Form 10-K

10-K 1 d10k.htm FORM 10-K Form 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, 2007

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

For the transition period from __________ to __________

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 or Other Jurisdiction of Incorporation or Organization)		(IRS Employer Identification No.)

c/o Equinox Fund Management, LLC 1660 Lincoln Street, Suite 100, Denver, Colorado 80264		80264
(Address of Principal Executive Offices)		(Zip Code)

Registrant’s Telephone Number, Including Area Code: (303) 837-0600

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

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

Title of Each Class

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

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 (or for such shorter period that the registrant was required to file such reports), 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 (§229.405) 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, a non-accelerated filer or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check One):


Large Accelerated Filer	¨	Accelerated Filer ¨

Non –Accelerated Filer	x	Smaller Reporting Company ¨
(Do not check if a smaller reporting company)

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, 2007 were: 2,726,991 for the Balanced Series, 234,906 for the Winton Series, 601,101 for the Campbell/Graham Series, 95,768 for the Currency Series, 1,223 for the Dunn Series, 75,026 for the Graham Series, 45,098 for the Long Only Commodity Series, 312,016 for the Long/Short Commodity Series and 7,327 for the Managed Futures Index Series. Units outstanding as of December 31, 2007 were: 2,503,456 for the Balanced Series, 400,783 for the Winton Series, 662,324 for the Campbell/Graham Series, 104,482 for the Currency Series, 81,098 for the Graham Series, 45,302 for the Long Only Commodity Series, 340,561 for the Long/Short Commodity Series and 9,396 for the Managed Futures Index Series.

Documents Incorporated by Reference

Portions of the Prospectus filed by the registrant on November 9, 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, 2007, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

Table of Contents


			Page
PART I

	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	26

PART II

	Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	27

	Item 6.	Selected Financial Data	28

	Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	34

	Item 7A.	Quantitative and Qualitative Disclosure About Market Risk	85

	Item 8.	Financial Statements and Supplementary Data	97

	Item 9.	Changes in and Disagreements with Accountants on Accounting and Financial Disclosure	97

	Item 9A.	Controls and Procedures	97

	Item 9B.	Other Information	98

PART III

	Item 10.	Directors, Executive Officers of the Registrant and Corporate Governance	99

	Item 11.	Executive Compensation	102

	Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	102

	Item 13.	Certain Relationships and Related Transactions, and Director Independence	103

	Item 14.	Principal Accounting Fees and Services	103

PART IV

	Item 15.	Exhibits and Financial Statement Schedules	105
		Index to Financial Statements	F-1
		Signatures	E-1

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 (the “CFTC”) Regulation § 4.10(d)(2). The Trust has authority to issue separate series, or each, a Series, of units of beneficial interest (the “Units”) in segregated pools of assets of the Trust, pursuant to the requirements of the Delaware Statutory Trust Act, as amended (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 (“ 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 ( 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, 2007, the Trust had eight separate Series of Units issued and outstanding: the Balanced Series, Winton Series (formerly the Beach Series, as described below), Campbell/Graham Series, Currency Series, Graham Series, Long Only Commodity Series, Long/Short Commodity Series and 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 the 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 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. On October 15, 2007, the remaining outstanding Units in the Dunn Series were redeemed, and the remaining net assets of the Series were distributed to the holders of those Units.

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.

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 Units in the Beach Series were redeemed.

In May 2006, the Beach Series was renamed as the Winton Series. For purposes of this report, such Series is referred to as the 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 company or companies ( each a “Trading Company”). 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 the Units in such Series 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 2007, the Trust registered up to an additional 1,000,000 Units in the Balanced Series (Class 2 Units only), 1,000,000 Units in the Long/Short Commodity Series (Class1) and 200,000 Units in the Long/Short Commodity Series (Class2) on a Registration Statement on Form S-1/A pursuant to Rule 462(b) (File No. 333-140240). As of December 31, 2007, the total Units outstanding of each Series of the Trust was 2,503,456 with respect to the Balanced Series, 400,783 with respect to the Winton Series, 662,324 with respect to the Campbell/Graham Series, 104,482 with respect to the Currency Series, 81,098 with respect to the Graham Series, 45,302 with respect to the Long Only Commodity Series, 340,561 with respect to the Long/Short Commodity Series and 9,396 with respect to the Managed Futures Index Series.

As of December 31, 2007, substantially all of the assets of the Winton Series, Currency Series, Graham Series, Long Only Commodity Series, Long/Short Commodity Series and the 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 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 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, 2007, 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 (the “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 November 9, 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 that 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.

•

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 United States.

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.

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

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 for purposes of determining margin requirements. Option positions generally are not marked-to-market daily, although short option positions will require additional margin if the market moves against the position. Due to these marked-to-market daily 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.

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 (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.

Redemptions may be temporarily suspended.

The Managing Owner may suspend temporarily any redemption for up to 30 days if the effect of the redemption, either alone or in conjunction with other redemptions, would be to impair the Trust’s ability to operate in pursuit of its objectives (for example, if the Managing Owner believes a redemption, if allowed, would materially advantage one investor over another investor). The Managing Owner anticipates suspending redemptions only under extreme circumstances, such as a natural disaster, force majeure, act of war, terrorism or other event which results in the closure of financial markets.

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 United States, 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 United States 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 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 (the “DJIA”) 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 (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 United States. 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 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 United States. 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, Long/Short Commodity Series and 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 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.

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

Certain Trading Advisors 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.

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, Campbell/Graham Series, Currency Series and 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, Campbell/Graham Series, Currency Series and 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 the margin requirements resulting from each Trading Advisor’s trading for any such Series ordinarily will be met from that Trading Advisor’s allocated net assets of such Series, a Trading Advisor for the Balanced Series, Campbell/Graham Series, Currency Series, or Long/Short Commodity Series may incur losses of such magnitude that such Series is unable to meet margin calls from the allocated net assets of that Trading Advisor. If losses of such magnitude were to occur, then the Clearing Brokers for such Series’ Trading Company may require liquidations and contributions from the allocated net assets of another Trading Advisor for such Series.

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

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 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 the Balanced Series’ past performance in deciding whether to invest in the Graham Series, Winton 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, Campbell/Graham Series, Currency Series and 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.

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 for certain Series may create financial risk for such Series.

With respect to the Graham Series, Winton 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 to the Managing Owner up to a cap of 2.0% annually of the Net Asset Value of such Series. 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.”

With the commencement by the Federal Reserve (the “Fed”) in 2007 of periodic decreases in the Federal Funds Target Rate, the interest rates available to the Trust for its cash and short-term investments have been declining. The risk of a shortfall as described above are increasing. To mitigate this risk, the Managing Owner as of February 28, 2008, moved approximately 53% of the Trust’s assets into U.S. Treasury Notes maturing in tranches from one to seven years and yielding an average of 2.52%. However, there can be no assurance that the interest income of the Trust can be maintained above the 0.75% shortfall level due to the uncertainties of the duration and extent of a low interest rate environment.

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 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 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 adviser. 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, although there are back-up personnel for every key function. The loss of such key 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, although there are back-up personnel for every key function. 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.

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 (or majority) owned and controlled, directly or indirectly, by single individuals who 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’ operations, 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, Campbell/Graham Series, Currency Series or 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 allocated among the Trading Advisors in a different manner than the currently anticipated allocation. The Managing Owner’s allocation of assets will directly affect the profitability of the trading of the Balanced Series, Campbell/Graham Series, Currency Series and Long/Short Commodity Series, possibly in an adverse manner. For example, a Trading Advisor for a Series may experience a high rate of return but may be managing only a small percentage of the net assets of such Series. 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.

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. Ongoing wars and other disputes among nations, global anti-terrorism initiatives and political unrest in the Middle East and Southeast Asia continue to present such risks. 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 United States 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 United States is a rapidly changing area of law and is subject to ongoing 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.

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 (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 individual retirement accounts, pension, profit-sharing, stock bonus, Keogh, welfare benefit 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 (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.

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.

Part II

Item 5.

MARKET FOR REGISTRANT’S COMMON EQUITY, 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 March 11, 2008:


	Number of Unitholders	Number of Units Outstanding

Balanced Series (Class 1)	8,484	1,890,112

Balanced Series (Class 1a)	258	59,669

Balanced Series (Class 2)	909	397,761

Balanced Series (Class 2a)	53	12,677

Winton Series (Class 1)	1,681	385,266

Winton Series (Class 2)	111	86,114

Currency Series (Class 1)	581	104,420

Currency Series (Class 2)	36	7,538

Campbell/Graham Series (Class 1)	3,240	599,020

Campbell/Graham Series (Class 2)	197	55,747

Dunn Series (Class 1)	0	0

Dunn Series (Class 2)	0	0

Graham Series (Class 1)	451	73,016

Graham Series (Class 2)	41	18,439

Long Only Commodity Series (Class 1)	324	45,028

Long Only Commodity Series (Class 2)	10	2,728

Long/Short Commodity Series (Class 1)	1,951	330,853

Long/Short Commodity Series (Class 2)	255	37,763

Managed Futures Index Series (Class 1)	56	7,679

Managed Futures Index Series (Class 2)	4	3,215

No Units are authorized for issuance by the Trust under equity compensation plans. During the year ended December 31, 2007, no unregistered Units were sold by the Trust. In addition, the Trust did not repurchase any Units during the year ended December 31, 2007.

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 the Balanced Series (Class 1a and 2a), 350,000 Units in the Long Only Commodity Series, 250,000 Units in the Long/Short Commodity Series and 750,000 Units in the 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 the Balanced Series (Class 2), 1,000,000 Units in the Long/Short Commodity Series (Class 1) and 200,000 Units in the Long/Short Commodity Series (Class 2).

As of December 31, 2007, the Trust had received subscriptions for the Balanced Series Units, Winton 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 $371,914,804 for the Balanced Series, $47,184,147 for the Winton Series, $77,046,305 for the Campbell/Graham Series, $15,004,060 for the Currency Series, $2,390,357 for the Dunn Series, $16,631,810 for the Graham Series, $6,617,549 for the Long Only Commodity Series, $41,613,334 for the Long/Short Commodity Series and $1,191,001 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 to 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 United States, or by a person controlled by or supervised by and acting as an instrumentality of the government of the United States. pursuant to authority granted by Congress of the United States 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 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, 2007, 2006, 2005 and 2004 is taken from the financial statements of the Trust included in section F 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.

FOR THE PERIOD ENDED DECEMBER 31, 2007


	Balanced Series			Winton Series		Campbell/ Graham Series			Currency Series			Dunn Series*
Interest income - net	$	6,823,418		$	563,371	$	1,614,470		$	435,431		$	1,966
Total expenses		19,654,933			1,718,813		4,346,128			458,545			2,662
Net gain / (loss) on investments		4,789,018			4,995,445		1,730,298			(90,083	)		(33,796	)
Net income / (loss)		(13,183,593	)		3,840,003		(2,336,186	)		(113,197	)		(34,492	)
Net income / (loss) per unit – Class 1		(5.20	)		8.18		(4.37	)		(0.50	)		(24.22	)
Net (loss) per unit – Class 1a		(5.07	)		—		—			—			—
Net income / (loss) per unit – Class 2		(2.24	)		11.80		(1.66	)		2.77			(24.58	)
Net (loss) per unit – Class 2a		(2.41	)		—		—			—			—
Total Assets		284,867,427			46,779,088		74,655,994			15,232,200			—
Total owners’ capital – Class 1		210,379,248			35,664,260		55,530,902			9,791,812			—
Total owners’ capital – Class 2		47,205,598			10,374,901		5,820,002			800,194			—
Net Asset Value per Unit – Class 1		101.46			113.83		91.90			100.66			—
Net Asset Value per unit – Class 1a		90.90			—		—			—			—
Net Asset Value per Unit – Class 2		112.00			118.61		100.20			111.00			—
Net Asset Value per Unit – Class 2a		95.47			—		—			—			—


	Graham Series		Long Only Commodity Series		Long Short Commodity Series			Managed Futures Index Series
Interest income - net	$	206,887	$	509,099	$	1,051,098		$	165,165
Total expenses		593,562		329,370		2,696,846			120,630
Net gain / (loss) on investments		1,258,686		545,270		(233,874	)		429
Net income		872,011		724,999		432,147			44,964
Net income per unit – Class 1		10.34		15.34		1.05			3.84
Net income per unit – Class 2		14.12		17.91		4.26			5.99
Total Assets		7,955,224		5,051,981		50,619,254			971,247
Total owners’ capital – Class 1		6,060,207		4,730,889		31,092,746			621,740
Total owners’ capital – Class 2		1,808,776		299,179		3,658,890			335,709
Net Asset Value per Unit – Class 1		95.04		110.79		101.47			100.59
Net Asset Value per Unit – Class 2		104.37		115.04		107.19			104.42

*	The Dunn Series ceased operations as of October 12, 2007.

FOR THE PERIOD 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		323,360,253			896,062		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.

FOR THE PERIOD 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

*	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.

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, 2007.


	1st Quarter 2007			2nd Quarter 2007			3rd Quarter 2007			4th Quarter 2007
Balanced Series:
Net gain (loss) on investments	$	(21,852,053	)	$	43,725,366		$	(27,166,912	)	$	10,082,617
Net increase/(decrease) in owners’ capital resulting from operations		(17,983,838	)		25,741,932			(25,457,523	)		4,515,836
Increase (decrease) in net asset value per Class 1 unit		(6.73	)		9.22			(9.25	)		1.56
Increase (decrease) in net asset value per Class 1a unit		(6.12	)		8.16			(8.42	)		1.31
Increase (decrease) in net asset value per Class 2 unit		(6.40	)		10.83			(9.25	)		2.58
Increase (decrease) in net asset value per Class 2a unit		(5.62	)		9.12			(8.01	)		2.10
Net asset value per Class 1 unit		99.93			109.15			99.90			101.46
Net asset value per Class 1a unit		89.85			98.01			89.59			90.90
Net asset value per Class 2 unit		107.84			118.67			109.42			112.00
Net asset value per Class 2a unit		92.26			101.38			93.37			95.47
Winton Series:
Net gain (loss) on investments	$	(591,344	)	$	2,002,258		$	1,549,237		$	2,035,294
Net income (loss)		(604,402	)		1,709,393			1,184,871			1,550,141
Increase (decrease) in net asset value per Class 1 unit		(10.28	)		11.01			3.25			4.20
Increase (decrease) in net asset value per Class 2 unit		(9.67	)		12.03			4.18			5.26
Net asset value per Class 1 unit		95.37			106.38			109.63			113.83
Net asset value per Class 2 unit		97.14			109.17			113.35			118.61
Campbell/Graham Series:
Net gain (loss) on investments	$	(5,684,040	)	$	13,790,166		$	(6,518,540	)	$	142,712
Net income (loss)		(5,407,297	)		10,524,015			(6,755,678	)		(697,226	)
Increase (decrease) in net asset value per Class 1 unit		(9.01	)		16.83			(11.15	)		(1.04	)
Increase (decrease) in net asset value per Class 2 unit		(8.84	)		18.76			(11.22	)		(0.36	)
Net asset value per Class 1 unit		87.26			104.09			92.94			91.90
Net asset value per Class 2 unit		93.02			111.78			100.56			100.20
Currency Series:
Net gain (loss) on investments	$	(245,566	)	$	565,874		$	(169,277	)	$	(241,114	)
Net income (loss)		(224,705	)		566,780			(171,586	)		(283,686	)
Increase (decrease) in net asset value per Class 1 unit		(3.02	)		7.15			(1.81	)		(2.82	)
Increase (decrease) in net asset value per Class 2 unit		(2.44	)		8.56			(1.13	)		(2.22	)
Net asset value per Class 1 unit		98.14			105.29			103.48			100.66
Net asset value per Class 2 unit		105.79			114.35			113.22			111.00
Dunn Series:*
Net gain (loss) on investments	$	(25,580	)	$	19,666		$	(26,031	)	$	(1,851	)
Net income (loss)		(25,933	)		19,501			(26,174	)		(1,886	)
Increase (decrease) in net asset value per Class 1 unit		(14.47	)		14.71			(22.69	)		(1.77	)
Increase (decrease) in net asset value per Class 2 unit		(14.97	)		16.48			(24.20	)		(1.87	)
Net asset value per Class 1 unit		62.44			77.15			54.46			—
Net asset value per Class 2 unit		67.30			83.78			59.58			—
Graham Series:
Net gain (loss) on investments	$	(715,851	)	$	1,863,241		$	(163,543	)	$	274,839
Net income (loss)		(777,875	)		1,655,349			(202,290	)		196,827
Increase (decrease) in net asset value per Class 1 unit		(8.97	)		19.72			(2.87	)		2.46
Increase (decrease) in net asset value per Class 2 unit		(8.96	)		21.94			(2.34	)		3.48
Net asset value per Class 1 unit		75.73			95.45			92.58			95.04
Net asset value per Class 2 unit		81.29			103.23			100.89			104.37
Long Only Commodity Series:
Net gain (loss) on investments	$	134,462		$	(191,148	)	$	238,958		$	362,998
Net income (loss)		182,868			(76,727	)		264,607			354,251
Increase (decrease) in net asset value per Class 1 unit		3.42			(1.59	)		5.70			7.81
Increase (decrease) in net asset value per Class 2 unit		3.98			(1.12	)		6.38			8.67
Net asset value per Class 1 unit		98.87			97.28			102.98			110.79
Net asset value per Class 2 unit		101.11			99.99			106.37			115.04
Long/Short Commodity Series:
Net gain (loss) on investments	$	(645,884	)	$	(748,661	)	$	(1,660,691	)	$	2,821,362
Net income (loss)		174,240			(323,650	)		47,424			534,133
Increase (decrease) in net asset value per Class 1 unit		0.61			(1.05	)		(0.01	)		1.50
Increase (decrease) in net asset value per Class 2 unit		1.40			(0.31	)		0.77			2.40
Net asset value per Class 1 unit		101.03			99.98			99.97			101.47
Net asset value per Class 2 unit		104.33			104.02			104.79			107.19
Managed Futures Index Series:
Net gain (loss) on investments	$	(69,408	)	$	33,435		$	968		$	35,434
Net income (loss)		(40,312	)		52,492			(1,576	)		34,360
Increase (decrease) in net asset value per Class 1 unit		(6.69	)		7.33			(0.54	)		3.74
Increase (decrease) in net asset value per Class 2 unit		(6.35	)		8.00			(0.05	)		4.39
Net asset value per Class 1 unit		90.06			97.39			96.85			100.59
Net asset value per Class 2 unit		92.08			100.08			100.03			104.42

*	The Dunn Series ceased operations as of October 12, 2007.

