1,

390

—(2

0,39

0)20

,390

1,00

0,00

0.00

(2.0

4)%

1,69

4.11

Mar

1,00

0,00

0—

—(3

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)—

(3,4

00)

—1,

412

—(4

,812

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812

1,00

0,00

0.00

(0.4

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1,68

5.95

Apr

1,00

0,00

0—

—47

,800

—47

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—1,

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—46

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316)

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0,00

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4.63

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08%

1,81

8.44

Jun

1,00

0,00

0—

—41

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—41

,600

—1,

476

—40

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124)

1,00

0,00

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4.01

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40Ju

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(7,9

00)

—(7

,900

)—

1,40

5—

(9,3

05)

9,30

51,

000,

000.

00(0

.93)

%1,

873.

80A

ug1,

000,

000

——

17,3

00—

17,3

00—

1,44

1—

15,8

59(1

5,85

9)1,

000,

000.

001.

59%

1,90

3.52

Sep

1,00

0,00

0—

—65

,700

—65

,700

—1,

510

—64

,190

(64,

190)

1,00

0,00

0.00

6.42

%2,

025.

71O

ct1,

000,

000

——

50,7

00—

50,7

00—

1,48

8—

49,2

12(4

9,21

2)1,

000,

000.

004.

92%

2,12

5.39

Nov

1,00

0,00

0—

—8,

500

—8,

500

—1,

429

—7,

071

(7,0

71)

1,00

0,00

0.00

0.71

%2,

140.

42D

ec1,

000,

000

——

13,1

00—

13,1

00—

1,43

5—

11,6

65(1

1,66

5)1,

000,

000.

001.

17%

2,16

5.39

Yea

rto

Dat

eR

etur

n27

.87%

2008

Jan

$1,0

00,0

00$

—$

—$

(3,5

00)

$—

$(3

,500

)$

—$1

,412

$—

$(4

,912

)$

4,91

2$1

,000

,000

.00

(0.4

9)%

$2,1

54.7

6Fe

b1,

000,

000

——

78,5

00—

78,5

00—

1,52

8—

76,9

72(7

6,97

2)1,

000,

000.

007.

70%

2,32

0.61

Mar

1,00

0,00

0—

—15

,200

—15

,200

—1,

438

—13

,762

(13,

762)

1,00

0,00

0.00

1.38

%2,

352.

55A

pr1,

000,

000

——

9,50

0—

9,50

0—

1,43

0—

8,07

0(8

,070

)1,

000,

000.

000.

81%

2,37

1.53

May

1,00

0,00

0—

—38

,500

—38

,500

—1,

471

—37

,029

(37,

029)

1,00

0,00

0.00

3.70

%2,

459.

35Ju

n1,

000,

000

——

27,7

00—

27,7

00—

1,45

6—

26,2

44(2

6,24

4)1,

000,

000.

002.

62%

2,52

3.89

Jul

1,00

0,00

0—

—(3

7,70

0)—

(37,

700)

—1,

363

—(3

9,06

3)39

,063

1,00

0,00

0.00

(3.9

1)%

2,42

5.30

Aug

1,00

0,00

0—

—6,

200

—6,

200

—1,

425

—4,

775

(4,7

75)

1,00

0,00

0.00

0.48

%2,

436.

88Se

p1,

000,

000

——

35,6

00—

35,6

00—

1,46

7—

34,1

33(3

4,13

3)1,

000,

000.

003.

41%

2,52

0.06

Oct

1,00

0,00

0—

—45

,700

—45

,700

—1,

481

—44

,219

(44,

219)

1,00

0,00

0.00

4.42

%2,

631.

49N

ov1,

000,

000

——

34,8

00—

34,8

00—

1,46

6—

33,3

34(3

3,33

4)1,

000,

000.

003.

33%

2,71

9.21

Dec

1,00

0,00

0—

—15

,100

—15

,100

—1,

438

—13

,662

(13,

662)

1,00

0,00

0.00

1.37

%2,

756.

36Y

ear

toD

ate

Ret

urn

27.2

9%

PAST

PE

RF

OR

MA

NC

EIS

NO

TN

EC

ESS

AR

ILY

IND

ICA

TIV

EO

FF

UT

UR

ER

ESU

LTS

SAI-E-37


Notes to Hypothetical:

1. Hypothetical equity of $1 million is used for this calculation.

2. Other Expenses include general partner fees, selling agent commissions and organization andoffering expenses.

3. The hypothetical track record for the GAM 1 Class uses commodity trading advisor RORs whichwere compiled using the individual track record for each commodity trading advisor’s proprietaryprogram. Individual commodity trading advisor ROR streams are gross of commodity tradingadvisor management fees, but are net of incentive fees, trading costs and brokerage commissions.As such the original break-even level for the GAM 1 Class of 3.31% will be adjusted to reflect theincentive fee, trading costs and brokerage commissions already included in each underlying RORstream. The adjusted break-even level will be 3.31% minus 0.11% (Incentive fee component) and1.50% (trading costs and brokerage commissions component) which equals 1.70%.

SAI-E-38

SUP

PL

EM

EN

TA

LP

ER

FO

RM

AN

CE

INF

OR

MA

TIO

N

GR

AN

TPA

RK

HY

PO

TH

ET

ICA

LP

ER

FO

RM

AN

CE

RE

CO

RD

OF

GA

M2

CL

ASS

UN

ITS

(UN

AU

DIT

ED

)

Mo.

Star

ting

Equ

ity

Add

itio

nsR

edem

ptio

ns

Gro

ssR

ealiz

edP

rofit

(Los

s)B

roke

rage

Com

mis

sion

s

Net

Rea

lized

Pro

fit(L

oss)

Inte

rest

Inco

me

Oth

erE

xpen

ses

Cha

nge

InU

nrea

lized

Pro

fitor

(Los

s)

Net

Pro

fitor

(Los

s)

Pro

For

ma

Equ

ity

Adj

ustm

ent

End

ing

Equ

ity

Mon

thly

Rat

eof

Ret

urn

VA

MI

2003

$1,0

00.0

0Ja

n$

—$1

,000

,000

$—

$56

,300

$—

$56

,300

$—

$1,7

16$

—$

54,5

84$(

54,5

84)

$1,0

00,0

00.0

05.

46%

1,05

4.58

Feb

1,00

0,00

0—

—82

,900

—82

,900

—1,

760

—81

,140

(81,

140)

1,00

0,00

0.00

8.11

%1,

140.

15M

ar1,

000,

000

——

(75,

900)

—(7

5,90

0)—

1,50

2—

(77,

402)

77,4

021,

000,

000.

00(7

.74)

%1,

051.

90A

pr1,

000,

000

——

34,9

00—

34,9

00—

1,68

2—

33,2

18(3

3,21

8)1,

000,

000.

003.

32%

1,08

6.85

May

1,00

0,00

0—

—78

,800

—78

,800

—1,

753

—77

,047

(77,

047)

1,00

0,00

0.00

7.70

%1,

170.

58Ju

n1,

000,

000

——

(27,

800)

—(2

7,80

0)—

1,58

0—

(29,

380)

29,3

801,

000,

000.

00(2

.94)

%1,

136.

19Ju

l1,

000,

000

——

11,7

00—

11,7

00—

1,64

4—

10,0

56(1

0,05

6)1,

000,

000.

001.

01%

1,14

7.62

Aug

1,00

0,00

0—

—7,

700

—7,

700

—1,

638

—6,

062

(6,0

62)

1,00

0,00

0.00

0.61

%1,

154.

57Se

p1,

000,

000

——

(5,3

00)

—(5

,300

)—

1,61

6—

(6,9

16)

6,91

61,

000,

000.

00(0

.69)

%1,

146.

59O

ct1,

000,

000

——

55,4

00—

55,4

00—

1,71

5—

53,6

85(5

3,68

5)1,

000,

000.

005.

37%

1,20

8.14

Nov

1,00

0,00

0—

—(1

3,20

0)—

(13,

200)

—1,

604

—(1

4,80

4)14

,804

1,00

0,00

0.00

(1.4

8)%

1,19

0.26

Dec

1,00

0,00

0—

—55

,800

—55

,800

—1,

716

—54

,084

(54,

084)

1,00

0,00

0.00

5.41

%1,

254.

63Y

ear

toD

ate

Ret

urn

25.4

6%

2004

Jan

$1,0

00,0

00$

—$

—$

8,10

0$

—$

8,10

0$

—$1

,638

$—

$6,

462

$(6

,462

)$1

,000

,000

.00

0.65

%$1

,262

.74

Feb

1,00

0,00

0—

—75

,200

—75

,200

—1,

747

—73

,453

(73,

453)

1,00

0,00

0.00

7.35

%1,

355.

49M

ar1,

000,

000

——

(34,

400)

—(3

4,40

0)—

1,56

9—

(35,

969)

35,9

691,

000,

000.

00(3

.60)

%1,

306.

74A

pr1,

000,

000

——

(60,

800)

—(6

0,80

0)—

1,52

6—

(62,

326)

62,3

261,

000,

000.

00(6

.23)

%1,

225.

29M

ay1,

000,

000

——

(4,4

00)

—(4

,400

)—

1,61

8—

(6,0

18)

6,01

81,

000,

000.

00(0

.60)

%1,

217.

92Ju

n1,

000,

000

——

(22,

900)

—(2

2,90

0)—

1,58

8—

(24,

488)

24,4

881,

000,

000.

00(2

.45)

%1,

188.

10Ju

l1,

000,

000

——

(12,

100)

—(1

2,10

0)—

1,60

5—

(13,

705)

13,7

051,

000,

000.

00(1

.37)

%1,

171.

81A

ug1,

000,

000

——

15,1

00—

15,1

00—

1,65

0—

13,4

50(1

3,45

0)1,

000,

000.

001.

35%

1,18

7.57

Sep

1,00

0,00

0—

—34

,100

—34

,100

—1,

680

—32

,420

(32,

420)

1,00

0,00

0.00

3.24

%1,

226.

07O

ct1,

000,

000

——

55,3

00—

55,3

00—

1,71

5—

53,5

85(5

3,58

5)1,

000,

000.

005.

36%

1,29

1.77

Nov

1,00

0,00

0—

—91

,700

—91

,700

—1,

774

—89

,926

(89,

926)

1,00

0,00

0.00

8.99

%1,

407.

94D

ec1,

000,

000

——

(5,8

00)

—(5

,800

)—

1,61

6—

(7,4

16)

7,41

61,

000,

000.

00(0

.74)

%1,

397.

50Y

ear

toD

ate

Ret

urn

11.3

9%

2005

Jan

$1,0

00,0

00$

—$

—$(

40,5

00)

$—

$(40

,500

)$

—$1

,559

$—

$(42

,059

)$

42,0

59$1

,000

,000

.00

(4.2

1)%

$1,3

38.7

2Fe

b1,

000,

000

——

25,4

00—

25,4

00—

1,66

6—

23,7

34(2

3,73

4)1,

000,

000.

002.

37%

1,37

0.49

Mar

1,00

0,00

0—

—25

,000

—25

,000

—1,

666

—23

,334

(23,

334)

1,00

0,00

0.00

2.33

%1,

402.

47A

pr1,

000,

000

——

(10,

600)

—(1

0,60

0)—

1,60

8—

(12,

208)

12,2

081,

000,

000.

00(1

.22)

%1,

385.

35M

ay1,

000,

000

——

42,1

00—

42,1

00—

1,69

3—

40,4

07(4

0,40

7)1,

000,

000.

004.

04%

1,44

1.33

Jun

1,00

0,00

0—

—19

,000

—19

,000

—1,

656

—17

,344

(17,

344)

1,00

0,00

0.00

1.73

%1,

466.

33Ju

l1,

000,

000

——

3,30

0—

3,30

0—

1,63

0—

1,67

0(1

,670

)1,

000,

000.

000.

17%

1,46

8.77

Aug

1,00

0,00

0—

—32

,600

—32

,600

—1,

678

—30

,922

(30,

922)

1,00

0,00

0.00

3.09

%1,

514.

19Se

p1,

000,

000

——

1,70

0—

1,70

0—

1,62

8—

72(7

2)1,

000,

000.

000.

01%

1,51

4.30

Oct

1,00

0,00

0—

—(1

6,90

0)—

(16,

900)

—1,

598

—(1

8,49

8)18

,498

1,00

0,00

0.00

(1.8

5)%

1,48

6.29

Nov

1,00

0,00

0—

—41

,800

—41

,800

—1,

693

—40

,107

(40,

107)

1,00

0,00

0.00

4.01

%1,

545.

90D

ec1,

000,

000

——

(5,5

00)

—(5

,500

)—

1,61

6—

(7,1

16)

7,11

61,

000,

000.

00(0

.71)

%1,

534.

90Y

ear

toD

ate

Ret

urn

9.83

%

PAST

PE

RF

OR

MA

NC

EIS

NO

TN

EC

ESS

AR

ILY

IND

ICA

TIV

EO

FF

UT

UR

ER

ESU

LTS

SAI-E-39

SUP

PL

EM

EN

TA

LP

ER

FO

RM

AN

CE

INF

OR

MA

TIO

N

GR

AN

TPA

RK

HY

PO

TH

ET

ICA

LP

ER

FO

RM

AN

CE

RE

CO

RD

OF

GA

M2

CL

ASS

UN

ITS

(UN

AU

DIT

ED

)

Mo.

Star

ting

Equ

ity

Add

itio

nsR

edem

ptio

ns

Gro

ssR

ealiz

edP

rofit

(Los

s)B

roke

rage

Com

mis

sion

s

Net

Rea

lized

Pro

fit(L

oss)

Inte

rest

Inco

me

Oth

erE

xpen

ses

Cha

nge

InU

nrea

lized

Pro

fitor

(Los

s)

Net

Pro

fitor

(Los

s)

Pro

For

ma

Equ

ity

Adj

ustm

ent

End

ing

Equ

ity

Mon

thly

Rat

eof

Ret

urn

VA

MI

2006

Jan

$1,0

00,0

00$

—$

—$

25,7

00$

—$

25,7

00$

—$1

,667

$—

$24

,033

$(24

,033

)$1

,000

,000

.00

2.40

%$1

,571

.79

Feb

1,00

0,00

0—

—(1

9,30

0)—

(19,

300)

—1,

594

—(2

0,89

4)20

,894

1,00

0,00

0.00

(2.0

9)%

1,53

8.95

Mar

1,00

0,00

0—

—21

,200

—21

,200

—1,

659

—19

,541

(19,

541)

1,00

0,00

0.00

1.95

%1,

569.

02A

pr1,

000,

000

——

52,1

00—

52,1

00—

1,71

0—

50,3

90(5

0,39

0)1,

000,

000.

005.

04%

1,64

8.08

May

1,00

0,00

0—

—3,

900

—3,

900

—1,

631

—2,

269

(2,2

69)

1,00

0,00

0.00

0.23

%1,

651.

82Ju

n1,

000,

000

——

(12,

500)

—(1

2,50

0)—

1,60

5—

(14,

105)

14,1

051,

000,

000.

00(1

.41)

%1,

628.

52Ju

l1,

000,

000

——

(17,

300)

—(1

7,30

0)—

1,59

7—

(18,

897)

18,8

971,

000,

000.

00(1

.89)

%1,

597.

75A

ug1,

000,

000

——

21,3

00—

21,3

00—

1,66

0—

19,6

40(1

9,64

0)1,

000,

000.

001.

96%

1,62

9.13

Sep

1,00

0,00

0—

—(1

0,40

0)—

(10,

400)

—1,

608

—(1

2,00

8)12

,008

1,00

0,00

0.00

(1.2

0)%

1,60

9.57

Oct

1,00

0,00

0—

—12

,400

—12

,400

—1,

645

—10

,755

(10,

755)

1,00

0,00

0.00

1.08

%1,

626.

88N

ov1,

000,

000

——

27,9

00—

27,9

00—

1,67

0—

26,2

30(2

6,23

0)1,

000,

000.

002.

62%

1,66

9.55

Dec

1,00

0,00

0—

—5,

800

—5,

800

—1,

634

—4,

166

(4,1

66)

1,00

0,00

0.00

0.42

%1,

676.

51Y

ear

toD

ate

Ret

urn

9.23

%

2007

Jan

$1,0

00,0

00$

—$

—$

22,7

00$

—$

22,7

00$

—$1

,662

$—

$21

,038

$(21

,038

)$1

,000

,000

.00

2.10

%$1

,711

.78

Feb

1,00

0,00

0—

—(1

9,00

0)—

(19,

000)

—1,

594

—(2

0,59

4)20

,594

1,00

0,00

0.00

(2.0

6)%

1,67

6.52

Mar

1,00

0,00

0—

—(3

,400

)—

(3,4

00)

—1,

619

—(5

,019

)5,

019

1,00

0,00

0.00

(0.5

0)%

1,66

8.11

Apr

1,00

0,00

0—

—47

,800

—47

,800

—1,

703

—46

,097

(46,

097)

1,00

0,00

0.00

4.61

%1,

745.

00M

ay1,

000,

000

——

32,3

00—

32,3

00—

1,67

7—

30,6

23(3

0,62

3)1,

000,

000.

003.

06%

1,79

8.44

Jun

1,00

0,00

0—

—41

,600

—41

,600

—1,

693

—39

,907

(39,

907)

1,00

0,00

0.00

3.99

%1,

870.

21Ju

l1,

000,

000

——

(7,9

00)

—(7

,900

)—

1,61

2—

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12)

9,51

21,

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000.

00(0

.95)

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852.

42A

ug1,

000,

000

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17,3

00—

17,3

00—

1,65

3—

15,6

47(1

5,64

7)1,

000,

000.

001.

56%

1,88

1.41

Sep

1,00

0,00

0—

—65

,700

—65

,700

—1,

732

—63

,968

(63,

968)

1,00

0,00

0.00

6.40

%2,

001.

76O

ct1,

000,

000

——

50,7

00—

50,7

00—

1,70

7—

48,9

93(4

8,99

3)1,

000,

000.

004.

90%

2,09

9.83

Nov

1,00

0,00

0—

—8,

500

—8,

500

—1,

639

—6,

861

(6,8

61)

1,00

0,00

0.00

0.69

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114.

24D

ec1,

000,

000

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13,1

00—

13,1

00—

1,64

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11,4

54(1

1,45

4)1,

000,

000.

001.

15%

2,13

8.45

Yea

rto

Dat

eR

etur

n27

.55%

2008

Jan

$1,0

00,0

00$

—$

—$

(3,5

00)

$—

$(3

,500

)$

—$1

,619

$—

$(5

,119

)$

5,11

9$1

,000

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(0.5

1)%

$2,1

27.5

0Fe

b1,

000,

000

——

78,5

00—

78,5

00—

1,75

3—

76,7

47(7

6,74

7)1,

000,

000.

007.

67%

2,29

0.78

Mar

1,00

0,00

0—

—15

,200

—15

,200

—1,

650

—13

,550

(13,

550)

1,00

0,00

0.00

1.36

%2,

321.

83A

pr1,

000,

000

——

9,50

0—

9,50

0—

1,64

0—

7,86

0(7

,860

)1,

000,

000.

000.

79%

2,34

0.07

May

1,00

0,00

0—

—38

,500

—38

,500

—1,

688

—36

,812

(36,

812)

1,00

0,00

0.00

3.68

%2,

426.

22Ju

n1,

000,

000

——

27,7

00—

27,7

00—

1,67

0—

26,0

30(2

6,03

0)1,

000,

000.

002.

