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, 2008

¨	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; WINTON/GRAHAM SERIES; WINTON SERIES; CAMPBELL/GRAHAM/TIVERTON SERIES

CURRENCY 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

Winton Series Class 1 and Class 2 Units

Campbell/Graham/Tiverton Series Class 1 and Class 2 Units

Currency Series Class 1 and Class 2 Units

Winton/Graham 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, 2008 were: 2,295,310 for the Balanced Series, 590,993 for the Winton Series, 651,018 for the Campbell/Graham/Tiverton Series, 125,002 for the Currency Series, 179,922 for the Winton/Graham Series, 52,645 for the Long Only Commodity Series, 475,306 for the Long/Short Commodity Series and 15,372 for the Managed Futures Index Series. Units outstanding as of December 31, 2008 were: 2,608,871 for the Balanced Series, 561,460 for the Winton Series, 695,740 for the Campbell/Graham/Tiverton Series, 150,678 for the Currency Series, 417,583 for the Winton/Graham Series, 56,872 for the Long Only Commodity Series, 566,000 for the Long/Short Commodity Series and 25,283 for the Managed Futures Index Series.

Documents Incorporated by Reference

Portions of the Prospectus filed by the registrant on February 11, 2009 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, 2008, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

Table of Contents


			Page
PART I

	Item 1.	Business	4

	Item 1A.	Risk Factors	7

	Item 1B.	Unresolved Staff Comments	21

	Item 2.	Properties	21

	Item 3.	Legal Proceedings	22

	Item 4.	Submission of Matters to a Vote of Security Holders	22

PART II

	Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	22

	Item 6.	Selected Financial Data	23

	Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	28

	Item 7A.	Quantitative and Qualitative Disclosures About Market Risk	71

	Item 8.	Financial Statements and Supplementary Data	80

	Item 9.	Changes in and Disagreements with Accountants on Accounting and Financial Disclosure	80

	Item 9A.	Controls and Procedures	80

	Item 9B.	Other Information	81

PART III

	Item 10.	Directors, Executive Officers and Corporate Governance	82

	Item 11.	Executive Compensation	84

	Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	85

	Item 13.	Certain Relationships and Related Transactions	85

	Item 14.	Principal Accountant Fees and Services	86

PART IV

	Item 15.	Exhibits and Financial Statement Schedules	87
		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”) pursuant to the requirements of the Delaware Statutory Trust Act, as amended (the “Trust Act”). The assets of each Series are valued and accounted for separately from the assets of other Series. The Trust is not registered as an investment company under the Investment Company Act of 1940, as amended (the “Investment Company Act”). 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. The Managing Owner will make contributions to Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of all Series.

The Trust conducts its business in one operating segment and has been organized to pool assets of investor funds for the purpose of trading in the U.S. and international markets for currencies, interest rates, stock indices, agricultural and energy products, precious and base metals and other commodities. The Trust may employ also futures contracts, forwards, option contracts and other interest in derivative instruments, including swap contracts (“Swaps”). As of December 31, 2008, the Trust had eight separate Series of Units issued and outstanding: the Balanced Series, Winton Series, Campbell/Graham/Tiverton Series (formerly the Campbell/Graham Series), Currency Series, Winton/Graham Series (formerly the Graham Series), Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series. The Units of each Series are separated into two classes of Units, except the Balanced Series which has four classes of Units. Previously, the Trust had offered an additional Series of Units called the Dunn Series, but such Series of Units is no longer being offered by the Trust.

On September 24, 2004, the Trust commenced operations for the Balanced Series, Winton Series, Currency Series and Dunn Series. The Winton/Graham Series commenced operations as of November 19, 2004. The Campbell/Graham/Tiverton 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.

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 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, including Swaps 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) (“Trading Advisors” 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 (other than the Long Only Commodity Series which invests only in Swaps referencing two indexes). Each Trading Company will segregate its assets from any other Trading Company

•

maintains separate, distinct records for each Series, and accounts for the assets of each Series 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 offering exposure to the investment programs of individual Trading Advisors and to specific commodities (e.g. 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, separate and distinct records of the cash and equivalents, although pooled for maximizing returns, is maintained in the books and records of each Series.

No new Units were registered under the Securities Act of 1933, as amended during 2008. 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, 2008, the total Units outstanding of each Series of the Trust was 2,608,871 with respect to the Balanced Series, 561,460 with respect to the Winton Series, 695,740 with respect to the Campbell/Graham/Tiverton Series, 150,678 with respect to the Currency Series, 417,583 with respect to the Winton/Graham Series, 56,872 with respect to the Long Only Commodity Series, 566,000 with respect to the Long/Short Commodity Series and 25,283 with respect to the Managed Futures Index Series.

As of December 31, 2008, the Trust, with respect to the Winton/Graham Series, Winton Series, Campbell/Graham/Tiverton Series, Currency Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series offered Units in two separate Classes – Class 1 and Class 2. The Trust, with respect to the Balanced Series, offered Units in four separate Classes – Class 1, Class 2, Class 1a and Class 2a.

As of December 31, 2008, each of the Winton Series, Long Only Commodity Series and Managed Futures Index Series has invested a portion of its assets in a single Trading Company, and a single Trading Advisor manages 100% of the assets invested in each such Trading Company, except the Trading Company for the Long Only Commodity Series, which allocates assets only to Swaps. The Currency Series invests a portion of its assets in a single Trading Company, which allocates assets to one Trading Advisor and one Swap. The Long/Short Commodity Series invests its assets in a single Trading Company and has multiple Trading Advisors that manage the assets invested in such Trading Company. Each of the Balanced Series, Campbell/Graham/Tiverton Series, Winton/Graham Series has invested a portion of its assets in several different Trading Companies and has multiple Trading Advisors that manage the assets invested in such Trading Companies. Trading Advisors are responsible for the trading decisions of the respective Trading Companies for which they trade. It is expected that between 10% and 30% of each Series’ assets normally will be invested in one or more Trading Companies to be committed as margin for trading positions, but from time to time these percentages may be substantially more or less. The remainders of each Series’ assets are maintained at the Trust level for cash management.

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, 2008, 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 dated February 11, 2009, which was filed by the Trust on May 16, 2008 pursuant to Rule 424(b)(3) of the Securities Act of 1933, as amended (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, (the “Commodity Exchange Act”) 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 (including Swaps) 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 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. The information contained herein does not constitute investment, legal or tax advice. 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;

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currency devaluations and revaluations;

•

U.S. and international political and economic events; and

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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 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, the use of options can be extremely expensive.

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, forward contract or option 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. These low margin requirements provide a large amount of leverage;. 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, such declines could force the liquidation of open positions with large losses. 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, the performance of client accounts of such Trading Advisor could be adversely affected.

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

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

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

Swaps 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 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 Swaps on the part of the counterparties. There are no limitations on daily price movements in Swaps. Speculative position limits are not applicable to Swaps, although the counterparties to Swaps may limit the size or duration of positions as a consequence of credit considerations. Participants in the swap markets are not required to make continuous markets in the Swaps they trade. Participants could refuse to quote prices for Swaps 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.

In the case of any Swap that references a fund or program managed by a trading advisor, certain or all of the risks disclosed in this Form 10-K in relation to the Trading Advisors also may apply, indirectly, in relation to the relevant Series’ investment in such Swap.

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 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 time or 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 some or all Series 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. During any suspension of redemptions, a redeeming Limited Owner invested in a Series for which redemptions were suspended would remain subject to market risk with respect to such Series.

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 class of financial instruments that allow 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, the NFA or any domestic exchange regulates activities on any foreign boards of trade or exchanges (such as the execution, delivery and clearing of transactions) or 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.

Trading Risks

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

Most of the Trading Advisors except C-View 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 they do have. Furthermore, prices may often be affected by unrelated or unexpected factors and fundamental analysis may not enable the Trading Advisor to determine whether its previous decisions were 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, the Series for which it trades 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 Series to avoid losses, and in fact, such use of discretion may cause the Series 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, 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.

Factors beyond a Trading Advisor’s control may cause a Trading Advisor to deviate from its trading program or strategy.

Economic, market and other conditions may cause a Trading Advisor to deviate from its stated trading program or strategy. There can be no guarantee that any Trading Advisor would alert the Managing Owner to such a change.

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, Winton/Graham Series, Campbell/Graham/Tiverton 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, Winton/Graham Series,

Campbell/Graham/Tiverton 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, Winton/Graham Series, Campbell/Graham/Tiverton 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, the Clearing Brokers for the Trading Company or Trading Companies in which such Series invests its assets 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, Winton/Graham Series, Campbell/Graham/Tiverton 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, Winton/Graham Series, Campbell/Graham/Tiverton 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 which invests only in Swaps referencing 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 or the Managing Owner will exercise its 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 assets of any Series allocated to a particular Trading Advisor are reallocated to a new or different Trading Advisor, the new or different Trading Advisor will not manage such assets on terms as favorable to such Series as those negotiated with the Trading Advisor to which such assets were previously allocated, and the Managing Owner may charge such Series incentive fees based on the performance of the Trading Advisor managing the reallocated assets even though the Series has not recouped the losses sustained by the previous Trading Advisor.

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 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 any other 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.

You have limited performance information on which to evaluate an investment in a Series.

Certain of the Series have limited performance histories upon which to evaluate your investment in such Series. Although past performance is not necessarily indicative of future results, if any such Series had a longer performance history, such performance history might provide you with more information on which to base your investment decision for such Series. As such Series have limited performance histories, you will have to make your decision to invest in any such 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, the Managing Owner charges each Series an incentive fee based on a percentage of trading profits earned on the Series’ net assets and the Managing Owner pays all or a portion of such incentive fees to the Trading Advisor(s) for such Series. Because the Balanced Series, Winton/Graham Series, Campbell/Graham/Tiverton Series, Currency Series and Long/Short Commodity Series may each employ multiple Trading Advisors,

it is possible that such Series could pay substantial incentive fees out of the assets of any such Series with respect 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.

Differing levels of fees received may create an incentive for the Managing Owner to favor certain Series over others.

The Managing Owner charges the various Series differing levels of fees. This may create an incentive for the Managing Owner to favor certain Series over other Series in, among other things, the amount of time and effort spent managing any given Series and the selection of Trading Advisors for a given Series.

The Managing Owner and its principals may maintain differing levels of beneficial ownership among the different Series.

The Managing Owner and its principals may maintain differing levels of beneficial ownership among the various Series of the Trust. Such varying levels of beneficial ownership may create an incentive for the Managing Owner and/or its principals to favor one Series over another in the amount of time and effort spent managing the Series or in the decisions made for the Series.

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

In order to purchase Class 2 Units or Class 2a 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, then you will only be able to purchase Class 1 Units or Class 1a 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 and Class 2a 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 and Class 2a 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

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

Each Trading Advisor employs a speculative strategy and the Managing Owner pays each Trading Advisor 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 may earn 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.

The interest rate floor for certain Series may create financial risk for such Series.

With respect to the Winton/Graham Series, Winton Series, Campbell/Graham/Tiverton 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 that is allocated to each of such Series 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.

In October 2008, the Trust invested approximately $272 million in custom time deposits with U.S. Bank N.A. The time deposits earn a guaranteed fixed interest rate of 3.75% and will mature six months from the deposit date and be subject to automatic six-month rollovers through October 2013. Unscheduled withdrawals will be subject to certain penalties and other costs up to 1.0% of the amount deposited if withdrawn within the first six months from the deposit date. Other assets of the Trust earn interest at different rates. 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).

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 each 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 any 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 any 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 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.

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, banks or other custodians 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.

Other institutions such as banks will have custody of the assets of the Trust. Such institutions may encounter financial difficulties that impair the Trust’s operating capabilities or capital position. The Managing Owner will attempt to limit the Trust’s deposits and transactions to well-capitalized institutions in an effort to mitigate such risks, but there can be no assurance that even a well-capitalized, major institution will not become bankrupt.

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 under the Commodity Exchange Act 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 of 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

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

In managing and directing the day-to-day activities and affairs of the Trust, the Managing Owner relies heavily on its principals. The Managing Owner is leanly staffed, 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 ceases to be the Manager of the Managing Owner, 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, Winton/Graham Series, Campbell/Graham/Tiverton 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 of any such Series will directly affect the profitability of the trading of the Balanced Series, Campbell/Graham/Tiverton 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 Trading Advisor is 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 and 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 governmental 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 believes 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 treated as 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.

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.

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 whether or not subject to ERISA or Section 4975 of the Code, or each a Plan, and further considerations apply to investments in the Trust by a Plan that is 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 such entities together with ERISA Plans, Benefit Plan Investors. While the assets of any Series (and Class of any Series) are intended not to constitute plan assets with respect to any Benefit Plan Investors, the United States Department of Labor or the DOL or a court 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.

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 or the overall operation 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 Commodity Exchange 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 Commodity Exchange 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 Commodity Exchange 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. 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.

There are no material legal proceedings to which the Trust or any of its subsidiaries is a party or of which any of their assets are the 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.

The following table provides information regarding the sale of unregistered Units by the Registrant for the year ended December 31, 2008. The number of Units listed below for each transaction is the aggregate number of Units in the particular Series of the Trust purchased in such transaction. The consideration listed below for each transaction is, except as otherwise noted, the aggregate amount of cash paid for the Units purchased. For each transaction reported below, the price per Unit was the Net Asset Value per Unit at the time of the transaction and the Managing Owner of the Trust was the purchaser of the Units. No underwriting discount or sales commission was paid or received with respect to any of the transactions reported below. The Registrant claims an exemption from registration for each of the transactions listed below under Section 4(2) of the Securities Act, as a sale by an issuer not involving a public offering.


Series	Date		Units	Consideration
Balanced Series-2a	November 17, 2008		115.7100	$	10,000
	December 30, 2008		82.1960	$	10,000

Currency Series-2	November 17, 2008		109.0300	$	300,000
	November 17, 2008	*	109.0300	$	300,000

Long Only Commodity Series-2	December 30, 2008		1,838.8356	$	200,000

Long/Short Commodity Series-2	September 20, 2008	*	1,924.14753	$	217,000
	November 17, 2008		108.4000	$	140,000

Managed Futures Index Series-2	November 17, 2008		132.4000	$	300,000

*	Each of the transactions identified by an asterisk involved an exchange of Units of one Series for Units of another Series. In each such exchange, the number of Units exchanged was based upon the then-current Net Asset Value per Unit of the applicable Series.

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 a notice requirement set forth in the Prospectus. Except as otherwise set forth in the Prospectus, Units will be redeemed at a redemption price equal to 100% of the Net Asset Value per Unit of the applicable Series, calculated as of the point described in the Prospectus. The redemption of Units has no impact on the value of Units that remain outstanding. The Managing Owner may temporarily suspend redemptions under limited circumstances described in the Prospectus. The right to obtain redemption of Units of a Series is contingent upon such Series’ having property sufficient to discharge its liabilities on the date of redemption.

Further, if a Limited Owner 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 Limited Owner is charged a redemption fee of up to 3.0% of the Net Asset Value at which the Units are redeemed. The redemption fee charged will depend on, among other things, the particular Series of Units being 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 Limited Owners. 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 proceeds are deposited in the bank and brokerage accounts of the Trust and the Trading Companies for the purpose of engaging in trading activities in accordance with the Trust’s trading policies and its Trading Advisors’ respective trading strategies.

The following table shows the number of Limited Owners and the number of Units outstanding in each Class of each Series as of March 12, 2009:


	Number of Limited Owners	Number of Units Outstanding
Balanced Series (Class 1)	9,675	2,225,412

Balanced Series (Class 1a)	343	83,522

Balanced Series (Class 2)	1,503	527,544

Balanced Series (Class 2a)	76	18,597

Winton Series (Class 1)	2,086	463,552

Winton Series (Class 2)	105	83,059

Currency Series (Class 1)	754	121,860

Currency Series (Class 2)	53	26,517

Campbell/Graham Series/Tiverton (Class 1)	3,621	653,764

Campbell/Graham Series/Tiverton (Class 2)	347	75,398

Winton/Graham Series (Class 1)	1,912	379,624

Winton/Graham Series (Class 2)	364	109,985

Long Only Commodity Series (Class 1)	330	47,867

Long Only Commodity Series (Class 2)	35	11,490

Long/Short Commodity Series (Class 1)	2,907	458,841

Long/Short Commodity Series (Class 2)	502	108,378

Managed Futures Index Series (Class 1)	151	15,140

Managed Futures Index Series (Class 2)	61	12,096

No Units are authorized for issuance by the Trust under equity compensation plans. During the year ended December 31, 2008, no unregistered Units were sold by the Trust. In addition, the Trust did not repurchase any Units (excluding redemptions by Limited Owners in the ordinary course) during the year ended December 31, 2008.

ITEM 6.

SELECTED FINANCIAL DATA.