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’ capital 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 1 unit		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 1 unit		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 1 unit		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 1 unit		(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 1 unit		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 1 unit		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 1 unit		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 1 unit		(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

Item 7.

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

Overview

The Frontier Fund (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 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).

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 the Balanced Series (Class 2) and Long/Short Commodity Series (Class 1 and Class 2).

As of December 31, 2007, the Trust had eight separate Series of Units issued and outstanding: the Balanced Series, Winton Series, Campbell/Graham Series, Currency 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).

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 (“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.

Investment Transactions and Valuation

The Managing Owner has evaluated the nature and types of estimates that it makes in preparing the Trust’s financial statements and related disclosures and has determined that the valuation of investments that are not traded on a U.S. or internationally recognized futures exchange involves a critical accounting policy. The market values of futures (exchange traded) contracts, currencies and forward (non-exchange traded) contracts are verified by the Managing Owner, which obtains valuation data from third party data providers and compares those prices with data received from the Trust’s clearing brokers and currency traders. All values are final and conclusive as to all unitholders.

If actual results vary from estimates used, such variances are not anticipated to have a material impact on the financial statements and related disclosures.

The Trust records all investments at fair value in its financial statements, with changes in fair value reported as a component of realized and unrealized gain (loss) on investments in the Statements of Operations. Generally, fair values are based on quoted market prices; however, in certain circumstances, significant judgments and estimates are involved in determining fair value in the absence of an active market closing price.

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.

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, 2007, 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.

Consolidation

The Series, through investing in Trading Companies, authorize certain Trading Advisors to place trades and manage assets at pre-determined investment levels. The Trading Companies were organized by the Managing Owner for the purpose of investing in securities and derivative instruments for the accounts of the respective Series, 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. Fair value represents the accumulated profit or loss associated with the Series investment in the Trading Company(s).

The consolidated financial statements of the 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, Frontier Trading Company VI, LLC and Frontier Trading Company IX, LLC.

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

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

Statement of Cash Flows

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.

Investments and Swaps

Transactions are recorded on a trade date basis and all investments are recorded at fair value in the financial statements, with changes in fair value reported as a component of realized and unrealized Gain / (Loss) 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. At December 31, 2007 all investments in futures and forward contracts were based on quoted market prices. The valuation of investments in swap contracts (“Swaps”) involve estimates. See Note 3.

The Managing Owner may make judgments that can frequently require estimates about matters that are inherently uncertain. The Managing Owner provides a good faith estimate of each Series’ daily net asset value (“NAV”) per Unit based on such uncertain information. The Managing Owner’s good faith estimate of each Series’ NAV per Unit is published daily by the Trust and is used for subscriptions, redemptions and exchanges of all Trust Units, and such Unit transactions are final and not subject to subsequent adjustment unless the estimate of NAV varies from the actual NAV by more than one percent (1.0%) of the actual NAV as described within the Prospectus.

The Balanced Series, in order to make investments from time to time 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 amount of the funds advanced by the Balanced Series to each of the Campbell/Graham Series, Currency Series, Graham Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series participates on a pari passu basis with the Class 2 Units of such investee Series. The Balanced Series reflects the change in value of these investments as “Net change in inter-series receivables” in the Statement of Operations. The Balanced Series is subject to allocations of income and fees on the same basis as the Limited Owners of such Series. To avoid duplication of fees, 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.

Swap contracts are marked to market daily primarily using quotations from counterparties. The value of the contracts is separately disclosed in the Statements of Financial Condition. The unrealized appreciation (depreciation) related to the change in valuation of the notional amount of the swap is combined with the amount due to (owed by) the Series at termination or settlement. The net change in this amount during the period is included on the Statements of Operations. The Series also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations.

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.

Income Taxes

On July 13, 2006, the Financial Accounting Standards Board (“FASB”) released FASB Interpretation No. 48 Accounting for Uncertainty in Income Taxes (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trust’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The adoption of FIN 48 was effective for the Trust on January 1, 2007, and did not impact the Trust’s financial position or results of operations.

Recent Accounting Pronouncements:

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“SFAS 157”). SFAS 157, among other things, defines fair value, establishes a framework for measuring fair value and enhances disclosures about fair value measurements required under other accounting pronouncements, but does not change existing guidance as to whether or not an instrument is carried at fair value. SFAS 157 is effective for the Trust on January 1, 2008, and management does not expect that the adoption of SFAS 157 will have a material impact on the Trust’s financial statements.

In February 2007, the FASB issued Statement of Financial Accounting Standards No. 159, The Fair Value Option for Financial Assets and Financial Liabilities (“SFAS 159”), which permits entities to choose to measure many financial instruments and certain other items at fair value that are not currently required to be measured at fair value. SFAS 159 is effective for the Trust on January 1, 2008. Management is currently evaluating the provisions of SFAS 159 and its potential effects on its financial statements.

In April 2007, the FASB issued Interpretation No. 39-1, Amendment of FASB Interpretation No. 39 (“FIN 39-1”). FIN 39-1 defines “right of setoff” and specifies what conditions must be met for a derivative contract to qualify for this right of setoff. It also addresses the applicability of a right of setoff to derivative instruments and clarifies the circumstances in which it is appropriate to offset amounts recognized for those instruments in the Consolidated Statements of Financial Condition. In addition, FIN 39-1 permits offsetting of fair value amounts recognized for multiple derivative instruments executed with the same counterparty under a master netting arrangement and fair value amounts recognized for the right to reclaim cash collateral (a receivable) or the obligation to return cash collateral (a payable) arising from the same master netting arrangement as the derivative instruments. This interpretation is effective for fiscal years beginning after November 15, 2007. The adoption of FIN 39-1 on January 1, 2008 is not expected to have a material impact on the Trust’s Financial Statements.

In December 2007, the FASB issued Statement of Financial Accounting Standards No. 160, Noncontrolling Interest in Consolidated Financial Statements, an amendment of ARB Statement No. 51 (“SFAS 160”), to establish accounting and reporting standards for the non-controlling interest in a subsidiary and for the deconsolidation of a subsidiary. SFAS 160 clarifies that a non-controlling interest in a subsidiary, which is sometimes referred to as minority interest, is an ownership interest in the consolidated entity that should be reported as a component of equity in the consolidated financial statements. Among other requirements, SFAS 160 requires consolidated net income to be reported at amounts that include the amounts attributable to both the parent and the non-controlling interest. It also requires disclosure, on the face of the consolidated income statement, of the amounts of consolidated net income attributable to the parent and to the non-controlling interest. SFAS 160 is effective on January 1, 2009 and is not expected to have a significant impact on the Trust’s financial statements.

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 that 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, 2007, cash deposited at the clearing brokers was $52,225,010 for the Balanced Series, $12,761,730 for the Campbell/Graham Series, $1,539,788 for the Currency Series, $0 for the Long Only Commodity Series and $21,539,642 for the Long/Short Commodity 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 3.67%. 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 United States, or by a person controlled by or supervised by and acting as an instrumentality of the government of the United States pursuant to authority granted by Congress 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 in either 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, 2007, total cash and cash equivalents and short term investments held at banking institutions were $176,009,417 for the Balanced Series, $41,692,931 for the Winton Series, $35,416,683 for the Campbell/Graham Series, $12,715,131 for the Currency Series, $3,077,061 for the Graham Series, $4,275,935 for the Long Only Commodity Series, $28,837,629 for the Long/Short Commodity Series and $322,995 for the Managed Futures Index Series.

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 which is the risk that a counterparty will not be able to meet its obligations to a Trading Company. The counterparty for futures contracts traded in the United States 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.

Results of Operations

Market Conditions for Twelve Months Ended December 31, 2007

January 2007

Interest Rates

U.S. interest rate futures continued to slide in January and reached five-month lows by the end of the month. Strong economic data roiled the markets, extending a bearish move that began early in December. Although European interest rate futures also fell, data hinted at weaker-than-expected economic conditions and the possibility that the European Central Bank may act later rather than sooner in any additional rate increases. The result was that European futures at the short end of the curve declined more slowly than their American counterparts.

Currencies

The U.S. Dollar started the month strongly, but then fell into a narrow trading range for the remainder of January. The British Pound gained 0.3%, the Japanese Yen was down 1.3%, and the Euro decreased 1.3% against the U.S.Dollar. The Canadian Dollar fell by 1.0% against the U.S. Dollar and gained 0.3% against the Euro.

Stock Indices

Stock markets continued the upward trend that began in June 2006. The S&P 500 finished the month up 1.4% and the NASDAQ Composite was higher by 2%. The blue-chip Dow Jones Industrial Index continued to set new all-time highs during January, culminating with an intraday high of 12,657 and finishing the month up 1.3% at 12,621. In Europe, futures on the German DAX finished the month up just over 3% while French CAC-40 futures were up 0.6%. Japanese Nikkei 225 futures finished the month higher by nearly 1%.

Energy

The petroleum markets went into a tailspin the first half of the month and finished lower despite a sharp recovery in the second half of January. After being down nearly 18% in the middle of the month, crude oil finished the month lower by 6.8% at $58.14. Heating oil barely changed, but gasoline blendstock lost 6.5%. Colder weather swept through much of the United States, driving natural gas futures higher by 17.9%.

Metals

After a three-day rout to begin the month, April gold recovered and finished January at $657.90/oz, up 2.1%. March silver behaved similarly, up 4.9% by the end of the month. March copper fell by 7.7% in the first trading session before spending the rest of the month in a trading range, finishing lower by 9.6%.

Commodities

A bullish government report drove corn to lock limit up on the Friday before the long Martin Luther King weekend, but that was nearly all the bulls could muster as the market meandered downward for the rest of the month to finish with a gain of only 3.5%. Wheat was unaffected and finished the month down 6.7%. Sugar broke out of a three-month trading range and began another leg down, finishing the month lower by 9.8%.

February 2007

Interest Rates

Longer-term U.S. interest rate futures reversed course and moved haltingly upward through most of February. Everything changed on February 27th, as a sharp worldwide stock market decline drove futures strongly higher. A flight-to-quality and fears of an oncoming U.S. recession on that day combined to create an explosive move upward in shorter-term rate futures, further inverting the U.S. yield curve. Although European interest rate futures spent most of the month in a trading range, the events of the 27th affected markets around the world, including Europe, and futures of all maturities moved up in concert with the American markets.

Currencies

The U.S. Dollar moved steadily downward against most major currencies in February, with the sole exception being the British Pound, which was only slightly lower. The Japanese Yen was up 1.8% and the Euro increased 1.5% against the U.S. Dollar. The Canadian Dollar climbed 0.6% against the U.S Dollar and fell 0.9% against the Euro.

Stock Indices

The big story of the month was the worldwide stock sell-off on February 27th. After what appeared to be another up month in most of the global stock markets, the Chinese market sold off sharply amongst fears the government would move to curb rampant speculation. The near panic selling continued in the European markets and then crossed the pond to the U.S. markets, with the DJIA finishing the day down 3.3% and the month off by 2.8%. The S&P 500 finished the month down 2.2% and the NASDAQ Composite was lower by 1.9%. In Europe, futures on the German DAX fell more than 5% on the 27th and finished the month down 1.8%, while French CAC-40 futures were down 2.1%. Japanese Nikkei 225 futures finished the month higher by 0.4%.

Energy

With the exception of gasoline, the energy markets were relatively quiet in February, with crude oil finishing the month higher by 5% at $61.79/bbl. Heating oil was up 5.6%, but natural gas fell by 4.6%. Gasoline blendstock gained 10.7% with a powerful late-month upward thrust.

Metals

After moving upward throughout the month, April gold fell along with inflation expectations on February 27th and finished the month at $672.50/oz, up 2.2%. May silver behaved similarly, up 3.9% by the end of the month. May copper reversed its three-month long downtrend, gaining 5.7% during February.

Commodities

Soybeans led the grains complex with a mid-month rise of nearly 10%, but then fell back to finish the month up 7.2%. Orange juice shook off the sharp drop of the previous month and climbed steadily to a positive 9.1% performance.

March 2007

Interest Rates

While short-term U.S. interest rate futures remained range-bound and volatile throughout the month, the longer-term contracts reversed course and headed downward in March. European rate futures fell precipitously in the second half of the month, signaling an expectation of higher rates to come.

Currencies

The U.S. Dollar continued to fall in March, finishing down 0.8% as measured by the U.S. Dollar Index (a benchmark that measures the U.S. Dollar’s value against a basket of foreign currencies). The Japanese Yen was up 0.6% and the Euro increased nearly 1% against the U.S. Dollar. The Canadian Dollar climbed 1.4% against the U.S. Dollar and 0.4% against the Euro.

Stock Indices

After testing the March 5th lows in the middle of the month, most of the world’s stock markets took off to the upside and recovered a significant portion of the heavy losses that were incurred in late February and early March. The S&P 500 finished the month up 1% and the NASDAQ Composite was higher by 0.2%. European markets were particularly strong, with futures on the German DAX finishing 2.7% while French CAC-40 futures climbed 2.1%. The Japanese Nikkei 225 finished the month slightly down.

Energy

After a lackluster first half of March, the energy complex rallied strongly on fears of increased Middle East instability when Iran took prisoner fifteen British sailors and Marines. Crude oil finished the month higher by 4.5% at $65.87/bbl. Heating oil was up 5.7% and gasoline blendstock continued an upward trend, gaining 9.0% by the end of March. While remaining range-bound, natural gas also increased, finishing the month higher by 4.4%.

Metals

June gold took a pounding along with stocks in the first few trading sessions of the month, but then recovered to finish down 1.4% at $669/oz. May silver fell even harder, down more than 10% early in the month and finishing March lower by 5.5%. Copper continued to streak upward, with the May contract up 14.3% at the end of the month.

Commodities

After moving steadily lower through the month, corn was hit hard and locked limit down in the last trading session of March to finish down 14%. Wheat moved down in sympathy, but soybeans remained range-bound and finished the month off 3.3%. In response to the housing slowdown in the United States, lumber continued trending downward, losing 8% by the end of the month.

April 2007

Interest Rates

After falling sharply in the first week of the month, longer-term U.S. interest rate futures were able to recover and finish April slightly higher. Futures at the short end of the curve finished significantly down, however, in recognition that the United States economy may not be as weak as the housing sector would indicate. Interest rate futures in Europe fell across the board, narrowing the spread with the United States Since the “flight to quality” at the end of February and the first few days of March, European rate futures have fallen steadily, even as European stock indices have climbed to one new record after another.

Currencies

The U.S. Dollar continued to drop in April, finishing lower by 1.8% as measured by the U.S. Dollar Index. The Japanese Yen was down 1.5% and the Euro climbed nearly 2.2% against the U.S. Dollar, driving the Euro/Yen cross rate to a new record high, up 3.6%. The Canadian Dollar skyrocketed nearly 4% against the U.S. Dollar and 1.8% against the Euro.

Stock Indices

European and U.S. stock markets shot past the February highs into new record territory in April. The DJIA jumped by 5.7%, its biggest monthly percentage gain since October 2002. Both the S&P 500 and the NASDAQ Composite finished the month up 4.3%. European markets also had stellar months, as German DAX futures were up 6.3% and French CAC-40 futures rose nearly 6%.

Energy

While crude oil remained in a tight range and finished the month lower by 2.6% at $65.71/bbl, tight supplies and the oncoming summer driving season drove gasoline prices higher by 10.8%. Heating oil was up slightly, and natural gas remained range-bound and finished the month nearly unchanged.

Metals

July copper continued to move sharply higher, adding another 13.3% in April. June gold closed above $695/oz for the first time since late February, but then pulled back to finish the month up 2.2% at $683.50/oz. Silver behaved similarly. After pulling back in March, zinc moved steadily higher.

Commodities

While corn remained in a volatile trading range, soybeans moved steadily downward and finished the month off 4.5%. Wheat went its own way and moved sharply higher, up 9.2% for the month at $4.95/bu. Cotton dropped precipitously and ended the month down 10.5%.

May 2007

Interest Rates

In the face of a steadily climbing stock market and fears of inflation, U.S. interest rate futures across the entire curve fell significantly in May, giving traders plenty of opportunities from which to profit. European interest rate futures also dropped, as strong economic data reinforced expectations of ECB rate raises in the future.

Currencies

After flirting with all-time lows in April, the U.S. Dollar Index recovered slightly in May, gaining 1% during the month. The Japanese Yen continued to fall, down an additional 1.8% against the U.S. Dollar, and the Euro fell 1.4%, driving the Euro/Yen cross rate to another new record high, up 0.4%. While the Australian Dollar was little changed, the Canadian Dollar continued its meteoric rise, climbing nearly 4% against the U.S. Dollar for the second month in a row and 5.3% against the Euro.

Stock Indices

Stock buyers did not miss a beat as the spectacular gains seen in April continued into May. Both U.S. and European stock markets continued to set one new record close after another. The DJIA jumped by 4.3% in May to close at a record 13,627. After a nearly seven year long drawdown, the S&P 500 eclipsed its previous highest monthly close set in August 2000, climbing 3.3% to finish the month at 1530.6. European markets also had excellent months, as German DAX futures rose 6.3% (duplicating its April performance) and French CAC-40 futures rose nearly 2.6%.

Energy

Gasoline prices fell immediately following the long U.S. Memorial Day weekend, finishing the month little changed. Crude oil continued to be volatile and range-bound, finishing the month lower by 4.8% at $64.01/bbl. Heating oil was down slightly, and natural gas showed no directional movement, finishing May nearly unchanged.

Metals

July copper corrected against the uptrend, shedding 5.4% in May. Gold and silver followed, with June gold down 3.3% to $661/oz and July silver finishing little changed.

Commodities

While corn remained in a trading range, the soy complex moved strongly higher, with July soybeans finishing up 8.5%. Soybean oil and soybean meal move higher, as well. Coffee reversed a four-month downtrend to settle higher by 5.4%. Lumber reversed a downtrend that had been in place since the first of the year, climbing 13.4%.

