10-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM 10-K

x ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the fiscal year ended December 31, 2006

OR

¨ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

Commission File Number 000-51274

THE FRONTIER FUND

BALANCED SERIES; GRAHAM SERIES; WINTON SERIES; CAMPBELL/GRAHAM SERIES

CURRENCY SERIES; DUNN SERIES; LONG ONLY COMMODITY SERIES;

LONG/SHORT COMMODITY SERIES; MANAGED FUTURES INDEX SERIES

(Exact Name of Registrant as specified in its Charter)

Delaware	36-6815533
(State of Organization)	(IRS Employer Identification No.)

c/o Equinox Fund Management, LLC

1660 Lincoln Street, Suite 100,

Denver, Colorado 80264

(Address of Principal Executive Offices)

(303) 837-0600

(Registrant’s Telephone Number)

Securities to be registered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act:

Balanced Series Class 1, Class 2, Class 1a and Class 2a Units;

Dunn Series Class 1 and Class 2 Units;

Graham Series Class 1 and Class 2 Units;

Winton Series Class 1 and Class 2 Units;

Campbell/Graham Series Class 1 and Class 2 Units;

Currency Series Class 1 and Class 2 Units;

Long/Short Commodity Series Class 1 and Class 2 Units;

Long Only Commodity Series Class 1 and Class 2 Units; and

Managed Futures Index Series Class 1 and Class 2 Units

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes  ¨    No  x

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act. Yes  ¨    No  x

Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months, and (2) has been subject to such filing requirements for the past 90 days. Yes  x    No  ¨

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K.  x

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” in Rule 12b-2 of the Exchange Act. (Check One):

Large Accelerated Filer ¨                     Accelerated Filer ¨                     Non –Accelerated Filer x

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes  ¨    No  x

The Frontier Fund’s units of beneficial interest are not traded on any market and, accordingly, do not have an aggregate market value. Units outstanding as of June 30, 2006 were: 2,108,427 for the Balanced Series, 2,168 for the Winton Series, 478,530 for the Campbell/Graham Series, 59,666 for the Currency Series, 3,112 for the Dunn Series, 92,972 for the Graham Series, 9,904 for the Long Only Commodity Series, 125,906 for the Long/Short Commodity Series and 2,759 for the Managed Futures Index Series. Units outstanding as of December 31, 2006 were: 2,581,257 for the Balanced Series, 6,100 for the Winton Series, 579,504 for the Campbell Graham Series, 72,697 for the Currency Series, 1,951 for the Dunn Series, 93,442 for the Graham Series, 46,464 for the Long Only Commodity Series, 220,172 for the Long/Short Commodity Series and 5,704 for the Managed Futures Index Series.

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Documents Incorporated by Reference

Portions of the Prospectus filed by the registrant on February 12, 2007 pursuant to Rule 424(b)(3) of the Securities Act (File No. 333-140240) are incorporated by reference into Part I and Part II of this report.

Special Note About Forward-Looking Statements

THIS ANNUAL REPORT CONTAINS STATEMENTS WHICH CONSTITUTE FORWARD-LOOKING STATEMENTS WITHIN THE MEANING OF THE PRIVATE SECURITIES LITIGATION REFORM ACT OF 1995 AND OTHER FEDERAL SECURITIES LAWS. THESE FORWARD-LOOKING STATEMENTS REFLECT THE MANAGING OWNER’S CURRENT EXPECTATIONS ABOUT THE FUTURE RESULTS, PERFORMANCE, PROSPECTS AND OPPORTUNITIES OF THE TRUST. THE MANAGING OWNER 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 TERMS OR SIMILAR EXPRESSIONS. THESE FORWARD-LOOKING STATEMENTS ARE BASED ON INFORMATION CURRENTLY AVAILABLE TO THE MANAGING OWNER AND ARE SUBJECT TO A NUMBER OF RISKS, UNCERTAINTIES AND OTHER FACTORS, BOTH KNOWN, SUCH AS THOSE DESCRIBED IN THE “RISK FACTORS” SECTION UNDER ITEM 1A AND ELSEWHERE IN THIS REPORT, AND UNKNOWN, THAT COULD CAUSE THE TRUST’S ACTUAL RESULTS, PERFORMANCE, PROSPECTS OR OPPORTUNITIES TO DIFFER MATERIALLY FROM THOSE EXPRESSED IN, OR IMPLIED BY, THESE FORWARD-LOOKING STATEMENTS.

YOU SHOULD NOT PLACE UNDUE RELIANCE ON ANY FORWARD-LOOKING STATEMENTS. EXCEPT AS EXPRESSLY REQUIRED BY THE FEDERAL SECURITIES LAWS, THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO PUBLICLY UPDATE OR REVISE ANY FORWARD-LOOKING STATEMENTS OR THE RISKS, UNCERTAINTIES OR OTHER FACTORS DESCRIBED HEREIN, AS A RESULT OF NEW INFORMATION, FUTURE EVENTS OR CHANGED CIRCUMSTANCES OR FOR ANY OTHER REASON AFTER THE DATE OF THIS REPORT.

UNLESS EXPRESSLY STATED OTHERWISE, ALL INFORMATION IN THIS REPORT IS AS OF DECEMBER 31, 2006, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

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Table of Contents

PART I			Page
	Item 1.	Business	5
	Item 1A.	Risk Factors	8
	Item 1B.	Unresolved Staff Comments	25
	Item 2.	Properties	25
	Item 3.	Legal Proceedings	25
	Item 4.	Submission of Matters to a Vote of Security Holders	25
PART II
	Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	26
	Item 6.	Selected Financial Data	27
	Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	31
	Item 7A.	Quantitative and Qualitative Disclosure About Market Risk	68
	Item 8.	Financial Statements and Supplementary Data	80
	Item 9.	Changes in and Disagreements with Accountants on Accounting and Financial Disclosure	80
	Item 9A.	Controls and Procedures	80
	Item 9B.	Other Information	80
PART III
	Item 10.	Directors, Executive Officers of the Registrant and Corporate Governance	81
	Item 11.	Executive Compensation	84
	Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	85
	Item 13.	Certain Relationships and Related Transactions, and Director Independence	85
	Item 14.	Principal Accounting Fees and Services	85
PART IV
	Item 15.	Exhibits and Financial Statement Schedules	87
		Index to Financial Statements	F-1
		Signatures	E-1

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Part I

Item 1. BUSINESS.

Overview

The Frontier Fund, which is referred to in this report as the Trust, was formed on August 8, 2003, as a Delaware statutory trust. The Trust is a multi-advisor commodity pool, as described in Commodity Futures Trading Commission, or CFTC, Regulation § 4.10(d)(2). The Trust has authority to issue separate series, or each, a Series, of units of beneficial interest, or the Units, in segregated pools of assets of the Trust, pursuant to the requirements of the Delaware Statutory Trust Act, as amended, or the Trust Act. The assets of each Series are segregated from the assets of other Series. The Trust is not registered as an investment company under the Investment Company Act of 1940, as amended. It is managed by its Managing Owner, Equinox Fund Management, LLC.

Purchasers of Units are limited owners of the Trust, or Limited Owners. The Trust Act provides that, except as otherwise provided in the amended and restated declaration of trust and trust agreement of the Trust dated as of August 8, 2003, by and among the Managing Owner, Wilmington Trust Company as trustee and the unitholders from time to time, or the Trust Agreement, unitholders in a Delaware statutory trust will have the same limitation of liability as do stockholders of private corporations organized under the General Corporation Law of the State of Delaware. The Trust Agreement confers substantially the same limited liability, and contains the same limited exceptions thereto, as would a limited partnership agreement for a Delaware limited partnership engaged in like transactions as the Trust. In addition, pursuant to the Trust Agreement, the Managing Owner of the Trust is liable for obligations of a Series in excess of that Series’ assets. Limited Owners do not have any such liability.

As of December 31, 2006, the Trust had nine separate Series of Units issued and outstanding: Balanced Series, Winton Series (formerly Beach Series, as described below), Campbell/Graham Series, Currency Series, Dunn Series, Graham Series, Long Only Commodity Series, Long/Short Commodity Series and the Managed Futures Index Series. The Units of each Series are separated into two sub-classes of Units, except the Balanced Series which has four sub-classes of Units.

On September 24, 2004, the Trust commenced operations for Balanced Series, Winton Series, Currency Series and Dunn Series. The Graham Series commenced operations as of November 19, 2004. The Campbell/Graham Series commenced operations on February 11, 2005. On February 24, 2006, the Trust commenced operations for the Long Only Commodity, Long/Short Commodity and the Managed Futures Index Series. On May 1, 2006, two new classes of the Balanced Series commenced operations: Balanced Series 1a, and Balanced Series 2a.

The Continuous Offering Period of the Dunn Series was terminated by the Managing Owner in February 2006.

Effective as of April 13, 2006, (i) the Advisory Agreement dated as of March 1, 2004 by and among the Trust, Frontier Trading Company II LLC (the “Trading Company II”), the Managing Owner and Beach Capital Management Limited (“Beach”), which set forth the terms and conditions upon which Beach would render and implement trading advisory services on behalf of the Trading Company II and the Trust with respect to the Beach Series of the Trust and (ii) the Advisory Agreement dated as of March 1, 2004 by and among the Trust, Frontier Trading Company I LLC (the “Trading Company I”), the Managing Owner and Beach, which set forth the terms and conditions upon which Beach would render and implement trading advisory services on behalf of the Trading Company I and the Trust with respect to the assets of the Balanced Series of the Trust allocated to Beach (collectively, the “Agreements”) were terminated. The Agreements were terminated because Beach informed the Managing Owner that Beach had ceased trading pursuant to its Discretionary Program, which was the trading program Beach utilized in providing the trading advisory services under the Agreements.

As a result of the termination of the Agreements, the Trust ceased accepting new subscriptions for the Units in the Beach Series, and, effective April 1, 2006, the Trust ceased assessing all fees on the Beach Series. Upon termination of the Agreements, the Managing Owner delivered written notice to the existing investors in the Beach Series informing them of their exchange and redemption rights as disclosed in the Trust’s prospectus (the “Prospectus”). In addition, the assets of the Balanced Series which had previously been allocated to Beach were reallocated to one or more of the other trading advisors pursuant to the Managing Owner’s asset allocation discretion as disclosed in the Prospectus. On July 31, 2006, all remaining investor accounts in the Beach Series were redeemed.

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In May 2006, Beach Series was renamed as Winton Series. For purposes of this report, Beach Series is referred to as Winton Series, regardless of whether the applicable time period referred to is prior or subsequent to the name change, unless explicitly set forth otherwise.

The Trust, with respect to each Series:

• engages in the speculative trading of a diversified portfolio of futures, forward (including interbank foreign currencies) and options contracts and other derivative instruments and may, from time to time, engage in cash and spot transactions;

• allocates funds to a subsidiary limited liability Trading Company or Companies. Each Trading Company has one-year renewable contracts with its own independent commodity trading advisor(s), or each, a Trading Advisor, that will manage all or a portion of such Trading Company’s assets, make the trading decisions for the assets of each Series vested in such Trading Company, segregate its assets from any other Trading Company and maintain separate, distinct records for each Series, and account for its assets separately from the other Series and the other Trust assets;

• calculates the net assets, or the Net Asset Value, of its Units separately from the other Series;

• has an investment objective of increasing the value of the Units over the long term (capital appreciation), while controlling risk and volatility, and to offer exposure to the investment programs of individual Trading Advisors and to specific instruments (currencies); and

• aggregates all cash and equivalents for purposes of maximizing returns at an equal rate for all Series.

The assets of any particular Series include only those funds and other assets that are paid to, held by or distributed to the Trust on account of and for the benefit of that Series. Under the “Inter-Series Limitation on Liability” expressly provided for under Section 3804(a) of the Trust Act, strict segregation of the cash and equivalents, though pooled for maximizing returns, is maintained in the books and records of each Series.

During 2006, the Trust registered up to an additional 1,620,000 Units in Balanced Series (Class 1a and Class 2a Units only), Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series on a Registration Statement on Form S-1/A pursuant to Rule 462(b) (File No. 333-129701). As of December 31, 2006, the total Units outstanding of each Series of the Trust was 2,581,257 with respect to Balanced Series, 6,100 with respect to Winton Series, 579,504 with respect to Campbell/Graham Series, 72,697 with respect to Currency Series, 1,951 with respect to Dunn Series, 93,442 with respect to Graham Series, 46,464 with respect to Long Only Commodity Series, 220,172 with respect to Long/Short Commodity Series and 5,704 with respect to Managed Futures Index Series.

On January 26, 2007, the Trust filed a registration statement on Form S-1 (File No. 333-140240), which was declared effective on February 12, 2006. The Trust registered a total of 2,200,000 Units in such registration statement, including 1,000,000 Units in Balanced Series (Class 2), 1,000,000 Units in Long/Short Commodity Series (Class 1) and 200,000 Units in Long/Short Commodity Series (Class 2).

As of December 31, 2006, substantially all of the assets of Winton Series, Currency Series, Dunn Series, Graham Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series had been invested in the Trading Company for such Series, and the assets of the Balanced Series and the Campbell/Graham Series had been invested in several different Trading Companies. Each Trading Company (except the Trading Company for the Balanced Series, Currency Series and the Long/Short Commodity Series) has its own Trading Advisor that manages 100% of the assets invested in such Trading Company and makes that Trading Company’s trading decisions. Between 10% and 30% of each Series’ assets are normally committed as margin for commodities trading, although these percentages may substantially vary from time to time.

The Balanced Series, in order to make investments in the Campbell/Graham Series, Currency Series, Graham Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, advances funds to such Series, for the purpose of investing in the respective Trading Company or Trading Companies for such Series on behalf of the Balanced Series.

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The Trading Advisors were selected based upon the Managing Owner’s evaluation of each Trading Advisor’s past performance, trading portfolios and strategies, as well as how each Trading Advisor’s performance, portfolio and strategies complement and differ from those of the other Trading Advisors. As of December 31, 2006, none of the Trading Advisors or any of their principals had any beneficial interest in the Trust, but any of them is free to acquire such beneficial interest.

Equinox Fund Management, LLC, a Delaware limited liability company formed in June 2003, is the managing owner of the Trust (the “Managing Owner”). The Managing Owner became registered with the CFTC as a commodity pool operator (“CPO”), as of August 6, 2003, and has been a member of the National Futures Association (“NFA”), in such capacity since that date. The Managing Owner’s main business office is located at 1660 Lincoln Street, Suite 100, Denver, Colorado 80264, telephone (303) 837-0600. A description of the Managing Owner’s responsibilities to the Trust is contained in a Prospectus filed by the Trust on February 12, 2007 pursuant to Rule 424(b)(3) of the Securities Act (File No. 333-140240), which is referred to herein as the “Prospectus,” under the section captioned “Duties of the Managing Owner,” and such description is incorporated herein by reference from the Prospectus.

Regulation

Under the Commodity Exchange Act, as amended, commodity exchanges and commodity futures trading are subject to regulation by the CFTC. The NFA, a registered futures association under the Commodity Exchange Act, is the only non-exchange self-regulatory organization for commodity industry professionals. The CFTC has delegated to the NFA responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers” and their respective associated persons and “floor brokers.” The Commodity Exchange Act requires “commodity pool operators” such as the Managing Owner “commodity trading advisors” and commodity brokers or “futures commission merchants” such as the Trust’s commodity brokers to be registered and to comply with various reporting and recordkeeping requirements. The Managing Owner and the Trust’s commodity brokers are members of the NFA. The CFTC may suspend a commodity pool operator’s or a commodity trading advisor’s registration if it finds that its trading practices tend to disrupt orderly market conditions, or as the result of violations of the Commodity Exchange Act or rules and regulations promulgated thereunder. In the event that the Managing Owner’s registration as a commodity pool operator were terminated or suspended, the Managing Owner would be unable to continue to manage the business of the Trust. Should the Managing Owner’s registration be suspended, termination of the Trust may result.

In addition to such registration requirements, the CFTC and certain commodity exchanges have established limits on the maximum net long and net short positions which any person, including the Trust, may hold or control in particular commodities. Most exchanges also limit the maximum changes in futures contract prices that may occur during a single trading day. The Trust also trades in dealer markets for forward and swap contracts, which are not regulated by the CFTC. Federal and state banking authorities also do not regulate forward trading or forward dealers. In addition, the Trust trades on foreign commodity exchanges, which are not subject to regulation by any U.S. government agency.

Operations

A description of the business of the Trust, including trading approaches for each Series of Units, rights and obligations of the limited owners, compensation arrangements and fees and expenses is contained in the Prospectus, under the sections captioned “Risk Disclosure Statement,” “Summary of the Prospectus,” “Risk Factors,” “Structure of the Trust,” “Trading Limitation and Policies,” “Description of the Trust, Trustee, Managing Owner and Affiliates,” “Actual and Potential Conflicts of Interest,” “Fees and Expenses” and the appendix attached to the Prospectus for each Series of Units, and such description is incorporated herein by reference from the Prospectus.

The Trading Companies for each Series of Units engage in the speculative trading of a diversified portfolio of futures, forward (including interbank foreign currencies) and options contracts and other derivative instruments and may, from time to time, engage in cash and spot transactions. A brief description of the Trust’s main types of investments is set forth below:

• A futures contract is a standardized contract traded on an exchange that calls for the future delivery of a specified quantity of a commodity at a specified time and place.

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• A forward contract is an individually negotiated contract between principals, not traded on an exchange, to buy or sell a specified quantity of a commodity at or before a specified date at a specified price.

• An option on a futures contract, forward contract or a commodity gives the buyer of the option the right, but not the obligation, to buy or sell a futures contract, forward contract or a commodity, as applicable, at a specified price on or before a specified date. Options on futures contracts are standardized contracts traded on an exchange, while options on forward contracts and commodities, referred to collectively in this prospectus as over-the-counter options, generally are individually negotiated, principal-to-principal contracts not traded on an exchange.

• A swap contract generally involves an exchange of a stream of payments between the contracting parties. Swap contracts generally are not uniform and not exchange-traded.

• A spot contract is a cash market transaction in which the buyer and seller agree to the immediate purchase and sale of a commodity, usually with a two-day settlement. Spot contracts are not uniform and not exchange-traded.

Financial Information about Geographic Areas

Although the Trust trades in the global futures and forward markets, it does not have operations outside of the U.S.

Employees

The Trust has no employees. The Trust is managed solely by the Managing Owner in its capacity as the managing owner of the Trust pursuant to the Trust Agreement.

Available Information

The Trust files quarterly, annual and current reports with the Securities and Exchange Commission (“SEC”). These reports are available to read and copy at the SEC’s Public Reference Facilities in Washington, D.C. at 450 Fifth Street, N.W., Washington, D.C. 20549. Please call the SEC’s toll free number, 1-800-SEC-0330, for further information. The Fund does not maintain a website where these reports are posted. However, the Fund’s filings are posted on the SEC’s website at http://www.sec.gov.

Item 1A. RISK FACTORS.

The Trust is a new venture in a high-risk business. An investment in the Units of each Series is very speculative. You should make an investment in one or more of the Series only after consulting with independent, qualified sources of investment and tax advice and only if your financial condition will permit you to bear the risk of a total loss of your investment. You should consider an investment in the Units only as a long-term investment. Moreover, to evaluate the risks of this investment properly, you must familiarize yourself with the relevant terms and concepts relating to commodities trading and the regulation of commodities trading, which are discussed in the Prospectus in the Statement of Additional Information below, in the section captioned “Futures Markets,” which is incorporated herein by reference.

You should carefully consider all the information we have included or incorporated by reference in this Form 10-K and our subsequent periodic filings with the SEC. In particular, you should carefully consider the risk factors described below and read the risks and uncertainties as set forth in the “Management’s Discussion and Analysis of Financial Condition and Results of Operations” Section of this Form 10-K. Any of the following risks and uncertainties could materially adversely affect the Trust, its trading activities, operating results, financial condition and Net Asset Value and therefore could negatively impact the value of your investment. You should not invest in the Units unless you can afford to lose all of your investment.

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Market Risks

The commodity interest markets in which the Trading Advisors trade are highly volatile, which could cause substantial losses and may cause you to lose your entire investment.

Commodity interest contracts are highly volatile and are subject to occasional rapid and substantial fluctuations. Consequently, you could lose all or substantially all of your investment in the Units of any Series should such Series’ trading positions suddenly turn unprofitable. The profitability of any Series depends primarily on the ability of its Trading Advisor(s) to predict these fluctuations accurately. Price movements for commodity interests are influenced by, among other things:

• changes in interest rates;

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

• weather and climate conditions;

• natural disasters, such as hurricanes;

• 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 and economic events; and

• changes in philosophies and emotions of market participants.

The Trading Advisors’ technical trading methods may not take account of these factors except as they may be reflected in the technical input data analyzed by the Trading Advisors.

In addition, governments from time to time intervene, directly and by regulation, in certain markets, often with the intent to influence prices directly. The effects of governmental intervention may be particularly significant at certain times in the financial instrument and currency markets, and this intervention may cause these markets to move rapidly.

Futures, forward and options trading is volatile and may cause large losses.

A principal risk in futures, forward and options trading is volatile performance. Because the trading decisions for each of the Trust’s Graham Series, Winton Series and Managed Futures Index Series will be made by a single Trading Advisor, the trading for each such Series is similar to a single advisor fund in which one trading advisor makes all the trading decisions. In single advisor funds, volatility may increase as compared to a fund with several trading advisors who, collectively, can diversify risk to a greater extent (assuming those advisors are non-correlated with each other).

Options trading can be more volatile and expensive than futures trading and may cause large losses.

Certain Trading Advisors may trade options on futures. Although successful options trading requires many of the same skills as successful futures trading, the risks involved are somewhat different. For example, the assessment of near-term market volatility—which is directly reflected in the price of outstanding options—can be of much greater significance in trading options than it is in many long-term futures strategies. If market volatility is incorrectly predicted, then the use of options can be extremely expensive.

Futures, forward and options trading is highly leveraged and may cause large losses.

The low margin normally required in futures, forward and options trading provides a large amount of leverage; i.e., contracts can have a value substantially greater than their margin and may be traded for a comparatively small amount of money. If a relatively small change in the market price of an open position occurs, then this change can produce a disproportionately large profit or loss. Leverage is normally monitored through the margin-to-equity ratio employed by each Trading Advisor. Under normal circumstances, the Trading Advisors will vary between a 10% to 30% margin-to-equity ratio.

Futures, forward and options trading may be illiquid and may cause large losses.

Although each Series generally will purchase and sell actively traded contracts, orders may not be executed at or near the desired price, particularly in thinly traded markets, in markets that lack trading liquidity, or because of

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applicable “daily price fluctuation limits,” “speculative position limits” or market disruptions. If market illiquidity or disruptions occur, then major losses could result. Some Trading Advisors have encountered illiquid situations in the past and may encounter others in the future.

Options are volatile and inherently leveraged, and sharp movements in prices could cause the Trust to incur large losses.

Certain Trading Advisors may use options on futures contracts, forward contracts or commodities to generate premium income or speculative gains. Options involve risks similar to futures, because options are subject to sudden price movements and are highly leveraged, in that payment of a relatively small purchase price, called a premium, gives the buyer the right to acquire an underlying futures contract, forward contract or commodity that has a face value substantially greater than the premium paid. The buyer of an option risks losing the entire purchase price of the option. The writer, or seller, of an option risks losing the difference between the purchase price received for the option and the price of the futures contract, forward contract or commodity underlying the option that the writer must purchase or deliver upon exercise of the option. There is no limit on the potential loss. Specific market movements of the futures contracts, forward contracts or commodities underlying an option cannot accurately be predicted. In addition, over-the-counter options present risks in addition to those associated with exchange-traded options, as discussed immediately below.

Exchanges of futures for physicals may adversely affect performance.

Certain Trading Advisors may engage in exchanges of futures for physicals for client accounts. An exchange of futures for physicals is a transaction permitted under the rules of many futures exchanges in which two parties holding futures positions may close out their positions without making an open, competitive trade on the exchange. Generally, the holder of a short futures position buys the physical commodity, while the holder of a long futures position sells the physical commodity. The prices at which such transactions are executed are negotiated between the parties. If a Trading Advisor engaging in exchanges of futures for physicals were prevented from such trading as a result of regulatory changes, then the performance of client accounts of such Trading Advisor could be adversely affected.

Cash flow needs may cause positions to be closed which may cause substantial losses.

Certain Trading Advisors may trade options on futures. Futures contract gains and losses are marked-to-market daily for purposes of determining margin requirements. Option positions generally are not, although short option positions will require additional margin if the market moves against the position. Due to these differences in margin treatment between futures and options, there may be periods in which positions on both sides must be closed down prematurely due to short term cash flow needs. If this occurs during an adverse move in a spread or straddle relationship, then a substantial loss could occur.

The Trading Companies may enter into swap and similar transactions which may create risks.

Swap contracts are not traded on exchanges and are not subject to the same type of government regulation as exchange markets. As a result, many of the protections afforded to participants on organized exchanges and in a regulated environment are not available in connection with these transactions.

The swap markets are “principals’ markets,” in which performance with respect to a swap contract is the responsibility only of the counterparty to the contract, and not of any exchange or clearinghouse. As a result, each Trading Company is subject to the risk of the inability or refusal to perform with respect to swap contracts on the part of the counterparties with which the portfolio managers trade. There are no limitations on daily price movements in swap transactions. Speculative position limits are not applicable to swap transactions, although the counterparties with which the portfolio managers trade may limit the size or duration of positions available to the portfolios managers as a consequence of credit considerations. Participants in the swap markets are not required to make continuous markets in the swap contracts they trade. Participants could refuse to quote prices for swap contracts or quote prices with an unusually wide spread between the price at which they are prepared to buy and the price at which they are prepared to sell.

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Over-the-counter transactions are subject to little, if any, regulation and may be subject to the risk of counterparty default.

A portion of each Series’ assets may be used to trade over-the-counter commodity interest contracts, such as forward contracts, option contracts in foreign currencies and other commodities, or swap or spot contracts. Over-the-counter contracts are typically traded on a principal-to-principal basis through dealer markets that are dominated by major money center and investment banks and other institutions and are essentially unregulated by the CFTC. You therefore do not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act, as amended, or the CE Act, in connection with this trading activity by any Trading Advisor. The markets for over-the-counter contracts rely upon the integrity of market participants in lieu of the additional regulation imposed by the CFTC on participants in the futures markets. The lack of regulation in these markets could expose a Series in certain circumstances to significant losses in the event of trading abuses or financial failure by participants.

Each Series also faces the risk of non-performance by the counterparties to the over-the-counter contracts. Unlike in futures contracts, the counterparty to these contracts is generally a single bank or other financial institution, rather than a clearing organization backed by a group of financial institutions. As a result, there will be greater counterparty credit risk in these transactions. The clearing member, clearing organization or other counterparty may not be able to meet its obligations, in which case the applicable Series could suffer significant losses on these contracts.

Your investment could be illiquid.

A Trading Advisor may not always be able to liquidate its commodity interest positions at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption, such as a foreign government taking political actions that disrupt the market in its currency or in a major export, can also make it difficult to liquidate a position. Alternatively, limits imposed by futures exchanges or other regulatory organizations, such as speculative position limits and daily price fluctuation limits, may contribute to a lack of liquidity with respect to some commodity interests.

Unexpected market illiquidity may cause major losses to investors at any time or from time to time. The large face value of the positions that the Trading Advisors will acquire for each Series increases the risk of illiquidity by both making its positions more difficult to liquidate at favorable prices and increasing the losses incurred while trying to do so.

Also, there is not likely to be a secondary market for the Units. While the Units have redemption rights and Exchange rights, there are restrictions. For example, transfers of Units are permitted only with the prior written consent of the Managing Owner and provided that conditions specified in the Trust Agreement are satisfied.

New exchange-traded commodity interest contracts, including security futures, are characterized by a higher degree of illiquidity and volatility, which may subject investors in those contracts to increased losses.

Certain Trading Advisors may trade newly developed futures contracts, including without limitation, security futures contracts. Traditionally, only those commodity interest contracts approved by the CFTC may be traded on U.S. futures exchanges. Likewise, foreign regulatory authorities are typically required to authorize the trading of new commodity interest contracts on foreign exchanges. Periodically, the CFTC or other foreign regulatory authorities may designate additional contracts as approved contracts. If any of the Trading Advisors determine that it is appropriate to trade in a new contract, they may do so on behalf of the Series for which they trade. Because these contracts will be new, the trading strategies of the Trading Advisors may not be applicable to, or advisable for, these contracts. The markets in new contracts, moreover, have been historically both illiquid and highly volatile for some period of time after the contract begins trading. These contracts therefore present significant risk potential.

The above risks are particularly applicable to the markets for security futures contracts. Security futures contracts are a new class of financial instruments that allow, for the first time in the U.S., the trading of futures contracts on individual U.S. equity securities or on narrow-based stock indices, which are indices made up of a small group of stocks that allow an investor to take a position in a concentrated area of the equities market. Security futures contracts have only been trading in the U.S. since November 2002, and the markets for these contracts generally have been characterized by very limited volumes when compared to futures markets generally. As a result, a Trading Advisor that trades security futures contracts could at times find it difficult to buy or sell a security futures contract at a favorable price, which could result in losses to the applicable Series.

Certain Trading Advisors may purchase and sell single stock futures contracts and other security futures products. A single stock future obligates the seller to deliver (and the purchaser to take delivery of) a specified equity security to

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settle the futures transaction. Other security futures products include “narrow-based” stock index futures contracts (in general, contracts based on the value of nine or fewer securities in a specific market or industry sector, such as energy, health care or banking) and futures contracts based on exchange-traded funds that are designed to track the value of broader stock market indices (such as the Dow Jones Industrial Average or the NASDAQ 100 Index). Single stock futures and other security futures products are relatively illiquid and trade on a limited number of exchanges. The margin required with respect to single stock futures (usually at least 20% of the face value of the contract) generally is higher than the margin required with respect to other types of futures contracts (in some cases as low as 2% of the face value of the contract). The resulting lower level of leverage available to the Trading Advisors with respect to security futures products may adversely affect the respective Trading Company’s performance. Security futures products are typically traded on electronic trading platforms and are subject to risks related to system access, varying response time, security and system or component failure. In addition, although the Clearing Brokers will be required to segregate the Trading Company’s trades, positions and funds from those of each Clearing Broker itself as required by CFTC regulations, the insurance provided to securities customers by the Securities Investor Protection Corporation, or the SIPC, will not be applicable to the Trading Company’s security futures positions because SIPC protection does not apply to futures accounts.

An investment in the Trust may not diversify an overall portfolio and portfolio risk may be increased.

Historically, managed futures have been generally non-correlated to the performance of other asset classes such as stocks and bonds. Non-correlation means that there is no statistically valid relationship between the performance of futures and other commodity interest transactions, on the one hand, and stocks or bonds, on the other hand. Non-correlation should not be confused with negative correlation, where the performance of two asset classes would be opposite of each other. Because of this non-correlation, the results of each Series cannot be expected to be automatically profitable during unfavorable periods for the stock market, or vice versa. If, however, a Series does not perform in a non-correlated manner with respect to the general financial markets or does not perform successfully, you will obtain little or no diversification benefits by investing in the Units. The Units may have no gains to offset your losses from other investments, and you may suffer losses on your investment in the Units at the same time losses on your other investments are increasing. You should therefore not consider the Units to be a hedge against losses in your core stock and bond portfolios.

Trading in international markets creates exposure to credit and regulatory risk.

A substantial portion of the Trading Advisors’ trades are expected to take place on markets or exchanges outside the U.S. There is no limit to the amount of assets of any Series that may be committed to trading on foreign markets. The risk of loss in trading foreign futures and options on futures contracts can be substantial. Participation in foreign futures and options on futures contracts involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade or exchange. Some of these foreign markets, in contrast to U.S. exchanges, are so-called principals’ markets in which performance is the responsibility only of the individual counterparty with whom the trader has entered into a commodity interest transaction and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.

Some foreign markets present additional risk, because they are not subject to the same degree of regulation as their U.S. counterparts. None of the CFTC, NFA or any domestic exchange regulates activities of any foreign boards of trade or exchanges, including the execution, delivery and clearing of transactions, nor has the power to compel enforcement of the rules of a foreign board of trade or exchange or of any applicable foreign laws. Similarly, the rights of market participants, in the event of the insolvency or bankruptcy of a foreign market or broker are also likely to be more limited than in the case of U.S. markets or brokers. As a result, in these markets, there is less legal and regulatory protection than that available domestically.

Additionally, trading on foreign exchanges is subject to the risks presented by exchange controls, expropriation, increased tax burdens and exposure to local economic declines and political instability. An adverse development with respect to any of these variables could reduce the profit or increase the loss earned on trades in the affected international markets.

International trading activities are subject to foreign exchange risk.

The price of any foreign futures, options on futures or other commodity interest contract and, therefore, the potential profit and loss on such contract, may be affected by any variance in the foreign exchange rate between the time the

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order is placed and the time it is liquidated, offset or exercised. As a result, if changes in the value of the local currency relative to the U.S. Dollar occur, then such changes may cause losses even if the contract traded is profitable.

International trading may cause exposure to losses resulting from foreign exchanges that are less developed or less reliable than U.S. exchanges.

Some foreign exchanges also may be in a more developmental stage so that prior price histories may not be indicative of current price dynamics. In addition, Trading Advisors may not have the same access to certain positions on foreign trading exchanges as do local traders, and the historical market data on which the Trading Advisors base their strategies may not be as reliable or accessible as it is in the U.S. As a result, Trading Advisors entering into transactions on foreign exchanges may incur losses on behalf of the applicable Series.

Each Series’ start-up period entails increased investment risks.

The Trust, with respect to the Long Only Commodity Series, the Long/Short Commodity Series and the Managed Futures Index Series as well as the Class 1a and Class 2a of the Balanced Series, will encounter a start-up period following the close of such Series’ initial offering period, and may encounter similar start-up periods for each Series following subsequent closings during the continuous offering period. During such start-up periods, the Trust, with respect to each Series, may incur risks relating to the initial investment of the assets received at such times, because it may take a period of time before a Series can develop a fully diversified portfolio, thereby resulting in a greater concentration of positions in a limited number of markets which could result in increased volatility in the Series’ portfolio. A decline in the initial Net Asset Value of a Series could result from the level of diversification in that Series’ trading activities at the outset, which may be lower than in a fully committed portfolio.

Trading Risks

The trading on behalf of each Series will be highly leveraged, which means that sharp declines in price could lead to large losses.

Because the amount of margin funds necessary to be deposited with a Futures Clearing Broker to enter into a futures or forward contract position is typically about 2% to 10% of the total value of the contract, each Trading Advisor may take positions on behalf of a Series with face values equal to several times such Series’ Net Asset Value. As a result of this leveraging, even a small movement in the price of a contract can cause major losses. Any purchase or sale of a futures or forward contract may result in losses that substantially exceed the 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 that contract could, if the contract is then closed out, result in a complete loss of the margin deposit, not even taking into account deductions of fees and/or commissions. If severe short-term price declines occur, then such declines could, therefore, force the liquidation of open positions with large losses.

There are disadvantages to making trading decisions based on technical analysis.

Most of the Trading Advisors except C-View, FX Concepts, Gain and certain Trading Advisors trading for the Long/Short Commodity Series may base their trading decisions on trading strategies that use mathematical analyses of technical factors relating to past market performance. The buy and sell signals generated by a technical, trend-following trading strategy are derived from a study of actual daily, weekly and monthly price fluctuations, volume variations and changes in open interest in the markets. The profitability of any technical, trend-following trading strategy depends upon the occurrence in the future of significant, sustained price moves in some of the markets traded. A danger for trend-following traders is whip-saw markets, that is, markets in which a potential price trend may start to develop but reverses before an actual trend is realized. A pattern of false starts may generate repeated entry and exit signals in technical systems, resulting in unprofitable transactions. In the past, there have been prolonged periods without sustained price moves. Presumably these periods will continue to occur. Periods without sustained price moves may produce substantial losses for trend-following trading strategies. Further, any factor that may lessen the prospect of these types of moves in the future, such as increased governmental control of, or participation in, the relevant markets, may reduce the prospect that any trend- following trading strategy will be profitable in the future.

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There are disadvantages to making trading decisions based on fundamental analysis.

Certain Trading Advisors, including C-View, FX Concepts, Gain and certain Trading Advisors trading for the Long/Short Commodity Series, will base their decisions on trading strategies which utilize in whole or in part fundamental analysis of underlying market forces. Fundamental analysis attempts to examine factors external to the trading market which affect the supply and demand for a particular commodity interest in order to predict future prices. Such analysis may not result in profitable trading because certain Trading Advisors may not have knowledge of all factors affecting supply and demand or may incorrectly interpret the information it does have. Furthermore, prices may often be affected by unrelated or unexpected factors and fundamental analysis may not enable the trader to determine whether its previous decisions where incorrect in sufficient time to avoid substantial losses. In addition, fundamental analysis assumes that commodity markets are inefficient— i.e., that commodity prices do not always reflect all available information—which some market analysts dispute.

The risk management approaches of one or all of the Trading Advisors may not be fully effective, and a Series may incur losses.

The mechanisms employed by each Trading Advisor to monitor and manage the risks associated with its trading activities on behalf of the Series for which it trades may not succeed in mitigating all identified risks. Even if a Trading Advisor’s risk management approaches are fully effective, it cannot anticipate all risks that it may face. If one or more of the Trading Advisors fails to identify and adequately monitor and manage all of the risks associated with its trading activities, then the Series for which they trade may suffer losses.

Increased competition from other trend-following traders could reduce the Trading Advisors’ profitability.

There has been a dramatic increase over the past 15 to 25 years in the amount of assets managed by trend-following trading systems like those that some of the Trading Advisors may employ. This means increased trading competition among a larger number of market participants for transactions at favorable prices, which could operate to the detriment of some or all Series by preventing the Trading Advisors from effecting transactions at the desired prices. It may become more difficult for the Trading Advisors to implement their trading strategies if other commodity trading advisors using technical systems are, at the same time, also attempting to initiate or liquidate commodity interest positions at the same time as the Trading Advisors.

Discretionary decision-making may result in missed opportunities or losses.

Because each of the Trading Advisors’ strategies involves some discretionary aspects in addition to their technical factors, certain Trading Advisors may occasionally use discretion in investing the assets of a Series. For example, the Trading Advisors often use discretion in selecting contracts and markets to be followed. In exercising such discretion, such Trading Advisor may take positions opposite to those recommended by the Trading Advisor’s trading system or signals. Discretionary decision making may also result in a Trading Advisor’s failing to capitalize on certain price trends or making unprofitable trades in a situation where another trader relying solely on a systematic approach might not have done so. Furthermore, such use of discretion may not enable the Trust to avoid losses, and in fact, such use of discretion may cause the Trust to forego profits which it may have otherwise earned had such discretion not been used.

Speculative position limits and daily price fluctuation limits may force the alteration of trading decisions which may cause a Series to forego profitable trades or strategies.

The CFTC and U.S. exchanges have established limits, known as speculative position limits, on the maximum net long or net short positions that any person may hold or control in certain futures and options on futures contracts. Most exchanges also impose limits, known as daily limits, on the amount of fluctuation in certain futures and options on futures contracts in a single trading day. All accounts controlled by a particular Trading Advisor and its principals are combined for speculative position limit purposes. If positions in those accounts were to approach the level of the particular speculative position limit, or if prices were to approach the level of the daily limit, these limits could cause a modification of the particular Trading Advisor’s trading decisions or force liquidation of certain futures or options on futures positions. If one or more of the Trading Advisors must take either of these actions, then one or more Series may be required to forego profitable trades or strategies.

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Increases in assets under management of any of the Trading Advisors may affect trading decisions and may cause losses.

In general, none of the Trading Advisors intends to limit the amount of additional equity that it may manage, and each will continue to seek major new accounts. The more equity a Trading Advisor manages, the more difficult it may be for it to trade profitably because of the difficulty of trading larger positions without adversely affecting prices and performance and of managing risk associated with larger positions. Accordingly, future increases in equity under management may require a Trading Advisor to modify its trading decisions for a Series because it cannot deploy all the assets in the commodities which it desires to trade. Furthermore, if the Trading Advisors for a Series cannot manage any additional allocation from the Trust, the Managing Owner may add additional Trading Advisors for such Series who may have less experience or less favorable performance than the existing Trading Advisors.

The use of multiple Trading Advisors may result in offsetting or opposing trading positions and may also require one Trading Advisor to fund the margin requirements of another Trading Advisor.

The use of multiple Trading Advisors for the Balanced Series, the Campbell/Graham Series, the Currency Series and the Long/Short Commodity Series may result in developments or positions that adversely affect the respective Series’ Net Asset Value. For example, because the Trading Advisors trading for the Balanced Series, the Campbell/Graham Series, the Currency Series and the Long/Short Commodity Series will be acting independently, such Series could buy and sell the same futures contract, thereby incurring additional expenses but with no net change in its holdings. The Trading Advisors also may compete, from time to time, for the same trades or other transactions, increasing the cost to such Series of making trades or transactions or causing some of them to be foregone altogether. Even though each Trading Advisor’s margin requirements ordinarily will be met from that Trading Advisor’s allocated net assets, one Trading Advisor may incur losses of such magnitude that the Balanced Series, the Campbell/Graham Series, the Currency Series or the Long/Short Commodity Series is unable to meet margin calls from the allocated net assets of that Trading Advisor. If such an event were to occur, then such Series Trading Company’s Clearing Brokers may require liquidations and contributions from the allocated net assets of another Trading Advisor.

The Trading Advisors’ trading programs bear some similarities and, therefore, may lessen the benefits to the Balanced Series, the Campbell/Graham Series, the Currency Series and the Long/Short Commodity Series of having multiple Trading Advisors.

Each Trading Advisor has, over time, developed and modified the program it will use in trading. Nevertheless, the Trading Advisors’ trading programs have some similarities. These similarities may, in fact, mitigate the positive effect of having multiple Trading Advisors for the Balanced Series, the Campbell/Graham Series, the Currency Series and the Long/Short Commodity Series. For example, in periods where one Trading Advisor experiences a draw-down, it is possible that these similarities will cause the other Trading Advisors to also experience a draw-down.

Each Series other than the Long Only Commodity Series relies on its Trading Advisor(s) for success, and if a Trading Advisor’s trading is unsuccessful, the Series may incur losses.

The Trading Advisor(s) for each Series (other than the Long Only Commodity Series whose only investments are tied to two indexes) will make the commodity trading decisions for that Series. Therefore, the success of each Series largely depends on the judgment and ability of the Trading Advisors. A Trading Advisor’s trading for any Series may not prove successful under all or any market conditions. If a Trading Advisor’s trading is unsuccessful, the applicable Series may incur losses.

The Trading Advisors or their trading strategies may not continually serve the Series which may put such Series at a disadvantage or incur losses for such Series.

It is possible that (i) any Trading Advisor, the Managing Owner or the Trust, will exercise their rights to terminate the Advisory Agreement for any Series under certain conditions, (ii) the Advisory Agreement with any Trading Advisor, once it expires, will not be renewed on the same terms as the current Advisory Agreement for that Trading Advisor, or (iii) if any Series retains a new trading advisor, the new advisor will not be retained on terms as favorable to the Series as those negotiated with that Series’ Trading Advisor or the new advisor will not be required to recoup losses sustained previously before being entitled to receive incentive fees.

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Each Trading Advisor’s past performance record is inconsistent, and the Trading Advisor’s trading for a Series could be similarly inconsistent and incur losses.

The performance records of each Trading Advisor reflect significant variations in profitability from period to period. It is possible that a Trading Advisor’s trading for the Series will similarly vary from period to period, resulting in losses to such Series.

Each Trading Advisor advises other clients and may achieve more favorable results for its other accounts.

Each of the Trading Advisors currently manages other trading accounts, and each will remain free to manage additional accounts, including its own accounts, in the future. A Trading Advisor may vary the trading strategies applicable to the Series for which it trades from those used for its other managed accounts, or its other managed accounts may impose a different cost structure than that of the Series for which it trades. Consequently, the results any Trading Advisor achieves for the Series for which it trades may not be similar to those achieved for other accounts managed by the Trading Advisor or its affiliates at the same time. Moreover, it is possible that those other accounts managed by the Trading Advisor or its affiliates may compete with the Series for which it trades for the same or similar positions in the commodity interest markets and that those other accounts may make trades at better prices than the Series for which it trades.

A Trading Advisor may also have a financial incentive to favor other accounts because the compensation received from those other accounts exceeds, or may in the future exceed, the compensation that it receives from managing the account of the Series for which it trades. Because records with respect to other accounts are not accessible to investors in the Units, investors will not be able to determine if any Trading Advisor is favoring other accounts.

The Trading Advisors’ positions may be concentrated from time to time, which may render each Series susceptible to larger losses than if the positions were more diversified.

One or more of the Trading Advisors may from time to time cause a Series to hold a few, relatively large positions in relation to its assets. Consequently, a loss in any such position could result in a proportionately greater loss to such Series than if such Series’ assets had been spread among a wider number of instruments.

Markets or positions may be correlated and may expose a Series to significant risk of loss.

Different markets traded or individual positions held by a Series of Units may be highly correlated to one another at times. Accordingly, a significant change in one such market or position may affect other such markets or positions. The Trading Advisors cannot always predict correlation. Correlation may expose such Series of Units both to significant risk of loss and significant potential for profit.

Turnover in each Series’ portfolio may be high which could result in higher brokerage commissions and transaction fees and expenses.

Each Trading Advisor will make certain trading decisions on the basis of short-term market considerations. The portfolio turnover rate may be substantial at times, either due to such decisions or to “whip-saw” market conditions and result in one or more Series incurring substantial brokerage commissions and other transaction fees and expenses.

Operating Risks

Past performance is not necessarily indicative of future performance.

The Managing Owner has selected each Trading Advisor to manage the assets of each Series because each Trading Advisor performed well through the date of its selection. You must consider, however, the uncertain significance of past performance, and you should not rely to a substantial degree on the Trading Advisors’ or the Managing Owner’s records to date for predictive purposes. You should not assume that any Trading Advisor’s future trading decisions will create profit, avoid substantial losses or result in performance for the Series comparable to that Trading Advisor’s or to the Managing Owner’s past performance. In fact, as a significant amount of academic study has shown, futures funds more frequently than not under perform the past performance records included in their prospectuses.

Because you and other investors will acquire, exchange and redeem Units at different times, you may experience a loss on your Units even though the Series in which you have invested as a whole is profitable and even though other

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investors in that Series experience a profit. The past performance of any Series may not be representative of each investor’s investment experience in it.

Likewise, you and other investors will invest in different Series managed by different Trading Advisors. Each Series’ assets are

• segregated from the other Series’ assets; and

• valued and accounted for separately from every other Series.

Consequently, the past performance of one Series has no bearing on the past performance of another Series. You cannot, for example, consider Balanced Series’ past performance in deciding whether to invest in the Graham Series, Beach Series, Campbell/Graham Series, Currency Series, Long Only Commodity Series, Long/Short Commodity Series or Managed Futures Index Series.

There is no “principal protection” feature, and you could lose your entire investment.