The selected financial information for the years ended December 31, 2008, 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, 2008


	Balanced Series		Winton Series		Campbell/Graham Tiverton Series		Currency Series
Interest income - net	$	1,613,778	$	316,243	$	331,073	$	122,102
Total expenses		24,610,998		5,016,448		7,012,949		645,010
Net gain / (loss) on investments		100,495,769		15,824,382		24,168,791		(268,237	)
Net income / (loss)		60,158,339		8,454,614		12,752,188		(791,145	)
Net income / (loss) per unit – Class 1		23.71		16.58		18.64		(4.47	)
Net (loss) per unit – Class 1a		21.19		—		—		—
Net income / (loss) per unit – Class 2		30.44		21.43		23.94		(1.70	)
Net (loss) per unit – Class 2a		25.83		—		—		—


	Balanced Series			Winton Series			Campbell/Graham Tiverton Series			Currency Series
Total Assets		347,440,077			85,496,323			81,004,444			29,828,596
Total owners’ capital – Class 1		264,686,994			62,283,659			69,957,155			11,900,185
Total owners’ capital – Class 2		68,996,013			11,743,367			7,807,774			2,946,600
Net Asset Value per Unit – Class 1		125.17			130.41			110.54			96.19
Net Asset Value per unit – Class 1a		112.09			—			—			—
Net Asset Value per Unit – Class 2		142.44			140.04			124.14			109.30
Net Asset Value per Unit – Class 2a		121.30			—			—			—

	Winton/Graham Series			Long Only Commodity Series			Long/Short Commodity Series			Managed Futures Index Series
Interest income - net	$	100,204		$	112,372		$	921,454		$	35,362
Total expenses		1,991,962			213,005			4,844,371			69,230
Net gain / (loss) on investments		6,276,258			(2,596,899	)		12,587,486			701,670
Net income		4,384,500			(2,697,532	)		(2,336,474	)		667,802
Net income per unit – Class 1		21.14			(40.48	)		(1.08	)		31.59
Net income per unit – Class 2		27.12			(40.58	)		2.09			35.28
Total Assets		51,029,789			5,037,278			74,686,379			3,442,690
Total owners’ capital – Class 1		35,760,835			3,254,226			46,525,406			2,266,977
Total owners’ capital – Class 2		14,434,394			788,247			11,206,889			1,136,074
Net Asset Value per Unit – Class 1		116.18			70.31			100.39			132.18
Net Asset Value per Unit – Class 2		131.49			74.46			109.28			139.70

FOR THE PERIOD ENDED DECEMBER 31, 2007

	Balanced Series			Winton Series			Campbell/Graham Tiverton Series			Currency Series
Interest income - net	$	6,823,418		$	563,371		$	1,614,470		$	435,431
Total expenses		19,654,933			1,718,813			4,346,128			458,545
Net gain / (loss) on investments		4,789,018			4,995,445			1,730,298			(90,083	)
Net income / (loss)		(13,183,593	)		3,840,003			(2,336,186	)		(113,197	)
Net income / (loss) per unit – Class 1		(5.20	)		8.18			(4.37	)		(0.50	)
Net (loss) per unit – Class 1a		(5.07	)		—			—			—
Net income / (loss) per unit – Class 2		(2.24	)		11.80			(1.66	)		2.77
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			—			—			—

	Winton/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


	Winton/Graham Series	Long Only Commodity Series	Long Short Commodity Series	Managed Futures Index Series
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

FOR THE PERIOD ENDED DECEMBER 31, 2006


	Balanced Series			Winton Series		Campbell/Graham Tiverton Series		Currency Series
Interest income - net	$	4,254,855		$	36,215	$	1,263,221	$	418,503
Total expenses		10,436,290			106,836		2,826,870		356,310
Net gain / (loss) on investments		14,339,272			400,995		3,227,653		244,087
Net income / (loss)		4,495,683			330,374		1,143,594		283,991
Net income per unit – Class 1		2.08			5.65		1.97		3.50
Net income per unit – Class 1a		(4.03	)		—		—		—
Net income per unit – Class 2		5.51			6.81		5.03		6.81
Net income per unit – Class 2a		(2.12	)		—		—		—
Total Assets		323,360,253			896,062		99,825,922		18,247,686
Total owners’ capital – Class 1		228,763,765			356,924		48,843,314		6,891,891
Total owners’ capital – Class 2		49,243,207			290,721		7,350,167		494,736
Net Asset Value per Unit – Class 1		106.66			105.65		96.27		101.16
Net Asset Value per unit – Class 1a		95.97			—		—		—
Net Asset Value per Unit – Class 2		114.24			106.81		101.86		108.23
Net Asset Value per Unit – Class 2a		97.88			—		—		—


	Winton/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 Tiverton Series*			Currency Series			Winton/Graham Series
Interest income - net	$	1,010,834		$	16,877	$	126,602		$	3,370		$	85,327
Total expenses		6,659,562			129,494		731,047			10,669			380,800
Net gain / (loss) on investments		13,418,243			365,856		645,656			(5,175	)		(155,411	)
Net income / (loss)		7,044,527			253,239		404,576			(11,679	)		(1,268,834	)
Net income per unit – Class 1		(1.45	)		5.92		(5.70	)		(5.01	)		(20.67	)
Net income per unit – Class 2		1.88			9.43		(3.17	)		(2.05	)		(18.19	)


	Balanced Series	Winton Series	Campbell/Graham Tiverton Series*	Currency Series	Winton/Graham Series
Total Assets	143,854,064	2,251,600	30,219,924	2,872,248	7,515,985
Total owners’ capital – Class 1	114,741,316	2,047,247	21,561,490	276,762	5,642,080
Total owners’ capital – Class 2	21,224,912	178,306	2,846,556	2,065,914	1,772,604
Net Asset Value per Unit – Class 1	104.58	111.93	94.30	97.66	82.90
Net Asset Value per Unit – Class 2	108.73	116.27	96.83	101.42	85.73

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

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

**	The Winton/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, 2008 and December 31, 2008.


	1st Quarter 2008		2nd Quarter 2008			3rd Quarter 2008			4th Quarter 2008
Balanced Series:
Net gain (loss) on investments	$	28,484,724	$	26,988,921		$	(1,900,571	)	$	46,922,695
Net increase/(decrease) in owners’ captial resulting from operations		16,222,078		17,899,449			(5,255,715	)		31,292,527
Increase (decrease) in net asset value per Class 1 unit		6.51		7.50			(2.43	)		12.13
Increase (decrease) in net asset value per Class 1a unit		5.78		6.71			(2.21	)		10.91
Increase (decrease) in net asset value per Class 2 unit		8.08		9.35			(1.77	)		14.78
Increase (decrease) in net asset value per Class 2a unit		6.83		7.91			(1.54	)		12.63
Net asset value per Class 1 unit		107.97		115.47			113.04			125.17
Net asset value per Class 1a unit		96.68		103.39			101.18			112.09
Net asset value per Class 2 unit		120.08		129.43			127.66			142.44
Net asset value per Class 2a unit		102.30		110.21			108.67			121.30

Winton Series:
Net gain (loss) on investments	$	6,177,411	$	5,462,727		$	(9,100,037	)	$	13,284,282
Net income (loss)		4,731,166		2,095,748			(5,790,500	)		7,418,201
Increase (decrease) in net asset value per Class 1 unit		10.77		3.08			(9.90	)		12.63
Increase (decrease) in net asset value per Class 2 unit		12.19		4.24			(9.52	)		14.52
Net asset value per Class 1 unit		124.60		127.68			117.78			130.41
Net asset value per Class 2 unit		130.80		135.04			125.52			140.04

Campbell/Graham/Tiverton Series:
Net gain (loss) on investments	$	5,513,561	$	5,242,267		$	(1,334,389	)	$	14,747,352
Net income (loss)		3,183,727		2,502,476			(1,902,748	)		8,968,733
Increase (decrease) in net asset value per Class 1 unit		4.74		3.73			(2.91	)		13.08
Increase (decrease) in net asset value per Class 2 unit		5.94		4.93			(2.39	)		15.46
Net asset value per Class 1 unit		96.64		100.37			97.46			110.54
Net asset value per Class 2 unit		106.14		111.07			108.68			124.14

Currency Series:
Net gain (loss) on investments	$	763,316	$	(148,804	)	$	(1,096,028	)	$	213,279
Net income (loss)		663,527		(295,219	)		(1,252,489	)		93,036
Increase (decrease) in net asset value per Class 1 unit		5.84		(2.58	)		(8.21	)		0.48
Increase (decrease) in net asset value per Class 2 unit		7.32		(2.01	)		(8.37	)		1.36
Net asset value per Class 1 unit		106.50		103.92			95.71			96.19
Net asset value per Class 2 unit		118.32		116.31			107.94			109.30

Winton/Graham Series:
Net gain (loss) on investments	$	1,270,369	$	1,292,494		$	(1,456,705	)	$	5,170,100
Net income (loss)		988,146		851,766			(1,788,457	)		4,333,045
Increase (decrease) in net asset value per Class 1 unit		10.83		6.01			(7.58	)		11.88
Increase (decrease) in net asset value per Class 2 unit		12.77		7.58			(7.57	)		14.34
Net asset value per Class 1 unit		105.87		111.88			104.30			116.18
Net asset value per Class 2 unit		117.14		124.72			117.15			131.49

Long Only Commodity Series:
Net gain (loss) on investments	$	546,225	$	1,097,768		$	(1,986,414	)	$	(2,254,478	)
Net income (loss)		527,273		1,063,432			(2,016,602	)		(2,271,635	)
Increase (decrease) in net asset value per Class 1 unit		11.49		21.19			(35.13	)		(38.03	)
Increase (decrease) in net asset value per Class 2 unit		12.56		22.86			(36.25	)		(39.75	)
Net asset value per Class 1 unit		122.28		143.47			108.34			70.31
Net asset value per Class 2 unit		127.60		150.46			114.21			74.46

Long/Short Commodity Series:
Net gain (loss) on investments	$	6,531,549	$	7,810,933		$	(1,811,288	)	$	56,292
Net income (loss)		2,696,972		1,606,510			(4,350,185	)		(2,289,771	)
Increase (decrease) in net asset value per Class 1 unit		7.78		3.31			(8.17	)		(4.00	)
Increase (decrease) in net asset value per Class 2 unit		9.08		4.42			(7.91	)		(3.50	)
Net asset value per Class 1 unit		109.25		112.56			104.39			100.39
Net asset value per Class 2 unit		116.27		120.69			112.78			109.28

Managed Futures Index Series:
Net gain (loss) on investments	$	111,545	$	4,927		$	(113,530	)	$	698,728
Net income (loss)		107,920		(4,247	)		(123,610	)		687,739
Increase (decrease) in net asset value per Class 1 unit		10.55		(1.02	)		(7.36	)		29.42
Increase (decrease) in net asset value per Class 2 unit		11.53		(0.49	)		(7.25	)		31.49
Net asset value per Class 1 unit		111.14		110.12			102.76			132.18
Net asset value per Class 2 unit		115.95		115.46			108.21			139.70

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 on 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, pursuant to the requirements of the Trust Act. The assets of each Series are held and accounted for in separate and distinct records separately 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 (including Swaps) 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 manage all or a portion of the applicable Trading Company’s assets, and make the trading decisions for the assets of each Series vested in such Trading Company (other than the Long Only Commodity Series which invests only in Swaps referencing two indexes). The assets of each Trading Company will be segregated from the assets of each other Trading Company. The Trust has an investment objective of increasing the value of the Units over the long term (capital appreciation), while controlling risk and volatility; further, to offer exposure to the investment programs of individual Trading Advisors and to specific instruments (currencies).

As of December 31, 2008, the Trust had eight separate Series of Units issued and outstanding: the Balanced Series, Winton Series, Campbell/Graham/Tiverton Series, Currency Series, Winton/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 most significant accounting policy, described below, includes the valuation of its futures and forward contracts, options contracts, swap contracts, U.S. Treasury securities and certificate of deposits, and investments in unconsolidated Trading Companies, as well as the carrying value of custom time deposits. The majority of these investments are exchange traded contracts valued upon exchange settlement prices or non-exchange traded contracts and obligations with valuation based on third-party quoted dealer values on the Interbank market.

The Trust’s other significant accounting policies are described in detail in Note 2 of the financial statements.

Investment Transactions and Valuation

The Managing Owner has evaluated the nature and type of transactions processed and estimates that it makes in preparing the Trust’s financial statements and related disclosures and has adopted SFAS 157, Fair Value Measurements, as of January 1, 2008, and implemented the framework for measuring fair value for assets and liabilities.

The Trust utilizes valuation techniques that are consistent with the market approach per the requirement of SFAS 157 for the valuation of futures (exchange traded) contracts, currencies, forward (non-exchange traded) contracts, swap contracts and other non-cash assets. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. The Trust applies the valuation techniques in a consistent manner for each asset or liability. The Trust records all investments at fair value in its Statement of Financial Condition, with changes in fair value reported as a component of realized and unrealized gain/(loss) on investments in the Statements of Operations.

Inputs to valuation techniques refer to the assumptions that market participants would use in pricing the assets or liabilities. Inputs may be observable, meaning those that reflect the assumptions market participants would use in pricing the financial asset or liability based on market data obtained from independent sources, or unobservable, meaning those that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the financial asset or liability based on the best information available in the circumstances.

In addition, the Trust monitors counterparty credit risk and incorporates any identified risk factors when assigning input levels to underlying financial assets or liabilities. In that regard SFAS 157 establishes a fair value hierarchy for valuation inputs that gives the highest priority to quoted prices in active markets for identical financial assets and the lowest priority to unobservable inputs. A full disclosure of the fair value hierarchy is presented in Note 3 of the financial statements—Fair Value Measurements.

Custom Time Deposit and Certificates of Deposit

Custom time deposits and certificates of deposit are allocated to each Series based on the Series’ percentage ownership in the pooled cash management assets on the date of the asset purchase. The Trust values the custom time deposits at face value plus accrued interest as it is considered a deposit account under paragraph 7.23 of the Investment Company Audit Guide, and accordingly, this deposit is not subject to fair value measurements under SFAS 157. The Trust values the certificates of deposit at face value plus interest receivable and reports these instruments as Level 2 inputs under SFAS 157, Fair Value Measurements.

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, 2008, cash deposited at the clearing brokers was $37,015,384 for the Balanced Series, $5,221,709 for the Campbell/Graham/Tiverton Series, $670,927 for the Currency Series, ($1,508,493) for the Long/Short Commodity Series and $9,653,595 for the Winton 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/Tiverton Series, Currency Series, and Winton/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, 2008, total cash and cash equivalents, custom time deposits and certificate of deposits held at banking institutions were $155,398,049 for the Balanced Series, $60,576,467 for the Winton Series, $57,558,639 for the Campbell/Graham/Tiverton Series, $16,122,646 for the Currency Series, $44,719,563 for the Winton/Graham Series, $2,866,113 for the Long Only Commodity Series, $52,931,329 for the Long/Short Commodity Series and $2,519,042 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, 2008

January 2008

Interest Rates

In response to widespread fear of a U.S. recession, interest rate futures on both sides of the Atlantic and across the entire curve climbed steadily for most of the month. The U.S. Federal Reserve (“Federal Reserve”) cut the Fed Funds rate by 1.25% during January after the release of weaker than expected U.S. growth statistics and amid concerns that more debt write-offs are on the horizon. A late-month pullback after very high volatility, particularly in the European rate futures, was not enough to counter the significant increase in futures prices during the beginning of the month.

Currencies

The Federal Reserve’s rate cuts, which brought the Fed Funds rate down to 3%, contributed to the decline of the U.S. Dollar Index which finished the month down 2%. The Euro and the Japanese Yen strengthened against the U.S. Dollar, finishing up 1.9% and 5% respectively. The British Pound finished the month nearly unchanged against the U.S. Dollar.

Stock Indices

Widespread fear of a U.S. recession contributed to steep declines in all major U.S. Stock Market indices in January. The Dow Jones Industrial Average (DJIA) fell precipitously the first part of the month, finishing at 12,650, down 4.6%. The S&P 500 index and the NASDAQ Composite finished down 6.0% and 9.9% respectively. Stock indices in Europe and Asia also fell significantly during January. DAX index futures fell 15%, CAC-40 futures were down 13.2% and FTSE Index futures were lower by 9.3%. Nikkei index futures dropped as well, finishing lower by 11%.

Energy

After setting a new all-time intraday high of $99.77/bbl on January 3rd, March crude oil futures reversed course, finishing down 4.2% at $91.75/bbl after reports of larger than expected increases in crude oil and gasoline inventories. Gasoline and heating oil futures for March delivery also dropped during the month, finishing lower by 6.5% and 4.1% respectively. Natural gas futures prices finished higher by 7.4%.

Metals

Gold futures prices soared to a record high after the Federal Reserve’s rate cuts in January, which boosted the metal’s appeal as a stable investment. Gold futures gained 9.9% during January and surged to an all-time high of $942/oz on January 30th, finishing at $928/oz for the month. Silver futures also strengthened during the month and reached a new 25-year intraday high, finishing up 13.9%. Platinum and Copper futures finished up 14% and 8.5% respectively.

Commodities

Soybean and corn futures continued their upward paths, finishing higher by 5% and 10% respectively. Wheat also strengthened, finishing higher by 5%. Coffee and cocoa futures gained during the latter part of January, settling up 1.4% and 14.3%. Live cattle futures dropped sharply during the first part of the month, finishing down 4.3%.

February 2008

Interest Rates

After declining for most of the month, U.S. interest rate futures across the entire curve shot upwards in the last few trading sessions to finish mixed for the month. European interest rate futures behaved similarly.

Currencies

The U.S. Dollar Index plummeted even further in February and finished down 2.2% at another new record low monthly close. The Euro and the Australian Dollar strengthened against the U.S. Dollar, finishing up 2.1% and 4.3% respectively. The British Pound gained 0.1% against the U.S. Dollar, while the Canadian Dollar finished the month nearly unchanged against its U.S. counterpart.

Stock Indices

All major U.S. Stock Market indices continued to weaken in February. The DJIA finished at 12,266.4, down 3.0%. The S&P 500 Index and the NASDAQ Composite finished down 3.5% and 5.0% respectively. Stock indices in Europe fell as well in February. CAC-40 futures fell 2.8%, DAX index futures were down 3.2% but FTSE Index futures finished slightly higher.

Energy

In February, energy prices surged as investors sought refuge in commodities to offset a slowing economy and a declining U.S. dollar. Crude oil futures for April delivery hit a new all-time high on February 29th, finishing up 11.1% at $101.84/bbl. Natural gas and heating oil futures for March delivery also strengthened during the month, finishing higher by 16.0% and 11.9% respectively. Gasoline futures prices finished higher by 6.4%.

Metals

Gold futures continued to strengthen during February and surged to a new all-time high of $975/oz on February 29th, finishing up 5.1% for the month. Platinum and palladium futures prices also rallied to new all-time highs during the month, finishing up 25.5% and 44.9% respectively. Silver futures also strengthened, finishing up 16.5%.

Commodities

Soybean futures prices rallied sharply since August of last year, resulting in the highest prices in three decades. Soybean futures for May delivery surged to an all-time high on February 29th, finishing up 18.9% for the month. Corn futures also continued their upward path, finishing 8.4% for February. Wheat futures strengthened as well and hit an all-time intraday high on February 27th, finishing the month up 14.9%. Coffee, sugar and cocoa futures also gained during the month, settling up 18.6%, 13.7% and 18.0%, respectively. Lean hog futures dropped sharply the latter part of February, finishing down 9.8%. Cotton futures rose to new all-time highs, finishing the month higher by 19.3%.

March 2008

Interest Rates

Weakening U.S. economic data led the U.S. Federal Reserve to lower its target for the Fed Funds rate by 75 basis points on March 18th. US interest rate futures across the entire curve declined after the rate cut, to finish mixed for the month. European interest rate futures across the entire curve dropped precipitously during the latter part of March and finished lower for the month.

Currencies

The Federal Reserve’s rate cut in March, which brought the Fed Funds rate down to 2.25%, contributed to further weaken the U.S. Dollar Index. The U.S. Dollar Index which measures the performance of the U.S. Dollar against a basket of currencies, finished down 2.6% at another new record low monthly close. The Euro reached a new all time high against the U.S. Dollar, finishing up 4.0%. The Japanese Yen also strengthened against the U.S. Dollar, finishing up 4.1%. The Canadian Dollar and the Australian Dollar weakened against their U.S. counterpart, finishing down 3.7% and 1.9% respectively.

Stock Indices

The DJIA weakened in the beginning of March, but recouped some of the loss to finish nearly unchanged. The S&P 500 Index finished down 0.6% and NASDAQ Composite finished up 1.9%. Stock indices in Europe fell slightly in March. FTSE index futures dropped by 2.9%, CAC-40 futures fell 1.2% and DAX index futures finished lower by 2.3%.

Energy

Crude oil futures hit a new intra-day high on March 17th, but later pulled back after several days of high volatility to finish the month nearly unchanged. Gasoline futures prices also experienced high volatility mid-month, and finished lower by 2.2%. Natural gas and heating oil futures for May delivery strengthened, finishing up 7.3% and 4.7% respectively.

Metals

The combination of a declining U.S. dollar, low interest rates and surging inflation had been contributing to the rise in gold futures prices during the last couple of months. After hitting a new intra-day high on March 17th, gold futures for June delivery tumbled the latter part of the month, finishing down 6.0% at $921.50/oz. Other precious metals futures prices also dropped after lower than expected U.S. interest rate cuts. Silver futures for May delivery fell 13.1% and platinum futures for July delivery finished down 6.6%. Copper futures finished the month nearly unchanged.