June 2007

Interest Rates

After falling precipitously the previous month, interest rate futures on both sides of the Atlantic bottomed-out in the middle of the June and even strengthened going into the end of the month. The recovery was most apparent at the longer end of the curve, although shorter U.S. rate futures, such as Eurodollars, participated as well.

Currencies

The U.S. Dollar showed remarkable strength in the beginning of June, but then retreated along with interest rates to finish the month off by 0.5%. The Japanese Yen continued its long decline, down an additional 1.1% against the U.S. Dollar. The Euro, however, climbed 0.7%, driving the Euro/Yen cross-rate to another new record high, up 1.8%. After pausing for six weeks, the Australian Dollar resumed its upward trend, up 2.5% against the U.S. currency. It was the Canadian Dollar’s turn to pause, climbing only 0.4% against the U.S. Dollar and falling slightly against the Euro.

Stock Indices

Reflecting climbing oil prices and uncertainty in interest rates, the world’s stock markets remained within a trading range during June. The DJIA fell by 1.6% to finish at 13,408. After setting a new record monthly close in May, the S&P 500 retreated by 1.8%. German DAX futures rose 0.6% and French CAC-40 futures fell nearly 1%.

Energy

Crude oil broke out of a trading range and climbed throughout the month in June, finishing higher by 8.8% at $70.68/bbl. Gasoline blendstock was relatively quiet, closing 4% higher. Heating oil followed crude oil higher, up 7.6% by the end of the month. Natural gas prices fell sharply, off 14%.

Metals

August gold lurched unsteadily downward in June, finishing the month lower by 2.4% at $650.90/oz. September silver fell dramatically in the second half of the month to shed 8.3%. September copper remained range-bound, closing up 1.8%.

Commodities

After a steep run-up earlier in the month, a bearish U.S. government report claiming a 19% increase in planted corn acreage accelerated a sharp decline in corn prices, which closed out the month down 8.8%. The same report was bullish for the soy complex, with November soybeans finishing up 5.4%. Soybean oil and soybean meal move higher, as well. Cotton gapped up and never looked back, up nearly 12% on the month.

July 2007

Interest Rates

As problems related to the U.S. sub-prime mortgage market continued to spread, interest rate futures on both sides of the Atlantic climbed steadily higher in July. Stock markets around the world fell dramatically on July 26, triggering a corresponding flight-to-quality which accelerated the increase in bond prices. This was particularly notable at the short end of the curve, as traders anticipated a rate cut by the Fed in response to a tightening credit market.

Currencies

The U.S. Dollar Index fell steadily through most of July, but gained strength with the flight-to-quality later in the month to finish down 1.4%. Many commentators attributed the sharp Japanese Yen increase of 3.8% to an unwinding of the “carry” trade, in which low-yielding currencies are borrowed to invest in high-yielding currencies. For several years the Japanese Yen has been a favorite of carry traders due to the low yield of Japanese bonds. The Euro finished the month up 1.1% against the U.S. Dollar, and down 2.7% against the Japanese Yen, ending the string of record highs in the Euro-Yen cross rate. After showing strength earlier in the month, both the Australian Dollar and Canadian Dollar fell in the last few trading sessions to finish little changed.

Stock Indices

The U.S. sub-prime mortgage problems spread and threw a chill into stock markets around the world in July. The DJIA fell 2.3% on July 26, its biggest one-day drop since the debacle of February 27^th when it fell just over 3%. For the month, the DJIA was down 1.5%, the S&P 500 was down 3.2%, and the NASDAQ Composite fell 2.2%. European markets also had a declining month, as German DAX futures fell 6% and French CAC-40 futures finished down 5.2%.

Energy

Higher energy prices also contributed to the stock market decline as crude oil climbed 10.2% to $78.21/bbl, a record daily high and monthly closing price. Gasoline fell by 4% and heating oil rose 3.2%. The natural gas market continued to fall, declining 9.9%.

Metals

December gold climbed and then fell to finish the month up 2.3% at $679.20/oz. September silver followed suit to finish up 4.4%, and September copper closed July up 5.7% in a relatively quiet and directionless month.

Commodities

Soybeans fell back in July, declining 2.7% for the month and 10.3% from the mid-month high of $9.50/bu. The livestock sector scored gains, as lean hogs climbed more than 17% and live cattle finished up 5.5%.

August 2007

Interest Rates

The flight-to-quality that started in the late days of July became a full-scale exodus in August, as risk-averse investors flooded into U.S. Treasury bonds. The increase in bond and note prices happened across the entire curve. Traders of 30-day Fed Funds futures, expecting lower short-term rates ahead, drove the contract up to its largest single-month gain in nearly four years. European rate futures were also up across the board, although not to the extent of their American cousins.

Currencies

The important story in August was the dramatic unwinding of the carry trade. Massive carry trade positions that were short Japanese Yen and long higher-yielding currencies were closed out in the first half of the month as traders tried to limit losses and raise capital to cover other losing positions. The culmination was a full-scale rout on August 16 ^th, when the Australian Dollar had its largest single-day move ever, losing 3.5% against the U.S. Dollar and 5.8% against the Japanese Yen. Against the U.S. Dollar, the Japanese Yen gained 2.5% during the month and the Euro was off by 0.4%. The Canadian Dollar was up 1% against the U.S. Dollar and 1.4% against the Euro.

Stock Indices

Although bedlam in the financial markets continued through much of August, U.S. stock markets recovered from early losses to finish slightly up on the month. The S&P 500 was down nearly 6% intraday on August 16^th, but recovered to finish the day higher and the month higher by 1.3%. Similarly, the DJIA was up 1.1% and the NASDAQ Composite gained 2%. While German DAX futures were higher by 1.9%, French CAC-40 futures finished lower by 1.3%.

Energy

In the face of financial market gridlock and possible recession ahead, crude oil futures finished off 4.6%, although even though this was a strong recovery from the mid-month losses of nearly 11%. Heating oil was down 3.9%, and natural gas fell by 14.8%.

Metals

Gold was nearly unchanged in August at $681.90/oz. Silver fell by 7.3% and copper was off 6.2%.

Commodities

Wheat set a new all-time record high in August, rising nearly 20% to $7.67/bu. In spite of a strong downward move in the middle of the month, soybeans recovered to finish the month up 2.9%. Orange juice continued to fall, down another 15.9% for the month.

September 2007

Interest Rates

The financial market chaos of July and August abated somewhat in September, as major problems appeared to be isolated and liquidity returned. The meteoric rise in short-term rate futures of the previous month gave way to range-bound, albeit volatile trading in September. After continuing to rise early in the month, longer-term rate futures on both sides of the Atlantic retreated before month-end to finish mixed.

Currencies

The dominant theme of September was the general decline of the U.S. Dollar. The U.S. Dollar Index finished down 3.8%, setting a new all-time record low. Recovering from a devastating pullback in August, the Australian Dollar rose 8.4% against the U.S. Dollar, its largest single-month gain of the last 30 years. Also against the U.S. Dollar, the Euro was up 4.7%, the British Pound gained 1.5%, and the Japanese Yen picked up 0.8%. The Canadian Dollar was up 6.4% against its U.S. counterpart and 1.6% against the Euro.

Stock Indices

After the Fed’s surprise 0.5% lowering of the Federal funds rate (the “Fed funds rate”) on September 18, stock indices in the United States and Europe strengthened, shaking off the fears of the earlier two months. The DJIA gained nearly 538 points, or 4%, during the month to finish at 13,896, a new record high monthly close. The S&P 500 tacked on 3.6%, and the NASDAQ Composite was up 4.1%. German DAX futures gained 2.2% and French CAC-40 futures were up 0.5%.

Energy

In the face of a declining U.S. Dollar, crude oil futures climbed steadily throughout September to finish up 11.4% to $81.66/bbl. Heating oil was up 7.3%, and natural gas gained 6.3%, its first positive month since April.

Metals

In another move related to the falling U.S. Dollar, gold futures broke convincingly out of a trading range and gained 9.9% to finish at $742.80/oz, another all-time high monthly close. Silver gained 13.8%, and copper finished higher by 7.2%.

Commodities

Wheat set another new all-time record high in September, rising 21.1% to $9.39/bu. Soybeans also strengthened, gaining 12.3%. Coffee picked up 11% while lean hogs were down 9.6%.

October 2007

Interest Rates

After dipping in the first part of the month, most U.S. interest rate futures reversed sharply to finish up for the month of October. The exceptions were 30-day Fed Funds futures, which continued to consolidate prior gains and finished slightly down. European rate futures across the curve tracked their U.S. counterparts for most of the month, but retreated precipitously in the last trading session to finish lower.

Currencies

Pessimism over the future of the U.S. economy contributed to the continuing decline of the U.S. Dollar during October. For the month, the U.S. Dollar Index finished down 1.6%, setting another new all-time record low. The Euro and the British Pound continued to strengthen against the U.S. Dollar, gaining 1.5% and 1.6% respectively for October. The Australian Dollar continued its meteoric rise against the U.S Dollar, gaining 5.2% for the month. The Japanese Yen dropped against the U.S. Dollar during the first part of the month, finishing slightly down for October. The Canadian Dollar was up 5.2% against its U.S. counterpart, setting a new thirty-year high.

Stock Indices

The DJIA reached an all time closing high of 14,167 on October 9, but fell slightly the second half of the month, finishing at 13,930. The S&P 500 gained 1.5%, and the NASDAQ Composite continued its strong performance, up 5.8% during the month. German DAX futures gained 1.9% and French CAC-40 futures were up 2%.

Energy

The petroleum complex continued to rocket upwards, with Crude oil futures setting a new record high monthly close, finishing up 17% to $93.27/bbl. Heating oil also strengthened and set a new record high, gaining 12.8%. Natural gas remained in a trading range, up 8.1%.

Metals

Gold futures continued to strengthen and gained 6%, finishing at $795/oz, another all-time high monthly close. Copper futures reversed in the beginning of the month, with prices dropping by 4.6%.

Commodities

Wheat, which reached an all-time record high in September, reversed a four-month upward trend and finished down 14% to $8.08/bu. Coffee decreased sharply the second half of the month and finished lower by 5.2%. Soybeans consolidated recent gains, closing up 1.7%, while lean hogs continued a downward trend, ending lower by 13.5%.

November 2007

Interest Rates

In response to worsening housing news in both the United States and Great Britain, interest rate futures on both sides of the Atlantic and across the entire curve climbed steadily for most of the month. A late-month pullback, primarily in the European rate futures, was not enough to erase the strong performance for November.

Currencies

Worries about the U.S. economy and expectations for additional Fed funds rate cuts contributed to the U.S. Dollar’s decline in November. The U.S. Dollar Index finished down 0.4% at another new record low monthly close. After setting a new record high early in the month, the Canadian Dollar suddenly reversed course, and losing 5.5% against its U.S. counterpart by the end of the month. The Euro continued to strengthen against the U.S. Dollar, gaining 1% during November. The British Pound fell against the U.S. Dollar, finishing the month down 1.1% after reports of declining UK housing prices. The nationwide house price index of HBOS, UK’s largest mortgage provider, showed the sharpest contraction in nearly 10 years, sparking expectations of lower interest rates to come. The Australian Dollar reversed the upward trend against the U.S. Dollar that has been in place since August, dropping 5.3% for the month. The Japanese Yen gained against the U.S. Dollar, finishing up 3.7% for the month.

Stock Indices

The DJIA, which reached an all time intraday high of 14,198 in October, fell sharply the first part of November. The blue chip index recouped some of the loss after Abu Dhabi Investment Authority announced it would invest $7.5 billion in Citigroup Inc., which had suffered severe losses in the midst of the ongoing crisis in the mortgage market. The DJIA finished the month at 13,371, a decline of 5.8%. The S&P 500 index followed the same pattern as the DJIA and finished down 4.4%. The NASDAQ Composite reversed an upward trend that began in August and finished down 6.9%. French CAC-40 and German DAX futures also dropped in the beginning of November but bounced back, finishing lower by 2.9% and 2.3% respectively.

Energy

Natural gas futures prices spent most of last month on a downward path, finishing down 15.7%. After setting a new all-time intraday high of $99.29/bbl, January crude oil futures retreated sharply the last part of the month, finishing down 4.9% at $88.71/bbl. Heating oil also hit a new intraday record high, but dropped the second half of the month to finish lower by 1.1%. Gasoline prices were also lower, finishing down 5.1%.

Metals

In the midst of concerns over the sustainability of Chinese demand for copper and worldwide economic growth, copper futures continued to weaken and dropped 8.8% during November. Silver futures reached a new 25-year intraday high in early November, but weakened the last part of the month to finish down 3%. Gold futures also hit a new 25-year record high of $855/oz on November 7th before retreating, finishing down 1.6% to $789/oz.

Commodities

Soybean futures prices have rallied sharply from the beginning of the year, resulting in the highest prices in three decades, and may be headed for all-time highs. January soybeans reached an intraday high of $11.09/bu on November 26 and closed up 5.3%. Corn finished higher by 2.2%. Wheat recouped some of the October loss and finished up 6.7%. Lean hogs reversed a downward trend and finished up 2.4%.

December 2007

Interest Rates

Directionless and range-bound trading led U.S. interest rate futures to finish mixed for the month of December. The European interest rate futures across the entire curve dropped precipitously during the first part of December and finished significantly lower.

Currencies

The U.S. Dollar Index, which has been on a downward path for most of the year, finished December up 0.7%. The Euro weakened against the U.S. Dollar in the beginning of December, but reversed course by the end of the month, finishing down 0.3%. Worries about the U.K. economy and expectations for additional rate cuts by the Bank of England contributed to the British Pound’s decline in December. The British Pound fell against the U.S. Dollar, finishing the month down 3.5%. The British Pound also fell against the Euro, dropping 3.2% for the month. The Japanese Yen and the Australian Dollar lost against the U.S. Dollar, finishing down 0.4% and 1.1% respectively. The Canadian Dollar finished the month nearly unchanged against the U.S. Dollar.

Stock Indices

The DJIA gained in the beginning of December, but changed course mid-month and finished at 13,264.8, a decline of 0.8%. The S&P 500 index and the NASDAQ Composite followed the same pattern as the DJIA and finished down 0.9% and 0.3% respectively. German DAX futures recouped some of their November losses, finishing up 2.1%, while FTSE futures were nearly unchanged. The Nikkei Index finished lower by 2.4% in December.

Energy

Crude oil futures approached the November highs in December, finishing the year up 57% at $95.98/bbl, the largest annual percentage jump since 1999. Natural gas futures prices recouped some of the November loss, finishing up 1.5%. Gasoline prices were also up in December, rising 10.5%. Heating oil also finished higher by 6%.

Metals

Copper futures, which have been on a downward path since early October, finished down 4.5%. Platinum futures continued to strengthen during December, finishing up 5.3%. Silver futures, which reached a new 25-year intraday high in early November, also finished up 5.3%. Gold futures, which hit a new 25-year high in November, finished up 6.2% at $838/oz.

Commodities

Strong Chinese demand for soybean products has been a factor behind the recent increase in soybean futures prices. March soybeans reached an intraday high of $12.48/bu on December 28 and closed up 10.6%. Corn continued its upward path, finishing higher by 13.5%. Sugar futures prices finished higher 11%. Lumber futures prices dropped in December, finishing down 7.2%.

Series Returns and Other Information

The returns for each Series and Class of Units for the twelve months ended December 31, 2007, and related information, are discussed below. Each Series had exposure to commodity interest positions within one or more sectors during 2007. The performance of each Series was impacted over the course of the year by, among other things, the relative performance of the relevant sector or sectors and the commodities within those sectors, the changing allocations among, and the specific positions taken by the Series’ Trading Advisors in, the relevant sector(s) and commodities, and the timing of entries and exits. For certain of the Series, a sector attribution chart has been included at the end of the relevant discussion. Each chart depicts the performance of the relevant Series’ positions within each of the relevant sectors (determined by the Managing Owner using monthly gross return and Net Asset Value figures, with various adjustments to net out a proportional allocation of the fees and expenses chargeable to the Series) during the fourth quarter (except as otherwise noted) and for the full calendar year. See comments above under Market Condition for Twelve Months Ended December 31, 2007 for information regarding the market performance of each sector on a month-by-month basis during the year. Charts depicting the performance of the various Series’ positions within each of the relevant sectors during the prior three quarters were included in the Trust’s quarterly reports on Form 10-Q previously filed.

Balanced Series

The Balanced Series – Class 1 Net Asset Value lost 4.9% for the twelve months ended December 31, 2007, net of fees and expenses; the Balanced Series – Class 1a Net Asset Value lost 5.3% for the twelve months ended December 31, 2007, net of fees and expenses; the Balanced Series – Class 2 Net Asset Value lost 2.0% for the twelve months ended December 31, 2007, net of fees and expenses; the Balanced Series – Class 2a Net Asset Value lost 2.5% for the twelve months ended December 31, 2007, net of fees and expenses.

For the twelve months ended December 31, 2007, the Balanced Series recorded net gain on investments of $4,789,018, net interest of $6,823,418, and total expenses of $19,654,933, resulting in a net decrease in Owners’ capital from operations of $13,183,593 after minority interests of ($5,141,096). The Net Asset Value per Unit, Class 1, decreased from $106.66 at December 31, 2006, to $101.46 at December 31, 2007. For Class 1a, the Net Asset Value per Unit decreased from $95.97 at December 31, 2006, to $90.90 at December 31, 2007. The Net Asset Value per Unit, Class 2, decreased from $114.24 at December 31, 2006, to $112.00 at December 31, 2007. For Class 2a, the Net Asset Value per Unit decreased from $97.88 at December 31, 2006, to $95.47 at December 31, 2007. Total Class 1 subscriptions and redemptions for the twelve months were $45,063,047 and $53,164,207, respectively. Total Class 1a subscriptions and redemptions for the twelve-month period were $2,453,374 and $758,846, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $12,361,842 and $13,809,185, respectively. Total Class 2a subscriptions and redemptions for the twelve month period were $799,760 and $184,318, respectively. Ending capital at December 31, 2007, was $204,740,748 for Class 1, $5,638,500 for Class 1a, $45,954,042 for Class 2 and $1,251,556 for Class 2a. At December 31, 2006, ending capital 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.