60%

2,48

9.37

Jul

1,00

0,00

0—

—(3

7,70

0)—

(37,

700)

—1,

564

—(3

9,26

4)39

,264

1,00

0,00

0.00

(3.9

3)%

2,39

1.63

Aug

1,00

0,00

0—

—6,

200

—6,

200

—1,

635

—4,

565

(4,5

65)

1,00

0,00

0.00

0.46

%2,

402.

55Se

p1,

000,

000

——

35,6

00—

35,6

00—

1,68

3—

33,9

17(3

3,91

7)1,

000,

000.

003.

39%

2,48

4.03

Oct

1,00

0,00

0—

—45

,700

—45

,700

—1,

699

—44

,001

(44,

001)

1,00

0,00

0.00

4.40

%2,

593.

33N

ov1,

000,

000

——

34,8

00—

34,8

00—

1,68

2—

33,1

18(3

3,11

8)1,

000,

000.

003.

31%

2,67

9.22

Dec

1,00

0,00

0—

—15

,100

—15

,100

—1,

650

—13

,450

(13,

450)

1,00

0,00

0.00

1.35

%2,

715.

26Y

ear

toD

ate

Ret

urn

26.9

7%

PAST

PE

RF

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MA

NC

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NO

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ESS

AR

ILY

IND

ICA

TIV

EO

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UT

UR

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ESU

LTS

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MA

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ting

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ity

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itio

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ptio

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ses

Cha

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Pro

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Pro

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ma

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ity

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ustm

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End

ing

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ity

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thly

Rat

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VA

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$1,0

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$1,0

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00$

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56,3

00$

—$

56,3

00$

—$3

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$—

$53

,043

$(53

,043

)$1

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.00

5.30

%1,

053.

04Fe

b1,

000,

000

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82,9

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82,9

00—

3,33

9—

79,5

61(7

9,56

1)1,

000,

000.

007.

96%

1,13

6.82

Mar

1,00

0,00

0—

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5,90

0)—

(75,

900)

—2,

849

—(7

8,74

9)78

,749

1,00

0,00

0.00

(7.8

7)%

1,04

7.30

Apr

1,00

0,00

0—

—34

,900

—34

,900

—3,

191

—31

,709

(31,

709)

1,00

0,00

0.00

3.17

%1,

080.

51M

ay1,

000,

000

——

78,8

00—

78,8

00—

3,32

6—

75,4

74(7

5,47

4)1,

000,

000.

007.

55%

1,16

2.06

Jun

1,00

0,00

0—

—(2

7,80

0)—

(27,

800)

—2,

998

—(3

0,79

8)30

,798

1,00

0,00

0.00

(3.0

8)%

1,12

6.27

Jul

1,00

0,00

0—

—11

,700

—11

,700

—3,

119

—8,

581

(8,5

81)

1,00

0,00

0.00

0.86

%1,

135.

93A

ug1,

000,

000

——

7,70

0—

7,70

0—

3,10

7—

4,59

3(4

,593

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000,

000.

000.

46%

1,14

1.15

Sep

1,00

0,00

0—

—(5

,300

)—

(5,3

00)

—3,

067

—(8

,367

)8,

367

1,00

0,00

0.00

(0.8

4)%

1,13

1.60

Oct

1,00

0,00

0—

—55

,400

—55

,400

—3,

254

—52

,146

(52,

146)

1,00

0,00

0.00

5.21

%1,

190.

61N

ov1,

000,

000

——

(13,

200)

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3,20

0)—

3,04

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(16,

243)

16,2

431,

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000.

00(1

.62)

%1,

171.

27D

ec1,

000,

000

——

55,8

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55,8

00—

3,25

5—

52,5

45(5

2,54

5)1,

000,

000.

005.

25%

1,23

2.82

Yea

rto

Dat

eR

etur

n23

.28%

2004

Jan

$1,0

00,0

00$

—$

—$

8,10

0$

—$

8,10

0$

—$3

,108

$—

$4,

992

$(4

,992

)$1

,000

,000

.00

0.50

%$1

,238

.97

Feb

1,00

0,00

0—

—75

,200

—75

,200

—3,

315

—71

,885

(71,

885)

1,00

0,00

0.00

7.19

%1,

328.

03M

ar1,

000,

000

——

(34,

400)

—(3

4,40

0)—

2,97

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(37,

377)

37,3

771,

000,

000.

00(3

.74)

%1,

278.

40A

pr1,

000,

000

——

(60,

800)

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2,89

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(63,

696)

63,6

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00(6

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196.

97M

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188.

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15,1

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70(1

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0)1,

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000.

001.

20%

1,15

3.36

Sep

1,00

0,00

0—

—34

,100

—34

,100

—3,

188

—30

,912

(30,

912)

1,00

0,00

0.00

3.09

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189.

01O

ct1,

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——

55,3

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55,3

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3,25

4—

52,0

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2,04

6)1,

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005.

20%

1,25

0.89

Nov

1,00

0,00

0—

—91

,700

—91

,700

—3,

366

—88

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(88,

334)

1,00

0,00

0.00

8.83

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361.

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00(0

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349.

32Y

ear

toD

ate

Ret

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9.45

%

2005

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40,5

00)

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$(40

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,958

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)$

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58$1

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$1,2

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25,4

00—

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38(2

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22%

1,31

9.38

Mar

1,00

0,00

0—

—25

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—3,

160

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840)

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Jun

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0—

—19

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142

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3,30

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206

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1,40

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Aug

1,00

0,00

0—

—32

,600

—32

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—3,

184

—29

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416)

1,00

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2.94

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444.

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1,70

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41,8

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41,8

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3,21

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38,5

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1,46

8.80

Dec

1,00

0,00

0—

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)—

(5,5

00)

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066

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566

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1,45

6.22

Yea

rto

Dat

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MA

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00$

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,163

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$22

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$(22

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)$1

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.00

2.25

%$1

,489

.04

Feb

1,00

0,00

0—

—(1

9,30

0)—

(19,

300)

—3,

024

—(2

2,32

4)22

,324

1,00

0,00

0.00

(2.2

3)%

1,45

5.79

Mar

1,00

0,00

0—

—21

,200

—21

,200

—3,

149

—18

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(18,

051)

1,00

0,00

0.00

1.81

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482.

07A

pr1,

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000

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52,1

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52,1

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3,24

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48,8

56(4

8,85

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004.

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1,55

4.48

May

1,00

0,00

0—

—3,

900

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900

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095

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05)

1,00

0,00

0.00

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555.

73Ju

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531.

55Ju

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300)

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330)

20,3

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500.

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21,3

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3,14

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18,1

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82%

1,52

7.65

Sep

1,00

0,00

0—

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0,40

0)—

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400)

—3,

051

—(1

3,45

1)13

,451

1,00

0,00

0.00

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5)%

1,50

7.10

Oct

1,00

0,00

0—

—12

,400

—12

,400

—3,

122

—9,

278

(9,2

78)

1,00

0,00

0.00

0.93

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521.

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27,9

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27,9

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3,16

9—

24,7

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4,73

1)1,

000,

000.

002.

47%

1,55

8.70

Dec

1,00

0,00

0—

—5,

800

—5,

800

—3,

101

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699

(2,6

99)

1,00

0,00

0.00

0.27

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562.

91Y

ear

toD

ate

Ret

urn

7.33

%

2007

Jan

$1,0

00,0

00$

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22,7

00$

—$

22,7

00$

—$3

,153

$—

$19

,547

$(19

,547

)$1

,000

,000

.00

1.95

%$1

,593

.46

Feb

1,00

0,00

0—

—(1

9,00

0)—

(19,

000)

—3,

025

—(2

2,02

5)22

,025

1,00

0,00

0.00

(2.2

0)%

1,55

8.36

Mar

1,00

0,00

0—

—(3

,400

)—

(3,4

00)

—3,

073

—(6

,473

)6,

473

1,00

0,00

0.00

(0.6

5)%

1,54

8.27

Apr

1,00

0,00

0—

—47

,800

—47

,800

—3,

231

—44

,569

(44,

569)

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0,00

0.00

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617.

28M

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——

32,3

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32,3

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3,18

3—

29,1

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9,11

7)1,

000,

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002.

91%

1,66

4.37

Jun

1,00

0,00

0—

—41

,600

—41

,600

—3,

212

—38

,388

(38,

388)

1,00

0,00

0.00

3.84

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728.

26Ju

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10,9

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17,3

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3,13

7—

14,1

63(1

4,16

3)1,

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42%

1,73

3.53

Sep

1,00

0,00

0—

—65

,700

—65

,700

—3,

286

—62

,414

(62,

414)

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SAI-E-43






SAI-E-44


The information included in the following table reflects the composite performance of the tradingprograms used by the current trading advisors to manage the assets of Class A and Class B units. Grant Park’sallocation to trading advisors has changed and evolved over time, and is subject to further change in thediscretion of Grant Park’s general partner. The performance figures that follow are from the trading advisor’scomposite performance tables representing the composite performance of all accounts traded under thesetrading programs. Although the general partner believes the information provided is reliable, it has notindependently verified such information and cannot guarantee its accuracy or completeness. Fees, expensesand performance of individual accounts making up the composite track records will differ from that of GrantPark. No representation is made that an investor in Grant Park will or is likely to achieve results comparableto those shown, or will make any profit or will not suffer any loss. For a more complete discussion of thetrading advisors and a more complete discussion of Grant Park’s performance and its fee structure, pleaserefer to pages 35 through 60 and pages 93 through 99, respectively, of this prospectus.

SAI-E-45

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(1)

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rang

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each

trad

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the

glos

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ppen

dix

Efo

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finiti

ons

rele

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toth

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AL

LP

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RE

SULT

S.

SAI-E-46

APPENDIX A

THIRD AMENDED AND RESTATEDLIMITED PARTNERSHIP AGREEMENT

OFGRANT PARK FUTURES FUND LIMITED PARTNERSHIP

This THIRD AMENDED AND RESTATED LIMITED PARTNERSHIP AGREEMENT, effective as ofJune 30, 2003, by and among Dearborn Capital Management, L.L.C., an Illinois limited liability company, asthe General Partner, the Limited Partners of the Partnership as of the date hereof and those other parties whoagree to be bound hereby as Limited Partners in the future, amends and restates in its entirety the SecondAmended and Restated Limited Partnership Agreement of the Partnership dated as of April 1, 2003.

The above parties formed the Partnership on August 26, 1988 and now desire to continue the business ofthe Partnership described in Article IV hereof upon the terms and conditions hereinafter set forth.

It is, therefore, agreed as follows:

ARTICLE IDEFINITIONS.

1.1 Act. The term ‘‘Act’’ shall refer to the Revised Uniform Limited Partnership Act of the State ofIllinois.

1.2 Administrator. The term ‘‘Administrator’’ shall refer to an official or agency administering thesecurities laws of a state.

1.3 Affıliate. The term ‘‘Affiliate’’ with respect to any Person shall refer to: (i) any Person directly orindirectly owning, controlling or holding with power to vote 10% or more of the outstanding voting securitiesof such Person; (ii) any Person 10% or more of whose outstanding voting securities are directly or indirectlyowned, controlled or held with power to vote, by such Person; (iii) any Person, directly or indirectly,controlling, controlled by or under common control of such Person; (iv) any officer, director or partner of suchPerson; or (v) if such Person is an officer, director or partner, any Person for which such Person acts in suchcapacity.

1.4 Agreement. The term ‘‘Agreement’’ shall refer to this Third Amended and Restated LimitedPartnership Agreement, as amended, modified or supplemented from time to time.

1.5 Allocated Net Assets. The term ‘‘Allocated Net Assets’’ shall refer to that portion of the Net Assetsof the Partnership allocated to a Trading Advisor by the General Partner and subject to the Trading Advisor’strading discretion (including any notional funds), together with any appreciation or depreciation in suchAllocated Net Assets.

1.6 Capital Contributions. The term ‘‘Capital Contributions’’ shall refer to the total cash investment inthe Partnership by a Partner or by all Partners, as the case may be, unless the context requires otherwise.

1.7 Class. The term ‘‘Class’’ shall refer to a separate class of the Partnership, the Units of which shallbe beneficial interests in the Partnership separately identified with and belonging to such Class.

1.8 Clearing Broker. The term ‘‘Clearing Broker’’ shall refer to any Person who engages in the businessof effecting transactions in Commodity Interests for the accounts of others or for its own accounts and whohas been appointed by the General Partner to so act on behalf of the Partnership from time to time. As of thedate of this Agreement, the Partnership’s Clearing Brokers are Refco, Inc. and UBS Financial Services Inc.

1.9 Commodity Interests. The term ‘‘Commodity Interests’’ shall refer to U.S. and foreign futurescontracts, forward contracts and all other interests in commodities whether traded on an exchange or over-the-counter (including, without limitation, security futures contracts, foreign currencies, swap contracts, spotcontracts, and options contracts on futures contracts, forward contracts and physical commodities).

1.10 General Partner. The term ‘‘General Partner’’ shall refer to Dearborn Capital Management, L.L.C.,but in the event it is no longer acting as General Partner, the term shall mean the party or parties then actingin such capacity.

A-1

1.11 Limited Partners. The term ‘‘Limited Partners’’ shall refer to the Limited Partners of thePartnership as of the effective date hereof and all parties who agree to be bound by this Agreement as LimitedPartners following the effective date hereof, including parties admitted as additional or substituted LimitedPartners.

1.12 NASAA Guidelines. The term ‘‘NASAA Guidelines’’ shall refer to the Guidelines for theRegistration of Commodity Pool Programs promulgated by the North American Securities AdministratorsAssociation, Inc., as amended, modified or supplemented from time to time.

1.13 Net Asset Value. The terms ‘‘Net Asset Value’’ or ‘‘Net Assets’’ as of any date with respect to anyClass shall refer to: (i) the total assets of the Partnership constituting such Class as of such date including allcash and cash equivalents, plus the market value of all open Commodity Interest positions and U.S. Treasurybills; minus (ii) any brokerage commissions attributable to such Class that are payable directly by thePartnership (or which would be payable directly by the Partnership) if all open Commodity Interest positionswere closed as of the date the calculation is being made; and minus (iii) all other accrued liabilities of thePartnership as of such date attributable to such Class determined in accordance with generally acceptedaccounting principles. The market value of a Commodity Interest shall be that price quoted on the exchangeon which each such Commodity Interest is traded as of the close of each trading day, or if any suchCommodity Interest is not so traded, the fair market value of each Commodity Interest, as determined by theGeneral Partner. Each Class shall share in the assets, expenses and liabilities of the Partnership on a pro ratabasis with all other Classes, except to the extent otherwise specifically provided in this Agreement or to theextent that the General Partner determines, in good faith, that any expense or liability of the Partnership (or aportion thereof) should be attributable only to a particular Class or Classes (including, without limitation,expenses incurred in connection with the organization and offering of Units of a Class or Classes). Any suchdetermination shall be final and binding as to all Limited Partners. The terms ‘‘Net Asset Value’’ or ‘‘NetAssets’’ as of any date with respect to the Partnership as a whole shall refer to the sum of the Net AssetValues or Net Assets of all Classes as of such date. Without limitation to the foregoing, Net Assets shallinclude any unrealized profits or losses on open positions attributable to such Net Assets and any accrued feesor expenses (including fees based on a percentage of Net Assets) attributable to such Net Assets.

1.14 Net Asset Value per Unit. The term ‘‘Net Asset Value per Unit’’ with respect to Units of any Classshall refer to the Net Asset Value of such Class divided by the number of Units in such Class outstanding.

1.15 New Trading Profits on the Allocated Net Assets of each Trading Advisor. The term ‘‘New TradingProfits on the Allocated Net Assets of each Trading Advisor’’ shall mean the sum of (A) the net of any profits(excluding interest income) and losses realized on all trades closed out during the period on such AllocatedNet Assets, plus (B) the net of any unrealized profits and losses on open positions as of the end of suchperiod (after deduction for any accrued brokerage commissions payable directly by the Partnership) on suchAllocated Net Assets, minus (C) (i) the net of any unrealized profits or losses on open positions as of the endof the preceding period (after deduction for any accrued brokerage commissions payable directly by thePartnership) on such Allocated Net Assets, (ii) all expenses (except the incentive fee payable to such TradingAdvisor for the current period and applicable state taxes) attributable to such Allocated Net Assets, incurred oraccrued during such period, including without limitation, any management fees paid to the General Partnerand such Trading Advisor, any brokerage fee expressed as a percentage of Net Assets, and the Partnership’sother ongoing expenses, and (iii) cumulative net realized or unrealized trading losses on such Allocated NetAssets (reduced by a proportionate share of realized and unrealized trading losses on such Allocated NetAssets attributable to redeemed Units or reallocated amounts as of any redemption or reallocation date), ifany, carried forward from all preceding periods since the last period for which an incentive fee was payable tothe Trading Advisor. Notwithstanding the foregoing, the General Partner may, in its sole discretion, adjust thecomputation of New Trading Profits on the Allocated Net Assets with respect to any Trading Advisor toexclude or include certain expenses (or a portion thereof) for purposes of calculating such Trading Advisor’sincentive fee. The terms of such adjusted computation shall be set forth in the Advisory Contract by andamong the Partnership, the General Partner and such Trading Advisor.

A-2

1.16 Net Worth. The term ‘‘Net Worth’’ shall refer to the excess of total assets over total liabilities asdetermined by generally accepted accounting principles. Net Worth shall be determined exclusive of home,home furnishings and automobiles.

1.17 Organization and Offering Expenses. The term ‘‘Organization and Offering Expenses’’ shall referto all expenses incurred by the Partnership in connection with and in preparing any Class of Units forregistration and subsequently offering and distributing such Units to the public, including but not limited to,total Selling Agent, underwriting and brokerage discounts and commissions, expenses for printing, engraving,mailing, salaries of the General Partner’s employees while engaged in sales activity, charges of transfer agents,registrars, trustees, escrow holders, depositories, experts, expenses of qualification of the sale of such Unitsunder federal and state law, including taxes and fees, accountants’ and attorneys’ fees, to the extent applicable.

1.18 Partners. The term ‘‘Partners’’ shall refer to the General Partner and all Limited Partners, asconstituted from time to time, where no distinction is required by the context in which the term is used.

1.19 Partnership. The term ‘‘Partnership’’ shall refer to the limited partnership continued pursuant tothis Agreement by the parties hereto, as said partnership may from time to time be constituted.

1.20 Person. The term ‘‘Person’’ shall refer to any natural person, partnership, corporation, association orother legal entity.

1.21 Pit Brokerage Fees. The term ‘‘Pit Brokerage Fees’’ shall include floor brokerage, clearing fees,National Futures Association fees and exchange fees.

1.22 Prospectus. The term ‘‘Prospectus’’ shall refer to either the Confidential Private Offering Circularadopted by the General Partner in connection with the private offering of Units, or in the event of a publicoffering of Units, the final prospectus and disclosure document of the Partnership, contained in anyRegistration Statement that is filed with the Securities and Exchange Commission (‘‘SEC’’) and declaredeffective thereby, as the same at any time and from time to time may be amended or supplemented after theeffective date(s) of such Registration Statement(s).

1.23 Pyramiding. The term ‘‘Pyramiding’’ shall refer to a method of using all or a part of an unrealizedprofit in a Commodity Interest contract position to provide margin for any additional Commodity Interestcontracts of the same or related commodities.

1.24 Registration Statement. ‘‘Registration Statement’’ shall refer to a registration statement on FormS-1, as amended, that the General Partner may file for the Partnership with the SEC for the registration andpublic offering of the Units, as the same may at any time and from time to time be further amended orsupplemented.