Commodities

Corn futures continued to strengthen in March, finishing higher by 1.9%. Soybean futures, which had been on an upward path since August of last year, dropped precipitously in March to finish lower by 22.08%. Wheat futures for May delivery also weakened, finishing down 14.5%. Coffee, sugar and cocoa futures followed the same path, finishing lower by 23.6%, 20.0% and 16.4% respectively. After reaching new all time highs on March 5th, cotton futures also dropped sharply during the latter part of the month, finishing down 15.3%. Lean hog futures and live cattle futures also finished lower by 11.0% and 8.0% respectively.

April 2008

Interest Rates

The Federal Open Market Committee (“FOMC”) decided on April 30th to lower its target for the Fed Funds rate by 25 basis points, down to 2%. U.S. interest rate futures across the entire curve dropped the latter part of April to finish lower for the month. European interest rate futures across the entire curve behaved similarly and dropped the latter part of April, finishing lower for the month.

Currencies

The U.S. Dollar, which has been on a downward path for most of the year, strengthened during the latter part of April after reports of weak economic data from Europe. The U.S. Dollar Index reversed its downtrend and finished the month up 1%. The Euro, which reached a new all time high against the U.S. Dollar in March, weakened against the U.S. Dollar and finished lower by 1%. The Japanese Yen also weakened against the U.S. Dollar, finishing down 4.1%. The Australian Dollar and the Canadian Dollar gained against their U.S. counterpart, finishing up 3.3% and 1.8% respectively.

Stock Indices

The Dow Jones Industrial Average (DJIA) recouped some of the loss from previous months, finishing up 4.5% for April. The S&P 500 Index also finished higher by 4.8%. The NASDAQ Composite finished up 5.9%. Stock indices in Europe strengthened as well during the month. FTSE index futures gained 6.3%, CAC-40 futures finished higher by 6.0% and DAX index futures finished up 5.2%.

Energy

Crude oil futures surged to new all time highs on April 28th after widespread concerns about disruptions in the supply of crude oil. A strike at Scotland’s largest oil refinery closed a pipeline system that delivers a third of Britain’s North Sea oil to its refineries. Rebel attacks in Nigeria, Africa’s largest oil producer, also caused concerns about supply disruptions and contributed to the upward pressure on crude oil prices. Crude oil futures for June delivery finished the month up 12.2% at $113.46/bbl. Gasoline futures prices and heating oil futures prices also strengthened in April, finishing higher by 10.8% and 10.6% respectively. Natural gas futures prices for June delivery finished the month up 6.5%.

Metals

Gold futures, which hit new intraday highs in March, fell the latter part of April to finish lower by 6.1% at $865/oz. Other precious metals futures prices also dropped in April. Silver futures and Platinum futures for July delivery fell 4.6% and 5.3% respectively. Palladium futures prices finished lower by 6.1%. Copper finished the month slightly up, 1.9%.

Agriculturals

Corn futures continued their upward path, finishing up 5.2% for April. Soybean futures recouped some of the March loss, settling up 8.1%. Cocoa futures for July delivery also strengthened, finishing up 18.2%. Wheat futures for July delivery continued to weaken, finishing lower by 14.5%. Sugar and cotton futures also weakened during the month, finishing lower by 2.6% and 2.2% respectively. Coffee futures for July delivery finished the month higher by 4.2%. Lean Hogs and Live Cattle recouped some of the March loss, finishing up 8.1% and 6.5% respectively.

May 2008

Interest Rates

The Federal Reserve lowered its target for the Fed Funds rate to 2% on April 30th, after weaker than expected economic activity, lower household and business spending and softening labor markets. U.S. interest rate futures across the entire curve dropped the latter part of May to finish lower for the month. European interest rate futures across the entire curve also finished lower for the month.

Currencies

During May the U.S. Dollar stabilized against most other major currencies. For the second month in a row the U.S. Dollar Index finished the month slightly up, 0.5%. The Euro weakened against the U.S. Dollar and finished lower by 0.4%. The Japanese Yen also weakened against the U.S. Dollar, finishing down 1.5%. The Australian Dollar and the Canadian Dollar continued to gain against their U.S. counterpart, finishing up 1.3% and 1.4% respectively. The British pound finished nearly unchanged against the U.S. Dollar.

Stock Indices

The Dow Jones Industrial Average (DJIA) dropped the latter part of May, finishing down 1.4%. The S&P 500 Index finished the month higher by 1.1%. The NASDAQ Composite finished up 4.6%. Stock indices in Europe finished mixed for the month. FTSE index futures fell 0.6%, CAC-40 futures finished higher by 2.3% and DAX index futures finished up 2.2%.

Energy

Crude oil futures surged to new all time highs in May. Crude oil futures for July delivery finished the month up 13.0% at $127.35/bbl. Gasoline futures prices and Heating oil futures prices also continued to strengthen in May, finishing higher by 15.5% and 15.7% respectively. Natural gas futures prices for July delivery finished the month up 6.6%.

Metals

Gold futures finished the month up 2.5%, settling at 891.50/oz. Silver futures for July delivery dropped the latter part of May, to finish lower by 1.6%. Platinum recouped some of the April loss, up 4.1% for the month. Palladium futures prices finished higher by 2.9%. Copper futures for July delivery finished lower by 7.6%.

Agriculturals

Wheat futures, which have been on a downward path since mid March, continued to weaken, finishing down 4.9%. Soybean and soybean oil futures finished the month up 3.8% and 5.1% respectively. Sugar, cotton and orange juice futures for July delivery continued to weaken, settling down 15.2%, 7.6% and 9.6% respectively. Lean hogs and live cattle continued to strengthen, finishing up 3.7% and 2.9% respectively. Corn, coffee and cocoa futures finished slightly down 2.1%, 1.1% and 1.9% respectively.

June 2008

Interest Rates

The FOMC decided on June 25th to keep its target for the Federal Funds rate at 2%. Federal Reserve policymakers, along with foreign central bank officials, expressed greater concerns about inflation, stressing the importance of keeping inflation expectations contained. U.S. interest rate futures across the entire curve dropped the first part of June, but bounced back the latter part of the month to finish higher. European interest rate futures across the entire curve dropped the first part of June to finish lower for the month.

Currencies

The U.S. Dollar Index finished the month slightly down, falling by 0.6%. The Euro strengthened against the U.S. Dollar and finished higher by 1.3%. The British Pound also strengthened against the U.S. Dollar, finishing up 0.5%. The Australian Dollar gained against its U.S. counterpart, up 0.3%. The Canadian Dollar weakened against the U.S. Dollar, finishing down 2.8%. The Japanese Yen also weakened against the U.S. dollar, finishing down 0.7%.

Stock Indices

All major U.S. stock market indices weakened in June. The DJIA dropped precipitously during the month, finishing lower by 10.2%. The S&P 500 Index finished the month down 8.6%. The NASDAQ Composite fell 9.1% in June. Stock indices in Europe finished lower as well. FTSE index futures fell 7.4%, CAC-40 futures finished down 12.1% and DAX index futures finished lower by 10.2%.

Energy

Energy prices had risen sharply since the beginning of the year. Crude oil futures surged to new all time highs in June. Crude oil futures for August delivery finished the month up 9.8% at $140/bbl. Gasoline futures prices and heating oil futures prices for August delivery also continued to strengthen, finishing higher by 5.8% and 5.9% respectively. Natural gas futures prices, which had been on an upward path since December last year, finished the month up 13.2%.

Metals

Gold futures finished the month up 4.1%, settling at $928/oz. Silver futures for September delivery also strengthened, finishing higher by 3.2%. Platinum and Palladium futures finished the month up 2.8% and 5.9% respectively. Copper futures recouped the May loss, finishing higher by 7.6%.

Agriculturals

Grains continued their rally from the previous months. Virtually all information from USDA and farmers points to great stress in the grain markets. After a wet spring and late plantings for both corn and soybeans, flooding has now destroyed hundreds of thousands of acres of crops in the Midwest. In June, December 2008 futures contracts for corn finished up 20.8% reaching record highs of nearly $8.00 per bushel. Soybean and soybean oil futures also strengthened, finishing up 16.2% and 7.7% respectively. Wheat futures reversed its downward trend and finished the month up 10.5%. Coffee, cocoa and sugar futures also strengthened during the month, finishing up 12.4%, 16.2% and 14.6% respectively. Lean hogs dropped the latter part of June, finishing lower by 10.2%.

July 2008

Interest Rates

Loan finance giants Fannie Mae and Freddie Mac, which own or guarantee about half the $12 trillion U.S. mortgage market, contributed to rising mortgage rates in July, as the mortgage companies’ stock plummeted after fears resurfaced over the lending crisis and that the two companies would need to raise billions of dollars in new capital. Even as policy makers rushed to support Fannie Mae and Freddie Mac, home loan rates approached their highest levels in several years. The FOMC decided to maintain its target for the federal funds rate at 2% as the financial markets remained under considerable stress. The European Central Bank, in contrast, raised its benchmark interest rate a quarter of a percentage point to 4.25% on July 3rd, after concerns about soaring prices for food and fuel. Short-term and mid-term U.S. interest rate futures finished higher in July, while long-term futures finished lower for the month. European interest rate futures across the entire curve gained the latter part of July to finish higher.

Currencies

The U.S. Dollar strengthened against most other major currencies in July. The U.S. Dollar Index finished the month up 1.1 %. The Euro weakened against the U.S. Dollar and finished lower by 1.0%. The Australian Dollar and the Canadian Dollar also weakened against their U.S. counterpart, down 1.7% and 0.2% respectively. The British Pound finished lower by 0.4% against the U.S. Dollar. The Japanese Yen also weakened against the U.S. Dollar, finishing down 1.6%.

Stock Indices

The DJIA finished the month nearly unchanged, up 0.2%. The S&P 500 Index finished the month down 1.0%. The NASDAQ Composite gained 1.4% in July. Stock indices in Europe finished mixed as well. FTSE index futures fell 4.5%, CAC-40 futures finished down 1.3%, and DAX index futures finished higher by 0.5%.

Energy

Energy prices, which had risen sharply since the beginning of the year, dropped precipitously in July. Natural gas futures prices for September delivery finished the month lower by 32.0%. Heating oil futures dropped as well, finishing down by 12.4%. Crude oil and gasoline futures prices for September delivery also weakened, finishing lower by 11.7% and 12.41% respectively.

Metals

Gold futures finished the month down 1.6%, settling at $923/oz. Copper futures for September delivery also weakened, finishing lower by 5.7%. Platinum and palladium futures dropped sharply the latter part of July, finishing down 15.0% and 17.5% respectively.

Agriculturals

Grains prices tumbled in July as the U.S. Dollar strengthened, which lessened the appeal of commodities as a hedge against the weakening currency. In July, December 2008 futures contracts for corn finished down 19.7%. Soybean and soybean oil futures also weakened, finishing down 10.8% and 12.2% respectively. Wheat futures for September delivery finished down 8.7%. Coffee and cocoa futures also weakened during the month, finishing down 9.0% and 10.2% respectively.

August 2008

Interest Rates

The Federal Open Market Committee decided to maintain its target for the federal funds rate at 2% as the financial markets remain under considerable stress. U.S. interest rate futures across the entire curve finished higher in August. Mid-term and long-term European interest rate futures finished higher as well, while short-term European interest rate futures and Eurodollar rate futures finished the month nearly unchanged.

Currencies

The U.S. Dollar continued to strengthen against most other major currencies in August. The U.S. Dollar Index finished the month up 5.7%. The Euro weakened against the U.S. Dollar and finished lower by 6.0%. The British Pound also weakened against the U.S. Dollar, finishing lower by 8.2% for the month. The Australian Dollar and the Canadian Dollar also dropped against their U.S. counterpart, down 9.0% and 3.7% respectively. The Japanese Yen weakened against the U.S. dollar as well, finishing down 0.8%.

Stock Indices

The DJIA finished the month up 1.4%. The S&P 500 Index and the NASDAQ Composite gained as well, finishing up 1.2% and 1.8% respectively for August. Stock indices in Europe finished mixed for the month. FTSE index futures finished higher by 4.7%, CAC-40 futures up 2.0% and DAX index futures finished lower by 1.2%.

Energy

Energy prices had dropped sharply since the beginning of July. Natural gas futures prices for October delivery finished the month lower by 13.9%. Heating oil futures dropped as well, finishing down by 8.6%. Crude oil and gasoline futures prices for October delivery also weakened, finishing lower by 7.3% and 4.3% respectively.

Metals

Gold futures finished the month down 9.5%, settling at $835/oz. Copper futures for September delivery also weakened, finishing lower by 7.0%. Silver, platinum and palladium futures dropped sharply in August, finishing down 23.6%, 15.4% and 20.7% respectively.

Agriculturals

In August, December 2008 futures contracts for corn finished down 3.7%. Soybean and soybean oil futures also weakened, finishing down 5.7% and 8.9% respectively. Wheat futures for December delivery finished down 0.9% and sugar futures for October delivery dropped 8.4% for the month. Rough rice finished the month up 12.2%. Coffee and cocoa futures also strengthened during the month, finishing up 1.8% and 0.2% respectively.

September 2008

Interest Rates

U.S. Treasury officials unveiled an extraordinary takeover of Fannie Mae and Freddie Mac on September 7, putting the government in charge of the two mortgage giants and the $5 trillion in home loans they back. The rescue plan for these two government sponsored enterprises commits the government to provide as much as $100 billion to each company to backstop any shortfalls in capital. On September 17, the Federal Reserve announced that it was taking control of the insurance giant American International Group (“AIG”), in an $85 billion bailout meant to prevent the havoc across international markets that would likely follow the company’s collapse. Struggling to fend off financial market collapse, the Bush administration on September 19, laid out a radical bailout plan to take over a half-trillion dollars or more mortgage backed securities and bad debt from struggling financial institutions. It is the most expensive financial bailout in American history and the most far-reaching government intervention to rescue failing financial institutions since the Great Depression. The FOMC decided to maintain its target for the federal funds rate at 2% for September as the financial markets remained under considerable stress. Short-term U.S. interest rate futures finished higher in September, while long-term U.S. interest rate futures finished lower for the month. European interest rate futures across the entire curve finished higher for the month.

Currencies

The U.S. Dollar continued to strengthen against most other major currencies in September. The U.S. Dollar Index finished the month up 2.7%. The Euro weakened against the U.S. Dollar and finished lower by 3.9%. The British Pound also weakened against the U.S. Dollar, finishing lower by 2.2% for the month. The Australian Dollar also dropped against its U.S. counterpart, down 7.6%. The Japanese Yen strengthened against the U.S. Dollar, finishing up 2.6%, while the Canadian Dollar finished the month nearly unchanged against the U.S. Dollar.

Stock Indices

After the bailout plan was announced on September 19th, investors sent stocks soaring on Wall Street and around the globe. However, the jump was not enough to off-set the drop the latter part of the month. The DJIA finished the month down 6.0%. The S&P 500 Index and the NASDAQ Composite dropped as well, finishing lower by 9.1% and 12.0% respectively. Stock indices in Europe finished lower as well during the month. FTSE index futures finished down 10.7%, CAC-40 futures finished lower by 8.5% and DAX index futures dropped 8.2%.

Energy

Energy prices continued to drop in September. Crude oil futures for November delivery finished the month down 13.1%. Natural gas futures and gasoline futures prices for November delivery finished the month lower by 11.1% and 12.7% respectively. Heating oil futures dropped as well, finishing lower by 10.1%.

Metals

Gold futures for December delivery jumped the latter part of the month to finished higher by 5.5% finishing at $881/oz. Platinum and palladium futures continued to drop sharply during September, finishing down 31.4% and 33.9% respectively. Since the beginning of July, platinum and palladium futures had dropped more than 50%. Copper and silver futures for December delivery also weakened during the month, finishing lower by 15.0% and 10.4% respectively.

Agriculturals

Most agricultural futures contracts finished lower in September. December 2008 futures contracts for soybean and soybean oil weakened, finishing down 21.1% and 17.9% respectively. Corn and wheat futures for December delivery also dropped, finishing 16.7% and 15.1% respectively. Cotton, coffee and sugar futures for December delivery dropped 18.0%, 10.5% and 6.2%.

October 2008

Interest Rates

The FOMC decided to lower its target for the Federal Funds rate to 1.5 percent on October 8th, as economic data pointed towards a weakening of economic activity and a reduction in inflationary pressures. As the financial markets remained under considerable stress the FOMC decided to lower it another 50 basis points to 1 percent on October 29th. Short-term U.S. interest rate futures finished higher in October, while long-term U.S. interest rate futures finished lower for the month. European interest rate futures across the entire curve finished higher for the month.

Currencies

The U.S. Dollar continued to strengthen against most other major currencies in October. The U.S. Dollar index finished the month up 7.8%. The Euro weakened again the U.S. Dollar and finished lower by 9.7% for the month. The British Pound also weakened against the U.S Dollar, finishing lower by 9.7%. The Australian Dollar and the Canadian Dollar weakened against their U.S. counterpart, finishing down 13.9% and 12.2% respectively. The Japanese Yen strengthened against the U.S. Dollar, finishing up 7.8% for the month.

Stock Indices

All major U.S. stock indices weakened in October. The Dow Jones Industrial Average, S&P 500 Index and NASDAQ Composite Index dropped during the month, finishing lower by 14.1%, 16.9% and 17.4% respectively. Stock indices in Europe finished lower as well. FTSE index futures finished down 12.6%, CAC-40 futures dropped 15.0% and DAX index futures finished down 15.0%.

Energy

Energy prices dropped precipitously in October. Crude oil futures for December delivery finished the month down 32.4%. Natural gas futures and gasoline futures prices for November delivery finished the month lower by 12.9% and 38.9% respectively. Heating oil futures dropped as well, finishing lower by 28.7%.

Metals

Gold futures for December delivery dropped the latter part of the month to finished lower by 18.5% settling at $718/oz. Silver, copper and platinum futures also dropped sharply during October, finishing down 20.7%, 36.5% and 19.1% respectively. Palladium futures finished lower by 1.6%.

Agriculturals

Most agricultural futures contracts continued to weaken during the month. December 2008 futures contracts for soybean and soybean oil dropped, finishing lower by 12.2% and 24.5% respectively. Wheat and rough rice futures for December delivery also dropped, finishing down 21.1% and 20.5% respectively. Cotton, cocoa and sugar futures for December delivery settled down 22.6%, 19.7% and 12.0% respectively.

November 2008

Interest Rates

Recent economic data in the United States and Europe raised concerns of a deep and protracted global economic recession. The world economy and international financial systems might be facing the worst crisis since the 1930s. The FOMC kept the federal funds rate at 1 percent in November. U.S. interest rate futures, as well as European interest rate futures, across the entire curve finished higher in November.

Currencies

The U.S. Dollar continued to strengthen against most other major currencies in November. The U.S. Dollar index finished the month up 1.0%. The Euro weakened again the U.S. Dollar and finished lower by 0.3% for the month. The British Pound also weakened against the U.S. Dollar, finishing lower by 4.3%. The Australian Dollar and the Canadian Dollar weakened against their U.S. counterpart, finishing down 1.9% and 2.2% respectively. The Japanese Yen continued to strengthen against the U.S. Dollar, finishing up 3.0% for November.