In November and December, the Balanced Series, through Frontier Trading Company I, LLC, engaged in a fund option transaction, whereby the Balanced Series obtains exposure to the performance of additional commodity funds held by a counterparty to the option, for the purpose of further diversification among trading advisors and styles. The Trust does not have transparency to the underlying investments of these commodity funds, so the returns from this program cannot be characterized.

The Balanced Series had exposure to commodity interest positions within the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors during 2007. For information regarding the below sector attribution chart, see the disclosures above under Series Returns and Other Information.

Sector Attribution for the Balanced Series

LOGO

Winton Series (Formerly the Beach Series)

The Winton Series – Class 1 Net Asset Value gained 7.7% for the twelve months ended December 31, 2007, net of fees and expenses; the Winton Series – Class 2 Net Asset Value gained 11.0% for the twelve months ended December 31, 2007, net of fees and expenses.

For the twelve months ended December 31, 2007, the Winton Series recorded net gain on investments of $4,995,445, net interest of $563,371, and total expenses of $1,718,813, resulting in a net increase in Owners’ capital from operations of $3,840,003. The Net Asset Value per Unit, Class 1, increased from $105.65 at December 31, 2006, to $113.83 as of December 31, 2007. The Net Asset Value per Unit, Class 2, increased from $106.81 at December 31, 2006, to $118.61 as of December 31, 2007. Total Class 1 subscriptions for the twelve months were $34,289,489 and redemptions were $1,381,913. Total Class 2 subscriptions and redemptions for the twelve-month period were $9,328,823, and $684,886, respectively. Ending capital at December 31, 2007, was $35,664,260 for Class 1 and $10,374,901 for Class 2. Ending capital at December 31, 2006, was $356,924 for Class 1 and $290,721 for Class 2.

The Winton Series had exposure to commodity interest positions within the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors during 2007. For information regarding the below sector attribution chart, see the disclosures above under Series Returns and Other Information.

Sector Attribution for the Winton Series

LOGO

Campbell/Graham Series

The Campbell/Graham Series – Class 1 Net Asset Value lost 4.5% for the twelve months ended December 31, 2007, net of fees and expenses; the Campbell/Graham Series – Class 2 Net Asset Value lost 1.6% for the twelve months ended December 31, 2007, net of fees and expenses.

For the twelve months ended December 31, 2007, the Campbell/Graham Series recorded net gain on investments of $1,730,298, net interest of $1,614,470, and total expenses of $4,346,128, resulting in a net decrease in Owners’ capital from operations of $2,336,186 after minority interests of ($1,334,826). The Net Asset Value per Unit, Class 1, decreased from $96.27 at December 31, 2006, to $91.90 as of December 31, 2007. The Net Asset Value per Unit, Class 2, decreased from $101.86 at December 31, 2006, to $100.20 as of December 31, 2007. Total Class 1 subscriptions for the twelve months ended December 31, 2007, were $16,528,939 and redemptions were $7,450,850. Total Class 2 subscriptions and redemptions for the twelve months ended December 31, 2007, were $1,454,351, and $3,038,831, respectively. Ending capital at December 31, 2007, was $55,530,902 for Class 1 and $5,820,002 for Class 2. Ending capital at December 31, 2006, was $48,843,314 for Class 1 and $7,350,167 for Class 2.

The Campbell/Graham Series had exposure to commodity interest positions within the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors during 2007. For information regarding the below sector attribution chart, see the disclosures above under Series Returns and Other Information.

Sector Attribution for the Campbell/Graham Series

LOGO

Currency Series

The Currency Series – Class 1 Net Asset Value lost 0.5% for the twelve months ended December 31, 2007, net of fees and expenses; the Currency Series – Class 2 Net Asset Value gained 2.6% for the twelve months ended December 31, 2007, net of fees and expenses.

For the twelve months ended December 31, 2007, the Currency Series recorded net loss on investments of $90,083, net interest of $435,431, and total expenses of $458,545, resulting in a net decrease in Owners’ capital from operations of $113,197. The Net Asset Value per Unit, Class 1, decreased from $101.16 at December 31, 2006, to $100.66 as of December 31, 2007. The Net Asset Value per Unit, Class 2, increased from $108.23 at December 31, 2006, to $111.00 as of December 31, 2007. Total Class 1 subscriptions and redemptions for the twelve months ending December 31, 2007 were $4,092,276, and $1,073,104, respectively. Total Class 2 subscriptions and redemptions for the twelve months ending December 31, 2007, were $1,127,954 and $828,550, respectively. Ending capital at December 31, 2007, was $9,791,812 for Class 1 and $800,194 for Class 2. Ending capital at December 31, 2006, was $6,891,891 for Class 1 and $494,736 for Class 2.

All commodity interest positions of the Currency Series during 2007 were within the Currencies sector.

Dunn Series

The Dunn Series ceased trading on October 12, 2007.

The Dunn Series – Class 1 Net Asset Value lost 31.5% for the period January 1, 2007 through October 12, 2007, net of fees and expenses; the Dunn Series – Class 2 Net Asset Value lost 29.9% for the period January 1, 2007 through October 12, 2007, net of fees and expenses.

For the period January 1, 2007 through October 12, 2007, the Dunn Series recorded net loss on investments of $33,796, net interest of $1,966, and total expenses of $2,662, resulting in a net decrease in Owners’ capital from operations of $34,492. The Net Asset Value per Unit, Class 1, decreased from $76.91 at December 31, 2006, to $52.69 as of October 12, 2007. The Net Asset Value per Unit, Class 2, decreased from $82.27 at December 31, 2006, to $57.71 as of October 12, 2007. There were no Class 1 subscriptions for the period January 1, 2007 through October 12, 2007. Total Class 1 redemptions were $91,734 for the period January 1, 2007 through October 12, 2007. There were no Class 2 subscriptions for the period January 1, 2007 through October 12. Class 2 redemptions for the period January 1, 2007 through October 12 were $25,708. Ending Capital at December 31, 2007, was $0 for Class 1 and $0 for Class 2. Ending capital at December 31, 2006, was $123,164 for Class 1 and $28,770 for Class 2.

The Dunn Series had exposure to commodity interest positions within the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors prior to ceasing trading on October 12, 2007. For information regarding the below sector attribution chart, see the disclosures above under Series Returns and Other Information.

Sector Attribution for the Dunn Series (1)

LOGO

(1)	The Dunn Series ceased trading operations on October 12, 2007; therefore, only Market Conditions and Sector Attributions through the third quarter of 2007 apply.

Graham Series

The Graham Series – Class 1 Net Asset Value gained 12.2% for the twelve months ended December 31, 2007, net of fees and expenses; the Graham Series – Class 2 Net Asset Value gained 15.6% for the twelve months ended December 31, 2007, net of fees and expenses.

For the twelve months ended December 31, 2007, the Graham Series recorded net gain on investments of $1,258,686, net interest of $206,887, and total expenses of $593,562, resulting in a net increase in Owners’ capital from operations of $872,011. The Net Asset Value per Unit, Class 1, increased from $84.70 at December 31, 2006, to $95.04 as of December 31, 2007. The Net Asset Value per Unit, Class 2, increased from $90.25 at December 31, 2006, to $104.37 as of December 31, 2007. Total Class 1 subscriptions and redemptions for the twelve months

ended December 31, 2007 were $1,274,358 and $1,786,900, respectively. Total Class 2 subscriptions and redemptions for the twelve months ended December 31, 2007 were $24,016 and $555,334, respectively. Ending capital at December 31, 2007, was $6,060,207 for Class 1 and $1,808,776 for Class 2. Ending capital at December 31, 2006, was $5,991,337 for Class 1 and $2,049,495 for Class 2.

The Graham Series had exposure to commodity interest positions within the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors during 2007. For information regarding the below sector attribution chart, see the disclosures above under Series Returns and Other Information.

Sector Attribution for the Graham Series

LOGO

Long Only Commodity Series

The Long Only Commodity Series – Class 1 Net Asset Value gained 16.1% for the twelve months ended December 31, 2007, net of fees and expenses; the Long Only Commodity Series – Class 2 Net Asset Value gained 18.4% for the twelve months ended December 31, 2007, net of fees and expenses.

For the twelve months ended December 31, 2007, the Long Only Commodity Series recorded net gain on investments of $545,270, net interest of $509,099, and total expenses of $329,370, resulting in a net increase in Owners’ capital from operations of $724,999. The Net Asset Value per Unit, Class 1, increased from $95.45 at December 31, 2006 to $110.79 as of December 31, 2007. The Net Asset Value per Unit, Class 2, increased from $97.13 at December 31, 2006, to $115.04 as of December 31, 2007. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2007 were $1,304,399 and $1,584,773, respectively. Total Class 2 subscriptions and redemptions for the twelve months ended December 31, 2007 were $196,183 and $47,605, respectively. Ending capital at December 31, 2007, was $4,730,889 for Class 1 and $299,179 for Class 2. Ending capital at December 31, 2006, was $4,321,464 for Class 1 and $115,401 for Class 2.

The Long Only Commodity Series had exposure to long commodity interest positions within the Energies, Metals and Commodities sectors during 2007.

The Long Only Commodity Series invests approximately equally in the Jefferies Commodity Performance Index and the Reuters/Jefferies CRB Index. Since the Series invests only in such indices, no Sector Attributions charts for the Long Only Commodity Series are included.

Long/Short Commodity Series

The Long/Short Commodity Series – Class 1 Net Asset Value gained 1.0% for the twelve months ended December 31, 2007, net of fees and expenses; the Long/Short Commodity Series – Class 2 Net Asset Value gained 4.1% for the twelve months ended December 31, 2007, net of fees and expenses.

For the twelve months ended December 31, 2007, the Long/Short Commodity Series recorded net loss on investments of $233,874, net interest of $1,051,098, and total expenses of $2,696,846, resulting in a net increase in Owners’ capital from operations of $432,147 after minority interests of $2,311,769. The Net Asset Value per Unit, Class 1, increased from $100.42 at December 31, 2006, to $101.47 as of December 31, 2007. The Net Asset Value per Unit, Class 2, increased from $102.93 at December 31, 2006, to $107.19 as of December 31, 2007. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2007 were $18,802,305 and $6,675,705, respectively. Total Class 2 subscriptions and redemptions for the twelve months ended December 31, 2007 were $1,317,261 and $500,449, respectively. Ending capital at December 31, 2007, was $31,092,746 for Class 1 and $3,658,890 for Class 2. Ending capital at December 31, 2006, was $19,478,595 for Class 1 and $2,697,482 for Class 2.

The Long/Short Commodity Series had exposure to commodity interest positions within the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors during 2007. Typically, the majority of the exposure is to the Energies, Metals and Commodities sectors. For information regarding the below sector attribution chart, see the disclosures above under Series Returns and Other Information.

Sector Attribution for the Long/Short Commodity Series

LOGO

Managed Futures Index Series

The Managed Futures Index Series – Class 1 Net Asset Value gained 4.0% for the twelve months ended December 31, 2007, net of fees and expenses; the Managed Futures Index Series – Class 2 Net Asset Value gained 6.1% for the twelve months ended December 31, 2007, net of fees and expenses.

For the twelve months ended December 31, 2007, the Managed Futures Index Series recorded a net gain on investments of $429, net interest of $165,165, and total expenses of $120,630, resulting in a net increase in Owners’ capital from operations of $44,964. The Net Asset Value per Unit, Class 1, increased from $96.75 at December 31, 2006, to $100.59 as of December 31, 2007. The Net Asset Value per Unit, Class 2, increased from $98.43 at December 31, 2006, to $104.42 as of December 31, 2007. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2007 were $264,820 and $174,964, respectively. Total Class 2 subscriptions for the twelve months ended December 31, 2007 were $269,900. There were no redemptions. Ending capital at December 31, 2007, was $621,740 for Class 1 and $335,709 for Class 2. Ending capital at December 31, 2006, was $500,070 for Class 1 and $52,659 for Class 2.

The Managed Futures Index Series had exposure to commodity interest positions within the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors during 2007. For information regarding the below sector attribution chart, see the disclosures above under Series Returns and Other Information.

Sector Attribution for the Managed Futures Index Series

LOGO

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.

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 U.S. 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”) 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 had 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.

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

For purposes of this report, the Beach Series is referred to as the 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 United States 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 Japanese 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 Fed’s 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 U.S. 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 U.S. Dollar. The resulting market reaction was to push the Euro to a 20 month high, whilst sterling rose to its highest level against the U.S. 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 of the U.S. 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 U.S. 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.

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 United States. 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 Fed, the European Central Bank (the “ECB”) and the Bank of Japan (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 United States, 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 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 Fed policy. Global bond yields finished the month relatively mixed, as yields in the United States 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 United States, the NASDAQ declined 6%, the S&P 500 fell 3%, and the DJIA 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 U.S. 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 U.S. 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 (the “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 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.

Unusually difficult trading conditions continued throughout July. The specter of economic uncertainty in the United States 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, 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 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 Japanese Yen. The carry trade remained a popular trade, putting pressure on low interest rate funding currencies like the Japanese 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.

The beginning of 2006 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 U.S. 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 U.S. 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 U.S. 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 Japanese 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 U.S. Dollar Index losing 4% of its value by the end of the month. The British Pound gained 5.1% against the U.S. Dollar, 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 U.S. Dollar Index losing 1.6% of its 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.

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.

The 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.

The 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 U.S. 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 the 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 Fed 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.

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 United States 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 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 U.S. 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 (the “CPI”) was released. This along with comments by several FOMC members expressing concern over levels of inflation in the United States 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 Japanese 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 U.S. 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 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’ annual benchmark by the Bureau of Labor and Statistics (the “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 United States 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 United States 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.

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 U.S. Dollar fell to a 4-month low versus the Euro amid continuing speculation concerning the direction of interest rates in the United States 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 United States 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 U.S. 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 United States 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 United States. Major global equity indices in the United States and Europe finished the month higher as equity prices rallied following the release of

positive economic data in the United States. 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 Japanese 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.

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 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 United States, 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 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 United States 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 weaker-than-expected economic data triggered renewed uncertainty concerning the strength of the U.S. economy and the pace of Fed policy. Global bond yields finished the month relatively mixed, as yields in the United States 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 U.S. 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 U.S. Dollar finished the month with only modest gains versus the Euro, the Japanese Yen and the Swiss 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 United States 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 United States, the NASDAQ, DJIA, 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 U.S. 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 U.S. 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 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. The Graham Series’ 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. The Graham Series’ 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 Commodity 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 had been overheated for weeks, and prices peaked on May 11 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, 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 United States, 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 were 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%.

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.

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 United States 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 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 United States, 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.

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.

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.

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 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 United States 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.

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 United States 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.

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

The Winton 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 Winton 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 Winton 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 United States 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 FOMC 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 United States. 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 Winton 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

United States. 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, Japanese 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 U.S. 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, 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 Winton Series was profitable in June, with performance primarily coming from the Financial sectors. The Currency sector benefited mainly from positions in the Japanese 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 United States. 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 Winton 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 U.S. 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 Dollar 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. Japanese 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 Winton 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 U.S. Dollar Index climbing to a new high for the year. The Japanese Yen also broke its 2004 low vs. the U.S. Dollar along with the 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 its 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 United States 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 United States 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 U.S. Dollar ended the month lower. However, small gains on our short U.S. 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 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 Japanese Yen. The major theme continued to be the rising U.S. interest rate differentials and the persistent weakness of the Japanese 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.

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 Currency 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 U.S. 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 United States, 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 Currency Series generated positive returns in positions long of New Zealand Dollar, Philippine Peso, Singapore Dollar and the Taiwan Dollar. 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, British 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 Dollar 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 Dollar, Philippine Peso and Polish Zloty but these were partially offset by a loss in U.S. Dollar versus Singapore Dollar.

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 Currency 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 United States coincided with 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 British 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 United States 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 United States 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 U.S. 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 Japanese Yen sentiment. As in June, the month started strongly. As the momentum in the strength of the U.S. 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 the 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.

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 Japanese 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 Currency 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 U.S. Dollar. These moves were largely supported by comments made by Secretary Snow that the Administration wants a strong U.S. Dollar, adding that the focus will be on deficit reduction and other steps to sustain the U.S. Dollar’s strength. These comments caught many investors off guard as most market participants expected the U.S. 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 U.S. 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 U.S. Dollar. The strong U.S. Dollar trend reversed sharply late in the month largely due to the rumor that South Korea was diversifying its foreign reserves out of U.S. 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 FOMC raised the fed funds rate another 25 basis points as expected. Interest rate differentials helped the U.S. 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.

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 Chinese Yuan in China continue to be the focus.

The 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 U.S. 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 the 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 (the “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 U.S. 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 United States 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 the Dunn Series’ long global fixed income positions. In his semi-annual 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 U.S. Dollar moved somewhat higher during the month on expectations that the Fed would continue to increase the Fed funds rate at future FOMC meetings, benefiting the Dunn Series’ long U.S. Dollar positions. The U.S. Dollar’s strength was tested late in the month as China announced a revaluation of the Chinese Yuan. The revaluation, a higher Chinese 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 the Dunn Series’ 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 United States. 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 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 Dunn 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 U.S. Dollar, creating losses in predominantly long U.S. Dollar positions. The ECB, for the first time in five years, raised its Refi rate, (akin to the 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 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 Graham 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 United States 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 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 Euros’ decline.

In spite of a very strong performance in June, performance of the Graham Series was negative for the second quarter. The Graham 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 United States 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 United States 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 Chinese 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 Chinese 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, gasoline demand in the United States 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 United States.

The Graham 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 United States and Europe. Bond futures prices retreated in the United States 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 U.S. 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.

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.