The Trust is not guaranteed as to principal, so you are not assured of any minimum return. Therefore, you could lose your entire investment (including any undistributed profits), in addition to losing the use of your subscription funds for the period you maintain an investment in any Series.

Performance is not correlated to the debt or equity markets, but during certain periods a given Series may perform in a manner very similar to more traditional portfolio holdings, providing few, if any, diversification benefits.

We anticipate that over time each Series’ performance will be “non-correlated” with the general equity and debt markets—that each Series’ performance might or might not be similar to the performance of the general financial markets. Non-correlation means, for example, that the Net Asset Value of a Series may rise while stock indices rise or while stock indices fall. Non-correlation is not, however, negative correlation. Negative correlation would mean that there is an inverse relationship between a Series’ performance and the performance of the general financial markets (for example, that the Net Asset Value of a Series will rise when stock indices fall or will fall when stock indices rise). Because of non-correlation, during certain periods a given Series may perform in a manner very similar to more traditional portfolio holdings, providing few, if any, diversification benefits.

The Trust has a limited operating history, and you have limited performance information on which to evaluate an investment in a Series.

The Trust has a limited performance history upon which to evaluate your investment in any Series. Although past performance is not necessarily indicative of future results, if the Trust had a longer performance history, such performance history might provide you with more information on which to base your investment in the Trust. As the Trust has a limited performance history, you will have to make your decision to invest in a Series without such possibly useful information.

Each Series is charged substantial fees and expenses regardless of profitability.

Each Series is charged brokerage charges, over-the-counter dealer spreads and related transaction fees and expenses and management fees in all cases regardless of whether any Series’ activities are profitable. In addition, each Series is charged for the benefit of each Trading Advisor an incentive fee based on a percentage of trading profits earned on the Series’ net assets allocated to that Trading Advisor. Because the Balanced Series, the Campbell/Graham Series, Currency Series and the Long/Short Commodity Series each employ multiple Trading Advisors, it is possible that such Series could pay substantial incentive fees to one or more Trading Advisors in a year in which such Series has no net trading profits or in which it actually loses money. In addition, each Series must earn trading gains sufficient to compensate for these fees and expenses before it can earn any profit. See “Fees and Expenses.”

You may not be able to purchase Class 2 Units unless you have a particular relationship with a Selling Agent or if Class 2 Units are not available for purchase.

In order to purchase Class 2 Units of any Series, you must have an arrangement with a Selling Agent where you directly compensate such Selling Agent for services rendered in connection with investments, including an investment in the Trust (such arrangements commonly referred to as “wrap-accounts”). If you do not have such an arrangement with a Selling Agent, you will only be able to purchase Class 1 Units in any Series, which will result in you being charged higher service fees.

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Whether you have such an arrangement with a Selling Agent will depend on your relationship with such Selling Agent. Neither the Trust nor the Managing Owner has any control over the type of arrangement you have with a Selling Agent.

In addition, the Class 2 Units represent only a small portion of the total amount of Units which are currently registered with the SEC for sale by the Trust. Therefore, even if you have such an arrangement with a Selling Agent, Class 2 Units may not be available to you for purchase.

The Trust may incur higher fees and expenses upon renewing existing or entering into new contractual relationships.

The clearing agreements between the Clearing Brokers and the Trading Companies generally are terminable by the Clearing Brokers once the Clearing Broker has given the Trading Company the required notice. Upon termination of a clearing agreement, the Managing Owner may be required to renegotiate that agreement or make other arrangements for obtaining services if the Trust intends to continue trading in commodity interest contracts at its present level of capacity. The services of the Clearing Brokers may not be available, or even if available, these services may not be available on the terms as favorable as those contained in the expired or terminated clearing agreements.

Likewise, upon termination of any of the Advisory Agreements entered into between the Trust and each Trading Advisor, the Managing Owner may be required to renegotiate the contracts or make other arrangements for obtaining commodity trading advisory services. The services of the particular Trading Advisor may not be available, or these services may not be available on terms as favorable as those contained in the expired or terminated advisory contract. There is severe competition for the services of qualified commodity trading advisors, and the Managing Owner may not be able to retain replacement or additional Trading Advisors on acceptable terms. This could result in losses to one or more Series and/or the inability of one or more Series to achieve its investment objectives. Moreover, if an advisory contract is renegotiated or additional or substitute Trading Advisors are retained by the Managing Owner on behalf of one or more Series, the fee structures of the new or additional arrangements may not be as favorable to the affected Series as are those currently in place. See “Fees and Expenses.”

The incentive fees could be an incentive to the Trading Advisors to make riskier investments.

Each Trading Advisor employs a speculative strategy and receives incentive fees based on the trading profits earned by it for the applicable Series. Accordingly, each of the Trading Advisors has a financial incentive to make investments that are riskier than might be made if a Series’ assets were managed by a Trading Advisor that did not receive performance-based compensation. For example, if an investment earns large amounts of trading profits, the Trading Advisor making such an investment will receive a larger incentive fee. Therefore, a Trading Advisor may decide to make an investment with potential for large amounts of trading profits, despite the fact that such investment may have a high degree of risk. If the investment is unsuccessful, the Series could incur losses. Conversely, a Trading Advisor that does not receive any performance-based incentive fees might not make such a risky investment. See “Fees and Expenses.”

The interest rate floor may create financial risk.

With respect to the Graham Series, Beach Series, Campbell/Graham Series, Currency Series and the Class 1 and Class 2 of the Balanced Series, the Trust has agreed to pay all interest income earned by it up to a cap of 2.0% to the Managing Owner. To the extent that the interest income earned by the Trust falls below 0.75% annually, the Trust will be obligated to pay the Managing Owner the difference between the interest income actually earned by the Trust and 0.75%. Such shortfall will be charged pro rata across such Series of Units. Accordingly, if interest rates fall, then you could be charged a portion of such interest income shortfall which would reduce the value of your Units in such Series. See “Fees and Expenses—Interest Income.”

You have limited rights, and you cannot prevent the Trust from taking actions which could cause losses.

Pursuant to the Trust Agreement, you will exercise no control over the Trust’s day-to-day business. Therefore, the Trust may take certain actions and enter into certain transactions or agreements of which you have no approval. For example, the Trust may retain a Trading Advisor for a Series in which you are invested, and such Trading Advisor may ultimately incur losses for the Series. As a Limited Owner, you have no ability to determine or influence the

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hiring, retention or firing of such Trading Advisor. However, certain actions, such as termination or dissolution of a Series, may be taken, or approved, upon the affirmative vote of Limited Owners holding Units representing at least a majority (over 50%) of the Net Asset Value of the Series (excluding Units owned by the Managing Owner and its affiliates). See “Trust Agreement.”

You may not be able to establish a basis for liability against a Trading Advisor, a Clearing Broker or the Swap Counterparty.

Each Trading Advisor, each Clearing Broker and the Swap Counterparty acts only as a trading advisor, clearing broker or swap counterparty, respectively, to the applicable Series and Trading Company. None of these parties acts in such capacity to you. Therefore, you have no contractual privity with the Trading Advisors, the Clearing Brokers or the Swap Counterparty. Due to this lack of contractual privity, you will likely not be able to establish a basis for liability against a Trading Advisor, a Clearing Broker or the Swap Counterparty.

An unanticipated number of redemption requests during a short period of time could have an adverse effect on the Net Asset Value of a Series.

If a substantial number of requests for redemption of Units in a Series are received by the Trust during a relatively short period of time, such Series may not be able to satisfy the requests from funds not committed to trading. As a consequence, it could be necessary to liquidate positions in such Series’ trading positions before the time that the applicable Trading Advisor(s)’ trading strategies would dictate liquidation. If this were to occur, it could affect adversely the Net Asset Value per Unit of such Series and each Sub-Class within such Series, not only for Limited Owners redeeming units but also for nonredeeming Limited Owners. Your redemption price for Units in a Series is based on the Net Asset Value per Unit of such Series, which value could be less than the initial price you paid for your Units.

Reserves for contingent liabilities may be established upon redemption, and the Trust may withhold a portion of your redemption amount.

The Trust may find it necessary upon redemption by you to set up a reserve for undetermined or contingent liabilities and withhold a certain portion of your redemption amount. This could occur, for example, in the event some of the positions of the Series in which you were invested were illiquid, if there are any assets which cannot be properly valued on the redemption date, or if there is any pending transaction or claim by or against the Trust involving or which may affect your book capital account or your obligations of which the Trust cannot, in the sole judgment and discretion of the Managing Owner, be then ascertained. See “Trust Agreement.”

Conflicts of interest exist in the structure and operation of the Trust.

A number of actual and potential conflicts of interest exist in the operation of the Trust’s business. The Managing Owner, the Trading Advisors and their respective principals, all of which are engaged in other investment activities, are not required to devote substantially all of their time to the Trust’s business, which also presents the potential for numerous conflicts of interest with the Trust.

As a result of these and other relationships, parties involved with the Trust have a financial incentive to act in a manner other than in the best interests of the Trust and its Limited Owners. The Managing Owner has not established, and has no plans to establish, any formal procedures to resolve these and other conflicts of interest. Consequently, there is no independent control over how the Managing Owner will resolve these conflicts on which investors can rely in ensuring that the Trust is treated equitably.

The failure or bankruptcy of one of its Futures Clearing Brokers could result in a substantial loss of one or more Series’ assets.

Under CFTC regulations, a futures commission merchant maintains customers’ assets in a bulk segregated account. If a Futures Clearing Broker fails to do so, or is unable to satisfy a substantial deficit in a customer account, its other customers may be subject to risk of loss of their funds in the event of that Futures Clearing Broker’s bankruptcy. In that event, the Futures Clearing Broker’s customers, such as one or more Trading Companies which utilize such Futures Clearing Broker, are entitled to recover, even in respect of property specifically traceable to them, only a proportional share of all property available for distribution to all that Futures Clearing Broker’s customers. Each

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Series also may be subject to the risk of the failure of, or delay in performance by, any exchanges and markets and their clearing organizations, if any, on which commodity interest contracts are traded.

You will not be able to review any Series’ holdings on a daily basis, and you may suffer unanticipated losses.

The Trading Advisors make trading decisions on behalf of the assets of each Series other than the Long Only Commodity Series. While the Trading Advisors receive daily trade confirmations from the Clearing Brokers of each transaction entered into on behalf of each Series for which they manage the trading of, each Series’ trading results are only reported to investors monthly in summary fashion. Accordingly, an investment in the Units does not offer investors the same transparency that a personal trading account offers in that you will not have access to detailed information concerning the positions held on behalf of any Series. As a result, you may suffer unanticipated losses as a result of the Series’ portfolio holdings.

The Trust could terminate before you achieve your investment objective causing potential loss of your investment or upsetting your investment portfolio.

Unforeseen circumstances, including substantial losses, withdrawal of the Trust’s Managing Owner or suspension or revocation of the Managing Owner’s or any of the registered Trading Advisors’ respective registrations with the CFTC or memberships in the NFA could cause the Trust to terminate before its stated termination date of December 31, 2053. The Trust’s termination would cause the liquidation and potential loss of your investment and could upset the overall maturity and timing of your investment portfolio.

The Trust is not a regulated investment company and thus is subject to different protections than a regulated investment company.

The Trust is not an investment company subject to the Investment Company Act. Accordingly, you do not have the protections afforded by that statute. For example, the Investment Company Act requires investment companies to have a majority of disinterested directors and regulates the relationship between the investment company and its investment manager. Since the Trust is not a registered investment company, you will not benefit from such protections.

Litigation could result in substantial additional expenses.

The Trust could be named as a defendant in a lawsuit or regulatory action arising out of the activities of the Managing Owner or the Trading Advisors. If this happens, the Trust will bear the costs of defending such suit or action and will be at further risk if its defense is unsuccessful which could result in losses to your investment.

Dilution could occur as a result of the initial service fee and/or on-going service fee.

Investors who subscribe for larger amounts of Units will pay initial service fees and/or on-going service fees at reduced levels. The reduction of the initial service fee and/or on-going service fee will be effectuated through the issuance of additional Units to such investors. If such additional Units are issued to such investors, then the dilution of the other investors in such Series will result. Therefore, effectively, the other owners of Units in such Series will bear the cost of the reduction of the initial service fees and/or on-going service fees for the larger Unit owners because they will receive a smaller portion of the profits earned by such Series. See “Fees and Expenses—Selling Agent Compensation.”

The Managing Owner is leanly staffed and relies heavily on its key personnel to manage the Trust’s trading activities, and the loss of such personnel could adversely affect the Trust.

In managing and directing the day-to-day activities and affairs of the Trust, the Managing Owner relies heavily on its principals. The Managing Owner is leanly staffed, so if any of its key persons were to leave or be unable to carry out his or her present responsibilities, it may have an adverse effect on the management of the Trust.

In addition, under the operating agreement of the Managing Owner, Mr. Bornhoft’s ability to serve as the Manager of the Managing Owner is dependent upon certain factors. If Mr. Bornhoft is removed as the Manager of the Managing Owner, then the Trust could be adversely affected.

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The Managing Owner places significant reliance on the Trading Advisors and their key personnel and the loss of such personnel could adversely affect a Series.

The Managing Owner relies on the Trading Advisors to achieve trading gains for each Series, entrusting each of them with the responsibility for, and discretion over, the investment of their allocated portions of the Trust’s assets. The Trading Advisors, in turn, are dependent on the services of a limited number of persons to develop and refine their trading approaches and strategies and execute the trading transactions. The loss of the services of any Trading Advisor’s principals or key employees, or the failure of those principals or key employees to function effectively as a team, may have an adverse effect on that Trading Advisor’s ability to manage its trading activities successfully or may cause the Trading Advisor to cease operations entirely, either of which, in turn, could negatively impact one or more Series’ performance. Each of the Trading Advisors is wholly-owned and controlled, directly or indirectly, by single individuals, and these individuals have major roles in developing, refining and implementing the Trading Advisor’s trading strategies and operating its business. The death, incapacity or other prolonged unavailability of such individuals likely would greatly hinder these Trading Advisors’ operation, and could result in their ceasing operations entirely, which could adversely affect the value of your investment.

The Managing Owner may terminate, replace and/or add Trading Advisors in its sole discretion which may disrupt trading, adversely affecting the Net Asset Value of a Series.

The Managing Owner may terminate, substitute or retain Trading Advisors on behalf of each Series in its sole discretion. The addition of a new Trading Advisor and/or the removal of one of the current Trading Advisors may cause disruptions in trading as assets are reallocated and new Trading Advisors transition over, which may have an adverse effect on the Net Asset Value of the affected Series.

The Managing Owner’s allocation of the Trust’s assets among Trading Advisors may result in less than optimal performance by the Trust.

The Managing Owner may reallocate assets among the Trading Advisors for the Balanced Series, the Campbell/Graham Series, the Currency Series or the Long/Short Commodity Series upon termination of a Trading Advisor or retention of a new Trading Advisor or at the commencement of any month. Consequently, the net assets for such Series may be apportioned among the Trading Advisors in a different manner than the currently anticipated apportionment. The Managing Owner’s allocation of assets will directly affect the profitability of the Balanced Series’, the Campbell/Graham Series’, the Currency Series’ and the Long/Short Commodity Series’ trading, possibly in an adverse manner. For example, a Trading Advisor may experience a high rate of return but may be managing only a small percentage of such Series net assets. In this case, the Trading Advisor’s performance could have a minimal effect on the Net Asset Value of such Series.

Third parties may infringe or otherwise violate a Trading Advisor’s intellectual property rights or assert that a Trading Advisor has infringed or otherwise violated their intellectual property rights, which may result in significant costs and diverted attention.

Third parties may obtain and use a Trading Advisor’s intellectual property or technology, including its trading program software, without permission. Any unauthorized use of a Trading Advisor’s proprietary software and other technology could adversely affect its competitive advantage. Proprietary software and other technology are becoming increasingly easy to duplicate, particularly as employees with proprietary knowledge leave the owner or licensed user of that software or other technology. Each Trading Advisor may have difficulty monitoring unauthorized uses of its proprietary software and other technology. The precautions it has taken may not prevent misappropriation or infringement of its proprietary software and other technology. Also, third parties may independently develop proprietary software and other technology similar to that of a Trading Advisor or claim that the Trading Advisor has violated their intellectual property rights, including their copyrights, trademark rights, trade names, trade secrets and patent rights. As a result, a Trading Advisor may have to litigate in the future to protect its trade secrets, determine the validity and scope of other parties’ proprietary rights, defend itself against claims that it has infringed or otherwise violated other parties’ rights, or defend itself against claims that its rights are invalid. Any litigation of this type, even if the Trading Advisor is successful and regardless of the merits, may result in significant costs, divert its resources from the manager of the Series’ assets, or require it to change its proprietary software and other technology or enter into royalty or licensing agreements.

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The success of each Series depends on the ability of the personnel of its Trading Advisor(s) to accurately implement their trading systems, and any failure to do so could subject a Series to losses on such transactions.

The Trading Advisors’ computerized trading systems rely on the Trading Advisors’ personnel to accurately process the systems’ outputs and execute the transactions called for by the systems. In addition, each Trading Advisor relies on its staff to properly operate and maintain its computer and communications systems upon which the trading systems rely. Execution and operation of each Trading Advisor’s systems is therefore subject to human errors. Any failure, inaccuracy or delay in implementing any of the Trading Advisors’ systems and executing transactions could impair its ability to identify profit opportunities and benefit from them. It could also result in decisions to undertake transactions based on inaccurate or incomplete information. This could cause substantial losses on transactions.

A Series may experience substantial losses on transactions if the computer or communications systems of its Trading Advisor(s) fail.

Each Trading Advisor’s trading activities, including its risk management, depends on the integrity and performance of the computer and communications systems supporting it. Extraordinary transaction volume, hardware or software failure, power or telecommunications failure, a natural disaster or other catastrophe could cause any Trading Advisor’s computer systems to operate at an unacceptably slow speed or even fail. Any significant degradation or failure of the systems that a Trading Advisor uses to gather and analyze information, enter orders, process data, monitor risk levels and otherwise engage in trading activities may result in substantial losses on transactions, liability to other parties, lost profit opportunities, damages to the Trading Advisors’, the Managing Owner’s and the Trust’s reputations, increased operational expenses and diversion of technical resources.

Each Trading Advisor depends on the reliable performance of the computer or communications systems of third parties, such as brokers and futures exchanges, and may experience substantial losses on transactions if they fail.

Each Trading Advisor depends on the proper and timely function of complex computer and communications systems maintained and operated by the futures exchanges, brokers and other data providers that the Trading Advisor uses to conduct its trading activities. Failure or inadequate performance of any of these systems could adversely affect the Trading Advisor’s ability to complete transactions, including its ability to close out positions, and result in lost profit opportunities and significant losses on commodity interest transactions. This could have a material adverse effect on revenues and materially reduce the Trust’s available capital. For example, unavailability of price quotations from third parties may make it difficult or impossible for a Trading Advisor to use its proprietary software that it relies upon to conduct its trading activities. Unavailability of records from brokerage firms can make it difficult or impossible for the Trading Advisor to accurately determine which transactions have been executed or the details, including price and time, of any transaction executed. This unavailability of information also may make it difficult or impossible for the Trading Advisor to reconcile its records of transactions with those of another party or to accomplish settlement of executed transactions.

If a Trading Advisor, or third parties on which a Trading Advisor depends, fail to upgrade computer and communications systems, the Trust’s financial condition could be harmed.

The development of complex communications and new technologies may render the existing computer and communication systems supporting the Trading Advisors’ trading activities obsolete. In addition, these computer and communications systems must be compatible with those of third parties, such as the systems of exchanges, the Clearing Brokers and the executing brokers used by the Trading Advisors. As a result, if these third parties upgrade their systems, the Trading Advisors will need to make corresponding upgrades to continue effectively its trading activities. The Trust’s future success will depend on each Trading Advisor’s and third parties’ ability to respond to changing technologies on a timely and cost-effective basis.

The occurrence of a terrorist attack, or the outbreak, continuation or expansion of war or other hostilities, pandemics or natural disasters could disrupt trading activity and materially affect profitability.

The operations of the Managing Owner, the Trading Advisors, the Trust, the exchanges, brokers and counterparties with which the Managing Owner, the Trading Advisors and the Trust do business, and the markets in which the Managing Owner, the Trading Advisors and the Trust do business could be severely disrupted in the event of a major terrorist attack or the outbreak, continuation or expansion of war or other hostilities. The terrorist attacks of September 11, 2001, have heightened this concern tremendously. The situations in Iraq and North Korea, global anti-

22

terrorism initiatives and political unrest in the Middle East and Southeast Asia continue to fuel this concern. Additionally, a serious pandemic, such as avian influenza, or a natural disaster, such as a hurricane, could severely disrupt the global economy.

If any of the Trading Advisors are unable to attract and retain qualified employees, its ability to conduct trading activities may be adversely affected.

Each Series’ future success and growth depends on each Trading Advisor’s ability to attract and retain employees that fit into its culture. There is intense competition for the limited pool of qualified personnel that meets these criteria. If any of the Trading Advisors are unable to attract and retain qualified personnel, then its ability to successfully execute its trading strategies may be diminished.

Regulation of the commodity interest markets is extensive and constantly changing; future regulatory developments are impossible to predict, but may significantly and adversely affect the Trust.

The futures, options on futures and security futures markets are subject to comprehensive statutes, regulations and margin requirements. Recent legislation has created a new multi-tiered structure of exchanges in the U.S. subject to varying degrees of regulation, and rules and interpretations regarding various aspects of this new regulatory structure have only recently been proposed or finalized. Traditional futures exchanges, which are now called designated contract markets, are now subject to more streamlined and flexible core principles rather than the prior statutory and regulatory mandates. However, with respect to these traditional futures exchanges, the CFTC and the exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily limits and the suspension of trading. The regulation of commodity interest transactions in the U.S. is a rapidly changing area of law and is subject to on-going modification by government and judicial action. In addition, various national governments have expressed concern regarding the disruptive effects of speculative trading in the currency markets and the need to regulate the derivatives markets in general. The effect of any future regulatory change is impossible to predict, but could be substantial and adverse.

Tax and ERISA Risks

You are strongly urged to consult your own tax advisor and counsel about the possible tax consequences to you of an investment in the Trust. Tax consequences may differ for different investors, and you could be affected by changes in the tax laws.

Your tax liability may exceed distributions to you.

Cash is distributed to Limited Owners at the sole discretion of the Managing Owner, and the Managing Owner does not currently intend to make any such distribution. Nevertheless, you will be taxed each year on your share of the Trust’s income and gain allocable to the Series of Units in which you invest, regardless of whether you redeem any Units or receive any cash distributions from the Trust.

You could owe taxes on your share of the Trust’s ordinary income despite overall losses.

Gain or loss on domestic futures and options on futures as well as on most foreign currency contracts will generally be taxed as capital gains or losses for Federal income tax purposes. Interest income and other ordinary income earned generally cannot be offset by capital losses. Consequently, you could owe taxes on your allocable share of ordinary income for a calendar year even if the Series in which you hold Units reports a net trading loss for that year. Also, your ability to deduct particular operating expenses allocable to your Series may be subject to limitations for purposes of calculating your Federal and/or state and local income tax liability.

You may be taxed on gains that the Trust never realizes.

Because a substantial portion of the Trust’s open positions are “marked-to-market” at the end of each year, some of your tax liability for each year will be based on unrealized gains that the Trust may never actually realize.

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Partnership treatment is not assured, and if the Trust is not treated as a Partnership, you could suffer adverse tax consequences.

The Managing Owner has obtained an opinion of counsel to the effect that the Trust will be treated as a partnership for Federal income tax purposes and, assuming that at least 90% of the gross income of the Trust will constitute “qualifying income” within the meaning of Section 7704(d) of the Code, will not be a publicly traded partnership treated as a corporation. The Managing Owner believes it is likely, but not certain, that the Trust will meet this income test. The Trust has not requested, and does not intend to request, a ruling from the Internal Revenue Service, or the Service, concerning its tax treatment. An opinion of counsel is not binding on the Service or the courts and is subject to any changes in applicable tax laws.

If the Trust were to be treated as a corporation for Federal income tax purposes: the net income of the Trust would be taxed at corporate income tax rates, thereby substantially reducing its distributable cash; you would not be allowed to deduct losses of the Trust; and distributions to you, other than liquidating distributions, would constitute dividends to the extent of the current or accumulated earnings and profits of the Trust and would be taxable as such. See “Federal Income Tax Consequences.”

There is the possibility of a tax audit which could result in additional taxes to you.

The Trust’s tax returns may be audited by a taxing authority, and an audit could result in adjustments to the Trust’s returns. If an audit results in an adjustment, you may be compelled to file amended returns and to pay additional taxes plus interest and penalties.

The investment of Benefit Plan Investors may be limited or prohibited if any or all of the Series are deemed to hold plan assets or if the Trading Advisors have pre-existing fiduciary relationships with certain investing Benefit Plan Investors.

Special considerations apply to investments in the Trust by pension, profit-sharing, stock bonus, individual retirement accounts, Keogh plans, welfare benefit plans and other employee benefit plans subject to Part 4 of Subtitle B of Title I of ERISA or Section 4975 of the Code, or an ERISA Plan, and any entity whose underlying assets include plan assets by reason of an ERISA Plan’s investment in such entity, or together with ERISA Plans, Benefit Plan Investors. While the assets of any Series (and Sub-Class of any Series) are intended not to constitute plan assets with respect to any Benefit Plan Investors, the United States Department of Labor, or the DOL, could disagree. If the DOL were to find that the assets of some or all of the Series are plan assets, the Managing Owner and the Trading Advisor(s) to such Series would be fiduciaries, certain transactions in the Trust could be prohibited, and the Managing Owner would then have the right to mandatorily redeem out any Limited Owner which is a Benefit Plan Investor. For example, if the Trust were deemed to hold plan assets, the Trading Advisors may have to refrain from directing certain transactions that are currently contemplated. Furthermore, whether or not the Trust is deemed to hold plan assets, if an ERISA Plan has certain pre-existing relationships with the Managing Owner, one or more Trading Advisors, the Selling Agents or a Clearing Broker, investment in a Series may be limited or prohibited. See “ERISA Considerations” and “Restrictions Affecting Benefit Plan Investors.”

Foreign investors may face exchange rate risk and local tax consequences.

Foreign investors should note that the Units are denominated in U.S. Dollars and that changes in the rates of exchange between currencies may cause the value of their investment to decrease.

Regulatory Risks

Government regulations may change and adversely affect the Trust.

Considerable regulatory attention has recently been focused on publicly distributed partnerships, and, in particular, on “commodity pools” such as the Trust. In addition, tax law revisions could have a materially adverse effect on the Trust. Concern has also been expressed about speculative pools of capital trading in the currency markets, because these pools have the potential to disrupt central banks’ attempts to influence exchange rates. In the current environment, you must recognize the possibility that future regulatory changes may alter, perhaps to a material extent, the nature of an investment in any Series of the Trust.

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Failure of the Trust’s other counterparties may result in losses to the Trust.

The Trust may be unable to recover any of its assets in the event of the bankruptcy of any unregulated or over-the-counter counterparty with whom it trades. Such inability to recover the Trust’s assets may result in losses to your investment.

CFTC registrations could be terminated which could adversely affect the Trust or a Series.

If the CE Act registrations or NFA memberships of the Managing Owner or the registered Trading Advisors were no longer effective, these entities would not be able to act for the Trust. If the Managing Owner or a registered Trading Advisor were unable to act for the Trust or a Series, it could adversely affect the Trust or such Series.

For example, if the Managing Owner’s registration as a commodity pool operator, or CPO, under the CE Act or the Managing Owner’s membership as a CPO with the NFA were suspended, revoked or terminated, unless there were at least one remaining managing owner whose registration or membership has not been suspended, revoked or terminated, the Trust will be required to dissolve.

Likewise, if a registered Trading Advisor’s registration as a commodity trading advisor under the CE Act or such Trading Advisor’s membership as a commodity trading advisor with the NFA were suspended, revoked or terminated, the Trust would remove such Trading Advisor as a trading advisor for the applicable Series. The Managing Owner would then either terminate the Series or hire another commodity trading advisor to act as Trading Advisor for such Series.

The Trust and the Managing Owner have been represented by unified counsel, and you will not benefit from further review of your investment by independent counsel.

The Trust and the Managing Owner have been represented by unified counsel. To the extent that the Trust, the Managing Owner or you could benefit by further independent review, such benefit will not be available.

Although the foregoing risk factors are not a complete explanation of all the risks involved in purchasing interests in a fund that invests in the highly speculative, highly leveraged trading of futures, forwards and options, the foregoing risk factors are a complete explanation of all material risks involved in purchasing Units in the Trust. You should read this entire Form 10-K and the Prospectus before determining to subscribe for Units.

Item 1B. UNRESOLVED STAFF COMMENTS.

None.

Item 2. PROPERTIES.

The Trust does not own or use any physical properties in the conduct of its business. Its assets currently consist of cash items such as money market funds, certificates of deposit (under nine months) and time deposits, and, through each Trading Company, U.S. and international futures and forward contracts and other interests in derivative instruments, including options contracts on futures, forwards, swap contracts and spot contracts. The Trust’s main office is located at 1660 Lincoln Street, Suite 100, Denver, Colorado 80264.

Item 3. LEGAL PROCEEDINGS.

The Managing Owner is unaware of any material legal proceedings to which the Trust is a party or to which any of its assets are subject.

Item 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

None.

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Part II

Item 5. MARKET FOR COMMON EQUITY AND RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES.

No Units in any Series are publicly traded. The Units in each Series may be redeemed, in whole or in part, on a daily basis, subject to the conditions and restrictions provided in the Trust Agreement. In particular, if a unitholder redeems all or a portion of its Class 1 Units of any Series on or before the end of 12 full months following the effective date of the purchase of the Units being redeemed, such unitholder is charged a redemption fee of up to 3.0% of the Net Asset Value at which the Units are redeemed. The Trust Agreement also contains restrictions on the transfer or assignment of the Units.

The Managing Owner has the sole discretion in determining what distributions, if any, the Trust will make to the unitholders. The Trust has not effected distributions on the Units in any Series as of the date hereof and the Managing Owner does not intend to effect any distributions in the foreseeable future.

The following table shows the number of unitholders and the number of Units outstanding in each Sub-Class of each Series as of December 31, 2006:

	Number of Unitholders	Number of Units Outstanding
Balanced Series (Class 1)	9,370	2,105,455
Balanced Series (Class 1a)	168	43,802
Balanced Series (Class 2)	1,091	425,239
Balanced Series (Class 2a)	27	6,761
Winton Series (Class 1)	32	3,378
Winton Series (Class 2)	4	2,722
Currency Series (Class 1)	361	68,126
Currency Series (Class 2)	25	4,571
Campbell/Graham Series (Class 1)	3,028	507,344
Campbell/Graham Series (Class 2)	193	72,160
Dunn Series (Class 1)	20	1,601
Dunn Series (Class 2)	5	350
Graham Series (Class 1)	393	70,733
Graham Series (Class 2)	35	22,709
Long Only Commodity Series (Class 1)	310	45,276
Long Only Commodity Series (Class 2)	9	1,188
Long/Short Commodity Series (Class 1)	1,192	193,966
Long/Short Commodity Series (Class 2)	207	26,206
Managed Futures Index Series (Class 1)	23	5,169
Managed Futures Index Series (Class 2)	2	535

No Units are authorized for issuance by the Trust under equity compensation plans. During the year ended December 31, 2006, no unregistered Units were sold by the Trust. In addition, the Trust did not repurchase any Units during the year ended December 31, 2006.

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On November 15, 2005, the Trust filed a registration statement on Form S-1 (File No. 333-129701), which was declared effective on February 9, 2006. The Trust registered a total of 1,620,000 Units in such registration statement, including 270,000 Units in Balanced Series (Class 1a and 2a), 350,000 Units in Long Only Commodity Series, 250,000 Units in Long/Short Commodity Series and 750,000 Units in Managed Futures Index Series.

On January 26, 2007, the Trust filed a registration statement on Form S-1 (File No. 333-140240), which was declared effective on February 12, 2007. The Trust registered a total of 2,200,000 Units in such registration statement, including 1,000,000 Units in Balanced Series (Class 2), 1,000,000 Units in Long/Short Commodity Series (Class 1) and 200,000 Units in Long/Short Commodity Series (Class 2).

As of December 31, 2006, the Trust had received subscriptions for Balanced Series Units, Beach Series Units, Currency Series Units, Dunn Series Units, Graham Series Units, Long Only Commodity Series Units, Long/Short Commodity Series Units and Managed Futures Index Series Units. The aggregate proceeds received were $311,236,781 for Balanced Series, $3,564,835 for Winton Series, $59,063,015 for the Campbell/Graham Series, $9,783,830 for Currency Series, $2,390,357 for Dunn Series, $15,333,436 for Graham Series, $5,116,967 for the Long Only Commodity Series, $22,293,768 for the Long/Short Commodity Series and $656,281 for the Managed Futures Index Series.

Except for that portion of each Trading Company’s assets used as margin to maintain that Trading Company’s forward currency contract positions, the proceeds of the offerings for each Series are be deposited in cash in segregated accounts in the name of each Trading Company maintained for each Trading Company at the clearing brokers in accordance with CFTC segregation requirements.

The clearing brokers credit each Trading Company with 80%-100% of the interest earned on its average net assets (other than those assets held in the form of U.S. government securities) on deposit with the clearing brokers each month. In an attempt to increase interest income earned, the Managing Owner also may invest non-margin assets in U.S. government securities which include any security issued or guaranteed as to principal or interest by the U.S., or by a person controlled by or supervised by and acting as an instrumentality of the government of the U.S. pursuant to authority granted by Congress of the U.S. or any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the U.S. government, and certain cash items such as money market funds, certificates of deposit (under nine months) and time deposits. Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Campbell/Graham Series, Currency Series, Dunn Series and Graham Series. For the Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner.

ITEM 6. SELECTED FINANCIAL DATA

The selected financial information for the years ended December 31, 2006, 2005, and 2004 is taken from the financial statements of the Trust included on pages F-1 through F-22 of this filing.

You should read this information in conjunction with “Management’s Discussion and Analysis of Financial Condition and Results of Operations” and our financial statements and the related notes included therewith. Results from past periods are not necessarily indicative of results that may be expected for any future period.

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FOR THE YEAR ENDED DECEMBER 31, 2006

	Balanced Series			Winton Series		Campbell/ Graham Series		Currency Series		Dunn Series
Interest income - net	$	4,254,855		$	36,215	$	1,263,221	$	418,503	$	6,810
Total expenses		10,436,290			106,836		2,826,870		356,310		5,995
Net gain / (loss) on investments		14,339,272			400,995		3,227,653		244,087		(18,613	)
Net income / (loss)		4,495,683			330,374		1,143,594		283,991		(17,798	)
Net income per unit – Class 1		2.08			5.65		1.97		3.50		(9.92	)
Net income per unit – Class 1a		(4.03	)		—		—		—		—
Net income per unit – Class 2		5.51			6.81		5.03		6.81		(7.88	)
Net income per unit – Class 2a		(2.12	)		—		—		—		—
Total Assets		323,438,309			895,816		99,825,922		18,247,686		524,678
Total owners’ capital – Class 1		228,763,765			356,924		48,843,314		6,891,891		123,164
Total owners’ capital – Class 2		49,243,207			290,721		7,350,167		494,736		28,770
Net Asset Value per Unit – Class 1		106.66			105.65		96.27		101.16		76.91
Net Asset Value per unit – Class 1a		95.97			—		—		—		—
Net Asset Value per Unit – Class 2		114.24			106.81		101.86		108.23		82.27
Net Asset Value per Unit – Class 2a		97.88			—		—		—		—

	Graham Series		Long Only Commodity Series*			Long Short Commodity Series**		Managed Futures Index Series***
Interest income - net	$	422,496	$	231,248		$	883,143	$	285,909
Total expenses		673,707		134,250			1,398,261		179,590
Net gain / (loss) on investments		508,040		(415,739	)		711,340		(118,380	)
Net income / (loss)		256,829		(318,741	)		263,054		(12,061	)
Net income per unit – Class 1		1.80		(4.55	)		0.42		(3.25	)
Net income per unit – Class 2		4.52		(2.87	)		2.93		(1.57	)
Total Assets		20,493,398		10,012,410			22,234,616		10,424,977
Total owners’ capital – Class 1		5,991,337		4,321,464			19,478,595		500,070
Total owners’ capital – Class 2		2,049,495		115,401			2,697,482		52,659
Net Asset Value per Unit – Class 1		84.70		95.45			100.42		96.75
Net Asset Value per Unit – Class 2		90.25		97.13			102.93		98.43

* The Long Only Commodity Series broke escrow and commenced operations as of March 1, 2006.

** The Long/Short Commodity Series broke escrow and commenced operations as of March 6, 2006.

*** The Managed Futures Index Series broke escrow and commenced operations as of April 25, 2006.

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FOR THE YEAR ENDED DECEMBER 31, 2005

	Balanced Series			Winton Series		Campbell/ Graham Series*			Currency Series			Dunn Series			Graham Series
Interest income - net	$	1,010,834		$	16,877	$	126,602		$	3,370		$	20,588		$	85,327
Total expenses		6,659,562			129,494		731,047			10,669			14,172			380,800
Net gain / (loss) on investments		13,418,243			365,856		645,656			(5,175	)		(389,573	)		(155,411	)
Net income / (loss)		7,044,527			253,239		404,576			(11,679	)		(383,157	)		(1,268,834	)
Net income per unit – Class 1		(1.45	)		5.92		(5.70	)		(5.01	)		(18.13	)		(20.67	)
Net income per unit – Class 2		1.88			9.43		(3.17	)		(2.05	)		(15.62	)		(18.19	)
Total Assets		143,854,064			2,251,600		30,219,924			2,872,248			503,233			7,515,985
Total owners’ capital – Class 1		114,741,316			2,047,247		21,561,490			276,762			193,425			5,642,080
Total owners’ capital – Class 2		21,224,912			178,306		2,846,556			2,065,914			136,016			1,772,604
Net Asset Value per Unit – Class 1		104.58			111.93		94.30			97.66			86.83			82.90
Net Asset Value per Unit – Class 2		108.73			116.27		96.83			101.42			90.15			85.73

* The Campbell/Graham Series broke escrow and commenced operations as of February 11, 2005.

FOR THE PERIOD FROM SEPTEMBER 24, 2004 TO DECEMBER 31, 2004

	Balanced Series		Winton Series*		Campbell/ Graham Series**		Currency Series		Dunn Series		Graham Series***
Interest income - net	$	5,876	$	116	$	—	$	2	$	—	$	—
Total expenses		687,681		5,661		—		44		78,214		74,509
Net gain / (loss) on investments		2,396,442		17,300		—		154		204,380		272,202
Net income / (loss)		1,492,801		11,755		—		112		126,166		197,693
Net income per unit – Class 1		6.03		6.01		—		2.67		4.96		3.57
Net income per unit – Class 2		6.85		6.84		—		3.47		5.77		3.92
Total Assets		33,661,231		671,300		—		458,730		2,406,748		6,981,627
Total owners’ capital – Class 1		11,772,262		488,932		—		16,586		117,047		1,961,583
Total owners’ capital – Class 2		20,884,923		178,489		—		442,069		2,276,622		4,889,204
Net Asset Value per Unit – Class 1		106.03		106.01		—		102.67		104.96		103.57
Net Asset Value per Unit – Class 2		106.85		106.84		—		103.47		105.77		103.92

* In May 2006 the Beach Series was renamed the Winton Series

** The Campbell/Graham Series broke escrow and commenced operations as of February 11, 2005.

*** The Graham Series broke escrow and commenced operations as of November 24, 2004.

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Supplementary Quarterly Financial Information

The following summarized quarterly financial information presents the Frontier Fund's results of operations for the three-month periods ended March 31, June 30, September 30 and December 31, 2006.

	1st Quarter 2006			2nd Quarter 2006			3rd Quarter 2006			4th Quarter 2006
Balanced Series:
Net gain (loss) on investments	$	10,351,495		$	(5,413,615	)	$	(11,139,785	)	$	20,541,177
Net increase/(decrease) in owners’ captial resulting from operations		6,608,518			(6,069,317	)		(9,547,654	)		13,504,136
Increase (decrease) in net asset value per Class 1 unit		4.23			(3.02	)		(4.27	)		5.14
Increase (decrease) in net asset value per Class 1a unit		N/A			(4.50	)		(4.01	)		4.48
Increase (decrease) in net asset value per Class 2 unit		5.23			(2.33	)		(3.71	)		6.32
Increase (decrease) in net asset value per Class 2a unit		N/A			(4.05	)		(3.33	)		5.26
Net asset value per Class 1 unit		108.81			105.79			101.52			106.66
Net asset value per Class 1a unit		N/A			95.50			91.49			95.97
Net asset value per Class 2 unit		113.96			111.63			107.92			114.24
Net asset value per Class 2a unit		N/A			95.95			92.62			97.88
Winton Series:
Net gain (loss) on investments	$	365,878		$	9,586		$	536		$	24,995
Net income (loss)		277,629			29,957			1,564			21,224
Increase (decrease) in net asset value per Class 1unit		12.62			2.54			0.32			5.33
Increase (decrease) in net asset value per Class 2 unit		14.06			2.66			0.68			6.13
Net asset value per Class 1 unit		124.55			127.09			100.32			105.65
Net asset value per Class 2 unit		130.33			132.99			100.68			106.81
Campbell/Graham Series:
Net gain (loss) on investments	$	1,558,848		$	(803,333	)	$	(3,058,487	)	$	5,530,625
Net income (loss)		940,199			(1,182,988	)		(2,316,250	)		3,702,633
Increase (decrease) in net asset value per Class 1unit		2.60			(2.52	)		(4.65	)		6.54
Increase (decrease) in net asset value per Class 2 unit		3.40			(1.88	)		(4.13	)		7.64
Net asset value per Class 1 unit		96.90			94.38			89.73			96.27
Net asset value per Class 2 unit		100.23			98.35			94.22			101.86
Currency Series:
Net gain (loss) on investments	$	71,315		$	(59,590	)	$	(52,420	)	$	284,782
Net income (loss)		37,528			(53,579	)		(3,555	)		303,597
Increase (decrease) in net asset value per Class 1unit		0.57			(1.28	)		(0.10	)		4.31
Increase (decrease) in net asset value per Class 2 unit		1.35			(0.59	)		0.65			5.40
Net asset value per Class 1 unit		98.23			96.95			96.85			101.16
Net asset value per Class 2 unit		102.77			102.18			102.83			108.23
Dunn Series:
Net gain (loss) on investments	$	(1,950	)	$	5,904		$	(18,446	)	$	(4,121	)
Net income (loss)		(2,065	)		6,172			(17,992	)		(3,913	)
Increase (decrease) in net asset value per Class 1unit		(0.72	)		(1.57	)		(6.08	)		(1.55	)
Increase (decrease) in net asset value per Class 2 unit		(0.08	)		(0.98	)		(5.79	)		(1.03	)
Net asset value per Class 1 unit		86.11			84.54			78.46			76.91
Net asset value per Class 2 unit		90.07			89.09			83.30			82.27
Graham Series:
Net gain (loss) on investments	$	187,557		$	267,563		$	(424,745	)	$	477,665
Net income (loss)		129,180			204,768			(487,056	)		409,937
Increase (decrease) in net asset value per Class 1unit		1.15			1.83			(5.28	)		4.10
Increase (decrease) in net asset value per Class 2 unit		1.83			2.58			(4.91	)		5.02
Net asset value per Class 1 unit		84.05			85.88			80.60			84.70
Net asset value per Class 2 unit		87.56			90.14			85.23			90.25
Long Only Commodity Series:
Net gain (loss) on investments	$	(8,762	)	$	(14,064	)	$	(315,661	)	$	(77,252	)
Net income (loss)		290			14,153			(282,222	)		(50,962	)
Increase (decrease) in net asset value per Class 1unit		3.82			5.64			(13.63	)		(0.38	)
Increase (decrease) in net asset value per Class 2 unit		4.08			6.20			(13.25	)		0.10
Net asset value per Class 1 unit		103.82			109.46			95.83			95.45
Net asset value per Class 2 unit		104.08			110.28			97.03			97.13
Long/Short Commodity Series:
Net gain (loss) on investments	$	38,394		$	(293,950	)	$	(476,338	)	$	1,443,234
Net income (loss)		7,747			(345,696	)		(649,362	)		1,250,365
Increase (decrease) in net asset value per Class 1unit		0.94			(2.43	)		(3.69	)		5.60
Increase (decrease) in net asset value per Class 2 unit		1.20			(1.69	)		(3.02	)		6.44
Net asset value per Class 1 unit		100.94			98.51			94.82			100.42
Net asset value per Class 2 unit		101.20			99.51			96.49			102.93
Managed Futures Index Series:
Net gain (loss) on investments	$	(492	)	$	(56,726	)	$	(44,834	)	$	(16,327	)
Net income (loss)		(13	)		(10,932	)		(12,564	)		11,449
Increase (decrease) in net asset value per Class 1unit		(0.11	)		(0.63	)		(4.26	)		1.75
Increase (decrease) in net asset value per Class 2 unit		0.11			(0.13	)		(3.81	)		2.26
Net asset value per Class 1 unit		99.89			99.26			95.00			96.75
Net asset value per Class 2 unit		100.11			99.98			96.17			98.43

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The following summarized quarterly financial information presents the Frontier Fund's results of operations for the three-month periods ended March 31, June 30, September 30 and December 31, 2005.