1.25 Selling Agent. The term ‘‘Selling Agent’’ shall refer to any broker-dealer that is engaged by theGeneral Partner from time to time to offer and sell the Units to prospective Limited Partners. As of the date ofthis Agreement, the Partnership’s primary Selling Agents are UBS Financial Services Inc., A.G. Edwards &Sons, Inc. and Fahnestock & Co. Inc. The General Partner may replace the above named primary SellingAgents or engage additional Selling Agents in its sole discretion.

1.26 Sponsor. The term ‘‘Sponsor’’ shall refer to any Person directly or indirectly instrumental inorganizing the Partnership or any Person who will manage or participate in the management of thePartnership, including any Clearing Broker who pays any portion of the Organization and Offering Expensesof the Partnership, and the General Partner and any other Person who regularly performs or selects thePersons who performs service for the Partnership. The term ‘‘Sponsor’’ does not include wholly independentthird parties such as any attorneys, accountants, Selling Agents and underwriters whose only compensation isfor professional services rendered in connection with the offering of the Units. The term ‘‘Sponsor’’ shall bedeemed to include its Affiliates. As of the date of this Agreement, the Partnership’s sole Sponsor is DearbornCapital Management, L.L.C.

1.27 Trading Advisor. The term ‘‘Trading Advisor’’ shall refer to any Person who for considerationengages in the business of advising others, either directly or indirectly, as to the value, purchase or sale ofCommodity Interests and who has been appointed by the General Partner to so act on behalf of the

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Partnership from time to time. As of the date of this Agreement, the Partnership’s Trading Advisors are EMCCapital Management, Inc., Rabar Market Research, Inc., Eckhardt Trading Company and Graham CapitalManagement, L.P., Winton Capital Management Limited, Welton Investment Corporation, Transtrend B.V.,Global Advisors L.P., Quantitative Investment Management LLC.

1.28 Units. The term ‘‘Units’’ shall refer to the ownership interests in the Partnership acquired upon themaking of a Capital Contribution by the General Partner or a Limited Partner. Ownership of Units by aPartner constitutes an ownership interest of such Partner in the Partnership, including the right of such Partnerto any and all benefits to which a Partner may be entitled under this Agreement and the Act, together with theobligations of such Partner to comply with all the terms and provisions of this Agreement with which suchPartner is required to comply. The General Partner’s ownership of the Partnership shall be represented by‘‘General Partnership Units,’’ and a Limited Partner’s ownership of the Partnership shall be represented by‘‘Limited Partnership Units,’’ which Limited Partnership Units shall comprise one or more Classes as providedfor herein. From time to time, the General Partner also may subscribe for Limited Partnership Units of a Classor Classes upon such terms as are applicable to such Class(es) generally. When used in this Agreement, theterm ‘‘Unit’’ shall include both Limited Partnership Units and General Partnership Units, pari passu, unless thecontext requires otherwise. The Units may, but need not, be evidenced by certificates.

1.29 Unit Ownership Percentage. The term ‘‘Unit Ownership Percentage’’ with respect to each Partnerholding Units of a Class as of any date, shall refer to the number of Units owned by such Partner of suchClass, divided by the number of Units of such Class outstanding as of such date. The sum of the UnitOwnership Percentages as to each Class shall equal 100%.

1.30 Valuation Date. The term ‘‘Valuation Date’’ shall refer to the close of business on the last businessday of each calendar month (or portion thereof) of Partnership operations or such other day as determined bythe General Partner in its sole discretion and on which day the Net Asset Value of each Class is determined.The time on any such day when the close of business shall occur shall be determined in the sole discretion ofthe General Partner.

ARTICLE IICONTINUATION AND OFFERING.

2.1 Continuation of Partnership. The parties hereby agree to continue a limited partnership under theprovisions of the Act and the rights and liabilities of the Partners shall be as provided in that Act except asherein otherwise expressly provided.

2.2 Offering of Units. There is no maximum on the amount of Units being offered, but the GeneralPartner reserves the right to institute a maximum in the future. The minimum Capital Contribution required tosubscribe for Limited Partnership Units of any Class together with other related terms of offering shall bedetermined by the General Partner in its sole and absolute discretion, and shall be set forth in the Prospectus.

ARTICLE IIINAME AND PRINCIPAL PLACE OF BUSINESS.

3.1 Name. The business of the Partnership shall be conducted under the name of Grant Park FuturesFund Limited Partnership, or such other name as the General Partner may determine.

3.2 Principal Place of Business. The principal place of business of the Partnership shall be 550 WestJackson Boulevard, Suite 1300, Chicago, Illinois 60661, or such other place as the General Partner maydetermine.

ARTICLE IVPURPOSE.

The purpose of the Partnership shall be to seek profit from investing in, trading, buying, selling orotherwise acquiring, holding or disposing of: (i) Commodity Interests and all rights or interests in orpertaining thereto, and engaging in any other activities relating thereto; and (ii) any other investment productsor opportunities, investments, strategies, ventures or transactions deemed appropriate in the sole determinationof the General Partner including, without limitation, derivatives, currencies, short sales and all rights orinterests in or pertaining thereto, and engaging in any other activities relating thereto.

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ARTICLE VTERM.

The term of the Partnership commenced on August 26, 1988 and shall end on December 31, 2027, unlesssooner dissolved as hereinafter provided.

ARTICLE VICAPITAL CONTRIBUTIONS AND CAPITAL ACCOUNTS.

6.1 General Partner Capital Contribution; Net Worth of General Partner. The General Partner shall atall times, so long as it remains a general partner of the Partnership, own Units in the Partnership: (i) in anamount sufficient, in the opinion of counsel for the Partnership, for the Partnership to be taxed as apartnership rather than as an association taxable as a corporation; and (ii) during such time as the Units areregistered for sale to the public, in an amount at least equal to the greater of: (a) 1% of all CapitalContributions of all Partners to the Partnership; or (b) $25,000; or such other amount satisfying therequirements then imposed by the NASAA Guidelines. Further, during such time as the Units are registeredfor sale to the public, the General Partner shall, so long as it remains a general partner of the Partnership,maintain a Net Worth at least equal to the greater of: (i) 5% of the total Capital Contributions of all partnersand all limited partnerships to which it is a general partner (including the Partnership) plus 5% of the Unitsbeing offered for sale in the Partnership; or (ii) $50,000; or such other amount satisfying the requirementsthen imposed by the NASAA Guidelines. In no event, however, shall the General Partner be required tomaintain a Net Worth in excess of $1,000,000, or such other maximum amount satisfying the requirementsthen imposed by the NASAA Guidelines.

6.2 Establishment of Initial Classes; Nature of Classes. The General Partner shall have the power andauthority, without Limited Partner approval, to issue Units in one or more Classes from time to time as itdeems necessary or desirable. The General Partner shall have exclusive power without the requirement ofLimited Partner approval to establish and designate such separate and distinct Classes, as provided in Section6.3, and to fix and determine the relative rights and preferences as between the Units of the separate Classesrelative to any matter including, without limitation, fees, minimum Capital Contributions, payment of expensesand rights of redemption. Without limiting the authority of the General Partner set forth in this Section 6.2 toestablish and designate any further Classes, the General Partner hereby establishes and designates two (2)initial Classes of Limited Partnership Units, Class A Limited Partnership Units and Class B LimitedPartnership Units, having the relative rights and preferences set forth in the Prospectus and this Agreement.For the avoidance of doubt, the creation of separate Classes of Units shall be for accounting purposes only,and is not intended to separate or segregate the assets and liabilities of one Class from all other Classes forlegal or any other purposes. Further, for the avoidance of doubt, the General Partnership Units shall beaccounted for separately from all other Units and shall be considered the functional equivalent of a separate‘‘class’’ of Units for all purposes hereunder. Such General Partnership Units shall share in the profits, lossesand expenses of the Partnership on a pro rata basis, excluding any management fees, incentive fees andcertain other expenses (or a portion thereof) as determined by the General Partner in its sole discretion.

6.3 Establishment of Additional Classes. The establishment and designation of any Classes of Unitsother than those specifically named in Section 6.2 above shall be effective upon the execution by the GeneralPartner of an instrument setting forth such establishment and designation and the relative rights andpreferences of such Class, or as otherwise provided in such instrument. At any time that there are no Unitsoutstanding of any particular Class previously established and designated, the General Partner may by aninstrument executed by it abolish that Class and the establishment and designation thereof. Each instrumentreferred to in this Section 6.3 shall have the status of an amendment to this Agreement.

6.4 Division or Combination of Units. From time to time, the General Partner may divide or combinethe Units of any Class into a greater or lesser number without thereby changing the proportionate beneficialinterests in the Class. The General Partner may issue Units of any Class for such consideration and on suchterms as it may determine (or for no consideration if pursuant to a Unit distribution or split-up), all withoutaction or approval of the Limited Partners. The General Partner may classify or reclassify any unissued Unitsor any Units previously issued and reacquired of any Class into one or more Classes that may be establishedand designated from time to time. The General Partner may hold as treasury Units, reissue for such

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consideration and on such terms as it may determine, or cancel, at its discretion from time to time, any Unitsof any Class reacquired by the Partnership. The Units may be divided into fractional Units. Notwithstandingthe foregoing, the Units of any Class will be offered at such times as are set forth in the Prospectus at thethen applicable Net Asset Value per Unit of such Class.

6.5 Procedures for Becoming Limited Partner. A party shall become a Limited Partner at such time as:

(a) It has made a Capital Contribution of the Partnership for deposit in the Partnership’s accountestablished for that purpose, and such Capital Contribution has been accepted by the General Partner;

(b) It has executed and delivered to the General Partner a Subscription Agreement in form andsubstance acceptable to the General Partner and designating the Class of Units to be subscribed therefor;and

(c) The General Partner has designated such Person as a Limited Partner holding Units of theapplicable Class on the books and records of the Partnership.

6.6 Capital Accounts. A capital account shall be established for each Partner. The initial balance of eachPartner’s capital account shall be the amount of his initial Capital Contribution to the Partnership. Thereafter,each Partner’s capital account shall be: (i) increased by all net profits allocated to the Partner pursuant toSection 7.1 below and all subsequent Capital Contributions to the Partnership by such Partner; and (ii)decreased by (a) all net losses and items of expense allocated to the Partner pursuant to Section 7.1 below,(b) all distributions made to the Partner pursuant to Article VIII below and (c) all redemptions or withdrawalsmade by such Partner.

6.7 Units Fully Paid and Nonassessable. Once a Capital Contribution is made and accepted by theGeneral Partner, a Partner’s Units shall be fully paid and nonassessable.

6.8 Investment by General Partner and Affıliates. The General Partner, its principals, certain employeesof the General Partner and its Affiliates may make contributions for Units of such Class or Classes as theGeneral Partner may in its sole discretion determine.

6.9 Admission of Additional Limited Partners. The General Partner shall have complete discretionaryauthority regarding the admission of additional Limited Partners and the number which may be admitted,provided that no offer to additional investors shall be made if it would violate federal or state securities laws,the Commodity Exchange Act, as amended, or any other applicable laws.

6.10 No Right to Demand Return of Contribution. Except as specifically provided in Article XIII of thisAgreement, no Limited Partner shall have the right to demand the return of his contribution at any time or toreduce his contribution to the Partnership.

ARTICLE VIIALLOCATION OF NET PROFITS AND NET LOSSES.

7.1 Determination of Net Asset Value. The Net Asset Value of any Class shall be determined for eachValuation Date before any management fees and incentive fees payable with respect to Units of such Class asof such date. All net profits, net losses and items of expense attributable to a Class, before payment of anymanagement or incentive fees as of the end of such period shall then be credited or charged to the capitalaccounts of the Partners holding Units in such Class in proportion to their respective Unit OwnershipPercentages. Any management fees and incentive fees with respect to each Partner holding Units of a Classfor such period shall then be charged to the capital account of such Partner in proportion to his UnitOwnership Percentage. The amount of any distribution to a Partner and any amount paid to a Partner inredemption shall be charged to that Partner’s capital account. The General Partner shall calculate theapproximate Net Asset Value per Unit of each Class on a daily basis and furnish such information uponrequest to a Limited Partner.

7.2 Allocations of Profit and Loss. As of the end of each fiscal year, the Partnership’s profit or lossattributable to a Class shall be allocated among the Partners holding Units of such Class pursuant to thefollowing subparagraphs for federal income tax purposes. Such allocation of profits and losses shall be in

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proportion to such Partners’ respective Unit Ownership Percentages from net short-term capital gain or loss,net long-term capital gain or loss and net ordinary income or loss realized by the Partnership and attributableto such Class as follows:

(a) First, the General Partner may, in its sole and absolute discretion, make special allocations ofincome and gain or expense and loss to any Partner or former Partner who received one or morepayments in withdrawal from its capital account pursuant to Article XIII hereof during the fiscal year toreflect equitably amounts credited or debited to its capital account pursuant to Sections 6.6 and 7.1 hereoffor each fiscal year and all prior fiscal years as compared to the aggregate taxable income or lossallocated to the Partner or former Partner in all prior fiscal years.

(b) Second, the remainder of the taxable income or loss of the Partnership attributable to such Classfor the fiscal year, if any, and each item of Partnership income, gain, loss, expense, or credit attributableto such Class included therein, shall be allocated among the Partners holding Units of such Class, andformer Partners who held Units at any time during such fiscal year of such Class, in such amounts and insuch proportions as will, as determined in the sole and absolute discretion of the General Partner, reflectequitably amounts credited or debited to each such Partner’s and former Partner’s capital account for thefiscal year and all prior fiscal years as compared to the aggregate taxable income or loss that has beenallocated to such Partner and former Partner during the fiscal year (including allocations for the fiscalyear under subsection (a) hereof) and all prior fiscal years.

(c) The character of any item of income, gain, expense or loss allocated pursuant to this Section 7.2shall be made solely in the discretion of the General Partner.

(d) All amounts withheld from Partnership revenues or distributions by the Partnership pursuant tothe Internal Revenue Code (‘‘Code’’) or any provision of any state or local tax law shall be treated for allpurposes as distributions to those Partners who receive tax credits with respect to withheld amounts orfor whose account such amounts are withheld. In any case where a tax, fee or other assessment is leviedupon the Partnership, the amount of which is determined in whole or in part by the status or identity ofthe Partners, the General Partner may allocate the expense and deduct from such Partners’ capitalaccounts their distributable share of such taxes, fees and assessments.

(e) Notwithstanding the foregoing, the General Partner, in its sole discretion, may allocate thePartnership’s items of income, gain, expense, or loss attributable to a Class in a manner other than thatprovided in this Section 7.2, provided such allocation is made in accordance with Section 704(b) of theCode. Any allocation made pursuant to this subsection (e) will replace any allocation of profit or lossotherwise provided for herein and neither the amendment of this Agreement nor the consent of theLimited Partners shall be required to effect any allocation made pursuant hereto.

ARTICLE VIIIDISTRIBUTIONS.

8.1 Distributions Generally. The Partnership shall have the right to make distributions of Partnershipprofits at any time to the Limited Partners, but such distributions shall be in the sole and absolute discretionof the General Partner. It is not anticipated that the General Partner will make any such distributions unlessthe profits of the Partnership are substantial. Any such distributions shall be made pro rata among each Classof Limited Partnership Units and in proportion to the Unit Ownership Percentages of Limited Partners holdingLimited Partnership Units of each such Class.

8.2 Timing of Distributions. Distributions pursuant to this Article VIII shall be charged against therespective capital accounts of the Limited Partners as of the date of the distribution.

8.3 Return of Distributions. If any amounts have been distributed to the Limited Partners (whetherpursuant to this Article VIII or in accordance with redemptions by the Limited Partners pursuant to Section13.1 below), attributable to repayment, in whole or in part, of Capital Contributions to the Partnership,whether prior to or subsequent to the dissolution of the Partnership, and subsequent to any such distributionsthere shall be unpaid debts or obligations of the Partnership that arose before such distribution, then each ofthe Limited Partners shall be obligated to repay to the Partnership such distributed amounts, with interest, asmay be required to discharge any such unpaid debts or obligations upon demand by the General Partner.

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8.4 No Guarantee of Return of Capital Contribution. No provision in the Agreement shall be construedas guaranteeing the return, either by the General Partner personally or by the Partnership, of part or all of theCapital Contributions made to the Partnership by any of the Limited Partners.

8.5 Tax Withholding. All amounts withheld from Partnership revenue or distributions by or for thePartnership pursuant to the Internal Revenue Code, of 1986, as the same shall be amended from time to time(the ‘‘Code’’), or any provision of any state or local tax law shall be treated for all purposes of thisAgreement as distributions to those Partners who receive tax credits with respect to such withheld amounts. Inany case where a tax, fee or other assessment is levied upon the Partnership, the amount of which is levied inwhole or in part by the status or identity of the Partners, the General Partner shall allocate the expense andwithhold from the distributions to each Partner their respective attributable share of such taxes, fees andassessments.

ARTICLE IXTHE GENERAL PARTNER.

9.1 Authority of General Partner. The General Partner shall have the exclusive right and power tomanage and operate the business of the Partnership and to do all things necessary to carry on the business ofthe Partnership for the purpose described in Article IV of this Agreement. Except as otherwise specificallyprovided in this Agreement, the General Partner shall have all of the rights, powers and authority of a generalpartner of a limited partnership under the Act. Without limiting the foregoing or any other provision of thisAgreement, the General Partner, in its sole and absolute discretion, shall have the power on behalf of thePartnership to:

(a) Employ agents, attorneys, accountants, custodians, consultants or such other Persons, firms orcorporations from time to time on such terms as the General Partner deems appropriate and to delegate tothem any powers of the General Partner;

(b) Retain itself, Affiliates, the Trading Advisors, the Clearing Brokers or others as commodity pooloperator, commodity trading advisor, clearing and executing broker and/or investment manager;

(c) Invest Partnership property in interest-bearing accounts or depositories or in U.S. governmentdebt securities;

(d) Effect private or public offerings of Units now or in the future, cause the Partnership to file aRegistration Statement and such amendments as the General Partner deems advisable with the SEC forthe registration and public offering of Units, and seek to qualify the Units for sale in various jurisdictionsas the General Partner deems advisable; and

(e) Cause the Partnership to enter into selling agreements with one or more Selling Agents on suchterms as the General Partner deems appropriate.

9.2 General Partner Obligations. The General Partner shall be liable for all obligations of thePartnership in excess of the Partnership’s total assets, except to the extent that the Partnership obtainsfinancing where the creditor has recourse only against the property that secures such financing or otherproperty of the Partnership.

9.3 Devotion of Time. The General Partner and its principals shall devote so much of their time to thebusiness of the Partnership as they determine is reasonably required to operate and manage the Partnership inan efficient manner, but shall not be required to devote their entire time to Partnership business.

9.4 Standard of Care. In carrying out its duties and exercising its powers hereunder, the General Partnershall exercise good faith and shall act at all times in the best interests of the Limited Partners. Neither theGeneral Partner nor its directors, officers, employees or its agents shall be liable to the Partnership or theLimited Partners for any act or omission performed or omitted in good faith pursuant to the authority grantedto them by this Agreement.

9.5 Third Party Dealings. Persons dealing with the Partnership are entitled to rely conclusively uponthe certificate furnished by the General Partner that it is acting according to powers, rights and authoritygranted by this Agreement.

