No one has ever won the Grand Slam in Men's professional Golf. The player who came the closest was Tiger Woods, he won the Tiger Slam 2000 US Open, Open Championship and PGA Championship and 2001 Masters. Other players have won what is known as the career slam.
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Nobody won the Wimbledon Tournement six times in a row, but Bjorn Borg and Roger Federer won it five years in a row, and that's the world record.