	1st Quarter 2005			2nd Quarter 2005			3rd Quarter 2005			4th Quarter 2005
Balanced Series:
Net gain (loss) on investments	$	(2,962,770	)	$	3,670,325		$	364,393		$	12,346,295
Net increase/(decrease) in owners’ captial resulting from operations		(3,101,052	)		2,136,069			(507,925	)		8,517,435
Increase (decrease) in net asset value per Class 1 unit		(7.78	)		1.19			(1.17	)		6.31
Increase (decrease) in net asset value per Class 2 unit		(7.10	)		2.07			(0.43	)		7.34
Net asset value per Class 1 unit		98.25			99.44			98.27			104.58
Net asset value per Class 2 unit		99.75			101.82			101.39			108.73
Winton Series:
Net gain (loss) on investments	$	(36,722	)	$	(92,549	)	$	208,706		$	286,421
Net income (loss)		(47,685	)		(103,373	)		178,633			225,664
Increase (decrease) in net asset value per Class 1unit		(7.62	)		(8.75	)		10.31			11.98
Increase (decrease) in net asset value per Class 2 unit		(6.92	)		(8.20	)		11.33			13.22
Net asset value per Class 1 unit		98.39			89.64			99.95			111.93
Net asset value per Class 2 unit		99.92			91.72			103.05			116.27
Campbell/Graham Series:
Net gain (loss) on investments	$	(15,520	)	$	577,766		$	388,044		$	(304,634	)
Net income (loss)		(20,546	)		396,352			208,449			(179,679	)
Increase (decrease) in net asset value per Class 1unit		(6.87	)		2.11			(0.41	)		(0.53	)
Increase (decrease) in net asset value per Class 2 unit		(6.49	)		2.82			0.31			0.19
Net asset value per Class 1 unit		93.13			95.24			94.83			94.30
Net asset value per Class 2 unit		93.51			96.33			96.64			96.83
Currency Series:
Net gain (loss) on investments	$	1,600		$	(2,299	)	$	921		$	(5,397	)
Net income (loss)		(786	)		(3,159	)		(1,440	)		(6,294	)
Increase (decrease) in net asset value per Class 1unit		(0.90	)		(0.28	)		(0.95	)		(2.88	)
Increase (decrease) in net asset value per Class 2 unit		(0.14	)		0.49			(0.20	)		(2.20	)
Net asset value per Class 1 unit		101.77			101.49			100.54			97.66
Net asset value per Class 2 unit		103.33			103.82			103.62			101.42
Dunn Series:
Net gain (loss) on investments	$	(329,760	)	$	297,798		$	(360,390	)	$	2,779
Net income (loss)		(330,192	)		303,277			(358,251	)		2,009
Increase (decrease) in net asset value per Class 1unit		(15.05	)		11.81			(15.47	)		0.58
Increase (decrease) in net asset value per Class 2 unit		(14.50	)		12.77			(15.15	)		1.26
Net asset value per Class 1 unit		89.91			101.74			86.25			86.83
Net asset value per Class 2 unit		91.27			104.04			88.89			90.15
Graham Series:
Net gain (loss) on investments	$	(1,122,139	)	$	72,374		$	595,859		$	298,495
Net income (loss)		(1,180,484	)		(149,668	)		158,484			(97,137	)
Increase (decrease) in net asset value per Class 1unit		(15.92	)		(2.69	)		0.71			(2.77	)
Increase (decrease) in net asset value per Class 2 unit		(15.30	)		(2.07	)		1.38			(2.20	)
Net asset value per Class 1 unit		87.65			84.96			85.67			82.90
Net asset value per Class 2 unit		88.62			86.55			87.93			85.73

Item 7. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.

Overview

The Frontier Fund, or the Trust, is a Delaware statutory trust formed in August 8, 2003. The Trust is a multi-advisor commodity pool, as described in CFTC Regulation § 4.10(d)(2). The Trust is authorized to issue multiple Series of Units in segregated pools of assets of the Trust, pursuant to the requirements of the Trust Act. The assets of each Series are segregated from the assets of other Series. The Trust is managed by the Managing Owner, and its term will expire on December 31, 2053 (unless terminated earlier in certain circumstances).

The Trust, with respect to each Series of Units, engages in the speculative trading of a diversified portfolio of futures, forward (including interbank foreign currencies) and options contracts and other derivative instruments and may, from time to time, engage in cash and spot transactions. The Trust allocates funds to the Trading Companies each of which has one-year renewable contracts with its own independent Trading Advisor(s) that will (i) manage all or a portion of the applicable Trading Company’s assets, (ii) make the trading decisions for the assets of each Series

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vested in such Trading Company, (iii) segregate its assets from any other Trading Company and maintain separate, distinct records for each Series, and (iv) account for its assets separately from the other Series and the other Trust assets. The Trust has an investment objective of increasing the value of the Units over the long term (capital appreciation), while controlling risk and volatility; further, to offer exposure to the investment programs of individual Trading Advisors and to specific instruments (currencies).

As of December 31, 2006, the Trust had nine separate Series of Units issued and outstanding: Balanced Series, Winton Series, Campbell/Graham Series, Currency Series, Dunn Series, Graham Series, Long Only Commodity Series, Long/Short Commodity Series and the Managed Futures Index Series. Each Series of Units had two separate sub-classes issued and outstanding—Class 1 and Class 2 (except for the Balanced Series, which has four sub-classes– Class 1, Class 1a, Class 2 and Class 2a).

On January 26, 2007 the Trust filed a registration statement on Form S-1 (File No. 333-140240), which was declared effective on February 12, 2007. The Trust registered in such registration statement Units in Balanced Series (Class 2) and Long/Short Commodity Series (Class 1 and Class 2).

For additional overview of the Trust’s structure and business activities, see Item 1 “BUSINESS.”

Critical Accounting Policies and Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires the Managing Owner to adopt accounting policies and make estimates and assumptions that affect amounts reported in the Trust’s financial statements. The Trust’s critical accounting policies and related estimates and judgments underlying the financial statements are as identified below.

Foreign Currency Transactions

The Trust’s functional currency is the U.S. Dollar, however, it transacts business in currencies other than the U.S. Dollar. Assets and liabilities denominated in currencies other than the U.S. Dollar are translated into U.S. Dollars at the rates in effect at the date of the statement of financial condition. Income and expense items denominated in currencies other than the U.S. Dollar are translated into U.S. Dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. Dollars are reported in income.

Investment Transactions and Valuation

The Trust records investment transactions on trade date and all investments are recorded at fair value in its financial statements, with changes in fair value reported as a component of Trading Profits (Losses) in the Statements of Operations. Generally, fair values are based on quoted market prices; however, in certain circumstances, significant judgments and estimates may be required in determining fair value in the absence of an active market closing price.

Allocation of Trading Profits or Losses

Each Series of the Trust offers two sub-classes of Units – Class 1 and Class 2 (except for the Balanced Series which has four sub-classes of Units – Class 1, Class 1a, Class 2 and Class 2a). All classes have identical voting, dividend, liquidation and other rights and the same terms and conditions, except that Class 1 and Class 1a Units of each Series, as applicable, bear certain expenses related to the servicing of such Units. Revenues, expenses (other than expenses attributable to a specific class), and realized and unrealized trading profits and losses of each Series are allocated daily to Class 1, Class 1a, Class 2 and Class 2a Units, as applicable, based on each Class’ relative owners’ capital balance.

Each Series allocates funds to a subsidiary Trading Company, or Trading Companies, of the Trust. Each Trading Company allocates all of its daily trading profits or losses to the Series in proportion to each Series’ funds allocated to the Trading Company, adjusted on a daily basis. As of December 31, 2005, the value of all open contracts and cash held at clearing brokers is similarly allocated to the Series in proportion to each Series’ funds allocated to the Trading Company, or Companies.

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Interest Income

Interest income from all sources, including assets held at clearing brokers and cash and cash equivalents held at banks, is aggregated and allocated across all Series in proportion to their daily Net Asset Value.

In applying these policies, the Managing Owner may make judgments that can frequently require estimates about matters that are inherently uncertain.

Liquidity and Capital Resources

The Trust will raise additional capital only through the sale of Units offered pursuant to the continuing offering, and does not intend to raise any capital through borrowing. Due to the nature of the Trust’s business, it makes no capital expenditures and has no capital assets which are not operating capital or assets.

The Managing Owner is responsible for the payment of all of the ordinary expenses associated with the organization of the Trust and the offering of each Series of Units, except for the initial and ongoing service fee, if any, and no Series will be required to reimburse these expenses. As a result, 100% of each Series’ offering proceeds are initially available for that Series’ trading activities.

A portion of each Trading Company’s assets is used as margin to maintain that Trading Company’s forward currency contract positions, and another portion is deposited in cash in segregated accounts in the name of each Trading Company maintained for each Trading Company at the clearing brokers in accordance with CFTC segregation requirements. At December 31, 2006, cash deposited at the clearing brokers was $72,480,538 for the Balanced Series, $13,938,010 for the Campbell/Graham Series, $2,970,911 for the Currency Series, $1,412,416 for the Long Only Commodity Series, $4,485,621 for the Long/Short Commodity Series and $1,729,868 for the Managed Futures Index Series. The clearing brokers are expected to credit each Trading Company with approximately 80%-100% of the interest earned on its average net assets on deposit with the clearing brokers each week. Currently, this amount is estimated to be 4.83%. In an attempt to increase interest income earned, the Managing Owner also may invest the non-margin assets in U.S. government securities which include any security issued or guaranteed as to principal or interest by the U.S., or by a person controlled by or supervised by and acting as an instrumentality of the government of the U.S. pursuant to authority granted by Congress of the U.S. or any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the U.S. government, and certain cash items such as money market funds, certificates of deposit (under nine months) and time deposits. Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Campbell/Graham Series, Currency Series, Dunn Series and Graham Series. For the Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner.

Approximately 10% to 20% of the Trust’s assets are expected to be committed as required margin for futures contracts and forward and options trading and held by the respective broker, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury bills in segregated accounts with the futures broker pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 2% to 6% of the Trust’s assets are expected to be deposited with over-the-counter counterparties in order to initiate and maintain forward and swap contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparties. The remaining approximately 74% to 88% of the Trust’s assets will normally be invested in cash equivalents and short term investments, such as money market funds, certificates of deposit (under nine months) and time deposits and held by the clearing broker, the over-the-counter counterparties and by U.S. Federally chartered banks. As of December 31, 2006, such cash equivalents and short term investments included time deposits at Merrill Lynch Bank USA, and money market funds held at Merrill Lynch Investment Managers. Including cash held at U.S. Bank, total cash and cash equivalents and short term investments held at these institutions were $171,845,171 for the Balanced Series, $583,923 for the Winton Series, $33,056,494 for the Campbell/Graham Series, $15,195,251 for the Currency Series, $524,433 for the Dunn Series, $13,221,368 for the Graham Series, $9,151,037 for the Long Only Commodity Series, $17,204,364 for the Long/Short Commodity Series and $8,257,252 for the Managed Futures Index Series.

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Off-Balance Sheet Risk

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. Each Trading Company trades in futures, forward and swap contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a market risk that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions held by a Trading Company in respect of any Series at the same time, and if the Trading Advisor(s) of such Trading Company are unable to offset such futures interests positions, such Trading Company could lose all of its assets and the holders of Units of such Series would realize a 100% loss. The Managing Owner seeks to minimize market risk through real-time monitoring of open positions and the level of diversification of each Trading Advisor’s portfolio. It is anticipated that any Trading Advisor’s margin-to-equity ratio will typically not exceed approximately 35% although the actual ratio could be higher or lower from time to time.

In addition to market risk, trading futures, forward and swap contracts entails credit risk in that a counterparty will not be able to meet its obligations to a Trading Company. The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions. Some non-U.S. exchanges, in contrast to U.S. exchanges are principals’ markets in which performance is the responsibility only of the individual counterparty with whom the Trading Company has entered into the transaction with and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.

In the case of forward contracts traded on the interbank market and swaps, neither is traded on an exchange. The counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty credit risk. The Managing Owner expects the Trading Advisors to trade only with those counterparties which it believes to be creditworthy. All positions of each Trading Company 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 meet its obligations to any Trading Company.

The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, currency trading companies, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence or bad faith. The Trust has had no prior claims or payments pursuant to these agreements. The Trust’s individual maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. However, based on experience the Trust expects the risk of loss to be remote.

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Results of Operations

Year Ended December 31, 2006

Balanced Series

The Balanced Series – Class 1 Net Asset Value gained 2.0% for the twelve months ended December 31, 2006, net of fees and expenses; the Balanced Series – Class 1a Net Asset Value lost 4.0% for the period from commencement of operations through December 31, 2006, net of fees and expenses; the Balanced Series – Class 2 Net Asset Value gained 5.1% for the twelve months ended December 31, 2006 net of fees and expenses; the Balanced Series – Class 2a Net Asset Value lost 2.1% for the period of commencement of operations through December 31, 2006, net of fees and expenses.

The Balanced Series – Class 1 Net Increase In Owners’ Capital Resulting From Operations was $2,785,824, or $2.08 per unit, for the twelve months ended December 31, 2006.

The Balanced Series – Class 1a Net Increase/(Decrease) In Owners’ Capital Resulting From Operations was $70,322, or ($4.03) per unit, for the period from commencement of operations through December 31, 2006.

The Balanced Series – Class 2 Net Increase In Owners’ Capital Resulting From Operations was $1,623,731, or $5.51 per unit, for the twelve months ended December 31, 2006.

The Balanced Series – Class 2a Net Increase/(Decrease) In Owners’ Capital Resulting From Operations was $15,806, or ($2.12) per unit, for the period of commencement of operations through December 31, 2006.

For the twelve months ended December 31, 2006, the Balanced Series recorded net gain on investments of $14,339,272, net interest of $4,254,855, and total expenses of $10,436,290, resulting in a net increase in Owners’ capital from operations of $4,495,683 after minority interests of $3,662,154. The Net Asset Value per Unit, Class 1, increased from $104.58 at December 31, 2005, to $106.66 at December 31, 2006 and the Class 1a Net Asset Value per Unit decreased from $100.00 at the beginning of operations to $95.97 at December 31, 2006. For Class 2, the Net Asset Value per Unit increased from $108.73 at December 31, 2005, to $114.24 at December 31, 2006 and the Class 2a Net Asset Value per Unit decreased from $100.00 at the beginning of operations to $97.88 at December 31, 2006. Total Class 1 subscriptions and redemptions for the twelve months were $122,409,181 and $15,376,421, respectively. Total Class 1a subscriptions from the beginning of operations to December 31, 2006 were $4,133,543. There were no redemptions. Total Class 2 subscriptions and redemptions for the twelve month period were $29,413,245 and $3,680,487, respectively. Total Class 2a subscriptions from the beginning of operations to December 31, 2006 were $646,000. There were no redemptions. Ending capital at December 31, 2006, was $224,559,900 for Class 1, $4,203,865 for Class 1a, $48,581,401 for Class 2 and $661,806 for Class 2a.

Strong January and March performances outweighed February losses to give investors a positive first quarter of 2006. Metals continued to be the most profitable sector, followed by interest rates and stock indices. Copper continued to extend the uptrend that began November 2001, while the gold market took a breather and traded in a range of approximately $540—$580 during the quarter (June delivery). Worldwide bond prices continued to slide, and European and Japanese equity markets rallied, giving traders plenty of opportunity to profit.

Losses in May and June outweighed a profitable April to bring second quarter performance into the red for the Balanced Series. Metals continued to be the most profitable sector year-to-date, closely followed by interest rates. The currency sector has been the most difficult. While global markets in nearly all sectors were difficult to trade in June, losses were kept small.

Net performance in the third quarter was negative, as losses in the energy and interest rate sectors dominated performance. Sharp reversals in energy prices in August adversely affected many of the Balanced Series’ Trading Advisors, and those losses continued in September. After small losses in each of July and August, the currency sector began to recover in September. It remains, however, the worst-performing sector for the year. Range-bound trading limited performance in precious metals, although losses were kept small. Metals remained the most profitable sector for the year, followed by interest rates.

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Net performance in the fourth quarter was positive, with strong performances in the currencies and stock indices sectors leading the way. In spite of the strong performance, the currencies sector ended the year net-negative, along with the energies and commodities sectors. Even considering a lackluster performance from June through December, the metals sector ended 2006 the most profitable, followed closely by the stock indices sector.

Winton Series (formerly Beach Series)

The Winton Series – Class 1 Net Asset Value increased 5.7% for the twelve months ended December 31, 2006, net of fees and expenses; the Winton Series – Class 2 Net Asset Value increased 6.8% for the twelve months ended December 31, 2006, net of fees and expenses.

The Winton Series – Class 1 Net Increase In Owners’ Capital Resulting From Operations was $285,913, or $5.65 per unit, for the twelve months ended December 31, 2006.

The Winton Series – Class 2 Net Increase In Owners’ Capital Resulting From Operations was $44,461, or $6.81 per unit, for the twelve months ended December 31, 2006.

For the twelve months ended December 31, 2006, the Winton Series (which includes results from both the Beach trader and the Winton trader) recorded net gain on investments of $400,995, net interest of $36,215, and total expenses of $106,836, resulting in a net increase in Owners’ capital from operations of $330,374. The Net Asset Value per Unit, Class 1, increased from $100.00 at the commencement of operations of the new Winton Series on August 11, 2006, to $105.65 as of December 31, 2006. The Net Asset Value per Unit, Class 2, increased from $100.00 at the commencement of operations of the new Winton Series on August 11, 2006, to $106.81 as of December 31, 2006. Total Class 1 subscriptions for the twelve months were $1,038,201, and redemptions were $3,014,437. Total Class 2 subscriptions and redemptions for the twelve month period were $401,900, and $333,946, respectively. Ending capital at December 31, 2006, was $356,924 for Class 1 and $290,721 for Class 2.

January saw a positive start for the Winton Series. The upward trends in both the precious and base metals continued from the last quarter and the portfolio was well positioned to take advantage of these moves; making metals the best performing sector of the month. Currencies remain difficult to trade and after ending 2005 with a 12.6% rise, the dollar index declined sharply in January. Market participants remained highly sensitive to relative economic data and the prospects for shifts in interest rate differentials, Central Bank policy and leadership changes and global political developments. Global equity markets continued to perform well with North American stock indices amongst the strongest performers. Energy had a mixed month with crude oil moving higher but natural gas fell sharply on the month. Sugar climbed to a 25 year high in January as Brazil, the world’s largest producer of cane sugar, diverted roughly 50% of cane to the production of ethanol on the back of high energy prices.

Some of the trends consolidated in February. While in Europe the stock indices continued to perform well, Japan was a slightly different story with the Topix and Nikkei indices falling nearly 3% on the month. The U.S. markets also ended the month in negative territory. The interest rate sector had a positive month as global interest rates continued to rise in February. The largest percentage yield increase took place in Japan where 2-year Japan Government Bonds (“JGB’s”) went from 0.3% to 0.475% on the back of the Japanese government’s upgrading its economic assessment, characterizing the recovery as under way and broadening. The U.S. Dollar performed well, erasing most of its January decline. The Japanese yen was the only major currency to appreciate vs. the U.S. Dollar. A combination of warmer than normal temperatures and a continued restoration of hurricane damaged refining and distribution capacity saw a fall in energy prices. Both base metals, with the exception of zinc, and precious metals fell in February; giving back some of the gains of the prior month. Sugar, one of the best performing commodities this year, also gave back some of its recent gains.

On March 31, 2006, Beach Capital Management Limited (“Beach”) ceased trading pursuant to its discretionary program, which was the trading program used by the Beach Series. David Beach has made a decision to engage in other pursuits. Therefore, Beach is no longer engaged in trading for the Beach Series.

There was no trading in the Winton Series in April, May, or June 2006 other than for cash management purposes pursuant to the Managing Owner’s cash management strategies employed for the Trust.

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In May 2006, Beach Series was renamed as Winton Series. The Trust commenced accepting subscriptions for the Winton Series on November 1, 2006.

For purposes of this report, Beach Series is referred to as Winton Series, regardless of whether the applicable time period referred to is prior or subsequent to the name change, unless explicitly set forth otherwise.

The Winton Series began trading again on August 23, 2006. Trading in the last week of August was profitable.

The growing perception that the interest rate cycle has turned in the U.S. was the dominant theme within the global fixed income markets in September. This was driven by the slowing of the U.S. housing market and the ensuing drag on consumer spending that resulted in a solid performance from the bond portfolio which was up over 1% over the course of the month, producing the highest sector return. This was followed by the equities, which rallied across much of Europe and the Far East. The expectation of lower U.S. interest rates was the main cause of this optimism over stock valuations. A combination of factors, including the calming of the situation in the Middle East and growing levels of inventories, led to a strong decline in the price of oil. This briefly led to crude trading below the $60 level for the first time since March. As a result, the energy portfolio was the worst performing sector for the month. Precious metals also declined across the board, with gold down 5% and silver falling by over 12%. Currency markets were tentatively range bound. The continuing strength of sterling has led to some questioning of its current levels. The ongoing backdrop of the Chinese stance towards its currency bands came to the forefront at the end of the month and led to some short term volatility in yen valuations.

The continuing strength of the equity markets was one of the central themes for October. U.S. stock indices reached record levels as a string of solid earnings reports, coupled with rising confidence in the Federal Reserve’s (“Fed”) future actions, reassured investors. A similarly bullish month was enjoyed by the base metal sector which, having paused for breath in September continued its impressive rise for the year. The headline performer was zinc which rallied by an impressive 26%. This was followed by lead which saw a 17% gain. Crude oil declined on the month although the bulk of this downward pressure was restricted to the start and end of the month. Warm U.S. weather and an increase in stockpiles led to reduced demand for energy products. Other energy markets showed high levels of volatility, in particular, heating oil and unleaded gasoline. In the financial sector the treasury market sold off aggressively as much of the gains of the September rally were given back. Front end rates rose as strong data suggested there was still potential for further rate hikes from the Fed. This was in contrast to the previously widely held perception within the market that after a suitable pause monetary conditions would be gradually eased. Meanwhile, the dollar moved in harmony with the bond market, as currency markets moved in a fairly systematic fashion with periods of dollar negative and positive sentiment dominating the market in tandem with yield expectations.

The currency markets dominated activity in the last week of November, as the U.S. Dollar came under significant pressure. A steady flow of disappointing economic data led to concerns over a U.S. economic slowdown and the chance of a further Fed rate hike became more remote. Foreign exchange volatility increased with the euro leading the charge against the dollar. The resulting market reaction was to push the euro to a 20 month high, whilst sterling rose to its highest level against the dollar for more than 14 years. This price action led to strong gains in the currency sector which was the leading performer for the month. Other significant gains were produced in the equity sector primarily due to intra month volatility. Despite the strong October rally in stocks, the main indices were able to hold on to these gains as investors continued to support the market after periods of falling prices. This led to short term volatility which was exacerbated by the serious weakening in the dollar. The biggest losses were recorded in the energy sector where heating oil rose to a 12 week high as concerns over inventory levels pushed up prices by 6% over the course of the month. A similar pattern was repeated in crude oil, which moved from a recent low of $57 to $63 per barrel. Flattening of the yield curve as rates came under pressure across the board led to positive performance of long bond rate futures. Base metals took a backseat this month with the high volatility seen in recent months replaced by a steadier gradual increase in prices, whilst gold and silver reported strong increases of 6% and 13% respectively as the weak dollar fed through to higher prices in these generally safe haven commodities.

Gains were recorded in the equity markets, as the year long rally continued into December. The slide in energy prices, with crude oil down 5.3% and heating oil down 12.1% for the month led to an out-performance in this sector. Losses were recorded in fixed income, as the recent two month rally in treasury prices was reversed, with the benchmark ten year note yielding twenty basis points higher from the November close.

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Campbell Graham Series

The Campbell/Graham Series – Class 1 increased 2.1% for the twelve months ended December 31, 2006, net of fees and expenses; the Campbell/Graham Series – Class 2 increased 5.2% for the twelve months ended December 31, 2006, net of fees and expenses.

The Campbell/Graham Series – Class 1 Net Increase In Owners’ Capital Resulting From Operations was $880,152, or $1.97 per unit, for the twelve months ended December 31, 2006.

The Campbell/Graham Series – Class 2 Net Increase In Owners’ Capital Resulting From Operations was $263,442, or $5.03 per unit, for the twelve months ended December 31, 2006.

For the twelve months ended December 31, 2006, the Campbell/Graham Series recorded net gain on investments of $3,227,653, net interest of $1,263,221, and total expenses of $2,826,870, resulting in a net increase in Owners’ capital from operations of $1,143,594 net of minority interests of $520,410. The Net Asset Value per Unit, Class 1, increased from $94.30 at December 31, 2005, to $96.27 as of December 31, 2006. The Net Asset Value per Unit, Class 2, increased from $96.83 at December 31, 2005, to $101.86 as of December 31, 2006. Total Class 1 subscriptions for the twelve months ended December 31, 2006 were $29,197,231, and redemptions were $2,795,559. Total Class 2 subscriptions and redemptions for the twelve months ended December 31, 2006 were $5,365,314, and $1,125,145, respectively. Ending capital at December 31, 2006, was $48,843,314 for Class 1 and $7,350,167 for Class 2.

2006 began on a positive note, as good performance in the energy and stock index sectors in January was the primary driver in a profitable month. The U.S. Dollar experienced significant volatility during the month and moved sharply lower versus the major European currencies. The global bond markets also experienced short-term price volatility, as global bond prices declined sharply amid ongoing inflationary concerns. Global equity prices, however, continued to rally, as European and Japanese equity indices continued to trend higher despite significant mid-month price volatility resulting from a broad sell-off in Japan, a flurry of weak earnings reports, and higher energy prices.

Performance was negative in February, although returns remained slightly positive overall for 2006. Prices for crude oil and natural gas fell sharply in February as inventory build-ups weighed on the market in the midst of one of the mildest winters on record in the northeastern U.S. Concern over geopolitical tensions also eased somewhat. While this brought welcome relief at the gas pumps, the trend reversal caused energy sector performance to suffer. Ben Bernanke’s first official appearances as Chairman of the Fed and the reintroduction of the U.S. 30 year bond were digested by the bond markets, as interest rate sector performance was slightly positive. February was a volatile month for U.S. equities, but Euro stocks enjoyed another strong month and contributed solid gains to the portfolio. February’s returns highlighted the downside of trading in energy, which is one of the most volatile market sectors.

Strong performance from several sectors contributed to a strong March and a solid finish to the first quarter. The biggest gains in March were in the interest rate sector, as U.S. and euro fixed income instruments had their worst quarter in several years, which benefited short futures positions. Energy prices rebounded profitably from February’s sell-off on renewed production and supply concerns, but this was not enough to restrain equity prices, and the equity indices sector also finished higher. Many of the base and precious metals again made new highs, and contributed positively to our returns.

A strong performance from Graham Capital Management in April outweighed losses in the Campbell & Co. portion of the portfolio to result in a positive month for the Campbell/Graham Series. Major global bond markets continued to move lower amid ongoing speculation that the U.S. Fed, the European Central Bank (“ECB”) and the Bank of Japan (“BOJ”) will continue to tighten global interest rates throughout the remainder of 2006. The decline in global bond prices continued to result in higher yields throughout the U.S., Europe and Japan. Major U.S. equity indices finished the month relatively mixed as the specter of higher interest rates and soaring energy prices ultimately weighed on U.S. equity markets. Elsewhere, European equity prices declined modestly amid sagging investor confidence in Germany, while the Nikkei posted 16-year highs before selling off in response to China’s decision to raise its benchmark interest rate. The U.S. Dollar declined sharply versus the major global currencies. The dollar

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posted 11- month lows versus the euro and 3-month lows versus Japanese yen amid ongoing speculation concerning higher global interest rates and renewed concerns regarding the long-term outlook for the dollar. Crude oil prices posted record highs during the month amid continuing global unrest, increased demand among China and India, and reports of declining U.S. inventories. Natural gas prices, however, turned bearish, as mild weather and ample inventories led to a major sell off. In the metals markets, gold soared to 25-year highs, as investors sought refuge from a weakening dollar, and base metals surged to multi-year highs amid increased industrial demand worldwide.

The favorable market conditions experienced throughout the first four months of 2006 abruptly gave way to a volatile and choppy environment during May, as renewed doubts concerning the U.S. economy and rising geopolitical tensions led to extremely difficult trading conditions during the latter half of the month. Losses for the month were primarily attributable to unexpected volatility within the global fixed income sector and a sharp and sudden decline in global equity prices. Major global bond markets experienced significant volatility during the latter half of the month, as the release of weaker-than-expected economic data triggered renewed uncertainty concerning the strength of the U.S. economy and the pace of U.S. Fed policy. Global bond yields finished the month relatively mixed, as yields in the U.S. rose slightly while those in Japan and Europe declined. Major global equity indices finished the month markedly lower amid growing economic uncertainty and rising geopolitical tensions. In the U.S., the NASDAQ declined 6%, the S&P 500 fell 3%, and the Dow Jones Industrial Average lost nearly 2%. Elsewhere, the EuroStoxx 50 declined more than 5% while the Nikkei plunged 8.5%. The U.S. Dollar continued to decline versus the major global currencies. The U.S. Dollar posted 12-month lows versus the euro and 8-month lows versus the Japanese yen, as recent economic data continued to foster a sense of pessimism concerning the long-term outlook for the dollar. Energy prices retreated slightly from record highs amid rising U.S. inventories and easing demand forecasts. In the metals markets, the price of gold posted 26-year highs as investors continued to seek solace from a weakening dollar and rising global tensions, while the price of copper, nickel and zinc surged between 12% and 17%, respectively, amid increased industrial demand worldwide.

Volatile markets across the globe resulted in modest losses for the month of June. Losses for the month were primarily attributable to an increase in volatility across the global equity, fixed income, currency and commodities markets, as growing economic uncertainty and rising geopolitical tensions roiled global markets. Major global bond markets continued to experience significant volatility during the month. The release of stronger-than-expected economic data contributed to a sharp mid-month sell-off in the U.S. Treasury market, only to be followed by a late-month rally amid renewed optimism concerning a temporary pause in the U.S. rate tightening cycle following the Federal Open Market Committee’s (“FOMC”) decision to raise interest rates to 5.25%. Global bond yields generally finished the month higher throughout Europe and Japan. Major global equity indices extended losses early in the month amid inflationary fears and lingering concerns regarding the potential for higher global interest rates. Prices soon reversed, however, as the prospect of a temporary pause in the U.S. rate tightening cycle spurred prices higher late in the month. The U.S. Dollar rallied versus many of the major global currencies, rebounding from 12-month lows versus the euro and 8-month lows versus the Japanese yen. The dollar’s rally proved to be rather short-lived, however, as renewed speculation concerning U.S. interest rate policy led to a modest decline from its intra-month highs. The commodities markets experienced significant volatility during the month. Metals prices declined precipitously for most of the month, only to subsequently rally amid rising geopolitical tensions and renewed global demand concerns. The energy markets experienced similar volatility, as seasonal demand concerns and continued unrest in the Middle East at times spurred prices higher, while increased inventories and renewed diplomatic initiatives often dragged prices lower. Many of the agricultural markets also experienced significant volatility during the month.

Unusually difficult trading conditions continued throughout July. The specter of economic uncertainty in the U.S. and expanding hostilities globally continued to plague many global markets, resulting in excessive price volatility across nearly all market sectors. North Korean missile tests, continuing Iranian nuclear defiance, renewed turbulence in Nigeria and the Israel/Lebanon tinderbox all pushed energy prices higher before finding resistance and finishing virtually unchanged for the month. Equity indices were also volatile but ended the month largely unchanged, leading to flat performance.

The economic and geopolitical uncertainty which clouded the global landscape for much of the summer continued into August, and the trading systems used in the Campbell/Graham Series continued to experience mediocre performance. Losses during August were primarily attributable to trading in the global fixed income markets, with smaller losses experienced across the global equity index, currency, soft commodities, and agricultural markets. The energy sector was dominated by perceptions of an easing in global geopolitical tensions, a mild hurricane season,

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and steadily rising inventories. These factors led to a sharp sell-off in natural gas (down by 30%) and crude oil (fell below $70 per barrel). Unleaded gasoline traded down more than 40 cents in August alone. Profits from Graham in the energy markets were offset by Campbell’s losses in the same sector.

Energy losses overshadowed equity gains in September. The biggest losses occurred in the energy complex where crude prices fell over 11% and heating oil and unleaded gasoline both fell around 14%. The drop in prices was driven by the lack of hurricane activity, a further easing of geopolitical tensions, and adequate physical supplies amid the warmer-than-normal autumn season. Trading in equity indices was positive as economic data (with the exception of housing related figures) continued to show moderate growth with restrained inflation. Small gains were also recorded in currency markets, where losses on cross rates exposures were more than offset by gains on outright positions, despite the historically low volatilities in many of these markets. Small losses were recorded in fixed income as the market continued to believe that the U.S. Fed will not raise rates again in the foreseeable future.

Strong performance was recorded in the currency sector in October, primarily from an increase in value of the Australian dollar against the yen. The carry trade remained a popular trade, putting pressure on low interest rate funding currencies like the yen, but leaving the U.S. Dollar a bit choppy. Profits were also earned in stock index trading as global equity markets rallied on expectations of stable interest rate policies, favorable earnings reports and lower energy prices. Some of the gains in October were offset by negative performance in energy trading as crude oil closed the month near the lows for the year. Fixed income trading was also negative as bond prices slid during the first part of the month on higher-than-expected September payroll revisions.

Strong performance was recorded in the currency sector in November, primarily from an increase in the euro against the Swiss franc and other euro crosses. Profitable performance was also achieved in the global equity index market. Losses experienced across the energy, metals, and soft commodities markets offset a portion of each portfolio’s overall gain for the month.

The currency sector was the top performer for the Campbell trader’s portfolios in December with euro-related crosses and the continued weakening of the Swiss franc against strong euro-zone economic growth. Fixed income trading also contributed significantly as yields rose sharply across the curve on firm November payrolls, stronger mid-month retail sales, and indications of a potential bottom in housing market data. Trading in global equity indices was strongly positive as a mixture of strong economic growth, restrained inflation, and continued red-hot M&A activity contributed to the Dow finishing the year near all-time highs. Graham trader’s trend-based programs experienced profits across the global equity and currency markets. Smaller gains were also experienced across the energy complex as recent bearish trends in energy prices continued. A portion of each portfolio’s overall gain for the month was offset by losses experienced across the global fixed income markets as global bond prices generally reversed recent bullish trends and moved lower during December.

Currency Series

The Currency Series – Class 1 increased 3.6% for the twelve months ended December 31, 2006, net of fees and expenses; the Currency Series – Class 2 increased 6.7% for the twelve months ended December 31, 2006, net of fees and expenses.

The Currency Series – Class 1 Net Increase In Owners’ Capital Resulting From Operations was $232,232, or $3.50 per unit, for the twelve months ended December 31, 2006.

The Currency Series – Class 2 Net Increase In Owners’ Capital Resulting From Operations was $51,759, or $6.81 per unit, for the twelve months ended December 31, 2006.

For the twelve months ended December 31, 2006, the Currency Series recorded net gain on investments of $244,087, net interest of $418,503, and total expenses of $356,310, resulting in a net increase in Owners’ capital from operations of $283,991 net of minority interests of $22,289. The Net Asset Value per Unit, Class 1, increased from $97.66 at December 31, 2005, to $101.16 as of December 31, 2006. The Net Asset Value per Unit, Class 2, increased from $101.42 at December 31, 2005, to $108.23 as of December 31, 2006. Total Class 1 subscriptions and redemptions for the twelve months ending December 31, 2006 were $6,559,790, and $176,893, respectively. Total Class 2 subscriptions and redemptions were $457,300 and $2,080,237, respectively, for the twelve months ending December 31, 2006. Ending capital at December 31, 2006, was $6,891,891 for Class 1 and $494,736 for Class 2.

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The New Year saw a resurgence of old themes as the market moved once more in the direction of yield hunting, and interest rate differentials continued to dominate even short term trading within the foreign exchange markets. Traders remained preoccupied with the path of Fed interest rate policy with the dollar experiencing a sizeable drop in the first few days of the year as the Fed minutes from December suggested that they were closer to the end of the tightening cycle. The U.S. unit weakened further towards the middle of the month to a four month low against the euro on the further belief that the ECB would tighten to combat inflationary pressures. Overall the signals from U.S. economic output remained mixed, and the surprising strength shown in fourth quarter new home sales reversed the U.S. Dollar fortunes by prompting a strong dollar rally. Asian currencies continued to display resilience and gave up little ground despite U.S. Dollar strength elsewhere, and the Brazilian real continued to attract buying interest as the appetite for yield continued.

Reversing its January weakness, the U.S. Dollar showed strength in the first half of February and held onto its gains, with the dollar index finishing the month up nearly 1.3%. The euro was down approximately 2% against the U.S. Dollar, while the British pound fell by 1.4% and the Swiss franc lost 2.6% during the month. The Japanese yen rallied against the U.S. Dollar, gaining 1.2%. The Canadian dollar, while little changed relative to its U.S. cousin, gained nearly 2.2% against the euro but lost 1% against the yen.

Currency trading was more difficult in March, with the U.S. Dollar characterized by high volatility and little directional movement throughout the month. The euro was up 1.7% during the month, the British pound fell by 0.9%, and the Swiss franc gained 0.6% against the U.S. Dollar. The Japanese yen lost 1.7% against the U.S. Dollar in a volatile, range-bound month. The Canadian dollar had a more difficult time of it, losing 2.7% against the U.S. Dollar and losing 4.3% against the euro.

The U.S. Dollar broke from a trading range and plunged in the second half of April, with the dollar index losing 4% of its value by the end of the month. The British pound gained 5.1% against the greenback, the euro was up 4.3%, and the Japanese yen finished the month ahead by 3.5%. The Canadian dollar was up 4.7% against U.S. Dollar and up 0.3% against the euro.

The U.S. Dollar continued to weaken during the first half of May and then remained in a narrow range for rest of the month, with the dollar index losing 1.6% of it’s value by the end of the month. The British pound gained 2.4% against the U.S. Dollar, the euro was up 1.4%, and the Japanese yen finished the month ahead by 1.1%. The Canadian dollar was up 1.3% against the U.S. Dollar and nearly unchanged against the euro.

With currency movements closely related to interest rates, the uncertainty in the interest rate outlook in June spilled over into the global currency markets. The U.S. Dollar broke out of a trading range and strengthened through most of June, but gave much of those gains back in the last three trading sessions of the month. The British pound lost 1.1% against the U.S. Dollar, the euro was off 0.1%, and the Japanese yen finished the month down by 2.0%. The Canadian dollar was down 1.3% against both the U.S. Dollar and the euro.

In spite of considerable volatility in the middle of the month that led to small losses in the Currency Series, currencies ended July mixed and little changed. While the British pound increased 1% against the U.S. Dollar, both the euro and Japanese yen were down 0.2%. The Canadian dollar was down 1.3% against U.S. Dollar and down 1.1% against the euro.

The Currency Series recovered strongly in August with profits in Class 2 of 2.29% and Class 1 of 2.03%. While the British pound climbed by 2% and the Japanese yen fell by 2.3%, the euro was little changed against the U.S. Dollar during August. In spite of a dramatic decline in crude oil prices, the Canadian dollar displayed real strength as it was up 2.5% against the U.S. Dollar and 2.1% against the euro.

The U.S. Dollar shirked off continuing structural imbalances and a cooling of the U.S. housing market to show surprising strength in September, gaining 1.1% for the month. The British pound fell 1.7%, the Japanese yen was down by 0.7%, and the euro declined by 1.1% against the U.S. Dollar. With a continuing drop in energy prices, the Canadian dollar was down 1.3% against the U.S. Dollar and 0.2% against the euro. The unexpected strength in the U.S. Dollar led to Class 1 and Class 2 losses of 1.51% and 1.29%, respectively.

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Currencies were highly correlated to interest rates in October. The U.S. Dollar index, mirroring the movements of U.S. interest rates, was 1.5% higher in the middle of the month, falling sharply to finish 0.75% lower. The British pound climbed 1.9%, the Japanese yen was up by 0.2%, and the euro increased by 0.7% against the U.S. Dollar. The Canadian dollar fell by 0.4% against the U.S. Dollar and 1.1% against the euro.

Traders punished the U.S. Dollar in November, driving the U.S. Dollar index down nearly 3% by the end of the month. The British pound climbed more than 3%, the Japanese yen was up nearly 1%, and the euro increased by 3.7% against the U.S. Dollar. The Canadian dollar fared poorly, falling by 1.6% against the U.S. Dollar and more than 5% against the euro.

After a sharp decline the previous month, the U.S. Dollar recovered in December, regaining about half of its November losses. Although European currencies vis-à-vis the U.S. Dollar were largely range-bound, a continuation of the November breakout in the euro-yen crossrate provided many profitable opportunities for traders. The British pound fell 0.4%, the Japanese yen was down 2.7%, and the euro decreased 0.3% against the U.S. Dollar. The Canadian dollar fell by 2.2% against the U.S. Dollar and 1.9% against the euro.

Dunn Series

The Dunn Series – Class 1 Net Asset Value decreased 11.4% for the twelve months ended December 31, 2006, net of fees and expenses; the Dunn Series – Class 2 Net Asset Value decreased 8.7% for the twelve months ended December 31, 2006.

The Dunn Series – Class 1 Net Decrease In Owners’ Capital Resulting From Operations was $6,526, or $9.92 per unit, for the twelve months ended December 31, 2006.

The Dunn Series – Class 2 Net Decrease In Owners’ Capital Resulting From Operations was $11,272, or $7.88 per unit, for the twelve months ended December 31, 2006.

For the twelve months ended December 31, 2006, the Dunn Series recorded net loss on investments of $18,613, net interest of $6,810, and total expenses of $5,995, resulting in a net decrease in Owners’ capital from operations of $17,798. The Net Asset Value per Unit, Class 1, decreased from $86.83 at December 31, 2005, to $76.91 as of December 31, 2006. The Net Asset Value per Unit, Class 2, decreased from $90.15 at December 31, 2005, to $82.27 as of December 31, 2006. Total Class 1 subscriptions for the twelve months were $0, and redemptions were $63,735. Total Class 2 subscriptions and redemptions for the twelve month period were $0 and $95,974, respectively. Ending Capital at December 31, 2006, was $123,164 for Class 1 and $28,770 for Class 2.

Dunn Series performance was negative in January. The strength in Global bond markets subsided in January as economic strength and a resurgence in energy prices dampened demand for fixed income investments. Concern about instability in Nigeria and the escalation of nuclear tension in Iran drove energy prices higher in January. The U.S. Fed raised its Fed Funds rate to 4.5% at Chairman Alan Greenspan’s last Fed meeting. Subtle changes in its accompanying statement after the rate hike suggest that the Fed may not be finished raising rates, but will likely be reactive going forward.

Dunn Series performance was negative again in February. Global fixed income prices continued to move lower during February benefiting predominately short fixed income positions. Several Fed governors cited continued strength in the U.S. economy, suggesting that the Fed will continue its tightening bias, with the goal of preemptively suppressing even the intimation of inflation. Short dollar positions suffered from expectations that still higher U.S. interest rates would strengthen the U.S. Dollar against most currencies.

Excellent performance in the interest rate sector in March led to Dunn Series gains in March, as Central Banks interest rate increases were the driving force for fixed income markets. The ECB, Bank of Canada, Swiss National Bank, Norges Bank (Norway) and the U.S. Federal Reserve all raised their respective overnight rates 25 basis points in March. Also, the BOJ officially ended its quantitative easing program which has been in place since March of 2001. Since that time, the BOJ has altered its basic monetary approach by targeting the base of money supply instead of short term interest rates. Although this does not necessarily imply there will be higher interest rates in Japan, it removes a significant obstacle in the path toward them.

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The Dunn Series gained in April, as short fixed income positions benefited from increasing yields. Participants expected the normalization of global monetary policy to continue, particularly outside the U.S. These same positions benefited from strong U.S. economic data in the form of March’s Producer Price Index and retail sales figures, pushing the long end of the U.S. yield curve above 5%. The Federal Open Market Committee (“FOMC”) minutes from the Fed’s March meeting suggested the Fed would possibly take a pause in their rate hike cycle. This news was viewed as dollar bearish, thus producing gains in predominantly long foreign currency positions. New all time highs in copper and crude oil led the metal and energy sectors gains.

The Dunn Series had negative performance in May. The FOMC raised its fed funds rate for the 16th time, as expected, to 5.0%. In its accompanying statement, the FOMC suggested future rate increases may yet be needed to address inflation risks, depending on economic outlook. Equity markets surrendered early month gains as inflation concerns gained steam after a strong U.S. Consumer Price Index (CPI) was released. This along with comments by several FOMC members expressing concern over levels of inflation in the U.S. brushed aside any notion of a FOMC pause in raising rates.

The Dunn Series had negative performance in June. Weaker than expected economic data, in the form of a sub-par U.S. unemployment report, boosted fixed income prices which, in turn led to losses in short U.S. bond positions. The program’s short U.S. Dollar positions suffered when, despite a 25 basis point increase in Refi rate by the ECB analysts interpreted ECB President Trichet’s post-ECB meeting comments as more of a wait-and-see approach to inflation-quenching rate hikes, in contrast to the FOMC’s more aggressive policy as reflected by now 17 consecutive rate hikes. The U.S. PPI and CPI numbers brought attention to the warnings of several FOMC members that inflation should be a concern, as both core numbers were again above the perceived Fed comfort level. This brought back into the spotlight the end of the month FOMC meeting, as expectations of another Fed rate hike gained momentum. The FOMC did not disappoint and raised the Fed Funds rate 25 bps to 5.25% on June 29th.

The Dunn Series was down in July. No single contract experienced a significant gain or loss but losing contracts outnumbered winning contracts 2 to 1. The BOJ raised its overnight rate by 25 basis points to 0.25% (from zero); this was the first rate hike in Japan in six years. The BOJ’s accompanying statement said further rate hikes would be gradual. Ben Bernanke testified that he expects core inflation and growth to moderate in coming quarters. Also the Peoples Bank of China raised its reserve requirement ratio to 0.5 percentage points, for the stated purpose of decelerating its economy, as days earlier China reported an annual GDP growth of 11.3%, year to year.

Losses continued in the Dunn Series in August. Small gains in interest rates, currencies and metals were offset by losses in agriculturals, stock indices and, in particular, energies. Currencies gains were mainly attributable to long British pound and short Japanese yen positions. The Bank of England surprised the market with a rate hike while the yen weakened on no rate hike from the BOJ. Interest rate gains were helped by our long 10-Year Japanese government bonds positions as Japan’s consumer price index was rebased (reformulated) and the predicted change in the CPI due to the rebasing was larger than expected. Losses experienced by the energy sector were primarily due to the sell off of natural gas after prices had peaked earlier this summer due to increased demand for electricity caused by a widespread heat wave. Strength early in the month in crude oil and related products—caused by Middle East conflict and the partial shut down of Prudhoe Bay oil field in Alaska gave way to weakness later in the month as cooler heads prevailed in the Middle East and the initial concerns regarding the Prudhoe Bay situation turned out to be overestimated, leading to net losses in long energy positions.

The return for the Dunn Series was negative in September. Energy prices continued to weaken this month, benefiting short positions. Bearish news of a substantial new oil field in the Gulf of Mexico and a mid-month OPEC meeting with no change in output quotas left crude prices $8 dollars a barrel lower on the month. The FOMC left rates unchanged for a second meeting in a row, but continued to have a tightening bias on the basis that some inflation risk remain. This coupled with weaker than expected economic data, produced losses in our fixed income positions. The Philadelphia Federal Reserve Bank business outlook survey showed manufacturing had slowed to 3-year lows in that region, and the August U.S. housing starts report was weaker than expected.

Energy prices continued weaker in October, benefiting short positions, as a worldwide decline in demand out-weighted any actual or perceived threat to oil supply and production, either by terrorist acts or announced plans by OPEC to lower members’ quotas. Gains in the energy sector were overcome by losses in interest rates futures contacts, both foreign and domestic. After months of a slow but steady decline in interest rate expectations, brought

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on, in part, by soft non-farm employment data, a quick sharp reversal of interest rates was experienced. This was attributable to a larger than anticipated adjustment to the preliminary estimate of Current Employment Statistics’ (CES) annual benchmark by the Bureau of Labor and Statistics (BLS), which is expected to add approximately 810,000 to the non-farm payroll, the largest upward revision ever.