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9.6 Retention of Clearing Brokers. The General Partner, on behalf of the Partnership, shall retain theClearing Brokers and hereby is authorized to enter into a Clearing Agreement on behalf of the Partnershipwith each such Clearing Broker. The General Partner is further authorized to retain different or additionalClearing Brokers in the future and to engage (or cause or permit the Trading Advisors to engage) floorbrokers, executing brokers or dealers to assist in the execution of the Partnership’s Commodity Interesttransactions. The General Partner further is authorized to cause the Partnership to pay to the Clearing Brokersbrokerage commissions at the rates and on the terms provided for in the Clearing Agreements, it beingunderstood that a portion of such commissions may be paid to the Selling Agents or, in some cases, theGeneral Partner, as may be described in the Prospectus. In addition, the General Partner is authorized to assessagainst the Net Assets of the Partnership (or any Class therein) a brokerage fee or other fee, either expressedas a percentage of the Net Asset Value of the Partnership (or any Class therein), as a specified dollar amountper transaction undertaken on behalf of the Partnership, or in any other manner as determined by the GeneralPartner in its sole discretion, as may be described in the Prospectus. The General Partner is authorized to payall or a portion of any such fees collected from the Partnership to the Clearing Brokers, the Trading Advisors,the Selling Agents, custodians, consultants or such other Persons, firms or corporations as compensation forservices performed (or to be performed) on behalf of the Partnership, and the General Partner is authorized toretain the balance of any such fees as remuneration for its services undertaken on behalf of the Partnership, asmay be described in the Prospectus. The foregoing brokerage commissions and fees may be increased in thefuture, provided, however, that during such time as the Units are registered for sale to the public, writtennotice thereof is given to the Limited Partners pursuant to Section 15.8.

9.7 Retention of Trading Advisors. The General Partner shall retain Trading Advisors to make alltrading decisions regarding the Partnership and shall delegate complete trading discretion with respect to thePartnership to such Trading Advisors; provided, however, the General Partner shall have the right to reverseany trading decisions of the Trading Advisors which, in the opinion of the General Partner, are in violation ofthe trading policies of the Partnership as described in the Prospectus. The Trading Advisors shall initially begranted trading discretion over their respective Allocated Net Assets of the Partnership. The General Partnermay from time to time, in its sole discretion, appoint additional or substitute Trading Advisors, dismiss theTrading Advisors (or any of them), and in each case reallocate Partnership assets among the remainingTrading Advisors. There is no assurance that new or additional advisors may be engaged on the same terms asare currently in place and such engagement may occur without prior notice to the Limited Partners. TheGeneral Partner also may allocate notional funds (as such may be described in the Advisory Contracts) to theTrading Advisors. For the avoidance of doubt, each Trading Advisor shall be granted trading discretion over aportion of the Partnership’s Net Assets as a whole.

9.8 Advisory Contracts. The General Partner hereby is authorized to enter into the Advisory Contracts,described in the Prospectus, by and among the Partnership, the General Partner and each Trading Advisor. TheGeneral Partner further is authorized to either cause the Partnership to pay each Trading Advisor, inconnection with the trading advice rendered to the Partnership, a management or consulting fee or the GeneralPartner may compensate the Trading Advisors out of the fees collected by the General Partner from thePartnership as described in Section 9.6 hereof, as may be described in the Prospectus. Moreover, the GeneralPartner is authorized to cause the Partnership to pay each Trading Advisor an incentive fee calculated as apercentage of New Trading Profits on the Allocated Net Assets allocated to such Trading Advisor, as may bedescribed in the Prospectus. The method of calculating the applicable fees or other compensation payable toany Trading Advisor shall be set forth in the Advisory Contract and further described in the Prospectus.

9.9 General Partner Management Fee. In consideration for its services hereunder, the General Partneris authorized to cause the Partnership to pay to it a management fee equal to a percentage of the Net Assets ofeach Class of Limited Partnership Units, as may be described in the Prospectus. In addition, the GeneralPartner is authorized to retain the balance of the fees collected from the Partnership, as described in Section9.6 hereof, that are not paid out to the Clearing Brokers, Trading Advisors, Selling Agents or the Partnership’sother service providers, as remuneration for its services hereunder, as may be described in the Prospectus.

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9.10 Organization and Offering Expenses; Operating Expenses; Restrictions on Loans.

(a) The General Partner shall advance the Organization and Offering Expenses incurred in any initialand continuous public offerings of the Class A Units and the Class B Units, and no such expenses shallbe deducted from the proceeds of such offerings. Subject to the limitation described below, at the GeneralPartner’s discretion and upon presentation by the General Partner of invoices to the Partnership, thePartnership shall reimburse such amounts advanced by the General Partner after the closing of the initialoffering and monthly during the continuous offering up to the total amount of the Organization andOffering Expenses incurred, and such reimbursed amounts shall be borne 10% by the Class A Units and90% by the Class B Units. The General Partner shall have discretion to adopt reasonable procedures toimplement the amortization of such expenses, including grouping expenses related to the same offeringperiod and expensing de minimis amounts as they are incurred. In no event, however, shall the GeneralPartner be entitled to invoice the Partnership, and to receive reimbursement therefrom, in any calendaryear in an amount greater than 0.0833% (1.0% per annum) of the Net Asset Value of the Partnership permonth in such year (the ‘‘maximum annual reimbursement amount’’), with the Class A Units and theClass B Units bearing such proportional amounts of such maximum annual reimbursement amount as areset forth above. The General Partner may, in its sole discretion, in any subsequent calendar year invoicethe Partnership for amounts advanced that exceeded the maximum annual reimbursement amount in anyprior year and cause the Partnership to reimburse it for such amounts, subject always to totalreimbursement by the Partnership in any calendar year of no more than the maximum annualreimbursement amount. In the event the Partnership terminates prior to completion of the reimbursement,the General Partner will not be entitled to receive additional reimbursement and the Partnership will haveno obligation to make further reimbursement payments to the General Partner. In no event shall theOrganization and Offering Expenses paid by the Partnership exceed limits set by the NASAA Guidelinesduring such time as the Units are registered for sale to the public.

(b) The Partnership shall pay its ongoing operating expenses and any extraordinary expenses, asdescribed in the Prospectus. The General Partner will not cause the Partnership to pay any of the GeneralPartner’s indirect expenses (other than Organization and Offering Expenses) incurred in connection withits administration of the Partnership, including but not limited to, salaries, rent, travel expenses or otheritems generally considered ‘‘overhead.’’

(c) With respect to loans made to the Partnership by the General Partner, if any, the General Partnermay not receive interest in excess of its interest costs, nor may the General Partner receive interest inexcess of amounts that would be charged the Partnership (without reference to the General Partner’sfinancial abilities or guarantees, if any) by unrelated banks on comparable loans for the same purpose andthe General Partner shall not receive points or other financing charges regardless of the amount.

9.11 NASAA Guidelines.

(a) Notwithstanding the foregoing, during such time as the Units are registered for sale to the public,compensation payable by the Fund to any party, including without limitation the General Partner, anyTrading Advisor or any Clearing Broker, shall not exceed the limitations imposed by the NASAAGuidelines, as such are interpreted and applied by the General Partner in its good faith determination. Inthe event the compensation exceeds the NASAA Guidelines during such period, the General Partner shallpromptly reimburse the Partnership for such excess. As of the date hereof, the NASAA Guidelinesimpose the following limitations on fees: (i) management fees, advisory fees and all other fees, except forincentive fees and commodity brokerage commissions, when added to the customary and routineadministrative expenses, shall not exceed 6% annually of the commodity pool’s net asset value; (ii) theaggregate incentive fees shall not exceed 15% of new trading profits experienced by the commodity pool;(iii) the sponsor or advisor to the commodity pool will be entitled to an additional 2% incentive fee foreach 1% by which the fees and expenses set forth in (i) above is reduced below 6%; and (iv) commoditybrokerage rates will be presumptively reasonable if they satisfy either 80% of the published retail rateplus Pit Brokerage Fees or 14% annually of average net assets (excluding assets not directly related totrading activity, if any), including Pit Brokerage Fees.

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(b) During such time as the Units are registered for sale to the public and to the extent required bythe NASAA Guidelines: (i) no loans may be made by the Partnership to the General Partner or any otherPerson; (ii) the Partnership’s assets shall not be commingled with the assets of any other Person (assetsused to satisfy margin requirements will not be considered commingled for this purpose); (iii) no rebatesor give ups may be received by the General Partner nor may the General Partner participate in anyreciprocal business arrangements which could circumvent the NASAA Guidelines; (iv) no TradingAdvisor shall receive a fee from the Partnership based on Partnership Net Assets if the Trading Advisorshares, directly or indirectly, in any brokerage commissions incurred by the Partnership; (v) the durationof any contract between the Partnership and the General Partner or any Trading Advisor shall not exceedone (1) year (although such contracts may be automatically renewable for successive one (1) year periodsuntil terminated) and must be terminable without penalty upon no less than sixty (60) days’ prior writtennotice; (vi) any other proposed or contemplated agreement, arrangement or transaction may be restrictedin the discretion of an Administrator if it would be considered unfair to the Limited Partners; (vii) thePartnership shall not engage in Pyramiding; and (viii) at no time will a Trading Advisor be an Affiliate ofa Clearing Broker nor at any time will a Trading Advisor be an Affiliate of the General Partner.

9.12 Advisory Fees Upon Redemption. In the event Limited Partnership Units of a Class are redeemedat any date other than the end of a month, any management fees payable to the General Partner and theincentive fees payable to the Trading Advisor with respect to the Limited Partnership Units of such Class willbe prorated and adjusted accordingly. If any fee is paid to the Trading Advisors in connection with investmentadvice rendered to the Partnership and the Partnership thereafter suffers trading losses, the Trading Advisorsshall not forfeit the amount previously held.

9.13 Tax Matters Partner. The General Partner shall be the ‘‘tax matters partner’’ as described inSections 6221-6233 of the Code. The General Partner may enter into any settlement agreement pursuant to theCode. All costs and expenses incurred in connection with or as a result of an audit of the Partnership shall beborne by the Partnership.

9.14 General Partner Withdrawal. The General Partner shall not withdraw from the Partnership withoutgiving Limited Partners no less than one hundred twenty (120) days’ prior written notice. In the event theGeneral Partner withdraws as general partner and the Limited Partners elect to continue the Partnership, thewithdrawing General Partner shall pay all expenses incurred as a result of its withdrawal. In the event ofremoval or withdrawal of the General Partner, the General Partner shall be entitled to redemption of its Unitsat the applicable Net Asset Value per Unit on the next Valuation Date following such removal or withdrawal.

ARTICLE XINDEMNIFICATION.

10.1 Indemnification of General Partner. The Partnership will indemnify and hold harmless the GeneralPartner and its members, directors, officers, employees and agents (each, a ‘‘General Partner Party’’) from andagainst any loss, expense or other liability (including reasonable attorneys’ fees and expenses) incurred bythem by reason of any act performed or omission by them on behalf of the Partnership, provided that: (i) theGeneral Partner has determined, in good faith, that the course of conduct which caused the loss or liabilitywas in the best interests of the Partnership; (ii) the General Partner Party was acting on behalf of orperforming services for the Partnership; and (iii) such loss or liability was not the result of negligence ormisconduct by the General Partner Party. Any indemnification of a General Partner Party is recoverable onlyfrom the assets of the Partnership and not from the Limited Partners. Notwithstanding the foregoing, thePartnership shall not indemnify a General Partner Party for any loss, expense or other liability arising from analleged violation of federal or state securities laws unless one of the following conditions have been met: (i)there has been a successful adjudication on the merits of each count involving alleged securities law violationsas to such General Partner Party; or (ii) such claims have been dismissed with prejudice on the merits by acourt of competent jurisdiction as to such General Partner Party; or (iii) a court of competent jurisdictionapproves a settlement of claims against such General Partner Party and finds that indemnification to suchGeneral Partner Party of the settlement amount and any related costs should be made, provided that the courtconsidering the request for indemnification has been advised of the position of the SEC and any relevantAdministrator with respect to such indemnification. The Partnership shall not incur the cost of that portion ofany insurance which insures the General Partner against any liability the indemnification of which is herein

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prohibited. The advancement of Partnership funds to the General Partner or its Affiliates for legal expensesand other costs incurred as a result of any legal action shall be permissible, but only if: (i) the legal actionrelates to acts or omissions with respect to the performance of duties or services on behalf of the Partnership;(ii) the legal action is initiated by a third party who is not a Limited Partner, or the legal action is initiated bya Limited Partner and a court of competent jurisdiction specifically approves such advancement; and (iii) theGeneral Partner or its Affiliates undertake to repay the advanced funds of the Partnership, together with theapplicable legal rate of interest thereon, in cases in which such Person is not entitled to indemnification in thisSection 10.1.

10.2 Indemnification of Third Parties. In its discretion, the General Partner is authorized to cause thePartnership to indemnify and hold harmless the Trading Advisors, the Clearing Brokers, the Selling Agentsand other third parties against losses, expenses or liabilities (including without limitation, reasonable attorneys’fees and expenses) incurred in connection with such Persons’ performance of services for or on behalf of thePartnership, to the extent permitted by applicable law, on such commercially reasonable terms as may beagreed upon by the General Partner and such Persons. In no event, however, shall any undertaking by thePartnership to indemnify any Selling Agent or other third party be contrary to the limitations onindemnification set forth in the NASAA Guidelines.

10.3 Effect on Limited Partners. No indemnity by the Partnership will increase the liability of anyLimited Partner beyond the amount of his Capital Contribution and profits, if any, in the Partnership.

ARTICLE XILIMITED PARTNERS.

11.1 No Role in Partnership Business. No Limited Partner, as such, shall take any part in the conductor control of the Partnership’s business nor have any right or authority to act for or on behalf of thePartnership.

11.2 Limitation of Liability. No Limited Partner, as such, shall be liable for any debts or obligations ofthe Partnership in excess of his Capital Contributions to the Partnership, plus his share of accumulated andundistributed net profits of the Partnership and interest thereon. No Limited Partner shall be permitted orrequired to contract away the fiduciary obligation owed to the Limited Partners by the General Partner.

11.3 Voting Rights.

(a) Limited Partners shall have no voting rights except as set forth in this Agreement.

(b) Upon receipt of a written request, signed by Limited Partners owning at least 10% of the Unitsthen outstanding that are entitled to vote on the matter to be presented, delivered in person or by certifiedmail that a meeting of the Partnership be called to vote upon any matter which the Limited Partners mayvote upon pursuant to this Agreement, the General Partner shall, by written notice, either in person or bycertified mail, to each eligible Limited Partner of record mailed within fifteen (15) days after receipt ofsuch request, call a meeting of the Partnership. Such meeting shall be held at least thirty (30) but notmore than sixty (60) days after the mailing of such notice and such notice shall specify the date, areasonable place and time and the purpose of such meeting.

(c) At any meeting called pursuant to Section 11.3(b), upon the affirmative vote (which may be inperson or proxy or otherwise deemed received pursuant to Section 17.4) of the Limited Partners owningmore than 50% of the Units then outstanding that are entitled to vote on the matter to be presented(excluding Units owned by the General Partner and its Affiliates), the following actions may be takenwithout the consent of the General Partner: (i) the amendment of this Agreement to the extent permittedby Article XVII; (ii) the removal of the General Partner; (iii) the election of a substitute General Partneror General Partners upon the removal or withdrawal of the existing General Partner, provided that thesubstitute General Partner or General Partners shall continue the business of the Partnership withoutdissolution; and (iv) the termination of any contracts between the Partnership and the General Partner(excluding, for the avoidance of doubt, this Agreement) or any Trading Advisor upon no less than sixty(60) days’ notice without penalty; and (v) the liquidation of the Partnership.

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(d) In the event that the matter to be voted on affects only one Class of Units, then only LimitedPartners holding Units of such Class shall be entitled to vote on such matter, with such matter beingapproved by a vote of Limited Partners owning more than 50% of the outstanding Units of such Class(excluding Units owned by the General Partner and its Affiliates).

(e) Any material changes to the Partnership’s fundamental investment objectives or policies, asdetermined by the General Partner in good faith, shall require the prior written approval of LimitedPartners holding more than 50% of the Partnership’s outstanding Units (excluding Units owned by theGeneral Partner and its Affiliates).

(f) Without the consent of the Limited Partners owning more than 50% of the Units then outstandingthat are entitled to vote on the matter to be presented (excluding Units owned by the General Partner andits Affiliates), the General Partner may not: (i) amend this Agreement except as provided for in Section17.3; (ii) appoint a new General Partner or General Partners; or (iii) liquidate the Partnership.Notwithstanding anything else in this Agreement to the contrary, any amendment to this Agreementwhich modifies the compensation or distributions to which the General Partner is entitled or which affectsthe duties of the General Partner shall be conditioned upon the consent of the General Partner.

11.4 Dissolution. The Partnership shall not be dissolved by the incompetency, bankruptcy or death ofany Limited Partner or by a change in any Limited Partner’s relative capital interest in the Partnership,whether by assignment or otherwise. If any such event effects a dissolution of the Partnership by operation oflaw, then upon its occurrence a new Partnership automatically shall be in effect among the remaining LimitedPartners, and such successor Partnership shall succeed to all the property, assets and business, subject to allliabilities and contracts, of the prior Partnership and shall be controlled by the terms of this Agreement.

11.5 Consent to Further Action. Each Limited Partner (or any permitted assignee thereof) hereby agreesthat the General Partner is authorized to execute, deliver and perform the agreements, acts, transactions andmatters contemplated hereby or described in or contemplated by the Registration Statements on behalf of thePartnership without any further act, approval or vote of the Limited Partners, notwithstanding any otherprovision of this Agreement, the Act or any applicable law, rule or regulation.

ARTICLE XIISUBSTITUTE OR ADDITIONAL LIMITED PARTNERS.

12.1 Admission, Transfer and Assignment.

(a) Each Limited Partner expressly agrees that he will not voluntarily assign, transfer or dispose of,by gift or otherwise, any of his Units or any part or all of his right, title and interest in the capital orprofits of the Partnership in violation of any applicable federal or state securities laws or without givenwritten notice to the General Partner at least thirty (30) days prior to the date of such assignment,transfer or disposition. No assignment, transfer or disposition by a Limited Partner of Units or of any partof his right, title and interest in the capital or profits of the Partnership shall be effective against thePartnership or the General Partner until; (i) the General Partner receives the written notice of theassignment, unless such notice is waived by the General Partner in its sole discretion; (ii) the proposedassignee completes any required subscription documentation or other documentation; and (iii) the GeneralPartner consents to such proposed assignments, transfer or disposition. No such assignee, except with theconsent of the General Partner, which consent may be withheld under the circumstances provided below,may become a substituted Limited Partner, nor will the estate or any beneficiary of a deceased LimitedPartner or assignee have any right to redeem Units from the Partnership except by redemption asprovided in Article XIII hereof. The General Partner may withhold consent only to prevent or minimizepotential adverse legal or tax consequences to the Partnership or in the event the proposed assignee doesnot independently satisfy the standards for admission as a Limited Partner set forth in the subscriptiondocumentation, as determined by the General Partner in its reasonable discretion. Upon advice of legalcounsel, the General Partner shall eliminate or modify any restrictions on substitution or assignment atsuch time as the restriction is no longer necessary. If the General Partner withholds consent, an assigneeshall not become a substituted Limited Partner, and shall not have any of the rights of a Limited Partner,except that the assignee shall be entitled to receive that share of capital and profits and shall have thatright of redemption to which his assignor would otherwise have been entitled. No assignment, transfer or

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disposition of Units shall be effective against the Partnership or the General Partner until the first day ofthe month succeeding the month in which the General Partner consents to such assignment, transfer ordisposition, or as otherwise provided by the General Partner. No Units may be transferred where, afterthe transfer, either the transferee or the transferor would hold less than the minimum number of Unitsequivalent to an initial minimum purchase, except for transfers by gift, inheritance, intrafamily transfers,family dissolutions, and transfers to Affiliates.