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, 2007 and 2006. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

Balanced Series:


	December 31, 2007				December 31, 2006
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	4,141,800	1.6	%	$	8,197,199	2.9	%
Currencies	$	12,550,205	4.9	%	$	7,573,212	2.7	%
Stock Indices	$	16,386,874	6.4	%	$	11,119,189	4.0	%
Metals	$	2,218,094	0.9	%	$	3,739,714	1.3	%
Agriculturals/Softs	$	5,268,753	2.0	%	$	3,510,763	1.3	%
Energy	$	2,427,354	0.9	%	$	2,022,428	0.7	%
Total:	$	42,993,080	16.7	%	$	36,162,505	12.9	%

Winton Series:

	December 31, 2007				December 31, 2006
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	926,827	2.0	%	$	10,128	1.6	%
Currencies	$	912,891	2.0	%	$	8,182	1.3	%
Stock Indices	$	396,460	0.9	%	$	24,378	3.8	%
Metals	$	321,324	0.7	%	$	7,255	1.1	%
Agriculturals/Softs	$	458,927	1.0	%	$	1,813	0.3	%
Energy	$	285,114	0.6	%	$	6,529	1.0	%
Total:	$	3,301,543	7.2	%	$	58,285	9.1	%

Currency Series:


	December 31, 2007				December 31, 2006
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	0	0	%	$	0	0	%
Currencies	$	1,416,836	13.4	%	$	1,510,895	8.4	%
Stock Indices	$	0	0	%	$	0	0	%
Metals	$	0	0	%	$	0	0	%
Agriculturals/Softs	$	0	0	%	$	0	0	%
Energy	$	0	0	%	$	0	0	%
Total:	$	1,416,836	13.4	%	$	1,510,895	8.4	%

Dunn Series:

	December 31, 2007				December 31, 2006
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	0	0.0	%	$	24,932	16.4	%
Currencies	$	0	0.0	%	$	6,233	4.1	%
Stock Indices	$	0	0.0	%	$	15,738	10.4	%
Metals	$	0	0.0	%	$	1,068	0.7	%
Agriculturals/Softs	$	0	0.0	%	$	6,121	4.0	%
Energy	$	0	0.0	%	$	6,423	4.2	%
Total:	$	0	0.0	%	$	60,515	39.8	%

Graham Series:


	December 31, 2007				December 31, 2006
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	12,456	0.2	%	$	1,050,855	5.2	%
Currencies	$	528,103	6.7	%	$	3,289,980	16.4	%
Stock Indices	$	41,051	0.5	%	$	2,263,026	11.3	%
Metals	$	19,450	0.2	%	$	68,470	0.3	%
Agriculturals/Softs	$	12,621	0.2	%	$	118,635	0.6	%
Energy	$	15,508	0.2	%	$	96,870	0.5	%
Total:	$	629,189	8.0	%	$	6,887,836	34.3	%

Campbell/Graham Series:

	December 31, 2007				December 31, 2006
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,069,340	1.7	%	$	1,653,852	2.0	%
Currencies	$	6,743,483	11.0	%	$	5,336,598	6.4	%
Stock Indices	$	2,393,573	3.9	%	$	3,586,469	4.3	%
Metals	$	528,218	0.9	%	$	8,802	0.0	%
Agriculturals/Softs	$	54,560	0.1	%	$	126,977	0.2	%
Energy	$	364,034	0.6	%	$	177,915	0.2	%
Total:	$	11,153,208	18.2	%	$	10,890,613	13.1	%

Long Only Commodity Series:


	December 31, 2007				December 31, 2006
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	0	0.0	%	$	0	0.0	%
Currencies	$	0	0.0	%	$	0	0.0	%
Stock Indices	$	0	0.0	%	$	0	0.0	%
Metals	$	120,000	2.4	%	$	193,550	1.9	%
Agriculturals/Softs	$	170,000	3.4	%	$	274,196	2.8	%
Energy	$	210,000	4.2	%	$	338,713	3.4	%
Total:	$	500,000	10.0	%	$	806,459	8.1	%

Long/Short Commodity Series:

	December 31, 2007				December 31, 2006
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	64,368	0.2	%	$	5,001	0.0	%
Currencies	$	31,556	0.1	%	$	8,749	0.0	%
Stock Indices	$	65,182	0.2	%	$	2,601	0.0	%
Metals	$	182,014	0.5	%	$	28,202	0.1	%
Agriculturals/Softs	$	1,147,408	3.3	%	$	84,990	0.4	%
Energy	$	362,885	1.0	%	$	54,822	0.2	%
Total:	$	1,853,413	5.3	%	$	184,365	0.8	%

Managed Futures Index Series:


	December 31, 2007				December 31, 2006
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	15,078	1.6	%	$	439,919	4.2	%
Currencies	$	32,901	3.4	%	$	697,159	6.7	%
Stock Indices	$	4,399	0.5	%	$	256,612	2.5	%
Metals	$	6,421	0.7	%	$	72,770	0.7	%
Agriculturals/Softs	$	6,504	0.7	%	$	62,146	0.6	%
Energy	$	7,777	0.8	%	$	171,300	1.6	%
Total:	$	73,080	7.7	%	$	1,699,906	16.3	%

(1)

As of December 31, 2007, a portion of the assets of the Balanced Series was invested in the Currency Series. The Balanced Series effective ownership in this Series as of December 31, 2007, was 30.0%. Including its investment in this Series, total value at risk for the Balanced Series would be $43,417,892, or 16.9% of capitalization as of December 31, 2007.

(2)

As of December 31, 2007, a portion of the assets of the Balanced Series was invested in an Option basket of futures contracts with a notional value of $65,557,928. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

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, 2007 and 2006, on foreign markets. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

Balanced Series:


	December 31, 2007				December 31, 2006
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	3,538,866	1.4	%	$	5,666,045	2.0	%
Currencies	$	10,261,853	4.0	%	$	4,405,393	1.6	%
Stock Indices	$	4,918,513	1.9	%	$	7,023,228	2.5	%
Metals	$	905,858	0.4	%	$	1,573,179	0.6	%
Agriculturals/Softs	$	75,566	0.0	%	$	110,260	0.0	%
Energy	$	543,804	0.3	%	$	411,594	0.1	%
Total:	$	20,244,460	8.0	%	$	19,189,699	6.8	%

Winton Series:


	December 31, 2007				December 31, 2006
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	637,636	1.4	%	$	8,659	1.3	%
Currencies	$	48,196	0.1	%	$	1,751	0.3	%
Stock Indices	$	146,729	0.3	%	$	15,478	2.4	%
Metals	$	89,835	0.2	%	$	5,636	0.9	%
Agriculturals/Softs	$	13,376	0.0	%	$	124	0.0	%
Energy	$	96,448	0.2	%	$	1,064	0.2	%
Total:	$	1,032,220	2.2	%	$	32,712	5.1	%

Currency Series:

	December 31, 2007				December 31, 2006
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	0	0.0	%	$	0	0.0	%
Currencies	$	276,836	2.6	%	$	1,510,895	8.4	%
Stock Indices	$	0	0.0	%	$	0	0.0	%
Metals	$	0	0.0	%	$	0	0.0	%
Agriculturals/Softs	$	0	0.0	%	$	0	0.0	%
Energy	$	0	0.0	%	$	0	0.0	%
Total:	$	276,836	2.6	%	$	1,510,895	8.4	%

Dunn Series:


	December 31, 2007				December 31, 2006
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	0	0.0	%	$	20,493	13.5	%
Currencies	$	0	0.0	%	$	0	0.0	%
Stock Indices	$	0	0.0	%	$	10,953	7.2	%
Metals	$	0	0.0	%	$	0	0.0	%
Agriculturals/Softs	$	0	0.0	%	$	501	0.3	%
Energy	$	0	0.0	%	$	1,416	0.9	%
Total:	$	0	0.0	%	$	33,363	21.9	%

Graham Series:

	December 31, 2007				December 31, 2006
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	10,283	0.1	%	$	813,695	4.1	%
Currencies	$	518,545	6.6	%	$	3,213,532	16.0	%
Stock Indices	$	39,735	0.5	%	$	1,687,206	8.4	%
Metals	$	16,406	0.2	%	$	60,645	0.3	%
Agriculturals/Softs	$	954	0.0	%	$	9,756	0.0	%
Energy	$	1,052	0.0	%	$	6,231	0.0	%
Total:	$	586,975	7.4	%	$	5,791,065	28.8	%

Campbell/Graham Series:


	December 31, 2007				December 31, 2006
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	814,676	1.3	%	$	1,247,746	1.5	%
Currencies	$	6,602,342	10.8	%	$	5,594,621	6.7	%
Stock Indices	$	2,215,294	3.6	%	$	2,849,267	3.4	%
Metals	$	376,563	0.6	%	$	18,020	0.0	%
Agriculturals/Softs	$	4,122	0.0	%	$	10,442	0.0	%
Energy	$	106,371	0.2	%	$	43,070	0.1	%
Total:	$	10,119,368	16.5	%	$	9,763,166	11.7	%

Long Only Commodity Series:

	December 31, 2007				December 31, 2006
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	0	0.0	%	$	0	0.0	%
Currencies	$	0	0.0	%	$	0	0.0	%
Stock Indices	$	0	0.0	%	$	0	0.0	%
Metals	$	0	0.0	%	$	102,770	1.0	%
Agriculturals/Softs	$	0	0.0	%	$	0	0.0	%
Energy	$	0	0.0	%	$	0	0.0	%
Total:	$	0	0.0	%	$	102,770	1.0	%

Long/Short Commodity Series:


	December 31, 2007				December 31, 2006
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	0	0.0	%	$	0	0.0	%
Currencies	$	0	0.0	%	$	0	0.0	%
Stock Indices	$	0	0.0	%	$	0	0.0	%
Metals	$	76,265	0.1	%	$	4,665	0.0	%
Agriculturals/Softs	$	0	0.0	%	$	0	0.0	%
Energy	$	0	0.0	%	$	12,304	0.1	%
Total:	$	76,265	0.1	%	$	16,969	0.1	%

Managed Futures Index Series:

	December 31, 2007				December 31, 2006
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	13,725	1.4	%	$	413,796	4.0	%
Currencies	$	29,838	3.1	%	$	697,159	6.7	%
Stock Indices	$	2,229	0.2	%	$	246,487	2.4	%
Metals	$	2,545	0.3	%	$	44,420	0.4	%
Agriculturals/Softs	$	0	0.0	%	$	0	0.0	%
Energy	$	6,873	0.7	%	$	49,800	0.5	%
Total:	$	55,210	5.7	%	$	1,451,662	14.0	%

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.

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 United States, or by a person controlled by or supervised by and acting as an instrumentality of the government of the United States pursuant to authority granted by Congress of the United States 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, 2007, 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 United States 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 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 CFTC. 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 CFTC 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.

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 the Trust’s disclosure controls and procedures (as defined in Rule 13(a)-15(e) under the Securities Exchange Act of 1934, as amended) 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.

Report on Management’s Assessment of Internal Control over Financial Reporting

The management of the Managing Owner is responsible for establishing and maintaining adequate internal control over financial reporting by the Trust.

The Managing Owner’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with accounting principles generally accepted in the United States. The Trust’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Trust; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with accounting principles generally accepted in the United States, and that receipts and expenditures of the Trust are being made only in accordance with authorizations of management and directors of the Trust; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the Trust’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. All internal control systems, no matter how well designed, have inherent limitations, including the possibility of human error and the circumvention of overriding controls. Accordingly, even effective internal control over financial reporting can provide only reasonable assurance with respect to financial statement preparation. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

Management assessed the effectiveness of the Trust’s internal control over financial reporting as of December 31, 2007, based on the framework set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework. Based on that assessment, management concluded that, as of December 31, 2007, the Trust’s internal control over financial reporting is effective based on the criteria established in Internal Control-Integrated Framework.

This annual report does not include an attestation report of the Trust’s registered public accounting firm regarding internal control over financial reporting. Management’s report was not subject to attestation by the Trust’s registered

public accounting firm pursuant to temporary rules of the SEC that permit the Trust to provide only management’s report in this annual report

Item 9B.

OTHER INFORMATION.

None.

Part III

Item 10.

DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE.

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 (the “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 (“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.

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 United States. 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.”

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.

100

Mr. Plimpton holds a B.A. in Economics from the University of Chicago and an MBA. 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.

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.

101

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 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 Series and the Dunn Series and 20% for the Winton Series, Currency Series, Graham Series, 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.

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 11, 2008:

102

Equinox Fund Management, L.L.C:


Series of Units	Units Owned	Total Units in Each Series	Percentage Ownership of Each Series
Balanced Series	26,185	2,360,219	1.109	%
Winton Series	1,995	471,380	0.423	%
Currency Series	4,630	111,958	4.136	%
Campbell/Graham Series	2,440	654,767	0.373	%
Dunn Series	0	0	0.000	%
Graham Series	428	91,455	0.468	%
Long Only Commodity Series	1,479	47,756	3.097	%
Long/Short Commodity Series	3,490	386,616	0.903	%
Managed Futures Index Series	2,821	10,894	25.895	%
Total of All Series	43,468	4,135,045	1.051	%

Richard E. Bornhoft:


Series of Units	Units Owned	Total Units in Each Series	Percentage Ownership of Each Series
Balanced Series	35	2,360,219	0.002	%
Winton Series	—	471,380	0.000	%
Currency Series	10	111,958	0.009	%
Campbell/Graham Series	2	654,767	0.000	%
Dunn Series	0	0	0.000	%
Graham Series	6	91,455	0.007	%
Long Only Commodity Series	177	47,756	0.371	%
Long/Short Commodity Series	—	386,616	0.000	%
Managed Futures Index Series	—	10,894	0.000	%
Total of All Series	230	4,135,045	0.006	%

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, 2007 and 2006. 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.

103


FEE CATEGORY	2007		2006
Audit Fees (1)	$	218,000	$	215,000
Audit-Related Fees (2)	$	0	$	0
Tax Fees (3)	$	0	$	0
All Other Fees (4)	$	0	$	0
TOTAL FEES	$	218,000	$	215,000

(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.

(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 2007 and 2006 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.

104

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****

1.6		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. ***

105



10.24		Form of Amendment Agreement between the Managing Owner, acting as agent on behalf of certain Trading Companies, and Deutsche Bank AG London***

10.25		Form of Brokerage Agreement between each Trading Company and Fimat USA, LLC****

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)

106



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)

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)

107



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)

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 or the first post-effective amendment to Registration Statement No. 333-140240 and incorporated by reference herein.

108

INDEX TO FINANCIAL STATEMENTS


Report of Independent Registered Public Accounting Firm		F-2

Statements of Financial Condition as of December 31, 2007 and 2006		F-3

Condensed Schedule of Investments as of December 31, 2007		F-6

Condensed Schedule of Investments as of December 31, 2006		F-7

Statements of Operations for the years ended December 31, 2007, 2006 and 2005		F-8

Statements of Changes in Owners’ Capital for the years ended December 31, 2007, 2006 and 2005		F-12

Notes to Financial Statements		F-17

F-1

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Unitholders

The Frontier Fund

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, 2007 and 2006, and the related statements of operations and changes in owners’ capital for each of the three years in the period ended December 31, 2007. 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, 2007 and 2006, and the results of their operations and changes in owners’ capital for each of the three years in the period ended December 31, 2007, in conformity with U.S. generally accepted accounting procedures.

We were not engaged to examine management’s assertion about the effectiveness of the Trust’s internal control over financial reporting as of December 31, 2007 included in the accompanying Report on Management’s Assessment of Internal Control over Financial Reporting and, accordingly, we do not express an opinion thereon.

/s/ McGladrey & Pullen, LLP

Denver, Colorado

March 17, 2007

F-2

The Frontier Fund

Statements of Financial Condition

December 31, 2007 and December 31, 2006


	Balanced Series				Winton Series (1)				Campbell/Graham Series
	12/31/2007		12/31/2006		12/31/2007		12/31/2006		12/31/2007		12/31/2006
ASSETS
Cash and cash equivalents	$	176,009,417	$	85,018,542	$	41,692,931	$	538,923	$	35,416,683	$	11,941,234
Short-term investments		—		86,826,629		—		—		—		21,115,260
Cash held at futures commodity merchants		52,225,010		37,877,153		—		—		12,761,730		13,938,010
Open trade equity		1,941		11,391,371		—		—		—		1,576,367
Swap/option contracts		47,241,455		34,603,385		—		—		—		—
Investments in unconsolidated trading companies		4,238,348		—		4,637,121		355,763		18,353,523		50,785,796
Inter-series receivables		4,535,784		65,035,889		—		—		—		—
Prepaid service fees—Class 1		357,855		1,316,314		278,573		—		164,924		283,158
Receivable from related parties		18,836		1,170,502		105,754		34		—		6,539
Other assets		238,781		120,468		64,709		1,342		69,613		179,558

Total Assets		284,867,427	$	323,360,253	$	46,779,088	$	896,062	$	66,766,473	$	99,825,922

LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Inter-series payables	$	—	$	—	$	—	$	—	$	—	$	26,972,529
Open trade deficit		—		—		—		—		96,655		—
Liability to unconsolidated trading company		—		78,056		—		—		—		—
Pending owner additions		228,977		987,713		214,912		162,500		156,300		485,675
Owner redemptions payable		278,974		754,023		9,759		—		19,506		65,762
Incentive fees payable to Managing Owner		1,487,150		—		327,608		1,687		—		23,954
Management fees payable to Managing Owner		122,882		96,056		64,860		619		116,741		115,910
Interest fees payable to Managing Owner		375,955		324,385		66,029		775		92,401		116,626
Trading fees payable to Managing Owner		158,231		100,164		16,215		155		29,681		33,018
Trailing service fees payable to Managing Owner		398,386		225,872		10,242		175		98,746		44,899
Payables to related parties		354,403		—		8,179		82,260		1,305		100,959
Other liabilities		252,579		53,819		22,123		246		28,680		158,732

Total Liabilities		3,657,537		2,620,088		739,927		248,417		640,015		28,118,064

MINORITY INTERESTS		23,625,044		42,733,193		—		—		4,775,554		15,514,377
OWNERS’ CAPITAL
Managing Owner Units—Class 1		182		192		1,138		1,057		—		—
Managing Owner Units—Class 2		2,918,791		760,413		235,392		228,782		244,457		2,105,062
Limited Owner Units—Class 1		210,379,066		228,763,573		35,663,122		355,867		55,530,902		48,843,314
Limited Owner Units—Class 2		44,286,807		48,482,794		10,139,509		61,939		5,575,545		5,245,105

Total Owners’ Capital		257,584,846		278,006,972		46,039,161		647,645		61,350,904		56,193,481

Total Liabilities, Minority Interests and Owners’ Capital	$	284,867,427	$	323,360,253	$	46,779,088	$	896,062	$	66,766,473	$	99,825,922