After falling sharply early in the month, both U.S. and European interest rate futures recovered to finish November somewhat higher. Uncertainty over the timing and direction of future central bank moves in Japan, Europe, and the U.S. was reflected in the tepid performance of short-term rate futures. Overall, futures at the long end of the curve were stronger than their shorter brethren, continuing a trend that was started late last summer. Traders punished the U.S. Dollar in November, driving the U.S. Dollar index down nearly 3% by the end of the month. The British pound climbed more than 3%, the Japanese yen was up nearly 1%, and the euro increased by 3.7% against the U.S. Dollar. The Canadian dollar fared poorly, falling by 1.6% against the U.S. Dollar and more than 5% against the euro. American and European stock markets continued to show strength through most of the month of November, although a late-month decline erased much of those gains for the European markets. The S&P 500 finished the month up 1.6% and the NASDAQ Composite was higher by 2.7%. In Europe, futures on the German DAX finished the month up less than 1% after being ahead by more than 3% two weeks earlier. British FTSE futures were down 1%. Japanese Nikkei 225 futures had to rally sharply to overcome a 4% deficit and finished the month lower by only 1%. In November, energy markets continued the quiet range-bound trading experienced throughout the previous month. Crude oil finished the month up 4.4% at $64.62/bbl. Heating oil was up 6.6% and gasoline finished the month up 8.8%. Natural gas futures traded in a range, closing at the top of the range to finish November higher by 10.4%. (All prices based on February delivery.) February gold rallied late in the month to finish November up 6.5% at $653/oz. Silver continued to streak upward, climbing 13.5% during the month to $14.11/oz.,the highest monthly close in more than twenty years. Copper futures fell by 4.5%. (Silver and copper prices based on March delivery.) The corn and soybean markets continued upward, albeit not at the torrid pace of the previous month. March corn was up more than 16%, finishing November at $3.90/bu. Soybeans followed with a 7% gain. Wheat continued to consolidate, up 3.7%. The cattle complex was down slightly in a volatile market.

After peaking early in the month, both U.S. and European interest rate futures reversed and fell sharply across the entire curve throughout December, signaling the expectation of higher interest rates to come. The downward moves in the U.S. futures constituted a significant reversal of an uptrend that began last June. After a sharp decline the previous month, the U.S. Dollar recovered in December, regaining about half of its November losses. Although European currencies vis-à-vis the U.S. Dollar were largely range-bound, a continuation of the November breakout in the Euro-Yen crossrate provided many profitable opportunities for traders (see chart). The British pound fell 0.4%, the Japanese yen was down 2.7%, and the euro decreased 0.3% against the U.S. Dollar. The Canadian dollar fell by 2.2% against the U.S. Dollar and 1.9% against the euro. European stock markets outperformed their American counterparts in December. The S&P 500 finished the month up 1.2% and the NASDAQ Composite was lower by 0.7%. The blue-chip Dow Jones Industrial Index set several new all-time highs during the month, culminating with an intraday high of 1,250.15 and finishing the month up 2.0% at 1,246.32. In Europe, futures on the German DAX finished the month up just over 4% while French CAC-40 futures were up 3.9%. Japanese Nikkei 225 futures soared upward and finished the month higher by 6.3%. While crude oil and gasoline remained range-bound, warmer weather in the U.S. caused heating oil and natural gas prices to fall in December. Crude oil finished the month down 5.5% at $61.05/bbl. Heating oil dropped by 12.2% and gasoline finished the month down 6.1%. Natural gas futures plummeted to finish December lower by 29.2% (all prices based on February delivery). February gold remained range-bound in December, finishing down 2.3% at $638/oz. Silver gave up nearly half of its recent gains, falling by 8.4% during the month to $12.93/oz. Copper futures continued to correct against the long-term trend, finishing the month down 10.2%. The grains complex was choppy and range-bound in December, with little net movement by the end of the month. Cotton and cocoa were both up approximately 5% in an otherwise uneventful month.

Graham Series

The Graham Series – Class 1 Net Asset Value increased 2.2% for the twelve months ended December 31, 2006, net of fees and expenses; the Dunn Series – Class 2 Net Asset Value increased 5.3% for the twelve months ended December 31, 2006, net of fees and expenses.

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The Graham Series – Class 1 Net Increase In Owners’ Capital Resulting From Operations was $170,103 or $1.80 per unit, for the twelve months ended December 31, 2006.

The Graham Series – Class 2 Net Increase In Owners’ Capital Resulting From Operations was $86,726, or $4.52 per unit, for the twelve months ended December 31, 2006.

For the twelve months ended December 31, 2006, the Graham Series recorded net gain on investments of $508,040, net interest of $422,496, and total expenses of $673,707, resulting in a net increase in Owners’ capital from operations of $256,829. The Net Asset Value per Unit, Class 1, increased from $82.90 at December 31, 2005, to $84.70 as of December 31, 2006. The Net Asset Value per Unit, Class 2, increased from $85.73 at December 31, 2005, to $90.25 as of December 31, 2006. Total Class 1 subscriptions and redemptions for the twelve months were $1,316,260 and $1,137,106, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $507,096 and $316,931, respectively. Ending capital at December 31, 2006 was $5,991,337 for Class 1 and $2,049,495 for Class 2.

2006 began on a positive note, as the Graham Series recorded gains during the month of January. The U.S. Dollar experienced significant volatility during the month and moved sharply lower versus the major European currencies. The dollar fell to a 4-month low versus the euro amid continuing speculation concerning the direction of interest rates in the U.S. The global bond markets also experienced short-term price volatility, as global bond prices declined sharply amid ongoing inflationary concerns. The decline in prices led to rising yields, as the German bund and U.S. 10-Year Treasury note yields advanced 15 basis points and 12 basis points, respectively, during the month. Global equity prices continued to rally, as European and Japanese equity indices continued to trend higher despite significant mid-month price volatility resulting from a broad sell-off in Japan, a flurry of weak earnings reports, and higher energy prices. Commodities prices, particularly those in the energy and metals sectors, continued to rally amid lingering supply concerns linked to severe weather disruptions, labor unrest, and renewed inflationary fears. Most notably, copper and zinc posted record highs, gold rallied to a 25-year high, and coffee and sugar prices rose 10% and 23%, respectively.

In February, global bond markets experienced short-term volatility as prices were marginally lower amid ongoing speculation concerning global interest rates. The modest decline in prices led to higher yields, as the Japanese 10-Year Government bond and U.S. 10-Year Treasury note yield advanced 7 basis points and 5 basis points, respectively, during the month. European equity indices continued to rally following the release of better-than-expected earnings reports, while Japanese equity indices generally declined amid speculation that the BOJ may soon shift away from a long standing policy of extreme accommodation. Major equity indices in the U.S. were mixed as questions remain concerning the direction of U.S. interest rates. The U.S. Dollar experienced significant volatility during the month amid continuing uncertainty with respect to U.S. interest rates. Ultimately, the dollar rebounded from last month’s 4-month low to finish February at a 7-week high versus the euro. Energy prices declined sharply amid unseasonably warm weather in the U.S. and reports of ample inventories for the remainder of the winter season. Metals prices experienced significant volatility amid concerns that the bullish trends experienced in January may ultimately translate to increased supplies.

The first quarter of 2006 was positive for the Graham Series as strong gains in the interest rate sector led to a profitable March. Major global bond markets finished the month significantly lower amid ongoing speculation concerning higher global interest rates following the 15^th consecutive rate increase by the U.S. FOMC. The decline in global bond prices resulted in higher yields throughout Europe, Japan and the U.S. Major global equity indices in the U.S. and Europe finished the month higher as equity prices rallied following the release of positive economic data in the U.S. In Japan, the Nikkei index surged more than 5% amid renewed optimism concerning the pace of Japanese economic growth. The U.S. Dollar experienced significant volatility and moved in a trading range versus major global currencies amid lingering concerns regarding higher global interest rates. The U.S. Dollar finished the month gaining 1% to 2% versus the yen and the sterling, while declining versus the euro and the Swiss franc. Energy prices finished the month higher amid weather-related concerns, declining inventories and continuing geopolitical unrest in the Middle East. Precious metals prices generally rallied as the price of gold approached $600 an ounce. Base metals also continued to rally as the price of zinc and copper again posted record highs, rising 13% and 11.5%, respectively.

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April proved to be a strong month for the Graham Series, largely due to significant profits from trends in the fixed income and metals markets. Major global bond markets continued to move lower amid ongoing speculation that the U.S. Fed, the ECB and the BOJ would continue to tighten global interest rates throughout the remainder of 2006. The decline in global bond prices continued to result in higher yields throughout the U.S., Europe and Japan. Major U.S. equity indices finished the month relatively mixed as the specter of higher interest rates and soaring energy prices ultimately weighed on U.S. equity markets. Elsewhere, European equity prices declined modestly amid sagging investor confidence in Germany, while the Nikkei posted 16-year highs before selling off in response to China’s decision to raise its benchmark interest rate. The U.S. Dollar declined sharply versus the major global currencies. The U.S. Dollar posted 11- month lows versus the euro and 3-month lows versus the Japanese yen amid ongoing speculation concerning higher global interest rates and renewed concerns regarding the long-term outlook for the U.S. Dollar. Crude oil prices posted record highs during the month amid continuing global unrest, increased demand among China and India, and reports of declining U.S. inventories. Natural gas prices, however, turned bearish, as mild weather and ample inventories led to a major sell off. In the metals markets, gold soared to 25-year highs, as investors sought refuge from a weakening U.S. Dollar, and base metals surged to multi-year highs amid increased industrial demand worldwide.

The favorable market conditions experienced throughout the first four months of 2006 abruptly gave way to a volatile and choppy environment during May, as renewed doubts concerning the U.S. economy and rising geopolitical tensions led to extremely difficult trading conditions during the latter half of the month. Losses for the month were primarily attributable to unexpected volatility within the global fixed income sector and a sharp and sudden decline in global equity prices. Major global bond markets experienced significant volatility during the latter half of the month, as the release of weaker-than-expected economic data triggered renewed uncertainty concerning the strength of the U.S. economy and the pace of U.S. Fed policy. Global bond yields finished the month relatively mixed, as yields in the U.S. rose slightly while those in Japan and Europe declined. Major global equity indices finished the month markedly lower amid growing economic uncertainty and rising geopolitical tensions. In the U.S., the NASDAQ declined 6%, the S&P 500 fell 3%, and the Dow Jones Industrial Average lost nearly 2%. Elsewhere, the EuroStoxx 50 declined more than 5% while the Nikkei plunged 8.5%. The U.S. Dollar continued to decline versus the major global currencies. The dollar posted 12-month lows versus the euro and 8-month lows versus the Japanese yen, as recent economic data continued to foster a sense of pessimism concerning the long-term outlook for the dollar. Energy prices retreated slightly from record highs amid rising U.S. inventories and easing demand forecasts. In the metals markets, the price of gold posted 26-year highs as investors continued to seek solace from a weakening dollar and rising global tensions, while the price of copper, nickel and zinc surged between 12% and 17%, respectively, amid increased industrial demand worldwide.

The considerable uncertainty which plagued the global markets during June resulted in difficult trading conditions. Losses for the month were primarily attributable to an increase in volatility across the global equity, fixed income, currency and commodities markets, as growing economic uncertainty and rising geopolitical tensions roiled global markets. Major global bond markets continued to experience significant volatility during the month. The release of stronger-than-expected economic data contributed to a sharp mid-month sell-off in the U.S. Treasury market, only to be followed by a late-month rally amid renewed optimism concerning a temporary pause in the U.S. rate tightening cycle following the FOMC’s decision to raise interest rates to 5.25%. Global bond yields generally finished the month higher throughout Europe and Japan. Major global equity indices extended losses early in the month amid inflationary fears and lingering concerns regarding the potential for higher global interest rates. Prices soon reversed, however, as the prospect of a temporary pause in the U.S. rate tightening cycle spurred prices higher late in the month. The U.S. Dollar rallied versus many of the major global currencies, rebounding from 12-month lows versus the euro and 8-month lows versus the Japanese yen. The U.S. Dollar’s rally proved to be rather short-lived, however, as renewed speculation concerning U.S. interest rate policy led to a modest decline from its intra-month highs. The commodities markets experienced significant volatility during the month. Metals prices declined precipitously for most of the month, only to subsequently rally amid rising geopolitical tensions and renewed global demand concerns. The energy markets experienced similar volatility, as seasonal demand concerns and continued unrest in the Middle East at times spurred prices higher, while increased inventories and renewed diplomatic initiatives often dragged prices lower. Many of the agricultural markets also experienced significant volatility during the month.

The unusually difficult trading conditions encountered since May continued throughout July, as the Graham Series experienced losses for the month. The specter of economic uncertainty in the U.S. and expanding hostilities globally continued to plague many global markets, resulting in excessive price volatility across nearly all market sectors. Major global bond markets experienced significant volatility during the latter half of the month, as the release of

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weaker-than-expected economic data triggered renewed uncertainty concerning the strength of the U.S. economy and the pace of U.S. Fed policy. Global bond yields finished the month relatively mixed, as yields in the U.S. rose slightly while those in Japan and Europe declined. Major global equity indices continued to experience significant volatility during the month. Although many global equity markets declined sharply mid-month amid growing inflationary fears and widening global conflict, equity prices generally rallied later in the month as weaker-than-expected second quarter economic data calmed interest rates concerns. The U.S. Dollar finished the month mixed versus many of the major global currencies. The dollar experienced a decidedly turbulent month in the wake of conflicting economic data and shifting global tensions, initially posting near 3-month highs versus the euro, the Japanese yen and the Swiss franc, only to reverse sharply lower. The dollar finished the month with only modest gains versus the euro, the yen and the franc, and experienced fairly significant declines versus the Mexican peso, the South African rand, the Australian dollar and the British pound. Weather-related concerns, global unrest and economic uncertainty wreaked havoc on the commodity markets, resulting in excessive volatility across the energy, metals and agricultural sectors. Natural gas prices surged nearly 35% as temperatures throughout much of the U.S. soared to triple-digit heights, while crude oil prices posted record highs amid the outbreak of fighting in Lebanon. Metals prices proved exceedingly volatile in response to changing demand forecasts, while many of the agricultural markets ebbed and flowed in response to seasonal factors.

The economic and geopolitical uncertainty which clouded the global landscape for much of the previous three months continued into August. Losses during August were primarily attributable to trading in the global fixed income markets, with smaller losses experienced across the global equity index, currency, soft commodities, and agricultural markets. A portion of the portfolios’ overall losses for the month was offset by gains attributable to emerging trends across the energy markets as prices declined sharply.

The economic and geopolitical uncertainty gave way to a more favorable climate during September. Profitable trading opportunities re-emerged across the equity, global fixed income, and commodity markets, as market participants began to forego rumor and conjecture in favor of a renewed emphasis on existing fundamentals. Major global bond markets generally advanced during the month amid ongoing speculation concerning the relative strength of the world’s major industrial economies and the future direction of global interest rates. The U.S. Treasury market continued to march higher, as relatively mild inflation readings and a deepening slump in the housing sector reinforced the prevailing notion that U.S. monetary policy will remain unchanged through the end of the year. European and Japanese bonds generally moved higher, despite indications from both the ECB and the BOJ that further rate hikes may be imminent. Global bond yields generally moved lower, as the yield of the benchmark 10-year U.S. Treasury note shed 9 basis points to finish the month at the lowest levels since late-February, while the yields of the euro bund and the Japanese government bond shed 6 basis points and 2 basis points, respectively. Major global equity indices finished the month decidedly higher as declining bond yields and falling energy prices spawned the rebirth of investor optimism. In the U.S., the NASDAQ, Dow Jones Industrial Average, and S&P 500 recorded gains of 3.4%, 2.6%, and 2.5%, respectively, as investors generally ignored signs of a cooling U.S. economy and focused on the potential for a more favorable interest rate environment in the months ahead. Elsewhere, the EuroStoxx 50 advanced in line with U.S. equity markets, gaining 2.4%, while the Nikkei concluded the month essentially unchanged. The U.S. Dollar strengthened versus many of the major global currencies during September, although the currency markets continued to be characterized by a relatively low volatility trading environment. Conflicting U.S. economic data and cautionary statements from both the ECB and the BOJ led many market participants to speculate concerning the future of interest rate differentials among the world’s leading industrial nations. The dollar recorded its largest monthly gain versus the euro since February, and advanced versus each of the Japanese yen, Swiss franc, British pound, and Australian dollar. Relative to other currencies, the dollar also experienced gains versus the Mexican peso, the Canadian dollar, and the South African rand. The commodity markets continued to experience significant volatility throughout the month. Energy prices continued to fall amid improving supply and demand fundamentals and severe price dislocations. Natural gas prices tumbled in excess of 30%, while crude oil prices declined approximately 10%. Gold prices shed nearly 5% in the wake of a stronger U.S. Dollar and a rally in global equity prices, and base metal prices generally declined amid waning global demand. Soft commodities and agricultural markets similarly experienced a significant degree of short-term price volatility during the month in response to a variety of seasonal factors.

October proved to be a profitable month for the Graham Series, as the favorable market conditions that re-emerged during September continued through much of October. Significant profits were recorded from trading in the global equity indices, as the bullish trend in global equity prices continued unabated. Smaller gains were experienced across the metals, energy, and soft commodities markets, as many commodity markets continued to trend in line with

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existing market fundamentals. Losses experienced in the global fixed income markets and, to a lesser extent, the currency and agricultural markets, offset much, if not all, of each portfolio’s gains.

The Graham Series recorded solid gains during November. Graham’s programs experienced profits across the global equity index, global fixed income, and currency markets, capitalizing on a variety of broad-based trends, including the rally in U.S. equity indices, the decline in global bond yields, and the weakening U.S. Dollar. Smaller gains were also experienced from trading in the agricultural markets as grain prices continued to march higher amid supply concerns. Losses experienced across the energy, metals, and soft commodities markets offset a portion of each portfolio’s overall gain for the month.

The Graham Series continued to record gains during December. Graham’s trend based programs experienced profits across the global equity and currency markets. Smaller gains were also experienced across the energy complex as recent bearish trends in energy prices continued. A portion of the overall gain for the month was offset by losses experienced across the global fixed income markets as global bond prices generally reversed recent bullish trends and moved lower during December.

Long Only Commodity Series

The Long Only Commodity Series commenced operations on February 24, 2006. The Long Only Commodity Series – Class 1 Net Asset Value lost 4.6% from the start of operations through December 31, 2006, net of fees and expenses; the Long Only Commodity Series – Class 2 Net Asset Value lost 2.9% from the start of operations through December 31, net of fees and expenses.

The Long Only Commodity Series – Class 1 Net Decrease In Owners’ Capital Resulting From Operations was $285,460, or $4.55 per unit, for the period from commencement of operations through December 31, 2006.

The Long Only Commodity Series – Class 2 Net Decrease In Owners’ Capital Resulting From Operations was $33,281, or $2.87 per unit, for the period from commencement of operations through December 31, 2006.

For the period from commencement of operations through December 31, 2006, the Long Only Commodity Series recorded net loss on investments of $415,739, net interest of $231,248, and total expenses of $134,250, resulting in a net decrease in Owners’ capital from operations of $318,741. The Net Asset Value per Unit, Class 1, decreased from $100.00 at the beginning of operations to $95.45 as of December 31, 2006. The Net Asset Value per Unit, Class 2, decreased from $100.00 at the beginning of operations to $97.13 as of December 31, 2006. Total Class 1 subscriptions and redemptions for the period from commencement of operations through December 31, 2006 were $4,836,308 and $229,384, respectively. Total Class 2 subscriptions and redemptions for the period from commencement of operations through December 31, 2006 were $280,659 and $131,977, respectively. Ending capital at December 31, 2006 was $4,321,464 for Class 1 and $115,401 for Class 2.

Both the Reuters/Jefferies-CRB and Jefferies-CPI indices were up strongly in March, leading to a positive month and first quarter for the Long-Only Series.

Gains in metals and energy resulted in a strong performance in April. Crude oil futures followed through on the previous month’s breakout, peaking at more than $75/bbl before pulling back to finish the month at $71.88/bbl, up 5.8%. Heating oil and gasoline continued trending upward, with the latter peaking just above $2.20/gal and closing the month at $2.09/gal. Lack of demand continued to push natural gas lower, falling more than 11% during April. Copper continued its meteoric rise in April, with the July contract gaining more than 31% to close the month at $3.22/lb. Most other base metals moved higher in April, as well. In precious metals, the June gold contract tacked on 11.5% to finish at $654/oz. Silver prices plunged on April 20, losing more than 17% in a single day and causing many to wonder if the party was over. It recovered toward the end of the month, however, and finished higher by 17.4% to $13.63/oz. While most soft commodities were range-bound and directionless during April, cotton prices continued a downtrend begun in February and dropped another 5.3%.

Performance was mixed in May. Crude oil futures were volatile, finishing the month at $71.29/bbl, down $5 from the intraday high on May 2. Heating oil and gasoline were both range-bound with high volatility, finishing the month little changed from April’s close. Natural gas futures prices continued to fall, losing more than 6% during the month. The metals markets have been overheated for weeks, and prices peaked on May 11 and beat a hasty retreat after that.

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In spite of the reversal and a drop of 10% from the intraday high, copper finished the month 12% higher. In precious metals, the August gold contract lost $87 from the May 11 high to finish at $649/oz. Silver prices ended at $12.45/oz., down 8.6% from the April close. Grains were mixed in April, with wheat breaking out of a trading range, but unable to follow through. Cattle heated up, reversing a downtrend and moving impressively upward through the month, while coffee lost ground, finishing the month down 9.4%.

Energy futures continued to be volatile in June, with crude oil finishing the month at $73.93/bbl, up $1.64 from May’s close. Heating oil was nearly unchanged, and gasoline was up $0.14/gal to $2.22/gal. Natural gas futures prices continued to fall, losing nearly 8% during the month. Precious metals prices continued to fall in the first days of the month. Prices moved up after that, although not enough to recover the earlier losses. Copper finished the month 6.5% lower. The August gold contract was lower by 5.1% to finish at $616/oz. September silver prices ended at $10.92/oz., down 13.1% from the May close and off 27.2% from the May 11 high. The grain complex displayed volatile prices with little directional movement. Cattle futures continued to move upward in June. Cocoa futures broke out of a trading range and moved sharply upward.

Energy futures continued to be volatile in July, with tropical weather concerns and Middle East conflict pushing crude oil to an intraday high of nearly $80/bbl in the middle of the month. Prices then retreated sharply to finish July little changed at $74.40/bbl. Heating oil was down just over 2% and gasoline was up slightly to $2.21/gal. With a midsummer heat wave gripping most of the U.S., demand for electricity to drive air conditioners drove natural gas futures sharply higher, up nearly 29% by the end of the month. Metals prices began to recover in July. Copper finished the month 6.4% higher. The December gold contract was higher by 2.8% to finish at $646.80/oz. September silver prices ended at $11.37/oz., up 4.1%. After streaking upward in June, cattle futures took a breather and consolidated their gains in July. The grains complex was uneventful during the month, with the exception of soybean meal, which broke sharply out of a trading range and continued down. Following a sharp run-up in the previous four weeks, cocoa prices collapsed on July 17, losing 9% in one day.

Energy futures fell across the board in August, coming off all-time highs in crude oil prices in July. The apparent end to the most recent Middle East war combined with a milder-than-expected hurricane season through August allowed crude oil prices to fall more than 7.1% to $70.26/bbl. Heating oil was down just over 4.6% and gasoline fell by 15% to $1.78/gal. With the summer heat wave abating, natural gas futures fell sharply, down 28% by the end of the month. Although gold prices fell slightly to $634/oz, silver futures were higher by 13% to $13.03/oz. Copper futures were range-bound, finishing the month off 1.6%. Feeder cattle was up only slightly, but live cattle futures climbed steadily and finished the month higher by nearly 5%. Lean hogs climbed by more than 8% during August. Corn and the soybean complex declined steadily during the month, while wheat finished up slightly to $4.22/bu. Orange juice prices hit a 14-year high, topping out at $1.85/lb.

Energy futures continued to fall sharply in September. Crude oil fell nearly 12% to $62.91/bbl. Heating oil was down just over 15.2% and gasoline fell by 13.6% to $1.55/gal. Natural gas futures set new two-year lows, down 31.7% by the end of the month. Precious metals prices fell in September, with gold down 4.7% to $604/oz and silver lower by 11.4% to $11.54/oz. Copper futures continued to be range-bound, finishing the month little changed. After setting new contract highs early in the month, cattle futures fell in September. While corn and wheat broke out to the upside, soybeans continued to exhibit range-bound trading. Sugar and cotton prices continued to fall, while orange juice prices also backed off from the 14-year highs set in the previous month, falling 6.3%.

Crude oil prices continued to fall in October, down 8.4% to $58.73/bbl. Heating oil was down 8.0% and gasoline fell by 15 cents/gal in the last four trading sessions to finish the month off 10.1% to $1.43/gal. Natural gas futures traded in a range, consolidating recent declines to end October up 2.5%. Gold traded in a tight range in October, finishing the month little changed at $606/oz. Silver began to recover from its steep September decline, climbing 6% during the month to $12.27/oz. Copper futures continued to be range-bound, finishing the month down 3.3%. The big story of the month was the grain markets, which broke to the upside in a long-awaited rally driven by fundamentals. December Corn shot up 22%, finishing October at $3.21/bu. Soybeans followed with a 14.6% gain and wheat turned in a 9% increase during the month. Rounding out the soybean complex, soybean meal and soybean oil both showed double-digit increases. Feeder cattle continued to fall sharply, down more than 6%. Orange juice futures were up more than 16% in one day on October 12 after a bullish government report.

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In November, energy markets continued the quiet range-bound trading experienced throughout the previous month. Crude oil finished the month up 4.4% at $64.62/bbl. Heating oil was up 6.6% and gasoline finished the month up 8.8%. Natural gas futures traded in a range, closing at the top of the range to finish November higher by 10.4%. February gold rallied late in the month to finish November up 6.5% at $653/oz. Silver continued to streak upward, climbing 13.5% during the month to $14.11/oz., the highest monthly close in more than twenty years. Copper futures fell by 4.5%. The corn and soybean markets continued upward, albeit not at the torrid pace of the previous month. March corn was up more than 16%, finishing November at $3.90/bu. Soybeans followed with a 7% gain. Wheat continued to consolidate, up 3.7%. The cattle complex was down slightly in a volatile market.

While crude oil and gasoline remained range-bound, warmer weather in the U.S. caused heating oil and natural gas prices to fall in December. Crude oil finished the month down 5.5% at $61.05/bbl. Heating oil dropped by 12.2% and gasoline finished the month down 6.1%. Natural gas futures plummeted to finish December lower by 29.2%. February gold remained range-bound in December, finishing down 2.3% at $638/oz. Silver gave up nearly half of its recent gains, falling by 8.4% during the month to $12.93/oz. Copper futures continued to correct against the long-term trend, finishing the month down 10.2%. The grains complex was choppy and range-bound in December, with little net movement by the end of the month. Cotton and cocoa were both up approximately 5% in an otherwise uneventful month.

Long/Short Commodity Series

The Long/Short Commodity Series commenced operations on February 24, 2006. The Long/Short Commodity Series – Class 1 Net Asset Value gained 0.4% from the start of operations through December 31, 2006, net of fees and expenses; the Long/Short Commodity Series – Class 2 Net Asset Value gained 2.9% from the start of operations through December 31, 2006, net of fees and expenses.

The Long/Short Commodity Series – Class 1 Net Increase In Owners’ Capital Resulting From Operations was $188,968, or $0.42 per unit, for the period from commencement of operations through December 31, 2006.

The Long/Short Commodity Series – Class 2 Net Increase In Owners’ Capital Resulting From Operations was $74,086, or $2.93 per unit, for the period from commencement of operations through December 31, 2006.

For the period from commencement of operations through December 31, 2006, the Long/Short Commodity Series recorded net gain on investments of $711,340, net interest of $883,143, and total expenses of $1,398,261, resulting in a net increase in Owners’ capital from operations of $263,054 after minority interests of ($66,832). The Net Asset Value per Unit, Class 1, increased from $100.00 at the beginning of operations to $100.42 as of December 31, 2006. The Net Asset Value per Unit, Class 2, increased from $100.00 at the beginning of operations to $102.93 as of December 31, 2006. Total Class 1 subscriptions and redemptions for the period from commencement of operations through December 31, 2006 were $19,594,958 and $305,331, respectively. Total Class 2 subscriptions and redemptions for the period from commencement of operations through December 31, 2006 were $2,698,810 and $75,414, respectively. Ending capital at December 31, 2006 was $19,478,595 for Class 1 and $2,697,482 for Class 2.

The energy and commodities sectors led the way in March as the Long-Short Commodity Series got off to a strong start.

In April, crude oil futures followed through on the previous month’s breakout, peaking at more than $75/bbl before pulling back to finish the month at $71.88/bbl, up 5.8%. Heating oil and gasoline continued trending upward, with the latter peaking just above $2.20/gal and closing the month at $2.09/gal. Lack of demand continued to push natural gas lower, falling more than 11% during April. Copper continued its meteoric rise in April, with the July contract gaining more than 31% to close the month at $3.22/lb. Most other base metals moved higher in April as well. In precious metals, the June gold contract tacked on 11.5% to finish at $654/oz. Silver prices plunged on April 20, losing more than 17% in a single day. It recovered toward the end of the month, however, and finished higher by 17.4% to $13.63/oz. While most soft commodities were range-bound and directionless during April, cotton prices continued a downtrend which began in February and dropped another 5.3%.

Performance was negative in May. Crude oil futures were volatile and difficult to trade, finishing the month at $71.29/bbl, down $5 from the intraday high on May 2. Heating oil and gasoline were both range-bound with high volatility, finishing the month little changed from April’s close. Natural gas futures prices continued to fall, losing more than 6% during the month. The metals markets have been overheated for weeks, and prices peaked on May 11

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and beat a hasty retreat after that. In spite of the reversal and a drop of 10% from the intraday high, Copper finished the month 12% higher. In precious metals, the August gold contract lost $87 from the May 11 high to finish at $649/oz. Silver prices ended at $12.45/oz., down 8.6% from the April close. Grains were mixed in April, with wheat breaking out of a trading range, but unable to follow through. Cattle heated up, reversing a downtrend and moving impressively upward through the month. Coffee lost ground, finishing the month down 9.4%.

Energy futures continued to be volatile and difficult to trade in June, with crude oil finishing the month at $73.93/bbl, up $1.64 from May’s close. Heating oil was nearly unchanged, and gasoline was up $0.14/gal to $2.22/gal. Natural gas futures prices continued to fall, losing nearly 8% during the month. Precious metals prices continued to fall in the first days of the month, with longs apparently capitulating on June 13. Prices moved up after that, although not enough to recover the earlier losses. Copper finished the month 6.5% lower. The August gold contract was lower by 5.1% to finish at $616/oz. September silver prices ended at $10.92/oz., down 13.1% from the May close and off 27.2% from the May 11 high. The grain complex was just as difficult as every other sector in June, with wheat, corn, and soybeans all displaying volatile prices with little directional movement from which to profit. Cattle futures continued to move upward in June, providing one of very few directional opportunities during the month. Cocoa futures broke out of a trading range and moved sharply upward.

Energy futures continued to be volatile and difficult to trade in July, with tropical weather concerns and Middle East conflict pushing crude oil to an intraday high of nearly $80/bbl in the middle of the month. Prices then retreated sharply to finish July little changed at $74.40/bbl. Heating oil was down just over 2% and gasoline was up slightly to $2.21/gal. With a midsummer heat wave gripping most of the U.S., demand for electricity to drive air conditioners drove natural gas futures sharply higher, up nearly 29% by the end of the month. Metals prices began to recover in July, although elevated volatility continued to provide a difficult environment for traders. Copper finished the month 6.4% higher. The December gold contract was higher by 2.8% to finish at $646.80/oz. September silver prices ended at $11.37/oz., up 4.1%. After streaking upward in June, cattle futures took a breather and consolidated their gains in July. The grains complex was uneventful during the month, with the exception of soybean meal, which broke sharply out of a trading range and continued down. Following a sharp run-up in the previous four weeks, cocoa prices collapsed on July 17, losing 9% in one day.

Energy futures fell across the board in August, coming off all-time highs in crude oil prices in July. The apparent end to the most recent Middle East war combined with a milder-than-expected hurricane season through August allowed crude oil prices to fall more than 7.1% to $70.26/bbl. Heating oil was down just over 4.6% and gasoline fell by 15% to $1.78/gal. With the summer heat wave abating, natural gas futures fell sharply, down 28% by the end of the month. Although gold prices fell slightly to $634/oz, silver futures were higher by 13% to $13.03/oz. Copper futures were range-bound, finishing the month off 1.6%. Feeder cattle was up only slightly, but live cattle futures climbed steadily and finished the month higher by nearly 5%. Lean hogs climbed by more than 8% during August. Corn and the soybean complex declined steadily during the month, while wheat finished up slightly to $4.22/bu. Orange juice prices hit a 14-year high, topping out at $1.85/lb.

Energy futures continued to fall sharply in September. Crude oil fell nearly 12% to $62.91/bbl. Heating oil was down just over 15.2% and gasoline fell by 13.6% to $1.55/gal. Natural gas futures set new two-year lows, down 31.7% by the end of the month. Precious metals prices fell in September, with gold down 4.7% to $604/oz and silver lower by 11.4% to $11.54/oz. Copper futures continued to be range-bound, finishing the month little changed. After setting new contract highs early in the month, cattle futures fell in September. While corn and wheat broke out to the upside, soybeans continued to exhibit range-bound trading. Sugar and cotton prices continued to fall, while orange juice prices also backed off from the 14-year highs set in the previous month, falling 6.3%.

Crude oil prices continued to fall in October, down 8.4% to $58.73/bbl. Heating oil was down 8.0% and gasoline fell by 15 cents/gal in the last four trading sessions to finish the month off 10.1% to $1.43/gal. Natural gas futures traded in a range, consolidating recent declines to end October up 2.5%. Gold traded in a tight range in October, finishing the month little changed at $606/oz. Silver began to recover from its steep September decline, climbing 6% during the month to $12.27/oz. Copper futures continued to be range-bound, finishing the month down 3.3%. The big story of the month was the grain markets, which broke to the upside in a long-awaited rally driven by fundamentals. December Corn shot up 22%, finishing October at $3.21/bu. Soybeans followed with a 14.6% gain and wheat turned in a 9% increase during the month. Rounding out the soybean complex, soybean meal and soybean oil both showed double-digit increases. Feeder cattle continued to fall sharply, down more than 6%. Orange juice futures were up more than 16% in one day on October 12 after a bullish government report.

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In November, energy markets continued the quiet range-bound trading experienced throughout the previous month. Crude oil finished the month up 4.4% at $64.62/bbl. Heating oil was up 6.6% and gasoline finished the month up 8.8%. Natural gas futures traded in a range, closing at the top of the range to finish November higher by 10.4%. (All prices based on February delivery.) February gold rallied late in the month to finish November up 6.5% at $653/oz. Silver continued to streak upward, climbing 13.5% during the month to $14.11/oz., the highest monthly close in more than twenty years. Copper futures fell by 4.5%. The corn and soybean markets continued upward, albeit not at the torrid pace of the previous month. March corn was up more than 16%, finishing November at $3.90/bu. Soybeans followed with a 7% gain. Wheat continued to consolidate, up 3.7%. The cattle complex was down slightly in a volatile market.

While Crude oil and gasoline remained range-bound, warmer weather in the U.S. caused heating oil and natural gas prices to fall in December. Crude oil finished the month down 5.5% at $61.05/bbl. Heating oil dropped by 12.2% and gasoline finished the month down 6.1%. Natural gas futures plummeted to finish December lower by 29.2%. February gold remained range-bound in December, finishing down 2.3% at $638/oz. Silver gave up nearly half of its recent gains, falling by 8.4% during the month to $12.93/oz. Copper futures continued to correct against the long-term trend, finishing the month down 10.2%. The grains complex was choppy and range-bound in December, with little net movement by the end of the month. Cotton and cocoa were both up approximately 5% in an otherwise uneventful month.

Managed Futures Index Series

The Managed Futures Index Series commenced operations on February 24, 2006. The Managed Futures Index Series – Class 1 Net Asset Value lost 3.3% from the start of operations through December 31, 2006, net of fees and expenses; the Managed Futures Index Series – Class 2 Net Asset Value lost 1.6% from the start of operations through December 31, 2006, net of fees and expenses.

The Managed Futures Index Series – Class 1 Net Decrease In Owners’ Capital Resulting From Operations was $11,220, or $3.25 per unit, for the period from commencement of operations through December 31, 2006.

The Managed Futures Index Series – Class 2 Net Decrease In Owners’ Capital Resulting From Operations was $841, or $1.57 per unit, for the period from commencement of operations through December 31, 2006.

For the period from commencement of operations through December 31, 2006, the Managed Futures Index Series recorded net loss on investments of $118,380, net interest of $285,909, and total expenses of $179,590, resulting in a net decrease in Owners’ capital from operations of $12,061. The Net Asset Value per Unit, Class 1, decreased from $100.00 at the beginning of operations to $96.75 as of December 31, 2006. The Net Asset Value per Unit, Class 2, decreased from $100.00 at the beginning of operations to $98.43 as of December 31, 2006. Total Class 1 subscriptions and redemptions for the period from commencement of operations through December 31, 2006 were $602,781 and $91,491, respectively. Total Class 2 subscriptions and redemptions for the period from commencement of operations through December 31, 2006 were $53,500 and $0, respectively. Ending capital at December 31, 2006 was $500,070 for Class 1 and $52,659 for Class 2.

Trading activity in the Managed Futures Index Series began in late April 2006. Performance in April and May was positive. June performance, as expected, reflected the performance of the industry as a whole and was down for the month.

Net performance in the third quarter was negative, as losses in the currency and interest rate sectors dominated performance. As has been the case all year, the currency sector was negatively affected by range-bound trading during the third quarter. A strong performance in the energy sector in September made it the most profitable since the Series began trading in April. Currencies is the most negative sector, reflecting the difficult trading conditions that have affected many trading advisors since before the beginning of the year.

It was a roller-coaster ride for U.S. interest rate futures in October, with prices falling in the first half of the month and climbing sharply in the last five sessions to finish little changed for the month. European rate futures at the long end of the curve behaved similarly. Shorter European rate futures, however, continued to fall throughout the month, signaling the expectation of more ECB rate hikes to come. Currencies were highly correlated to interest rates in

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October. The U.S. Dollar Index, mirroring the movements of U.S. interest rates, was 1.5% higher in the middle of the month, falling sharply to finish 0.75% lower. The British pound climbed 1.9%, the Japanese yen was up by 0.2%, and the euro increased by 0.7% against the U.S. Dollar. The Canadian dollar fell by 0.4% against the U.S. Dollar and 1.1% against the euro. In spite of an end-of-month retracement, stock indices around the world continued a steady upward climb in October, finishing significantly higher. The S&P 500 finished the month up 3.2% and the NASDAQ Composite was higher by 4.8%. In Europe, futures on the German DAX climbed by 4.0% and British FTSE futures were up by 2.3%. Japanese Nikkei 225 futures finished the month higher by 1.6%. Crude oil prices continued to fall in October, down 8.4% to $58.73/bbl. Heating oil was down 8.0% and gasoline fell by 15 cents/gal in the last four trading sessions to finish the month off 10.1% to $1.43/gal. Natural gas futures traded in a range, consolidating recent declines to end October up 2.5%. Gold traded in a tight range in October, finishing the month little changed at $606/oz. Silver began to recover from its steep September decline, climbing 6% during the month to $12.27/oz. Copper futures continued to be range-bound, finishing the month down 3.3%. The big story of the month was the grain markets, which broke to the upside in a long-awaited rally driven by fundamentals. December corn shot up 22%, finishing October at $3.21/bu. Soybeans followed with a 14.6% gain and wheat turned in a 9% increase during the month. Rounding out the soybean complex, soybean meal and soybean oil both showed double-digit increases. Feeder cattle continued to fall sharply, down more than 6%. Orange juice futures were up more than 16% in one day on October 12 after a bullish government report.

After falling sharply early in the month, both U.S. and European interest rate futures recovered to finish November somewhat higher. Uncertainty over the timing and direction of future central bank moves in Japan, Europe, and the U.S.was reflected in the tepid performance of short-term rate futures. Overall, futures at the long end of the curve were stronger than their shorter brethren, continuing a trend that was started late last summer. Traders punished the U.S. Dollar in November, driving the U.S. Dollar Index down nearly 3% by the end of the month. The British pound climbed more than 3%, the Japanese yen was up nearly 1%, and the euro increased by 3.7% against the U.S. Dollar. The Canadian dollar fared poorly, falling by 1.6% against the U.S. Dollar and more than 5% against the euro. American and European stock markets continued to show strength through most of the month of November, although a late-month decline erased much of those gains for the European markets. The S&P 500 finished the month up 1.6% and the NASDAQ Composite was higher by 2.7%. In Europe, futures on the German DAX finished the month up less than 1% after being ahead by more than 3% two weeks earlier. British FTSE futures were down 1%. Japanese Nikkei 225 futures had to rally sharply to overcome a 4% deficit and finished the month lower by only 1%. In November, energy markets continued the quiet range-bound trading experienced throughout the previous month. Crude oil finished the month up 4.4% at $64.62/bbl. Heating oil was up 6.6% and gasoline finished the month up 8.8%. Natural gas futures traded in a range, closing at the top of the range to finish November higher by 10.4%. February gold rallied late in the month to finish November up 6.5% at $653/oz. Silver continued to streak upward, climbing 13.5% during the month to $14.11/oz.,the highest monthly close in more than twenty years. Copper futures fell by 4.5%. The corn and soybean markets continued upward, albeit not at the torrid pace of the previous month. March corn was up more than 16%, finishing November at $3.90/bu. Soybeans followed with a 7% gain. Wheat continued to consolidate, up 3.7%. The cattle complex was down slightly in a volatile market.

After peaking early in the month, both U.S. and European interest rate futures reversed and fell sharply across the entire curve throughout December, signaling the expectation of higher interest rates to come. The downward moves in the U.S. futures constituted a significant reversal of an uptrend that began last June. After a sharp decline the previous month, the U.S. Dollar recovered in December, regaining about half of its November losses. Although European currencies vis-à-vis the U.S. Dollar were largely range-bound, a continuation of the November breakout in the euro-yen crossrate provided many profitable opportunities for traders. The British pound fell 0.4%, the Japanese yen was down 2.7%, and the euro decreased 0.3% against the U.S. Dollar. The Canadian dollar fell by 2.2% against the U.S. Dollar and 1.9% against the euro. European stock markets outperformed their American counterparts in December. The S&P 500 finished the month up 1.2% and the NASDAQ Composite was lower by 0.7%. The blue-chip Dow Jones Industrial Index set several new all-time highs during the month, culminating with an intraday high of 1250.15 and finishing the month up 2.0% at 1246.32. In Europe, futures on the German DAX finished the month up just over 4% while French CAC-40 futures were up 3.9%. Japanese Nikkei 225 futures soared upward and finished the month higher by 6.3%. While Crude oil and gasoline remained range-bound, warmer weather in the U.S. caused heating oil and natural gas prices to fall in December. Crude oil finished the month down 5.5% at $61.05/bbl. Heating oil dropped by 12.2% and gasoline finished the month down 6.1%. Natural gas futures plummeted to finish December lower by 29.2%. (All prices based on February delivery.) February gold remained range-bound in December, finishing down 2.3% at $638/oz. Silver gave up nearly half of its recent gains, falling by 8.4% during the month to $12.93/oz. Copper futures continued to correct against the long-term trend, finishing the month down 10.2%. The grains complex was choppy and range-bound in December, with little net movement by the end of the month. Cotton and cocoa were both up approximately 5% in an otherwise uneventful month.

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Year Ended December 31, 2005

Balanced Series

The Balanced Series – Class 1 Net Asset Value decreased 1.4% for the twelve months ended December 31, 2005, net of fees and expenses; the Balanced Series – Class 2 Net Asset Value increased 1.8% for the twelve months ended December 31, 2005, net of fees and expenses.

The Balanced Series – Class 1 Net Increase/(Decrease) In Owners’ Capital Resulting From Operations was $5,634,669, or ($1.45) per unit, for the twelve months ended December 31, 2005.

The Balanced Series – Class 2 Net Increase In Owners’ Capital Resulting From Operations was $1,409,858, or $1.88 per unit, for the twelve months ended December 31, 2005.

For the twelve months ended December 31, 2005, the Balanced Series recorded net gain on investments of $13,418,243, net interest of $1,010,834, and total expenses of $6,659,562, resulting in a net increase in Owners’ capital from operations of $7,044,527 after minority interests of ($724,988). The Net Asset Value per Unit, Class 1, decreased from $106.03 at December 31, 2004, to $104.58 at December 31, 2005. For Class 2, the Net Asset Value per Unit decreased from $106.85 at December 31, 2004, to $108.73 at December 31, 2005. Total Class 1 subscriptions and redemptions for the twelve months were $100,673,862 and $3,339,477, respectively. Total Class 2 subscriptions and redemptions for the twelve month period were $18,337,828 and $19,407,697, respectively. Ending capital at December 31, 2005, was $114,741,316 for Class 1 and $21,224,912 for Class 2.

The first quarter of 2005 was difficult for the managed futures industry as a whole, and the Balanced Series was no exception. Reversals and range-bound trading in stock indices, currencies, and interest rate futures hampered performance, as trend-following programs suffered through unfavorable market conditions. Energy was the sole significant profit-generating sector, but profits in this area could only temper the otherwise poor performance.

The second quarter started badly, as broad-based losses in stock index futures throughout the world combined with losses from the energy sector to drag April performance down. Metals and currencies also contributed losses. Interest rates and the currency sector contributed significant profits throughout the rest of the quarter, more than making up for the poor beginning and leading to a profitable quarter for the Balanced Series.

The world’s equity markets recovered quickly from the London bombings and rallied throughout July, showing unexpected strength. Balanced Series trading advisors reaped significant profits from the stock index sector throughout the third quarter. The energy sector was also profitable in the third quarter, as an uptrend in prices accelerated with the arrival of Hurricane Katrina. Heavy losses in the interest rate sector, however, pulled performance into negative territory for the quarter.

Metals and stock indices were star performers in the fourth quarter, as accelerating bull markets in both precious and base metals combined with rising prices in overseas stock markets to push the Balanced Series units into positive territory for the year. Losses continued in the interest rate sector, as traders had to deal with relatively large daily ranges and reversals in the longer U.S. Treasury futures.

Winton Series (formerly the Beach Series)

The Beach Series – Class 1 Net Asset Value increased 5.6% for the twelve months ended December 31, 2005, net of fees and expenses; the Beach Series – Class 2 Net Asset Value increased 8.8% for the twelve months ended December 31, 2005, net of fees and expenses.

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The Beach Series – Class 1 Net Increase In Owners’ Capital Resulting From Operations was $241,432, or $5.92 per unit, for the twelve months ended December 31, 2005.

The Beach Series – Class 2 Net Increase In Owners’ Capital Resulting From Operations was $11,807, or $9.43 per unit, for the twelve months ended December 31, 2005.

For the twelve months ended December 31, 2005, the Beach Series recorded net gain on investments of $365,856, net interest of $16,877, and total expenses of $129,494, resulting in a net increase in Owners’ capital from operations of $253,239. The Net Asset Value per Unit, Class 1, increased from $106.01 at December 31, 2004, to $111.93 as of December 31, 2005. The Net Asset Value per Unit, Class 2, increased from $106.84 at December 31, 2004, to $116.27 as of December 31, 2005. Total Class 1 subscriptions for the twelve months were $1,398,568, and redemptions were $81,685. Total Class 2 subscriptions and redemptions for the twelve month period were $71,500, and $83,490, respectively. Ending capital at December 31, 2005, was $2,047,247 for Class 1 and $178,306 for Class 2.