Stock Indices

All major U.S. and European stock indices continued to weaken in November. The Dow Jones Industrial Average finished lower by 5.3% for the month. S&P 500 Index and NASDAQ Composite Index also dropped during November, finishing lower by 7.5% and 10.8% respectively. Stock indices in Europe finished lower as well. FTSE index futures finished down 2.5%, CAC-40 futures dropped 6.1% and DAX index futures finished lower by 7.4%.

Energy

Energy prices continued to drop in November. Crude oil futures for January delivery finished the month down 20.5%. Natural gas futures and gasoline futures prices for January delivery finished the month lower by 7.7% and 21.0% respectively. Heating oil futures dropped as well, finishing lower by 18.3%.

Metals

Gold futures for February delivery finished higher by 13.8% settling at $819/oz. Silver and platinum futures also finished higher, up 5.0% and 6.1% respectively. Palladium and copper futures finished the month lower by 3.6% and 10.1% respectively.

Agriculturals

Most agricultural futures contracts continued to weaken during the month. January 2009 futures contracts for soybean and soybean oil dropped, finishing lower by 5.4% and 3.5% respectively. Corn and rough rice futures for also dropped, finishing down 12.8% and 13.5% respectively. Wheat and cocoa futures for March 2006 delivery finished the month higher by 0.8% and 10.4% respectively. Lean hogs finished higher by 6.4% and live cattle dropped by 7.0%.

December 2008

Interest Rates

The FOMC decided to lower its target range for the federal funds rate to 0 to 0.25% in December, as economic data pointed towards further declining consumer spending, business investment and industrial production as well as deteriorating labor market conditions. The FOMC announced that it expected to keep rates near that unprecedented low level for some time to come and was looking at different steps it can take to stimulate the economy and keep market rates low, including purchasing large quantities of agency debt and mortgage-backed securities and possible purchasing long-term U.S. Treasury notes. U.S. interest rate futures, as well as European interest rate futures, across the entire curve finished higher in December.

Currencies

The U.S. Dollar weakened against most other major currencies in December. The Federal Reserve’s drastic rate cut contributed to the decline of the U.S. Dollar Index which finished the month down 6.0%. The Euro and the Japanese Yen strengthened against the U.S. Dollar, finishing higher by 10.1% and 5.3% respectively for the month. The Australian Dollar and the Canadian Dollar also strengthened again their U.S. counterpart, finishing up 7.3% and 1.6% respectively. The Swiss Franc gained against the U.S Dollar, up 13.4% and the British pound weakened against the U.S. Dollar, down 4.8%.

Stock Indices

U.S. and European stock indices finished mixed for the month. The Dow Jones Industrial Average finished lower by 0.6% for December. S&P 500 Index and NASDAQ Composite Index finished up 0.8% and 2.7% respectively for the month. In Europe, FTSE index futures finished up 2.4%, CAC-40 futures dropped 2.0% and DAX index futures finished higher by 2.6%.

Energy

Energy prices continued to drop in December. Crude oil futures for February delivery finished the month down 20.1%. Natural gas futures and gasoline futures prices for February delivery finished the month lower by 14.4% and 14.7% respectively. Heating oil futures dropped as well, finishing lower by 17.7%.

Metals

Gold futures for February delivery finished higher by 8.0% settling at $884/oz. Silver and platinum futures also finished higher, up 10.4% and 6.0% respectively. Palladium and copper futures finished the month lower by 2.9% and 14.5% respectively.

Agriculturals

March 2009 futures contracts for soybeans, soybean oil and soybean meal finished higher by 10.0%, 0.8% and 17.4% respectively. Corn, wheat and rough rice futures also strengthened, finishing up 11.3%, 8.8% and 13.1% respectively. Cocoa futures for March 2009 delivery finished the month higher by 16.2% and orange juice futures for March 2009 delivery dropped 13.8%. Lean hogs finished lower by 9.2% and live cattle dropped by 1.8%. Lumber futures for March 2009 delivery finished December down -10.4%.

Series Returns and Other Information

The returns for each Series and Class of Units for the twelve months ended December 31, 2008, and related information, are discussed below. Each Series had exposure to commodity interest positions within one or more sectors during 2008. 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, 2008 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 gained 23.4% for the twelve months ended December 31, 2008, net of fees and expenses; the Balanced Series – Class 1a Net Asset Value gained 23.3% for the twelve months ended December 31, 2008, net of fees and expenses; the Balanced Series – Class 2 Net Asset Value gained 27.2% for the twelve months ended December 31, 2008, net of fees and expenses; the Balanced Series – Class 2a Net Asset Value gained 27.1% for the twelve months ended December 31, 2008, net of fees and expenses.

For the twelve months ended December 31, 2008, the Balanced Series recorded net gain on investments of $100,495,769, net interest of $1,613,778, and total expenses of $24,610,998, resulting in a net increase in Owners’ capital from operations of $60,158,339 after minority interests of ($17,340,210). The Net Asset Value per Unit, Class 1, increased from $101.46 at December 31, 2007, to $125.17 at December 31, 2008. For Class 1a, the Net Asset Value per Unit increased from $90.90 at December 31, 2007, to $112.09 at December 31, 2008. The Net Asset Value per Unit, Class 2, increased from $112.00 at December 31, 2007, to $142.44 at December 31, 2008. For Class 2a, the Net Asset Value per Unit increased from $95.47 at December 31, 2007, to $121.30 at December 31, 2008. Total Class 1 subscriptions and redemptions for the twelve months were $53,227,589 and $46,971,227, respectively. Total Class 1a subscriptions and redemptions for the twelve-month period were $2,242,824 and $1,099,001, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $17,553,242 and $9,274,267, respectively. Total Class 2a subscriptions and redemptions for the twelve month period were $606,073 and $345,411, respectively. Ending capital at December 31, 2008, was $256,550,829 for Class 1, $8,136,165 for Class 1a, $67,109,662 for Class 2 and $1,886,351 for Class 2a. At December 31, 2007, ending capital 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.

In November and December of 2007, 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 pools, for the purpose of further diversification among trading advisors and styles. The Trust does not have transparency to the underlying investments of these commodity pools. Accordingly, the underlying investments of the fund option transaction have been excluded from the below sector attribution chart.

The Balanced Series had exposure to commodity interest positions within the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors during 2008. For information regarding the below sector attribution chart, see the disclosures above under Series Returns and Other Information.

Sector Attribution for the Balanced Series

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Winton Series

The Winton Series – Class 1 Net Asset Value gained 14.6% for the twelve months ended December 31, 2008, net of fees and expenses; the Winton Series – Class 2 Net Asset Value gained 18.1% for the twelve months ended December 31, 2008, net of fees and expenses.

For the twelve months ended December 31, 2008, the Winton Series recorded net gain on investments of $15,824,382, net interest of $316,243, and total expenses of $5,016,448, resulting in a net increase in Owners’ capital from operations of $8,454,614, after minority interests of ($2,669,563). The Net Asset Value per Unit, Class 1, increased from $113.83 at December 31, 2007, to $130.41 as of December 31, 2008. The Net Asset Value per Unit, Class 2, increased from $118.61 at December 31, 2007, to $140.04 as of December 31, 2008. Total Class 1 subscriptions for the twelve months were $25,445,441 and redemptions were $5,428,009. Total Class 2 subscriptions and redemptions for the twelve-month period were $0, and $484,181, respectively. Ending capital at December 31, 2008, was $62,283,659 for Class 1 and $11,743,367 for Class 2. Ending capital at December 31, 2007, was $35,664,260 for Class 1 and $10,374,901 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 2008. For information regarding the below sector attribution chart, see the disclosures above under Series Returns and Other Information.

Sector Attribution for the Winton Series

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Campbell/Graham/Tiverton Series (formerly the Campbell/Graham Series)

The Campbell/Graham/Tiverton Series – Class 1 Net Asset Value gained 20.3% for the twelve months ended December 31, 2008, net of fees and expenses; the Campbell/Graham/Tiverton Series – Class 2 Net Asset Value gained 23.9% for the twelve months ended December 31, 2008, net of fees and expenses.

For the twelve months ended December 31, 2008, the Campbell/Graham/Tiverton Series recorded net gain on investments of $24,168,791, net interest of $331,073, and total expenses of $7,012,949, resulting in a net increase in Owners’ capital from operations of $12,752,188 after minority interests of ($4,734,727). The Net Asset Value per Unit, Class 1, increased from $91.90 at December 31, 2007, to $110.54 as of December 31, 2008. The Net Asset Value per Unit, Class 2, increased from $100.20 at

December 31, 2007, to $124.14 as of December 31, 2008. Total Class 1 subscriptions for the twelve months ended December 31, 2008, were $15,128,511 and redemptions were $12,047,193. Total Class 2 subscriptions and redemptions for the twelve months ended December 31, 2008, were $2,039,851, and $1,459,332, respectively. Ending capital at December 31, 2008, was $69,957,155 for Class 1 and $7,807,774 for Class 2. Ending capital at December 31, 2007, was $55,530,902 for Class 1 and $5,820,002 for Class 2.

The Campbell/Graham/Tiverton Series had exposure to commodity interest positions within the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors during 2008. For information regarding the below sector attribution chart, see the disclosures above under Series Returns and Other Information.

Sector Attribution for the Campbell/Graham/Tiverton Series

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Currency Series

The Currency Series – Class 1 Net Asset Value lost 4.4% for the twelve months ended December 31, 2008, net of fees and expenses; the Currency Series – Class 2 Net Asset Value lost 1.5% for the twelve months ended December 31, 2008, net of fees and expenses.

For the twelve months ended December 31, 2008, the Currency Series recorded net loss on investments of $268,237, net interest of $122,102, and total expenses of $645,010, resulting in a net decrease in Owners’ capital from operations of $791,145. The Net Asset Value per Unit, Class 1, decreased from $100.66 at December 31, 2007, to $96.19 as of December 31, 2008. The Net Asset Value per Unit, Class 2, decreased from $111.00 at December 31, 2007, to $109.30 as of December 31, 2008. Total Class 1 subscriptions and redemptions for the twelve months ending December 31, 2008 were $4,569,653, and $1,825,220, respectively. Total Class 2 subscriptions and redemptions for the twelve months ending December 31, 2008 were $2,603,875 and $302,384, respectively. Ending capital at December 31, 2008, was $11,900,185 for Class 1 and $2,946,600 for Class 2. Ending capital at December 31, 2007, was $9,791,812 for Class 1 and $800,194 for Class 2.

All commodity interest positions of the Currency Series during 2008 were within the Currencies sector.

Winton/Graham Series (formerly the Graham Series)

The Winton/Graham Series – Class 1 Net Asset Value gained 22.2% for the twelve months ended December 31, 2008, net of fees and expenses; the Winton/Graham Series – Class 2 Net Asset Value gained 26.0% for the twelve months ended December 31, 2008, net of fees and expenses.

For the twelve months ended December 31, 2008, the Winton/Graham Series recorded net gain on investments of $6,276,258, net interest of $100,204, and total expenses of $1,991,962, resulting in a net increase in Owners’ capital from operations of $4,384,500. The Net Asset Value per Unit, Class 1, increased from $95.04 at December 31, 2007, to $116.18 as of December 31, 2008. The Net Asset Value per Unit, Class 2, increased from $104.37 at December 31, 2007, to $131.49 as of December 31, 2008. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2008 were $28,257,833 and $1,559,841, respectively. Total Class 2 subscriptions and redemptions for the twelve months ended December 31, 2008 were $11,442,834 and $199,080, respectively. Ending capital at December 31, 2008, was $35,760,835 for Class 1 and $14,434,394 for Class 2. Ending capital at December 31, 2007, was $6,060,207 for Class 1 and $1,808,776 for Class 2.

The Winton/Graham Series had exposure to commodity interest positions within the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors during 2008. For information regarding the below sector attribution chart, see the disclosures above under Series Returns and Other Information.

Sector Attribution for the Winton/Graham Series

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Long Only Commodity Series

The Long Only Commodity Series – Class 1 Net Asset Value lost 36.5% for the twelve months ended December 31, 2008, net of fees and expenses; the Long Only Commodity Series – Class 2 Net Asset Value lost 35.3% for the twelve months ended December 31, 2008, net of fees and expenses.

For the twelve months ended December 31, 2008, the Long Only Commodity Series recorded net loss on investments of $2,596,899, net interest of $112,372, and total expenses of $213,005, resulting in a net decrease in Owners’ capital from operations of $2,697,532. The Net Asset Value per Unit, Class 1, decreased from $110.79 at December 31, 2007 to $70.31 as of December 31, 2008. The Net Asset Value per Unit, Class 2, decreased from $115.04 at December 31, 2007, to $74.46 as of December 31, 2008. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2008 were $2,036,429 and $1,356,931, respectively. Total Class 2 subscriptions and redemptions for the twelve months ended December 31, 2008 were $1,058,317 and $27,878, respectively. Ending capital at December 31, 2008, was $3,254,226 for Class 1 and $788,247 for Class 2. Ending capital at December 31, 2007, was $4,730,889 for Class 1 and $299,179 for Class 2.

The Long Only Commodity Series had exposure to long commodity interest positions within the Energies, Metals and Commodities sectors during 2008.

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 lost 1.1% for the twelve months ended December 31, 2008, net of fees and expenses; the Long/Short Commodity Series – Class 2 Net Asset Value gained 1.9% for the twelve months ended December 31, 2008, net of fees and expenses.

For the twelve months ended December 31, 2008, the Long/Short Commodity Series recorded net gain on investments of $12,587,486, net interest of $921,454, and total expenses of $4,844,371, resulting in a net decrease in Owners’ capital from operations of $2,336,474 after minority interests of ($11,001,043). The Net Asset Value per Unit, Class 1, decreased from $101.47 at December 31, 2007, to $100.39 as of December 31, 2008. The Net Asset Value per Unit, Class 2, increased from $107.19 at December 31, 2007, to $109.28 as of December 31, 2008. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2008 were $28,403,530 and $10,999,764, respectively. Total Class 2 subscriptions and redemptions for the twelve months ended December 31, 2008 were $8,253,603 and $340,236, respectively. Ending capital at December 31, 2008, was $46,525,406 for Class 1 and $11,206,889 for Class 2. Ending capital at December 31, 2007, was $31,092,746 for Class 1 and $3,658,890 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 2008. 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

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Managed Futures Index Series

The Managed Futures Index Series – Class 1 Net Asset Value gained 31.4% for the twelve months ended December 31, 2008, net of fees and expenses; the Managed Futures Index Series – Class 2 Net Asset Value gained 33.8% for the twelve months ended December 31, 2008, net of fees and expenses.

For the twelve months ended December 31, 2008, the Managed Futures Index Series recorded a net gain on investments of $701,670, net interest of $35,362, and total expenses of $69,230, resulting in a net increase in Owners’ capital from operations of $667,802. The Net Asset Value per Unit, Class 1, increased from $100.59 at December 31, 2007, to $132.18 as of December 31, 2008. The Net Asset Value per Unit, Class 2, increased from $104.42 at December 31, 2007, to $139.70 as of December 31, 2008. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2008 were $1,620,857 and $416,360, respectively. Total Class 2 subscriptions for the twelve months ended December 31, 2008 were $889,180 and $315,877, respectively. Ending capital at December 31, 2008, was $2,266,977 for Class 1 and $1,136,074 for Class 2. Ending capital at December 31, 2007, was $621,740 for Class 1 and $335,709 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 2008. 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

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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 of 2007, 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 pools, for the purpose of further diversification among trading advisors and styles. The Trust does not have transparency to the underlying investments of these commodity pools. Accordingly, the underlying investments of the fund option transaction have been excluded from the below sector attribution chart.

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

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Winton 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

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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

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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.

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

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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.

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

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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

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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 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.

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 Graham 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%.

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%. 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.

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.

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 cross rate provided many profitable opportunities for traders. The British Pound fell 0.4%, the Japanese Yen was down 2.7%, and the Euro decreased 0.3% against the U.S. Dollar. The Canadian Dollar fell by 2.2% against the U.S. Dollar and 1.9% against the Euro. European stock markets outperformed their American counterparts in December. The S&P 500 finished the month up 1.2% and the NASDAQ Composite was lower by 0.7%. The blue-chip Dow Jones Industrial Index set several new all-time highs during the month, culminating with an intraday high of 1250.15 and finishing the month up 2.0% at 1246.32. In Europe, futures on the German DAX finished the month up just over 4% while French CAC-40 futures were up 3.9%. Japanese Nikkei 225 futures soared upward and finished the month higher by 6.3%. While Crude oil and gasoline remained range-bound, warmer weather in the 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.

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, 2008 and 2007. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.


Balanced Series: (1), (2)

	December 31, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	2,002,489	0.6	%	$	4,141,800	1.6	%
Currencies	$	3,124,541	0.9	%	$	12,550,205	4.9	%
Stock Indices	$	5,250,263	1.6	%	$	16,386,874	6.4	%
Metals	$	355,150	0.1	%	$	2,218,094	0.9	%
Agriculturals/Softs	$	1,553,216	0.5	%	$	5,268,753	2.0	%
Energy	$	624,306	0.2	%	$	2,427,354	0.9	%
Total:	$	12,909,965	3.9	%	$	42,993,080	16.7	%

Winton Series:

	December 31, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,076,982	1.5	%	$	926,827	2.0	%
Currencies	$	1,360,405	1.8	%	$	912,891	2.0	%
Stock Indices	$	67,599	0.1	%	$	396,460	0.9	%
Metals	$	69,327	0.1	%	$	321,324	0.7	%
Agriculturals/Softs	$	532,693	0.7	%	$	458,927	1.0	%
Energy	$	72,478	0.1	%	$	285,114	0.6	%
Total:	$	3,179,484	4.3	%	$	3,301,543	7.2	%


Currency Series: (3)

	December 31, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—	0	%	$	—	0	%
Currencies	$	181,098	1.2	%	$	1,416,836	13.4	%
Stock Indices	$	—	0	%	$	—	0	%
Metals	$	—	0	%	$	—	0	%
Agriculturals/Softs	$	—	0	%	$	—	0	%
Energy	$	—	0	%	$	—	0	%
Total:	$	181,098	1.2	%	$	1,416,836	13.4	%


Winton/Graham Series:

	December 31, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	451,517	0.9	%	$	12,456	0.2	%
Currencies	$	433,230	0.9	%	$	528,103	6.7	%
Stock Indices	$	54,758	0.1	%	$	41,051	0.5	%
Metals	$	43,737	0.1	%	$	19,450	0.2	%
Agriculturals/Softs	$	185,563	0.4	%	$	12,621	0.2	%
Energy	$	38,493	0.1	%	$	15,508	0.2	%
Total:	$	1,207,298	2.5	%	$	629,189	8.0	%

Campbell/Graham/Tiverton Series:

	December 31, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	828,192	1.1	%	$	1,069,340	1.7	%
Currencies	$	1,067,847	1.4	%	$	6,743,483	11.0	%
Stock Indices	$	915,299	1.2	%	$	2,393,573	3.9	%
Metals	$	68,164	0.1	%	$	528,218	0.9	%
Agriculturals/Softs	$	199,871	0.3	%	$	54,560	0.1	%
Energy	$	88,512	0.1	%	$	364,034	0.6	%
Total:	$	3,167,885	4.2	%	$	11,153,208	18.2	%

Long Only Commodity Series:

	December 31, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—	0.0	%	$	-0	0.0	%
Currencies	$	—	0.0	%	$	-0	0.0	%
Stock Indices	$	—	0.0	%	$	-0	0.0	%
Metals	$	105,600	2.6	%	$	120,000	2.4	%
Agriculturals/Softs	$	149,600	3.7	%	$	170,000	3.4	%
Energy	$	184,800	4.6	%	$	210,000	4.2	%
Total:	$	440,000	10.9	%	$	500,000	10.0	%

Long/Short Commodity Series:

	December 31, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	190,975	0.3	%	$	64,368	0.2	%
Currencies	$	215,085	0.4	%	$	31,556	0.1	%
Stock Indices	$	99,892	0.2	%	$	65,182	0.2	%
Metals	$	1,217,781	2.1	%	$	182,014	0.5	%
Agriculturals/Softs	$	2,210,340	3.8	%	$	1,147,408	3.3	%
Energy	$	1,094,515	1.9	%	$	362,885	1.0	%
Total:	$	5,028,588	8.7	%	$	1,853,413	5.3	%

Managed Futures Index Series:


	December 31, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	87,004	2.6	%	$	15,078	1.6	%
Currencies	$	85,655	2.5	%	$	32,901	3.4	%
Stock Indices	$	14,610	0.4	%	$	4,399	0.5	%
Metals	$	—	0.0	%	$	6,421	0.7	%
Agriculturals/Softs	$	17,047	0.5	%	$	6,504	0.7	%
Energy	$	—	0.0	%	$	7,777	0.8	%
Total:	$	204,316	6.0	%	$	73,080	7.7	%

(1)

As of December 31, 2008 and 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, 2008 and 2007 was 49.7% and 30.0%, respectively. Including its investment in this Series, total value at risk for the Balanced Series would be $13,000,001, or 3.9% of capitalization as of December 31, 2008 and $43,417,892, or 16.9% of capitalization as of December 31, 2007.