Units Outstanding
Class 1		2,018,003		2,105,455		313,310		3,378		604,239		507,344
Class 1a		62,032		43,802		N/A		N/A		N/A		N/A
Class 2		410,311		425,239		87,473		2,722		58,085		72,160
Class 2a		13,110		6,761		N/A		N/A		N/A		N/A
Net Asset Value per Unit
Class 1	$	101.46	$	106.66	$	113.83	$	105.65	$	91.90	$	96.27
Class 1a	$	90.90	$	95.97		N/A		N/A		N/A		N/A
Class 2	$	112.00	$	114.24	$	118.61	$	106.81	$	100.20	$	101.86
Class 2a	$	95.47	$	97.88		N/A		N/A		N/A		N/A

(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-3

The Frontier Fund

Statements of Financial Condition

December 31, 2007 and December 31, 2006


	Currency Series				Dunn Series (1)				Graham Series
	12/31/2007		12/31/2006		12/31/2007		12/31/2006		12/31/2007		12/31/2006
ASSETS
Cash and cash equivalents	$	12,715,131	$	5,193,474	$	—	$	192,143	$	3,077,061	$	4,346,300
Short-term investments		—		10,001,777		—		332,290		—		8,875,068
Cash held at futures commodity merchants		1,539,788		1,495,953		—		—		—		—
Open trade equity		34,703		41,615		—		—		—		—
Swap contracts		822,068		1,474,958		—		—		—		—
Investments in unconsolidated trading companies		—		—		—		—		4,775,554		7,226,062
Prepaid service fees—Class 1		33,387		39,059		—		—		12,215		13,971
Receivable from related parties		86,190		850		—		19		70,739		937
Other assets		933		—		—		226		19,655		31,060

Total Assets	$	15,232,200	$	18,247,686	$	—	$	524,678	$	7,955,224	$	20,493,398

LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Liability to unconsolidated trading company	$	—	$	—	$	—	$	120,051	$	—	$	—
Inter-series payables		4,535,784		10,697,187		—		—		—		12,012,370
Pending owner additions		15,612		54,500		—		—		18,400		—
Owner redemptions payable		30,627		—		—		75,653		—		6,473
Incentive fees payable to Managing Owner		—		—		—		—		1,063		—
Management fees payable to Managing Owner		10,354		13,338		—		—		15,307		54,921
Interest fees payable to Managing Owner		22,752		29,692		—		353		11,584		34,187
Trading fees payable to Managing Owner		8,354		10,388		—		121		3,062		10,984
Trailing service fees payable to Managing Owner		9,645		1,043		—		311		10,180		8,832
Payables to related parties		1,652		50,899		—		174,901		902		324,799
Other liabilities		5,414		4,012		—		1,354		25,743		—

Total Liabilities		4,640,194		10,861,059		—		372,744		86,241		12,452,566

OWNERS’ CAPITAL
Managing Owner Units—Class 2		513,938		16,689		—		823		44,700		389,915
Limited Owner Units—Class 1		9,791,812		6,891,891		—		123,164		6,060,207		5,991,337
Limited Owner Units—Class 2		286,256		478,047		—		27,947		1,764,076		1,659,580

Total Owners’ Capital		10,592,006		7,386,627		—		151,934		7,868,983		8,040,832

Total Liabilities and Owners’ Capital	$	15,232,200	$	18,247,686	$	—	$	524,678	$	7,955,224	$	20,493,398

Units Outstanding
Class 1		97,273		68,126		—		1,601		63,767		70,733
Class 2		7,209		4,571		—		350		17,331		22,709
Net Asset Value per Unit
Class 1	$	100.66	$	101.16		N/A	$	76.91	$	95.04	$	84.70
Class 2	$	111.00	$	108.23		N/A	$	82.27	$	104.37	$	90.25

(1)

All remaining Dunn Series investors were redeemed on October 15, 2007

The accompanying notes are an integral part of these statements.

F-4

The Frontier Fund

Statements of Financial Condition

December 31, 2007 and December 31, 2006


	Long Only Commodity Series				Long/Short Commodity Series					Managed Futures Index Series
	12/31/2007		12/31/2006		12/31/2007		12/31/2006			12/31/2007		12/31/2006
ASSETS
Cash and cash equivalents	$	4,275,935	$	3,587,676	$	28,837,629	$	6,411,775		$	332,995	$	2,753,004
Short-term investments		—		5,563,361		—		10,792,589			—		5,504,248
Cash held at futures commodity merchants		—		—		21,539,642		4,485,621			—		1,729,868
Open trade equity		—		—		—		280,503			—		428,995
Swap contracts		768,028		806,473		—					—
Investments in unconsolidated trading companies		—		—		—		—			634,400		—
Prepaid service fees—Class 1		5,101		50,792		150,263		213,218			1,742		5,074
Receivable from related parties		—		2,228		91,720		9,767			—		65
Other assets		2,917		1,880		—		41,143			2,110		3,723

Total Assets	$	5,051,981	$	10,012,410	$	50,619,254	$	22,234,616		$	971,247	$	10,424,977

LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Inter-series payables	$	—	$	5,522,034	$	—	$	—		$	—	$	9,831,769
Open trade deficit		—		—		11,151,267		—			—		—
Pending owner additions		—		4,604		49,444		—			10,000		—
Owner redemptions payable		5,192		15,000		26,075		988			—		—
Incentive fees payable to Managing Owner		—		—		214,878		—			—		—
Management fees payable to Managing Owner		5,441		10,389		102,236		59,278			1,261		17,252
Interest fees payable to Managing Owner		3,016		7,622		21,286		16,931			622		7,781
Trading fees payable to Managing Owner		2,175		4,162		15,692		8,468			315		4,313
Trailing service fees payable to Managing Owner		5,968		79		37,752		3,041			680		114
Payables to related parties		121		9,732		2,986		47,889			36		11,019
Other liabilities		—		1,923		7,654		—			884		—

Total Liabilities		21,913		5,575,545		11,629,270		136,595			13,798		9,872,248

MINORITY INTERESTS		—		—		4,238,348		(78,056	)		—		—
OWNERS’ CAPITAL
Managing Owner Units—Class 2		170,094		47,632		374,050		249,285			294,572		50,141
Limited Owner Units—Class 1		4,730,889		4,321,464		31,092,746		19,478,595			621,740		500,070
Limited Owner Units—Class 2		129,085		67,769		3,284,840		2,448,197			41,137		2,518

Total Owners’ Capital		5,030,068		4,436,865		34,751,636		22,176,077			957,449		552,729

Total Liabilities, Minority Interests and Owners’ Capital	$	5,051,981	$	10,012,410	$	50,619,254	$	22,234,616		$	971,247	$	10,424,977

Units Outstanding
Class 1		42,701		45,276		306,425		193,966			6,181		5,169
Class 2		2,601		1,188		34,136		26,206			3,215		535
Net Asset Value per Unit
Class 1	$	110.79	$	95.45	$	101.47	$	100.42		$	100.59	$	96.75
Class 2	$	115.04	$	97.13	$	107.19	$	102.93		$	104.42	$	98.43

The accompanying notes are an integral part of these statements.

F-5

The Frontier Fund

Condensed Schedule of Investments

December 31, 2007


	Balanced Series					Currency Series				Campbell/Graham Series					Long/Short Commodity Series					Long Only Commodity 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
LONG FUTURES CONTRACTS
Various base metals futures contracts (US)	$	(1,365,548	)	-0.53	%	$	—	0.00	%	$	(46,995	)	-0.08	%	$	78,655		0.23	%	$	—	0.00	%
Various currency futures contracts (US)		(23,181	)	-0.01	%		—	0.00	%		5,213		0.01	%		(29,520	)	-0.08	%		—	0.00	%
Various currency futures contracts (Canada)		16,808		0.01	%			0.00	%		—		0.00	%		—		0.00	%			0.00	%
Various currency futures contracts (Europe)		87,760		0.03	%		—	0.00	%		(8,656	)	-0.01	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Far East)		24,523		0.01	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various energy futures contracts (US)		1,056,350		0.41	%		—	0.00	%		23,239		0.04	%		2,390,287		6.88	%		—	0.00	%
Various interest rates futures contracts (US)		19,323		0.01	%		—	0.00	%		1,922		0.00	%		52,718		0.15	%		—	0.00	%
Various interest rates futures contracts (Canada)		(8,845	)	0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Europe)		123,859		0.05	%		—	0.00	%		4,554		0.01	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Far East)		13,569		0.01	%		—	0.00	%		39,259		0.06	%		—		0.00	%		—	0.00	%
Various precious metals futures contracts (US)		610,450		0.24	%		—	0.00	%		440		0.00	%		68,860		0.20	%		—	0.00	%
Various soft futures contracts (US)		2,125,453		0.83	%		—	0.00	%		(1,859	)	0.00	%		2,321,450		6.68	%		—	0.00	%
Various soft futures contracts (Europe)		(2,648	)	0.00	%		—	0.00	%		(3,802	)	-0.01	%		—		0.00	%		—	0.00	%
Various soft futures contracts (Canada)		2,547		0.00	%		—	0.00	%				0.00	%		—		0.00	%			0.00	%
Various stock index futures contracts (US)		35,587		0.01	%		—	0.00	%		(2,020	)	0.00	%		(61,188	)	-0.18	%		—	0.00	%
Various stock index futures contracts (Canada)		105,241		0.04	%		—	0.00	%				0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Europe)		627,236		0.24	%		—	0.00	%		(6,130	)	-0.01	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Far East)		808		0.00	%		—	0.00	%		(988	)	0.00	%		—		0.00	%		—	0.00	%

Total Long Futures Contracts		3,449,292		1.35	%		—	0.00	%		4,177		0.01	%		4,821,262		13.88	%		—	0.00	%

LONG CURRENCY FORWARDS		(2,100,578	)	-0.82	%		120	0.00	%		107,869		0.18	%		—		0.00	%		—	0.00	%

LONG SWAPS / OPTIONS		47,241,455		18.34	%		822,068	7.76	%		—		0.00	%		—		0.00	%		768,028	15.27	%

SHORT FUTURES CONTRACTS
Various base metals futures contracts (US)		761,622		0.30	%		—	0.00	%		95,072		0.15	%		(2,648,030	)	-7.62	%		—	0.00	%
Various currency futures contracts (US)		(1,054,649	)	-0.41	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Europe)		50,981		0.02	%			0.00	%		(3,312	)	-0.01	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Far East)		(12,008	)					0.00	%		—		0.00	%		—		0.00	%			0.00	%
Various energy futures contracts (US)		(373,088	)	-0.14	%			0.00	%		(28,300	)	-0.05	%		(7,884,832	)	-22.69	%		—	0.00	%
Various interest rates futures contracts (US)		(2,109	)	0.00	%		—	0.00	%		(6,547	)	-0.01	%		4,219		0.01	%		—	0.00	%
Various interest rates futures contracts (Canada)		(35,042	)	-0.01	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Europe)		395,456		0.15	%		—	0.00	%		(9,568	)	-0.02	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Far East)		110,505		0.04	%		—	0.00	%		(1,029	)	0.00	%		—		0.00	%		—	0.00	%
Various precious metals futures contracts (US)		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various soft futures contracts (US)		(406,176	)	-0.16	%		—	0.00	%		—		0.00	%		(5,344,761	)	-15.38	%		—	0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (US)		(774,960	)	-0.30	%		—	0.00	%		7,815		0.01	%		(99,125	)	-0.29	%		—	0.00	%
Various stock index futures contracts (Europe)		(3,046	)	0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Far East)		40,782		0.02	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%

Total Short Futures Contracts		(1,301,732	)	-0.49	%		—	0.00	%		54,131		0.07	%		(15,972,529	)	-45.97	%		0	0.00	%

SHORT CURRENCY FORWARDS		45,041		-0.02	%		34,583	0.33	%		(262,832	)	-0.43	%		—		0.00	%		—	0.00	%

Total Open Trade Equity	$	47,243,396	(1)	18.38	%	$	856,771	8.09	%	$	(96,655	)	-0.17	%	$	(11,151,267	)(1)	-32.09	%		768,028	15.27	%

(1)

The Long/Short Commodity Series consolidates the assets of Frontier Trading Company VII which includes the open trade equity of two traders whose trading results are primarily allocated to the Balanced Series. The combined open trade deficit of these two traders is ($11,521,659). This deficit is reflected as a component of Investment in unconsolidated trading companies for the Balanced Series.

F-6

The Frontier Fund

Condensed Schedule of Investments

December 31, 2006


	Balanced Series					Campbell/Graham Series					Currency Series				Long Only Commodity Series					Long/Short Commodity 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
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		2,711,184		0.98	%		1,245,757		2.22	%		35,152	0.48	%		—		0.00	%		—		0.00	%		79,612		14.40	%

LONG SWAPS		—		0.00	%		—		0.00	%		6,463	0.09	%		(605,943	)	-13.66	%		—		0.00	%		—		0.00	%

SHORT FUTURES CONTRACTS
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 precious metals futures contracts (US)		275,610		0.10	%		—		0.00	%		—	0.00	%		—		0.00	%		5,160		0.02	%		—		0.00	%
Various soft futures contracts (US)		(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	%		—		0.00	%		(97,999	)	-0.44	%		70,894		12.83	%

Total Open Trade Equity (Deficit)	$	11,391,371		4.10	%	$	1,576,367		2.81	%	$	41,615	0.56	%		(605,943	)	-13.66	%	$	280,503		1.26	%	$	428,996		77.61	%

F-7

The Frontier Fund

Statements of Operations

For the Years Ended December 31, 2007, 2006 and 2005


	Balanced Series (1)									Winton Series (2)
	12/31/2007			12/31/2006			12/31/2005			12/31/2007			12/31/2006			12/31/2005
Investment Income:
Interest—net	$	6,823,418		$	4,254,855		$	1,010,834		$	563,371		$	36,215		$	16,877

Total Income		6,823,418			4,254,855			1,010,834			563,371			36,215			16,877

Expenses:
Incentive Fees		9,634,890			3,470,255			3,997,498			687,066			71,573			60,246
Management Fees		1,463,113			802,912			413,523			445,408			13,628			25,932
Service Fees—Class 1		6,903,826			5,329,865			1,834,871			475,010			18,222			36,835
Trading Fees		1,653,104			833,258			413,670			111,329			3,413			6,481

Total Expenses		19,654,933			10,436,290			6,659,562			1,718,813			106,836			129,494

Investment gain/(loss)—net		(12,831,515	)		(6,181,435	)		(5,648,728	)		(1,155,442	)		(70,621	)		(112,617	)

Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and currencies		18,024,499			7,996,421			7,979,535			—			—			—
Net realized gain/(loss) on option / swap contracts		1,674,698			—			—			—			—			—
Net change in open trade equity		(5,946,236	)		5,195,082			6,537,199			—			—			—
Net unrealized gain/(loss) on option / swap contracts		(4,294,443	)		1,603,390			—			—			—			—
Trading commissions		(2,989,829	)		(1,407,917	)		(1,097,696	)		—			—			—
Net change in inter-series receivables		632,098			996,839			—			—			—			—
Net change in inter-series payables		—			—			—			—			—			—
Equity in earnings/(loss) from trading company		(2,311,769	)		(44,543	)		(795	)		4,995,445			400,995			365,856

Net gain/(loss) on investments		4,789,018			14,339,272			13,418,243			4,995,445			400,995			365,856

Minority interests		(5,141,096	)		(3,662,154	)		(724,988	)		—			—			—

NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	(13,183,593	)	$	4,495,683		$	7,044,527		$	3,840,003		$	330,374		$	253,239

NET INCOME/(LOSS) PER UNIT
Class 1	$	(5.20	)	$	2.08		$	(1.45	)	$	8.18		$	5.65		$	5.92
Class 1a	$	(5.07	)	$	(4.03	)		N/A			N/A			N/A			N/A
Class 2	$	(2.24	)	$	5.51		$	1.88		$	11.80		$	6.81		$	9.43
Class 2a	$	(2.41	)	$	(2.12	)		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-8

The Frontier Fund

Statements of Operations

For the Years Ended December 31, 2007, 2006 and 2005


	Campbell/Graham Series (1)									Currency Series
	12/31/2007			12/31/2006			12/31/2005			12/31/2007			12/31/2006			12/31/2005
Investment Income:
Interest—net	$	1,614,470		$	1,263,221		$	126,602		$	435,431		$	418,503		$	3,370

Total Income		1,614,470			1,263,221			126,602			435,431			418,503			3,370

Expenses:
Incentive Fees		1,025,208			319,952			210,651			—			19,672			—
Management Fees		1,351,587			1,159,057			228,694			106,645			134,963			7,049
Service Fees—Class 1		1,592,284			1,102,685			245,963			256,106			121,492			2,161
Trading Fees		377,049			245,176			45,739			95,794			80,183			1,459

Total Expenses		4,346,128			2,826,870			731,047			458,545			356,310			10,669

Investment gain/(loss)—net		(2,731,658	)		(1,563,649	)		(604,445	)		(23,114	)		62,193			(7,299	)

Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and currencies		1,718,484			127,728			467,176			(8,104	)		27,040			(310	)
Net realized gain/(loss) on option / swap contracts		—			—			—			135,100			900,226			—
Net change in open trade equity		(341,386	)		504,120			(1,373,930	)		(28,482	)		14,008			(1,164	)
Trading commissions		(42,272	)		(111,438	)		(17,946	)		—			—			—
Net change in inter-series payables		325,800			(572,529	)		—			(188,597	)		(697,187	)		—
Equity in earnings/(loss) from trading company		69,672			3,279,772			1,570,356			—			—			(3,701	)

Net gain/(loss) on investments		1,730,298			3,227,653			645,656			(90,083	)		244,087			(5,175	)

Minority interests		(1,334,826	)		(520,410	)		363,365			—			(22,289	)		795

NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	(2,336,186	)	$	1,143,594		$	404,576		$	(113,197	)	$	283,991		$	(11,679	)

NET INCOME/(LOSS) PER UNIT
Class 1	$	(4.37	)	$	1.97		$	(5.70	)	$	(0.50	)	$	3.50		$	(5.01	)
Class 2	$	(1.66	)	$	5.03		$	(3.17	)	$	2.77		$	6.81		$	(2.05	)

(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-9

The Frontier Fund

Statements of Operations

For the Years Ended December 31, 2007, 2006 and 2005


	Dunn Series (1)									Graham Series
	12/31/2007			12/31/2006			12/31/2005			12/31/2007			12/31/2006			12/31/2005
Investment Income:
Interest—net	$	1,966		$	6,810		$	20,588		$	206,887		$	422,496		$	85,327

Total Income		1,966			6,810			20,588			206,887			422,496			85,327

Expenses:
Incentive Fees		—			—			—			170,704			—			—
Management Fees		—			—			—			216,609			414,945			215,540
Service Fees—Class 1		2,148			4,514			4,892			163,270			175,339			122,139
Trading Fees		514			1,481			9,280			42,979			83,423			43,121

Total Expenses		2,662			5,995			14,172			593,562			673,707			380,800

Investment gain/(loss)—net		(696	)		815			6,416			(386,675	)		(251,211	)		(295,473	)

Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and currencies		—			—			—			—			—			(1,234,755	)
Net change in open trade equity		—			—			—			—			—			1,499,174
Trading commissions		—			—			—			—			—			(56,465	)
Net change in inter-series payables		—			—			—			(76,140	)		(12,370	)		—
Equity in earnings/(loss) from trading company		(33,796	)		(18,613	)		(389,573	)		1,334,826			520,410			(363,365	)

Net gain/(loss) on investments		(33,796	)		(18,613	)		(389,573	)		1,258,686			508,040			(155,411	)

Minority interests		—			—			—			—			—			(817,950	)

NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	(34,492	)	$	(17,798	)	$	(383,157	)	$	872,011		$	256,829		$	(1,268,834	)

NET INCOME/(LOSS) PER UNIT
Class 1	$	(24.22	)	$	(9.92	)	$	(18.13	)	$	10.34		$	1.80		$	(20.67	)
Class 2	$	(24.56	)	$	(7.88	)	$	(15.62	)	$	14.12		$	4.52		$	(18.19	)

(1)

All remaining Dunn Series investors were redeemed on October 15, 2007

The accompanying notes are an integral part of these statements.