After ending 2004 on a nine-year low the U.S. Dollar Index rebounded sharply in the first week of January as the currency made over 3% against the Swiss Franc and the Euro. The U.S. Dollar had plunged in the 4th quarter on the back of concerns over the U.S. balance of payments and the Bush administration’s seeming indifference to the currency’s decline. The prospect of future interest rate hikes upset the U.S. stock markets and all the indices declined. Base Metals also reacted to the currency moves, with aluminum falling over 6% on the month. Bond markets continued to exhibit an unusual degree of independence and for most part maintained relatively narrow trading ranges. Other Commodities put in a small gain due to short positions in Soybeans and Wheat.

In February, the Stock Index sector had a good month with the majority of markets moving higher. The Hang Seng was the best performing market. February was a quiet month in the Interest Rates sector, while good performance came from Eurodollar positions. Oil prices headed higher during February, generating profits in Heating Oil and Brent Crude. The Metals sector was the best performing sector with both base metals and precious metals moving higher. Silver climbed over 10% during the month. Currencies had a mixed month. Base and Precious metals performed well as prices moved higher during the month.

March 2005 started well with the trends of February following through to the first half of the month. The final two weeks of the month saw reversals of these trends leading to an overall loss in the Series. The global equity markets started declining mid month, particularly in the USA as investors became increasingly nervous about the Fed’s ongoing policy of interest rate increases and the erosion of corporate profits resulting from rising energy and other commodity prices. The European and Far East markets were not immune to the decline as investors are becoming more sensitive to weak economic data from these regions. A rate increase by the Federal Open Market Committee saw the U.S. Dollar move sharply higher against the European and Asian / Pacific currencies, affecting long Euro and British pound positions. The interest rate hike was also felt in the Other Commodities sector as both base (with the exception of Aluminum) and Precious Metals fell following the news. Energy markets had a sharp sell off but ended the month higher with Gasoline leading the way as, from a futures prospective, the summer driving season is approaching in the USA. Energy was the best sector with good profits in Gasoline and Heating Oil. Currencies lost money as the U.S. Dollar surged higher following the U.S. rate hike. Aluminum performed well in the Metals sector but the gains were offset by losses in Gold and Silver.

Markets remained very volatile and counter trending over the month of April leading to losses in the Beach Series. Energy reversed its recent gains as Heating Oil and Unleaded Gasoline fell sharply during the month. In the Metals sector Aluminum was hit the hardest as significant producer selling came into the market. Indices, with a few exceptions, declined during the month with the Nikkei recording a new low for the year. Fixed Income yields declined significantly across the maturity and geographic spectrum in April with the exception of the short end in the USA. The markets focused on the disappointing IFO business climate index for Germany combined with a possible no vote in the upcoming European referendums on the European constitution. In Japan, an unexpectedly weak CPI and Tokyo department store sales drove the yield on the JGB lower. In the Currency sector, Yen strength generated losses as the market focused on continuing U.S. efforts to persuade the Chinese to let the Renminbi float or at least appreciate vis-à-vis the dollar.

Early May saw a continuation of the difficult trading conditions prevalent in earlier months. The second half of the month saw an improvement in performance as the U.S. Dollar climbed through its previous high for the year,

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performing the best relative to the European currencies but also making gains against the major Asia/Pacific Currencies. The Stock Index sector suffered on the back of short NASDAQ positions as equity markets rallied. Fixed Income yields extended the decline that began in mid-March with the move being most dramatic at the long end of the European and North American markets. Gasoline and Crude drifted lower during the month causing the Energy sector to make a loss on the month. Other Commodities were slightly negative as profits in Soybean Meal, Feeder Cattle and London Coffee were offset by losses in Corn and Soybean Oil.

The Beach Series was profitable in June, with performance primarily coming from the Financial sectors. The Currency sector benefited mainly from positions in the Yen and the Euro as the U.S. Dollar strengthened during the early part of the month. European and Asia / Pacific equity indices moved higher despite rising energy costs. The FTSE and the IBEX Index in Spain were the best performing markets in that sector. Fixed income yields extended their declines during the month, with profits coming from positions both at the long end and the short end with the Bund and Short Sterling being the main drivers. Energy prices continued to rise during the month as market participants continued to believe that OPEC did not have the ability to hold prices below $50 per barrel through increased production. Gasoline was the best performing market in June. The Commodity sector was disappointing, both base and precious metals put in a mixed performance with Gold and Copper rising but Silver and Nickel falling. The Soybean complex was affected by weather implications as the market watched to see what the impact of the various hurricanes would be.

The main story for July was the dramatic move in Bond yields in the USA. The initial catalyst appears to have been a stronger-than-expected June ISM Purchasing Managers Survey which drove 10-year Treasury yields back above 4.0%. Other positive surprises throughout the month bolstered the economy - Retail Sales and University of Michigan confidence were notable examples. The improved outlook for the economy helped push the S&P to its best level in over 4 years. European & Asia/Pacific Indices also moved substantially higher during the month as upbeat economic data and generally positive second quarter earnings reports fed the market. The U.S. Dollar maintained a broad consolidation range for most of the month. Metals and Commodities had a quiet month. Stock Indices were the best performers with profits coming from the European and Far East Indices. In the Interest Rate sector losses came from positions in T-Bonds and Euribor.

The primary factor in August was the large upward move in energy prices toward the end of the month. The DJ-AIG Index jumped 5.9% on August 29th when Hurricane Katrina hit the Gulf Coast, shutting off 1.4 million barrels per day of oil production and 8.3 billion cubic feet of natural gas production. Global equity markets exhibited an increased sensitivity to rising energy prices earlier in the month and therefore declined. Japan proved an exception, recording meaningful gains after a surprisingly upbeat report from the BOJ and a sharp rise in machinery orders. The U.S. Dollar Index declined over 1% in August; the main beneficiaries being the European currencies. Profits in the Beach Series came primarily from the Energy Sector with Unleaded Gasoline being the main performance driver. Currencies was the poorest-performing sector with the main loss coming from a British Pound position.

Global Stock Indices provided the main performance in September. Whilst the U.S. Stock Indices were generally lower on the month, European and Asian markets surged higher. The Currency sector also had a good month as the Dollar Index erased its August decline. The U.S. Dollar, which had fallen on the back of rising oil prices, rallied as these settled down. European currencies also took an additional knock after Angela Merkel failed to win a decisive majority in the German Elections. In the Currency sector, the portfolio’s positions in the Canadian $ and Euro performed well.

October saw sharp reversals in Stock Indices. Short-term trading signals were used to avoid giving back the bulk of the gains made in October. Interest Rates had a profitable month on the back of positions in the Bund and Eurodollars. Yen positions continued to perform well but Canadian dollar positions gave back some of their gains. Energy prices continued to drift lower as the restoration of Mexican Gulf production and refining capacity is progressing. Heating Oil inventories, which will become increasingly important as winter approaches, have continued to tighten to seasonal averages. The Metal sector performed well as Zinc and Copper climbed higher. Other Commodities had a relatively flat month, Grains and Oilseeds, as a sector, fell during October whilst Foods and Softs moved higher.

November was a strongly positive month for the Beach Series. The benefits of diversification showed through as strong performance came from a number of different sectors. The U.S. Dollar performed well with the Dollar Index climbing to a new high for the year. The Japanese Yen also broke it’s 2004 low vs. the U.S. Dollar along with the

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Euro, British pound and Swiss franc. After selling off in October, Stock Indices dramatically reversed course in November, with the strongest gains coming from the Asia/Pacific region. The Financials sector had a quiet month. Metals, both precious and base, performed well, with Gold and Copper being the main performance drivers of the sector. Other Commodities also put in a good performance on the month. Sugar continued on it’s upward trend and was the best performing market in the Soft’s sector.

December saw a continuation of the upward move in Stock Indices in Europe and Asia as investor confidence grew. Gains in the U.S. were the smallest among the developed nations with the Dow Jones Industrial Index remaining unchanged. The Japanese TOPIX index was the best performer in the Stock Indices sector. In the Currency sector, Japanese Yen positions suffered a sharp reversal towards the middle of the month, when the BOJ released the latest Tankan report showing significant improvement in private companies compared to previous reports. In the Interest Rate sector; steady tightening by the Fed generally put upward pressure on the short end of the yield curve. Longer maturities, however, did not respond to the degree that might have been expected. The divergence between short and long term maturities was most obvious in the U.S. where the spread narrowed substantially. The Metals sector continued to perform well as both base and precious metals moved higher during the month. Gold moved above $500 per ounce for the first time since 1987. Gold and Zinc were the main profit drivers in the Metals sector. Energy prices moved generally higher during the month. Other Commodities put in a good performance on the back of positions in Sugar.

Campbell/Graham Series

The Campbell/Graham Series commenced operations on February 11, 2005. The Campbell/Graham Series – Class 1 decreased 5.7% for the period since commencement of operations through December 31, 2005, net of fees and expenses; the Campbell/Graham Series – Class 2 decreased 3.2% for the period since commencement of operations through December 31, 2005, net of fees and expenses.

The Campbell/Graham Series – Class 1 Net Increase/(Decrease) In Owners’ Capital Resulting From Operations was $310,014, or ($5.70) per unit, for the twelve months ended December 31, 2005.

The Campbell/Graham Series – Class 2 Net Increase/(Decrease) In Owners’ Capital Resulting From Operations was $94,562, or ($3.17) per unit, for the twelve months ended December 31, 2005.

For the period from commencement of operations through December 31, 2005, the Campbell/Graham Series recorded net gain on investments of $645,656, net interest of $126,602, and total expenses of $731,047, resulting in a net increase in Owners’ capital from operations of $404,576 net of minority interests of $363,365. The Net Asset Value per Unit, Class 1, decreased from $100.00 at commencement of operations on February 11, 2005, to $94.30 as of December 31, 2005. The Net Asset Value per Unit, Class 2, decreased from $100.00 at commencement of operations on February 11, 2005, to $96.83 as of December 31, 2005. Total Class 1 subscriptions for the period since commencement of operations to December 31, 2005 were $21,748,476, and redemptions were $497,000. Total Class 2 subscriptions and redemptions for the period since commencement of operations to December 31, 2005 were $2,751,994, and $0, respectively. Ending capital at December 31, 2005, was $21,561,490 for Class 1 and $2,846,556 for Class 2.

A difficult interest rate environment caused losses at the longer end of the curve in February 2005. Trending conditions in the equity index, zinc, and copper markets resulted in profits that offset much of the portfolio’s losses during the month. The rally in the U.S. Dollar failed early in February and the dollar ended the month lower. However, small gains on our short dollar positions were offset by losses in cross currency pairs, resulting in negative performance in the currency sector overall.

There were mixed results in March, as the theme of range-bound, choppy markets continued in most sectors. Profits were primarily in the Interest Rate sector, as both short-term and long-term positions proved profitable, and the Energy sector where crude and products prices made new highs. Losses in the Stock Index and Currency sectors combined to drag overall performance negative for the month.

The U.S. Dollar ended the month only slightly higher, but Currencies was the best performing sector in April. Fixed Income instruments continued the rally which began in late March and were also slightly profitable. The Energy

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sector, one of our best performers in March, was the worst performer in April, as Crude Oil prices fell by almost $8 a barrel. Equity Indices were also negative with stock prices ending lower following sharp declines mid-month.

The Campbell-Graham Series’ May performance was strong, with higher returns resulting primarily from positive performance in Currencies and Interest Rates. The apparent breakdown of the EU constitutional ratification process was a key development late in the month causing investors to readjust their expectations for the Euro. The shift in favor of the U.S. Dollar topped off a six week rally that led the greenback to its highest levels since before the U.S. elections in 2004. The Fixed Income sector was the best performer in May. The markets’ sharp response to economic and political events during the course of the month evidenced a certain degree of investor surprise.

The Campbell-Graham Series reported another month of strong returns in June, as a surge in global volatility continued to fuel strong performance. Substantial moves in the currency, fixed income and energy markets were the primary profit drivers. The most profitable sector was Currency, as the U.S. Dollar rose sharply in June to new six-month highs. The Euro continued to slide during the month following the rejection of the proposed European constitution by French and Dutch voters.

July results were mixed for the Campbell-Graham Series. Markets were rattled following the Chinese currency revaluation, but much of the initial decline in the U.S. Dollar was recovered the following day. Equity markets ended the month broadly higher and were the most profitable sector while the Interest Rates sector traded lower and generated the largest losses. Energy markets traded lower early in the month, but ended near all-time highs and at a small profit for long positions. July returns demonstrated the virtue of diversification as some of the best performing sectors year-to-date posted losses, while the most difficult sector this year (Equities) delivered the best return in July. August was a disappointing month in which sharp trend reversals occurred in each of the major financial sectors, resulting in significant losses. Currencies was the worst performing sector. The U.S. Dollar peaked at the end of July, then reversed sharply and traded close to its recent lows at the end of August. A similar reversal occurred in the Interest Rates sector, resulting in losses at both ends of the yield curve. Equities trended higher in July, but record energy prices caused a sharp sell-off and erased the gains, with performance nearly flat in this sector. Energy was the only profitable sector of note in August.

The Campbell-Graham Series reported positive returns in September as many of the trends in the major financial sectors resumed their course. The same sectors that reversed so sharply in August were the most profitable for September, while Energy, the most profitable sector in August, made losses in September as crude oil prices finally settled lower. The U.S. Dollar rallied strongly from the start of the month following the late-August sell-off, and again approached the highs for the year. Although some cross currency trades generated losses, the Currency sector proved profitable overall. Even more profitable for the Series was the Stock Index sector, as global equity markets also finished mostly higher.

October results were positive, as the Interest Rate and Currencies sectors provided strong returns. The fixed income sector was profitable as inflation fears fueled a sell-off in bonds and interest rates moved higher across the whole yield curve. The currency markets also delivered solid gains as the U.S. Dollar continued to show strength. The energy markets ended lower, resulting in some losses, but the biggest losses were in the equity indices as stock prices declined sharply. Profits were recorded in base metals due to ongoing bullish trends in zinc and copper and bearish trends in nickel.

November was another profitable month for the Campbell-Graham Series. Currencies was the most profitable sector as the U.S. Dollar continued to strengthen against the Euro and the Yen. The major theme continued to be the rising U.S. interest rate differentials and the persistent weakness of the Yen. Energy prices continued their slide in November with warmer than normal weather in many regions of the country. This was good news for energy consumers, but generated losses for long energy positions. Metals were slightly profitable, with Copper rising to new all-time highs and Gold closing over $500 per ounce.

Short-term volatility in the Currencies and Interest Rate sectors generated losses in December, as the U.S. Dollar moved sharply lower. The Japanese Yen was in decline against most other currencies all year, but reversed sharply in December as new economic data finally turned positive. Gains in global equity indices and metals offset a portion of the losses for the month. These smaller gains resulted from continued bullish trends in equity indices and metals.

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Currency Series (formerly the C-View Currency Series)

The Currency Series – Class 1 decreased 4.9% for the twelve months ended December 31, 2005, net of fees and expenses; the Currency Series – Class 2 decreased 2.0% for the twelve months ended December 31, 2005, net of fees and expenses.

The Currency Series – Class 1 Net Increase/(Decrease) In Owners’ Capital Resulting From Operations was ($5,524), or ($5.01) per unit, for the twelve months ended December 31, 2005.

The Currency Series – Class 2 Net Increase/(Decrease) In Owners’ Capital Resulting From Operations was ($6,155), or ($2.05) per unit, for the twelve months ended December 31, 2005.

For the twelve months ended December 31, 2005, the Currency Series recorded net loss on investments of $5,175, net interest of $3,370, and total expenses of $10,669, resulting in a net decrease in Owners’ capital from operations of $11,679 net of minority interests of $795. The Net Asset Value per Unit, Class 1, decreased from $102.67 at December 31, 2004, to $97.66 as of December 31, 2005. The Net Asset Value per Unit, Class 2, decreased from $103.47 at December 31, 2004, to $101.42 as of December 31, 2005. Total Class 1 subscriptions and redemptions for the twelve months ending December 31, 2005 were $303,197, and $37,497, respectively. Total Class 2 subscriptions and redemptions were $2,005,000 and $375,000, respectively, for the twelve months ending December 31, 2005. Ending capital at December 31, 2005, was $276,762 for Class 1 and $2,065,914 for Class 2.

Performance was nearly flat in January as the first week of the month saw a sizeable recovery in the U.S. Dollar with the Euro registering its greatest decline in one week since inception. The sharp U.S. Dollar recovery did not suit the currency positions and it was this and the decline in the value of some of the cross currency strategies that caused the first few days of the year to be negative. The Series experienced successful trading of Swiss Franc versus GB Sterling and U.S. Dollar against the Japanese Yen, but had losses in Euro against GB Sterling and GB Sterling against the dollar.

February was an inconclusive month in the Foreign Exchange market. In the early part of the month the U.S. Dollar continued the recovery which had commenced in January. However, and in spite of generally good economic numbers out of the U.S., the U.S. Dollar commenced a decline from higher levels in the middle of the month. The continued appreciation of Asian currencies contributed to gains and the Series generated positive returns in positions long of New Zealand $, Philippine Peso, Singapore $, Taiwan $. These gains were somewhat offset by a loss in U.S. Dollar versus Indonesian Rupiah. In short term trading strategies there were solid gains in Euro versus the U.S. Dollar, GB Pound versus the U.S. Dollar and in Euro versus Swiss Franc. There were losses in U.S. Dollar and GB Pound versus Japanese Yen and Australian $ versus the U.S. Dollar.

In March, the competing influences of the weight of the U.S. trade, current account and budget deficits (having a negative effect on the U.S. Dollar) and steadily increasing U.S. interest rates and lackluster economic performance elsewhere in the Euro zone and Japan (having a positive effect on the U.S. Dollar) failed to be resolved . The result of this was that U.S. Dollar weakness in the early part of the month was followed by some strengthening toward the end of the month. The rising oil price was considered by the markets at the margin to be U.S. Dollar positive. From a portfolio perspective, the Series experienced losses in U.S. Dollar versus Indonesian Rupiah and U.S. Dollar versus Taiwan Dollar. There were gains in U.S. Dollar versus New Zealand $, Philippine Peso and Polish Zloty but these were partially offset by a loss in U.S. Dollar versus Singapore $.

The release of U.S. economic data throughout April, although relatively poor, was offset by weaker economic numbers from the Euro zone, leaving the foreign exchange market to drift fairly aimlessly throughout the month. Concern about upward pressures on U.S. rates continued in the early part of April, causing liquidation of minor currency yield positions and leading to increased volatility in those markets. The possibility of a peg adjustment from China continued, but mitigating this were concerns about higher rates which meant that volatility remained high in the regional currencies, especially the Asian pairings. This resulted in some appreciation of the Japanese Yen. The whipsaw actions that were evident across the markets in general caused losses in the Series.

May started with a repeat of the range bound trading conditions experienced for most of the early part of 2005 but became quite different due to two factors. First, an improvement in the economic data out of the U.S. coincided with

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further evidence that the Euro zone economy was at best limping along. Secondly, and more importantly, the prospect and then the reality of the French Referendum on the European Constitution proved a catalyst for markets to reassess the prospects for the Euro zone from a political as well as economic perspective. This prompted a fall in the Euro toward the end of the month and underscored U.S. Dollar strength in general. After a mediocre start to the month, where range bound markets made it difficult to generate consistent revenues from both a portfolio and short term perspective, the decline in the Euro and GB Pound and the associated U.S. Dollar strength generated profits later in the month.

In June, the U.S. Dollar continued the rally that started in April. However, the move higher was not as impulsive as many commentators expected. A further rate rise from the FOMC and an unchanged bias provided further incentive for U.S. Dollar buying. In spite of this and talk of rate cuts in Euroland, however, a break of the psychological 1.20 level in Eur/Usd proved elusive. Economic data out of the U.S. was on the whole positive while European figures remained weak, and the negative sentiment regarding EU continued. In the Latin sphere the Brazilian Real continued to attract the yield hunters despite talk of increased U.S. Dollar buying interest from the Central Bank for the remainder of 2005. Despite a fairly strong start to the month, shorter-term trading struggled, and consequently the overall returns for the month were merely satisfactory rather than exceptional.

Cyclical data out of the U.S. remained robust in July, which had the effect of keeping equities near their four year highs and prompting bond yields higher. In spite of this, the U.S. currency struggled to post any new gains. There was continued talk within the FX market that reserve management / diversification had started to cap dollar strength, and the euphoric forecasts of sustained U.S. Dollar strength began to fade towards the end of the month. The long awaited announcement from the Chinese on the loosening of its exchange rate regime had a limited impact and there was some disappointment within the market with the lack of reaction from other Asian units, especially the Japanese Yen, as upcoming political worries in respect of the Postal Vote damaged positive Yen sentiment. As in June, the month started strongly. As the momentum in the strength of the dollar subsided, however, some gains were given up and the remainder of the month provided less opportunity with the market becoming range bound.

August proved to be an uninspiring month for the Foreign Exchange market with range trades holding sway for the most part. The exception to this theme was predominately the Asian currency block. Despite the continued, positive improvement in the Nikkei, the Japanese Yen weakened after the Japanese government’s defeat in the postal vote. The price of crude also had a positive influence on the Norwegian Kroner, while on the negative side it also contributed to an 8% decline in the value of the Indonesian Rupiah. The Currency Series performance for August was somewhat disappointing because after a robust beginning they experienced a number of trading setbacks caused by short term moves.

Early September trading was heavily impacted by the arrival of Hurricane Katrina and the subsequent devastation in Louisiana. The resultant spike in the price of crude oil, along with perceived poor response from the Bush Administration, prompted a sell-off in the U.S. Dollar. Elsewhere, while the Japanese Yen, Indonesian Rupiah and Korean Won also weakened with the rise in Crude Oil, the major beneficiary was the Canadian Dollar, which continued to show fundamental strength on the back of higher energy and commodity prices. In the UK, economic data continued to show a soft tone increasing concerns about the future strength of the economy. Overall Currency Series trading results for September were disappointing, as traders were unable to capitalize on a robust start.

October was characterized by volatility in the currency markets with a distinct lack of any direction. Fundamentals continued to be subjugated to interest differentials as the key driver of moves. The most notable theme through the month was weakness in the Japanese yen despite favorable data. Economic output from the Eurozone continued to cause concern while North American data remained, on the whole, positive. Canadian data especially continued to show signs of strength, and the Canadian Dollar was further supported by robust commodity and energy prices. For the Currency Series, October was a disappointing month. It was an unusual situation in which both portfolio and short term trading experienced losses.

The U.S. Dollar continued to strengthen in November. Comments from ECB president, Trichet, virtually ensured a rate hike in early December, but also suggested that this could well be the first in a series of tightening moves, prompting a sharp rally in the Euro. Elsewhere, the Japanese Yen continued to weaken despite a strong equity market and continued signs that the domestic economy was improving, and the Canadian dollar showed further strength brushing aside political concerns. Yield plays continued dominate as the other majors remained within recent ranges. Overall results for the month were negative.

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There was a move toward risk aversion in December, as a number of the yield plays that had dominated throughout 2005 reversed quite sharply due to profit-taking. A major driver was the reduction in Japanese Yen short positioning and the associated adjustments in Yen cross positioning against the other G10 currencies. Allied to this there was a general strengthening of Asian currencies, a theme which continued to benefit the Series. The major yield currencies gave up some of the gains of the previous months and the Brazilian Real weakened more than 8% from its highs. Moves were somewhat exacerbated because of liquidity declines in the face of the approaching holiday period. The Series had positive performance for the month.

Dunn Series

The Dunn Series – Class 1 Net Asset Value decreased 17.3% for the twelve months ended December 31, 2005, net of fees and expenses; the Dunn Series – Class 2 Net Asset Value decreased 14.8% for the twelve months ended December 31, 2005.

The Dunn Series – Class 1 Net Increase/(Decrease) In Owners’ Capital Resulting From Operations was ($21,985), or ($18.13) per unit, for the twelve months ended December 31, 2005.

The Dunn Series – Class 2 Net Increase/(Decrease) In Owners’ Capital Resulting From Operations was ($361,172), or ($15.62) per unit, for the twelve months ended December 31, 2005.

For the twelve months ended December 31, 2005, the Dunn Series recorded net loss on investments of $389,573, net interest of $20,588, and total expenses of $14,172, resulting in a net decrease in Owners’ capital from operations of $383,157. The Net Asset Value per Unit, Class 1, decreased from $104.96 at December 31, 2004, to $86.83 as of December 31, 2005. The Net Asset Value per Unit, Class 2, decreased from $105.77 at December 31, 2004, to $90.15 as of December 31, 2005. Total Class 1 subscriptions for the twelve months were $117,793, and redemptions were $19,430. Total Class 2 subscriptions and redemptions for the twelve month period were $5,061 and $1,784,495, respectively. Ending Capital at December 31, 2005, was $193,425 for Class 1 and $136,016 for Class 2.

The Dunn Series experienced losses in January. Gains in U.S. and non-US interest rates were cancelled out by losses in equities and energies leaving the choppy currency market to dominate the month’s results as foreign currencies sold off against the dollar. These moves were largely supported by comments made by Secretary Snow that the Administration wants a strong dollar, adding that the focus will be on deficit reduction and other steps to sustain the dollar’s strength. These comments caught many investors off guard as most market participants expected the dollar to continue declining as it did in 2004. Energies bottomed out early in the month, largely supported by production cuts that were enacted in early January by OPEC producers. Continued tensions in Iraq, particularly the assassination of the Governor of Baghdad and impending elections at the end of the month kept an added premium in the market. Bonds staged a comeback in January, as December’s Non-Farm Payroll numbers were mostly in line with expectations. The economic releases pointed to growth, but inflation and inflationary expectations seemed to be in check. Stocks gave back most of their December gains.

February was another disappointing month for the Dunn Series on losses in the Currencies and Interest Rate sectors. In February, the Fed raised the Fed Funds rate by 25 basis points to 2.5% as expected. The dollar showed strength earlier in the month on Greenspan’s comments that market forces may be on the verge of stabilizing the current account deficit. Bush’s budget forecast also appeared to boost the dollar. The strong dollar trend reversed sharply late in the month largely due to the rumor that South Korea was diversifying its foreign reserves out of dollars and into other currencies creating fear that Japan and China would follow suit.

March continued a string of disappointing performance in the Dunn Series. A strong February non-farm payroll and surging raw commodity prices pressured the U.S. Treasury market, providing positive traction to short U.S. sovereign debt positions. Also, the Federal Open Market Committee raised the fed funds rate another 25 basis points as expected. Interest rate differentials helped the dollar stage a rally mid-month as the ECB and the Bank of England passed on raising rates at their monthly meeting. This resulted in losses in short non-U.S. interest rate positions and long foreign currency positions. Even though OPEC increased its production quota by 500,000 barrels per day, crude oil prices kept their torrid pace, and profits in the Energy sector offset losses in the financial sectors. The first quarter was characterized by choppy and range-bound markets, with little in the way of extended trends from which to profit.

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Strong gains in non-U.S. sovereign debt sector were insufficient to offset losses in others sectors for April. Energy prices weakened in response to build-ups in oil stocks coupled with downgraded forecasts of oil demand by the International Energy Agency. Softer economic data, including a weaker than expected non-farm payroll print, facilitated a U.S. Treasury market rally, which pressured short U.S. sovereign debt positions. Currency markets continued to look for direction as interest rate differentials and a revaluation of the Yuan in China continue to be the focus.

The U.S. Fed raised its overnight lending rate to 3.0% during May while the Bank of England and the ECB both left their rates unchanged. The Dunn Series benefited from long U.S. and foreign bond positions, and short foreign currency positions, as the dollar’s rally against the Euro, Swiss Franc and Japanese Yen continued in May. France’s decision not to ratify the European Union constitution also undermined the Euro. May’s strong performance cut the year-to-date deficit in the Dunn Series approximately in half.

The Dunn Series was profitable again in June. The words of various central bankers spoke louder than any concrete actions, but seemingly were sufficient to propel global fixed income markets higher. First, comments by U.S. Fed (Fed) member Richard Fisher suggested that the Fed was nearing the end of its rate hike cycle. This was followed by a statement from the ECB’s chief economist, Otmar Issing, that the markets almost always correctly predicted the ECB’s actions, suggesting that a rate cut was in the cards for the European Union (EU), particularly after Sweden’s central bank, the Riksbank, cut its repo rate by 50 basis points. The Bank of England’s minutes from its June monetary policy meeting showed that two of its nine members voted to cut rates at its last meeting. Currency markets continued to see the dollar rally as the possibility of lower rates in the EU and UK coupled with the expectation of at least one more rate hike in the U.S. favored the greenback. Currencies and Interest Rates were the primary profit drivers in June.

The Dunn Series performance was negative in July. Stronger than expected economic data provided strength to global stock markets, adversely pressuring Dunn’s long global fixed income positions. In his semiannual testimony before Congress, Fed Chairman Alan Greenspan re-emphasized that the Fed’s outlook is one of sustained economic growth and contained inflationary pressures. The dollar moved somewhat higher during the month on expectations that the Fed would continue to increase the Fed Funds rate at future Federal Open Market Committee meetings, benefiting Dunn’s long dollar positions. The dollar’s strength was tested late in the month as China announced a revaluation of the Yuan. The revaluation, a higher Yuan versus the U.S. Dollar, was smaller than most had expected, only 2.1%. Energy prices firmed in July primarily on scattered refinery and production problems and continued terror concerns. While Currencies, Energy, and Stock Index sectors were all profitable, losses in the Interest Rate sector were enough to the monthly performance into the red.

Poor performance in the Currencies and Interest Rate sectors outweighed profits from the Energy sector to create net negative performance in August. A host of events, including the death of Saudi King Fahd, gasoline refining capacity problems, various acts of terror, and Hurricane Katrina contributed to rising energy costs. As a result, the program benefited from its pre-existing long energy positions. Unfortunately, these factors also convinced markets that the U.S. economy would slow, which was contrary to Dunn’s interest rate and currency positions. Performance in the stock index sector was positive, mainly on the strength of Japan’s improving economic outlook.

The Dunn Series experienced additional losses in September. The beginning of the month was distinguished by market expectations that interest rates would rise in the U.S. Accordingly, the many of the long U.S. (and foreign) sovereign debt positions were reduced. Later in the month the Fed did indeed raise the Federal Funds rate by 25 basis points to 3.75% as inflation concerns outweighed the potential for an economic slowdown. The Fed also said its policy is still accommodative and expected to continue raising rates at a measured pace. As Japan continues its path toward economic recovery and reform, the ruling Liberal Democratic Party handily won a majority of the seats in the lower house of the Diet. As a result, established long positions in the Japanese TOPIX and NIKKEI stock indices led the way in a profitable Stock Index sector. Losses in the Interest Rate sector brought overall performance down.

That same Interest Rate sector was the primary profit generator in October, as the Dunn Series was profitable to start the third quarter. Strong global economic data led to expectations of rising interest rates, benefiting predominantly

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short sovereign debt positions. Indications by various Fed officials that inflation levels were near the upper threshold gave credence to comments that a neutral monetary policy has not yet been achieved. Long energy positions suffered as inventories continued to build and demand slackened, softening prices in October.

The Dunn Series turned in a positive performance in November. As expected, the Fed raised its fed funds rate 25 basis points to 4.00%. This was the 12th consecutive rate hike in as many meetings. Despite the fact that the European and Japanese central banks are also considering future rate hikes, interest rate differentials continued to favor the U.S. Dollar, providing gains in predominantly short foreign currency positions. Global stock markets dismissed any notion of higher interest rates slowing their momentum, providing gains in the majority of the Series’ long foreign stock index positions.

Performance in December turned negative again, as a combination of ECB and Fed actions supported foreign currency prices versus the dollar, creating losses in predominantly long dollar positions. The ECB, for the first time in five years, raised its Refi rate, (akin to the U.S. Fed Funds Rate) by 25 basis points to 2.25%. The ECB’s rate increase was not seen as merely the first in a series of upcoming rate hikes; rather future ECB monetary policy is expected to be reactive. The U.S. Fed followed in mid-month with a 25 basis point hike to bring the Fed Funds Rate to 4.25%. The most notable change in the Fed move was in its accompanying statement following the increase. The key word “accommodative” was removed from the Fed’s description of its monetary policy, leading many participants to believe the Fed is near the end of its rate hike cycle. Mixed economic data created losses in short bond positions as bond prices rose in December. However, global stock indices responded favorably to interest rate developments, as well as evidence of continued economic growth, leading to gains in long stock index positions in Europe and Japan.

Graham Series

The Graham Series – Class 1 Net Asset Value decreased 20.0% for the twelve months ended December 31, 2005, net of fees and expenses; the Dunn Series – Class 2 Net Asset Value decreased 17.5% for the twelve months ended December 31, 2005, net of fees and expenses.

The Graham Series – Class 1 Net Increase/(Decrease) In Owners’ Capital Resulting From Operations was ($648,922), or ($20.67) per unit, for the twelve months ended December 31, 2005.

The Graham Series – Class 2 Net Decrease In Owners’ Capital Resulting From Operations was $619,912, or $18.19 per unit, for the twelve months ended December 31, 2005.

For the twelve months ended December 31, 2005, the Graham Series recorded net loss on investments of $155,411, net interest of $85,327, and total expenses of $380,800, resulting in a net decrease in Owners’ capital from operations of $1,268,834, net of minority interests of $(817,950). The Net Asset Value per Unit, Class 1, decreased from $103.57 at December 31, 2004, to $82.90 as of December 31, 2005. The Net Asset Value per Unit, Class 2, decreased from $103.92 at December 31, 2004, to $85.73 as of December 31, 2005. Total Class 1 subscriptions and redemptions for the twelve months were $5,283,276 and $953,857, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $1,573,710 and $4,070,398, respectively. Ending capital at December 31, 2005 was $5,642,080 for Class 1 and $1,772,604 for Class 2.

With the backdrop of the U.S. Presidential inauguration and hopeful prospects for successful Iraqi elections, U.S. economic reports released during January were mixed. In the global equity markets, the major U.S. indices declined sharply, reversing rising price trends. Bond prices moved modestly higher in the U.S. and Japan for the second consecutive month, while they were mixed in Europe. In the currency markets, the U.S. Dollar sharply reversed its recent bearish trend as it surged versus many major global currencies, most notably the Euro, against which the U.S. Dollar had reached a record low during December. Energy prices continued to move in a volatile pattern as crude oil rose 10% and natural gas increased 2% following double-digit declines in December. Base metal prices reversed their recent bullish price moves as aluminum fell 5%, nickel lost more than 2%, and copper declined slightly. In precious metals, gold fell almost 4%, its second consecutive monthly decline after reaching 17-year highs in late November. The agricultural markets finished the month with mixed results. The Graham Series incurred a loss during January, primarily attributable to the abrupt rise of U.S. Dollar versus the Euro following several months of declines. Price reversals within the global equity index markets as well as short-term volatility within the energy and

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aluminum markets also resulted in losses. Gains recorded by positions in the global fixed income markets offset a portion of the portfolio’s losses.

Commodity prices moved generally higher during February. Energy prices advanced for the second consecutive month as natural gas rose 6% and crude oil rose almost 7%. Base metal prices resumed their recent bullish price moves led by nickel, which rose nearly 13%, copper and zinc, which advanced more than 6%, and aluminum, which increased by approximately 4%. In precious metals, gold followed suit, rising 3%, its first increase in three months. The agricultural markets also moved generally higher as they exhibited large net price moves. Wheat, cotton, cocoa, and coffee rose between about 13% and 16%, and corn rose 9%, while sugar declined about 4% for the month. The Graham Series incurred a slight loss in February. Performance was primarily attributable to an abrupt price drop in global bond futures markets. Trending conditions in the equity index, zinc, and copper markets resulted in profits that offset much of the portfolio’s losses during the month.

March was another disappointing month for the Graham Series. Losses were driven primarily by continued trendless price movements in global currencies, equity indices, and bonds. Spanning the two-month period from February 1 to March 31, 2005, the S&P 500 Composite Price Index, the U.S. Dollar Trade Weighted Index, and the J.P. Morgan Global Government Bond Index price movement was choppy, with price trends not being sustained for much more than a few weeks. First-quarter performance was adversely affected by sharp trend reversals and general short-term choppy price patterns across a number of markets.

April continued a string of disappointing months for the Graham Series the markets witnessed sharp declines in global equity index prices and generally trendless price volatility in currencies, fixed income, and commodities. The extremely choppy market conditions exhibited during the month throughout all major sectors provided a difficult environment for the long-term trend-following strategies on which the Series relies. Volatility within the U.S. equity markets was attributed to several factors including inflationary concerns and weak earnings reports. A sharp decline in crude oil prices was a reaction to U.S. crude inventories reaching three year highs and speculation emerging that OPEC production would be sufficient to enable these inventories to meet seasonal energy needs this summer.

The Graham Series bounced back in May as the month was generally characterized by bullish price moves in global bond futures and a sharp surge in the value of the U.S. Dollar late in the month. In global bond futures, long positions in U.S. Treasury note and bond futures were profitable as prices moved higher throughout May. Trading in currencies was also profitable, most significantly from long U.S. Dollar positions as major European currencies fell sharply late in the month in response to French voters rejecting the proposed new European constitution. Dutch voters agreed with the rejection on June 1, furthering the Euro’s decline.

In spite of a very strong performance in June, performance of the Graham Series was negative for the second quarter. The Series posted gains as global bond futures, equity indices, and the U.S. Dollar continued their recent bullish trends despite some mid-month volatility. Specifically, rising prices in U.S. and European bond futures and the European equity index markets resulted in notable profits during the month. Additional gains resulted from long U.S. Dollar positions versus the euro and Swiss franc as the euro continued to slide during the month following the rejection of the proposed new European constitution by French and Dutch voters. Trading in tangible commodities markets resulted in small losses that offset a portion of the month’s gains.

The Graham Series incurred losses in global bond futures in July as prices in the U.S. reversed recent bullish trends and prices in Europe and Japan exhibited short-term trendless patterns during the month. In the U.S. fixed income markets, yields moved higher in reaction to generally positive U.S. economic news released throughout the month and statements by FOMC Chairman Alan Greenspan indicating the U.S. economy is strong and is expected to remain so. After declining during the first half of the month, bond prices in Europe and Japan rose following China’s decision to end the decade long peg of the yuan to the U.S. Dollar, but ultimately prices drifted lower after subsequent indications of economic growth in those regions. Solid profits that resulted from continued bullish trends in global equity indices offset a sizable portion of the losses incurred in the fixed income markets. Positions held in the Japanese yen were also profitable despite significant short-term volatility spurred by China’s announcement regarding the yuan.

The Graham Series reported a loss in August as losses recorded in currencies and global bond futures outweighed strong profits from positions in the energy sector. Sharp increases in energy prices were mainly attributed to supply concerns that arose due to a variety of unrelated factors including the disruptive affects of Hurricane Katrina,

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gasoline demand in the U.S. during the end of the summer driving season, and the death of Saudi Arabia’s King Fahd early in the month. Losses during the month were primarily attributed to volatility in the currency markets which concluded with the U.S. Dollar falling between 1% and 3% versus the Euro, Swiss Franc, and Japanese Yen amid signs of improving economic conditions in Europe and Japan combined with mixed economic reports in the U.S.

The Series recorded strong profits in September. Performance during September was primarily attributable to continued strong upward trends in the Japanese and European equity index markets. In Europe, prices moved higher early in the month on optimism regarding economic growth as elections in Germany approached during mid-month. European equities also reacted favorably to better than expected U.S. economic reports released in the aftermath of Hurricane Katrina. In Japan, the Nikkei and Topix equity indices climbed to four-year highs on continued expectations of economic growth following comments from Japan’s central bank suggesting deflation may be subsiding in the near future. The re-election of Japan’s current Prime Minister, who has overseen much of its recent economic growth, bolstered Japanese equity markets early in the month.

The global financial markets were characterized in October by sharp bearish price moves in global bond futures and energy markets, volatility in global equity indices, and a continued strengthening of the U.S. Dollar. The Graham Series recorded small losses for the month. Performance during October was primarily attributable to price reversals in the European equity index markets as prices declined throughout the month due to mounting growth and inflation concerns. Smaller losses were recorded in crude oil, which exhibited significant short-term volatility as it concluded the month 10% lower. Major contributors to the decline in crude oil included high prices curbing demand and Hurricane Wilma causing fewer than anticipated disruptions in the Gulf of Mexico. There were profits in global bond futures as prices fell sharply with the most significant declines being reported in the U.S. and Europe. Bond futures prices retreated in the U.S. on inflation fears, better than expected third quarter growth data, and speculation that the FOMC would continue to raise interest rates into 2006. Bond futures prices also moved lower in Europe on inflation concerns and business confidence climbing to a 5-year high during the last week of the month. Smaller gains were attributable to the U.S. Dollar’s continued strengthening following speculation that the FOMC will continue to raise interest rates in order to curtail inflation.

Performance turned positive again in November as positions benefited from continued bullish trends in the U.S. Dollar as well as in metals and global equities. Performance during November was driven primarily by the sharp move higher of the U.S. Dollar versus major global currencies during the early part of the month. This move followed the increase in interest rates by the FOMC for the twelfth consecutive time accompanied by a Fed statement indicating policy accommodation can continue to be removed at a measured pace. Comments from FOMC Chairman Alan Greenspan days later stating that U.S. growth remains firm combined with the weak October U.S. non-farm payrolls report and strong U.S. consumer sentiment report supported ongoing speculation that the FOMC would continue to raise interest rates, boosting the dollar. Smaller gains were the result of rising prices in the metals and global equity index markets. Notably in metals, aluminum reached a 16-year high following a cut in production from companies in China, zinc climbed more than 11% during the month on its demand outlook, and gold surpassed $500 per ounce for the first time since December 1987 on inflation concerns. In global equity indices, prices moved generally higher as oil prices retreated early in the month. Additionally, U.S. and European equity indices rose following positive third quarter growth and earnings figures, while in Japan, the Nikkei reached a five-year high on continued optimism of a strong economic recovery. Significant short-term volatility in the global bond futures markets resulted in losses that offset a portion of the profits recorded by our trend-following portfolios.

The year ended on a disappointing note as performance in December turned negative. December performance was driven primarily by short-term volatility in the currency markets, as the U.S. Dollar moved sharply lower, and fixed income sectors. Gains in global equity indices and metals offset a portion of the losses for the month. These smaller gains resulted from continued bullish trends in equity indices and metals.

Year Ended December 31, 2004

Balanced Series

The Balanced Series commenced operations on September 24, 2004. The Balanced Series – Class 1 returned 6.0% for the period since commencement of operations through December 31, 2004, net of fees and expenses; and the

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Balanced Series – Class 2 returned 6.8% for the period since commencement of operations through December 31, 2004, net of fees and expenses.

For the period from commencement of operations through December 31, 2004, the Balanced Series recorded net gain on investments of $2,396,442, net interest of $5,876, and total expenses of $687,681, resulting in a net increase in Owners’ capital from operations of $1,492,801. The Net Asset Value per Unit increased from $100.00 at September 24, 2004, to $106.03 for Class 1 and $106.85 for Class 2 as of December 31, 2004. Total Class 1 subscriptions and redemptions for the period were $11,653,988 and $8,738, respectively. Total Class 2 subscriptions and redemptions for the period were $23,968,134 and $4,450,000, respectively. Ending capital at December 31, 2004, was $11,772,262 for Class 1 and $20,884,923 for Class 2.

As of December 31, 2004, the Balanced Series invested in four Trading Companies. Three of the Trading Companies held trading accounts advised by one Trading Advisor for each Trading Company. One Trading Company is comprised of five trading accounts each advised by a different Trading Advisor. These Trading Advisors have varying trading methodologies, strategically allocated to capitalize upon varying market environments. During the fourth quarter of 2004, all eight Trading Advisors were profitable, although the trend-based managers achieved the highest returns. From a market standpoint, the fourth quarter experienced newly emerging trends, with substantial profits in currencies, equities and fixed income, especially for the trend-based managers. The market sectors that provided losses were in the energy, commodity and metal markets. Across the unprofitable market sectors, the energy complex accounted for the majority of loss. The intermittent periods of trending and non-trending market activity turned out to be most difficult.

Winton Series (formerly the Beach Series)

The Beach Series commenced operations on September 24, 2004. The Beach Series – Class 1 returned 6.0% for the period since commencement of operations through December 31, 2004, net of fees and expenses; and the Beach Series – Class 2 returned 6.8% for the period since commencement of operations through December 31, 2004, net of fees and expenses.

For the period from commencement of operations through December 31, 2004, the Beach Series recorded net gain on investments of $17,300, net interest of $116, and total expenses of $5,661, resulting in a net increase in Owners’ capital from operations of $11,755. The Net Asset Value per Unit increased from $100.00 at September 24, 2004, to $106.01 for Class 1 and $106.84 for Class 2 as of December 31, 2004. Total Class 1 subscriptions for the period were $481,793, and there were not redemptions. Total Class 2 subscriptions for the period were $172,873, and there were no redemptions. Ending capital at December 31, 2004, was $488,932 for Class 1 and $178,489 for Class 2.

Trading during the fourth quarter of 2004 proved to be very profitable. The trading program performed very well in October and November, although December proved to be a difficult end to a difficult year. Currencies were the main profit driver with gains coming from our Euro, Canadian dollar and U.S. Index positions. Base Metals were disappointing with Copper and Nickel losing on the back of long liquidation. 18 positions were closed, 15 added and 6 reversed direction. November profits were substantial, whereby currencies were the main profit driver with our Euro and Swiss Franc positions benefiting from the weak U.S. Dollar. Metals performed well on the back of their Gold and Copper positions. The Energy sector lost on positions in Gas Oil and Heating Oil. 8 positions were closed, 11 added and 6 reversed direction. December was the only unprofitable month of the fourth quarter. Good performance came from positions in the IBEX and S&P indices. The positive performance by the long Euro positions was offset by Canadian dollar positions. Heating Oil was the main contributor to the loss in the Energy sector. During the month 9 positions were closed, 8 added and 8 reversed direction.

Currency Series (formerly the C-View Currency Series)

The C-View Currency Series commenced operations on September 24, 2004. The C-View Currency Series – Class 1 returned 2.7% for the period since commencement of operations through December 31, 2004, net of fees and expenses; and the C-View Currency Series – Class 2 returned 3.5% for the period since commencement of operations through December 31, 2004, net of fees and expenses.

For the period from commencement of operations through December 31, 2004, the C-View Currency Series recorded net gain on investments of $154, net interest of $2, and total expenses of $44, resulting in a net increase in Owners’

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capital from operations of $112. The Net Asset Value per Unit increased from $100.00 at September 24, 2004, to $102.67 for Class 1 and $103.47 for Class 2 as of December 31, 2004. Total Class 1 subscriptions for the period were $16,543, and there were no redemptions. Total Class 2 subscriptions for the period were $441,000, and there were no redemptions. Ending capital at December 31, 2004, was $16,586 for Class 1 and $442,069 for Class 2.

