X0202 4 2006-07-01 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 2006-07-01 4 P 0 92.3017 1170.0756 A 2763.334 I By Dearborn Capital Management LLC General Partnership Units 2006-07-01 4 P 0 10.2557 1170.0756 A 307.037 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 2006-07-05