(b) Any assignee or proposed assignee of a Limited Partner shall pay or obligate itself to pay allreasonable legal fees and other expenses incurred by the Partnership or General Partner in connectionwith such assignment as the General Partner may determine.

12.2 Withdrawal from Partnership. No Limited Partner at any time shall be entitled to elect to withdrawfrom the Partnership except to the extent provided in Article XIII below. If a Limited Partner shall die, beadjudicated insane or incompetent, or be dissolved, prior to dissolution of the Partnership, the LimitedPartner’s legal representative shall be deemed to be an assignee of, and with the prior written consent of theGeneral Partner may be substituted for, such Limited Partner. The legal representative of any such LimitedPartner shall have no right to elect to receive the value of such Limited Partner’s interest in the Partnership asa creditor of the Partnership in lieu of the rights of the Limited Partner to profits, losses and distributionsprovided by this Agreement.

ARTICLE XIIIREDEMPTION OF UNITS.

13.1 Monthly Redemptions. Limited Partners may require the Partnership to redeem Units for an amountequal to all or a portion of the Net Assets represented by such Units, as of the close of business on the lastbusiness day of any calendar month if the Partnership has received written notice of such desired redemptionat least ten (10) days prior to the last business day of the month-end as of which the redemption is to occur,or as may otherwise be provided for in the Prospectus. The General Partner will notify a redeeming LimitedPartner in writing within ten (10) days after the proposed redemption date regarding whether the redemptionhas been, or will be, effected on the requested redemption date. Except as described below, the redemptionamount will be paid by the fifteenth business day of the month following the redemption date. The GeneralPartner will redeem Units at the Net Asset Value per Unit on the requested redemption date unless the numberof redemptions would be detrimental to the tax status of the Partnership, in which case, the General Partnershall select by lot that number of redemptions as will, in its judgment, not impair the Partnership’s tax status.The right to obtain redemption is also contingent upon the Partnership’s having property sufficient to dischargeits liabilities on the redemption date and may be delayed if the General Partner determines that earlierliquidation of Commodity Interest positions to meet redemption payments would be detrimental to thePartnership or nonredeeming Limited Partners. Redemption charges for redemption of Units of any Class, ifany, shall be as set forth in the Prospectus; provided, however, that: (i) no redemption charge shall be assessedagainst holders of the Class A Units; and (ii) during such time as the Units are registered for sale to thepublic, all redemption charges shall comply with any restrictions on redemption charges imposed by theNASAA Guidelines. Redemptions from investors purchasing Units will be made on a first-in-first-out basis.The General Partner may cause the Partnership to redeem its capital at any time.

13.2 Redemption Requests. In order to effect a redemption, a Limited Partner must furnish the GeneralPartner with a written request for redemption. The terms of the request for redemption must include: (i) theUnits and the date for which redemption is requested; (ii) an acknowledgment of the basis upon whichvaluation of Units being redeemed will be made; and (iii) a representation by the Limited Partner that he isthe lawful owner of the Units being redeemed and that the Units have not been encumbered in any fashion.

13.3 Required Redemption. The General Partner may, at any time, in its sole discretion, require anyUnit holder to withdraw entirely from the Partnership, or to withdraw a portion of his Partner capital account,by giving not less than fifteen (15) days’ advance written notice to the Unit holder thus designated. Inaddition, the General Partner without notice may require at any time, or retroactively, withdrawal of all or anyportion of the capital account of any Limited Partner: (i) that the General Partner determines is a benefit planinvestor (within the meaning of Department of Labor Regulations §2510.3-101(f)(2)) in order for the assets ofthe Partnership not to be treated as plan assets under ERISA; (ii) which made a misrepresentation to the

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General Partner in connection with its purchase of Units; or (iii) if such Limited Partner’s ownership of Unitswould result in the violation of any law or regulation applicable to the Partnership or a Partner. The Unitholder thus designated shall withdraw from the Partnership or withdraw that portion of his Partner capitalaccount specified in such notice, as the case may be, as of the close of business on such date as determinedby the General Partner. The Unit holder thus designated shall be deemed to have withdrawn from thePartnership or to have made a partial withdrawal from his Partner capital account, as the case may be, withoutfurther action on the part of said Unit holder and the provisions of Section 13.1 shall apply. The Unit holderthus designated shall withdraw from the Partnership or withdraw that portion of his Partner capital accountspecified in such notice, as the case may be, as of the close of business on such date as determined by theGeneral Partner. The Unit holder thus designated shall be deemed to have withdrawn from the Partnership orto have made a partial withdrawal from his Partner capital account, as the case may be, without further actionon the part of said Unit holder and the provisions of Section 13.1 shall apply.

13.4 Special Redemption. The General Partner may, in its sole discretion and upon notice to the LimitedPartners, declare a special redemption date on which Limited Partners may redeem their Units at the NetAsset Value per Unit, provided that the Limited Partner submits a request for redemption in a form acceptableto the General Partner. During such time as the Units are registered for sale to the public, the General Partnershall declare such a special redemption date whenever the Partnership experiences a decline in Net AssetValue per Unit as of the close of business on any business day to less than 50% of the Net Asset Value perUnit on the last valuation date. The Partnership shall suspend trading during such special redemption period.

ARTICLE XIVCOMPETING OR RELATED BUSINESSES.

14.1 Other Activities of General Partner and Limited Partners. Except as provided in Section 14.2, theGeneral Partner (and its principals and Affiliates) and the Limited Partners may acquire Commodity Interestsand other investments for their own account or engage in the business of investing, trading, buying and sellingCommodity Interests or other investments on behalf of other partnerships, joint ventures, corporations or otherbusiness ventures formed by them or in which they may have an interest, including, without limitation,business ventures similar to, related to or in direct or indirect competition with any business of thePartnership. Neither the Partnership nor any other Partner shall have any right by virtue of this Agreement inor to such other business ventures or income, profits or fees derived from any of the foregoing.

14.2 Compliance with Position Limits. Each Partner herein represents, covenants and agrees with thePartnership that he shall not hold positions in commodity futures contracts in excess of any applicable positionlimits imposed from time to time by the Commodity Futures Trading Commission (‘‘CFTC’’), any otherregulatory body or any commodity exchange on which the Partnership may trade in commodity futurescontracts. Such limitation shall apply to the Partner individually and to any other Person controlled by ortrading pursuant to a common pattern with any of the Partners or any other Person whose holdings may beattributed to any Partner by the CFTC, any other regulatory body or any such exchange. If position limits areexceeded by reason of trading by or attributed to any Partner, in the opinion of the CFTC, any otherregulatory body, any exchange or the General Partner, such Partner (and not the Partnership) shall immediatelyreduce positions attributed to him (other than positions held by the Partnership) to comply with such positionlimit.

ARTICLE XVFISCAL YEAR, BOOKS OF ACCOUNT, ACCOUNTING AND OTHER REPORTS,

TAX RETURNS AND BANKING.

15.1 Fiscal Year. The fiscal year of the Partnership shall be the calendar year.

15.2 Books and Records. The General Partner shall maintain, or cause to be maintained, for a period ofno less than five (5) years from the date each such record is generated and in accordance with CFTC Reg.§1.31 and §4.23, full and accurate books for the Partnership at the Partnership’s principal place of businessreflecting all receipts and expenditures, assets and liabilities, income and losses and all other records necessaryfor recording the Partnership’s business and transactions, including those sufficient to record the allocationsand distributions provided for in Articles VII and VIII. Notwithstanding the foregoing, records relating to thesuitability of a Limited Partner purchasing Units through the General Partner directly (as opposed to through a

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Selling Agent) shall be maintained by the General Partner for no less than six (6) years from the date suchrecords are generated. Each Limited Partner shall have the right to inspect such books and records duringreasonable business hours upon reasonable written notice to the General Partner. A Limited Partner mayinspect or (at such Limited Partner’s expense) obtain a list of the names and addresses of all Limited Partners,provided that such Limited Partner first provides to the General Partner adequate written assurances that suchinformation is reasonably related to such Limited Partner’s interest as a Limited Partner and will not be usedfor commercial purposes.

15.3 Independent Auditor. The records and books of account of the Partnership may be audited byindependent certified public accountants selected by the General Partner at any time that the General Partnermay deem it necessary or desirable.

15.4 Partnership Tax Returns. The General Partner shall prepare or cause to be prepared all tax returnsrequired of the Partnership and may make any available or necessary elections.

15.5 Annual Report. As soon as reasonably practicable after the end of each fiscal year, but in no eventlater than ninety (90) days after such period, the General Partner shall furnish each Limited Partner with an‘‘Annual Report,’’ as required by CFTC Reg. §4.22(c), and a tax statement showing the amounts of anyincome, gains and losses allocated to the Limited Partner and the amount of any distributions made to theLimited Partner pursuant to this Agreement.

15.6 Monthly Account Statement. The General Partner also shall furnish each Limited Partner with amonthly ‘‘Account Statement,’’ as required by CFTC Reg. §4.22(a), within thirty (30) calendar days followingthe last day of the prior monthly period; provided, however, that such statement for the last month of thePartnership’s fiscal year need not be distributed in the event an annual report required by Section 15.5 is to bedistributed to each Limited Partner within forty-five (45) calendar days after the end of the Partnership’s fiscalyear. The General Partner will comply with the reporting requirements of CFTC Reg. §4.22 with respect tothe Partnership.

15.7 Fund Depositories. All funds of the Partnership shall be deposited in a separate customer accountor accounts or such other appropriate depositories as shall be determined by the General Partner.

15.8 Notice to Limited Partners. During such time as the Units are registered for sale to the public,notice will be mailed to each Limited Partner, together with a description of Limited Partners’ redemption andvoting rights and a description of any material effect the applicable following event may have on LimitedPartners, within seven (7) business days of any of the following events:

(a) a decrease in the Net Asset Value per Unit of such Limited Partners’ Units to 50% or less of theNet Asset Value per Unit most recently reported;

(b) any material change in any Advisory Contract with a Trading Advisor, including any change toTrading Advisors or any modification in connection with the method of calculating the incentive fee, asdetermined by the General Partner in good faith; and

(c) any material change in the amount of any brokerage commissions or brokerage fees paid by thePartnership, or any other material change affecting the compensation of any party, as determined by theGeneral Partner in good faith.

ARTICLE XVIDISSOLUTION AND LIQUIDATION.

16.1 Dissolution.

(a) The Partnership shall be dissolved prior to the expiration of the term provided in Article V uponthe happening of any of the following events;

(b) A decision of Limited Partners holding more than 50% of the Partnership’s outstanding Units(excluding Units owned by the General Partner and its Affiliates) to liquidate the Partnership;

(c) The withdrawal or dissolution of the General Partner, and the failure of the Limited Partners toelect a substitute General Partner to continue the Partnership; or

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(d) The assignment for the benefit of creditors or adjudication of bankruptcy of the General Partneror appointment of a receiver for or seizure by a judgment creditor of the General Partner’s interest in thePartnership.

16.2 Liquidation. There shall be no liquidation and termination of the Partnership unless dissolution hasoccurred pursuant to Section 16.1 or unless dissolution has occurred at the end of the term provided in ArticleV. In the event of any such dissolution, the General Partner first shall contribute to the Partnership an amountequal to the debit balance, if any, in the capital account for the General Partner and then shall proceed to windup the affairs of the Partnership and liquidate its investments. The General Partner shall have full right andunlimited discretion to determine the time, manner, and terms of any sale of Partnership property pursuant tosuch liquidation having due regard to the activity and condition of the relevant market and general financialand economic conditions. The proceeds of such liquidation shall be applied and distributed in the followingorder of priority:

(a) To the payment of debts and liabilities of the Partnership (other than any loans or advances thatmay have been made by any of the Limited Partners to the Partnership) and the expenses of theliquidation;

(b) To the creation of any reserves that the General Partner may consider reasonably necessary forany contingent or unforeseen liabilities or obligations of the Partnership; provided, however, that if andwhen a contingency ceases to exist, the monies, if any, then in reserve attributable to such contingencyshall be distributed in the manner hereinafter provided;

(c) To the repayment of any loans or advances that may have been made by any of the Partners tothe Partnership, or pro rata among them if the amount available for repayment is insufficient; and

(d) Amongst the Classes pro rata and to all Partners of a Class in accordance with their respectiveUnit Ownership Percentages with respect to such Class. Solely for purposes of this Section 16.2, in theevent that the General Partner is unable to wind up the affairs of the Partnership and liquidate its assets,such Person as may be designated by the Limited Partners holding more than 50% of all LimitedPartnership Units of the Partnership then issued and outstanding (excluding Units owned by the GeneralPartner and its Affiliates) shall carry out such duties in accordance with the provisions of this ArticleXVI.

16.3 Sale of Assets. The Limited Partners shall have no right to demand property other than cash inreturn for their contributions to the capital of the Partnership. Upon dissolution, any physical assets of thePartnership shall be sold at public or private sale at such price and upon such terms as the General Partnermay consider advisable. Any Partner may purchase the assets of the Partnership at any such sale.

16.4 Return of Capital Contributions. The General Partner shall not be personally responsible or liablefor the return of all or any part of the Capital Contributions of the Limited Partners, and any such return shallbe made solely from Partnership assets.

16.5 Liquidation Statement. Each of the Limited Partners shall be furnished with a statement, preparedor caused to be prepared by the General Partner, reflecting the assets and liabilities of the Partnership as of thedate of complete liquidation. Upon the completion of distributions pursuant to the preceding subsections ofthis Article XVI, the Limited Partners shall cease to be such; and the General Partner shall cause anyCertificate of Limited Partnership to be cancelled.

ARTICLE XVIIAMENDMENTS.

17.1 Procedure for Amendments Generally. Except as otherwise provided in this Article XVII,amendments to this Agreement may only be made with the consent of holders of more than 50% of theLimited Partnership Units of the Partnership then outstanding (excluding Units owned by the General Partnerand its Affiliates) except that (a) without the consent of all Partners, no amendment shall amend this ArticleXVII, and (b) no amendment may change the requisite percentage of Units held by Limited Partners whichare needed to give any consent or approval under this Agreement without the consent of at least such requisitepercentage.

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17.2 Amendments Requiring Limited Partner Consent. No amendment shall: (i) reduce the participationof a Limited Partner in net profits and losses or distributions of the Partnership; (ii) change the Partnership toa general partnership; (iii) reduce the liabilities, obligations or responsibilities of the General Partner; or(iv) increase the obligations or liabilities of a Limited Partner without the written consent of such Partner. AnyLimited Partner that does not consent to such a proposed amendment affecting such Limited Partner maywithdraw from the Partnership prior to the effectiveness of the amendment.

17.3 Amendments Without Limited Partner Consent. The General Partner may, in its discretion, withoutthe consent of the Limited Partners, modify or amend any provision of this Agreement for any of thefollowing purposes: (i) for the purpose of adding to this Agreement any further covenants, restrictions,undertakings or other provisions for the protection of the Limited Partners; (ii) to cure any ambiguity, tocorrect or supplement any provision contained herein which may be defective or inconsistent with any otherprovisions contained herein or otherwise to more accurately reflect the intent of the General Partner inconnection with the operations of the Partnership or the computation and determination of allocationshereunder; (iii) to cause the allocations contained herein to comply with Section 704 of the Code or any otherstatutory provisions or regulations relating to such allocations; (iv) to ensure that the Partnership is not taxedas an association taxable as a corporation for federal income tax purposes; (v) to ensure that the Partnership isnot required to register as an ‘‘investment company’’ under the Investment Company Act of 1940; (vi) toensure that the Partnership is not treated as a ‘‘publicly-traded partnership’’ under Section 7704 of the Code;(vii) to ensure that the Partnership is not considered to hold ‘‘plan assets’’ within the meaning of theEmployee Retirement Income Security Act of 1974; (viii) to ensure that the Partnership is not in violation ofany applicable law or regulation, including to bring the Partnership into compliance with the securities or BlueSky laws of the SEC or any other federal agency or any state in which Units have been or will be sold; (ix)to make any other change not materially adverse to the interests of the Limited Partners; or (x) if the GeneralPartner is expressly authorized to amend this Agreement as provided herein.

17.4 Methods of Limited Partner Consent. In any matter regarding any Partnership action in which theconsent of a Limited Partner is required, such consent shall be deemed given if either: (i) such LimitedPartner affirmatively grants such consent in writing; or (ii) the Limited Partner has been furnished with awritten notice of the matter(s) for which consent is requested and the Limited Partner shall have failed torespond to such notice within the time period designated for such in the notice.

ARTICLE XVIIIPOWER OF ATTORNEY.

18.1 Power of Attorney Generally. Each Limited Partner, by becoming a Limited Partner, constitutesand appoints the General Partner its true and lawful attorney-in-fact and agent in his name, place and stead tomake, execute, sign, acknowledge, file and record from time to time with respect to the Partnership:

(a) Any documents and instruments that the General Partner deems appropriate to reflect anyamendment, change or modification of the Partnership, in accordance with the terms of this Agreement;

(b) Any certificates, documents or instruments that the General Partner deems necessary orappropriate to effect the dissolution of the Partnership; and

(c) All such other certificates, documents and instruments that may be required by the laws of theState of Illinois, the United States of America, or any other jurisdiction in which the Partnership may dobusiness to effectuate, implement, continue and defend the valid and subsisting existence of thePartnership.

18.2 General Partner Action. The General Partner shall take no action as such attorney that would inany way increase the liability of any Limited Partner beyond the liability expressly set forth in thisAgreement.

18.3 Survival of Power of Attorney. The power of attorney granted by each Limited Partner to theGeneral Partner shall be a power coupled with an interest, shall be irrevocable and shall survive the death,incompetence or dissolution of such Limited Partner and the delivery of an assignment by a Limited Partnerof his Units, except that where the assignee thereof has been approved by the General Partner for admissionto the Partnership as a substituted Limited Partner, the power of attorney shall survive the delivery of such

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assignment for the sole purpose of enabling the General Partner to execute, acknowledge and file anycertificate, instrument or document necessary to effect such substitution.

18.4 Exercise of Power of Attorney. The power of attorney granted herein shall be exercisable by theGeneral Partner for each Limited Partner by a facsimile signature or by listing all the Limited Partnersexecuting any instrument with a single signature of the General Partner.

ARTICLE XIXNOTICES.

Any notice given pursuant to this Agreement may be served personally on the Partner to be notified ormay be mailed, postage prepaid, registered with return receipt requested, addressed as follows, or at suchother address as a Partner may from time to time designate in writing:

To the General Partner: At the address set forth in Section 3.2 hereof.

To any Limited Partner: At the address as last provided to the General Partner in writing.

ARTICLE XXPARTITION.

The Partner agrees that the Partnership properties are not suitable for partition. Accordingly, each of thePartners irrevocably waives any and all rights that he may have to maintain any action for partition of any ofthe Partnership’s property.

ARTICLE XXIENTIRE AGREEMENT.

This Agreement constitutes the entire agreement among the parties.

ARTICLE XXIIGOVERNING LAW.

This Agreement and the rights of the parties hereunder shall be governed by and interpreted inaccordance with the laws of the State of Illinois, without regard to principles of conflicts of law, except formatters arising under federal or state securities laws (exclusive of Illinois securities laws). Any and alllitigation arising out of this Agreement shall be conducted only in courts located in the State of Illinois.