The entire fourth quarter of 2004 was profitable for C-View. October was a month in which the U.S. Dollar declined, due to weaker economic numbers, and also by a lack of confidence in the ability of either of the U.S. presidential candidates to address effectively the issue of the U.S. trade and current account deficit. From a portfolio perspective, we made gains in exposures short of U.S. Dollar versus Euro, Indian Rupee, Korean Won, Philippine Peso, Taiwan Dollar, Mexican Peso, Norwegian Krone, Swedish Krone and Singapore Dollar. Positions long of Brazilian Real versus Argentine Peso were successful, but we experienced a small loss in being long Chinese Yuan versus Hong Kong Dollar, and Australian Dollar versus New Zealand Dollar. November was also profitable. The outcome of the U.S. election caused the currency market to conclude that the policy pursued by the Bush administration is a weak U.S. Dollar policy in all but name. In the absence of any particular initiatives to contain them the assumption is that the U.S. trade and current account deficits will continue to grow and only a weaker U.S. Dollar is the preferred route to eventually reducing them. A number of our key strategies involving anticipated U.S. Dollar weakness, noticeably against Asian currencies, made gains. Yield positions also made gains albeit that we are slightly more wary of these exposures in a rising interest rate environment. Our short term trading made some reasonable gains also. In short term trading strategies we made solid gains in U.S. Dollar versus the Yen, Sterling, Swiss Franc and in Sterling versus Japanese Yen and Euro versus Sterling, but experienced small losses in the Euro against the U.S. Dollar and Swiss Franc. December was profitable to a lesser degree then the two previous months. In general December saw a recovery in the U.S. Dollar and the advent of more seasonally choppy currency markets after the steady dollar declines of the previous two months. As frequently happens at this time of year liquidity became an issue in some currencies and markets generally were more volatile. From a portfolio perspective, they made gains in exposures short of U.S. Dollar versus Indian Rupee, Korean Won, Mexican Peso and Taiwan $; a position long of Brazilian Real versus Argentine Peso was also profitable. A position long of Chinese Yuan against the U.S. Dollar, anticipating some progress toward Chinese market liberalization generated a loss on carry. Our perception that the South African Rand was too strong proved incorrect and we generated losses in position short of Rand both against the U.S. Dollar and GB Pound. In Euro crosses we made gains in the Czech Koruna, Polish Zloty, Slovakian Koruna versus the Euro but experienced offsetting losses as the Euro rose versus the Norwegian and Swedish Krone. In short term trading strategies we made solid gains in Euro versus the Japanese Yen, and GB Pound but losses in GP Pound against U.S. Dollar and Japanese Yen. Our U.S. Dollar trading was successful against the Swiss Franc but not against the Japanese Yen and Euro.

Dunn Series

The Dunn Series commenced operations on September 24, 2004. The Dunn Series – Class 1 returned 5.0% for the period since commencement of operations through December 31, 2004, net of fees and expenses; and the Dunn Series – Class 2 returned 5.8% for the period since commencement of operations through December 31, 2004, net of fees and expenses.

For the period from commencement of operations through December 31, 2004, the Dunn Series recorded net gain on investments of $204,380 and total expenses of $78,214, resulting in a net increase in Owners’ capital from operations of $126,166. The Net Asset Value per Unit increased from $100.00 at September 24, 2004, to $104.96 for Class 1 and $105.77 for Class 2 as of December 31, 2004. Total Class 1 subscriptions for the period were $121,000, and there were no redemptions. Total Class 2 subscriptions for the period were $2,145,503, and there were no redemptions. Ending capital at December 31, 2004, was $117,047 for Class 1 and $2,276,622.

As demonstrated above, Dunn had a very profitable fourth quarter of 2004. October and November displayed large profits, with a minor loss in December. October was volatile and rising energy prices were the backdrop for the positive performance, producing significant gains in both the long energy and bond positions as high energy and commodity prices continued to put a damper on economies worldwide. November profits were achieved from long positions in non-U.S. interest rates, foreign currencies and stock indices; that continued to benefit from a historically weak dollar. The roller coaster known as U.S. job growth continues to play havoc with U.S. interest rates and stock indices. Energy prices backed off from historic highs (not accounting for inflation). December concluded the quarter with a loss. The market with the largest magnitude move, the Euro Bund, was a profitable one for the portfolio. The Bund’s gains, accompanied by some small profitable gains in several other markets were overcome by losses across the remainder of the portfolio. In a way December’s results are a microcosm of the entire year, as

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markets with the largest magnitude moves, the Euro Bund and the Euro Bobl were profitable but their gains were overcome by numerous markets that experienced losses of lesser magnitudes.

Graham Series

The Graham Series commenced operations on November 19, 2004. The Graham Series – Class 1 returned 3.6% for the period since commencement of operations through December 31, 2004, net of fees and expenses; and the Graham Series – Class 2 returned 3.9% for the period since commencement of operations through December 31, 2004, net of fees and expenses.

For the period from commencement of operations through December 31, 2004, the Graham Series recorded net gain on investments of $272,202 and total expenses of $74,509, resulting in a net increase in Owners’ capital from operations of $197,693. The Net Asset Value per Unit increased from $100.00 at September 24, 2004, to $103.57 for Class 1 and $103.92 for Class 2 as of December 31, 2004. Total Class 1 subscriptions for the period were $1,939,594, and there were no redemptions. Total Class 2 subscriptions for the period were $4,712,500, and there were no redemptions. Ending capital at December 31, 2004, was $1,961,583 for Class 1 and $4,889,204 for Class 2.

Trading began on November 19, 2004; therefore there were only approximately 6 weeks of trading that existed within the fourth quarter of 2004 for the Graham Series. Over this time period, the Graham portfolio had two solid monthly gains. Bullish price movements in the global equity index and global fixed income markets particularly contributed. Short-term volatility in the Japanese yen and Canadian dollar led to some offsetting losses.

Item 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.

The Series are speculative commodity pools. The market sensitive instruments which are held by the Trading Companies in which the Series are invested are acquired for speculative trading purposes, and all or a substantial amount of the Series’ assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Series’ main line of business.

Market movements result in frequent changes in the fair market value of each Trading Company’s open positions and, consequently, in each Series of the Trust’s earnings and cash flow. The Trading Companies’ and consequently the Series’ market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the open positions and the liquidity of the markets in which trades are made.

Each Trading Company rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the past performance for any Series is not necessarily indicative of the future results of such Series.

The Trading Companies’ and consequently the Series’ primary market risk exposures as well as the strategies used and to be used by the Trading Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Trust’s and the Managing Owner’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Trading Companies and consequently the Trust. There can be no assurance that the Trading Companies’ current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in a Series.

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Quantitative Market Risk

Trading Risk

The Series’ approximate risk exposure in the various market sectors traded by its trading advisors is quantified below in terms of value at risk. Due to the Series’ mark-to-market accounting, any loss in the fair value of the Series’ (through the Trading Companies) open positions is directly reflected in the Series’ earnings, realized or unrealized.

Exchange maintenance margin requirements have been used by the Trust as the measure of its value at risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95% to 99% of any one-day interval. The maintenance margin levels are established by brokers, dealers and exchanges using historical price studies as well as an assessment of current market volatility and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component that is not relevant to value at risk.

In the case of market sensitive instruments that are not exchange-traded, including currencies and some energy products and metals, the margin requirements for the equivalent futures positions have been used as value at risk. In those cases in which a futures-equivalent margin is not available, dealers’ margins have been used.

In the case of contracts denominated in foreign currencies, the value at risk figures include foreign currency margin amounts converted into U.S. Dollars with an incremental adjustment to reflect the exchange rate risk inherent to the Series, which is valued in U.S. Dollars, in expressing value at risk in a functional currency other than U.S. Dollars.

In quantifying each Series’ value at risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading category’s aggregate value at risk. The diversification effects resulting from the fact that the Series’ positions held through the Trading Companies are rarely, if ever, 100% positively correlated have not been reflected.

Value at Risk by Market Sectors

The following table presents the trading value at risk associated with each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of December 31, 2006 and 2005. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

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Balanced Series:

	December 31, 2006				December 31, 2005
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	8,197,199	2.9	%	$	4,413,100	3.2	%
Currencies	$	7,573,212	2.7	%	$	7,228,994	5.3	%
Stock Indices	$	11,119,189	4.0	%	$	6,668,830	4.9	%
Metals	$	3,739,714	1.3	%	$	2,616,923	1.9	%
Agriculturals/Softs	$	3,510,763	1.3	%	$	1,924,173	1.4	%
Energy	$	2,022,428	0.7	%	$	1,927,567	1.4	%
Total:	$	36,162,505	12.9	%	$	24,779,587	18.1	%
Winton Series:
	December 31, 2006				December 31, 2005
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	10,128	1.6	%	$	43,370	1.9	%
Currencies	$	8,182	1.3	%	$	203,860	9.2	%
Stock Indices	$	24,378	3.8	%	$	77,617	3.5	%
Metals	$	7,255	1.1	%	$	100,177	4.5	%
Agriculturals/Softs	$	1,813	0.3	%	$	64,561	2.9	%
Energy	$	6,529	1.0	%	$	23,396	1.1	%
Total:	$	58,285	9.1	%	$	512,981	23.1	%
Currency Series:
	December 31, 2006				December 31, 2005
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	0	0	%	$	0	0	%
Currencies	$	1,510,895	8.4	%	$	136,720	5.8	%
Stock Indices	$	0	0	%	$	0	0	%
Metals	$	0	0	%	$	0	0	%
Agriculturals/Softs	$	0	0	%	$	0	0	%
Energy	$	0	0	%	$	0	0	%
Total:	$	1,510,895	8.4	%	$	136,720	5.8	%

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Dunn Series:

	December 31, 2006				December 31, 2005
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	24,932	16.4	%	$	17,738	5.4	%
Currencies	$	6,233	4.1	%	$	5,096	1.5	%
Stock Indices	$	15,738	10.4	%	$	14,663	4.5	%
Metals	$	1,068	0.7	%	$	0,177	0	%
Agriculturals/Softs	$	6,121	4.0	%	$	0,177	0	%
Energy	$	6,423	4.2	%	$	3,859	1.2	%
Total:	$	60,515	39.8	%	$	41,356	12.6	%

Graham Series:

	December 31, 2006				December 31, 2005
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,050,855	5.2	%	$	279,597	3.8	%
Currencies	$	3,289,980	16.4	%	$	484,014	6.5	%
Stock Indices	$	2,263,026	11.3	%	$	476,509	6.4	%
Metals	$	68,470	0.3	%	$	21,197	0.3	%
Agriculturals/Softs	$	118,635	0.6	%	$	13,195	0.2	%
Energy	$	96,870	0.5	%	$	27,738	0.4	%
Total:	$	6,887,836	34.3	%	$	1,302,250	17.6	%

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Campbell/Graham Series:

	December 31, 2006				December 31, 2005
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,653,852	2.0	%	$	339,978	1.4	%
Currencies	$	5,336,598	6.4	%	$	1,235,814	5.1	%
Stock Indices	$	3,586,469	4.3	%	$	557,681	2.3	%
Metals	$	8,802	0.0	%	$	25,568	0.1	%
Agriculturals/Softs	$	126,977	0.2	%	$	9,638	0.0	%
Energy	$	177,915	0.2	%	$	203,097	0.8	%
Total:	$	10,890,613	13.1	%	$	2,371,776	9.7	%

Long Only Commodity Series:

	December 31, 2006				December 31, 2005*
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK	% OF TOTAL CAPITALIZATION
Interest Rates	$	0	0.0	%	N/A	N/A
Currencies	$	0	0.0	%	N/A	N/A
Stock Indices	$	0	0.0	%	N/A	N/A
Metals	$	193,550	1.9	%	N/A	N/A
Agriculturals/Softs	$	274,196	2.8	%	N/A	N/A
Energy	$	338,713	3.4	%	N/A	N/A
Total:	$	806,459	8.1	%	N/A	N/A

* The Long Only Commodity Series commenced trading on March 1, 2006.

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Long/Short Commodity Series:

	December 31, 2006				December 31, 2005*
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK	% OF TOTAL CAPITALIZATION
Interest Rates	$	5,001	0.0	%	N/A	N/A
Currencies	$	8,749	0.0	%	N/A	N/A
Stock Indices	$	2,601	0.0	%	N/A	N/A
Metals	$	28,202	0.1	%	N/A	N/A
Agriculturals/Softs	$	84,990	0.4	%	N/A	N/A
Energy	$	54,822	0.2	%	N/A	N/A
Total:	$	184,365	0.8	%	N/A	N/A

* The Long/Short Commodity Series commenced trading on March 6, 2006.

Managed Futures Index Series:

	December 31, 2006				December 31, 2005*
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK	% OF TOTAL CAPITALIZATION
Interest Rates	$	439,919	4.2	%	N/A	N/A
Currencies	$	697,159	6.7	%	N/A	N/A
Stock Indices	$	256,612	2.5	%	N/A	N/A
Metals	$	72,770	0.7	%	N/A	N/A
Agriculturals/Softs	$	62,146	0.6	%	N/A	N/A
Energy	$	171,300	1.6	%	N/A	N/A
Total:	$	1,699,906	16.3	%	N/A	N/A

* The Managed Futures Index Series commenced trading on April 25, 2006.

Value at Risk: Foreign Markets

The following table presents the portion of trading value at risk associated with each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of December 31, 2006 and 2005, on foreign markets. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

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Balanced Series:

	December 31, 2006				December 31, 2005
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	5,666,045	2.0	%	$	3,436,803	2.5	%
Currencies	$	4,405,393	1.6	%	$	1,937,514	1.4	%
Stock Indices	$	7,023,228	2.5	%	$	3,973,648	2.9	%
Metals	$	1,573,179	0.6	%	$	1,299,711	1.0	%
Agriculturals/Softs	$	110,260	0.0	%	$	214,429	0.2	%
Energy	$	411,594	0.1	%	$	756,268	0.6	%
Total:	$	19,189,699	6.8	%	$	11,618,373	8.6	%

Winton Series:

	December 31, 2006				December 31, 2005
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	8,659	1.3	%	$	26,726	1.2	%
Currencies	$	1,751	0.3	%	$	147,082	6.6	%
Stock Indices	$	15,478	2.4	%	$	64,426	2.9	%
Metals	$	5,636	0.9	%	$	53,114	2.4	%
Agriculturals/Softs	$	124	0.0	%	$	15,419	0.7	%
Energy	$	1,064	0.2	%	$	17,497	0.8	%
Total:	$	32,712	5.1	%	$	324,264	14.6	%

Currency Series:

	December 31, 2006				December 31, 2005
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	0	0.0	%	$	0	0	%
Currencies	$	1,510,895	8.4	%	$	0	5.8	%
Stock Indices	$	0	0.0	%	$	0	0	%
Metals	$	0	0.0	%	$	0	0	%
Agriculturals/Softs	$	0	0.0	%	$	0	0	%
Energy	$	0	0.0	%	$	0	0	%
Total:	$	1,510,895	8.4	%	$	0	5.8	%

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Dunn Series:

	December 31, 2006				December 31, 2005
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	20,493	13.5	%	$	16,026	4.9	%
Currencies	$	0	0.0	%	$	0	0.0	%
Stock Indices	$	10,953	7.2	%	$	14,663	4.5	%
Metals	$	0	0.0	%	$	0	0.0	%
Agriculturals/Softs	$	501	0.3	%	$	0	0.0	%
Energy	$	1,416	0.9	%	$	3,435	1.0	%
Total:	$	33,363	21.9	%	$	34,124	10.4	%

Graham Series:

	December 31, 2006				December 31, 2005
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	813,695	4.1	%	$	109,567	1.5	%
Currencies	$	3,213,532	16.0	%	$	0	0.0	%
Stock Indices	$	1,687,206	8.4	%	$	313,086	4.2	%
Metals	$	60,645	0.3	%	$	21,197	0.3	%
Agriculturals/Softs	$	9,756	0.0	%	$	1,756	0.0	%
Energy	$	6,231	0.0	%	$	18,376	0.2	%
Total:	$	5,791,065	28.8	%	$	463,982	6.2	%

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Campbell/Graham Series:

	December 31, 2006				December 31, 2005
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,247,746	1.5	%	$	197,356	0.8	%
Currencies	$	5,594,621	6.7	%	$	0	0.0	%
Stock Indices	$	2,849,267	3.4	%	$	330,314	1.4	%
Metals	$	18,020	0.0	%	$	23,643	0.1	%
Agriculturals/Softs	$	10,442	0.0	%	$	1,283	0.0	%
Energy	$	43,070	0.1	%	$	87,634	0.4	%
Total:	$	9,763,166	11.7	%	$	640,230	2.7	%

Long Only Commodity Series:

	December 31, 2006				December 31, 2005*
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK	% OF TOTAL CAPITALIZATION
Interest Rates	$	0	0.0	%	N/A	N/A
Currencies	$	0	0.0	%	N/A	N/A
Stock Indices	$	0	0.0	%	N/A	N/A
Metals	$	102,770	1.0	%	N/A	N/A
Agriculturals/Softs	$	0	0.0	%	N/A	N/A
Energy	$	0	0.0	%	N/A	N/A
Total:	$	102,770	1.0	%	N/A	N/A

* The Long Only Commodity Series commenced trading on March 1, 2006.

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Long/Short Commodity Series:

	December 31, 2006				December 31, 2005
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK	% OF TOTAL CAPITALIZATION
Interest Rates	$	0	0.0	%	N/A	N/A
Currencies	$	0	0.0	%	N/A	N/A
Stock Indices	$	0	0.0	%	N/A	N/A
Metals	$	4,665	0.0	%	N/A	N/A
Agriculturals/Softs	$	0	0.0	%	N/A	N/A
Energy	$	12,304	0.1	%	N/A	N/A
Total:	$	16,969	0.1	%	N/A	N/A

* The Long/Short Commodity Series commenced trading on March 6, 2006.

Managed Futures Index Series:

	December 31, 2006				December 31, 2005
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK	% OF TOTAL CAPITALIZATION
Interest Rates	$	413,796	4.0	%	N/A	N/A
Currencies	$	697,159	6.7	%	N/A	N/A
Stock Indices	$	246,487	2.4	%	N/A	N/A
Metals	$	44,420	0.4	%	N/A	N/A
Agriculturals/Softs	$	0	0.0	%	N/A	N/A
Energy	$	49,800	0.5	%	N/A	N/A
Total:	$	1,451,662	14.0	%	N/A	N/A

* The Managed Futures Index Series commenced trading on April 25, 2006.

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held on behalf of the Series is typically many times the applicable maintenance margin requirement, which generally ranges between approximately 1% and 10% of contract face value, as well as many times the capitalization of the Series. The magnitude of each Series’ open positions creates a risk of ruin not typically found in most other investment vehicles. Because of the size of their positions, certain market conditions, although unusual, but historically recurring from time to time, could cause a Series to incur severe losses over a short period of time. The value at risk table above, as well as the past performance of the Series, gives no indication of this risk of ruin.

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Non-Trading Risk

The Series have non-trading market risk on their foreign cash balances not needed for margin. However, these balances, as well as the market risk they represent, are immaterial. The Series also have non-trading market risk as a result of investing a portion of their available assets in U.S. government securities which include any security issued or guaranteed as to principal or interest by the U.S., or by a person controlled by or supervised by and acting as an instrumentality of the government of the U.S. pursuant to authority granted by Congress of the U.S. or any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the U.S. government, and certain cash items such as money market funds, certificates of deposit (under nine months) and time deposits. The market risk represented by these investments is also immaterial.

Qualitative Market Risk

The following are the primary trading risk exposures of the Series of the Trust as of December 31, 2006, by market sector.

Interest rates

Interest rate risk is one of the principal market exposures of each Series. Interest rate movements directly affect the price of interest rate futures positions held and indirectly the value of a Trading Company’s stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact profitability. The primary interest rate exposure is to interest rate fluctuations in the U.S. and the other G-7 countries. However, the Trading Companies also may take futures positions on the government debt of smaller nations. The Managing Owner anticipates that G-7 interest rates will remain the primary market exposure of each Trading Company and accordingly of each Series for the foreseeable future. The changes in interest rates which are expected to have the most effect on the Series are changes in long-term, as opposed to short-term rates. Most of the speculative positions to be held by the Trading Companies will be in medium- to long-term instruments. Consequently, even a material change in short-term rates is expected to have little effect on the Series if the medium- to long-term rates remain steady. Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Campbell/Graham Series, Currency Series, Dunn Series and Graham Series. For the Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner. In addition, if interest rates fall below 0.75%, the Managing Owner is paid the difference between the Trust’s annualized income interest and 0.75%. Interest income above what is paid the Managing owner is retained by the Series.

Currencies

Exchange rate risk is a significant market exposure of each Series of the Trust in general and the Currency Series in particular. For each Series of the Trust in general and the Currency Series in particular currency exposure is to exchange rate fluctuations, primarily fluctuations that disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Trading Advisors on behalf of a Series trade in a large number of currencies, including cross-rates, which are positions between two currencies other than the U.S. Dollar. The Managing Owner does not anticipate that the risk profile of the Series’ currency sector will change significantly in the future.

Stock Indices

For each Series (other than the Currency Series), its primary equity exposure is equity price risk in the G-7 countries as well as other smaller jurisdictions. Each Series of the Trust (other than the Currency Series) is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices.

Metals

For each Series (other than the Currency Series), its metals market exposure is fluctuations in the price of both precious metals, including gold and silver, as well as base metals including aluminum, copper, nickel and zinc. Some metals, such as gold, are used as surrogate stores of value, in place of hard currency, and thus have an

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associated currency or interest rate risk associated with them relative to their price in a specific currency. Other metals, such as silver, platinum, copper and steel, have substantial industrial applications, and may be subject to forces affecting industrial production and demand.

Agriculturals/Softs

Each Series (other than the Currency Series) may also invest in raw commodities and may thus have exposure to agricultural price movements, which are often directly affected by severe or unexpected weather conditions or by political events in countries that comprise significant sources of commodity supply.

Energy

For each Series (other than the Currency Series), its primary energy market exposure is in oil, gas and other energy product price movements, often resulting from political developments and ongoing conflicts in the Middle East. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Other Trading Risks

As a result of leverage, small changes in the price of a Trading Company’s positions may result in substantial losses for a Series. Futures, forwards and options are typically traded on margin. This means that a small amount of capital can be used to invest in contracts of much greater total value. The resulting leverage means that a relatively small change in the market price of a contract can produce a substantial loss. Like other leveraged investments, any purchase or sale of a contract may result in losses in excess of the amount invested in that contract. The Trading Companies may lose more than their initial margin deposits on a trade.

The Trading Companies’ trading is subject to execution risks. Market conditions may make it impossible for the Trading Advisors to execute a buy or sell order at the desired price, or to close out an open position. Daily price fluctuation limits are established by the exchanges and approved by the Commodity Futures Trading Commission. When the market price of a contract reaches its daily price fluctuation limit, no trades can be executed at prices outside the limit. The holder of a contract may therefore be locked into an adverse price movement for several days or more and lose considerably more than the initial margin put up to establish the position. Thinly traded or illiquid markets also can make it difficult or impossible to execute trades.

The Trading Advisor’s positions are subject to speculative limits. The Commodity Futures Trading Commission and domestic exchanges have established speculative position limits on the maximum futures position which any person, or group of persons acting in concert, may hold or control in particular futures contracts or options on futures contracts traded on U.S. commodity exchanges. Under current regulations, other accounts of the Trading Advisors are combined with the positions held by them on behalf of the applicable Trading Company for position limit purposes. This trading could preclude additional trading in these commodities by the Trading Advisors for the accounts of the Series.

Systematic strategies do not consider fundamental types of data and do not have the benefit of discretionary decision making. The assets of the Series are allocated to Trading Advisors that rely on technical, systematic strategies that do not take into account factors external to the market itself (although certain of these strategies may have minor discretionary elements incorporated into their systematic strategy). The widespread use of technical trading systems frequently results in numerous trading advisors attempting to execute similar trades at or about the same time, altering trading patterns and affecting market liquidity. Furthermore, the profit potential of trend-following systems may be diminished by the changing character of the markets, which may make historical price data (on which technical programs are based) only marginally relevant to future market patterns. Systematic strategies are developed on the basis of a statistical analysis of market prices. Consequently, any factor external to the market itself that dominates prices that a discretionary decision maker may take into account may cause major losses for a systematic strategy. For example, a pending political or economic event may be very likely to cause a major price movement, but a systematic strategy may continue to maintain positions indicated by its trading method that might incur major losses if the event proved to be adverse.

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However, because certain of the Trading Advisors’ strategies involve some discretionary aspects in addition to their technical factors, certain of the Trading Advisors may occasionally use discretion in investing the assets of a Series. For example, the Trading Advisors often use discretion in selecting contracts and markets to be followed. In exercising such discretion, such Trading Advisor may take positions opposite to those recommended by the Trading Advisor’s trading system or signals. Discretionary decision making may also result in a Trading Advisor failing to capitalize on certain price trends or making unprofitable trades in a situation where another trader relying solely on a systematic approach might not have done so. Furthermore, such use of discretion may not enable the relevant Series of the Trust to avoid losses, and in fact, such use of discretion may cause such Series to forego profits which it may have otherwise earned had such discretion not been used.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The means by which the Managing Owner attempts to manage the risk of the Trust’s open positions is essentially the same in all market categories traded. The Managing Owner applies risk management policies to trading which generally are designed to limit the total exposure of assets under management. In addition, the Managing Owner follows diversification guidelines which are often formulated in terms of the balanced volatility between markets and correlated groups.

Item 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA.

Financial statements meeting the requirements of Regulation S-X appear beginning on page F-1 of this report. The supplementary financial information specified by Item 302 of Regulation S-K is included in this report under the heading “Selected Financial Data” in Item 6. above.

Item 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE.

None.

Item 9A. CONTROLS AND PROCEDURES.

Evaluation of Disclosure Controls and Procedures

Under the supervision and with the participation of the management of the Managing Owner, including its Chief Executive Officer and Chief Financial Officer, the Trust evaluated the effectiveness of the design and operation of our disclosure controls and procedures (as defined in Rule 13(a)-15(e) under the Securities Exchange Act of 1934) as of December 31, 2006 (the “Evaluation Date”). Any control system, no matter how well designed and operated, can provide only reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected. Based upon our evaluation, the Chief Executive Officer and Chief Financial Officer of the Managing Owner concluded that, as of the Evaluation Date, our disclosure controls and procedures were effective to provide reasonable assurance that they are timely alerted to the material information relating to the Trust required to be included in the Trust’s periodic SEC filings.

Changes in Internal Control Over Financial Reporting

There were no significant changes made in our internal controls during the fourth quarter or, to our knowledge, in other factors that could significantly affect these controls subsequent to the date of their last evaluation.

Item 9B. OTHER INFORMATION.

None.

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Part III

Item 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT.

The Trust has no directors or executive officers and also does not have any employees. The Trust is managed solely by Equinox Fund Management, LLC, a Delaware limited liability company formed in June 2003, in the capacity as managing owner. The Managing Owner became registered with the CFTC as a commodity pool operator, or a CPO, as of August 6, 2003, and has been a member in the National Futures Association (“NFA”), in such capacity since that date.

Principals of the Managing Owner

The current officers and directors of the Managing Owner are as follows:

Robert J. Enck, born in 1962, is the President and Chief Executive Officer of the Managing Owner. Mr. Enck is pending registration as a principal and an associated person of the Managing Owner since March 14, 2007. Mr. Enck joined the Managing Owner on March 1, 2007, with more than twenty years of extensive management and entrepreneurial experience with companies ranging from large corporations such as Bristol-Myers Squibb to fast-growing venture-funded organizations. Most recently, from March 2003 to March 2007, he served as Senior Managing Director with The Hermes Group LLC, a merchant banking and corporate advisory firm providing strategic advisory services including, interim executive management, business valuations, and acquisition and divestiture services. Prior to that, from March 2001 to March 2003, Mr. Enck served as Chief Executive Officer of Beansprout Networks and GM-VP of Quintiles. Prior to that, Mr. Enck served as President of RX Remedy Information Services from September 1998 to March 2001. He also served as Vice President of Sales and Marketing of Summit Medical from January 1994 to September 1998. Mr. Enck holds a BS degree in Natural Sciences from St. John’s University, Collegeville, MN and an MBA in Management from the University of St. Thomas, St. Paul MN.

Richard E. Bornhoft, born in 1956, is the Chairman, Chief Investment Officer, Manager and a member of the managing committee of the Managing Owner, or the Executive Committee. In addition, Mr. Bornhoft has been registered as a principal and an associated person of the Managing Owner since August 2003. Prior to March 1, 2007, Mr. Bornhoft also served as President and Chief Executive Officer of the Managing Owner. Mr. Bornhoft also is President of The Bornhoft Group Corporation, or The Bornhoft Group, and has been registered as a principal and an associated person of The Bornhoft Group since September 1985 and November 1985, respectively. Mr. Bornhoft is also a principal of Bornhoft Group Securities Corporation, a registered broker/dealer, and SectorQuant Capital Management. Mr. Bornhoft has over twenty years of experience in advising both Private and Institutional clientele in the alternative investment industry, beginning his career in 1979. The Bornhoft Group was formed in 1985 as an investment management firm, providing alternative investments (i.e., investments other than long-only investments in publicly-traded stocks, bonds and cash-equivalent securities) to institutions and high net worth investors. Over the past two decades, Mr. Bornhoft has been responsible for the planning, creation and execution of the company’s business strategy. This responsibility has included such tasks as the design, technology and implementation of the asset allocation, valuation and risk management systems, and the distribution of client assets into alternative investment products and services. His company has designed and operated alternative investment portfolios for approximately twenty (20) pension plans, corporations and banking institutions throughout the world. Prior to forming The Bornhoft Group in 1985, Mr. Bornhoft was Vice-President of Product Development for the Managed Account Corporation, an investment- consulting firm that offered Alternative Investment products to its clientele. From 1979 to 1983, his activities included serving as a Denver branch manager for Geldermann, Inc. (a Chicago-based brokerage firm) and as an investment advisor, developing trading systems and advising client assets in alternative investments. He has served on numerous arbitration boards and various committees of certain regulatory and industry organizations and is a frequent speaker at international conferences and symposiums on alternative investments. He has written numerous articles in leading financial publications and is a contributing author to The Handbook of Managed Futures—Performance, Evaluation and Analysis (McGraw-Hill, 1997) and Searching for Alpha—The Quest for Exceptional Investment Performance (Wiley, 2000). Mr. Bornhoft is a board member and principal of Morningstar Hedge Inc. He currently holds SEC/NASD Series 7, 24 and 63 registrations, in addition to a CFTC/NFA series 3 registration.

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Ron S. Montano, born in 1957, is the Chief Administration Officer and Secretary of the Managing Owner. In addition, Mr. Montano has been registered as a principal of the Managing Owner since August 2003. Mr. Montano is also the Chief Operations Officer of The Bornhoft Group. Mr. Montano joined the Bornhoft Group in November 1997 and has been registered as a principal thereof since May 1998. Mr. Montano is also a principal of Bornhoft Group Securities Corporation. His responsibilities include providing oversight and management to all divisions of The Bornhoft Group companies, managing all personnel activities, and directing marketing campaigns. Mr. Montano draws upon his extensive experience in leadership and management skills during his successful and highly decorated 23-year career in the U.S. Army/Army Recruiting Command. He achieved the rank of Command Sergeant Major responsible for administrative functions including manpower assessment, relocation and problem solving, training, documentation and community relations. During his tenure, his oversight has included overseeing six recruiting companies and 51 recruiting stations within the New England states territory, and seven companies and 52 recruiting offices and over 300 recruiting sales representatives in Michigan, which was the largest recruiting territory in the U.S. He graduated with a degree in Applied Science as well as being selected for and graduated from the U.S. Army Sergeants Major Academy. Mr. Montano was selected to be directly involved in the U.S. Army Recruiting Command policy development process. He has been highly decorated for his accomplishments in promoting his assigned territories, which earned him the Army’s coveted “Legion of Merit Award.”

Brent Bales, born in 1951, is the Chief Financial Officer of the Managing Owner. In addition, Mr. Bales has been registered as a principal of the Managing Owner since August 2003. Mr. Bales is also the Vice President of Finance for The Bornhoft Group. Mr. Bales joined The Bornhoft Group in June 2000 and has been registered as a principal thereof since December 2001. Prior to that, from June 1992 through June 2000, he was employed as the Controller of Colorado Pen Company. Mr. Bales’ responsibilities include supervision of all accounting activities, valuation of client portfolios and monitoring of risk management systems. Mr. Bales has over 25 years of experience in finance, accounting and the operation of businesses, as well as over 15 years of experience in senior management positions with various start-up and developmental businesses. He is a Certified Public Accountant with past experience that includes tenures with Touche Ross & Co. and other corporations with responsibilities that encompassed auditing, revenue and cost accounting, cash management and tax audit representation. Mr. Bales received his Bachelor’s degree in Accounting in 1973 from University of Denver and his Certified Public Accountant certification in 1977.

Executive Committee of the Managing Owner

The Executive Committee is responsible for the general oversight of the Managing Owner’s business and functions like a board of directors of a corporation. The initial members of the Executive Committee are Richard E. Bornhoft, John C. Plimpton and John R. Zumbrunn.

Richard E. Bornhoft’s biography appears above under the caption “Principals of the Managing Owner” above.

John C. Plimpton, born in 1966, is a member of the Executive Committee of the Managing Owner. In addition, Mr. Plimpton has been registered as a principal and associated person of the Managing Owner since August 2003 and has been a member of the NFA in such capacities as of such date. He has raised assets and marketed the investment programs of several prominent commodity trading advisors. In November 2002, Mr. Plimpton formed Solon Capital, LLC and T-Rex Brokerage, LLC, CPOs and independent brokerage firms. These businesses raise assets for commodity trading advisors and structure innovative products to support asset-raising. Mr. Plimpton has been registered with the CFTC as a principal and as an associated person of Solon Capital, LLC since December 2002 and has been a member of the NFA in such capacities since June 2003. Mr. Plimpton is associated with T-Rex Brokerage, LLC which had applied for registration with the CFTC as an introducing broker but withdrew such registration in September 2003.

Mr. Plimpton was a Director of Investments at Willowbridge Associates Inc. from 1995 through September of 2000 where he was responsible for raising assets and for evaluating investment opportunities in insurance and financial services for Willowbridge Associates Inc. and its affiliates, including Union Spring Asset Management, Inc. From September 2000 through January 2001, Mr. Plimpton was employed at Quantitative Financial Services in Stamford, Connecticut.

From February 2001 through September 2002, Mr. Plimpton was the Director of Corporate Development for Beacon Management Corporation USA of Princeton, New Jersey. Mr. Plimpton has been registered with the CFTC as an associated person of Beacon Management Corporation USA since February 2001 and has been a member of the NFA in such capacity as of such date.

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Mr. Plimpton holds a B.A. in Economics from the University of Chicago and an M.B.A. in corporate finance and corporate accounting from the William E. Simon School of Management at the University of Rochester. He earned his Chartered Life Underwriter and Chartered Financial Consultant designations from the American College.

John R. Zumbrunn, born in 1942, is a member of the Executive Committee of the Managing Owner. In addition, Mr. Zumbrunn has been registered as a principal of the Managing Owner since August 2003. Since 1995 he has served as a financial and trading consultant to Willowbridge Associates Inc. and Union Spring Asset Management, Inc., and as a principal of Millstone Portfolio Management, an advisory affiliate of Union Spring Asset Management, Inc. Since 1985 Mr. Zumbrunn was Managing Director of Princeton Investment Technologies, an investment advisory and consulting firm. From 1991 to 1994, he was the Director of Research of Tricon U.S.A., a managed futures and alternative investments fund. Since July 1982, Mr. Zumbrunn has been registered with the CFTC as a sole proprietor commodity trading advisor and has been a member of the NFA in such capacity as of such date. He has over 20 years of investment, trading, and quantitative research experience with Chemical Bank, The Prudential Insurance Company of America, Salomon Brothers, and Commodities Corporation. Mr. Zumbrunn holds a Ph.D. in Mathematics from the University of California at Berkeley and an A.B. in Mathematics from Princeton University and has taught mathematics at Columbia University and the City University of New York.

The sole members of the Managing Owner are Plimpton Capital, LLC and The Bornhoft Group which have been registered as principals of the Managing Owner since August 2003.

Section 16(a) Beneficial Ownership Reporting Compliance

Section 16 of the Securities Exchange Act of 1934, as amended, requires an issuer’s directors and certain executive officers and certain other beneficial owners of the issuer’s equity securities to periodically file notices of changes in their beneficial ownership with the SEC. The Trust does not have any directors or officers. However, the officers of the Managing Owner, as well as the Managing Owner itself, file such notices regarding their beneficial ownership in the Trust, if any. During 2006, the Managing Owner failed to report on a timely basis two (2) transactions on one (1) SEC Form 3. Such transactions consisted of one subscription to the Balanced Series (Class 1a) and one subscription to the Balanced Series (Class 2a). All such transactions were reported on an SEC Form 5 filed with the SEC on February 14, 2007.

Audit Committee Financial Expert

The Trust does not have a board of directors but instead is operated and managed by the Managing Owner. The Executive Committee of the Managing Owner has not created an audit committee of its members; therefore, the entire Executive Committee of the Managing Owner generally acts as the audit committee with respect to the Trust. The Executive Committee of the Managing Owner, in its capacity as the audit committee for the Fund, has determined that Brent Bales, the Chief Financial Officer of the Managing Owner, qualifies as an “audit committee financial expert” in accordance with the applicable rules and regulations of the SEC. Mr. Bales is not independent of management.

Code of Ethics

The Trust has not adopted a code of ethics because it does not have any officers or employees. The Managing Owner has adopted a code of ethics for employees and principals of the Managing Owner.

In general, the Managing Owner, its principals, and all other persons associated with the Managing Owner shall observe high standards of commercial honor and just and equitable principles of trade in the conduct of their commodity futures business. All employees including anyone not on the regular payroll but filling in on a temporary basis shall be held to the highest standards of honesty and integrity. This conduct will be valid for all duties involved with the daily management and responsibilities as Managing Owner of the Trust.

Employees will conduct their daily duties in a responsible manner to ensure that all customers are treated fairly and equally. The reputation of the Managing Owner is crucial to its business, and understanding that the Managing Owner will make every effort to ensure that our reputation is not tarnished in any way. Employees are urged to seek the advice of their supervisor for any questions applicable to this code relative to their individual circumstances.

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Item 11. EXECUTIVE COMPENSATION.

The Trust has no directors or officers. Its affairs are managed solely by the Managing Owner, which receives compensation for its services from the Trust, as follows:

Management Fees

Each Series of Units pays to the Managing Owner a monthly management fee equal to a certain percentage of such Series’ assets, calculated on a daily basis. The annual rate of the management fee is 0.5% for the Balanced Series, 2.0% for the Winton Series, Currency Series, Long Only Commodity Series and the Managed Futures Index Series, 2.5% for the Graham Series and Campbell/Graham Series, and 3.5% for the Long/Short Commodity Series. There is no management fee for the Dunn Series. See “Item 1. Business—Overview.” The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) for each Series.

Incentive Fees

Some Series pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated by such Series, monthly or quarterly. Because the Balanced Series and Long/Short Commodity Series each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Balanced Series or the Long/Short Commodity Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee is 25% for the Balanced and Dunn Series and 20% for the Winton, Currency, Graham, Campbell/Graham Series and Long/Short Commodity Series. There is no incentive fee for the Long Only Commodity Series or the Managed Futures Index Series. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series.

Interest Income

Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Campbell/Graham Series, Currency Series, Dunn Series and Graham Series. For the Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner.

Other Fees

Each Series pays to the Managing Owner a monthly trading fee, or FCM Fee, equal to 1/12^th of 0.50% of such Series’ Net Asset Value, calculated daily. Also, a monthly service fee equal to 3.0% of the Net Asset Value, calculated daily, is paid to the Managing Owner. The Managing Owner pays the service fee to Selling Agents to assist in the making of offers and sales of Units and provide customary ongoing services including advising Limited Owners. To the extent that an affiliate of the Managing Owner provides such services, it may receive service fees in proportion to the valuation of its clients’ accounts.

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Item 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS.

The Trust has no officers or directors. Its affairs are managed solely by the Managing Owner. Set forth in the table below is information regarding the beneficial ownership of Units of the principals of the Managing Owner as of March 1, 2007:

Equinox Fund Management, L.L.C:

Series of Units	Units Owned	Total Units in Each Series	Percentage Ownership of Each Series
Balanced Series	6,730	2,693,707	0.250	%
Winton Series	2,152	45,404	4.740	%
Currency Series	154	76,264	0.202	%
Campbell/Graham Series	20,666	601,824	3.434	%
Dunn Series	10	1,814	0.551	%
Graham Series	4,320	85,941	5.027	%
Long Only Commodity Series	490	50,154	0.977	%
Long/Short Commodity Series	2,422	224,308	1.080	%
Managed Futures Index Series	509	6,187	8.227	%
Total of All Series	37,453	3,785,603	0.989	%

Richard E. Bornhoft:

Series of Units	Units Owned	Total Units in Each Series	Percentage Ownership of Each Series
Balanced Series	10	2,693,707	0.000	%
Currency Series	10	76,264	0.013	%
Campbell/Graham Series	2	601,824	0.000	%
Dunn Series	186	1,814	10.254	%
Graham Series	64	85,941	0.074	%
Total of All Series	272	3,785,603	0.007	%

Item 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS.

The Trust has and will continue to have certain relationships with the Managing Owner and its affiliates. However, there have been no direct financial transactions between the Trust and the directors or officers of the Managing Owner. See “Item 11. Executive Compensation” and “Item 12. Security Ownership of Certain Beneficial Owners and Management.”

Item 14. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

The following table sets forth the fees billed to Equinox Fund Management, LLC, the Managing Owner of the Trust, for professional services provided by McGladrey & Pullen, LLP, the Trust’s independent registered public accounting firm, for the years ended December 31, 2006 and 2005. In accordance with the prospectus of the Trust, the Managing Owner has agreed to pay all costs of the Trust, and the Trust therefore bears no direct obligation to its independent registered public accounting firm.

FEE CATEGORY	2006		2005
Audit Fees (1)	$	231,500	$	130,000
Audit-Related Fees (2)	$	0	$	0
Tax Fees (3)	$	0	$	0
All Other Fees (4)	$	0	$	0
TOTAL FEES	$	231,500	$	130,000

(1) Audit Fees consist of fees for professional services rendered for the audit of the Trust’s financial statements and review of financial statements included in the Trust’s quarterly reports, as well as services normally provided by the independent accountant in connection with statutory and regulatory filings or engagements.

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(2) Audit-Related Fees consist of fees for assurance and related services by McGladrey & Pullen, LLP that are reasonably related to the performance of the audit or review of the Trust’s financial statements and are not reported under “Audit Fees,” above.

(3) Tax Fees consist of fees for professional services rendered for tax compliance, tax advice and tax planning.

(4) All Other Fees consist of any fees not otherwise reported in this table.

The Managing Owner approved all the services provided by McGladrey & Pullen, LLP to the Trust described above. The Managing Owner has determined that the payments made to McGladrey & Pullen, LLP for these services during 2006 and 2005 are compatible with maintaining that firm’s independence. The Managing Owner pre-approves all audit and allowed non-audit services of the Trust’s independent registered public accounting firm, including all engagement fees and terms.

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Part IV

Item 15. EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM 8-K.

(a)(1) and (2)	The response to these portions of Item 15 is submitted as a separate section of this report commencing on page F-1.
(a)(3)	Exhibits (numbered in accordance with Item 601 of Regulation S-K).

1.1	Form of Selling Agent Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents+
1.2	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents**
1.3	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents***
1.4	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents***
1.5	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents+
4.1	Declaration of Trust and Amended and Restated Trust Agreement of the Registrant (annexed to the Prospectus as Exhibit A)+
4.2	Form of Subscription Agreement (annexed to the Prospectus as Exhibit B)+
4.3	Form of Exchange Request (annexed to the Prospectus as Exhibit C)+
4.4	Form of Request for Redemption (annexed to the Prospectus as Exhibit D)+
4.5	Form of Request for Additional Subscription (annexed to the Prospectus as Exhibit E)+
4.6	Form of Application for Transfer of Ownership / Re-registration Form (annexed to the Prospectus as Exhibit F)+
4.7	Form of Privacy Notice (annexed to the Prospectus as Exhibit G)+
10.1	Form of Amended and Restated Escrow Agreement among the Registrant, Equinox Fund Management, LLC, Bornhoft Group Securities Corporation and the U.S. Bank National Association, Denver Colorado***
10.2	Form of Brokerage Agreement between each Trading Company and UBS Securities, LLC*
10.21	Form of Brokerage Agreement between each Trading Company and Banc of America Futures Incorporated*
10.22	Form of Brokerage Agreement between the Managing Owner, acting as agent on behalf of certain Trading Companies, and Deutsche Bank AG London**
10.23	Form of Brokerage Agreement between each Trading Company and Man Financial Inc. ***
10.24	Form of Amendment Agreement between the Managing Owner, acting as agent on behalf of certain Trading Companies, and Deutsche Bank AG London***

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10.3	Form of Advisory Agreement among the Registrant, the Trading Company, Equinox Fund Management, LLC, and each Trading Advisor*
10.31	Form of International Swaps and Derivatives Association Master Agreement, including all Schedules thereto and the Credit Support Annex thereto entered into for the Long Only Commodity Series of the Registrant***
10.32	Form of License Agreement among Jefferies Financial Products, LLC, Reuters America LLC, the Registrant and Equinox Fund Management, LLC***
10.33	Form of License Agreement among Jefferies Financial Products, the Registrant and Equinox Fund Management, LLC***
10.34	Form of Guaranty made by Jefferies Group, Inc. in favor of Frontier Trading Company VIII, LLC***
10.35	Form of International Swaps and Derivatives Association Master Agreement, including all Schedules thereto and the Credit Support Annex thereto entered into for the Currency Series of the Registrant***
10.36	Form of International Swaps and Derivatives Association Master Agreement, including all Schedules thereto and the Credit Support Annex thereto entered into for the Managed Futures Index Series of the Registrant***
10.4	Form of Cash Management Agreement between Equinox Fund Management, LLC and Merrill Lynch**
10.41	Form of Cash Management Agreement between Equinox Fund Management, LLC and STW Fixed Income Management Ltd.***
10.5	Form of single-member limited liability company operating agreement governing each Trading Company***
21.1	Subsidiaries of Registrant. (filed herewith)
31.1	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.2	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.3	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.4	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.5	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.6	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.7	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)

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31.8	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.9	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.10	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.11	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.12	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.13	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.14	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.15	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.16	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.17	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.18	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.19	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.20	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
32.1	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)
32.2	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)
32.3	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)
32.4	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)
32.5	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)
32.6	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)

89

32.7	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)
32.8	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)
32.9	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)
32.10	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)

* Previously filed as like-numbered exhibit to the initial filing or the first, second, third or fourth pre-effective amendment or the first or second post-effective amendment to Registration Statement No. 333-108397 and incorporated by reference herein.