F-10

The Frontier Fund

Statements of Operations

For the Years Ended December 31, 2007 and 2006


	Long Only Commodity Series (1)						Long/Short Commodity Series (1)						Managed Futures Index Series (1)
	12/31/2007			12/31/2006			12/31/2007			12/31/2006			12/31/2007			12/31/2006
Investment Income:
Interest—net	$	509,099		$	231,248		$	1,051,098		$	883,143		$	165,165		$	285,909

Total Income		509,099			231,248			1,051,098			883,143			165,165			285,909

Expenses:
Incentive Fees		—			—			728,853			263,124			—			—
Management Fees		171,913			76,017			1,027,170			724,741			87,109			140,606
Service Fees—Class 1		88,731			27,656			800,073			299,596			11,883			3,692
Trading Fees		68,726			30,577			140,750			110,800			21,638			35,292

Total Expenses		329,370			134,250			2,696,846			1,398,261			120,630			179,590

Investment gain/(loss)—net		179,729			96,998			(1,645,748	)		(515,118	)		44,535			106,319

Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and currencies		—			—			15,057,205			618,199			(353,098	)		(681,466	)
Net realized gain/(loss) on option / swap contracts		1,729,289			(643,705	)		—			—			—			—
Net change in open trade equity		—			—			(14,220,168	)		398,400			(224,977	)		429,002
Trading commissions		—			—			(1,070,911	)		(194,308	)		(22,129	)		(34,148	)
Net change in inter-series payables		(1,184,019	)		227,966			—			(110,951	)		490,858			168,232
Equity in earnings/(loss) from unconsolidated trading company		—			—			—			—			109,775			—

Net gain/(loss) on investments		545,270			(415,739	)		(233,874	)		711,340			429			(118,380	)

Minority interests		—			—			2,311,769			66,832			—			—

NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	724,999		$	(318,741	)	$	432,147		$	263,054		$	44,964		$	(12,061	)

NET INCOME/)LOSS) PER UNIT
Class 1	$	15.34		$	(4.55	)	$	1.05		$	0.42		$	3.84		$	(3.25	)
Class 2	$	17.91		$	(2.87	)	$	4.26		$	2.93		$	5.99		$	(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-11

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2007, 2006 and 2005


	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, 2005	$	—	$	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 increase 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

Sale of Units		—		45,063,047			—			2,453,374			2,200,000			10,161,842			30,000			769,760
Redemption of Units		—		(53,164,207	)		—			(758,846	)		—			(13,809,185	)		—			(184,318	)
Net (decrease) in Owners’ Capital resulting from operations		—		(11,717,992	)		(10	)		(259,883	)		(71,325	)		(1,108,691	)		(297	)		(25,395	)

Owners’ Capital, December 31, 2007	$	—	$	204,740,748		$	182		$	5,638,318		$	2,840,146		$	43,113,896		$	78,645		$	1,172,911

Owner’s Capital—Units, January 1, 2005		—		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

Sale of Units		—		431,921			—			26,140			19,131			90,124			324			7,986
Redemption of Units		—		(519,373	)		—			(7,910	)		—			(124,183	)		—			(1,961	)

Owners’ Capital—Units, December 31, 2007		—		2,018,003			2			62,030			25,359			384,952			824			12,286

Net asset value per unit at January 1, 2005			$	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
Change in net asset value per unit for year ended December 31, 2007				(5.20	)					(5.07	)					(2.24	)					(2.41	)

Net asset value per unit at December 31, 2007			$	101.46					$	90.90					$	112.00					$	95.47

(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-12

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2007, 2006 and 2005


	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, 2005	$	—	$	488,932		$	1,068		$	177,421		$	—	$	21,748,476		$	—		$	—
Sale of Units		—		1,398,568			—			71,500			—		(497,000	)		1,000			2,750,994
Redemption of Units		—		(81,685	)		—			(83,490	)		—		—			—			—
Net increase 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

Sale of Units		—		34,289,489			410,000			8,918,823			—		16,528,939			—			1,454,351
Redemption of Units		—		(1,381,913	)		(500,000	)		(184,886	)		—		(7,450,850	)		(2,000,000	)		(1,038,831	)
Net increase (decrease) in Owners’ Capital resulting from operations		81		2,399,679			96,610			1,343,633			—		(2,390,501	)		139,395			(85,080	)

Owners’ Capital, December 31, 2007	$	1,138	$	35,663,122		$	235,392		$	10,139,509		$	—	$	55,530,902		$	244,457		$	5,575,545

Owner’s Capital—Units, January 1, 2005		—		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

Sale of Units		—		322,603			4,210			86,620			—		175,604			—			14,394
Redemption of Units		—		(12,671	)		(4,367	)		(1,712	)		—		(78,709	)		(18,227	)		(10,242	)

Owners’ Capital—Units, December 31, 2007		10		313,300			1,985			85,488			—		604,239			2,439			55,646

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
Change in net asset value per unit for year ended December 31, 2007			$	8.18					$	11.80				($	4.37	)				($	1.66	)

Net asset value per unit at December, 2007			$	113.83					$	118.61				$	91.90					$	100.20

(1)

The Winton Series began trading on August 11, 2006. (See Note 1.)

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, 2007, 2006 and 2005


	Currency Series											Dunn 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, 2005	$	—	$	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

Sale of Units		—		4,092,276			1,000,000			127,954			—		—			—			—
Redemption of Units		—		(1,073,104	)		(500,000	)		(328,550	)		—		(91,734	)		(578	)		(25,130	)
Net increase (decrease) in Owners’ Capital resulting from operations		—		(119,251	)		(2,751	)		8,805			—		(31,430	)		(245	)		(2,817	)

Owners’ Capital, December 31, 2007	$	—	$	9,791,812		$	513,938		$	286,256		$	—	$	—		$	—		$	—

Owner’s Capital—Units, January 1, 2005		—		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

Sale of Units				39,538			8,825			1,135					—			—			—
Redemption of Units				(10,391	)		(4,349	)		(2,973	)				(1,601	)		(10	)		(340	)

Owners’ Capital—Units, December 31, 2007		—		97,273			4,630			2,579			—		—			—			—

Net asset value per unit at January 1, 2005			$	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
Change in net asset value per unit for the year ended December 31, 2007				(0.50	)					2.77					(24.22	)					(24.56	)

Net asset value per unit at December 31, 2007			$	100.66					$	111.00				$	52.69	(2)				$	57.71

(1)

The Dunn Series ceased trading on October 12, 2007. (See Note 1.)

(2)

Balance as of October 12, 2007

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, 2007, 2006 and 2005


	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, 2005	$	—	$	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

Sale of Units		—		1,274,358			—			24,016			—		1,304,399			100,000			96,183
Redemption of Units		—		(1,786,900	)		(400,000	)		(155,334	)		—		(1,584,773	)		—			(47,605	)
Net increase (decrease) in Owners’ Capital resulting from operations		—		581,412			54,785			235,814			—		689,799			22,462			12,738

Owners’ Capital, December 31, 2007	$	—	$	6,060,207		$	44,700		$	1,764,076		$	—	$	4,730,889		$	170,094		$	129,085

Owner’s Capital—Units, January 1, 2005		—		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

Sale of Units				13,874			—			236			—		13,507			989			884
Redemption of Units				(20,840	)		(3,892	)		(1,722	)		—		(16,082	)		—			(460	)

Owners’ Capital—Units, December 31, 2007		—		63,767			428			16,903			—		42,701			1,479			1,122

Net asset value per unit at January 1, 2005			$	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
Change in net asset value per unit for the year ended December 31, 2007				10.34						14.12					15.34						17.91

Net asset value per unit at December 31, 2007			$	95.04					$	104.37				$	110.79					$	115.04

(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-15

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2007, 2006 and 2005


	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, January 1, 2006		—		—			—		—			—		—			—			—

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

Sale of Units		—		18,002,305			111,000		1,206,261			—		264,820			230,000			39,900
Redemption of Units		—		(6,675,705	)		—		(500,449	)		—		(174,964	)		—			—
Net increase (decrease) in Owners’ Capital resulting from operations		—		287,551			13,765		130,831			—		31,814			14,431			(1,281	)

Owners’ Capital, December 31, 2007	$	—	$	31,092,746		$	374,050	$	3,284,840		$	—	$	621,740		$	294,572		$	41,137

Owners’ Capital—Units, January 1, 2006		—		—			—		—			—		—			—			—

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

Sale of Units		—		179,408			1,068		11,627			—		2,843			2,312			368
Redemption of Units		—		(66,949	)		—		(4,765	)		—		(1,831	)		—			—

Owners’ Capital—Units, December 31, 2007		—		306,425			3,490		30,646			—		6,181			2,821			394

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
Change in net asset value per unit for the year ended December 31, 2007			$	1.05				$	4.26				$	3.84					$	5.99

Net asset value per unit at December 31, 2007			$	101.47				$	107.19				$	100.59					$	104.42

(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-16

The Frontier Fund

Notes to Financial Statements

As of December 31, 2007, and December 31, 2006

1. Organization and Purpose

The Frontier Fund (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 Commodity Futures Trading Commission, or CFTC Regulation § 4.10(d)(2).

The Trust offers eight (8) separate and distinct Series: Balanced Series, Winton Series, Currency Series, Graham Series, Campbell/ Graham Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series (each, a “Series” and collectively, the “Series”). 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 (“Trading Company”). 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 (“NAV”) 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 NAV of each Unit purchased, for the benefit of Selling Agents selling such Class 1 or Class 1a Units. Equinox Fund Management, LLC (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 NAV 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 NAV 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 NAV 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.

F-17

As of September 24, 2004, the Trust commenced operations for the Balanced Series, the Winton Series, the Currency Series and the Dunn 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 Managed Futures Index Series commenced operations on February 11, 2006. 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. On October 15, 2007 the remaining outstanding Units in the Dunn Series were redeemed, and the remaining net assets of the Dunn Series were distributed to the holders of those Units.

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.

2. Critical 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 (“GAAP”).

Consolidation—The Series, through investing in subsidiary limited liability Trading Company or Companies), authorize certain Trading Advisors to place trades and manage assets at pre-determined investment levels. 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. Fair value represents the investment in the Trading Company and the proportionate share of the Trading Company’s income or loss.

F-18

The consolidated financial statements of the 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, Frontier Trading Company VI, LLC and Frontier Trading Company IX, LLC.

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

The consolidated financial statements of the 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 the 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 the Long Only Commodity Series include the assets, liabilities and earnings of its wholly-owned trading company, Frontier Trading Company VIII, 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—Cash and cash equivalents include cash and overnight 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 the 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 NAV.

Cash held at Futures Commodity Merchants—The Trust deposits assets with a broker subject to CFTC 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.

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.

F-19

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.

Investments and Swaps—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. At December 31, 2007 all investments in futures and forward contracts were based on quoted market prices. The valuation of investments in swap contracts (“Swaps”) involve estimates.

The Managing Owner may make judgments that can frequently require estimates about matters that are inherently uncertain. The Managing Owner provides a good faith estimate of the daily NAV for each Series based on such uncertain information. The Managing Owner’s good faith estimates of each Series’ NAV is published daily by the Trust and is used for subscriptions, redemptions and exchanges of all Trust Units, and such Unit transactions are final and not subject to subsequent adjustment unless the estimate of NAV varies from the actual NAV by more than one percent (1.0%) of the actual NAV as described within the Prospectus.

The Balanced Series, in order to make investments from time to time 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 amount of the funds advanced by the Balanced Series to each of the Campbell/Graham Series, Currency Series, Graham Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series participates on a pari passu basis with the Class 2 Units of such investee Series. The Balanced Series reflects the change in value of these investments as “Net change in inter-series receivables” 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

F-20

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.

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. On July 13, 2006, the Financial Accounting Standards Board (“FASB”) released FASB Interpretation No. 48 Accounting for Uncertainty in Income Taxes (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trust’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The adoption of FIN 48 was effective for the Trust on January 1, 2007, and did not impact our financial position or results of operations.

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.

Service Fees—Each Series pays monthly to the Managing Owner a service fee at an annualized rate of up to 3.0% (2.0% for the Long Only Commodity Series and the Managed Futures Index Series) of the NAV of Class 1 of the Series, accrued daily, which the Managing Owner pays to selling agents of the Trust. These service fees are part of the offering costs of the Trust, which include registration and filing fees, legal and blue sky expenses, accounting and audit, printing, marketing support and other offering costs which are born by the Managing Owner.

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

Recent Accounting Prouncements—In September 2006, the FASB issued SFAS No. 157, Fair Value Measurements (“SFAS 157”). SFAS 157, which, among other things, defines fair value, establishes a framework for measuring fair value and enhances disclosures about fair value measurements required under other accounting pronouncements, but does not change existing guidance as to whether or not an instrument is carried at fair value. SFAS 157 is effective for the Trust January 1, 2008 and management does not expect that the adoption of this Statement will have a material impact on its financial statements.

In February 2007, the FASB issued SFAS No. 159, The Fair Value Option for Financial Assets and Financial Liabilities (“SFAS 159”), which permits entities to choose to measure many financial instruments and certain other items at fair value that are not currently required to be measured at fair value. SFAS 159 is effective for the Trust on January 1, 2008. Management is currently evaluating the provisions of SFAS 159 and its potential effects on its financial statements.

F-21

for this right of setoff. It also addresses the applicability of a right of setoff to derivative instruments and clarifies the circumstances in which it is appropriate to offset amounts recognized for those instruments in the Consolidated Statements of Financial Condition. In addition, FIN 39-1 permits offsetting of fair value amounts recognized for multiple derivative instruments executed with the same counterparty under a master netting arrangement and fair value amounts recognized for the right to reclaim cash collateral (a receivable) or the obligation to return cash collateral (a payable) arising from the same master netting arrangement as the derivative instruments. This interpretation is effective for fiscal years beginning after November 15, 2007. The adoption of FIN 39-1 on January 1, 2008 is not expected to have a material impact on the Trust’s Financial Statements.

In December 2007, the FASB issued SFAS No. 160, Noncontrolling Interest in Consolidated Financial Statements, an amendment of ARB Statement No. 51, to establish accounting and reporting standards for the non-controlling interest in a subsidiary and for the deconsolidation of a subsidiary. SFAS 160 clarifies that a non-controlling interest in a subsidiary, which is sometimes referred to as minority interest, is an ownership interest in the consolidated entity that should be reported as a component of equity in the consolidated financial statements. Among other requirements, SFAS 160 requires consolidated net income to be reported at amounts that include the amounts attributable to both the parent and the non-controlling interest. It also requires disclosure, on the face of the consolidated income statement, of the amounts of consolidated net income attributable to the parent and to the non-controlling interest. SFAS 160 is effective on January 1, 2009 and is not expected to have a significant impact on the Trust’s financial statements.

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

3. Swaps

In addition to authorizing Trading Advisors to manage pre-determined investment levels of futures and forward contracts, certain Series of the Trust will strategically invest a portion or all of their assets in total return Swaps, selected at the direction of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical Swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount or value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities.

Each Series’ investment in Swaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements. For the Balanced Series, Campbell/Graham Series and Currency Series the Swaps serve to diversify the investment holdings of each Series, and to provide access to programs and advisors that would not be otherwise available to the Series, and are not used for hedging purposes.

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established, to act as Swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owners’ minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. Approximately 9% of the Trust’s assets are deposited with over-the-counter counterparties in order to initiate and maintain swap contracts.

The Balanced Series, Campbell/Graham Series and Currency Series strategically invest assets in one or more Swaps linked to certain underlying investments or indices, at the direction of the Managing Owner. The Trading Company in which the assets of these Series will be invested will not own any of the investments or indices referenced by any Swap entered into by these Series. In addition, the swap counterparty to the Trading Company of these Series is not a Trading Advisor to these Series.

F-22

The Long Only Commodity Series, through the Trading Company in which the assets of the Long Only Commodity Series have been allocated, have entered into various Swaps with one or more swap counterparties. The Swaps enable the Long Only Commodity Series to earn returns similar to returns (less the fees and expenses of the Long Only Commodities Series, including the expenses associated with the Swaps) of the Reuters/Jefferies CRB Index (the “RJ/CRB Index”), and the Jefferies Commodity Performance Index (the “JCPI”). Specifically, the Trading Company, which will hold the assets allocable to the Long Only Commodity Series, will enter into Swaps linked to the RJ/CRB Index and the JCPI at the direction of the Managing Owner.

