Filed Pursuant to Rule 424(b)(3)

File No. 333-153862

Account Statement

(Prepared from books without audit)

For the month ended April 30, 2011

STATEMENT OF INCOME

Trading Income (Loss)	Month to Date Total		Year to Date Total
Realized Trading Income (Loss)	$	20,395,060	$	41,254,125
Change In Unrealized Income (Loss)		25,708,770		15,008,409
Brokerage Commission		-198,491		-817,104
Exchange, Clearing Fee and NFA Charges		-123,753		-557,443
Other Trading Costs		-948,819		-3,271,619
Change in Accrued Commission		67,091		12,623
Net Trading Income (Loss)		44,899,858		51,628,991
Other Income	Month to Date Total		Year to Date Total
Interest, U.S. Obligations	$	308,118	$	977,571
Interest, Other		69,322		338,987
U.S. Government Securities Gain (Loss)		0		0
Dividend Income		13,214		47,176
Total Income (Loss)		45,290,512		52,992,725
Expenses	Month to Date Total		Year to Date Total
Management Fee	$	0	$	0
Incentive Fee		7,925,317		9,581,163
Operating Expenses		200,662		772,258
Organization and Offering Expenses		229,692		883,156
Brokerage Expenses		4,760,312		18,419,914
Dividend Expenses		27,447		67,510
Total Expenses		13,143,430		29,724,001
Net Income (Loss)	$	32,147,082	$	23,268,724
Statement of Changes in Net Asset Value	Month to Date Total		Year to Date Total
Beginning Balance	$	897,386,160	$	891,912,771
Additions		19,580,163		56,699,173
Net Income (Loss)		32,147,082		23,268,724
Redemptions		-9,981,424		-32,748,687
Balance at APRIL 30, 2011	$	939,131,981	$	939,131,981

PERFORMANCE SUMMARY BY CLASS

Class	Net Asset Value per Unit		Units		Net Asset Value		ROR – Month to Date			ROR – Year to Date
A	$	1,532.719		42,281.38614	$	64,805,481		3.79	%		2.96	%
B	$	1,305.669		480,103.93654	$	626,857,035		3.74	%		2.74	%
Legacy 1	$	1,061.783		6,637.37563	$	7,047,455		3.84	%		3.60	%
Legacy 2	$	1,054.866		10,110.72420	$	10,665,459		3.77	%		3.44	%
Global 1	$	1,006.686		13,183.57467	$	13,271,719		2.92	%		2.27	%
Global 2	$	999.388		22,532.68258	$	22,518,882		2.91	%		2.19	%
Global 3	$	960.448		201,953.72351	$	193,965,951		2.75	%		1.53	%

To the best of my knowledge and belief the information contained herein is accurate and complete.

/s/ David Kavanagh

David Kavanagh, President

For Dearborn Capital Management, LLC

General Partner of Grant Park Futures Fund, Limited Partnership

Grant Park Fund April 2011 Update

May 20, 2011

Supplement dated May 20, 2011 to Prospectus dated April 29, 2010

Class	April ROR			YTD ROR			Net Asset Value		Net Asset Value per Unit
A		3.8	%		3.0	%	$	64.8M	$	1,532.72
B		3.7	%		2.7	%	$	626.9M	$	1,305.67
Legacy 1		3.8	%		3.6	%	$	7.0M	$	1,061.78
Legacy 2		3.8	%		3.4	%	$	10.7M	$	1,054.87
Global 1		2.9	%		2.3	%	$	13.3M	$	1,006.69
Global 2		2.9	%		2.2	%	$	22.5M	$	999.39
Global 3		2.8	%		1.5	%	$	194.0M	$	960.45

ALL PERFORMANCE REPORTED IS NET OF FEES AND EXPENSES

Sector Commentary

Grains/Foods: Corn prices rose nearly 9% due to two factors: poor weather forecasts in major U.S. and European farming regions and increased corn demand from ethanol producers. Sugar prices fell sharply based on strong production forecasts from Thailand, the world second-largest exporter.

Metals: Precious metals markets moved steadily higher on increased buying by investors seeking to hedge against U.S. dollar weakness. Safe-haven buying caused by the economic situation in Japan and political unrest in the Middle East and Africa also played a role in driving precious metals markets higher. Copper prices declined due to forecasts for weaker industrial demand caused by the recent Japanese earthquake and potential interest rate hikes in China.

Currencies: The U.S. dollar weakened against global counterparts on concerns about economic growth in the U.S. Weak employment data and reports from Standard & Poor’s called for a prolonged U.S. economic recovery and put further pressure on the dollar. The euro and Swiss franc strengthened against the dollar as speculators believed that monetary policy shifts in the U.S. would lag those of its European counterparts.

Equities: North American and European equity markets moved predominantly higher, fueled by strong corporate earnings reports for the first quarter. Japanese equity markets finished the month slightly higher due to heavy buying by investors looking to take advantage of low share prices caused by recent downtrends. The Hong Kong Hang Seng index fell due to concerns over potential Chinese interest rate hikes which could hinder the nation’s economic growth.

Fixed Income: U.S. Treasury markets posted monthly gains as an unexpected rise in jobless claims put pressure on investor risk appetite. The current crisis events in Japan and turmoil in the Middle East and Africa combined to support increased demand in this sector.

Sincerely,

/s/ David Kavanagh

David Kavanagh

President

Enclosures

Daily fund performance and weekly commentaries are available on our website at www.grantparkfunds.com.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

FUTURES TRADING INVOLVES A HIGH DEGREE OF RISK AND IS NOT SUITABLE FOR ALL INVESTORS

THIS DOES NOT CONSTITUTE AN OFFER OF ANY SECURITY FOR SALE NOR SHALL THERE BE ANY SALE OF SECURITIES IN ANY JURISDICTION IN WHICH AN OFFER, SOLICITATION OR SALE WOULD BE UNLAWFUL PRIOR TO REGISTRATION OR QUALIFICATION UNDER THE SECURITIES LAWS OF ANY SUCH JURISDICTION OFFERING BY PROSPECTUS ONLY.