(2)

As of December 31, 2008 and 2007, a portion of the assets of the Balanced Series was invested in an Option basket of futures contracts with a notional value of $101,715,457 and $65,557,928, respectively. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

(3)

As of December 31, 2008, a portion of the assets of the Currency Series was invested in an Option basket of futures contracts with a notional value of $25,015,994. 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, 2008 and 2007, 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, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,416,902	0.4	%	$	3,538,866	1.4	%
Currencies	$	2,298,473	0.7	%	$	10,261,853	4.0	%
Stock Indices	$	1,187,342	0.4	%	$	4,918,513	1.9	%
Metals	$	90,790	0.0	%	$	905,858	0.4	%
Agriculturals/Softs	$	432,527	0.1	%	$	75,566	0.0	%
Energy	$	50,388	0.0	%	$	543,804	0.3	%
Total:	$	5,476,422	1.6	%	$	20,244,460	8.0	%


Winton Series:

	December 31, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	853,246	1.2	%	$	637,636	1.4	%
Currencies	$	697,076	0.9	%	$	48,196	0.1	%
Stock Indices	$	43,964	0.1	%	$	146,729	0.3	%
Metals	$	40,966	0.1	%	$	89,835	0.2	%
Agriculturals/Softs	$	31,651	0.0	%	$	13,376	0.0	%
Energy	$	18,908	0.0	%	$	96,448	0.2	%
Total:	$	1,685,811	2.3	%	$	1,032,220	2.2	%

Currency Series:

	December 31, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—	0.0	%	$	—	0.0	%
Currencies	$	181,098	1.2	%	$	276,836	2.6	%
Stock Indices	$	—	0.0	%	$	—	0.0	%
Metals	$	—	0.0	%	$	—	0.0	%
Agriculturals/Softs	$	—	0.0	%	$	—	0.0	%
Energy	$	—	0.0	%	$	—	0.0	%
Total:	$	181,098	1.2	%	$	276,836	2.6	%

Winton/Graham Series:

	December 31, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	331,657	0.7	%	$	10,283	0.1	%
Currencies	$	241,938	0.5	%	$	518,545	6.6	%
Stock Indices	$	37,584	0.1	%	$	39,735	0.5	%
Metals	$	34,428	0.1	%	$	16,406	0.2	%
Agriculturals/Softs	$	11,193	0.0	%	$	954	0.0	%
Energy	$	8,684	0.0	%	$	1,052	0.0	%
Total:	$	665,484	1.4	%	$	586,975	7.4	%


Campbell/Graham/Tiverton Series:

	December 31, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	594,969	0.8	%	$	814,676	1.3	%
Currencies	$	932,716	1.2	%	$	6,602,342	10.8	%
Stock Indices	$	324,627	0.4	%	$	2,215,294	3.6	%
Metals	$	44,690	0.1	%	$	376,563	0.6	%
Agriculturals/Softs	$	58,513	0.1	%	$	4,122	0.0	%
Energy	$	11,642	0.0	%	$	106,371	0.2	%
Total:	$	1,967,157	2.6	%	$	10,119,368	16.5	%

Long Only Commodity Series:

	December 31, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—	0.0	%	$	—	0.0	%
Currencies	$	—	0.0	%	$	—	0.0	%
Stock Indices	$	—	0.0	%	$	—	0.0	%
Metals	$	—	0.0	%	$	—	0.0	%
Agriculturals/Softs	$	—	0.0	%	$	—	0.0	%
Energy	$	—	0.0	%	$	—	0.0	%
Total:	$	—	0.0	%	$	—	0.0	%

Long/Short Commodity Series:

	December 31, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—	0.0	%	$	—	0.0	%
Currencies	$	215,085	0.4	%	$	—	0.0	%
Stock Indices	$	—	0.0	%	$	—	0.0	%
Metals	$	2,648	0.0	%	$	76,265	0.1	%
Agriculturals/Softs	$	30,091	0.1	%	$	—	0.0	%
Energy	$	—	0.0	%	$	—	0.0	%
Total:	$	247,824	0.5	%	$	76,265	0.1	%

Managed Futures Index Series:

	December 31, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	70,732	2.1	%	$	13,725	1.4	%
Currencies	$	68,608	2.0	%	$	29,838	3.1	%
Stock Indices	$	9,186	0.3	%	$	2,229	0.2	%
Metals	$	—	0.0	%	$	2,545	0.3	%
Agriculturals/Softs	$	—	0.0	%	$	—	0.0	%
Energy	$	—	0.0	%	$	6,873	0.7	%
Total:	$	148,526	4.4	%	$	55,210	5.7	%

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, 2008, 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/Tiverton Series, Currency Series and Winton/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 interest income that is allocated to each of such Series and 0.75%. Interest income above what is paid to 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 disclosure controls and procedures (as defined in Rule 13(a)-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), for the Trust and each Series as of December 31, 2008 (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, the disclosure controls and procedures for the Trust and each Series were effective to provide reasonable assurance that they are timely alerted to the material information relating to the Trust and each Series 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 internal control over financial reporting for the Trust and each Series 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 assets; (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 are being made only in accordance with authorizations of the management of the Managing Owner; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of assets that could have a material effect on the financial statements of the Trust or any Series.

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 internal control over financial reporting for the Trust and each Series as of December 31, 2008, based on the framework set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in its report entitled Internal Control-Integrated Framework. Based on that assessment, management concluded that, as of December 31, 2008, the internal control over financial reporting for the Trust and each Series 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.

Scope of Exhibit 31 Certifications

The certifications of the Chief Executive Officer and the Chief Financial Officer of the Managing Owner included as Exhibits 31.1 and 31.2, respectively, to this Form 10-K apply not only to the Trust as a whole but also to each Series individually.

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 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 and a member of the management committee of the Managing Owner, or the Executive Committee. 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 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 the Frontier Fund and functions like a board of directors of a corporation. The members of the Executive Committee are Richard E. Bornhoft, Ajay R. Dravid, Robert J. Enck and John C. Plimpton.

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

Dr. Ajay R. Dravid, born in 1953, is a member of the Executive Committee of the Managing Owner. He was appointed to the Executive Committee in 2009. Since January 2009, Dr. Dravid has been an adjunct professor of Finance at the Fox School of Business at Temple University. Since June 2006, he has also acted as a consultant, including acting as a paid consultant to the Managing Owner since July 2008. From December 2004 to May 2006, Dr. Dravid was President of Saranac Capital Management LP, a hedge fund, which managed more than $3 billion in hedge fund assets. From August 1993 to November 2004, he was a Managing Director at Salomon Brothers and Citigroup, each of which is an investment bank, where he helped to build and manage the hedge fund businesses and platforms at Salomon Brothers Asset Management (and its successors, Citigroup Asset Management and Citigroup Alternative Investments). He was also involved in the structuring and marketing of funds, portfolio management, quantitative analysis, risk management and client service.

Robert J. Enck’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.

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.

The 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 Exchange Act 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 created an audit committee of the Fund consisting of all of the Executive Committee’s members. The Executive Committee of the Managing Owner, in its capacity as the audit committee for the Fund, has determined that Robert J. Enck, the Chief Executive Officer of the Managing Owner, qualifies as an “audit committee financial expert” in accordance with the applicable rules and regulations of the SEC. Mr. Enck 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.

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 Winton/Graham Series and Campbell/Graham/Tiverton Series, and 3.5% for the Long/Short Commodity Series. 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, Winton/Graham Series, Campbell/Graham/Tiverton Series, Currency Series and Long/Short Commodity Series may 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 20% for the Winton Series, Currency Series, Winton/Graham Series, Campbell/Graham/Tiverton 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/Tiverton Series, Currency Series and Winton/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 12, 2009:

Equinox Fund Management, LLC:


Series of Units	Units Owned	Total Units in Each Series	Percentage Ownership of Each Series
Balanced Series	29,692	2,855,075	1.040	%
Winton Series	1,995	546,611	0.365	%
Currency Series	6,289	148,377	4.239	%
Campbell/Graham/Tiverton Series	2,440	729,162	0.335	%
Winton/Graham Series	428	489,609	0.087	%
Long Only Commodity Series	1,479	59,357	2.492	%
Long/Short Commodity Series	8,544	567,219	1.506	%
Managed Futures Index Series	555	27,236	2.038	%
Total of All Series *	51,422	5,422,646	0.948	%

Richard E. Bornhoft:


Series of Units	Units Owned	Total Units in Each Series	Percentage Ownership of Each Series
Balanced Series	35	2,855,075	0.001	%
Winton Series	—	546,611	0.000	%
Currency Series	—	148,377	0.000	%
Campbell/Graham/Tiverton Series	2	729,162	0.000	%
Winton/Graham Series	6	489,609	0.001	%
Long Only Commodity Series	148	59,357	0.249	%
Long/Short Commodity Series	—	567,219	0.000	%
Managed Futures Index Series	—	27,236	0.000	%
Total of All Series	191	5,422,646	0.004	%

*	The Managing Owner is required to maintain at least a 1% interest in the aggregate capital, profits and losses of the Trust. The Managing Owner’s interest of $6,716,120 in the aggregate capital of the Trust of $661,798,135 at March 12, 2009 is 1.015%.

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, 2008 and 2007. In accordance with the prospectus of the Trust, the Managing Owner has agreed to pay all costs of the Trust, and the Trust therefore bears no direct obligation to its independent registered public accounting firm.


FEE CATEGORY	2008		2007
Audit Fees (1)	$	243,625	$	264,436
Audit-Related Fees (2)	$	22,000	$	0
Tax Fees (3)	$	0	$	0
All Other Fees (4)	$	0	$	0
TOTAL FEES	$	265,625	$	264,436

(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 2008 and 2007 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.

Part IV

Item 15.

EXHIBITS AND FINANCIAL STATEMENT SCHEDULES


(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. ***


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***

10.37		Form of International Swaps and Derivatives Association Master Agreement, including all Schedules thereto and the Credit Support Annex thereto entered into for the Balanced 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)

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

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

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


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

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

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

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)

*	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.

+	Previously filed as like-numbered exhibit on Form 10-Q for the period ended June 30, 2008.

INDEX TO FINANCIAL STATEMENTS


Report of Independent Registered Public Accounting Firm		F-2

Statements of Financial Condition as of December 31, 2008 and 2007		F-3

Condensed Schedule of Investments as of December 31, 2008		F-6

Condensed Schedule of Investments as of December 31, 2007		F-10

Statements of Operations for the years ended December 31, 2008, 2007 and 2006		F-11

Statements of Changes in Owners’ Capital for the years ended December 31, 2008, 2007 and 2006		F-15

Notes to Financial Statements		F-20

INDEX TO TRADING COMPANY FINANCIAL STATEMENTS⁽¹⁾


Report of Independent Registered Public Accounting Firm		F-41

Statements of Financial Condition as of December 31, 2008 and 2007		F-42

Condensed Schedule of Investments as of December 31, 2008		F-43

Condensed Schedule of Investments as of December 31, 2007		F-45

Statements of Operations for the years ended December 31, 2008, 2007 and 2006		F-47

Statements of Changes in Members’ Equity for the years ended December 31, 2008, 2007 and 2006		F-48

Notes to Financial Statements		F-49

⁽¹⁾

The Trust holds 100% of the equity interests in the various Trading Companies, which are the trading vehicles established for the various Series of Units of the Trust. In the financial statements of the Trust, Trading Companies in which a Series has a majority equity interest are consolidated by such Series, and investments in Trading Companies in which a Series does not have a controlling or majority interest are accounted for under the equity method of accounting and are carried in the statement of financial condition of such Series at fair value. In addition, financial statements of each of the unconsolidated Trading Companies are included in accordance with Rule 3-09 of Regulation S-X under the Securities Act of 1933, as amended. Although not required pursuant to Rule 3-09 of Regulation S-X under the Securities Act of 1933, financial statements of each consolidated Trading Company of the Trust are also included in the interest of providing a more complete presentation.

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, Currency Series, Campbell/Graham/Tiverton Series (formerly Campbell/Graham Series), Winton/Graham Series (formerly 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, 2008 and 2007, and the related statements of operations and changes in owners’ capital for each of the three years in the period ended December 31, 2008. These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements 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, the financial statements referred to above present fairly, in all material respects, the financial position of Balanced Series, Winton Series, Currency Series, Campbell/Graham/Tiverton Series (formerly Campbell/Graham Series), Winton/Graham Series (formerly Graham Series), Long Only Commodity Series, Long/Short Commodity Series and the Managed Futures Index Series of The Frontier Fund as of December 31, 2008 and 2007, and the results of their operations and changes in owners’ capital for each of the three years in the period ended December 31, 2008, 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, 2008 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 23, 2009

F-2

The Frontier Fund

Statements of Financial Condition

December 31, 2008 and 2007


	Balanced Series				Winton Series				Campbell/Graham/ Tiverton Series
	12/31/2008		12/31/2007		12/31/2008		12/31/2007		12/31/2008		12/31/2007
ASSETS
Cash and cash equivalents	$	17,181,551	$	176,009,417	$	1,283,671	$	41,692,931	$	4,943,881	$	35,416,683
U.S. Treasury securities, at fair value		43,042,540		—		12,899,592		—		9,371,661		—
Custom time deposits		104,125,017		—		45,207,225		—		39,748,693		—
Certificates of deposit		34,091,481		—		14,085,571		—		12,866,065		—
Receivable from futures commission merchants		37,015,384		52,225,010		9,653,595		—		5,221,709		12,761,730
Open trade equity		23,149,527		1,941		2,158,369		—		—		—
Swap contracts		53,072,356		47,241,455		—		—		—		—
Investments in unconsolidated trading companies		19,528,370		4,238,348		—		4,637,121		8,559,112		18,353,523
Inter-series receivables		14,679,460		4,535,784		—		—		—		—
Prepaid service fees—Class 1		793,431		357,855		89,142		278,573		180,639		164,924
Interest receivable		492,171		—		54,314		—		112,684		—
Receivable from related parties		213,555		18,836		64,844		105,754		—		—
Other assets		55,234		238,781		—		64,709		—		69,613

Total Assets	$	347,440,077	$	284,867,427	$	85,496,323	$	46,779,088	$	81,004,444	$	66,766,473

LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Open trade deficit	$	—	$	—	$	—	$	—	$	111,526	$	96,655
Pending owner additions		1,966,385		228,977		—		214,912		136,277		156,300
Owner redemptions payable		287,672		278,974		—		9,759		—		19,506
Incentive fees payable to Managing Owner		1,857,583		1,487,150		—		327,608		488,067		—
Management fees payable to Managing Owner		16,398		122,882		17,845		64,860		25,665		116,741
Interest fees payable to Managing Owner		63,212		375,955		12,314		66,029		16,616		92,401
Trading fees payable to Managing Owner		21,319		158,231		4,462		16,215		5,334		29,681
Trailing service fees payable to Managing Owner		60,329		398,386		17,576		10,242		23,635		98,746
Payables to related parties		14,451		354,403		25,597		8,179		27,118		1,305
Other liabilities		139,642		252,579		35,858		22,123		14,050		28,680

Total Liabilities		4,426,991		3,657,537		113,652		739,927		848,288		640,015

MINORITY INTERESTS IN CONSOLIDATED SUBSIDIARIES		9,330,079		23,625,044		11,355,645		—		2,391,227		4,775,554
OWNERS’ CAPITAL
Managing Owner Units—Class 1		224		182		1,304		1,138		—		—
Managing Owner Units—Class 2		3,732,508		2,918,791		277,935		235,392		302,878		244,457
Limited Owner Units—Class 1		264,686,770		210,379,066		62,282,355		35,663,122		69,957,155		55,530,902
Limited Owner Units—Class 2		65,263,505		44,286,807		11,465,432		10,139,509		7,504,896		5,575,545

Total Owners’ Capital		333,683,007		257,584,846		74,027,026		46,039,161		77,764,929		61,350,904

Total Liabilities, Minority Interests and Owners’ Capital	$	347,440,077	$	284,867,427	$	85,496,323	$	46,779,088	$	81,004,444	$	66,766,473

Units Outstanding
Class 1		2,049,590		2,018,003		477,605		313,310		632,847		604,239
Class 1a		72,586		62,032		N/A		N/A		N/A		N/A
Class 2		471,143		410,311		83,855		87,473		62,893		58,085
Class 2a		15,552		13,110		N/A		N/A		N/A		N/A
Net Asset Value per Unit
Class 1	$	125.17	$	101.46	$	130.41	$	113.83	$	110.54	$	91.90
Class 1a	$	112.09	$	90.90		N/A		N/A		N/A		N/A
Class 2	$	142.44	$	112.00	$	140.04	$	118.61	$	124.14	$	100.20
Class 2a	$	121.30	$	95.47		N/A		N/A		N/A		N/A

The accompanying notes are an integral part of these statements.