The Trust has invested in the following Swaps as of December 31, 2007:


	Option Basket Balanced Series			Campbell Fund, LTD.			FX Concepts Global Currency Program			Reuters/Jefferies CRB Index			Jefferies Commodity Performance Index
	Balanced			Campbell/ Graham			Currency			Long Only			Long Only
Series:
Counterparty		Company A			Company A			Company B			Company C			Company C
Notional Amount	$	65,557,928		$	15,000,000		$	11,400,000		$	2,500,000		$	2,500,000
Termination Date		November 6, 2012			October 9, 2009			January 31, 2008			February 28, 2008			February 28, 2008
Counterparty Fee—% annualized		3.44	%		0.2	%		0.05	%		0.5	%		1.0	%
Investee Returns		Total Return			Total Return			Total Return			Total Return			Total Return

Realized Gain / (Loss)	$	—		$	1,674,698		$	135,100		$	884,839		$	844,450

Unrealized Gain / (Loss)	$	329,391			($3,394,571	)

Fair Value 12/31/2007	$	32,329,392		$	14,912,063		$	822,068		$	388,135		$	379,893

4. Investments in Unconsolidated Trading Companies

The following tables summarize the Balanced Series, Winton Series, Campbell/Graham Series, Dunn Series and Graham Series investments in unconsolidated trading companies as of and for the year ended December 31, 2007.


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 VII, LLC	1.65	%	$	4,238,3488	($735,368	)	$	9,809,155			($11,385,556	)		($2,311,769	)

Winton Series—
Frontier Trading Company II, LLC	10.07	%	$	4,637,121	($98,797	)	$	6,756,630			($1,662,388	)	$	4,995,445

Campbell/Graham Series—
Frontier Trading Company VI, LLC	29.92	%	$	18,353,523	($204,311	)	$	5,277,036			($5,003,053	)	$	69,672

Dunn Series— (1)
Frontier Trading Company IV, LLC	—			—	($646	)		($16,967	)		($16,183	)		($33,796	)

Graham Series—
Frontier Trading Company V, LLC	60.69	%	$	4,775,554	($42,272	)	$	1,718,484			($341,386	)	$	1,334,826

Managed Futures Index Series—
Frontier Trading Company IX, LLC	66.26	%	$	634,400	($2,636	)	$	101,276		$	11,135		$	109,775

(1)

The Dunn Series ceased trading on October 12, 2007

F-23


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 VII, LLC	0.02	%	$	78,056		($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 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	%	$	3,949,182		$	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	)

The condensed statements of financial condition and statements of income as of and for the years ended December 31, 2007, 2006 and 2005 for the unconsolidated trading companies are as follows:


Condensed Statement of Financial Condition—December 31, 2007	Frontier Trading Company II, LLC			Frontier Trading Company IV, LLC			Frontier Trading Company V, LLC			Frontier Trading Company VI, LLC			Frontier Trading Company IX, LLC
Cash held at futures commodities merchants	$	9,924,146		$	—		$	12,761,730		$	13,863,217		$	2,576,122
Open trade equity		970,867			—			(96,656	)		(1,481,122	)		50,316
Swaps/Options		—			—			—			14,912,063			—

Total assets	$	10,895,013		$	—		$	12,665,074		$	27,294,158		$	2,626,438

Members equity	$	10,895,013		$	—		$	12,665,074		$	27,294,158		$	2,626,438

Condensed Statement of Income—For the Year Ended December 31, 2006
Interest income	$	434,402		$	58,739		$	653,524		$	813,618		$	92,235
Net realized gain on investments, less commissions		17,491,808			(1,353,343	)		7,504,459			(7,192,697	)		942,262
Change in open trade equity		(452,160	)		(235,223	)		(1,673,135	)		(6,352,783	)		(378,687	)

Net income	$	17,474,050		$	(1,529,827	)	$	6,484,848		$	(12,731,862	)	$	655,810

F-24


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
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
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

5. 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 (the “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 the 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 (“Limited Owner”). All Units purchased by the Managing Owner are held for investment purposes only and not for resale.

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.

F-25

On February 24, 2006, the Managing Owner invested $1,000 in each of the Long Only Commodity Series, Class 2, Long/Short Commodity Series, Class 2 and Managed Futures Index Series, Class 2. On March 31, 2006, the Managing Owner invested $1.2 million in the Balanced Series, Class 2, $100,000 in the Campbell Graham Series, Class 2 and $50,000 in each of the Long Only Commodity Series, Class 2, Long/Short Commodity Series, Class 2 and Managed Futures Index Series, Class 2. Also, on March 31, 2006, the Managing Owner redeemed $1.0 million of its interest in the Currency Series, Class 2. On April 28, 2006, the Managing Owner invested $1,309 in the Graham Series, Class 2 and redeemed a like amount in the Winton Series, Class 2. On May 1, 2006 the Managing Owner invested $200 in the Balanced Series, Class 1a and $50,000 in the Balanced Series, Class 2a. On May 31, 2006, the Managing Owner invested $260,000 in the Graham Series, Class 2 and $50,000 in the Long/Short Commodity Series, Class 2. On June 30, 2006, the Managing Owner invested $130,000 in the Graham Series, Class 2 and $20,000 in the Long/Short Commodity Series, Class 2. On August 11, 2006, the Managing Owner invested $30,000 in the Long/Short Commodity Series, Class 2, $1,000 in the Winton Series, Class 1 and $100,000 in the Winton Series, Class 2. On September 29, 2006, the Managing Owner invested $70,000 in the Long/Short Commodity Series, Class 2 and $210,000 in the Winton Series, Class 2. On that same date, the Managing Owner invested $500,000 in each of the Balanced Series, Class 2 and Campbell Graham Series, Class 2 and redeemed $1,000,000 in the Currency Series, Class 2. On October 31, 2006, the Managing Owner invested $100,000 in the Campbell/Graham Series, Class 2 and $20,000 in the Long/Short Commodity Series, Class 2. On December 14, 2006, the Managing Owner invested $150,000 in the Campbell/Graham Series, Class 2. Also on that date, the Managing Owner exchanged $1,000,000 from the Balanced Series, Class 2, $75,000 from the Currency Series, Class 2 and $100,000 from the Winton Series, Class 2 and invested $1,175,000 in the Campbell/Graham Series, Class 2.

On March 29, 2007, the Managing Owner invested $30,000 in the Balanced Series, Class 2a, $100,000 in the Long Only Commodity Series, Class 2, $30,000 in the Long/Short Commodity Series, Class 2 and $410,000 in the Winton Series, Class 2. On April 30, 2007, the Managing Owner invested $30,000 in the Managed Futures Index Series, Class 2. On June 27, 2007, the Managing Owner invested $80,000 in the Long/Short Commodity Series, Class 2. On this same date, the Managing Owner exchanged $1.0 million from the Campbell/Graham Series, Class 2 for an identical amount in the Currency Series, Class 2, $1.0 million from the Campbell/Graham Series, Class 2 for an identical amount in the Balanced Series, Class 2 and $400,000 from the Graham Series, Class 2 for an identical amount in the Balanced Series, Class 2. On October 15, 2007, the Managing Owner redeemed $578 of the remaining interest in the Dunn Series, Class 2. On October 25, 2007, the Managing Owner invested $1,000 in the Long/Short Commodity Series, Class 2. On this same date, the Managing Owner exchanged $500,000 from the Winton Series, Class 2 for $300,000 in the Balanced Series, Class 2 and $200,000 in the Managed Futures Index Series, Class 2. Also on October 25, 2007, the Managing Owner exchanged $500,000 from the Currency Series, Class 2 for an identical amount in the Balanced Series, Class 2.

The Managing Owner may make purchases or redemptions at any time on the same terms as any Limited 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 the Balanced Series, Class 1, $750 from the Campbell/Graham Series, Class 1, $750 from the Dunn Series, Class 1 and $1,000 from the Graham Series, Class 1. Mr. Bornhoft redeemed $17,500 from the 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.

On March 29, 2007 Mr. Bornhoft exchanged $12,658 from the Dunn Series, Class 2 for an identical amount in the Long Only Commodity Series, Class 2 and $2,594 from the Graham Series, Class 2 for an identical amount in the Long Only Commodity Series, Class 2. On June 1, 2007 Mr. Bornhoft invested $2,630 in the Long Only Commodity Series, Class 2.

F-26

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, 2007

Three Months Ending December 31, 2007


Name of Series	Amount of Investment October 1, 2007		Additions During Period		Reductions During Period		Amount of Investment December 31, 2007	Earnings in Investments in Inter- Series Receivables Net P/L for the Period		Amount of Dividends or Interest	Value December 31, 2007
Currency Series	$	4,626,635	$	0	$	0	4,626,635	(90,851	)	—	4,535,784

							4,626,635	(90,851	)	—	4,535,784

Twelve Months Ending December 31, 2007


Name of Series	Amount of Investment January 1, 2007		Additions During Period		Reductions During Period		Amount of Investment December 31, 2007			Earnings in Investments in Inter- Series Receivables Net P/L for the Period			Amount of Dividends or Interest		Value December 31, 2007
Campbell/Graham Series	$	26,972,529	$	0	$	26,646,729		325,800			(325,800	)		—		—
Currency Series	$	10,697,188	$	0	$	6,350,000		4,347,188			188,596			—		4,535,784
Graham Series	$	12,012,370	$	0	$	12,088,510		(76,140	)		76,140			—		—
Long Only Commodity Series	$	5,522,034	$	25,000,000	$	31,706,053		(1,184,019	)		1,184,019			—		—
Managed Futures Index Series	$	9,831,769	$	0	$	9,340,911		490,858			(490,858	)		—		—

							$	3,903,687		$	632,097		$	0	$	4,535,784

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 $4,242,194 in 2007 and $4,580,743 in 2006.

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 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.

Each Series pays to the Managing Owner a monthly trading fee (the “FCM Fee”) equal to 1/12^th of 0.50% of such Series’ NAV, calculated daily.

F-27

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 Series and Dunn Series and 20% for the Winton Series Currency Series, Graham Series 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.

In addition, each Series pays monthly to the Managing Owner a service fee at an annualized rate of up to 3.0% (2.0% for the Long Only Commodity Series and the Managed Futures Index Series) of the NAV of Class 1 of the Series, which the Managing Owner pays to selling agents of the Trust.

The following table summarizes fees incurred to the Managing Owner for the twelve months ended December 31, 2007


Series:	Management Fee		Trading (FCM) Fee		Incentive Fee		Service Fee
Balanced	$	1,463,113	$	1,653,104	$	9,634,890	$	6,903,826
Winton		445,408		111,329		687,066		475,010
Campbell/Graham		1,351,587		377,049		1,025,208		1,592,284
Currency		106,645		95,794		—		256,106
Dunn		—		514		—		2,148
Graham		216,609		42,979		170,704		163,270
Long Only Commodity		171,913		68,726		—		88,731
Long/Short Commodity		1,027,170		140,750		728,853		800,073
Managed Futures Index		87,109		21,638		—		11,883

The following table summarizes fees payable to the Managing Owner as of December 31, 2007


Series:	Management Fee		Trading (FCM) Fee		Incentive Fee		Service Fee
Balanced	$	122,882	$	158,231	$	1,487,150	$	398,386
Winton		64,860		16,215		327,608		10,242
Campbell/Graham		116,741		29,681		—		98,746
Currency		10,354		8,354		—		9,645
Dunn		—		—		—		—
Graham		15,307		3,062		1,063		10,180
Long Only Commodity		5,441		2,175		—		5,968
Long/Short Commodity		102,236		15,692		214,878		37,752
Managed Futures Index		1,261		315		—		680

With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed therefor by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. For the 12 months ended December 31, 2007, amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees was $18,656 for the Balanced Series, $13,114 for the Long Only Commodity Series and $138 for the Managed Futures Index Series. For the twelve months ended December 31, 2007, amounts paid or owing the Managing Owner for the difference in monthly service fees from

F-28

prepaid initial service fees were $13,675 for the Currency Series, $18 for the Dunn Series, $7,465 for the Graham Series, $307 for the Campbell Graham Series, $41,893 for the Long/Short Commodity Series and $31,264 for the Winton Series.

The Managing Owner pays to The Bornhoft Group Corporation, an affiliate of the Trust, a monthly fee of 0.25% (annualized) of the NAV 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 $1,032,296 in 2007. 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 $316,970 for these expenses in 2007.

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, $3,096,889 in 2007.

6. Financial Highlights

The following information presents the financial highlights of the Fund for the year ended December 31, 2007. This data has been derived from the 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, 2007	$	106.66		$	95.97		$	114.24		$	97.88		$	105.65		$	106.81		$	96.27		$	101.86
Net operating results:
Interest income		2.52			2.26			2.74			2.34			2.64			2.70			2.58			2.76
Expenses		(7.83	)		(7.02	)		(5.13	)		(4.38	)		(9.03	)		(5.95	)		(7.27	)		(4.71	)
Net gain/(loss) on investments, net of minority interests		0.11			(0.32	)		0.14			(0.37	)		14.58			15.06			0.32			0.29
Net income		(5.20	)		(5.07	)		(2.24	)		(2.41	)		8.18			11.80			(4.37	)		(1.66	)
Net asset value, December 31, 2007	$	101.46		$	90.90		$	112.00		$	95.47		$	113.83		$	118.61		$	91.90		$	100.20
Ratios to average net assets (3)
Net investment gain/(loss)		-6.87	%		-6.87	%		-2.84	%		-2.84	%		-7.94	%		-3.95	%		-6.60	%		-2.57	%
Expenses before incentive fees		5.53	%		5.53	%		1.49	%		1.49	%		7.22	%		3.23	%		7.92	%		3.90	%
Expenses after incentive fees		10.14	%		10.14	%		6.11	%		6.11	%		11.21	%		7.22	%		10.23	%		6.21	%
Total return before incentive fees (2)		-1.79	%		-1.55	%		1.04	%		1.28	%		18.06	%		23.26	%		-2.80	%		2.56	%
Total return after incentive fees (2)		-5.24	%		-5.00	%		-2.41	%		-2.17	%		15.07	%		20.28	%		-4.52	%		0.84	%


	Currency						Dunn Series (4)						Graham Series
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2007	$	101.16		$	108.23		$	76.91		$	82.27		$	84.70		$	90.25
Net operating results:
Interest income		4.81			5.25			1.37			1.56			2.48			2.51
Expenses		(5.33	)		(2.44	)		(1.98	)		(0.41	)		(7.77	)		(5.23	)
Net gain/(loss) on investments, net of minority interests		0.02			(0.04	)		(23.61	)		(25.71	)		15.63			16.84
Net income		(0.50	)		2.77			(24.22	)		(24.56	)		10.34			14.12
Net asset value, December 31, 2007	$	100.66		$	111.00		$	52.69		$	57.71		$	95.04		$	104.37
Ratios to average net assets (3)
Net investment gain/(loss)		-0.68	%		3.35	%		-1.19	%		1.97	%		-7.96	%		-4.02	%
Expenses before incentive fees		6.93	%		2.91	%		3.86	%		0.70	%		8.61	%		4.68	%
Expenses after incentive fees		6.93	%		2.91	%		3.86	%		0.70	%		11.68	%		7.75	%
Total return before incentive fees (2)		-1.40	%		0.75	%		-34.57	%		-40.99	%		12.78	%		17.82	%
Total return after incentive fees (2)		-1.40	%		0.75	%		-34.57	%		-40.99	%		10.48	%		15.52	%

F-29


	Long Only						Long/Short						Managed Futures Index
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2007	$	95.45		$	97.13		$	100.42		$	102.93		$	96.75		$	98.43
Net operating results:
Interest income		10.95			11.42			3.53			3.68			22.39			23.57
Expenses		(7.16	)		(5.40	)		(9.38	)		(6.65	)		(16.67	)		(15.52	)
Net gain/(loss) on investments, net of minority interests		11.56			11.89			6.89			7.22			(1.87	)		(2.06	)
Net income		15.34			17.91			1.05			4.26			3.84			5.99
Net asset value, December 31, 2007	$	110.79		$	115.04		$	101.47		$	107.19		$	100.59		$	104.42
Ratios to average net assets (3)
Net investment gain/(loss)		5.11	%		7.79	%		-7.82	%		-3.80	%		7.94	%		10.63	%
Expenses before incentive fees		9.67	%		6.98	%		9.27	%		5.25	%		23.17	%		20.49	%
Expenses after incentive fees		9.67	%		6.98	%		12.54	%		8.53	%		23.17	%		20.49	%
Total return before incentive fees (2)		15.62	%		18.55	%		3.53	%		7.15	%		5.38	%		11.13	%
Total return after incentive fees (2)		15.62	%		18.55	%		1.08	%		4.70	%		5.38	%		11.13	%

(1)

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.

(3)

Annualized

(4)

The Dunn Series ceased trading operation on October 12, 2007

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						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	%

F-30


	Long Only						Long/Short						Managed Futures Index
	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)

(2)

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	%

F-31


	Currency						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			0.85			0.85
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 operation 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 avove returns based on the timing of contributions and withdrawals. Total returns are not annualized.

7. Trading Activities and Related Risks

The purchase and sale of futures and options on futures contracts require margin deposits with Futures Commodities Merchants (each, an “FCM”). 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-32

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 United States 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 is 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)
	2007			2006			2005
Gross Unrealized Gains	$	23,009,450		$	27,229,898		$	17,528,857
Gross Unrealized (Losses)		(34,220,728	)		(13,517,509	)		(10,266,195	)

Net Unrealized Gain (Loss)		($11,211,278	)	$	13,712,389		$	7,262,662

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.

8. Indemnifications

9. Subsequent Events

On February 28, 2008, the Trust invested in $214,950,000 principal amount of U.S. Treasury notes, with maturities ranging from one to seven years, with an average yield of 2.52%. The investment was funded by withdrawal of overnight funds held with banks.

F-33

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 17, 2008	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 17, 2008	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 17, 2008	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 17, 2008	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 17, 2008	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 17, 2008	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 17, 2008	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 17, 2008	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 17, 2008	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 17, 2008	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