ARTICLE XXIIIBINDING EFFECT.

All the terms and conditions of this Agreement shall be binding upon the Partners and their legalrepresentatives, heirs, successors and assigns of the Partners except as otherwise expressly provided in thisAgreement.

ARTICLE XXIVPRONOUNS.

Wherever from the context it appears appropriate, each term stated in either the singular or the pluralshall include both the singular and the plural, and pronouns stated in either the masculine, the feminine or theneuter gender shall include the masculine, feminine and neuter genders.

ARTICLE XXVCAPTIONS.

Captions and section headings contained in this Agreement are inserted for convenience only and in noway define, limit or extend the scope or intent of any provision of this Agreement.

ARTICLE XXVICOUNTERPARTS.

This Agreement, and any amendment thereto, may be executed simultaneously in one or morecounterparts, each of which shall be deemed an original, but all of which together shall constitute one and the

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same instrument. In addition, this Agreement, and any amendment thereto, may contain more than onecounterpart of the signature page, and all such counterpart signature pages shall have the same force andeffect as though all parties had signed a single signature page.

ARTICLE XXVIICOPY ON FILE.

Each Partner agrees that one original of this Agreement, or set of original counterparts, shall be held atthe principal place of business of the Partnership and that there shall be distributed to each Partner acomposite conformed copy of this Agreement.

[Signature Page to Follow]

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IN WITNESS WHEREOF, the parties hereto have executed this Agreement effective as of the date firstabove written.

GENERAL PARTNER:

DEARBORN CAPITAL MANAGEMENT, L.L.C.

By: Dearborn Capital Management, Ltd.,its Managing Member

By:

David M. Kavanagh,its President

LIMITED PARTNERS:

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APPENDIX B

The top of this Subscription Agreement and the front of the prospectus are dated March 25, 2009. Thismaterial will expire no later than 12 months following that date. It may expire prior to the end of that 12-month period. Before using these documents you should confirm with your home office or Grant Park Fundthat the document date is current (dial toll-free at 1-866-242-4055 or e-mail at [email protected]).Subscriptions using expired documents CANNOT be accepted.

Grant Park FundInstructions to Subscription Agreement and Power of Attorney

Dated: March 25, 2009

Any person considering subscribing for the units should carefully read and reviewa current prospectus. The prospectus should be accompanied by the most

recent monthly report of the Fund.

1. (a) Check box indicating Legacy or GAM Class Units AND enter the investment amount AND (b)check the box if this is an addition to an existing account and provide the existing Investor ID Number(Investor ID Number is located in the upper right corner of your most recent Investor Statement).

2. Enter the Investor’s Selling Firm Account Number.

3. Enter the Social Security Number OR Taxpayer ID Number of the investor, as applicable. For IRAaccounts, the Taxpayer ID Number of the Custodian should be entered in addition to the Social SecurityNumber of the investor. If the investor qualifies as a non-US citizen this form must be accompanied by FormW-8BEN.

4. (a) Indicate the type of account AND (b) if applicable, read and initial for all account types in boldtypes noted in bold and marked with an ‘‘*’’. For any of these account types, Section 4(b) must be initialedby each investor listed in Section 6 or Section 7.

5. Based on the definition included below, please indicate the most appropriate choice applicable to theinvestor if investing as account type: LLC, LTD, Partnership, Foreign Corporation, or Other.

A Commodity Pool Operator (‘‘CPO’’) is an individual or organization which operates or solicits,accepts or receives funds from others for a commodity pool; that is, an enterprise in which fundscontributed by a number of persons are combined for the purpose of trading futures contracts orcommodity options or to invest in another commodity pool. (Note that futures trading does not need tobe the primary purpose of the enterprise for it to be considered a commodity pool.)

Registration is required unless the CPO qualifies for one of the exemptions from registrationoutlined in Commodity Futures Trading Commission (‘‘CFTC’’) Regulations 4.5 or 4.13. If a CPO isqualified for an exemption from registration, the pool operator must electronically file a notice ofexemption from CPO registration through National Futures Association (‘‘NFA’’) Electronic ExemptionFiling System. This system can be accessed athttp://www.nfa.futures.org/compliance/ExemptLoginSelection.asp

6. Enter the Investor name or account title. The Account Title should be exactly the same as the accountheld with the Selling Firm.

• For Trust, Corporation, Partnership, Estate, Profit Sharing, Pension, Defined Benefit and Other, enterthe entity name.

• For UGMA/UTMA (Minor), enter the Minor name, followed by ‘‘Minor’’.

7. Enter the name of individual(s) authorized to act on behalf of the account; anyone listed must sign theSubscription Agreement.

• For Trust, Corporation, Partnership, Estate, Profit Sharing, Pension, Defined Benefit and Other, enterthe name(s) of the authorized individual(s) or trustee(s).

• For UGMA/UTMA (Minor), enter the name(s) of the trustee(s).

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8. Enter the legal address; which is the residence or domicile address used for tax purposes, of theinvestor named on line 6 (no post office boxes). Line 8 must be completed.

9. Enter the mailing address if it is different from the legal address in line 8.

10. Enter the Investor Email address. Grant Park Fund Investor Statements are available online; pleasecheck the box only if you do not wish to access the statement online and wish to receive a mailed paperstatement.

11. Each investor must sign and date. If the account has multiple owners, all owners must sign. In thecase of an IRA, the Custodian’s signature, as well as the investor’s signature, is required.

12. For account type IRA, IRA Rollover, Roth or SEP, enter Custodian’s name and Custodian must sign.

13. Enter the legal address associated with the Custodian for the account.

14. The Financial Advisor must sign and date. Some broker/dealers may also require the signature of anoffice manager.

15. Sections 15 through 21 must be completed as follows: 15. Enter the name of the Selling Firm, 16.Selling Firm’s Branch Code, 17. Selling Firm’s Financial Advisor Code, 18. Financial Advisor or GroupName, 19. Financial Advisor Phone Number, 20. Financial Advisor’s Email address, 21. Selling Firm’s Branchaddress.

Investor should return this Subscription Agreement and payment to their Financial Advisor’s officeaddress.

Subscription agreements, payment, and any other required documents should be sent by the FinancialAdvisor to either:

1. The Fund Administration Office of the named Selling Firm, if firm procedures require, or

2. The custodial firm if one is required (sending document early in the month is best if it is to reachthe general partner before month end), or

3. Grant Park Fund, c/o Dearborn Capital Management, 555 W. Jackson Blvd., Suite 600, Chicago, IL,60661. Please check with Selling Firm’s Fund Administration Office before sending paperworkdirectly to Grant Park Fund.

If payment is being made by wire transfer, the Financial Advisor should contact either his or her firm’sFund Administration Department or Dearborn’s Operations Department for instructions. Payments andSubscription documents must be received by the general partner at least five business days prior to theend of the month. However, the Selling Firm’s Fund Administration Department may have an earlier cut-offfor subscriptions.

If Financial Advisors have specific questions about the subscription process, please call the FinancialAdvisor Support Team at 866-242-4055 or your Fund Administration Department.

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Dated: March 25, 2009

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

LIMITED PARTNERSHIP UNITS

SUBSCRIPTION AGREEMENT AND POWER OF ATTORNEY

GRANT PARK FUNDc/o Dearborn Capital Management, L.L.C.555 West Jackson Boulevard, Suite 600Chicago, Illinois 60661

Dear Sir or Madam:

1. Subscription for Units. I hereby subscribe for the dollar amount of Limited Partnership Units(‘‘units’’) in Grant Park Futures Fund Limited Partnership (‘‘Grant Park’’) as set forth in this SubscriptionAgreement and Power of Attorney, at the net asset value per unit as set forth in the prospectus of Grant Parkdated March 25, 2009 (the ‘‘prospectus’’). I have (i) enclosed a check payable to ‘‘Grant Park Futures FundLimited Partnership — Subscription Account,’’ in the full amount of my subscription, (ii) authorized a wiretransfer to Grant Park’s account (as set forth in this Subscription Agreement and Power of Attorney) in thefull amount of my subscription, or (iii) authorized my selling agent to debit my customer securities account inthe full amount of my subscription. Dearborn Capital Management, L.L.C. (the ‘‘General Partner’’), in its soleand absolute discretion, may accept or reject this subscription in whole or in part. Once submitted, allsubscriptions are irrevocable.

2. Representations and Warranties of Subscriber. I have received the prospectus, the Third Amendedand Restated Limited Partnership Agreement (each as supplemented by sticker supplements, if any) and themost recent monthly report of Grant Park for the class of units in which I am investing. I acknowledge that Iam making the representations and warranties set forth in Appendix C to the prospectus, including theapplicable requirements relating to net worth and annual income. If subscriber is not an individual, theperson signing the Subscription Agreement and Power of Attorney on behalf of the subscriber is dulyauthorized to execute such signature page. By signing the Subscription Agreement and Power of Attorney, Iam not waiving any rights under the federal or state securities laws.

3. Power of Attorney. In connection with my purchase of units, I do hereby irrevocably constitute andappoint the General Partner, and its successors and assigns, as my true and lawful attorney-in-fact, with fullpower of substitution, in my name, place and stead, (i) to file, prosecute, defend, settle or compromiselitigation, claims or arbitrations on behalf of Grant Park, and (ii) to make, execute, sign, acknowledge, swearto, deliver, record and file any documents or instruments that may be considered necessary or desirable by theGeneral Partner to carry out fully the provisions of Grant Park’s Third Amended and Restated LimitedPartnership Agreement, including, without limitation, the execution of said Agreement itself, and the executionof all amendments permitted by the terms thereof. The Power of Attorney granted hereby shall be deemed tobe coupled with an interest, shall be irrevocable and shall survive, and shall not be affected by, my subsequentdeath, incapacity, disability, insolvency or dissolution or any delivery by me of an assignment of the whole orany portion of my units.

4. Irrevocability; Governing Law. I hereby acknowledge and agree that I am not entitled to cancel,terminate or revoke this subscription or any of my agreements hereunder after this Subscription Agreementand Power of Attorney has been submitted and that this subscription and such agreements shall survive mydeath or disability, but shall terminate with the full redemption of all my units in Grant Park. I herebyacknowledge and agree that this Subscription Agreement and Power of Attorney shall be governed by andshall be interpreted in accordance with the laws of the State of Illinois, without regard to principles ofconflicts of laws, except for matters arising under federal or state securities laws (exclusive of Illinoissecurities laws).

PLEASE CAREFULLY READ AND COMPLETE THE REVERSE SIDE.

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Dated: March 25, 2009Class 1 GRANT PARK FUND SUBSCRIPTION AGREEMENT AND POWER OF ATTORNEY

IMPORTANT: READ INSTRUCTIONS AND REVERSE SIDE BEFORE SIGNINGThe investor named below, by execution and delivery of this Subscription Agreement and Power of Attorney and by either (i) enclosing a check payable to ‘‘Grant Park Futures Fund−Subscription Account,’’ (ii) authorizing a wire transfer in the investor’s name to ‘‘Grant Park Fund − Subscription Account’’ at Lake Forest Bank & Trust Company (727 North Bank Lane,Lake Forest, Illinois 60045), Account No. 0000379735, ABA #071925334 or (iii) authorizing the Selling Agent to debit investor’s securities brokerage account in the amount set forth below,hereby subscribes for the purchase of units in Grant Park Futures Fund Limited Partnership (the ‘‘Fund’’ or ‘‘Grant Park’’) at the net asset value per unit. The named investor furtheracknowledges receipt of the Grant Park Fund prospectus dated March 25, 2009 (and any sticker supplements), including Grant Park’s Third Amended and Restated Limited PartnershipAgreement, the Subscription Agreement and Power of Attorney, the terms of which govern the investment in the units being subscribed for hereby. By signature on this document, I (i)acknowledge the representations and warranties set forth in Appendix C to the prospectus, including the suitability requirements and (ii) authorize the named Financial Advisor to makechanges, or correct any clerical errors, on this document with regards to the Series and/ or Class of the fund specified in Section 1(a), the Selling Firm Account Number in Section 2, or theAccount Type in Section 4(a) below. Notwithstanding this authorization, the Financial Advisor is not being provided investment discretion over the account.1) (a) Indicate Investment(s):

□ GAM 1 − Grant Park Global Alternative Markets Class 1($5,000 minimum investment; $1,000 minimum investment for ERISA. Subsequent investments: $1,000.)

Investment Amount: $

□ Legacy 1 − Grant Park Legacy Class 1($10,000 minimum investment; $1,000 minimum investment for ERISA. Subsequent investments: $1,000.)

Investment Amount: $

(b) □ Addition to an existing account? Investor ID Number:__________________________(ID# appears on your monthly statement)2) Selling Firm Account Number: 3) Social Security Number or Tax ID:4) (a) Account Type (Choose One):

□ Individual Ownership □ IRA □ Trust* □ Profit Sharing*□ Joint Tenants With Rights of Survivorship □ IRA Rollover □ Corporation* □ Pension*□ Tenants In Common □ Roth IRA □ Partnership* □ Defined Benefit*□ Community Property □ SEP □ Estate* □ Other*□ UGMA/UTM (Minor) □ Foreign*

(b) For each account type indicated with ‘‘*’’ above, each account owner should read and initial the following paragraph

Initial(s)The undersigned investor(s) hereby certifies by signing below that the investor(s) subscribing to purchase units in the Fund has the power, under its applicable charter ororganizational documents, to enter into transactions in each of the following types of securities: (1) units of beneficial interest in a limited partnership; (2) U.S.government securities; and (3) managed futures (i.e., futures, forward, option, spot, swap and security futures contracts). Additionally, the undersigned investor(s)acknowledges that the Fund’s general partner, Dearborn Capital Management, L.L.C., has not been provided the investor’s charter or organizational documents as part ofthe Subscription documents, and that, accordingly, neither the Fund nor the general partner will make a review or interpretation of such documents.

5) For Account Type LLC, LTD, Partnership, Foreign and Other read and complete the following:The undersigned investor(s) hereby certifies by signing below that the investor(s) subscribing to purchase units in the Fund has read the definition of a Commodity Pool Operator as statedin the Subscription Instructions and attests to the following (Choose One):

□ Is a registered Commodity Pool Operator with the CFTC and is a member of the NFA□ Has an exemption from registration as a Commodity Pool Operator with CFTC (Exemption Type: )□ Does not fall within the definition of Commodity Pool Operator as defined by the CFTC and membership in the NFA is not required.

6) Account Title:7) Authorized Individuals:

(List individual(s) authorized to act on behalf of the account for UGMA, Trust, Corporation, Partnership, Estate, Profit Sharing, Pension, Defined Benefit and Other.)8) Legal Address:

Street (No PO Boxes) City State Zip Code

9) Mailing Address:(If Different) Street City State Zip Code

10) Investor Email Address:□ Check box to opt out of accessing your monthly statement online.

INVESTOR(S) INFORMATION AND SIGNATURE REQUIREDUNITED STATES INVESTORS ONLY

□ I am subject to backup withholding under the provisions of Sections 3406(a)(1)(c) of the Internal Revenue Code. Under penalties of perjury, I attest by signature, that the SocialSecurity Number or Taxpayer ID, and all information in this document is true, correct and complete.

NON-UNITED STATES INVESTORS□ Under penalties of perjury, I hereby certify by signature, that (a) I am not a citizen or resident of the United States or (b) (in the case of an investor which is not an individual) the

investor is not a United States corporation, partnership, estate or trust. If either (a) or (b) are true I have included Form W-8 BEN with this Subscription Agreement.11) X

Signature of Investor DateX

Signature of Joint Investor (if applicable) Date

CUSTODIAN INFORMATION AND SIGNATURE REQUIRED12) Custodian Name:

(For Account Types: IRA, IRA Rollover, Roth, SEP)X

Signature of Custodian (if applicable) Date13) Custodian Legal Address:


FINANCIAL ADVISOR INFORMATION AND SIGNATURE REQUIREDThe undersigned Financial Advisor (‘‘F.A.’’) hereby certifies that: (1) he/she holds the appropriate securities licenses required by his/her Firm in order to offer and sell units in the Fund; (2)the F.A. has informed the person(s) named above of all pertinent facts relating to the liquidity and marketability of the units as set forth in the prospectus; (3) the F.A. has delivered to theperson(s) named above a copy of the current prospectus on or before the date of this certification; and (4) the F.A. has reasonable grounds to believe (on the basis of information obtainedfrom the person(s) named above concerning such person’s(s’) age, investment objectives, investment experience, income, net worth, financial situation and needs, other investments and anyother information known by the F.A.) that: (a) the purchase of units of the Fund is a suitable and appropriate investment for such person(s); (b) such person(s) meet(s) the applicable minimumincome and net worth requirements; (c) such person(s) can reasonably benefit from an investment in the Fund based on such person’s(s’) overall investment objectives and portfolio structure;(d) such person(s) can bear the economic risks of the investment in the Fund; and (e) such person(s) appears(s) to have an understanding of the fundamental risks of investment in the Fund(including that an investor may lose its entire investment), the restrictions on the liquidity and transferability of the units, and the general background and qualifications of the general partnerand the trading advisors. The Financial Advisor must sign below in order to substantiate compliance with NASD Conduct Rule 2810 (please visit www.finra.org for more informationregarding Rule 2810).

14) XFinancial Advisor Signature Date

XOffice Manager (if required by Selling Firm procedures) Date

15) Selling Firm Name: 16) Branch Code: 17) F.A. Code:18) F.A./ Group Name: 19) F.A. Phone:20) F.A. Email: Additional Email:21) Branch Address:


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APPENDIX C

SUBSCRIPTION REQUIREMENTS

Notice: An investment in Grant Park is speculative and involves a high degree of risk. Please refer to thesection of the prospectus entitled ‘‘Risk Factors’’ for a complete description of the material risks of aninvestment in Grant Park.

I. Subscription Procedures

To subscribe for limited partnership units in the Grant Park Futures Fund Limited Partnership(‘‘Grant Park’’), you must:

• execute and deliver to the selling agent who solicited your subscription the subscription agreementand power of attorney, and any other documents needed (for example, fund, pension, corporateauthorizations, as applicable); and

• unless you intend to make payment by debiting your brokerage account with your selling agent,deliver to your selling agent a check in the full amount of the subscription payable to ‘‘Grant ParkFutures Fund Limited Partnership, Subscription Account,’’ or authorize a wire transfer in the amountof your subscription in accordance with the instructions set forth in the subscription agreement andpower of attorney.

The minimum investment required to invest in the Legacy 1 Class units and Legacy 2 Class units is$10,000, except in the case of investors that are employee benefit plans and/or individual retirement accountsfor which the minimum investment is $1,000; subsequent investment in the Legacy 1 Class units and Legacy2 Class units must be at least $1,000. The selling agents will offer the Legacy 1 Class units and Legacy 2Class units at a price of $1,000 per unit as of the initial closing date. Only investors who are represented byapproved selling agents who are directly compensated by the investor for services rendered in connection withan investment in Grant Park (such arrangements commonly referred to as ‘‘wrap-accounts’’) may purchaseLegacy 1 Class units and Legacy 2 Class units.

The minimum investment in the GAM 1 Class units, GAM 2 Class units and GAM 3 Class units is$5,000, except that in the case of investors in such units that are employee benefit plans and/or individualretirement accounts, the minimum investment is $1,000; subsequent investment in the GAM 1 Class units,GAM 2 Class units and GAM 3 Class units must be at least $1,000. The selling agents will offer the GAM 1Class units, GAM 2 Class units and GAM 3 Class Units at a price of $1,000 per unit as of the initial closingdate.