F-3

The Frontier Fund

Statements of Financial Condition

December 31, 2008 and 2007


	Currency Series				Winton/Graham Series				Long Only Commodity Series
	12/31/2008		12/31/2007		12/31/2008		12/31/2007		12/31/2008		12/31/2007
ASSETS
Cash and cash equivalents	$	—	$	12,715,131	$	10,000,528	$	3,077,061	$	—	$	4,275,935
U.S. Treasury securities, at fair value		3,770,011		—		1,424,286		—		1,241,289		—
Custom time deposits		12,616,208		—		26,043,287		—		2,425,332		—
Certificates of deposit		3,506,438		—		8,675,748		—		440,781
Receivable from futures commission merchants		670,927		1,539,788		—		—		—		—
Open trade equity		12,810		34,703		—		—		—		—
Swap contracts		9,122,121		822,068		—		—		836,554		768,028
Investments in unconsolidated trading companies		—		—		4,342,658		4,775,554		—		—
Prepaid service fees—Class 1		33,974		33,387		365,708		12,215		11,435		5,101
Interest receivable		83,036		—		157,574		—		18,659		—
Receivable from related parties		444		86,190		20,000		70,739		63,133		—
Other assets		12,627		933		—		19,655		95		2,917

Total Assets	$	29,828,596	$	15,232,200	$	51,029,789	$	7,955,224	$	5,037,278	$	5,051,981

LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Payable to cash management pool	$	279,582	$	—	$	—	$	—	$	983,248	$	—
Inter-series payables		14,679,460		4,535,784		—		—		—		—
Pending owner additions		10,000		15,612		710,128		18,400		—		—
Owner redemptions payable		—		30,627		—		—		—		5,192
Incentive fees payable to Managing Owner		—		—		76,168		1,063		—		—
Management fees payable to Managing Owner		2,260		10,354		12,020		15,307		4,167		5,441
Interest fees payable to Managing Owner		4,708		22,752		15,101		11,584		1,493		3,016
Trading fees payable to Managing Owner		2,039		8,354		2,204		3,062		1,665		2,175
Trailing service fees payable to Managing Owner		1,235		9,645		5,634		10,180		3,943		5,968
Payables to related parties		2,527		1,652		5,124		902		—		121
Other liabilities		—		5,414		8,181		25,743		289		—

Total Liabilities		14,981,811		4,640,194		834,560		86,241		994,805		21,913

OWNERS’ CAPITAL
Managing Owner Units—Class 2		687,357		513,938		56,315		44,700		110,092		170,094
Limited Owner Units—Class 1		11,900,185		9,791,812		35,760,835		6,060,207		3,254,226		4,730,889
Limited Owner Units—Class 2		2,259,243		286,256		14,378,079		1,764,076		678,155		129,085

Total Owners’ Capital		14,846,785		10,592,006		50,195,229		7,868,983		4,042,473		5,030,068

Total Liabilities and Owners’ Capital	$	29,828,596	$	15,232,200	$	51,029,789	$	7,955,224	$	5,037,278	$	5,051,981

Units Outstanding
Class 1		123,719		97,273		307,804		63,767		46,285		42,701
Class 2		26,959		7,209		109,779		17,331		10,587		2,601
Net Asset Value per Unit
Class 1	$	96.19	$	100.66	$	116.18	$	95.04	$	70.31	$	110.79
Class 2	$	109.30	$	111.00	$	131.49	$	104.37	$	74.46	$	115.04

(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, 2008 and 2007


	Long/Short Commodity Series				Managed Futures Index Series
	12/31/2008		12/31/2007		12/31/2008		12/31/2007
ASSETS
Cash and cash equivalents	$	—	$	28,837,629	$	400,351	$	332,995
U.S. Treasury securities, at fair value		10,554,571		—		140,111		—
Custom time deposits		42,008,320		—		1,630,221		—
Certificates of deposit		10,923,009		—		488,470
Receivable from futures commission merchants		—		21,539,642		—		—
Open trade equity		10,753,763		—		—		—
Swap contracts		—		—		—		—
Investments in unconsolidated trading companies		—		—		770,967		634,400
Prepaid service fees—Class 1		266,272		150,263		8,848		1,742
Interest receivable		159,949		—		2,502		—
Receivable from related parties		9,162		91,720		—		—
Other assets		11,333		—		1,220		2,110

Total Assets	$	74,686,379	$	50,619,254	$	3,442,690	$	971,247

LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Payable to cash management pool	$	4,856,404	$	—	$	—	$	—
Payable to futures commission merchants		1,508,493		—		—		—
Open trade deficit		—		11,151,267		—		—
Pending owner additions		129,636		49,444		30,000		10,000
Owner redemptions payable		—		26,075		—		—
Incentive fees payable to Managing Owner		39,178		214,878		—		—
Management fees payable to Managing Owner		21,889		102,236		5,102		1,261
Interest fees payable to Managing Owner		329		21,286		1,318		622
Trading fees payable to Managing Owner		2,699		15,692		1,276		315
Trailing service fees payable to Managing Owner		5,319		37,752		1,597		680
Payables to related parties		249,809		2,986		346		36
Other liabilities		16,172		7,654		—		884

Total Liabilities		6,829,928		11,629,270		39,639		13,798

MINORITY INTERESTS IN CONSOLIDATED SUBSIDIARIES		10,124,156		4,238,348		—		—
OWNERS’ CAPITAL
Managing Owner Units—Class 2		933,708		374,050		77,559		294,572
Limited Owner Units—Class 1		46,525,406		31,092,746		2,266,977		621,740
Limited Owner Units—Class 2		10,273,181		3,284,840		1,058,515		41,137

Total Owners’ Capital		57,732,295		34,751,636		3,403,051		957,449

Total Liabilities, Minority Interests and Owners’ Capital	$	74,686,379	$	50,619,254	$	3,442,690	$	971,247

Units Outstanding
Class 1		463,448		306,425		17,151		6,181
Class 2		102,552		34,136		8,132		3,215
Net Asset Value per Unit
Class 1	$	100.39	$	101.47	$	132.18	$	100.59
Class 2	$	109.28	$	107.19	$	139.70	$	104.42

The accompanying notes are an integral part of these statements.

F-5

The Frontier Fund

Condensed Schedule of Investments

December 31, 2008


	Balanced Series					Winton Series					Campbell/Graham/ Tiverton Series					Currency Series
Description	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 (U.S.)	$	(12,295,591	)	-3.68	%	$	(61,704	)	-0.08	%	$	(16,604	)	-0.02	%	$	—		0.00	%
Various base metals futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		729,987		0.22	%		706,944		0.95	%		16,123		0.02	%		—		0.00	%
Various currency futures contracts (Canada)		6,889		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		38,129		0.01	%		8,268		0.01	%		1,315		0.00	%		—		0.00	%
Various currency futures contracts (Far East)		11,609		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		(742,136	)	-0.22	%		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		(144,841	)	-0.04	%		595,492		0.80	%		(80,680	)	-0.10	%		—		0.00	%
Various interest rates futures contracts (Canada)		25,302		0.01	%		57,298		0.08	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		400,577		0.12	%		1,120,595		1.52	%		152,684		0.20	%		—		0.00	%
Various interest rates futures contracts (Far East)		214,448		0.06	%		210,136		0.29	%		38,094		0.05	%		—		0.00	%
Various precious metals futures contracts (U.S.)		760,620		0.23	%		—		0.00	%		3,340		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		1,450,205		0.43	%		8,930		0.01	%		290		0.00	%		—		0.00	%
Various soft futures contracts (Europe)		155,590		0.05	%		51,098		0.07	%		2,660		0.00	%		—		0.00	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		119,055		0.04	%		935		0.00	%		2,274		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		34,898		0.01	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		133,008		0.03	%		—		0.00	%		—		0.00	%		—		0.00	%

Total Long Futures Contracts	$	(9,102,251	)	-2.73	%	$	2,697,992		3.65	%	$	119,496		0.15	%	$	—		0.00	%

LONG OPTIONS *	$	19,791,432		5.93	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%

LONG CURRENCY FORWARDS *	$	119,914		0.04	%	$	—		0.00	%	$	148,701		0.19	%	$	(53,532	)	-0.36	%

SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	15,978,874		4.79	%	$	501,985		0.68	%	$	41,677		0.04	%	$	—		0.00	%
Various currency futures contracts (US)		117,766		0.04	%		(456,100	)	-0.62	%		625		0.00	%		—		0.00	%
Various currency futures contracts (Canada)		(9,283	)	0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		37,430		0.01	%		—		0.00	%		(5,097	)	-0.01	%		—		0.00	%
Various currency futures contracts (Far East)		(36,957	)	-0.01	%		—		0.00	%		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		830,528		0.25	%		109,091		0.15	%		(7,363	)	-0.01	%		—		0.00	%
Various interest rates futures contracts (U.S.)		(340,369	)	-0.10	%		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		(2,139	)	0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		(26,077	)	-0.01	%		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		(58,831	)	-0.02	%		(3,652	)	0.00	%		(1,075	)	0.00	%		—		0.00	%
Various precious metals futures contracts (U.S.)		(172,610	)	-0.05	%		(11,840	)	-0.02	%		(4,930	)	-0.01	%		—		0.00	%
Various soft futures contracts (U.S.)		(841,206	)	-0.25	%		(628,657	)	-0.85	%		(83,229	)	-0.10	%		—		0.00	%
Various soft futures contracts (Canada)		—		0.00	%		(1,171	)	0.00	%		—		0.00	%				0.00	%
Various soft futures contracts (Europe)		(56,202	)	-0.02	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		(25,725	)	-0.01	%		(22,255	)	-0.03	%		(290	)	0.00	%		—		0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		(4,155	)	-0.01	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		(24,304	)	-0.01	%		(22,869	)	-0.03	%		(5,296	)	-0.01	%		—		0.00	%
Various stock index futures contracts (Far East)		(18,424	)	-0.01	%		—		0.00	%		(4,799	)	-0.01	%		—		0.00	%

Total Short Futures Contracts	$	15,352,471		4.60	%	$	(539,623	)	-0.73	%	$	(69,777	)	-0.09	%	$	—		0.00	%

SHORT OPTIONS *	$	(3,378,636	)	-1.01	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%

SHORT CURRENCY FORWARDS *	$	366,597		0.11	%	$	—		0.00	%	$	(309,946	)	-0.39	%	$	66,342		0.45	%

Total Open Trade Equity	$	23,149,527		6.94	%	$	2,158,369		2.92	%	$	(111,526	)	-0.14	%	$	12,810		0.09	%

SWAPS (1)	$	53,072,356		15.91	%	$	—		0.00	%	$	—		0.00	%	$	9,122,121		62.73	%

F-6


	Balanced Series				Winton Series				Campbell/Graham/ Tiverton Series				Currency Series
Description	Value		% of Net Asset Value		Value		% of Net Asset Value		Value		% of Net Asset Value		Value		% of Net Asset Value
U.S. TREASURY SECURITIES

FACE VALUE	Fair Value				Fair Value				Fair Value				Fair Value
$36,500,000.00 US Treasury Note 3.875% due 02/15/2013 (Cost $38,125,391)		21,217,648	6.36	%		6,358,802	8.59	%		4,619,723	5.94	%		1,858,412	12.51	%
$36,700,000.00 US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039)		21,824,892	6.54	%		6,540,790	8.84	%		4,751,938	6.11	%		1,911,599	12.88	%

	$	43,042,540	12.90	%	$	12,899,592	17.43	%	$	9,371,661	12.05	%	$	3,770,011	25.39	%

Certificate of Deposits

FACE VALUE	Fair Value				Fair Value				Fair Value				Fair Value
$85,000,000.00 Certificate of Deposits 2.19% due 09/15/2009 (Cost $85,000,000)	$	34,091,481	10.22	%	$	14,085,571	19.03	%	$	12,866,065	16.54	%	$	3,506,438	23.62	%

*	No individual futures, forwards and option on futures contract position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.

(1)

See Notes to Financial Statements, Note 4.


Additional Disclosure on U.S. Government Securities	Face Value		Face Value		Face Value		Face Value
US Treasury Note 3.875% due 02/15/2013		19,098,065		5,801,607		4,111,522		1,652,416
US Treasury Note 4.000% due 02/15/2015		19,202,712		5,833,397		4,134,051		1,661,471

	$	38,300,778	$	11,635,004	$	8,245,573	$	3,313,887


	Cost		Cost		Cost		Cost
US Treasury Note 3.875% due 02/15/2013		19,948,526		6,059,960		4,294,613		1,726,000
US Treasury Note 4.000% due 02/15/2015		19,891,310		6,042,579		4,282,295		1,721,050

	$	39,839,836	$	12,102,539	$	8,576,908	$	3,447,050

The accompanying notes are an integral part of these statements.

F-7


	Winton/Graham Series				Long Only Commodity Series				Long/Short Commodity Series					Managed Futures Index Series
	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 (U.S.)	$	—	0.00	%	$	—	0.00	%	$	99,628		-10.21	%	$	—	0.00	%
Silver @ Comex Settling 5/1/2009 (Number of Contracts: 647)		—	0.00	%		—	0.00	%		(2,997,465	)	5.19	%		—	0.00	%
Silver @ Comex Settling 7/1/2009 (Number of Contracts: 1,096)		—	0.00	%		—	0.00	%		3,008,100		5.21	%		—	0.00	%
Silver @ Comex Settling 12/1/2009 (Number of Contracts: 736)		—	0.00	%		—	0.00	%		2,138,080		3.70	%		—	0.00	%
Various currency futures contracts (U.S.)		—	0.00	%		—	0.00	%		166,320		0.29	%		—	0.00	%
Various currency futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various energy futures contracts (U.S.)		—	0.00	%		—	0.00	%		(522,392	)	-0.90	%		—	0.00	%
Various energy futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (U.S.)		—	0.00	%		—	0.00	%		(391	)	0.00	%		—	0.00	%
Various interest rates futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various precious metals futures contracts (U.S.)		—	0.00	%		—	0.00	%		342,510		0.59	%		—	0.00	%
Various soft futures contracts (U.S.)		—	0.00	%		—	0.00	%		248,808		0.43	%		—	0.00	%
Sugar #11 Settling 7/1/2009 (Number of Contracts: 459)		—	0.00	%		—	0.00	%		(1,403,438	)	-2.43	%		—	0.00	%
Various soft futures contracts (Far East)		—	0.00	%		—	0.00	%		(35	)	0.00	%		—	0.00	%
Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		100,872		0.18	%		—	0.00	%
Various soft futures contracts (Canada)		—	0.00	%		—	0.00	%		377		0.00	%		—	0.00	%
Various stock index futures contracts (U.S.)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%

Total Long Futures Contracts	$	—	0.00	%	$	—	0.00	%	$	1,180,974		2.05	%	$	—	0.00	%

LONG OPTIONS *	$	—	0.00	%	$	—	0.00	%		285,120		0.49	%	$	—	0.00	%

LONG CURRENCY FORWARDS *	$	—	0.00	%	$	—	0.00	%	$	—		0.00	%	$	—	0.00	%

SHORT FUTURES CONTRACTS
Various base metals futures contracts (U.S.)	$	—	0.00	%	$	—	0.00	%	$	132,765		0.23	%	$	—	0.00	%
Silver @ Comex Settling 3/1/2009 (Number of Contracts: 2,054)		—	0.00	%		—	0.00	%		10,272,220		17.79	%		—	0.00	%
Silver @ Comex Settling 9/1/2009 (Number of Contracts: 356)		—	0.00	%		—	0.00	%		(1,034,180	)	-1.79	%		—	0.00	%
Various currency futures contracts (U.S.)		—	0.00	%		—	0.00	%		(29,640	)	-0.05	%		—	0.00	%
Various currency futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various energy futures contracts (U.S.)		—	0.00	%		—	0.00	%		(1,329,703	)	-2.30	%		—	0.00	%
Various interest rates futures contracts (US)		—	0.00	%		—	0.00	%		(234	)	0.00	%		—	0.00	%
Various interest rates futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various precious metals futures contracts (U.S.)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various soft futures contracts (U.S.)		—	0.00	%		—	0.00	%		408,296		0.71	%		—	0.00	%
Coffee @ CSCE Settling 3/1/2009 (Number of Contracts 740)		—	0.00	%		—	0.00	%		1,345,875		2.32	%		—	0.00	%
Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (U.S.)		—	0.00	%		—	0.00	%		(12,545	)	-0.02	%		—	0.00	%
Various stock index futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%

Total Short Futures Contracts	$	—	0.00	%	$	—	0.00	%	$	9,752,854		16.89	%	$	—	0.00	%

SHORT OPTIONS *	$	—	0.00	%	$	—	0.00	%	$	(465,185	)	-0.80	%	$	—	0.00	%

SHORT CURRENCY FORWARDS *	$	—	0.00	%	$	—	0.00	%	$	—		0.00	%	$	—	0.00	%

Total Open Trade Equity	$	—	0.00	%	$	—	0.00	%	$	10,753,763		18.63	%	$	—	0.00	%

SWAPS (1)	$	—	0.00	%	$	836,554	20.69	%	$	—		0.00	%	$	—	0.00	%

F-8


	Winton/Graham Series				Long Only Commodity Series				Long/Short Commodity Series				Managed Futures Index Series
	Value		% of Net Asset Value		Value		% of Net Asset Value		Value		% of Net Asset Value		Value		% of Net Asset Value
U.S. TREASURY SECURITIES

FACE VALUE	Fair Value				Fair Value				Fair Value				Fair Value
$36,500,000.00 US Treasury Note 3.875% due 02/15/2013 (Cost $38,125,391)		702,096	1.40	%		611,888	15.14	%		5,202,833	9.01	%		69,067	2.03	%
$36,700,000.00 US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039)		722,190	1.44	%		629,401	15.57	%		5,351,738	9.27	%		71,044	2.09	%

	$	1,424,286	2.84	%	$	1,241,289	30.71	%	$	10,554,571	18.28	%	$	140,111	4.12	%

Certificate of Deposits

FACE VALUE	Fair Value				Fair Value				Fair Value				Fair Value
$85,000,000.00 Certificate of Deposits 2.19% due 09/15/2009 (Cost $85,000,000)	$	8,675,748	17.28	%	$	440,781	10.90	%	$	10,923,009	18.92	%	$	488,470	14.35	%

*	No individual futures, forwards and option on futures contract position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.

(1)

See Notes to Financial Statements, Note 4.


Additional Disclosure on U.S. Government Securities	Face Value		Face Value		Face Value		Face Value

US Treasury Note 3.875% due 02/15/2013		465,088		569,909		4,750,169		51,223
US Treasury Note 4.000% due 02/15/2015		467,636		573,032		4,776,197		51,504

	$	932,724	$	1,142,941	$	9,526,366	$	102,727

	Cost		Cost		Cost		Cost
US Treasury Note 3.875% due 02/15/2013		485,799		595,288		4,961,700		53,504
US Treasury Note 4.000% due 02/15/2015		484,406		593,581		4,947,469		53,351

	$	970,204	$	1,188,869	$	9,909,169	$	106,855

The accompanying notes are an integral part of these statements.

F-9

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
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 (2)		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.

(2)

See Notes to Financial Statements, Note 3.

*	No individual futures, forwards and option on futures contract position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.

The accompanying notes are an integral part of these statements.