** Previously filed as like-numbered exhibit to the initial filing or the first pre-effective amendment or the first or second post-effective amendment to Registration Statement No. 333-119596 and incorporated by reference herein.

*** Previously filed as like-numbered exhibit to the initial filing or the first pre-effective amendment or the first post-effective amendment to Registration Statement No. 333-129701 and incorporated by reference herein.

+ Previously filed as like-numbered exhibit to the initial filing or the first pre-effective amendment to Registration Statement No. 333-140240 and incorporated by reference herein.

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INDEX TO FINANCIAL STATEMENT S

Reports of Independent Registered Public Accounting Firms	F-2
Statements of Financial Condition as of December 31, 2006 and 2005	F-4
Condensed Schedule of Investments as of December 31, 2006	F-7
Condensed Schedule of Investments as of December 31, 2005	F-8
Statements of Operations for the years ended December 31, 2006, 2005 and 2004	F-9
Statements of Changes in Owners’ Capital for the years ended December 31, 2006, 2005 and 2004	F-13
Notes to Financial Statements	F-18

F-1

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Unitholders

The Frontier Fund

Denver, Colorado

We have audited the accompanying statements of financial condition, including the condensed schedule of investments, of Balanced Series, Winton Series (formerly Beach Series), Currency Series, Dunn Series, Campbell/Graham Series, Graham Series, Long Only Commodity Series, Long/Short Commodity Series and the Managed Futures Index Series of The Frontier Fund (collectively, the “Trust”) as of December 31, 2006 and 2005, and the related statements of operations and changes in owners’ capital for each of the two years in the period ended December 31, 2006. These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements based on our audit.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements present fairly, in all material respects, the financial position of Balanced Series, Winton Series (formerly Beach Series), Currency Series, Dunn Series, Campbell/Graham Series, Graham Series, Long Only Commodity Series, Long/Short Commodity Series and the Managed Futures Index Series of The Frontier Fund as of December 31, 2006 and 2005, and the results of their operations and changes in owners’ capital for each of the two years in the period ended December 31, 2006, in conformity with U.S. generally accepted accounting procedures.

/s/ McGladrey & Pullen, LLP

Denver, Colorado

March 20, 2007

F-2

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Unitholders of The Frontier Fund,

We have audited the accompanying statements of operations and changes in owners’ capital of Balanced Series, Winton Series (formerly known as Beach Series), Currency Series, Dunn Series and Graham Series of The Frontier Fund (the “Trust”) for the year ended December 31, 2004. These financial statements are the responsibility of the Trust’s management. 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 Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trust is not required to have, nor were we engaged to perform, an audit of internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements present fairly, in all material respects, the results of operations and changes in owners’ capital of Balanced Series, Winton Series, Currency Series, Dunn Series and Graham Series of the Trust for the year ended December 31, 2004, in conformity with accounting principles generally accepted in the United States of America.

/s/ Deloitte & Touche LLP

Princeton, New Jersey

April 11, 2005

F-3

The Frontier Fund

Statements of Financial Condition

December 31, 2006 and December 31, 2005

	Balanced Series				Winton Series (2)				Campbell/Graham Series (1)
	12/31/2006		12/31/2005		12/31/2006		12/31/2005		12/31/2006		12/31/2005
ASSETS
Cash and cash equivalents	$	85,018,542	$	12,994,278	$	538,923	$	198,255	$	11,941,234	$	3,114,605
Short-term investments		86,826,629		99,549,452		—		1,413,937		21,115,260		16,436,045
Cash held at futures commodity merchants		72,480,538		19,097,934		—		—		13,938,010		5,019,359
Open trade equity		11,391,371		7,145,996		—		—		1,576,367		97,185
Investments in unconsolidated trading companies		78,056		3,949,182		355,763		626,070		50,785,796		5,129,155
Inter-series receivables		65,035,889		—		—		—		—		—
Prepaid service fees - Class 1		1,316,314		1,034,673		—		10,946		283,158		294,429
Receivable from related parties		1,170,502		—		34		329		6,539		110,889
Other assets		120,468		82,549		1,342		2,063		179,558		18,257
Total Assets	$	323,438,309	$	143,854,064	$	896,062	$	2,251,600	$	99,825,922	$	30,219,924
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Inter-series payables	$	—	$	—	$	—	$	—	$	26,972,529	$	—
Pending owner additions		987,713		1,368,927		162,500		5,000		485,675		586,595
Owner redemptions payable		754,023		10,588		—		—		65,762		9,687
Incentive fees payable to Managing Owner		—		654,345		1,687		12,209		23,954		—
Management fees payable to Managing Owner		96,056		54,370		619		3,282		115,910		47,266
Interest fees payable to Managing Owner		324,385		133,428		775		3,753		116,626		39,251
Trading fees payable to Managing Owner		100,164		54,371		155		821		33,018		9,453
Trailing service fees payable		225,872		19,184		175		922		44,899		—
Payables to related parties		—		1,506		82,260		—		100,959		2,547
Other liabilities		53,819		2,416		246		60		158,732		535
Total Liabilities		2,542,032		2,299,135		248,417		26,047		28,118,064		695,334
MINORITY INTERESTS		42,889,305		5,588,701		—		—		15,514,377		5,116,544
OWNERS’ CAPITAL
Managing Owner Units - Class 1		192		—		1,057		—		—		—
Managing Owner Units - Class 2		760,413		1,087		228,782		1,163		2,105,062		968
Limited Owner Units - Class 1		228,763,573		114,741,316		355,867		2,047,247		48,843,314		21,561,490
Limited Owner Units - Class 2		48,482,794		21,223,825		61,939		177,143		5,245,105		2,845,588
Total Owners’ Capital		278,006,972		135,966,228		647,645		2,225,553		56,193,481		24,408,046
Total Liabilities, Minority Interests and Owners’ Capital	$	323,438,309	$	143,854,064	$	896,062	$	2,251,600	$	99,825,922	$	30,219,924
Units Outstanding
Class 1		2,105,455		1,097,178		3,378		18,290		507,344		228,642
Class 1a		43,802		N/A		N/A		N/A		N/A		N/A
Class 2		425,239		195,216		2,722		1,533		72,160		29,396
Class 2a		6,761		N/A		N/A		N/A		N/A		N/A
Net Asset Value per Unit
Class 1	$	106.66	$	104.58	$	105.65	$	111.93	$	96.27	$	94.30
Class 1a	$	95.97		N/A		N/A		N/A		N/A		N/A
Class 2	$	114.24	$	108.73	$	106.81	$	116.27	$	101.86	$	96.83
Class 2a	$	97.88		N/A		N/A		N/A		N/A		N/A

(1) The Campbell/Graham Series of the Trust commenced trading operations on February 11, 2005.

(2) The Beach Series was renamed the Winton Series in May, 2006. (See Note 1)

The accompanying notes are an integral part of these statements.

F-4

The Frontier Fund

Statements of Financial Condition

December 31, 2006 and December 31, 2005

	Currency Series				Dunn Series				Graham Series
	12/31/2006		12/31/2005		12/31/2006		12/31/2005		12/31/2006		12/31/2005
ASSETS
Cash and cash equivalents	$	5,193,474	$	483,973	$	192,143	$	98,068	$	4,346,300	$	822,215
Short-term investments		10,001,777		1,490,688		332,290		403,646		8,875,068		5,015,459
Cash held at futures commodity merchants		2,970,911		875,159		—		—		—		—
Open trade equity		41,615		19,481		—		—		—		—
Investments in unconsolidated trading companies		—		—		—		—		7,226,062		1,640,031
Prepaid service fees - Class 1		39,059		2,804		—		1,464		13,971		31,998
Receivable from related parties		850		91		19		—		937		1,917
Other assets		—		52		226		55		31,060		4,365
Total Assets	$	18,247,686	$	2,872,248	$	524,678	$	503,233	$	20,493,398	$	7,515,985
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Liability to unconsolidated trading company	$	—	$	—	$	120,051	$	166,524	$	—	$	—
Inter-series payables		10,697,187		—		—		—		12,012,370		—
Pending owner additions		54,500		53,750		—		6,000		—		50,000
Owner redemptions payable		—		—		75,653		—		6,473		13,892
Incentive fees payable to Managing Owner		—		—		—		—		—		—
Management fees payable to Managing Owner		13,338		1,307		—		—		54,921		18,964
Interest fees payable to Managing Owner		29,692		1,519		353		577		34,187		12,542
Trading fees payable to Managing Owner		10,388		327		121		133		10,984		3,793
Trailing service fees payable		1,043		—		311		204		8,832		1,981
Payables to related parties		50,899		—		174,901		—		324,799		—
Other liabilities		4,012		—		1,354		354		—		129
Total Liabilities		10,861,059		56,903		372,744		173,792		12,452,566		101,301
MINORITY INTERESTS		—		472,669		—		—		—		—
OWNERS’ CAPITAL
Managing Owner Units - Class 2		16,689		2,059,895		823		902		389,915		857
Limited Owner Units - Class 1		6,891,891		276,762		123,164		193,425		5,991,337		5,642,080
Limited Owner Units - Class 2		478,047		6,019		27,947		135,114		1,659,580		1,771,747
Total Owners’ Capital		7,386,627		2,342,676		151,934		329,441		8,040,832		7,414,684
Total Liabilities, Minority Interests and Owners’ Capital	$	18,247,686	$	2,872,248	$	524,678	$	503,233	$	20,493,398	$	7,515,985
Units Outstanding
Class 1		68,126		2,834		1,601		2,227		70,733		68,058
Class 2		4,571		20,370		350		1,509		22,709		20,676
Net Asset Value per Unit
Class 1	$	101.16	$	97.66	$	76.91	$	86.83	$	84.70	$	82.90
Class 2	$	108.23	$	101.42	$	82.27	$	90.15	$	90.25	$	85.73

The accompanying notes are an integral part of these statements.

F-5

The Frontier Fund

Statements of Financial Condition

December 31, 2006

	Long Only Commodity Series (1) 12/31/2006		Long/Short Commodity Series (1) 12/31/2006			Managed Futures Index Series (1) 12/31/2006
ASSETS
Cash and cash equivalents	$	3,587,676	$	6,411,775		$	2,753,004
Short-term investments		5,563,361		10,792,589			5,504,248
Cash held at futures commodity merchants		1,412,416		4,485,621			1,729,868
Open trade equity		—		280,503			428,995
Prepaid service fees - Class 1		50,792		213,218			5,074
Receivable from related parties		2,228		9,767			65
Other assets		1,880		41,143			3,723
Total Assets	$	10,618,353	$	22,234,616		$	10,424,977
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Inter-series payables	$	5,522,034	$	—		$	9,831,769
Open trade equity		605,943		—			—
Pending owner additions		4,604		—			—
Owner redemptions payable		15,000		988			—
Management fees payable to Managing Owner		10,389		59,278			17,252
Interest fees payable to Managing Owner		7,622		16,931			7,781
Trading fees payable to Managing Owner		4,162		8,468			4,313
Trailing service fees payable		79		3,041			114
Payables to related parties		9,732		47,889			11,019
Other liabilities		1,923		—			—
Total Liabilities		6,181,488		136,595			9,872,248
MINORITY INTERESTS		—		(78,056	)		—
OWNERS’ CAPITAL
Managing Owner Units - Class 2		47,632		249,285			50,141
Limited Owner Units - Class 1		4,321,464		19,478,595			500,070
Limited Owner Units - Class 2		67,769		2,448,197			2,518
Total Owners' Capital		4,436,865		22,176,077			552,729
Total Liabilities, Minority Interests and Owners’ Capital	$	10,618,353	$	22,234,616		$	10,424,977
Units Outstanding
Class 1		45,276		193,966			5,169
Class 2		1,188		26,206			535
Net Asset Value per Unit
Class 1	$	95.45	$	100.42		$	96.75
Class 2	$	97.13	$	102.93		$	98.43

(1) The Long Only Commodity Series, Long/Short Commodity Series and the Managed Futures Index Series of the Trust received additional capital contributions to commence trading operations on February 24, 2006.

The accompanying notes are an integral part of these statements.

F-6

The Frontier Fund

Condensed Schedules of Investments

December 31, 2006

	Balanced Series					Campbell/Graham Series					Currency Series				Long Only Series					Long/Short Series					Managed Futures Index Series
Description	Value			% of Net Asset Value		Value			% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value		Value			% of Net Asset Value		Value			% of Net Asset Value
LONG FUTURES CONTRACTS {1}
Various base metals futures contracts (US)	$	(315,906	)	-0.11	%	$	—		0.00	%	$	—	0.00	%	$	—		0.00	%	$	(32,200	)	-0.15	%	$	—		0.00	%
Various base metals futures contracts (Europe)		900,149		0.32	%		(36,938	)	-0.07	%		—	0.00	%		—		0.00	%		—		0.00	%		172,913		31.28	%
Various currency futures contracts (US)		(1,004,714	)	-0.36	%		—		0.00	%		—	0.00	%		—		0.00	%		(98,319	)	-0.44	%		—		0.00	%
Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various energy futures contracts (US)		(25,784	)	-0.01	%		—		0.00	%		—	0.00	%		—		0.00	%		285,382		1.29	%		—		0.00	%
Various energy futures contracts (Europe)		(35,845	)	-0.01	%		—		0.00	%		—	0.00	%		—		0.00	%		(20,692	)	-0.09	%		—		0.00	%
Various interest rates futures contracts (US)		(733,040	)	-0.26	%		(663,199	)	-1.18	%		—	0.00	%		—		0.00	%		(7,438	)	-0.03	%		—		0.00	%
Various interest rates futures contracts (Canada)		(15,700	)	-0.01	%		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		(483,319	)	-0.17	%		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		(24,257	)	-0.01	%		(109,292	)	-0.19	%		—	0.00	%		—		0.00	%		—		0.00	%		26,512		4.80	%
Various precious metals futures contracts (US)		(896,381	)	-0.32	%		(3,810	)	-0.01	%		—	0.00	%		—		0.00	%		(33,680	)	-0.15	%		1,720		0.31	%
Various soft futures contracts (US)		637,564		0.23	%		17,215		0.03	%		—	0.00	%		—		0.00	%		283,910		1.28	%		28,408		5.14	%
Various soft futures contracts (Europe)		5,267		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (US)		(109,905	)	-0.04	%		(151,126	)	-0.27	%		—	0.00	%		—		0.00	%		1,539		0.01	%		(2,700	)	-0.49	%
Various stock index futures contracts (Canada)		25,177		0.01	%		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		895,256		0.32	%		271,303		0.48	%		—	0.00	%		—		0.00	%		—		0.00	%		5,420		0.98	%
Various stock index futures contracts (Far East)		1,244,428		0.45	%		337,523		0.60	%		—	0.00	%		—		0.00	%		—		0.00	%		46,217		8.36	%
Total Long Futures Contracts		62,990		0.02	%		(338,324	)	-0.60	%		—	0.00	%		—		0.00	%		378,502		1.71	%		278,490		50.38	%
LONG CURRENCY FORWARDS {1}		2,711,184		0.98	%		1,245,757		2.22	%		35,152	0.48	%		—		0.00	%		—		0.00	%		79,611		14.40	%
LONG TOTAL RETURN SWAPS		—		0.00	%		—		0.00	%		6,463	0.09	%		(605,943	)	-13.66	%		—		0.00	%		—		0.00	%
SHORT FUTURES CONTRACTS {1}
Various base metals futures contracts (US)		1,286,062		0.46	%		—		0.00	%		—	0.00	%		—		0.00	%		31,875		0.14	%		2,450		0.44	%
Various base metals futures contracts (Europe)		(467,572	)	-0.17	%		(5,419	)	-0.01	%		—	0.00	%		—		0.00	%		—		0.00	%		(154,474	)	-27.95	%
Various currency futures contracts (US)		1,030,911		0.37	%		(104,580	)	-0.19	%		—	0.00	%		—		0.00	%		11,460		0.05	%		313		0.06	%
Various energy futures contracts (US)		774,035		0.28	%		109,801		0.20	%		—	0.00	%		—		0.00	%		(90,341	)	-0.41	%		24,629		4.46	%
Various energy futures contracts (Europe)		94,725		0.03	%		3,830		0.01	%		—	0.00	%		—		0.00	%		116,533		0.53	%		—		0.00	%
Various interest rates futures contracts (US)		1,641,151		0.59	%		39,306		0.07	%		—	0.00	%		—		0.00	%		53,781		0.24	%		5,375		0.97	%
Various interest rates futures contracts (Canada)		206,630		0.07	%		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		3,465,274		1.25	%		682,466		1.21	%		—	0.00	%		—		0.00	%		—		0.00	%		166,794		30.18	%
Various interest rates futures contracts (Far East)		407,369		0.15	%		4,256		0.01	%		—	0.00	%		—		0.00	%		—		0.00	%		33,737		6.10	%
Various soft futures contracts (US)		275,610		0.10	%		—		0.00	%		—	0.00	%		—		0.00	%		5,160		0.02	%		—		0.00	%
Various soft futures contracts (Canada)		(291,034	)	-0.10	%		(46,126	)	-0.08	%		—	0.00	%		—		0.00	%		(226,467	)	-1.02	%		(4,920	)	-0.89	%
Various soft futures contracts (Europe)		38,190		0.01	%		(14,600	)	-0.03	%		—	0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (US)		189,289		0.07	%		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		(3,010	)	-0.54	%
Various stock index futures contracts (Europe)		(17,614	)	-0.01	%		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		(15,829	)	-0.01	%		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Total Short Futures Contracts		8,617,197		3.10	%		668,934		1.19	%		—	0.00	%		0		0.00	%		(97,999	)	-0.44	%		70,894		12.83	%
Total Open Trade Equity	$	11,391,371		4.10	%	$	1,576,367		2.81	%	$	41,615	0.56	%		(605,943	)	-13.66	%	$	280,503		1.26	%	$	428,995		77.61	%

{1} No individual futures or forward contract positions constituted greater than 1.00% of net asset value. Accordingly, the number of contracts and expiration dates are not presented.

The accompanying notes are an integral part of these stamements.

F-7

The Frontier Fund

Condensed Schedules of Investments

December 31, 2005

	Balanced Series					Currency Series				Campbell/Graham Series
Description	Value			% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value
LONG FUTURES CONTRACTS {1}
Various base metals futures contracts (US)	$	1,554,786		1.15	%	$	—	0.00	%	$	—		0.00	%
Various base metals futures contracts (Europe)		7,706,946		5.67	%		—	0.00	%		383,844		1.57	%
Various currency futures contracts (US)		(366,546	)	-0.27	%		—	0.00	%		—		0.00	%
Various currency futures contracts (Europe)		(4,857	)	0.00	%		—	0.00	%		—		0.00	%
Various currency futures contracts (Far East)		8,533		0.01	%		—	0.00	%		—		0.00	%
Various energy futures contracts (US)		105,137		0.08	%		—	0.00	%		16,136		0.07	%
Various energy futures contracts (Europe)		12,784		0.01	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (US)		17,380		0.01	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		(110,328	)	-0.08	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		342,382		0.25	%		—	0.00	%		27,387		0.11	%
Various interest rates futures contracts (Far East)		144,557		0.11	%		—	0.00	%		—		0.00	%
Various precious metals futures contracts (US)		762,145		0.56	%		—	0.00	%		—		0.00	%
Various soft futures contracts (US)		1,266,893		0.93	%		—	0.00	%		5,656		0.02	%
Various soft futures contracts (Europe)		126,086		0.09	%		—	0.00	%		—		0.00	%
Various stock index futures contracts (US)		(774,467	)	-0.57	%		—	0.00	%		(67,407	)	-0.27	%
Various stock index futures contracts (Canada)		4,520		0.00	%		—	0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		563,283		0.41	%		—	0.00	%		57,527		0.24	%
Various stock index futures contracts (Far East)		940,804		0.69	%		—	0.00	%		(11,455	)	-0.05	%
Total Long Futures Contracts		12,300,038		9.05	%		—	0.00	%		411,688		1.69	%
LONG CURRENCY FORWARDS {1}		(1,075,394	)	-0.79	%		19,481	0.83	%		9,417		0.04	%
SHORT FUTURES CONTRACTS {1}
Various base metals futures contracts (US)		(791,174	)	-0.58	%		—	0.00	%		—		0.00	%
Various base metals futures contracts (Europe)		(3,691,514	)	-2.71	%		—	0.00	%		(249,765	)	-1.02	%
Various currency futures contracts (US)		289,181		0.21	%		—	0.00	%		(33,837	)	-0.14	%
Various currency futures contracts (Europe)		1,047,814		0.77	%			0.00	%		5,311		0.02	%
Various currency futures contracts (Far East)		(8,809	)	-0.01	%		—	0.00	%		—		0.00	%
Various energy futures contracts (US)		(166,894	)	-0.12	%		—	0.00	%		—		0.00	%
Various energy futures contracts (Europe)		(56,845	)	-0.04	%		—	0.00	%		6,480		0.03	%
Various interest rates futures contracts (US)		(204,260	)	-0.15	%		—	0.00	%		(32,719	)	-0.14	%
Various interest rates futures contracts (Canada)		112,778		0.08	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		14,149		0.01	%		—	0.00	%		19,527		0.08	%
Various interest rates futures contracts (Far East)		(163,982	)	-0.12	%		—	0.00	%		(15,970	)	-0.07	%
Various soft futures contracts (US)		(352,749	)	-0.26	%		—	0.00	%		(22,613	)	-0.09	%
Various soft futures contracts (Canada)		4,251		0.00	%		—	0.00	%		—		0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—	0.00	%		(1,854	)	-0.01	%
Various stock index futures contracts (US)		2,845		0.00	%		—	0.00	%		1,520		0.01	%
Various stock index futures contracts (Europe)		(100,235	)	-0.07	%		—	0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		(13,204	)	-0.01	%		—	0.00	%		—		0.00	%
Total Short Futures Contracts		(4,078,648	)	-3.00	%		—	0.00	%		(323,920	)	-1.33	%
Total Open Trade Equity	$	7,145,996		5.26	%	$	19,481	0.83	%	$	97,185		0.40	%

{1} No individual futures or forward contract positions constituted greater than 1.00% of net asset value. Accordingly, the number of contracts and expiration dates are not presented.

The accompanying notes are an integral part of these statements.

F-8

The Frontier Fund

Statements of Operations

For the Years Ended December 31, 2006, 2005 and 2004

	Balanced Series (1)									Winton Series (2)
	12/31/2006			12/31/2005			12/31/2004			12/31/2006			12/31/2005			12/31/2004
Investment Income:
Interest - net	$	4,254,855		$	1,010,834		$	5,876		$	36,215		$	16,877		$	116
Total Income		4,254,855			1,010,834			5,876			36,215			16,877			116
Expenses:
Incentive Fees		3,470,255			3,997,498			595,855			71,573			60,246			2,929
Management Fees		802,912			413,523			31,548			13,628			25,932			1,232
Service Fees - Class 1		5,329,865			1,834,871			28,836			18,222			36,835			1,190
Trading Fees		833,258			413,670			31,442			3,413			6,481			310
Total Expenses		10,436,290			6,659,562			687,681			106,836			129,494			5,661
Investment gain/(loss) - net		(6,181,435	)		(5,648,728	)		(681,805	)		(70,621	)		(112,617	)		(5,545	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on investments		9,599,811			7,979,535			1,842,923			—			—
Net change in open trade equity		5,195,082			6,537,199			623,376			—			—
Trading commissions		(1,407,917	)		(1,097,696	)		(69,857	)		—			—
Net change in inter-series receivables		996,839			—						—			—
Net change in inter-series payables		—			—						—			—
Equity in earnings/(loss) from unconsolidated trading company		(44,543	)		(795	)					400,995			365,856			17,300
Net gain/(loss) on investments		14,339,272			13,418,243			2,396,442			400,995			365,856			17,300
Minority interests		(3,662,154	)		(724,988	)		(221,836	)		—
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	4,495,683		$	7,044,527		$	1,492,801		$	330,374		$	253,239		$	11,755
NET INCOME/(LOSS) PER UNIT
Class 1	$	2.08		$	(1.45	)	$	6.03		$	5.65		$	5.92		$	6.01
Class 1a	$	(4.03	)		N/A			N/A			N/A			N/A			N/A
Class 2	$	5.51		$	1.88		$	6.85		$	6.81		$	9.43		$	6.84
Class 2a	$	(2.12	)		N/A			N/A			N/A			N/A			N/A

(1) The Balanced Series 1a and 2a of the Trust commenced trading operations on May 1, 2006.

(2) The Beach Series was renamed the Winton Series in May, 2006. (See Note 1.)

The accompanying notes are an integral part of these statements.

F-9

The Frontier Fund

Statements of Operations

For the Years Ended December 31, 2006, 2005 and 2004

	Campbell/Graham Series (1)						Currency Series
	12/31/2006			12/31/2005			12/31/2006			12/31/2005			12/31/2004
Investment Income:
Interest - net	$	1,263,221		$	126,602		$	418,503		$	3,370		$	2
Total Income		1,263,221			126,602			418,503			3,370			2
Expenses:
Incentive Fees		319,952			210,651			19,672			—			—
Management Fees		1,159,057			228,694			134,963			7,049			22
Service Fees - Class 1		1,102,685			245,963			121,492			2,161			17
Trading Fees		245,176			45,739			80,183			1,459			5
Total Expenses		2,826,870			731,047			356,310			10,669			44
Investment gain/(loss) - net		(1,563,649	)		(604,445	)		62,193			(7,299	)		(42	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on investments		127,728			467,176			920,803			(310	)
Net change in open trade equity		504,120			(1,373,930	)		20,471			(1,164	)
Trading commissions		(111,438	)		(17,946	)		—			—
Net change in inter-series payables		(572,529	)		—			(697,187	)		—
Equity in earnings/(loss) from unconsolidated trading company		3,279,772			1,570,356			—			(3,701	)		154
Net gain/(loss) on investments		3,227,653			645,656			244,087			(5,175	)		154
Minority interests		(520,410	)		363,365			(22,289	)		795
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	1,143,594		$	404,576		$	283,991		$	(11,679	)	$	112
NET INCOME/(LOSS) PER UNIT
Class 1	$	1.97		$	(5.70	)	$	3.50		$	(5.01	)	$	2.67
Class 2	$	5.03		$	(3.17	)	$	6.81		$	(2.05	)	$	3.47

(1) The Campbell/Graham Series of the Trust commenced trading operations on February 11, 2005.

The accompanying notes are an integral part of these statements.

F-10

The Frontier Fund

Statements of Operations

For the Years Ended December 31, 2006, 2005 and 2004

	Dunn Series									Graham Series
	12/31/2006			12/31/2005			12/31/2004			12/31/2006			12/31/2005			12/31/2004
Investment Income:
Interest - net	$	6,810		$	20,588		$	—		$	422,496		$	85,327		$	—
Total Income		6,810			20,588			—			422,496			85,327			—
Expenses:
Incentive Fees		—			—			74,896			—			—			50,855
Management Fees		—			—			—			414,945			215,540			16,747
Service Fees - Class 1		4,514			4,892			333			175,339			122,139			3,562
Trading Fees		1,481			9,280			2,985			83,423			43,121			3,345
Total Expenses		5,995			14,172			78,214			673,707			380,800			74,509
Investment gain/(loss) - net		815			6,416			(78,214	)		(251,211	)		(295,473	)		(74,509	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on investments		—			—			—			—			(1,234,755	)		306,423
Net change in open trade equity		—			—			—			—			1,499,174			(28,060	)
Trading commissions		—			—			—			—			(56,465	)		(6,161	)
Net change in inter-series payables					—			—			(12,370	)		—			—
Equity in earnings/(loss) from unconsolidated trading company		(18,613	)		(389,573	)		204,380			520,410			(363,365	)		—
Net gain/(loss) on investments		(18,613	)		(389,573	)		204,380			508,040			(155,411	)		272,202
Minority interests		—			—			—			—			(817,950	)		—
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	(17,798	)	$	(383,157	)	$	126,166		$	256,829		$	(1,268,834	)	$	197,693
NET INCOME/(LOSS) PER UNIT
Class 1	$	(9.92	)	$	(18.13	)	$	4.96		$	1.80		$	(20.67	)	$	3.57
Class 2	$	(7.88	)	$	(15.62	)	$	5.77		$	4.52		$	(18.19	)	$	3.92

The accompanying notes are an integral part of these statements.

F-11

The Frontier Fund

Statements of Operations

For the Year Ended December 31, 2006

	Long Only Commodity Series (1) 12/31/2006			Long/Short Commodity Series (1) 12/31/2006			Managed Futures Index Series (1) 12/31/2006
Investment Income:
Interest - net	$	231,248		$	883,143		$	285,909
Total Income		231,248			883,143			285,909
Expenses:
Incentive Fees		—			263,124			—
Management Fees		76,017			724,741			140,606
Service Fees - Class 1		27,656			299,596			3,692
Trading Fees		30,577			110,800			35,292
Total Expenses		134,250			1,398,261			179,590
Investment gain/(loss) - net		96,998			(515,118	)		106,319
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on investments		(52,991	)		618,199			(681,466	)
Net change in open trade equity		(590,714	)		398,400			429,002
Trading commissions		—			(194,308	)		(34,148	)
Net change in inter-series payables		227,966			(110,951	)		168,232
Equity in earnings/(loss) from unconsolidated trading company		—			—			—
Net gain/(loss) on investments		(415,739	)		711,340			(118,380	)
Minority interests		—			66,832			—
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	(318,741	)	$	263,054		$	(12,061	)
NET INCOME/)(LOSS) PER UNIT
Class 1	$	(4.55	)	$	0.42		$	(3.25	)
Class 2	$	(2.87	)	$	2.93		$	(1.57	)

(1) The Long Only Commodity Series, Long/Short Commodity Series and the Managed Future Index Series of the Trust commenced trading operations February 24, 2006.

The accompanying notes are an integral part of these statements.

F-12

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2006, 2005 and 2004

	Balanced Series (1)
	Class 1					Class 1a						Class 2						Class 2a
	Managing Owner		Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners
Owner’s Capital, January 1, 2004	$	—	$	—		$	—		$	—		$	1,000		$	—		$	—		$	—
Sale of Units		—		11,653,988			—			—			20,000,000			3,968,134			—			—
Redemption of Units		—		(8,738	)		—			—			(4,400,000	)		(50,000	)		—			—
Net increase in Owners’ Capital resulting from operations		—		127,012			—			—			1,301,820			63,969			—			—
Owners’ Capital, December 31, 2004		—		11,772,262			—			—			16,902,820			3,982,103			—			—
Sale of Units		—		100,673,862			—			—			—			18,337,828			—			—
Redemption of Units		—		(3,339,477	)		—			—			(17,195,006	)		(2,212,691	)		—			—
Net (decrease) in Owners’ Capital resulting from operations		—		5,634,669			—			—			293,273			1,116,585			—			—
Owners’ Capital, December 31, 2005	$	—	$	114,741,316		$	—		$	—		$	1,087		$	21,223,825		$	—		$	—
Sale of Units		—		122,409,181			200			4,133,343			1,700,000			27,713,245			50,000			596,000
Redemption of Units		—		(15,376,421	)		—			—			(1,000,000	)		(2,680,487	)					—
Net (decrease) in Owners’ Capital resulting from operations		—		2,785,824			(8	)		70,330			10,384			1,613,347			(1,058	)		16,864
Owners’ Capital, December 31, 2006	$	—	$	224,559,900		$	192		$	4,203,673		$	711,471		$	47,869,930		$	48,942		$	612,864
Owner’s Capital - Units, January 1, 2004		—		—			—			—			10			—			—			—
Sale of Units		—		111,113			—			—			200,000			37,741			—			—
Redemption of Units		—		(82	)		—			—			(41,815	)		(472	)		—			—
Owners’ Capital - Units, December 31, 2004		—		111,031			—			—			158,195			37,269			—			—
Sale of Units		—		1,020,184			—			—			—			180,579			—			—
Redemption of Units		—		(34,037	)		—			—			(158,185	)		(22,642	)		—			—
Owners’ Capital - Units, December 31, 2005		—		1,097,178			—			—			10			195,206			—			—
Sale of Units		—		1,154,601			2			43,800			15,163			248,045			500			6,261
Redemption of Units		—		(146,324	)		—			—			(8,945	)		(24,240	)		—			—
Owners’ Capital - Units, December 31, 2006		—		2,105,455			2			43,800			6,228			419,011			500			6,261
Net asset value at commencement of operations			$	100.00					$	100.00					$	100.00					$	100.00
Change in net asset value per unit for year ended December 31, 2004				6.03						N/A						6.85						N/A
Net asset value per unit at December 31, 2004			$	106.03					$	100.00					$	106.85					$	100.00
Change in net asset value per unit for year ended December 31, 2005				(1.45	)					N/A						1.88						N/A
Net asset value per unit at December 31, 2005			$	104.58					$	100.00					$	108.73					$	100.00
Change in net asset value per unit for year ended December 31, 2006				2.08						(4.03	)					5.51						(2.12	)
Net asset value per unit at December 31, 2006			$	106.66					$	95.97					$	114.24					$	97.88

(1) The Balanced Series Classes 1a and 2a of the Trust commenced trading operations on April 26, 2006

The accompanying notes are an integral part of these statements.

F-13

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2006, 2005 and 2004

	Winton Series (1)											Campbell/Graham Series
	Class 1					Class 2						Class 1					Class 2
	Managing Owner		Limited Owners			Managing Owner			Limited Owners			Managing Owner		Limited Owners			Managing Owner			Limited Owners
Owner’s Capital, January 1, 2004	$	—	$	—		$	1,000		$	—		$	—	$	—		$	—		$	—
Sale of Units		—		481,793						172,873			—		—			—			—
Redemption of Units		—		—						—			—		—			—			—
Net increase in Owners’ Capital resulting from operations		—		7,139			68			4,548			—		—			—			—
Owners’ Capital, December 31, 2004		—		488,932			1,068			177,421			—		—			—			—
Sale of Units		—		1,398,568			—			71,500			—		21,748,476			1,000			2,750,994
Redemption of Units		—		(81,685	)		—			(83,490	)		—		(497,000	)		—			—
Net increase (decrease) in Owners’ Capital resulting from operations		—		241,432			95			11,712			—		310,014			(32	)		94,594
Owners’ Capital, December 31, 2005	$	—	$	2,047,247		$	1,163		$	177,143		$	—	$	21,561,490		$	968		$	2,845,588
Sale of Units		1,000		1,037,201			310,000			91,900					29,197,231			2,025,000			3,340,314
Redemption of Units				(3,014,437	)		(101,309	)		(232,637	)				(2,795,559	)		—			(1,125,145	)
Net increase (decrease) in Owners’ Capital resulting from operations		57		285,856			18,928			25,533					880,152			79,094			184,348
Owners’ Capital, December 31, 2006	$	1,057	$	355,867		$	228,782		$	61,939		$	—	$	48,843,314		$	2,105,062		$	5,245,105
Owner’s Capital - Units, January 1, 2004		—		—			10			—			—		—			—			—
Sale of Units		—		4,612			—			1,661			—		—			—			—
Redemption of Units		—		—			—			—			—		—			—			—
Owners’ Capital - Units, December 31, 2004		—		4,612			10			1,661			—		—			—			—
Sale of Units		—		14,578			—			731			—		233,903			10			29,386
Redemption of Units		—		(900	)		—			(869	)		—		(5,261	)		—			—
Owners’ Capital - Units, December 31, 2005		—		18,290			10			1,523			—		228,642			10			29,386
Sale of Units		10		9,014			3,086			831					308,998			20,656			33,661
Redemption of Units				(23,936	)		(954	)		(1,774	)				(30,296	)		—			(11,553	)
Owners’ Capital - Units, December 31, 2006		10		3,368			2,142			580			—		507,344			20,666			51,494
Net asset value at commencement of operations			$	100.00					$	100.00				$	100.00					$	100.00
Change in net asset value per unit for the year ended December 31, 2005				N/A						N/A					(5.70	)					(3.17	)
Net asset value per unit at December 31, 2005			$	100.00					$	100.00				$	94.30					$	96.83
Change in net asset value per unit for year ended December 31, 2006				5.65						6.81					1.97						5.03
Net asset value per unit at December, 2006			$	105.65					$	106.81				$	96.27					$	101.86

(1) The Beach Series was renamed the Winton Series in May 2006. (See Note 1.)

The accompanying notes are an integral part of these statements.

F-14

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2006, 2005 and 2004

	Currency Series											Dunn Series
	Class 1					Class 2						Class 1					Class 2
	Managing Owner		Limited Owners			Managing Owner			Limited Owners			Managing Owner		Limited Owners			Managing Owner			Limited Owners
Owner’s Capital, January 1, 2004	$	—	$	—		$	1,000		$	—		$	—	$	—		$	1,000		$	—
Sale of Units		—		16,543			440,000			1,000			—		121,000			—			2,145,503
Redemption of Units		—		—			—			—			—		—			—			—
Net increase (decrease) in Owners’ Capital resulting from operations		—		43			35			34			—		(3,953	)		58			130,061
Owners’ Capital, December 31, 2004		—		16,586			441,035			1,034			—		117,047			1,058			2,275,564
Sale of Units		—		303,197			2,000,000			5,000			—		117,793			—			5,061
Redemption of Units		—		(37,497	)		(375,000	)		—			—		(19,430	)		—			(1,784,495	)
Net increase (decrease) in Owners’ Capital resulting from operations		—		(5,524	)		(6,140	)		(15	)		—		(21,985	)		(156	)		(361,016	)
Owners’ Capital, December 31, 2005	$	—	$	276,762		$	2,059,895		$	6,019		$	—	$	193,425		$	902		$	135,114
Sale of Units		—		6,559,790			—			457,300			—		—			—			—
Redemption of Units		—		(176,893	)		(2,075,000	)		(5,237	)		—		(63,735	)		—			(95,974	)
Net increase (decrease) in Owners’ Capital resulting from operations		—		232,232			31,794			19,965			—		(6,526	)		(79	)		(11,193	)
Owners’ Capital, December 31, 2006	$	—	$	6,891,891		$	16,689		$	478,047		$	—	$	123,164		$	823		$	27,947
Owner’s Capital - Units, January 1, 2004		—		—			10			—			—		—			10			—
Sale of Units		—		162			4,252			10			—		1,115			—			21,514
Redemption of Units		—		—			—			—			—		—			—			—
Owners’ Capital - Units, December 31, 2004		—		162			4,262			10			—		1,115			10			21,514
Sale of Units		—		3,050			19,712			49			—		1,330			—			53
Redemption of Units		—		(378	)		(3,663	)		—			—		(218	)		—			(20,068	)
Owners’ Capital - Units, December 31, 2005		—		2,834			20,311			59			—		2,227			10			1,499
Sale of Units				67,111			—			4,407					—						—
Redemption of Units				(1,819	)		(20,157	)		(49	)				(626	)					(1,159	)
Owners’ Capital - Units, December 31, 2006		—		68,126			154			4,417			—		1,601			10			340
Net asset value at commencement of operations			$	100.00					$	100.00				$	100.00					$	100.00
Change in net asset value per unit for year ended December 31, 2004				2.67						3.47					4.96						5.77
Net asset value per unit at December 31, 2004			$	102.67					$	103.47				$	104.96					$	105.77
Change in net asset value per unit for the year ended December 31, 2005				(5.01	)					(2.05	)				(18.13	)					(15.62	)
Net asset value per unit at December 31, 2005			$	97.66					$	101.42				$	86.83					$	90.15
Change in net asset value per unit for the year ended December 31, 2006				3.50						6.81					(9.92	)					(7.88	)
Net asset value per unit at December 31, 2006			$	101.16					$	108.23				$	76.91					$	82.27

The accompanying notes are an integral part of these statements.

F-15

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2006, 2005 and 2004

	Graham Series											Long Only Commodity Series (1)
	Class 1					Class 2						Class 1					Class 2
	Managing Owner		Limited Owners			Managing Owner			Limited Owners			Managing Owner		Limited Owners			Managing Owner			Limited Owners
Owner's Capital, January 1, 2004	$	—	$	—		$	1,000		$	—		$	—	$	—		$	—		$	—
Sale of Units		—		1,939,594			4,400,000			312,500			—		—			—			—
Redemption of Units		—		—			—			—			—		—			—			—
Net increase (decrease) in Owners’ Capital resulting from operations		—		21,989			172,598			3,106			—		—			—			—
Owners’ Capital, December 31, 2004		—		1,961,583			4,573,598			315,606			—		—			—			—
Sale of Units		—		5,283,276			—			1,573,710			—		—			—			—
Redemption of Units		—		(953,857	)		(3,991,781	)		(78,617	)		—		—			—			—
Net increase (decrease) in Owners’ Capital resulting from operations		—		(648,922	)		(580,960	)		(38,952	)		—		—			—			—
Owners’ Capital, December 31, 2005	$	—	$	5,642,080		$	857		$	1,771,747		$	—	$	—		$	—		$	—
Sale of Units		—		1,316,260			391,309			115,787			—		4,836,308			51,000			229,659
Redemption of Units		—		(1,137,106	)		—			(316,931	)		—		(229,384	)					(131,977	)
Net increase (decrease) in Owners’ Capital resulting from operations		—		170,103			(2,251	)		88,977			—		(285,460	)		(3,368	)		(29,913	)
Owners’ Capital, December 31, 2006	$	—	$	5,991,337		$	389,915		$	1,659,580		$	—	$	4,321,464		$	47,632		$	67,769
Owner’s Capital - Units, January 1, 2004		—		—			10			—			—		—			—			—
Sale of Units		—		18,939			44,000			3,037			—		—			—			—
Redemption of Units		—		—			—			—			—		—			—			—
Owners’ Capital - Units, December 31, 2004		—		18,939			44,010			3,037			—		—			—			—
Sale of Units		—		60,602			—			18,544			—		—			—			—
Redemption of Units		—		(11,483	)		(44,000	)		(915	)		—		—			—			—
Owners’ Capital - Units, December 31, 2005		—		68,058			10			20,666			—		—			—			—
Sale of Units				15,803			4,310			1,318					47,568			490			2,054
Redemption of Units				(13,128	)					(3,595	)				(2,292	)					(1,356	)
Owners’ Capital - Units, December 31, 2006		—		70,733			4,320			18,389			—		45,276			490			698
Net asset value at commencement of operations			$	100.00					$	100.00				$	100.00					$	100.00
Change in net asset value per unit for year ended December 31, 2004				3.57						3.92					N/A						N/A
Net asset value per unit at December 31, 2004			$	103.57					$	103.92				$	100.00					$	100.00
Change in net asset value per unit for the year ended December 31, 2005				(20.67	)					(18.19	)				N/A						N/A
Net asset value per unit at December 31, 2005			$	82.90					$	85.73				$	100.00					$	100.00
Change in net asset value per unit for the year ended December 31, 2006			$	1.80					$	4.52				($	4.55	)				($	2.87	)
Net asset value per unit at December 31, 2006			$	84.70					$	90.25				$	95.45					$	97.13

(1) The Long Only Commodity Series of the Trust commenced trading operations on February 24, 2006

The accompanying notes are an integral part of these statements.

F-16

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Year Ended December 31, 2006

	Long/Short Commodity Series (1)										Managed Futures Index Series (1)
	Class 1					Class 2					Class 1					Class 2
	Managing Owner		Limited Owners			Managing Owner		Limited Owners			Managing Owner		Limited Owners			Managing Owner			Limited Owners
Owners’ Capital, December 31, 2005		—		—			—		—			—		—			—			—
Sale of Units		—		19,594,958			241,000		2,457,810			—		602,781			51,000			2,500
Redemption of Units		—		(305,331	)		—		(75,414	)		—		(91,491	)					—
Net increase (decrease) in Owners’ Capital resulting from operations		—		188,968			8,285		65,801			—		(11,220	)		(859	)		18
Owners’ Capital, December 31, 2006	$	—	$	19,478,595		$	249,285	$	2,448,197		$	—	$	500,070		$	50,141		$	2,518
Owners’ Capital - Units, December 31, 2005		—		—			—		—			—		—			—			—
Sale of Units		—		197,098			2,422		24,537			—		6,120			509			26
Redemption of Units		—		(3,132	)				(753	)		—		(951	)		—			—
Owners’ Capital - Units, December 31, 2006		—		193,966			2,422		23,784			—		5,169			509			26
Net asset value at commencement of operations			$	100.00				$	100.00				$	100.00					$	100.00
Change in net asset value per unit for the year ended December 31, 2006				0.42					2.93					(3.25	)					(1.57	)
Net asset value per unit at December 31, 2006			$	100.42				$	102.93				$	96.75					$	98.43

(1) The Long/Short Commodity Series and the Managed Futures Index Series of the Trust commenced trading operations on February 24, 2006

The accompanying notes are an integral part of these statements.

F-17

The Frontier Fund

Notes to Financial Statements

As of December 31, 2005, and December 31, 2004

1. Organization and Purpose

The Frontier Fund, or the Trust, was formed as a Delaware statutory trust on August 8, 2003, with separate Series of Units. Its term will expire on December 31, 2053 (unless terminated earlier in certain circumstances). The Trust is a multi-advisor commodity pool as described in CFTC Regulation § 4.10(d)(2).

The Trust offers nine (9) separate and distinct Series: Balanced Series, Winton Series, Currency Series, Dunn Series, Graham Series, Campbell Graham Series, Long Only Commodity Series, Long/Short Commodity Series and the Managed Futures Index Series (each, a “Series” and collectively, the “Series”). In May 2006, Beach Series was renamed as Winton Series. For purposes of this report, Beach Series is referred to as Winton Series, regardless of whether the applicable time period referred to is prior or subsequent to the name change, unless explicitly set forth otherwise. The Trust may issue additional Series of Units. The Units of each Series are separated into two sub-classes of Units (except for the Balanced Series which are separated into four sub-classes of Units, of which Class 1a and Class 2a are currently inactive). The Trust, with respect to each Series:

• engages in the speculative trading of a diversified portfolio of futures, forward (including interbank foreign currencies), swap contracts and options contracts and may, from time to time, engage in cash and spot transactions;

• allocates funds to a subsidiary limited liability Trading Company or Companies. Each Trading Company has one-year renewable contracts with its own independent commodity trading advisor(s), or each, a Trading Advisor, that will manage all or a portion of such Trading Company’s assets, make the trading decisions for the assets of each Series vested in such Trading Company, segregate its assets from any other Trading Company and maintain separate, distinct records for each Series, and account for its assets separately from the other Series and the other Trust assets;

• calculates the Net Asset Value of its Units separately from the other Series;

• has an investment objective of increasing the value of each Series’ Units over the long term (capital appreciation), while controlling risk and volatility; further, to offer exposure to the investment programs of individual Trading Advisors and to specific instruments (currencies); and

• offers each Series of Units in two sub-classes-Class 1 and Class 2 (except for the Balanced Series, which has four sub-classes– Class 1, Class 1a, Class 2 and Class 2a). Investors who purchase Class 1 or Class 1a Units of any Series are charged a service fee of up to three percent (3.0%) annually of the Net Asset Value of each Unit purchased, for the benefit of Selling Agents selling such Class 1 or Class 1a Units. Equinox Fund Management, LLC, or the Managing Owner, prepays the initial service fee which is amortized monthly at an annual rate of three percent (3.0%) of the average daily Net Asset Value of Class 1 or Class 1a of such Series; provided, however, that investors who redeem all or a portion of their Class 1 or Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the Net Asset Value at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. Investors who purchase Class 2 or Class 2a Units of any Series are charged no initial or ongoing service fee. However, the Managing Owner may pay the Selling Agents an on-going service fee for certain administrative services. Any such payments by the Managing Owner will not be subject to reimbursement by the Unitholders.