Any of these minimums may be waived by the general partner in its sole discretion. You will be requiredto reimburse Grant Park and Dearborn Capital Management, L.L.C., the general partner of Grant Park, for anyexpense or loss incurred as a result of the cancellation of your subscription for units due to your failure todeliver good funds in the amount of the subscription price.

By executing and delivering the subscription agreement and power of attorney, you irrevocably subscribefor Legacy 1 Class units, Legacy 2 Class units, GAM 1 Class units, GAM 2 Class units or GAM 3 Classunits, as specified, at a price equal to the net asset value per unit of the class subscribed for as of the close ofbusiness on the last business day of the month in which your subscription is accepted, provided yoursubscription is received at least five business days prior to the month end. The general partner may accept orreject your subscription, in whole or in part, in its sole discretion. If your subscription is accepted, you agreeto contribute your subscription to Grant Park and to be bound by the terms of the limited partnershipagreement (a form of which is attached as Appendix A to Grant Park’s prospectus). By executing anddelivering the subscription agreement and power of attorney, you will be deemed to have executed the limitedpartnership agreement.

II. Representations and Warranties

As an inducement to the general partner to accept your subscription, you, by executing and deliveringyour subscription agreement and power of attorney, represent and warrant to Grant Park, the generalpartner, the clearing brokers and the selling agent who solicited your subscription as follows, as applicable:

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1. You are of legal age to execute the subscription agreement and power of attorney and are legallycompetent to do so. You acknowledge that you have received a copy of the prospectus, including the limitedpartnership agreement contained therein (as supplemented by sticker supplements, if any).

2. All information that you have furnished to the general partner or that is set forth in the subscriptionagreement and power of attorney submitted by you is correct and complete as of the date of the subscriptionagreement and power of attorney, and if there should be any change in such information acceptance of yoursubscription, you will immediately furnish the revised or corrected information to the general partner.

3. Unless paragraph 4 or 5 below is applicable, your subscription is made with your funds for your ownaccount and not as trustee, custodian or nominee for another.

4. The subscription, if made as custodian for a minor, is a gift that you have made to such minor and isnot made with such minor’s funds or, if not a gift, the representations as to net worth and annual income setforth below apply only to such minor.

5. If you are subscribing in a representative capacity, you have full power and authority to purchase theunits and enter into and be bound by the subscription agreement and power of attorney on behalf of the entityfor which you are purchasing the units, and such entity has full right and power to purchase such units andenter into and be bound by the subscription agreement and power of attorney and become a limited partnerpursuant to the limited partnership agreement.

6. You either are not required to be registered with the Commodity Futures Trading Commission(‘‘CFTC’’) or to be a member of the National Futures Association (‘‘NFA’’) or, if you are required to be soregistered and to have such membership, are duly registered with the CFTC and are a member in goodstanding of the NFA.

7. If you are acting on behalf of an ‘‘employee benefit plan,’’ as defined in and subject to the EmployeeRetirement Income Security Act of 1974, as amended (‘‘ERISA’’), or a ‘‘plan’’ as defined in and subject toSection 4975 of the Internal Revenue Code of 1986, as amended (the ‘‘Code’’), the individual signing thesubscription agreement and power of attorney on your behalf hereby further represents and warrants as, or onbehalf of, the plan responsible for purchasing units (the ‘‘Plan Fiduciary’’) that:

(a) the Plan Fiduciary has considered an investment in Grant Park for such plan in light of the risksrelating thereto;

(b) the Plan Fiduciary has determined that, in view of such considerations, the investment in GrantPark is consistent with the Plan Fiduciary’s responsibilities under ERISA;

(c) the plan’s investment in Grant Park does not violate and is not otherwise inconsistent with theterms of any legal document constituting the plan or any agreement thereunder;

(d) the plan’s investment in Grant Park has been duly authorized and approved by all necessaryparties;

(e) none of the general partner, any trading advisor, any clearing brokers, any selling agent, or anyof their respective affiliates, agents or employees (1) has investment discretion with respect to theinvestment of assets of the plan used to purchase units, (2) has authority or responsibility to or regularlygives investment advice with respect to the assets of the plan used to purchase units for a fee andpursuant to an agreement or understanding that such advice will serve as a primary basis for investmentdecisions with respect to the plan and that such advice will be based on the particular investment needsof the plan, or (3) is an employer maintaining or contributing to the plan; and

(f) the Plan Fiduciary (1) is authorized to make, and is responsible for, the decision to invest inGrant Park, including the determination that such investment is consistent with the requirement imposedby Section 404 of ERISA that plan investments be diversified so as to minimize the risks of large losses,(2) is independent of the general partner, the trading advisors, the clearing brokers, any selling agent andeach of their respective affiliates, and (3) is qualified to make such investment decision.

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You will, at the request of the general partner, furnish the general partner with such information as thegeneral partner may reasonably require to establish that the purchase of the units by the plan does not violateany provision of ERISA or the Code, including without limitation, those provisions relating to ‘‘prohibitedtransactions’’ by ‘‘parties in interest’’ or ‘‘disqualified persons’’ as defined therein.

8. If you are acting on behalf of a trust (the ‘‘Subscriber Trust’’), the individual signing the subscriptionagreement and power of attorney on behalf of the Subscriber Trust hereby further represents and warrants thatan investment in the trust is permitted under the trust agreement of the Subscriber Trust, and that theundersigned is authorized to act on behalf of the Subscriber Trust under the trust agreement thereof.

9. You have a net worth of at least $250,000, exclusive of home, furnishings and automobiles, or anannual gross income of at least $70,000 and a net worth, similarly calculated, of at least $70,000. If you are aresident of any of the following states, you must also meet the requirements set forth below for that state.Furthermore, in no event may you invest more than 10% of your net worth, exclusive of home, furnishingsand automobiles, in Grant Park. Net worth in all cases is exclusive of home, furnishings and automobiles.

Alabama . . . . . . . . . . . . . . . . . . . . . . Net worth of at least $250,000, or an annual gross income of atleast $70,000 and a net worth of at least $70,000. Thisinvestment will only be sold to Alabama residents that representthat they have a liquid net worth of at least 10 times theirinvestment in Grant Park and other similar programs.

Arizona . . . . . . . . . . . . . . . . . . . . . . Net worth of at least $250,000 or a net worth of at least$70,000 and an annual gross income of at least $70,000.

California . . . . . . . . . . . . . . . . . . . . . Net worth of at least $250,000 (exclusive of home, homefurnishings and automobiles) or an annual gross income of atleast $75,000 and a net worth of $100,000 (exclusive of home,home furnishings and automobiles). In no event may a residentof California invest more than 10% of their total net worth,exclusive of home, furnishings and automobiles in units ofGrant Park.

Iowa . . . . . . . . . . . . . . . . . . . . . . . . A net worth of $250,000 (exclusive of home, auto andfurnishings) and an annual taxable income of $100,000, or, inthe alternative, a net worth of $500,000 (exclusive of home,auto and furnishings). In no event may a resident of Iowainvest more than 10% of such resident’s net worth in units ofGrant Park and similar managed futures programs.

Kansas . . . . . . . . . . . . . . . . . . . . . . . Kansas investors should limit their aggregate investment inunits of Grant Park and other similar investments to not morethan 10% of their liquid net worth. Liquid net worth is thatportion of an investor’s total net worth (total assets minus totalliabilities) which is comprised of cash, cash equivalents andreadily marketable securities.

Kentucky . . . . . . . . . . . . . . . . . . . . . Net worth of at least $300,000 exclusive of home, homefurnishings, and automobiles or a minimum annual grossincome of $85,000 and a minimum net worth of $85,000. Totalinvestment in CPO may not exceed 10% of investor’s total networth excluding home, home furnishing, and automobiles.

Michigan . . . . . . . . . . . . . . . . . . . . . Net worth of at least $250,000, or an annual gross income of atleast $70,000 and a net worth of at least $70,000. In no eventmay a resident of Michigan invest more than 10% of their networth in units of Grant Park and securities of any affiliate ofGrant Park.

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Missouri . . . . . . . . . . . . . . . . . . . . . . Net worth of at least $250,000, or an annual gross income of atleast $70,000 and a net worth of at least $70,000. In no eventmay a resident of Missouri invest more than 10% of their liquidnet worth in units of Grant Park.

Nebraska . . . . . . . . . . . . . . . . . . . . . Net worth of at least $150,000, or an annual gross income of atleast $45,000 and a net worth of at least $45,000. A purchaserof limited partnership interests may not invest more than 10%of his/her net worth, exclusive of home, furnishing, andautomobiles, in any one limited partnership.

Ohio . . . . . . . . . . . . . . . . . . . . . . . . Net worth of at least $250,000 or a net worth of at least$70,000 and an annual income of at least $70,000; Ohioinvestors should limit their investment in units of Grant Parkand securities of other managed futures programs to not morethan 10% of their liquid net worth (cash, cash equivalents andreadily marketable securities).

Oregon . . . . . . . . . . . . . . . . . . . . . . . Net worth of at least $250,000 or a net worth of at least$70,000 and an annual gross income of at least $70,000.Oregon residents may not invest more than 10% of their networth in units of Grant Park and securities of any affiliate ofGrant Park.

Tennessee . . . . . . . . . . . . . . . . . . . . . A net worth of $500,000 or an annual gross income of at least$100,000 and a net worth of at least $100,000. Tennesseeresidents’ investment must not exceed ten percent (10%) oftheir liquid net worth.

10. You understand that the investment is not liquid, except in accordance with the redemption provisionsof the limited partnership agreement, as amended from time to time.

11. You acknowledge that due to anti-money laundering requirements operating in the United States, aswell as Grant Park’s own internal anti-money laundering policies, Grant Park, the general partner and/or yourselling agent may require further identification of you and the source of your subscription funds before yoursubscription agreement and power of attorney can be processed, subscription monies accepted, or request forredemption processed. Grant Park, the general partner, your selling agent and each of their respectiveprincipals, members, shareholders, directors, officers, and employees shall be held harmless and indemnifiedagainst any losses, expenses or liabilities arising as a result of a failure to process your subscription agreementand power of attorney or any request for redemption if you have not satisfactorily provided any informationthat has been required by an indemnified party. You further acknowledge that all subscription paymentsdelivered to Grant Park must originate directly from a bank or brokerage account in your name. You representand warrant that you are not involved in any anti-money laundering scheme and that acceptance by thegeneral partner of your subscription agreement and power of attorney to subscribe for units in Grant Park,together with acceptance of the appropriate remittance, will not breach any applicable laws, rules andregulations designed to avoid money laundering, including the provisions of the Bank Secrecy Act of 1970, asamended. Specifically, you represent and warrant that all evidence of identity provided is genuine and allrelated information furnished, and to be furnished in the future, is accurate.

(a) You represent and warrant that you are subscribing for units for your own account and own risk,and, unless you advise the general partner and your selling agent to the contrary in writings and identifywith specificity supplementally each beneficial owner on whose behalf you are acting, you represent thatyou are not acting as a nominee for any other person or entity, and no other person or entity will have abeneficial or economic interest in your units. You also represent that you do not have the presentintention or obligation to sell, distribute or transfer the units, directly or indirectly, to any other person orentity or to any nominee account.

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(b) If you are (i) acting as trustee, agent, representative or disclosed nominee for another person orentity, or (ii) an entity investing on behalf of underlying investors, other than a publicly traded companylisted on an organized exchange (or a subsidiary or a pension fund of such a company) based in aFinancial Action Task Force (‘‘FATF’’) Compliant Jurisdiction (the persons, entities and underlyinginvestors referred to in (i) and (ii) being referred to collectively as the ‘‘Beneficial Owners’’), yourepresent and warrant that:

(A) You understand and acknowledge the representations, warranties and agreements made in thisparagraph 11 are made by you (i) with respect to you, and (ii) with respect to the BeneficialOwners;

(B) You have all requisite power and authority from the Beneficial Owners to execute and performthe obligations under the subscription agreement and power of attorney;

(C) You have adopted and implemented anti-money laundering policies, procedures and controlsthat comply with, and will continue to comply in all respects with, the requirements ofapplicable anti-money laundering laws and regulations; and

(D) You have established the identity of or have access to all Beneficial Owners, hold evidence ofor have access to such identities, and (i) will make such information available to the generalpartner and /or your selling agent upon request, or (ii) will provide a certificate signed by youor by a senior officer of you with respect to your compliance with the anti-money launderingpolicies, procedures and controls, and, in either case, have procedures in place to ensure that noBeneficial Owner is a Prohibited Investor.

(c) You represent and warrant that, to the best of your knowledge and belief, neither you, anyBeneficial Owners nor any person controlling, controlled by, or under common control with any suchBeneficial Owners, nor any person having a beneficial or economic interest in any such BeneficialOwners, is a Prohibited Investor or, unless disclosed to the general partner and your selling agent inwriting, a Senior Foreign Political Figure or a member of the Immediate Family or a Close Associate ofa Senior Foreign Political Figure, and you are not investing and will not invest in Grant Park on behalfor for the benefit of any Prohibited Investor. You agree promptly to notify the general partner and yourselling agent of any change in information affecting the representations and warranties in this paragraphII.

(d) You represent and warrant that the funds being used to make this investment are not derivedfrom any unlawful or criminal activities.

(e) For purposes of this paragraph II, the following terms shall have the following meanings:

• Close Associate of a Senior Foreign Political Figure is a person who is widely and publiclyknown internationally to maintain an unusually close relationship with the Senior Foreign PoliticalFigure, and includes a person who is in a position to conduct substantial domestic and internationalfinancial transactions on behalf of the Senior Foreign Political Figure.

• FATF-Compliant Jurisdiction is a jurisdiction that (i) is a member in good standing of FATF and(ii) has undergone two rounds of FATF mutual evaluations. *

• FATF means the Financial Action Task Force on Money Laundering.

• Foreign Bank means an organization that (i) is organized under the laws of a non-U.S. country,(ii) engages in the business of banking, (iii) is recognized as a bank by the bank supervisory ormonetary authority of the country of its organization or principal banking operations, (iv) receivesdeposits to a substantial extent in the regular course of its business, and (v) has the power to acceptdemand deposits, but does not include the U.S. branches or agencies of a non-U.S. bank.

• Foreign Shell Bank means a Foreign Bank without a Physical Presence in any country, but does notinclude a Regulated Affiliate. Regulated Affiliate means a Foreign Shell Bank that (i) is an affiliate

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of a depository institution, credit union, or Foreign Bank that maintains a Physical Presence in theUnited States or a non-U.S. country, as applicable, and (ii) is subject to supervision by a bankingauthority in the country regulating such affiliated depository institution, credit union, or ForeignBank.

• Immediate Family of a Senior Foreign Political Figure typically includes such person’s parents,siblings, spouse, children and in-laws.

• Non-Cooperative Jurisdiction means any non-U.S. country that has been designated asnon-cooperative with international anti-money laundering principles or procedures by anintergovernmental group or organization, such as the FATF, of which the United States is a memberand with which designation the United States representative to the group or organization continuesto concur. **

• Physical Presence means a place of business that is maintained by a Foreign Bank and is located ata fixed address, other than solely a post office box or an electronic address, in a country in whichthe Foreign Bank is authorized to conduct banking activities, at which location the Foreign Bank(i) employs one or more individuals on a full-time basis, (ii) maintains operating records related toits banking activities, and (iii) is subject to inspection by the banking authority that licensed theForeign Bank to conduct banking activities.

• Prohibited Investor means (i) a person or entity whose name appears on the various lists issuedand maintained by the U.S. Office of Foreign Assets Control (‘‘OFAC’’), including the List ofSpecially Designated Nationals and Blocked Persons, the Specially Designated Terrorists List andthe Specially Designated Narcotics Traffickers List; *** (ii) a Foreign Shell Bank; or (iii) a personor entity who is a citizen or resident of, or which is located in, or whose subscription funds aretransferred from or through, a Foreign Bank in a Non-Cooperative Jurisdiction or SanctionedRegime.

• Regulated Affiliate means a Foreign Shell Bank that (i) is an affiliate of a depository institution,credit union, or Foreign Bank that maintains a Physical Presence in the United States or a non-U.S.country, as applicable, and (ii) is subject to supervision by a banking authority in the countryregulating such affiliated depository institution, credit union, or Foreign Bank.

• Sanctioned Regimes means targeted foreign countries, terrorism sponsoring organizations andinternational narcotics traffickers in respect of which OFAC administers and enforces economic andtrade sanctions based on U.S. foreign policy and national security goals. ****

• Senior Foreign Political Figure means a senior official in the executive, legislative, administrative,military or judicial branch of a foreign government (whether elected or not), a senior official of amajor foreign political party, or a senior executive of a foreign government-owned corporation. Inaddition, a Senior Foreign Political Figure includes any corporation, business or other entity that hasbeen formed by, or for the benefit of, a Senior Foreign Political Figure.

* For a current list of FATF-compliant jurisdictions refer to the Financial Action Task Force website,http://www1.oecd.org/fatf/NCCT_en.htm

** The list of Non-Cooperative Countries and Territories is amended periodically. For a current list ofNon-Cooperative Countries and Territories, refer to the Financial Action Task Force website, http://www1.oecd.org/fatf/NCCT_en.htm

*** The OFAC lists may be found at the OFAC website: http://www.treas.gov/ofac

**** As of the date of the prospectus, OFAC has imposed sanctions upon the following regimes: theBalkans, Belarus, Burma (Myanmar), Cote d’Ivoire (Ivory Coast), Cuba, Democratic Republic of theCongo, Iran, Iraq, Former Liberian Regime of Charles Taylor, North Korea, Persons Undermining theSovereignty of Lebanon or Its Democratic Processes and Institutions, Sierra Leone, Sudan, Syria andZimbabwe.

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APPENDIX DGRANT PARK FUND

REQUEST FOR REDEMPTION

1) Investor ID:(Located on Monthly Investor Statement)

2) Selling Firm Brokerage Account Number:

3) Social Security Number or Tax ID Number:

4) Redemption Month:(Grant Park Fund offers redemptions dates as outlined in the table below. If no date is specified, it will be assumed that the limited partner wishes that the redemption occuron the next available redemption date. Redemption Forms must be received 10 days prior to the redemption date to be processed for that date; if your form is not receivedprior to the cut off date it will be processed the next available redemption date.)

5) Indicate the Class of Units you wish to Redeem (Choose One):A separate Redemption Form must be completed for each Class of Units of Grant Park Futures Fund Limited Partnership (‘‘Grant Park’’) being redeemed.

□ Grant Park Class A □ Legacy 1 □ GAM 1 □ GAM 3

□ Grant Park Class B □ Legacy 2 □ GAM 2

6) Redemption Type (Choose One):□ Full Redemption OR □ Partial Redemption: (Specify ‘‘$’’or ‘‘Units’’)

7) Account Title: 8) Contact Phone:

9) FA Name: 10) FA Phone:ALL REDEMPTION PROCEEDS WILL BE REMITTED TO THE INVESTOR’S SELLING FIRM BROKERAGE ACCOUNT ON RECORD, IN THE NAME OFTHE INVESTOR, UNLESS OTHERWISE INDICATED BELOW. IF PROCEEDS ARE TO BE WIRED TO A FIRM OTHER THAN THE FIRM ON RECORDPLEASE ATTACH SIGNED WIRE INSTRUCTIONS. ALL REDEMPTION PROCEEDS FOR CUSTODY ACCOUNTS WILL BE REMITTED TO THECUSTODIAN ON RECORD.