F-10

The Frontier Fund

Statements of Operations

For the Years Ended December 31, 2008, 2007 and 2006


	Balanced Series (1)									Winton Series (2)
	12/31/2008			12/31/2007			12/31/2006			12/31/2008			12/31/2007			12/31/2006
Investment Income:
Interest—net	$	1,613,778		$	6,823,418		$	4,254,855		$	316,243		$	563,371		$	36,215

Total Income		1,613,778			6,823,418			4,254,855			316,243			563,371			36,215

Expenses:
Incentive Fees		14,614,847			9,634,890			3,470,255			1,859,948			687,066			71,573
Management Fees		1,429,568			1,463,113			802,912			1,170,160			445,408			13,628
Service Fees—Class 1		6,607,802			6,903,826			5,329,865			1,693,985			475,010			18,222
Trading Fees		1,958,781			1,653,104			833,258			292,355			111,329			3,413

Total Expenses		24,610,998			19,654,933			10,436,290			5,016,448			1,718,813			106,836

Investment gain/(loss)—net		(22,997,220	)		(12,831,515	)		(6,181,435	)		(4,700,205	)		(1,155,442	)		(70,621	)

Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		33,159,098			18,024,499			7,996,421			7,399,048			—			—
Net realized gain/(loss) on option / swap contracts		361,511			1,674,698			—			—			—			—
Net change in open trade equity		31,443,123			(5,946,236	)		5,195,082			630,441			—			—
Net unrealized gain/(loss) on option / swap contracts		20,742,953			(4,294,443	)		1,603,390			—			—			—
Net realized gain on U.S. Treasury securities		800,494			—			—			146,719			—			—
Net unrealized gain on U.S. Treasury securities		3,401,799			—			—			824,019			—			—
Trading commissions		(1,350,615	)		(2,989,829	)		(1,407,917	)		(103,097	)		—			—
Net change in inter-series receivables		(856,324	)		632,098			996,839			—			—			—
Equity in earnings/(loss) from trading company		12,793,730			(2,311,769	)		(44,543	)		6,927,252			4,995,445			400,995

Net gain/(loss) on investments		100,495,769			4,789,018			14,339,272			15,824,382			4,995,445			400,995

Minority interests in net income of consolidated trading subsidiaries		(17,340,210	)		(5,141,096	)		(3,662,154	)		(2,669,563	)		—			—

NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	60,158,339		$	(13,183,593	)	$	4,495,683		$	8,454,614		$	3,840,003		$	330,374

NET INCOME/(LOSS) PER UNIT
Class 1	$	23.71		$	(5.20	)	$	2.08		$	16.58		$	8.18		$	5.65
Class 1a	$	21.19		$	(5.07	)	$	(4.03	)		N/A			N/A			N/A
Class 2	$	30.44		$	(2.24	)	$	5.51		$	21.43		$	11.80		$	6.81
Class 2a	$	25.83		$	(2.41	)	$	(2.12	)		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-11

The Frontier Fund

Statements of Operations

For the Years Ended December 31, 2008, 2007 and 2006


	Campbell/Graham/Tiverton Series									Currency Series
	12/31/2008			12/31/2007			12/31/2006			12/31/2008			12/31/2007			12/31/2006
Investment Income:
Interest—net	$	331,073		$	1,614,470		$	1,263,221		$	122,102		$	435,431		$	418,503

Total Income		331,073			1,614,470			1,263,221			122,102			435,431			418,503

Expenses:
Incentive Fees		2,999,275			1,025,208			319,952			—			—			19,672
Management Fees		1,818,096			1,351,587			1,159,057			164,428			106,645			134,963
Service Fees—Class 1		1,793,780			1,592,284			1,102,685			350,360			256,106			121,492
Trading Fees		401,798			377,049			245,176			130,222			95,794			80,183

Total Expenses		7,012,949			4,346,128			2,826,870			645,010			458,545			356,310

Investment gain/(loss)—net		(6,681,876	)		(2,731,658	)		(1,563,649	)		(522,908	)		(23,114	)		62,193

Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		(16,480,430	)		1,718,484			127,728			234,616			(8,104	)		27,040
Net realized gain/(loss) on option / swap contracts		—			—			—			1,047,794			135,100			900,226
Net change in open trade equity		30,023,621			(341,386	)		504,120			780			(28,482	)		14,008
Net unrealized gain/(loss) on swap contracts		—			—			—			(2,877,879	)		—			—
Net realized gain on U.S. Treasury securities		180,450			—			—			114,432			—			—
Net unrealized gain on U.S. Treasury securities		839,011			—			—			355,696			—			—
Trading commissions		(145,539	)		(42,272	)		(111,438	)		—			—			—
Net change in inter-series payables		—			325,800			(572,529	)		856,324			(188,597	)		(697,187	)
Equity in earnings/(loss) from trading company		9,751,678			69,672			3,279,772			—			—			—

Net gain/(loss) on investments		24,168,791			1,730,298			3,227,653			(268,237	)		(90,083	)		244,087

Minority interests in net income of consolidated trading subsidiaries		(4,734,727	)		(1,334,826	)		(520,410	)		—			—			(22,289	)

NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL	$	12,752,188		$	(2,336,186	)	$	1,143,594		$	(791,145	)	$	(113,197	)	$	283,991

NET INCOME/(LOSS) PER UNIT
Class 1	$	18.64		$	(4.37	)	$	1.97		$	(4.47	)	$	(0.50	)	$	3.50
Class 2	$	23.94		$	(1.66	)	$	5.03		$	(1.70	)	$	2.77		$	6.81

The accompanying notes are an integral part of these statements.

F-12

The Frontier Fund

Statements of Operations

For the Years Ended December 31, 2008, 2007 and 2006


	Winton/Graham Series									Long Only Commodity Series (1)
	12/31/2008			12/31/2007			12/31/2006			12/31/2008			12/31/2007			12/31/2006
Investment Income:
Interest—net	$	100,204		$	206,887		$	422,496		$	112,372		$	509,099		$	231,248

Total Income		100,204			206,887			422,496			112,372			509,099			231,248

Expenses:
Incentive Fees		876,892			170,704			—			—			—			—
Management Fees		505,597			216,609			414,945			75,213			171,913			76,017
Service Fees—Class 1		508,438			163,270			175,339			107,713			88,731			27,656
Trading Fees		101,035			42,979			83,423			30,079			68,726			30,577

Total Expenses		1,991,962			593,562			673,707			213,005			329,370			134,250

Investment gain/(loss)—net		(1,891,758	)		(386,675	)		(251,211	)		(100,633	)		179,729			96,998

Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		—			—			—			—			—			—
Net realized gain/(loss) on option / swap contracts		—			—			—			(2,684,087	)		1,729,289			(643,705	)
Net change in open trade equity		—			—			—			—			—			—
Net realized gain on U.S. Treasury securities		155,060			—			—			27,185			—			—
Net unrealized gain on U.S. Treasury securities		509,595			—			—			60,003			—			—
Trading commissions		—			—			—			—			—			—
Net change in inter-series payables		—			(76,140	)		(12,370	)		—			(1,184,019	)		227,966
Equity in earnings/(loss) from trading company		5,611,603			1,334,826			520,410			—			—			—

Net gain/(loss) on investments		6,276,258			1,258,686			508,040			(2,596,899	)		545,270			(415,739	)

Minority interests in net income of consolidated trading subsidiaries		—			—			—			—			—			—

NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL	$	4,384,500		$	872,011		$	256,829		$	(2,697,532	)	$	724,999		$	(318,741	)

NET INCOME/(LOSS) PER UNIT
Class 1	$	21.14		$	10.34		$	1.80		$	(40.48	)	$	15.34		$	(4.55	)
Class 2	$	27.12		$	14.12		$	4.52		$	(40.58	)	$	17.91		$	(2.87	)

(1)

The Long Only Commodity Series of the Trust commenced trading operations February 24, 2006.

The accompanying notes are an integral part of these statements.

F-13

The Frontier Fund

Statements of Operations

For the Years Ended December 31, 2008, 2007 and 2006


	Long/Short Commodity Series (1)									Managed Futures Index Series (1)
	12/31/2008			12/31/2007			12/31/2006			12/31/2008			12/31/2007			12/31/2006
Investment Income:
Interest—net	$	921,454		$	1,051,098		$	883,143		$	35,362		$	165,165		$	285,909

Total Income		921,454			1,051,098			883,143			35,362			165,165			285,909

Expenses:
Incentive Fees		1,569,879			728,853			263,124			—			—			—
Management Fees		1,703,437			1,027,170			724,741			33,826			87,109			140,606
Service Fees—Class 1		1,327,950			800,073			299,596			26,950			11,883			3,692
Trading Fees		243,105			140,750			110,800			8,454			21,638			35,292

Total Expenses		4,844,371			2,696,846			1,398,261			69,230			120,630			179,590

Investment gain/(loss)—net		(3,922,917	)		(1,645,748	)		(515,118	)		(33,868	)		44,535			106,319

Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		(18,291,792	)		15,057,205			618,199			—			(353,098	)		(681,466	)
Net realized gain/(loss) on option / swap contracts		—			—			—			—			—			—
Net change in open trade equity		31,013,453			(14,220,168	)		398,400			—			(224,977	)		429,002
Net realized gain on U.S. Treasury securities		228,920			—			—			6,580			—			—
Net unrealized gain on U.S. Treasury securities		712,591			—			—			33,810			—			—
Trading commissions		(1,075,686	)		(1,070,911	)		(194,308	)		—			(22,129	)		(34,148	)
Net change in inter-series payables		—			—			(110,951	)		—			490,858			168,232
Equity in earnings/(loss) from unconsolidated trading company		—			—			—			661,280			109,775			—

Net gain/(loss) on investments		12,587,486			(233,874	)		711,340			701,670			429			(118,380	)

Minority interests in net income of consolidated trading subsidiaries		(11,001,043	)		2,311,769			66,832			—			—			—

NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL Resulting From Operations	$	(2,336,474	)	$	432,147		$	263,054		$	667,802		$	44,964		$	(12,061	)

NET INCOME/)LOSS) PER UNIT
Class 1	$	(1.08	)	$	1.05		$	0.42		$	31.59		$	3.84		$	(3.25	)
Class 2	$	2.09		$	4.26		$	2.93		$	35.28		$	5.99		$	(1.57	)

(1)

The 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-14

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2008, 2007 and 2006


	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, 2006	$	—	$	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 increase 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

Sale of Units		—		53,227,589			—			2,242,824			—			17,553,242			20,000			586,073
Redemption of Units		—		(46,971,227	)		—			(1,099,001	)		—			(9,274,267	)		—			(345,411	)
Net (decrease) in Owners’ Capital resulting from operations		—		45,553,719			42			1,353,800			771,984			12,104,661			21,733			352,400

Owners’ Capital, December 31, 2008	$	—	$	256,550,829		$	224		$	8,135,941		$	3,612,130		$	63,497,532		$	120,378		$	1,765,973

Owner’s Capital—Units, January 1, 2006		—		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

Sale of Units		—		460,090			—			21,617			—			134,511			168			5,372
Redemption of Units		—		(428,503	)		—			(11,063	)		—			(73,679	)		—			(3,098	)

Owners’ Capital—Units, December 31, 2008		—		2,049,590			2			72,584			25,359			445,784			992			14,560

Net asset value per unit at January 1, 2006			$	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
Change in net asset value per unit for year ended December 31, 2008				23.71						21.19						30.44						25.83

Net asset value per unit at December 31, 2008			$	125.17					$	112.09					$	142.44					$	121.30

(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-15

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2008, 2007 and 2006


	Winton Series (1)											Campbell/Graham/Tiverton 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, 2006	$	—	$	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 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

Sale of Units		—		25,445,441			—			—			—		15,128,511			—			2,039,851
Redemption of Units		—		(5,428,009	)		—			(484,181	)		—		(12,047,193	)		—			(1,459,332	)
Net increase (decrease) in Owners’ Capital resulting from operations		166		6,601,801			42,543			1,810,104			—		11,344,935			58,421			1,348,832

Owners’ Capital, December 31, 2008	$	1,304	$	62,282,355		$	277,935		$	11,465,432		$	—	$	69,957,155		$	302,878		$	7,504,896

Owner’s Capital—Units, January 1, 2006		—		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

Sale of Units		—		208,113			—			—			—		151,684			—			18,316
Redemption of Units		—		(43,818	)		—			(3,618	)		—		(123,076	)		—			(13,508	)

Owners’ Capital—Units, December 31, 2008		10		477,595			1,985			81,870			—		632,847			2,439			60,454

Net asset value per unit at January 1, 2006			$	100.00					$	100.00				$	94.30					$	96.83
Change in net asset value per unit for the year ended December 31, 2006				5.65						6.81					1.97						5.03

Net asset value per unit at December 31, 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 31, 2007			$	113.83					$	118.61				$	91.90					$	100.20
Change in net asset value per unit for year ended December 31, 2008			$	16.58					$	21.43				$	18.64					$	23.94

Net asset value per unit at December 31, 2008			$	130.41					$	140.04				$	110.54					$	124.14

(1)

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

The accompanying notes are an integral part of these statements.

F-16

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2008, 2007 and 2006


	Currency Series											Winton/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, 2006	$	—	$	276,762		$	2,059,895		$	6,019		$	—	$	5,642,080		$	857		$	1,771,747
Sale of Units		—		6,559,790			—			457,300			—		1,316,260			391,309			115,787
Redemption of Units		—		(176,893	)		(2,075,000	)		(5,237	)		—		(1,137,106	)		—			(316,931	)
Net increase (decrease) in Owners’ Capital resulting from operations		—		232,232			31,794			19,965			—		170,103			(2,251	)		88,977

Owners’ Capital, December 31, 2006		—		6,891,891			16,689			478,047			—		5,991,337			389,915			1,659,580

Sale of Units		—		4,092,276			1,000,000			127,954			—		1,274,358			—			24,016
Redemption of Units		—		(1,073,104	)		(500,000	)		(328,550	)		—		(1,786,900	)		(400,000	)		(155,334	)
Net increase (decrease) in Owners’ Capital resulting from operations		—		(119,251	)		(2,751	)		8,805			—		581,412			54,785			235,814

Owners’ Capital, December 31, 2007		—		9,791,812			513,938			286,256			—		6,060,207			44,700			1,764,076

Sale of Units		—		4,569,653			400,000			2,203,875			—		28,257,833			—			11,442,834
Redemption of Units		—		(1,825,220	)		(217,000	)		(85,384	)		—		(1,559,841	)		—			(199,080	)
Net increase (decrease) in Owners’ Capital resulting from operations		—		(636,060	)		(9,581	)		(145,504	)		—		3,002,636			11,615			1,370,249

Owners’ Capital, December 31, 2008	$	—	$	11,900,185		$	687,357		$	2,259,243		$	—	$	35,760,835		$	56,315		$	14,378,079

Owner’s Capital—Units, January 1, 2006		—		2,834			20,311			59			—		68,058			10			20,666
Sale of Units		—		67,111			—			4,407			—		15,803			4,310			1,318
Redemption of Units		—		(1,819	)		(20,157	)		(49	)		—		(13,128	)		—			(3,595	)

Owners’ Capital—Units, December 31, 2006		—		68,126			154			4,417			—		70,733			4,320			18,389

Sale of Units				39,538			8,825			1,135					13,874			—			236
Redemption of Units		—		(10,391	)		(4,349	)		(2,973	)		—		(20,840	)		(3,892	)		(1,722	)

Owners’ Capital—Units, December 31, 2007		—		97,273			4,630			2,579			—		63,767			428			16,903

Sale of Units		—		44,605			3,669			18,851			—		258,465			—			94,026
Redemption of Units		—		(18,159	)		(2,010	)		(760	)		—		(14,428	)		—			(1,578	)

Owners’ Capital—Units, December 31, 2008		—		123,719			6,289			20,670			—		307,804			428			109,351

Net asset value per unit at January 1, 2006			$	97.66					$	101.42				$	82.90					$	85.73
Change in net asset value per unit for the year ended December 31, 2006				3.50						6.81					1.80						4.52

Net asset value per unit at December 31, 2006			$	101.16					$	108.23				$	84.70					$	90.25
Change in net asset value per unit for the year ended December 31, 2007				(0.50	)					2.77					10.34						14.12

Net asset value per unit at December 31, 2007			$	100.66					$	111.00				$	95.04					$	104.37
Change in net asset value per unit for the year ended December 31, 2008				(4.47	)					(1.70	)				21.14						27.12

Net asset value per unit at December 31, 2008			$	96.19					$	109.30				$	116.18					$	131.49

(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-17

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2008, 2007 and 2006


	Long Only Commodity Series (1)											Long/Short 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, 2006	$	—	$	—		$	—		$	—		$	—	$	—		$	—	$	—
Sale of Units		—		4,836,308			51,000			229,659			—		19,594,958			241,000		2,457,810
Redemption of Units		—		(229,384	)		—			(131,977	)		—		(305,331	)		—		(75,414	)
Net increase (decrease) in Owners’ Capital resulting from operations		—		(285,460	)		(3,368	)		(29,913	)		—		188,968			8,285		65,801

Owners’ Capital, December 31, 2006		—		4,321,464			47,632			67,769			—		19,478,595			249,285		2,448,197

Sale of Units		—		1,304,399			100,000			96,183			—		18,002,305			111,000		1,206,261
Redemption of Units		—		(1,584,773	)		—			(47,605	)		—		(6,675,705	)		—		(500,449	)
Net increase (decrease) in Owners’ Capital resulting from operations		—		689,799			22,462			12,738			—		287,551			13,765		130,831

Owners’ Capital, December 31, 2007		—		4,730,889			170,094			129,085			—		31,092,746			374,050		3,284,840

Sale of Units		—		2,036,429			—			1,058,317			—		28,403,530			557,000		7,696,603
Redemption of Units		—		(1,356,931	)		—			(27,878	)		—		(10,999,764	)		—		(340,236	)
Net increase (decrease) in Owners’ Capital resulting from operations		—		(2,156,161	)		(60,002	)		(481,369	)		—		(1,971,106	)		2,658		(368,026	)

Owners’ Capital, December 31, 2008	$	—	$	3,254,226		$	110,092		$	678,155		$	—	$	46,525,406		$	933,708		10,273,181

Owner’s Capital—Units, January 1, 2006		—		—			—			—			—		—			—		—
Sale of Units		—		47,568			490			2,054			—		197,098			2,422		24,537
Redemption of Units		—		(2,292	)		—			(1,356	)		—		(3,132	)				(753	)

Owners’ Capital—Units, December 31, 2006		—		45,276			490			698			—		193,966			2,422		23,784

Sale of Units		—		13,507			989			884			—		179,408			1,068		11,627
Redemption of Units		—		(16,082	)		—			(460	)		—		(66,949	)		—		(4,765	)

Owners’ Capital—Units, December 31, 2007		—		42,701			1,479			1,122			—		306,425			3,490		30,646

Sale of Units		—		16,745			—			8,208			—		263,538			5,054		66,341
Redemption of Units		—		(13,161	)		—			(222	)		—		(106,515	)		—		(2,979	)

Owners’ Capital—Units, December 31, 2008		—		46,285			1,479			9,108			—		463,448			8,544		94,008

Net asset value per unit at January 1, 2006			$	100.00					$	100.00				$	100.00				$	100.00
Change in net asset value per unit for the year ended December 31, 2006				(4.55	)					(2.87	)				0.42					2.93

Net asset value per unit at December 31, 2006			$	95.45					$	97.13				$	100.42				$	102.93
Change in net asset value per unit for the year ended December 31, 2007				15.34						17.91				$	1.05				$	4.26

Net asset value per unit at December 31, 2007			$	110.79					$	115.04				$	101.47				$	107.19

Change in net asset value per unit for the year ended December 31, 2008				(40.48	)					(40.58	)				(1.08	)				2.09

Net asset value per unit at December 31, 2008			$	70.31					$	74.46				$	100.39				$	109.28

(1)

The Long Only Commodity Series and the Long/Short Commodity Series of the Trust commenced trading operations on February 24, 2006

The accompanying notes are an integral part of these statements.