• Units of any Class in a Series may be redeemed, in whole or in part, on a daily basis, at the then current Net Asset Value per Unit for such Series on the day of the week after the date the Managing Owner is in receipt of a redemption request for at least one (1) Business Day to be received by the Managing Owner prior to 4:00 PM in New York. Redemption of Class 1 Units of any Series, which have been held by the Unit holder for less than twelve (12) full months, will be subject to a redemption fee of up to three percent (3.0%) of the value of such Units being redeemed. Redemption fees are payable to Equinox Fund Management, LLC as Managing Owner of the Trust.

As of September 24, 2004, the Trust commenced operations for each Series except the Graham Series and Campbell Graham Series. The Graham Series commenced operations as of November 19, 2004. The Campbell Graham Series commenced operations on February 11, 2005. The Long Only Commodity Series, Long/Short Commodity Series and the Managed Futures Index Series commenced operations on February 11, 2006.

F-18

2. Significant Accounting Polices

The following are the significant accounting policies of the Trust.

Basis of Presentation – The financial statements of each Series of the Trust included herein have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”).

The Series, through investing in Trading Companies, place assets under management of certain Trading Advisors. The Trading Companies were organized by the Managing Owner for the purpose of investing in securities and derivative instruments, and have no operating income or expenses, except for trading income and expenses, all of which is allocated to the Series. Trading Companies in which a Series has a majority equity interest are consolidated by such Series. Investments in Trading Companies in which a Series does not have a controlling or majority interest are accounted for under the equity method and are carried in the statement of financial condition of such Series at fair value based on the interest of each Series in such Trading Company.

The consolidated financial statements of Balanced Series include the assets, liabilities and earnings of its wholly-owned and majority owned Trading Companies, Frontier Trading Company I, LLC, Frontier Trading Company II, LLC, Frontier Trading Company IV, LLC and Frontier Trading Company VI, LLC.

The consolidated financial statements of Currency Series include the assets, liabilities and earnings of its majority-owned trading company, Frontier Trading Company III, LLC.

The consolidated financial statements of Campbell/Graham Series include the assets, liabilities and earnings of its majority-owned trading company, Frontier Trading Company V, LLC.

The consolidated financial statements of Long/Short Commodity Series include the assets, liabilities and earnings of its majority-owned trading company, Frontier Trading Company VII, LLC.

The consolidated financial statements of Long Only Commodity Series include the assets, liabilities and earnings of its wholly-owned trading company, Frontier Trading Company VIII, LLC.

The consolidated financial statements of Managed Futures Index Series include the assets, liabilities and earnings of its wholly-owned trading company, Frontier Trading Company IX, LLC.

The Trust has elected not to provide statements of cash flows as permitted by Statement of Financial Accounting Standards No. 102, Statements of Cash Flows – Exemption of Certain Enterprises and Classification of Cash Flows from Certain Securities Acquired for Resale.

Cash and Cash Equivalents and Short Term Investments – 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 managers with maturities of three months or less. The Trust maintains deposits with high quality financial institutions in amounts that are in excess of federally insured limits; however, the Trust does not believe it is exposed to any significant credit risk. Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Campbell/Graham Series, Currency Series, Dunn Series and Graham Series. For the Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner. Any excess is accrued as income allocated to all Series in proportion to their daily net asset value.

Cash held at Futures Commodity Merchants – The Trust deposits assets with a broker subject to Commodity Futures Trading Commission regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such broker. The Trust earns interest income on its assets deposited with the broker.

Use of Estimates – The preparation of financial statements in conformity with generally accepted accounting principles requires the Managing Owner to make estimates and assumptions that affect amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.

F-19

Revenue recognition – Futures, options on futures, and forward contracts are recorded on a trade date basis and realized gains or losses are recognized when contracts are liquidated. Unrealized gains or losses on open contracts (the difference between contract trade price and market price) are reported in the statement of financial condition as a net unrealized gain or loss, as there exists a right of offset of unrealized gains 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 the preceding period is reported in the statement of operations. Market value of exchange-traded contracts is based upon exchange settlement prices. Market value of non-exchange-traded contracts is based on third party quoted dealer values on the Interbank market.

Allocation of Earnings – Each Series of the Trust offers two sub-classes of Units – Class 1 and Class 2 (except for the Balanced Series, which offers four sub-classes of Units – Class 1, Class 1a, Class 2 and Class 2a). All classes have identical voting, dividend, liquidation and other rights and the same terms and conditions, except that Class 1 or Class 1a Units of each Series bear certain expenses related to the servicing of such Units. Revenues, expenses (other than expenses attributable to a specific class), and realized and unrealized trading profits and losses of each Series are allocated daily to Class 1, Class 1a, Class 2 and Class 2a Units based on each Class’ relative owners’ capital balance.

Each Series allocates funds to a subsidiary Trading Company, or Companies, of the Trust. Each Trading Company allocates all of its daily trading profits or losses to the Series in proportion to each Series’ ownership interest in the Trading Company, adjusted on a daily basis. As of December 31, 2006, the value of all open contracts and cash held at clearing brokers is similarly allocated to the Series in proportion to each Series’ funds allocated to the Trading Company, or Companies.

Inter-Series Receivables/Payables - The Balanced Series, in order to make investments in the Campbell/Graham Series, Currency Series, Graham Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, advances funds to such Series, for the purpose of investing in the respective Trading Company or Trading Companies for such Series on behalf of the Balanced Series. The Balanced Series and investee Series reflect the changes in values of these investments as “Net change in inter-series receivables/payables” in the Statement of Operations.

Foreign Currency Transactions – The Trust’s functional currency is the U.S. Dollar, however, it transacts business in currencies other than the U.S. Dollar. Assets and liabilities denominated in currencies other than the U.S. Dollar are translated into U.S. Dollars at the rates in effect at the date of the statement of financial condition. Income and expense items denominated in currencies other than the U.S. Dollar are translated into U.S. Dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. Dollars are reported in income currently.

Investment Transactions and Valuation – The Trust records investment transactions on trade date and all investments are recorded at fair value in its financial statements, with changes in fair value reported as a component of realized and unrealized gains (losses) on investments in the Statements of Operations. Generally, fair values will be based on quoted market prices; however, in certain circumstances, significant judgments and estimates may be required in determining fair value in the absence of an active market closing price.

Income Taxes – No provision for income taxes has been made in these financial statements as each Limited Owner is individually responsible for reporting income or loss based on their respective share of the Trust’s income and expenses as reported for income tax purposes.

Fees and Expenses – All management fees, incentive fees, and service fees of the Trust are paid to the Managing Owner. Additionally, the trading fees are paid to the Managing Owner. It is the responsibility of the Managing Owner to pay all Trading Advisor management and incentive fees, as well as all other operating expenses and continuing offering costs of the Trust.

Pending Owner Additions – Funds received for new subscriptions and for additions to existing owner interests are recorded as capital additions at the net asset value per unit of the second business day following receipt.

In applying these policies, the Managing Owner may make judgments that may require estimates about matters that are inherently uncertain.

F-20

3. Investments in Unconsolidated Trading Companies

The following tables summarize the Balanced Series, Winton Series, Campbell/Graham Series, Dunn Series and the Graham Series investments in unconsolidated trading companies as of and for the year ended December 31, 2006.

Trading Company	Percentage of Net Assets		Fair Value			Trading Commissions		Realized Gain (Loss)			Change in Unrealized Gain (Loss)			Net Income (Loss)
Balanced Series -
Frontier Trading Company I, LLC	0.02	%	$	78,0566		($19,731	)	$	514,152			($538,964	)		($44,543	)
Winton Series -
Frontier Trading Company II, LLC	54.93	%	$	355,763		($16,982	)	$	1,035,567			($617,590	)	$	400,995
Campbell/Graham Series -
Frontier Trading Company VI, LLC	70.82	%	$	50,785,796		($222,930	)	$	397,155		$	3,105,547		$	3,279,772
Dunn Series -
Frontier Trading Company IV, LLC	N/M			($120,051	)	(1,943	)		($43,988	)	$	27,318			($18,613	)
Graham Series -
Frontier Trading Company V, LLC	89.87	%	$	7,226,062		($111,438	)	$	127,728		$	504,120		$	520,410

The following tables summarize the Balanced Series, Winton Series, Campbell/Graham Series, Currency Series, Dunn Series and the Graham Series investments in unconsolidated trading companies as of and for the year ended December 31, 2005.

Trading Company	Percentage of Net Assets		Fair Value			Trading Commissions			Realized Gain (Loss)			Change in Unrealized Gain (Loss)			Net Income (Loss)
Balanced Series -
Frontier Trading Company I, LLC	2.90	%	$	3,949,1822		$	0			($172	)		($623	)		($795	)
Winton Series -
Frontier Trading Company II, LLC	28.13	%	$	626,070			($27,305	)	$	161,475		$	231,686		$	365,856
Campbell/Graham Series -
Frontier Trading Company VI, LLC	21.01	%	$	5,129,155			($34,625	)	$	1,641,003			($36,022	)	$	1,570,356
Currency Series -
Frontier Trading Company III, LLC	—			—		$	0			($984	)		($2,717	)		($3,701	)
Dunn Series -
Frontier Trading Company IV, LLC	N/M			($166,524	)		($18,299	)		($389,656	)	$	18,382			($389,573	)
Graham Series -
Frontier Trading Company V, LLC	22.12	%	$	1,640,031			($7,386	)	$	160,246			($516,225	)		($363,365	)

F-21

The following tables summarize the Winton Series, Currency Series and the Dunn Series investments in unconsolidated trading companies as of and for the year ended December 31, 2004.

Trading Company	Percentage of Net Assets		Fair Value		Trading Commissions			Realized Gain (Loss)		Change in Unrealized Gain (Loss)			Net Income (Loss)
Winton Series -
Frontier Trading Company II, LLC	2.35	%	$	15,709		($770	)	$	2,515	$	15,555		$	17,300
Currency Series -
Frontier Trading Company III, LLC	0.03	%	$	138	$	0		$	256		($102	)	$	154
Dunn Series -
Frontier Trading Company IV, LLC	5.27	%	$	126,163		($5,170	)	$	219,345		($9,795	)	$	204,380

The unaudited condensed statements of financial condition and statements of income as of and for the years ended December 31, 2006, 2005 and 2004 for the unconsolidated trading companies are as follows:

Condensed Statement of Financial Condition - December 31, 2006	Frontier Trading Company II, LLC			Frontier Trading Company IV, LLC			Frontier Trading Company V, LLC			Frontier Trading Company VI, LLC
	(Unaudited)			(Unaudited)			(Unaudited)			(Unaudited)
Cash held at futures commodities merchants	$	7,018,159		$	1,284,925		$	13,938,010		$	16,383,004
Open trade equity		1,422,913			235,235			1,576,367			39,486,041
Total assets	$	8,441,072		$	1,520,160		$	15,514,377		$	55,869,045
Members equity	$	8,441,072		$	1,520,160		$	15,514,377		$	55,869,045
Condensed Statement of Income - For the Year Ended December 31, 2006
Interest income	$	213,384		$	99,330		$	345,944		$	487,539
Net realized gain on investments, less commissions		8,473,473			(2,356,306	)		200,390			(787,064	)
Change in open trade equity		(2,090,380	)		47,344			1,479,234			6,111,319
Net income	$	6,596,477		$	(2,209,632	)	$	2,025,568		$	5,811,794
Condensed Statement of Financial Condition - December 31, 2005	Frontier Trading Company II, LLC			Frontier Trading Company IV, LLC			Frontier Trading Company V, LLC			Frontier Trading Company VI, LLC
	(Unaudited)			(Unaudited)			(Unaudited)			(Unaudited)
Cash held at futures commodities merchants	$	3,604,769		$	1,939,800		$	5,019,359		$	8,077,776
Open trade equity		3,527,640			187,880			97,185			(1,222,005	)
Total assets	$	7,132,409		$	2,127,680		$	5,116,544		$	6,855,771
Members equity	$	7,132,409		$	2,127,680		$	5,116,544		$	6,855,771
Condensed Statement of Income - For the Year Ended December 31, 2005
Interest income	$	137,820		$	78,437		$	123,550		$	113,858
Net realized gain on investments, less commissions		1,722,360			(1,545,244	)		(857,179	)		4,961,141
Change in open trade equity		3,142,512			269,038			136,041			(1,222,005	)
Net income	$	5,002,692		$	(1,197,769	)	$	(597,588	)	$	3,852,994
Condensed Statement of Financial Condition - December 31, 2004	Frontier Trading Company II, LLC			Frontier Trading Company III, LLC			Frontier Trading Company IV, LLC
	(Unaudited)			(Unaudited)			(Unaudited)
Cash held at futures commodities merchants	$	1,342,163		$	448,185		$	1,658,389
Open trade equity		385,128			8,328			(81,158	)
Total assets	$	1,727,291		$	456,513		$	1,577,231
Members equity	$	1,727,291		$	456,513		$	1,577,231
Condensed Statement of Income - For the Year Ended December 31, 2004
Interest income	$	4,628		$	1,161		$	4,592
Net realized gain on investments, less commissions		250,724			53,601			625,916
Change in open trade equity		385,129			8,328			(81,158	)
Net income	$	640,481		$	63,090		$	549,350

F-22

4. Transactions with Affiliates

Equinox Fund Management LLC contributes funds to the Trust in order to have a 1% interest in the aggregate capital, profits and losses of all Series and in return will receive units designated as general units in the Series in which the Managing Owner invests such funds. The general units may only be purchased by the Managing Owner and may be subject to no advisory fees or advisory fees at reduced rates. Otherwise, the general units hold the same rights as the limited units. The Managing Owner is required to maintain at least a 1% interest (“Minimum Purchase Commitment”) in the aggregate capital, profits and losses of all Series so long as it is acting as the Managing Owner of the Trust. Such contribution was made by the Managing Owner before trading commenced for the Trust and will be maintained throughout the existence of the Trust, and the Managing Owner will make such purchases as are necessary to effect this requirement. Additionally, during 2006, the Managing Owner agreed with certain regulatory bodies to maintain a 1% interest specifically in the Balanced Series Class 1a Units and Balanced Series Class 2a Units, aggregated, and each of the Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series. The 1% interest in these specific Series is included in computing the Minimum Purchase Commitment in aggregate capital. In addition to the General Units the Managing Owner receives in respect of its Minimum Purchase Commitment, the Managing Owner may purchase Limited Units in any Series as a Limited Owner. All Units purchased by the Managing Owner are held for investment purposes only and not for resale.

On December 30, 2004, the Managing Owner purchased Units in the Trust’s Currency Series Class 2 for $440,000 at $103.47 per Unit. On April 29, 2005, the Managing Owner redeemed Units in the Trust’s Currency Series Class 2 for $375,000 at $102.37 per Unit. On December 22, 2005, the Managing Owner purchased Units in the Trust’s Currency Series Class 2 for $2,000,000 at $101.46 per Unit. The Managing Owner may make purchases or redemptions at any time on the same terms as any Limited Owner.

On September 23, 2004, the Managing Owner paid $5,000,000 to purchase a barrier option which effectively leveraged the purchase of $20,000,000 of the Trust’s Balanced Series Class 2 Units upon escrow break. On November 19, 2004, $4,400,000 of the Balanced Series Class 2 Units was exchanged by the Managing Owner for Graham Series Class 2 Units. These Units were controlled by the Managing Owner, subject to certain provisions in favor of the counterparty. Under the original terms of the barrier option, the option’s expiration date was one year after its effective date. On September 20, 2005, the Managing Owner and the counterparty extended the term of the option to December 31, 2005. As of December 1, 2005 the option was exercised in full. The counterparty liquidated the entire investment in the Trust and returned $4,561,653 to the Managing Owner.

On January 13, 2006, Richard E. Bornhoft, President of the Managing Owner, redeemed $4,165 from the Graham Series, Class 1. On January 17, 2006, Mr. Bornhoft invested $4,165 in the Campbell/Graham Series, Class 2. Mr. Bornhoft exchanged all of his Winton Series Units for the same class of Units in the Graham Series on April 28, 2006: $1,251 Class 1 and $1,309 Class 2. On June 7, 2006, Mr. Bornhoft redeemed $250 from Balanced Series, Class 1, $750 from Campbell/Graham Series, Class 1, $750 from Dunn Series, Class 1 and $1,000 from Graham Series, Class 1. Mr. Bornhoft redeemed $17,500 from Graham Series, Class 2 on June 14, 2006. On August 11, 2006, Mr. Bornhoft redeemed $5,000 from the Campbell/Graham Series, Class 2 and $10,000 from the Dunn Series, Class 2. On October 31, 2006, Mr. Bornhoft redeemed all his interests of $279.58 in the Balanced Series, Class 1, $184.33 in the Campbell/Graham Series, Class 1, $206.96 in the Currency Series, Class 1, $110.51 in the Dunn Series, Class 1 and $181.44 in the Graham Series, Class 1. Mr. Bornhoft may make purchases or redemptions at any time on the same terms as any Limited Owner. No other principal of the Managing Owner or affiliates own any beneficial interest in the Trust but are allowed to do so.

The Balanced Series, in order to make investments in the Campbell/Graham Series, Currency Series, Graham Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, advances funds to such Series, for the purpose of investing in the respective Trading Company or Trading Companies for such Series on behalf of the Balanced Series. The Balanced Series and investee Series reflect the changes in values of these investments as “Net change in inter-series receivables/payables” in the Statement of Operations. The Balanced Series is subject to the same allocations of income and fees as the Limited Owners of such Series. As a result of fees charged by the investee Series, fees are not charged by the Balanced Series on the capital allocated to investments in affiliated Series, and the Managing Owner monitors such allocations so that aggregate fees of the investee Series on the Balanced Series investments do not exceed the allowable fees of the Balanced Series as provided in the Trust’s Prospectus.

The following table summarizes the Balanced Series advances to and reductions from other Series of the Trust as of December 31, 2006

Twelve Months Ending December 31, 2006

(Unaudited)

Name of Series	Amount of Investment January 1, 2006		Additions During Period		Reductions During Period			Amount of Investment December 31, 2006		Earnings in Investments in Inter- Series Receivables Net P/L for the Period			Amount of Dividends or Interest		Value December 31, 2006
Campbell/Graham Series	$	0	$	28,400,000		($2,000,000	)	$	26,400,000	$	572,529		$	0	$	26,972,529
Currency Series	$	0	$	13,000,000		($3,000,000	)	$	10,000,000	$	697,187		$	0	$	10,697,187
Graham Series	$	0	$	17,000,000		($5,000,000	)	$	12,000,000	$	12,370		$	0	$	12,012,370
Long Only Commodity Series	$	0	$	5,750,000	$	0		$	5,750,000		($227,966	)	$	0	$	5,522,034
Long/Short Commodity Series	$	0	$	20,000,000		($20,110,951	)	-$	110,951	$	110,951		$	0	$	0
Managed Futures Index Series	$	0	$	10,000,000	$	0		$	10,000,000		($168,231	)	$	0	$	9,831,769
								$	64,039,049	$	996,840		$	0	$	65,035,889

F-23

As sponsoring Management Company of the Trust, the Managing Owner has agreed to bear the organization and offering costs of the Trust. These costs were $4,580,743 in 2006 and $1,825,024 in 2005.

Each Series of Units pays to the Managing Owner a monthly management fee equal to a certain percentage of such Series’ assets, calculated on a daily basis. The annual rate of the management fee is 0.5% for the Balanced Series, 2.0% for the Winton Series, Currency Series, Long Only Commodity Series and the Managed Futures Index Series, 2.5% for the Graham Series and Campbell/Graham Series, and 3.5% for the Long/Short Commodity Series. There is no management fee for the Dunn Series. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) for such Series. For the year ended December 31, 2006, management fees paid the Managing Owner were $802,912 by the Balanced Series, $13,628 by the Winton Series, $1,159,057 by the Campbell/Graham Series, $134,963 by the Currency Series, $414,945 by the Graham Series, $76,017 by the Long Only Commodity Series, $724,741 by the Long/Short Commodity Series and $140,606 by the Managed Futures Index Series. Amounts payable at December 31, 2006 to the Managing Owner for management fees were $96,056 by the Balanced Series, $619 by the Winton Series, $115,910 by the Campbell/Graham Series, $13,338 by the Currency Series, $54,921 by the Graham Series, $10,389 by the Long Only Commodity Series, $59,278 by the Long/Short Commodity Series and $17,252 by the Managed Futures Index Series.

Each Series pays to the Managing Owner a monthly trading fee (FCM Fee) equal to 1/12^th of 0.50% of such Series’ Net Asset Value, calculated daily. For the year ended December 31, 2006, FCM fees paid the Managing Owner were $833,258 by the Balanced Series, $3,413 by the Winton Series, $245,176 by the Campbell/Graham Series, $80,183 by the Currency Series, $1,481 by the Dunn Series, $83,423 by the Graham Series, $30,577 by the Long Only Commodity Series, $110,800 by the Long/Short Commodity Series and $35,292 by the Managed Futures Index Series. Amounts payable at December 31, 2006 to the Managing Owner for FCM fees were $100,164 by the Balanced Series, $155 by the Winton Series, $33,018 by the Campbell/Graham Series, $10,388 by the Currency Series, $121 by the Dunn Series, $10,984 by the Graham Series, $4,162 by the Long Only Commodity Series, $8,468 by the Long/Short Commodity Series and $4,313 by the Managed Futures Index Series.

In addition, some Series pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated by such Series, monthly or quarterly. Because the Balanced Series and Long/Short Commodity Series each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Balanced Series or the Long/Short Commodity Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee is 25% for the Balanced and Dunn Series and 20% for the Winton, Currency, Graham, Campbell/Graham Series and Long/Short Commodity Series. There is no incentive fee for the Long Only Commodity Series or the Managed Futures Index Series. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series. For the year ended December 31, 2006, incentive fees paid the Managing Owner were $3,470,255 by the Balanced Series, $71,573 by the Winton Series, $319,952 by the Campbell/Graham Series, $19,672 by the Currency Series and $271,852 by the Long/Short Commodity Series. Amounts payable at December 31, 2006 to the Managing Owner for incentive fees were $1,687 by the Winton Series and $23,954 by the Campbell/Graham Series. Amounts receivable at December 31, 2006 from the Managing owner for incentive fees were $310,873 to the Balanced Series and $6,337 to the Long/Short Commodity Series. This resulted from an incentive fee being calculated on a quarterly basis and, in December, the recovery of previous month’s estimated incentive fees earned.

Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Campbell/Graham Series, Currency Series, Dunn Series and Graham Series. For the Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner. In 2006, the Trust paid $5,256,292 of such interest income to the Managing Owner.

With respect to Class 1 of each Series, the Series pays monthly to the Managing Owner a service fee at an annualized rate of up to 3.0% (2% for the Long Only Commodity Series and Managed Futures Index Series), which the Managing Owner pays to selling agents of the Trust. Bornhoft Group Securities Corporation, an affiliate of the Managing Owner, was paid service fees of $50 in 2006.

The Managing Owner pays to The Bornhoft Group Corporation, an affiliate of the Trust, a monthly fee of 0.25% (annualized) of the net asset value of the Trust, for services in connection with the daily valuation of each Series and Class. For these services the Managing Owner paid The Bornhoft Group Corporation $713,438 in 2006. Additionally, The Bornhoft Group Corporation provides office space to the Managing Owner, prorates office expenses, and advances certain direct expenses on behalf of the Managing Owner. Under this agreement, the Managing Owner reimbursed The Bornhoft Group Corporation $178,612 for these expenses in 2006.

Solon Capital, LLC, an affiliate of the Trust, serves as wholesaler of the Trust by marketing to broker/dealer organizations. For these services, the Managing Owner paid Solon Capital, LLC, $2,140,315 in 2006.

F-24

5. Financial Highlights

The following information presents the financial highlights of the Fund for the year ended December 31, 2006. This data has been derived from information presented in the financial statements.

	Balanced Series												Winton Series						Campbell/Graham Series
	Class 1			Class 1a			Class 2			Class 2a			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2006	$	104.58		$	100.00		$	108.73		$	100.00		$	100.00		$	100.00		$	94.30		$	96.83
Net operating results:
Interest income		2.09			0.84			2.16			1.98			3.45			2.33			2.40			2.61
Expenses		(5.64	)		(3.32	)		(2.59	)		(2.38	)		(10.51	)		(5.70	)		(6.06	)		(3.57	)
Net gain/(loss) on investments, net of minority interests		5.63			(1.55	)		5.94			(1.72	)		12.71			10.18			5.63			5.99
Net income		2.08			(4.03	)		5.51			(2.12	)		5.65			6.81			1.97			5.03
Net asset value, December 31, 2006	$	106.66		$	95.97		$	114.24		$	97.88		$	105.65		$	106.81		$	96.27		$	101.86
Ratios to average net assets
Net investment gain/(loss)		(3.38	%)		(2.44	%)		(0.41	%)		0.87	%		(6.36	%)		(4.52	%)		(3.92	%)		(0.95	%)
Expenses before incentive fees		3.73	%		3.89	%		0.76	%		0.58	%		3.30	%		1.47	%		5.86	%		2.88	%
Expenses after incentive fees		5.35	%		4.65	%		2.38	%		1.34	%		9.48	%		7.65	%		6.52	%		3.54	%
Total return before incentive fees (2)		4.14	%		0.28	%		7.29	%		0.92	%		17.28	%		27.87	%		3.10	%		2.53	%
Total return after incentive fees (2)		2.02	%		0.00	%		5.11	%		0.70	%		16.84	%		23.33	%		2.10	%		2.01	%

	Currency Series						Dunn Series						Graham Series
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2006	$	97.66		$	101.42		$	86.83		$	90.15		$	82.90		$	85.73
Net operating results:
Interest income		2.28			2.79			2.01			2.19			2.21			2.31
Expenses		(4.17	)		(1.56	)		(2.93	)		(0.48	)		(5.09	)		(2.73	)
Net gain/(loss) on investments, net of minority interests		5.39			5.58			(9.00	)		(9.59	)		4.68			4.94
Net income		3.50			6.81			(9.92	)		(7.88	)		1.80			4.52
Net asset value, December 31, 2006	$	101.16		$	108.23		$	76.91		$	82.27		$	84.70		$	90.25
Ratios to average net assets
Net investment gain/(loss)		(1.82	%)		1.15	%		(1.08	%)		1.92	%		(3.44	%)		(0.47	%)
Expenses before incentive fees		4.30	%		1.34	%		3.52	%		0.53	%		6.08	%		3.11	%
Expenses after incentive fees		4.43	%		1.46	%		3.52	%		0.53	%		6.08	%		3.11	%
Total return before incentive fees (2)		5.30	%		6.94	%		(7.74	%)		(8.52	%)		2.32	%		2.67	%
Total return after incentive fees (2)		5.17	%		6.72	%		(7.74	%)		(8.52	%)		2.32	%		2.67	%
	Long Only Series						Long/Short Series						Managed Futures Series
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2006	$	100.00		$	100.00		$	100.00		$	100.00		$	100.00		$	100.00
Net operating results:
Interest income		3.66			3.83			3.65			3.70			3.56			3.65
Expenses		(3.63	)		(1.77	)		(7.38	)		(4.61	)		(4.08	)		(2.24	)
Net gain/(loss) on investments, net of minority interests		(4.58	)		(4.93	)		4.15			3.84			(2.73	)		(2.98	)
Net income		(4.55	)		(2.87	)		0.42			2.93			(3.25	)		(1.57	)
Net asset value, December 31, 2006	$	95.45		$	97.13		$	100.42		$	102.93		$	96.75		$	98.43
Ratios to average net assets
Net investment gain/(loss)		0.03	%		1.98	%		(3.80	)%		(0.90	%)		(0.54	%)		1.42	%
Expenses before incentive fees		3.64	%		1.69	%		6.21	%		3.32	%		4.23	%		2.27	%
Expenses after incentive fees		3.64	%		1.69	%		7.51	%		4.61	%		4.23	%		2.27	%
Total return before incentive fees (2)		(4.51	%)		(2.66	%)		(1.65	%)		1.90	%		(7.46	%)		(1.70	%)
Total return after incentive fees (2)		(4.51	%)		(2.66	%)		(2.43	%)		(0.74	%)		(7.46	%)		(1.70	%)

(1) The Long Only Series, Long/Short Series and Managed Futures Series commenced operations on February 24, 2006. Interest income and expenses per unit are calculated by dividing these amounts by the weighted average number of units outstanding during the period. The net gain/(loss) on investments, net of minority interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

(2) Computed using weighted average net assets outstanding during the period. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized.

F-25

The following information presents the financial highlights of the Fund for the year ended December 31, 2005. This data has been derived from information presented in the financial statements.

	Balanced Series						Beach Series						Campbell/Graham Series
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2005	$	106.03		$	106.85		$	106.01		$	106.84		$	100.00		$	100.00
Net operating results:
Interest income		1.14			1.14			1.17			1.17			1.12			1.12
Expenses		(8.42	)		(5.46	)		(9.25	)		(6.40	)		(6.78	)		(4.30	)
Net gain/(loss) on investments, net of minority interests		5.83			6.20			14.00			14.66			(0.04	)		0.01
Net income		(1.45	)		1.88			5.92			9.43			(5.70	)		(3.17	)
Net asset value, December 31, 2005	$	104.58		$	108.73		$	111.93		$	116.27		$	94.30		$	96.83
Ratios to average net assets (2)
Net investment gain/(loss)		(7.33	%)		(4.34	%)		(8.46	%)		(5.46	%)		(8.48	%)		(4.68	%)
Expenses before incentive fees		3.93	%		0.94	%		5.33	%		2.34	%		7.38	%		3.58	%
Expenses after incentive fees		8.48	%		5.49	%		9.67	%		6.68	%		10.13	%		6.34	%
Total return before incentive fees (3)		13.72	%		9.89	%		23.95	%		11.92	%		6.69	%		9.58	%
Total return after incentive fees (3)		9.17	%		5.34	%		19.61	%		7.58	%		4.25	%		7.14	%
	Currency Series						Dunn Series						Graham Series
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2005	$	102.67		$	103.47		$	104.96		$	105.77		$	103.57		$	103.92
Net operating results:
Interest income		1.10			1.10			1.13			1.13			.85			.85
Expenses		(5.69	)		(2.77	)		(3.24	)		(0.51	)		(5.09	)		(2.58	)
Net gain/(loss) on investments, net of minority interests		(0.42	)		(0.38	)		(16.02	)		(16.24	)		(16.43	)		(16.46	)
Net income		(5.01	)		(2.05	)		(18.13	)		(15.62	)		(20.67	)		(18.19	)
Net asset value, December 31, 2005	$	97.66		$	101.42		$	86.83		$	90.15		$	82.90		$	85.73
Ratios to average net assets (2)
Net investment gain/(loss)		(4.57	%)		(1.64	%)		(2.33	%)		0.66	%		(5.01	)%		(2.02	%)
Expenses before incentive fees		5.64	%		2.71	%		3.54	%		0.54	%		6.00	%		3.02	%
Expenses after incentive fees		5.64	%		2.71	%		3.54	%		0.54	%		6.00	%		3.02	%
Total return before incentive fees (3)		(7.50	%)		(2.56	%)		(13.46	%)		(23.33	%)		(15.86	%)		(13.83	%)
Total return after incentive fees (3)		(7.50	%)		(2.56	%)		(13.46	%)		(23.33	%)		(15.86	%)		(13.83	%)

(1) The Campbell/Graham Series commenced operations on February 11, 2005. Interest income and expenses per unit are calculated by dividing these amounts by the weighted average number of units outstanding during the period. The net gain/(loss) on investments, net of minority interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

(2) Ratios have been annualized for the Campbell/Graham Series and exclude the impact of the incentive fees except where otherwise noted. Incentive fees have not been annualized.

(3) Computed using weighted average net assets outstanding during the period. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized.

F-26

The following information presents the financial highlights of the Fund for the year ended December 31, 2004. This data has been derived from information presented in the financial statements.

	Balanced Series						Beach Series						C-View Currency Series
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, inception of Series	$	100.00		$	100.00		$	100.00		$	100.00		$	100.00		$	100.00
Net operating results:
Interest income		.02			.02			.02			.02			.01			.00
Expenses		(.93	)		(2.99	)		(.82	)		(1.11	)		(.19	)		(0	)
Net gain on investments		7.16			10.83			6.81			7.93			2.85			3.47
Minority Interests		(.22	)		(1.01	)
Net income		6.03			6.85			6.01			6.84			2.67			3.47
Net asset value, December 31, 2004	$	106.03		$	106.85		$	106.01		$	106.84		$	102.67		$	103.47
Ratios to average net assets (2)
Net investment loss		(3.79	)%		(0.90	)%		(5.30	)%		(2.32	)%		(5.30	)%		(2.35	)%
Expenses before incentive fees		3.97	%		0.97	%		5.50	%		2.48	%		5.48	%		2.35	%
Expenses after incentive fees		5.76	%		3.61	%		6.60	%		4.10	%		5.48	%		2.35	%
Total return before incentive fees (3)		9.09	%		9.51	%		7.37	%		8.79	%		2.67	%		3.47	%
Total return after incentive fees (3)		6.03	%		6.85	%		6.01	%		6.84	%		2.67	%		3.47	%

	Dunn Series						Graham Series
	Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, inception of Series	$	100.00		$	100.00		$	100.00		$	100.00
Net operating results:
Interest income		0			0			0			0
Expenses		(1.38	)		(3.56	)		(1.06	)		(1.16	)
Net gain on investments		6.34			9.33			4.63			5.08
Net income		4.96			5.77			3.57			3.92
Net asset value, December 31, 2004	$	104.96		$	105.77		$	103.57		$	103.92
Ratios to average net assets (2)
Net investment loss		(3.48	%)		(0.49	%)		(6.04	%)		(2.95	%)
Expenses before incentive fees		3.48	%		0.49	%		6.04	%		2.95	%
Expenses after incentive fees		6.28	%		3.81	%		7.32	%		3.75	%
Total return before incentive fees (3)		3.51	%		9.04	%		5.67	%		4.77	%
Total return after incentive fees (3)		4.96	%		5.77	%		3.57	%		3.92	%

(1) Selected data for a Unit outstanding from inception through year-end. The Balanced, Beach, C-View and Dunn Series commenced operations on September 24, 2004. The Graham Series commenced November 19, 2004.

(2) Ratios have been annualized and exclude the impact of the incentive fees except where otherwise noted. Incentive fees have not been annualized.

(3) An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized.

6. Trading Activities and Related Risks

The purchase and sale of futures and options on futures contracts require margin deposits with Futures Commodities Merchants (FCMs). Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than the total of cash and other property deposited.

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the Statement of Financial Condition, may result in future obligation or loss in excess of the amount paid by the Series for a particular investment. Each Trading Company expects to trade in futures, options, forward and swap contracts and will therefore be a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures positions held by a Trading Company in respect of any Series at the same time, and if the Trading Advisor(s) of such Trading Company are unable to offset such futures interests positions, such Trading Company could lose all of its assets and the holders of Units of such Series would realize a 100% loss. The Managing Owner will seek to minimize market risk through real-time monitoring of open positions and the level of diversification of each Trading Advisor’s portfolio. It is anticipated that any Trading Advisor’s margin-to-equity ratio will typically not exceed approximately 35% although the actual ratio could be higher or lower from time to time.

F-27

In addition to market risk, trading futures, forward and swap contracts entails credit risk in that a counterparty will not be able to meet its obligations to a Trading Company. The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions. Some non-U.S. exchanges, in contrast to U.S. exchanges, are principals’ markets in which performance is the responsibility only of the individual counterparty with whom the Trading Company has entered into the transaction, and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.

In the case of forward contracts traded on the interbank market and swaps, neither are traded on exchanges. The counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty credit risk. The Managing Owner expects the Trading Advisors to trade only with those counterparties which it believes to be creditworthy. All positions of each Trading Company will be 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 meet its obligations to any Trading Company.

The unrealized gain (loss) on open futures contracts is comprised of the following:

	Futures Contracts (exchange traded)
	2006			2005			2004
Gross Unrealized Gains	$	27,229,898		$	17,528,857		$	2,337,340
Gross Unrealized (Losses)		(13,517,509	)		(10,266,195	)		(1,742,024	)
Net Unrealized Gain (Loss)	$	13,712,389		$	7,262,662		$	595,316

The Managing Owner has established procedures to actively monitor and minimize market and credit risks. The Limited Owners bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

7. Indemnifications

The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, currency trading companies, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence or bad faith. The Trust has had no prior claims or payments pursuant to these agreements. The Trust’s individual maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. However, based on experience the Trust expects the risk of loss to be remote.

8. Subsequent Events

On February 12, 2007, a registration statement filed January 26, 2007 on Form S-1 (File No. 333-140240), as amended February 8, 2006, was declared effective. The Trust registered a total of 2,200,000 Units in such registration statement, including 1,000,000 Units in Balanced Series (Class 2), 1,000,000 Units in Long/Short Commodity Series (Class 1) and 200,000 Units in Long/Short Commodity Series (Class 2). The estimated aggregate offering price was $236,690,000, which amount was calculated assuming that all Units were sold during the Initial Offering Period at the Net Asset Value per Unit as of January 22, 2007.

F-28

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	The Frontier Fund
	(Registrant)
Date: March 21, 2007	By:	/s/ Robert J. Enck
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

E-1

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Balanced Series,
	a Series of The Frontier Fund
	(Registrant)
Date: March 21, 2007	By:	/s/ Robert J. Enck
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

E-2

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Dunn Series,
	a Series of The Frontier Fund
	(Registrant)
Date: March 21, 2007	By:	/s/ Robert J. Enck
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

E-3

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Graham Series,
	a Series of The Frontier Fund
	(Registrant)
Date: March 21, 2007	By:	/s/ Robert J. Enck
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

E-4

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Winton Series,
	a Series of The Frontier Fund
	(Registrant)
Date: March 21, 2007	By:	/s/ Robert J. Enck
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

E-5

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Campbell/Graham Series,
	a Series of The Frontier Fund
	(Registrant)
Date: March 21, 2007	By:	/s/ Robert J. Enck
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

E-6

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Currency Series,
	a Series of The Frontier Fund
	(Registrant)
Date: March 21, 2007	By:	/s/ Robert J. Enck
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

E-7

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Long Only Commodity Series,
	a Series of The Frontier Fund
	(Registrant)
Date: March 21, 2007	By:	/s/ Robert J. Enck
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

E-8

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Long/Short Commodity Series,
	a Series of The Frontier Fund
	(Registrant)
Date: March 21, 2007	By:	/s/ Robert J. Enck
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

E-9

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Managed Futures Index Series,
	a Series of The Frontier Fund
	(Registrant)
Date: March 21, 2007	By:	/s/ Robert J. Enck
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

E-10

EX-21.1

Exhibit 21.1

SUBSIDIARIES OF REGISTRANT

Name	State of Incorporation	Name Under Which Such Subsidiary Does Business
Frontier Fund Trading Company I LLC	Delaware	Same
Frontier Fund Trading Company II LLC	Delaware	Same
Frontier Fund Trading Company III LLC	Delaware	Same
Frontier Fund Trading Company IV LLC	Delaware	Same
Frontier Fund Trading Company V LLC	Delaware	Same
Frontier Fund Trading Company VI LLC	Delaware	Same
Frontier Fund Trading Company VII LLC	Delaware	Same
Frontier Fund Trading Company VIII LLC	Delaware	Same
Frontier Fund Trading Company IX LLC	Delaware	Same

EX-31.1

Exhibit 31.1

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Robert J. Enck, certify that:

1. I have reviewed this annual report of The Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Robert J. Enck
	Robert J. Enck
	President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

EX-31.2

Exhibit 31.2

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Robert J. Enck, certify that:

1. I have reviewed this annual report of Balanced Series, a Series of The Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Robert J. Enck
	Robert J. Enck
	President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Balanced Series, a Series of The Frontier Fund

EX-31.3

Exhibit 31.3

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Robert J. Enck, certify that:

1. I have reviewed this annual report of Dunn Series, a Series of The Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Robert J. Enck
	Robert J. Enck
	President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Dunn Series, a Series of The Frontier Fund

EX-31.4

Exhibit 31.4

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Robert J. Enck, certify that:

1. I have reviewed this annual report of Graham Series, a Series of The Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Robert J. Enck
	Robert J. Enck
	President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Graham Series, a Series of The Frontier Fund

EX-31.5

Exhibit 31.5

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Robert J. Enck, certify that:

1. I have reviewed this annual report of Winton Series, a Series of the Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Robert J. Enck
	Robert J. Enck
	President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Winton Series, a Series of the Frontier Fund

EX-31.6

Exhibit 31.6

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Robert J. Enck, certify that:

1. I have reviewed this annual report of Campbell/Graham Series, a Series of the Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Robert J. Enck
	Robert J. Enck
	President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Campbell/Graham Series, a Series of the Frontier Fund

EX-31.7

Exhibit 31.7

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Robert J. Enck, certify that:

1. I have reviewed this annual report of Currency Series, a Series of the Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Robert J. Enck
	Robert J. Enck
	President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Currency Series, a Series of the Frontier Fund

EX-31.8

Exhibit 31.8

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Robert J. Enck, certify that:

1. I have reviewed this annual report of Long Only Commodity Series, a Series of the Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Robert J. Enck
	Robert J. Enck
	President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Long Only Commodity Series, a Series of the Frontier Fund

EX-31.9

Exhibit 31.9

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Robert J. Enck, certify that:

1. I have reviewed this annual report of Long/Short Commodity Series, a Series of the Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Robert J. Enck
	Robert J. Enck
	President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Long/Short Commodity Series, a Series of the Frontier Fund

EX-31.10

Exhibit 31.10

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Robert J. Enck, certify that:

1. I have reviewed this annual report of Managed Index Futures Index Series, a Series of the Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Robert J. Enck
	Robert J. Enck
	President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Managed Index Futures Index Series, a Series of the Frontier Fund

EX-31.11

Exhibit 31.11

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Brent Bales, certify that:

1. I have reviewed this annual report of The Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Brent Bales
	Brent Bales
	Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

EX-31.12

Exhibit 31.12

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Brent Bales, certify that:

1. I have reviewed this annual report of Balanced Series, a Series of the Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Brent Bales
	Brent Bales
	Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Balanced Series, a Series of the Frontier Fund

EX-31.13

Exhibit 31.13

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Brent Bales, certify that:

1. I have reviewed this annual report of Dunn Series, a Series of the Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Brent Bales
	Brent Bales
	Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Dunn Series, a Series of the Frontier Fund

EX-31.14

Exhibit 31.14

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Brent Bales, certify that:

1. I have reviewed this annual report of Graham Series, a Series of the Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Brent Bales
	Brent Bales
	Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Graham Series, a Series of the Frontier Fund

EX-31.15

Exhibit 31.15

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Brent Bales, certify that:

1. I have reviewed this annual report of Winton Series, a Series of the Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Brent Bales
	Brent Bales
	Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Winton Series, a Series of the Frontier Fund

EX-31.16

Exhibit 31.16

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Brent Bales, certify that:

1. I have reviewed this annual report of Campbell/Graham Series, a Series of the Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Brent Bales
	Brent Bales
	Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Campbell/Graham Series, a Series of the Frontier Fund

EX-31.17

Exhibit 31.17

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Brent Bales, certify that:

1. I have reviewed this annual report of Currency Series, a Series of the Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Brent Bales
	Brent Bales
	Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Currency Series, a Series of the Frontier Fund

EX-31.18

Exhibit 31.18

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Brent Bales, certify that:

1. I have reviewed this annual report of Long Only Commodity Series, a Series of the Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Brent Bales
	Brent Bales
	Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Long Only Commodity Series, a Series of the Frontier Fund

EX-31.19

Exhibit 31.19

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Brent Bales, certify that:

1. I have reviewed this annual report of Long/Short Commodity Series, a Series of the Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Brent Bales
	Brent Bales
	Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Long/Short Commodity Series, a Series of the Frontier Fund

EX-31.20

Exhibit 31.20

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Brent Bales, certify that:

1. I have reviewed this annual report of Managed Futures Index Series, a Series of the Frontier Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

March 21, 2007	/s/ Brent Bales
	Brent Bales
	Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Managed Futures Index Series, a Series of the Frontier Fund

EX-32.1

Exhibit 32.1

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Annual Report of The Frontier Fund on Form 10-K for the period ended December 31, 2006 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of The Frontier Fund.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

Date: March 21, 2007

EX-32.2

Exhibit 32.2

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Annual Report of Balanced Series, a Series of The Frontier Fund on Form 10-K for the period ended December 31, 2006 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of Balanced Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Balanced Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Balanced Series, a Series of The Frontier Fund

Date: March 21, 2007

EX-32.3

Exhibit 32.3

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Annual Report of Dunn Series, a Series of The Frontier Fund on Form 10-K for the period ended December 31, 2006 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of Dunn Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Dunn Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Dunn Series, a Series of The Frontier Fund

Date: March 21, 2007

EX-32.4

Exhibit 32.4

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Annual Report of Graham Series, a Series of The Frontier Fund on Form 10-K for the period ended December 31, 2006 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of Graham Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Graham Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Graham Series, a Series of The Frontier Fund

Date: March 21, 2007

EX-32.5

Exhibit 32.5

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Annual Report of Winton Series, a Series of The Frontier Fund on Form 10-K for the period ended December 31, 2006 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of Winton Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Winton Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Winton Series, a Series of The Frontier Fund

Date: March 21, 2007

EX-32.6

Exhibit 32.6

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Annual Report of Campbell/Graham Series, a Series of The Frontier Fund on Form 10-K for the period ended December 31, 2006 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of Campbell/Graham Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Campbell/Graham Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Campbell/Graham Series, a Series of The Frontier Fund

Date: March 21, 2007

EX-32.7

Exhibit 32.7

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Annual Report of Currency Series, a Series of The Frontier Fund on Form 10-K for the period ended December 31, 2006 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of Currency Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Currency Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Currency Series, a Series of The Frontier Fund

Date: March 21, 2007

EX-32.8

Exhibit 32.8

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Annual Report of Long Only Commodity Series, a Series of The Frontier Fund on Form 10-K for the period ended December 31, 2006 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of Long Only Commodity Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Long Only Commodity Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Long Only Commodity Series, a Series of The Frontier Fund

Date: March 21, 2007

EX-32.9

Exhibit 32.9

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Annual Report of Long/Short Commodity Series, a Series of The Frontier Fund on Form 10-K for the period ended December 31, 2006 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of Long/Short Commodity Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Long/ Short Commodity Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Long/Short Commodity Series, a Series of The Frontier Fund

Date: March 21, 2007

EX-32.10

Exhibit 32.10

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Annual Report of Managed Futures Index Series, a Series of The Frontier Fund on Form 10-K for the period ended December 31, 2006 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of Managed Futures Index Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Managed Futures Index Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Managed Futures Index Series, a Series of The Frontier Fund

Date: March 21, 2007