X0202 4 2006-04-01 0 0000845698 GRANT PARK FUTURES FUND LIMITED PARTNERSHIP NONE 0001245541 KAVANAGH DAVID M C/O DEARBORN CAPITAL MANAGEMENT LLC 555 W. JACKSON BLVD., STE. 600 CHICAGO IL 60661 0 0 0 1 President of General Partner Class A Limited Partnership Units 2006-04-01 4 P 0 8.1163 1108.8828 A 2589.129 I By Dearborn Capital Management LLC General Partnership Units 2006-04-01 4 P 0 0.9018 1108.8828 A 287.681 I By Dearborn Capital Management LLC Class B Limited Partnership Units 2006-03-31 4 S 0 23.2214 980.556 D 0.00 I By Dearborn Capital Management LLC Represents units directly held by Dearborn Capital Management LLC, the general partner of the issuer. The managing member of Dearborn Capital Management LLC is Dearborn Capital Management Ltd. Mr. Kavanagh is the sole shareholder of Dearborn Capital Management Ltd. /s/ David M. Kavanagh 2006-04-04