11) Method of Payment (Choose One):□ Please remit proceeds to my brokerage account on record, or I have attached signed wire instructions.□ Please return the proceeds of this redemption to the following address*:

Street (No PO Boxes) City State Zip Code*By signature on this Redemption Form, I authorize Grant Park Fund to update the investor address of record to match the address provided above.

I understand that a limited partner may cause any of its units to be redeemed by Grant Park for an amount equal to the net asset value per applicable unit as of the valuation dateof any calendar month (the ‘‘Redemption Date’’) if at least 10 days prior to the Redemption Date, or at an earlier date if required by its selling agent, Dearborn CapitalManagement, L.L.C. (the ‘‘General Partner’’) receives a written request for redemption indicating the number or dollar amount of units the limited partner wishes to redeem. Iunderstand that by redeeming Units of the Fund I may be subject to redemption fees or penalties as detailed below. Furthermore, I have read the prospectus, understand and agreeto the terms outlined therein.

Redemption Fee Table for Grant Park Fund

Unit Class Redemption CycleOn or Before

3rd Month-EndOn or Before

6th Month-EndOn or Before

9th Month-EndOn or Before

12th Month-EndGPA Monthly - Last Day of the Month 0.00% 0.00% 0.00% 0.00%GPB Monthly - Last Day of the Month 3.50% 2.625% 1.75% 0.875%GAM 1 Monthly - Last Day of the Month NO REDEMPTIONS ALLOWED 0.00% 0.00% 0.00%GAM 2 Monthly - Last Day of the Month NO REDEMPTIONS ALLOWED 0.00% 0.00% 0.00%GAM 3 Monthly - Last Day of the Month NO REDEMPTIONS ALLOWED 1.50% 1.00% 0.50%Legacy 1 Monthly - Last Day of the Month NO REDEMPTIONS ALLOWED 0.00% 0.00% 0.00%Legacy 2 Monthly - Last Day of the Month NO REDEMPTIONS ALLOWED 0.00% 0.00% 0.00%

I understand that the units will be redeemed on a ‘‘first-in, first-out’’ basis, such that the redeemed units will be deemed to have been acquired on the redeeming limited partner’searliest subscription date for which units have not yet been redeemed. I (either in my individual capacity or as an authorized representative of an entity, if applicable) herebyrepresent and warrant that I am the true, lawful, and beneficial owner of the units to which this Request for Redemption relates, with full power and authority to requestredemption of such units. Such units are not subject to any pledge or otherwise encumbered in any fashion.

United States Taxable Limited Partners OnlyUnder penalties of perjury, by signature below, I hereby certify that the Social Security Number or Taxpayer ID Number indicated on this Request for Redemption ismy true, correct and complete Social Security Number or Taxpayer ID Number and that the undersigned is not subject to backup withholding under the provisions ofSection 3406(a)(1)(c) of the Internal Revenue Code.

Non-United States Limited Partners OnlyUnder penalties of perjury, by signature below, I hereby certify that (a) I am not a citizen or resident of the United States or (b) (in the case of an investor that is notan individual), the investor is not a United States corporation, partnership, estate or trust.

12) INVESTOR(S) MUST SIGN

SIGNATURE(S) MUST BE IDENTICAL TO NAME(S) IN WHICH UNITS ARE REGISTERED.

XSignature of Investor Date

XAdditional Signature (if applicable) Date

XAdditional Signatures (if applicable) Date

XSignature of Custodian (if applicable) Date

Please return completed original no later than 10 days prior to the redemption date (or at an earlier date if required by your Selling Agent) to:

Grant Park Fundc/o Dearborn Capital Management, L.L.C.

555 West Jackson Blvd, Suite 600Chicago, IL 60661

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APPENDIX E

GLOSSARYThe following glossary may assist prospective investors in understanding certain terms used in this

prospectus:

Administrator. An official or agency administering the securities laws of a state.

Affıliate. An affiliate of a person is (a) any person directly or indirectly owning, controlling or holdingwith power to vote 10% or more of the outstanding voting securities of such person, (b) any person 10% ormore of whose outstanding voting securities are directly or indirectly owned, controlled or held with power tovote, by such person, (c) any person, directly or indirectly, controlling, controlled by or under common controlof such person, (d) any officer, director or partner of such person, or (e) if such person is an officer, directoror partner, any person for which such person acts in such capacity.

Allocated Net Assets. The portion of Grant Park’s net assets allocated to a trading advisor and subject tothat trading advisor’s investment discretion (including any notional funds), together with any appreciation ordepreciation in such assets adjusted proportionally for new capital contributions, redemptions or capitaldistributions, if any.

Barclay BTOP50 Index. The Barclay BTOP50 Index is an investable index that seeks to replicate theoverall composition of the managed futures industry with regard to trading style and overall market exposure.The BTOP50 employs a top-down approach in selecting its constituents. The largest investable trading advisorprograms, as measured by assets under management, are selected for inclusion in the BTOP50. In eachcalendar year the selected trading advisor programs represent, in aggregate, no less than 50% of the investableassets of the Barclay CTA Universe.

Bloomberg U.S. Generic Government 3-month Yield Index. This index, compiled by Bloomberg, isintended to serve as a benchmark for the changes in yields on a generic 3-month Treasury Bill. Each indexvalue is shown as the annual yield for a treasury bill at that current time. For purposes of the demonstrationof monthly performance below, the closing value for each month is divided by 12. (i.e. a 5.00% annual yieldshown at the end of a month will show a monthly performance of 0.60%, 5.00% / 12 = 0.60%)

CEA. Commodity Exchange Act, as amended.

CFMA. Commodity Futures Modernization Act of 2000.

CFTC. Commodity Futures Trading Commission. An independent regulatory commission of the U.S.government empowered to regulate futures transactions and other commodity interest transactions under theCEA.

CASAM CISDM Commodity Trading Advisor Asset Weighted Index. A dollar weighted index named afterthe University of Massachusetts Center for International Securities and Derivatives Markets that includes theperformance of commodity trading advisors that have the objective of speculative trading profits. TheCASAM CISDM Index is utilized as a broad measure of overall managed futures returns, as compared toother indices that measure the overall returns of stocks and bonds as separate asset classes. The CASAMCISDM Index is not the same as an investment in Grant Park, as it is more broadly diversified across a muchgreater number of trading programs. Furthermore, Grant Park may perform quite differently than the CASAMCISDM Index, just as, for example, an individual stock may perform quite differently from the S&P 500Index.

Clearing Broker. Any person who engages in the business of effecting commodity interest transactionsfor the accounts of others or for its own account and who has been appointed by the general partner to act asa clearing broker on behalf of Grant Park. Currently, Grant Park’s clearing brokers are MF Global Inc.,Newedge USA, LLC and UBS Financial Services Inc.

Commodity. Refers to goods, wares, merchandise, produce and in general everything that is bought andsold in commerce, including financial instruments that have been selected as appropriate vehicles for tradingon various national and international exchanges or markets located in principal marketing and commercialareas.

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Commodity Interest. A contract or option thereon providing for the delivery or receipt at a future dateof a specified amount and grade of a traded commodity at a specified price and delivery point, or othercontract or transaction described in this prospectus the value of which is tied to an underlying commodity.

Daily Price Fluctuation Limit. The maximum permitted fluctuation (imposed by an exchange andapproved by the CFTC) in the price of a futures contract or options on futures contract that can occur on anexchange on a given day in relation to the previous day’s settlement price. Such maximum permittedfluctuation is subject to change from time to time by the exchange. These limits generally are not imposedoutside the U.S.

Delivery. The process of satisfying a futures contract, option on a commodity or a forward contract bytransferring ownership of a specified quantity and grade of a cash commodity to the purchaser thereof. Certainfinancial instrument contracts are not settled by delivery of the financial instrument, but rather are settled incash.

Dow Jones-AIG Commodity Index Total Return. The DJ-AIGCI is a total return index composed offutures contracts on physical commodities. Unlike equities, which typically entitle the holder to a continuingstake in a corporation, commodity futures contracts normally specify a certain date for the delivery of theunderlying physical commodity. In order to avoid the delivery process and maintain a long futures position,nearby contracts must be sold and contracts that have not yet reached the delivery period must be purchased.This process is known as ‘‘rolling’’ a futures position. The DJ-AIGCI is a ‘‘rolling index.’’ The index isrebalanced annually.

Draw-down. Losses experienced by the composite record over a specified period. Draw-downs aremeasured on the basis of month-end net asset values only.

EFP. Exchange for physical. An EFP transaction involves the spot purchase or sale of a commodity inconjunction with the offsetting sale or purchase of a corresponding futures contract involving the same orequivalent commodity, without making an open competitive trade on an exchange as permitted by exchangerules.

ERISA. Employee Retirement Income Security Act of 1974, as amended.

ERISA Plan. Employee benefit plan governed by ERISA.

FCM. Futures commission merchant.

FINRA. Financial Industry Regulatory Authority.

Forward Contract. A contract relating to the purchase and sale of a commodity for delivery at a futuredate. It is distinguished from a futures contract in that it is not traded on an exchange, and in that it is notuniform and contains terms and conditions specifically negotiated by the parties.

Futures Contract. A contract providing for the delivery or receipt at a future date of a specified amountand grade of a traded commodity at a specified price and delivery point, or for cash settlement. Such contractsare uniform for each commodity on each exchange and vary only with respect to price and delivery time. It isimportant to note that trading in futures contracts involves trading in contracts for future delivery ofcommodities and not the buying and selling of particular lots of commodities. A contract to buy or sell maybe satisfied either by making or taking delivery of the commodity and payment or acceptance of the entirepurchase price, or by offsetting the contractual obligation with a countervailing contract on the same or alinked exchange prior to delivery.

Hedge Fund Research, Inc. Equity Hedge Index (HFRI Equity Hedge Index). The index is comprised ofInvestment Managers who maintain positions both long and short in primarily equity and equity derivativesecurities. A wide variety of investment processes can be employed to arrive at an investment decision,including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowlyfocused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed,holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. HedgeEquity managers would typically maintain at least 50%, and may in some cases be substantially or entirelyinvested in equities, both long and short.

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Hedge Fund Research, Inc. Fund Weighted Composite Index (HFRI Fund Weighted CompositeIndex). The Hedge Fund Research Institute’s Hedge Fund Weighed Composite Index is an internationally-recognized benchmark comprised of over 2,000 funds from the internal HFR Database. HFRI Fund WeightedComposite Index is an equal-weighted return of all funds in the HFR Monthly Indices, excluding HFRI Fundof Funds Index. This is a broad-based index comprising a wide variety of hedge fund strategies. Any specifichedge fund may perform quite differently than the index.

IRA. Individual Retirement Account.

Lehman Brothers U.S. Government Index (Long Subset). The Lehman Brothers U.S. Government Indexis comprised of the U.S. Treasury and U.S. Agency indices. The U.S. Government Index includes Treasuries(public obligations of the U.S. Treasury that have remaining maturities of more than ten years) and U.S.agency debentures (publicly issued debt of U.S. Government agencies, quasi-federal corporations, andcorporate or foreign debt guaranteed by the U.S. Government). The U.S. Government Index is a component ofthe Lehman U.S. Government Index.

Long Contract. A contract to accept delivery of (i.e., to buy) a specified amount of a commodity at afuture date at a specified price.

Margin. Good faith deposits with a clearing broker to assure fulfillment of a purchase or sale of afutures contract or, in certain cases, forward or option contract. Commodity interest margins do not usuallyinvolve the payment of interest. Original or initial margin is the minimum amount of funds that must bedeposited by a commodity interest trader with the trader’s broker to initiate and maintain an open position infutures contracts. Maintenance margin is the amount (generally less than the original margin) to which atrader’s account may decline before the trader must deliver additional margin.

Margin Call. A demand for additional funds after the initial good faith deposit required to maintain acustomer’s account in compliance with the requirements of a particular exchange or a clearing broker.

Morgan Stanley Capital International Europe, Australasia, Far East Index (MSCI EAFE Index).A capitalization-weighted index that is designed to measure the investment returns of developed economiesoutside of North America. The index includes publicly traded stocks from 21 countries that are divided intoindustry groups, with representative stocks selected from each industry group. Cross-ownership is tracked toensure that the market weight given each company is accurate.

Morgan Stanley Capital International U.S. REIT Index Total Return (MSCI U.S. REIT Index TotalReturn). The MSCI US REIT Index broadly and fairly represents the equity REIT opportunity set withproper investability screens to ensure that the index is investable and replicable. The index representsapproximately 85% of the US REIT universe. The MSCI US REIT Index will reflect the evolving equityREIT market on a timely basis through quarterly index reviews.

NASAA. North American Securities Administrators Association, Inc.

NASAA Guidelines. The Guidelines for the Registration of Commodity Pool Programs imposed byNASAA.

NASDAQ Composite Index. An index that measures all NASDAQ domestic and non-U.S. basedcommon stocks listed on the NASDAQ Stock Market (currently over 3,000 companies). The index is market-value weighted. This means that each company’s stock affects the index in proportion to its market value. Themarket value, the last sale price multiplied by total shares outstanding, is calculated throughout the tradingday, and is related to the total value of the index.

Net Asset Value or NAV. Net asset value as of a specified time with respect to any class of units or ofGrant Park as a whole equals the value of the net assets attributable to such class or of Grant Park, asapplicable, as of that time.

NFA. National Futures Association. A self-regulatory organization for commodity interest professionals.

Net Assets. The total assets attributable to any class of units or of Grant Park, as applicable, includingall cash, plus Treasury securities at accrued interest and the market value of all open commodity interest

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positions attributable to such class or of Grant Park, less all liabilities attributable to such class or of GrantPark, determined in accordance with generally accepted accounting principles (GAAP).

Net Asset Value per Unit. Net asset value of a class of units divided by the aggregate number of unitsof such class outstanding.

Net Worth. The excess of total assets over total liabilities as determined in accordance with GAAP. Networth is determined exclusive of home, home furnishings and automobiles.

New Trading Profits. The excess, if any, of the value of the trading advisor’s allocated net assets as ofthe end of a quarter over the value of the trading advisor’s allocated net assets as of the end of the mostrecent prior quarter in which an incentive fee was paid to the trading advisor.

Notional Funds. The difference between the nominal size of an account as agreed between a tradingadvisor and the client and the actual amount of cash funds held in the client’s account at the clearing broker.Notional funds has the same meaning as notional equity.

Open Position. A contractual commitment arising under a commodity interest contract that has not beenextinguished by an offsetting trade or by delivery.

Option. A contract giving the purchaser the right, as opposed to the obligation, to acquire or to disposeof the commodity, futures contract or forward contract underlying the option.

Organization and Offering Expenses. All expenses incurred by Grant Park in connection with and inpreparing any class of units for registration and subsequently offering and distributing the units to the public,including, but not limited to, total selling agent, underwriting and brokerage discounts and commissions(including fees of the selling agent’s or underwriter’s attorneys), expenses for printing, engraving, mailing,salaries of the general partner’s employees while engaged in sales activity, charges of transfer agents,registrars, trustees, escrow holders, depositories, experts, expenses of qualification of the sale of the unitsunder federal and state law, including taxes and fees, accountants’ and attorneys’ fees, to the extent applicable.

Person. Any natural person, partnership, corporation, association or other legal entity.

Pit Brokerage Fees. Includes floor brokerage, clearing fees, NFA fees and exchange fees.

Pyramiding. A method of using all or a part of an unrealized profit in a commodity interest contractposition to provide margin for any additional commodity interest contracts of the same or relatedcommodities.

Round-turn Transaction. The process of opening an investment in a commodity interest by taking aposition together with the process of closing out that investment by undertaking an offsetting transaction.

Round-Turns per Million. Measures the frequency with which a trading advisor initiates andsubsequently closes out a market position on an average million-dollar account.

SEC. Securities and Exchange Commission.

Selling Agent. Any broker-dealer that is engaged by the general partner to offer and sell the units toprospective investors. Currently, Grant Park’s lead selling agents are UBS Financial Services Inc., A.G.Edwards & Sons, Inc., and Oppenheimer & Co. Inc. The general partner may engage additional selling agents.

Settlement Price. The closing price for futures contracts in a particular commodity established by theclearing organization or exchange after the close of each day’s trading.

Short Contract. A contract to make delivery of (i.e., to sell) a specified amount of a commodity at afuture date at a specified price.

Speculative Position Limit. The maximum number of speculative futures or option contracts in any onecommodity (on one contract market), imposed by the CFTC or a U.S. futures exchange, that can be held orcontrolled at one time by one person or a group of persons acting together. These limits generally are notimposed for trading on markets or exchanges outside the U.S.

Sponsor. Any person directly or indirectly instrumental in organizing Grant Park or any person whowill manage or participate in the management of Grant Park, including any clearing broker who pays any

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portion of the organization and offering expenses of Grant Park, and the general partner and any other personwho regularly performs or selects the persons who performs service for Grant Park. The term ‘‘sponsor’’ doesnot include wholly independent third parties such as any attorneys, accountants, selling agents andunderwriters whose only compensation is for professional services rendered in connection with the offering ofthe units. The term ‘‘sponsor’’ shall be deemed to include its affiliates. Grant Park’s sole sponsor is DearbornCapital Management, L.L.C.

Spot Contract. A cash market transaction in which the buyer and seller agree to the immediate purchaseand sale of a specific commodity, usually with a two-day settlement. Spot contracts are not uniform and arenot exchange traded.

Spread or Straddle. A trading strategy involving the simultaneous buying and selling of contracts on thesame commodity interest but involving different delivery dates or markets and in which the trader expects toearn a profit from a widening or narrowing of the difference between the prices of the two contracts.

Standard & Poor’s 500 Total Return Index (S&P 500 Index). A weighted index consisting of the 500stocks in the S&P 500 Index, which are chosen by Standard and Poor’s based on industry representation,liquidity and stability. The stocks in the S&P 500 Index are not the 500 largest companies, rather the index isdesigned to capture the returns of many different sectors of the U.S. economy. The Total Return calculationincludes the price-plus-gross cash dividend return.

Standard Deviation. Standard deviation measures the dispersal or uncertainty in a random variable (inthis case, investment returns). It measures the degree of variation of returns around the mean, or average,return. The higher the volatility of the investment returns, the higher the standard deviation will be. For thisreason, standard deviation is often used as a measure of investment risk.

Sharpe Ratio. A return/risk measure developed by William Sharpe. Return (numerator) is defined as theincremental average return of an investment over the risk free rate. Risk (denominator) is defined as thestandard deviation of the investment returns.

Swap Contract. A transaction that generally involves contracts with a counterparty to exchange a streamof payments computed by reference to a notional amount and the price of the asset that is the subject of theswap. Swap contracts generally are not uniform and not exchange traded.

Time Horizon. Refers to the average trading length of a market position held in the trading advisor’ssystem.

Trading Advisor. Any person who for consideration engages in the business of advising others, eitherdirectly or indirectly, as to the value, purchase or sale of commodity interests and who has been appointed toact as a trading advisor for Grant Park. Currently, Grant Park’s trading advisors are Rabar Market Research,Inc., EMC Capital Management, Inc., Eckhardt Trading Company, Graham Capital Management, L.P., WintonCapital Management Limited, and Welton Investment Corporation.

Unrealized Profit or Loss. The profit or loss that would be realized on an open position if it wereclosed out at the current settlement price.

Valuation Date. The date as of which the net assets of any class of units or of Grant Park aredetermined.

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Grant Park Fund Prospectus 03.25.09

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Transcript of Grant Park Fund Prospectus 03.25.09