F-18

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2008, 2007 and 2006


	Managed Futures Index Series (1)
	Class 1					Class 2
	Managing Owner		Limited Owners			Managing Owner			Limited Owners
Owner’s Capital, January 1, 2006	$	—	$	—		$	—		$	—
Sale of Units		—		602,781			51,000			2,500
Redemption of Units		—		(91,491	)					—
Net increase (decrease) in Owners’ Capital resulting from operations		—		(11,220	)		(859	)		18

Owners’ Capital, December 31, 2006		—		500,070			50,141			2,518

Sale of Units		—		264,820			230,000			39,900
Redemption of Units		—		(174,964	)		—			—
Net increase (decrease) in Owners’ Capital resulting from operations		—		31,814			14,431			(1,281	)

Owners’ Capital, December 31, 2007		—		621,740			294,572			41,137

Sale of Units		—		1,620,857			—			889,180
Redemption of Units		—		(416,360	)		(300,000	)		(15,877	)
Net increase (decrease) in Owners’ Capital resulting from operations		—		440,740			82,987			144,075

Owners’ Capital, December 31, 2008	$	—	$	2,266,977		$	77,559		$	1,058,515

Owner’s Capital—Units, January 1, 2005		—		—			—			—
Sale of Units		—		6,120			509			26
Redemption of Units		—		(951	)		—			—

Owners’ Capital—Units, December 31, 2006		—		5,169			509			26

Sale of Units		—		2,843			2,312			368
Redemption of Units		—		(1,831	)		—			—

Owners’ Capital—Units, December 31, 2007		—		6,181			2,821			394

Sale of Units		—		14,749			—			7,317
Redemption of Units		—		(3,779	)		(2,266	)		(134	)

Owners’ Capital—Units, December 31, 2008		—		17,151			555			7,577

Net asset value per unit at January 1, 2006			$	100.00					$	100.00
Change in net asset value per unit for the year ended December 31, 2006				(3.25	)					(1.57	)

Net asset value per unit at December 31, 2006			$	96.75					$	98.43
Change in net asset value per unit for the year ended December 31, 2007			$	3.84					$	5.99

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

Change in net asset value per unit for the year ended December 31, 2008				31.59						35.28

Net asset value per unit at December 31, 2008			$	132.18					$	139.70

(1)

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-19

The Frontier Fund

Notes to Financial Statements

As of December 31, 2008 and December 31, 2007

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, Winton/Graham Series, Campbell/ Graham/Tiverton 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), options contracts and other derivative instruments (including swap contracts) 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 (other than the Long Only Commodity Series which invests only in Swaps referencing two indexes). Each Trading Company will segregate its assets from any other Trading Company;

•

maintains separate, distinct records for each Series, and accounts for the assets of each Series 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 Limited Owners.

•

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

F-20

holder for less than twelve (12) full months, will be subject to a redemption fee of up to three percent (3.0%) of the value of such Units being redeemed. Redemption fees are payable to Equinox Fund Management, LLC as Managing Owner of the Trust.

As of September 24, 2004, the Trust commenced operations for the Balanced Series, the Winton Series (formerly the Beach Series), the Currency Series and the Dunn Series. The Winton/Graham Series commenced operations as of November 19, 2004. The Campbell/Graham/Tiverton 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.

2. Significant Accounting Policies

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. Only Series of the Trust can invest in a Trading Company. 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 carried in the statement of financial condition of such Series at fair value. Fair value represents the proportionate share of the equity of a Series in a Trading Company.

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 VI LLC and Frontier Trading Company IX, LLC.

The consolidated financial statements of the Winton Series include the assets, liabilities and earnings of its majority-owned trading company, Frontier Trading Company II 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/Tiverton 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.

F-21

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.

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/Tiverton Series, Currency Series and Winton/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.

Certificates of Deposit—Certificates of deposit include interest-bearing instruments issued by U.S Bank National Association, with maturities greater than three months and interest paid at maturity. Certificates of Deposit are allocated to each Series based on their percentage ownership in the pooled cash management assets on the date of the asset purchase. The Trust values the certificates of deposit at fair value (face value plus interest receivable) and reports these instruments as Level 2 inputs under SFAS 157, Fair Value Measurements.

Custom Time Deposits—Custom time deposits are structured deposit agreements with U.S. Bank National Association that earn a guaranteed fixed interest rate of 3.75% and will mature six months from the deposit date and be subject to automatic six-month rollovers through October 2013. Interest is paid monthly or at least every six months. Unscheduled withdrawals will be subject to certain penalties and other costs up to 1.0% of the amount deposited if withdrawn within the first six months from the deposit date. The withdrawal fee is set a 0.225% for the period from six months to one year subsequent to the deposit date and decreases by .05% increments for each year thereafter through the maturity date. Custom time deposits are allocated to each Series based on their percentage ownership in the pooled cash management assets on the date of the asset purchase. The Trust values the custom time deposits at face value plus accrued interest as it is considered a deposit account under paragraph 7.23 of the Investment Company Audit Guide, and accordingly, this deposit is not subject to fair value measurements under SFAS 157.

Cash held at Futures Commission 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 the reported 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. Fair value of exchange-traded contracts is based upon exchange settlement prices. Fair value of non-exchange-traded contracts is based on third party quoted dealer values on the Interbank market. For U.S Treasury Securities, interest is recognized in the period earned and the instruments are marked-to-market

F-22

daily based on third party information. Certificates of Deposit and Custom Time Deposits are valued at cost and the interest income is recognized in the period earned. Transaction costs are recognized as occurred and reflected separately in the Statement of Operations.

Allocation of Earnings—Each Series of the Trust offers two classes of Units—Class 1 and Class 2 (except for the Balanced Series, which offers four 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. U.S. Treasuries, Certificates of Deposit and Custom Time Deposits are allocated to each Series based on their percentage ownership in the cash management pool on the date of the asset purchase.

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, 2008, 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/Tiverton Series, Currency Series, Winton/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, 2008 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/Tiverton Series, Currency Series, Winton/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/Tiverton Series, Currency Series,

F-23

Winton/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 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— The Trust applies the provisions of 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 financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Trust’s level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The Managing Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust for the years ended December 31, 2008 and 2007. The 2005 through 2008 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

In the opinion of the Managing Owner, (i) the Trust is treated as a partnership for Federal income tax purposes and, assuming that at least 90% of the gross income of the Trust constitutes “qualifying income” within the meaning of Section 7704(d) of the Code, the Trust is not a publicly traded partnership treated as a corporation, and (ii) the discussion set forth in the Prospectus under the heading “Federal Income Tax Consequences” correctly summarizes the material Federal income tax consequences as of the date of the Prospectus to potential U.S. Limited Owners of the purchase, ownership and disposition of Units of the Trust.

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.

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.

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Recently Adopted 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. This statement emphasizes that fair value is a market-based measurement and should be determined based on assumptions that a market participant would use when pricing an asset or liability. This statement clarifies that market participant assumptions should include assumptions about risk as well as the effect of a restriction on the sale or use of an asset. Additionally, this statement establishes a fair value hierarchy that provides the highest priority to quoted prices in active markets and the lowest priority to unobservable data. This statement was effective for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. The adoption of SFAS 157 on January 1, 2008 did not have a material effect on the Trust’s financial statements. (See Note 3 – Fair Value Measurements).

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 Trust’s adoption of FIN 39-1 on January 1, 2008 did not have a material impact on the Trust’s Financial Statements.

Recently Issued Accounting Pronouncements

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 March 2008, the FASB issued Statement of Financial Accounting Standards No. 161, Disclosure about Derivative Instruments and Hedging Activities, an Amendment of FASB Statement No. 133 (“SFAS No. 161”). SFAS No. 161 is intended to improve transparency in financial reporting by requiring enhanced disclosures of an entity’s derivative instruments and hedging activities and their effects on the entity’s financial position, financial performance, and cash flows. SFAS No. 161 applies to all derivative instruments within the scope of SFAS No. 133. It also applies to non-derivative hedging instruments and all hedged items designated and qualifying as hedges under SFAS No. 133. SFAS No. 161 amends the current qualitative and quantitative disclosure requirements for derivative instruments and hedging activities set forth in SFAS No. 133 and generally increases the level of desegregations that will be required in an entity’s financial statements. SFAS No. 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk related contingent features in derivative agreements. SFAS No. 161 is effective prospectively for financial statements issued for fiscal years and interim periods beginning after November 15, 2008, or the Trust’s first quarter ending March 31, 2009. As this pronouncement is only disclosure-related, it will not have an impact on the financial position and results of operations.

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the fair value of financial instruments in an inactive market. FSP 157-3 does not change the fair value measurement principles set forth in SFAS 157. Since adopting SFAS 157 in January 2008, the Trust’s process for determining the fair value of its investments has been, and continues to be, consistent with the guidance provided in FSP 157-3. As a result, the adoption of FSP 157-3 did not affect the Trust’s process for determining the fair value of its investments and did not have a material impact on the Trust’s results of operations.

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

Reclassification— Certain amounts in the financial statements have been reclassified to conform to the 2008 presentation.

3. Fair Value Measurements

Effective January 1, 2008, the Trust adopted the provisions of SFAS No. 157, “Fair Value Measurements,” for financial assets. The Trust utilizes valuation techniques that are consistent with the market approach per the requirement of SFAS 157. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable assets. The Trust applies the valuation techniques in a consistent manner for each asset. Inputs to valuation techniques refer to the assumptions that market participants would use in pricing the assets. Inputs may be observable, meaning those that reflect the assumptions market participants would use in pricing the financial asset based on market data obtained from independent sources, or unobservable, meaning those that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the financial asset based on the best information available in the circumstances. In addition, the Trust monitors counterparty credit risk and incorporates any identified risk factors when assigning input levels to underlying financial assets or liabilities. In that regard SFAS 157 establishes a fair value hierarchy for valuation inputs that gives the highest priority to quoted prices in active markets for identical financial assets and the lowest priority to unobservable inputs. The fair value hierarchy is as follows:

Level 1 Inputs

Unadjusted quoted prices in active markets for identical financial assets that the reporting entity has the ability to access at the measurement date.

Level 2 Inputs

Inputs other than quoted prices included in Level 1 that are observable for the financial asset, either directly or indirectly. These might include quoted prices for similar financial assets in active markets, quoted prices for identical or similar financial assets in markets that are not active, inputs other than quoted prices that are observable for the financial asset or inputs that are derived principally from or corroborated by market data by correlation or other means.

Level 3 Inputs

Unobservable inputs for determining the fair value of financial assets that reflect an entity’s own assumptions about the assumptions that market participants would use in pricing the financial asset.

The Trust uses the following methodologies to value instruments within its financial asset portfolio at fair value:

Trading Securities. These instruments include U.S. Treasury Securities and Open Trade Equity Positions (Futures Contracts and Currency Forwards) that are actively traded on public markets with quoted pricing for corroboration. U.S. Treasury Securities, Futures Contracts, and Currency Forward are reported at fair value using Level 1 inputs. Trading Securities instruments further include Open Trade Equity that are quoted prices for identical or similar assets that are not traded on active markets. Trading Options are reported at fair value using Level 2 inputs

F-26

reported at fair value based upon returns/values that are provided on less than a daily frequency from the swap counterparty, require additional internal financial modeling to develop pricing, and these swaps may not be corroborated against independent valuation/rate of return information published and available on a daily recurring frequency.

Certificates of Deposit. These instruments are time deposits with maturities of nine months issued by a banking institution. Management values the certificates of deposit at face value plus accrued interest and reports these instruments as Level 2 inputs. Certificates of Deposit are allocated to each Series based on their percentage ownership in the pooled cash management assets on the date of the asset purchase.

Investment in Unconsolidated Trading Companies. This investment represents the fair value of the allocation of net assets, consisting of futures, forwards and options, to each respective Series relative to its trading allocations to unconsolidated Trading Companies.

The following table summarizes the instruments that comprise the Trust’s financial asset portfolio, by Series, measured at fair value on a recurring basis as of December 31, 2008, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value. The Trust, under the same management as the Trading Companies, has the benefit of full look through to the assets underlying the positions listed in the following table as “Investment in Unconsolidated Trading Companies”, and as such maintains this line item as the same Level 1 input as all of the underlying positions on the financial statements of the Trading Companies.


December 31, 2008	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Balanced Series
Open Trade Equity	$	6,736,731		$	16,412,796		$	—	$	23,149,527
Swap Contracts		—			—			53,072,356		53,072,356
Investment in Unconsolidated Trading Companies		19,528,370								19,528,370
U.S. Treasury Securities		43,042,540			—			—		43,042,540
Certificate of Deposits					34,091,481					34,091,481
Winton Series
Open Trade Equity		2,158,369			—			—		2,158,369
U.S. Treasury Securities		12,899,592			—			—		12,899,592
Certificate of Deposits					14,085,571					14,085,571
Campbell/Graham/Tiverton Series
Open Trade Equity		(111,526	)		—			—		(111,526	)
Investment in Unconsolidated Trading Companies		8,559,112								8,559,112
U.S. Treasury Securities		9,371,661			—			—		9,371,661
Certificate of Deposits					12,866,065					12,866,065
Currency Series
Open Trade Equity		12,810								12,810
Swap Contracts		—			—			9,122,121		9,122,121
U.S. Treasury Securities		3,770,011			—			—		3,770,011
Certificate of Deposits					3,506,438					3,506,438
Winton/Graham Series
Investment in Unconsolidated Trading Companies		4,342,658								4,342,658
U.S. Treasury Securities		1,424,286			—			—		1,424,286
Certificate of Deposits					8,675,748					8,675,748
Long Only Series
Swap Contracts		—			836,554			—		836,554
U.S. Treasury Securities		1,241,289			—			—		1,241,289
Certificate of Deposits					440,781					440,781
Long Short Series
Open Trade Equity		10,933,828			(180,065	)		—		10,753,763
U.S. Treasury Securities		10,554,571			—			—		10,554,571
Certificate of Deposits					10,923,009					10,923,009
Managed Futures Index Series
Investment in Unconsolidated Trading Companies		770,967								770,967
U.S. Treasury Securities		140,111			—			—		140,111
Certificate of Deposits					488,470					488,470

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The changes in Level 3 assets measured at fair value on a recurring basis are summarized in the following tables. Swap Contract asset gains and losses (realized/unrealized) included in earnings are classified in “realized and unrealized gain (loss) on investments – net unrealized gain/(loss) on swap contracts” on the consolidated statement of operations. During the twelve months ended December 31, 2008 all identified level three assets are components of both the Balanced Series and the Currency Series.


Swap Contracts	Balanced Series			Currency Series
Swap Contracts	For The Twelve Months Ending December 31, 2008			For The Twelve Months Ending December 31, 2008
Balance of recurring Level 3 assets as of January 1, 2008	$	47,241,455		$	—
Total gains or losses (realized/unrealized):
Included in earnings-realized		361,511			—
Included in earnings-unrealized		20,742,964			(2,877,879	)
Purchases, sales, issuances, and settlements, net		(15,273,574	)		12,000,000
Transfers in and/or out of Level 3		—			—

Balance of recurring Level 3 assets as of December 31, 2008	$	53,072,356		$	9,122,121

4. 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/Tiverton 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 procedures in selecting financial institutions to act as Swap counterparties. The procedures include 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/Tiverton 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.

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.

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The Trust has invested in the following Swaps as of December 31, 2008:


	Option Basket Balanced Series		Option Basket Currency Program			Reuters/Jefferies CRB Index			Jefferies Commodity Performance Index
	Balanced		Currency			Long Only			Long Only
Series:
Counterparty		Company A		Company B			Company C			Company C
Notional Amount	$	101,715,457	$	25,015,994		$	2,200,000		$	2,200,000
Termination Date		November 6, 2012		January 26, 2013			February 27, 2009			February 27, 2009
Investee Returns		Total Return		Total Return			Total Return			Total Return

Realized Gain / (Loss)	$	—	$	—		$	(1,371,769	)	$	(1,312,318	)

Unrealized Gain / (Loss)	$	20,742,953	$	(2,877,879	)	$	—		$	—

Fair Value 12/31/2008	$	53,072,356	$	9,122,121		$	430,720		$	405,834

5. Investments in Unconsolidated Trading Companies

The following tables summarize the Balanced Series, Campbell/Graham/Tiverton Series, Winton/Graham Series and Managed Futures Index Series investments in unconsolidated trading companies as of and for the year ended December 31, 2008.


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 II and VII, LLC	5.85	%	$	19,528,370	$	(670,137	)	$	(3,093,773	)	$	16,557,640		$	12,793,730

Campbell/Graham/Tiverton Series—
Frontier Trading Company I and VI LLC	11.01	%	$	8,559,112	$	(56,395	)	$	4,501,544		$	5,306,529		$	9,751,678

Winton/Graham Series—
Frontier Trading Company II and V LLC	8.65	%	$	4,342,658	$	(57,944	)	$	(7,581,309	)	$	13,250,856		$	5,611,603

Managed Futures Index Series—
Frontier Trading Company IX, LLC	22.66	%	$	770,967	$	(4,196	)	$	706,836		$	(41,360	)	$	661,280

The following tables summarize the Balanced Series, Winton Series, Campbell/Graham/Tiverton Series, Winton/Graham Series and Managed Futures Index 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	%	$	4,238,348	$	(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/Tiverton Series—
Frontier Trading Company VI LLC	29.92	%	$	18,353,523	$	(204,311	)	$	5,277,036	$	(5,003,053	)	$	69,672

Winton/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

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


Trading Company	Percentage of Net Assets		Fair Value		Trading Commissions			Realized Gain (Loss)		Change in Unrealized Gain (Loss)			Net Income (Loss)
Balanced Series—
Frontier Trading Company 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/Tiverton Series—
Frontier Trading Company VI LLC	70.82	%	$	50,785,796	$	(222,930	)	$	397,155	$	3,105,547		$	3,279,772

Winton/Graham Series—
Frontier Trading Company V LLC	89.87	%	$	7,226,062	$	(111,438	)	$	127,728	$	504,120		$	520,410

The condensed statements of financial condition and statements of income as of and for the years ended December 31, 2008, 2007 and 2006 for the unconsolidated trading companies are as follows:


Condensed Statement of Financial Condition—December 31, 2008	Frontier Trading Company V, LLC			Frontier Trading Company VI, LLC			Frontier Trading Company IX, LLC
	(Unaudited)			(Unaudited)			(Unaudited)
Cash held at futures commodities merchants	$	5,221,709		$	6,271,352		$	1,794,715
Open trade equity		(111,526	)		109,880			203,419
Swaps/Options		—			—			—

Total assets	$	5,110,183		$	6,381,232		$	1,998,134

Members’ Equity	$	5,221,709		$	6,381,232		$	1,988,134

Condensed Statement of Income—For the
Year Ended December 31, 2008
Interest income	$	278,151		$	344,098		$	63,692
Net realized gain on investments, less commissions		(16,625,970	)		1,377,864			3,737,713
Change in open trade equity		30,023,621			3,382,479			153,103

Net income	$	13,675,802		$	5,104,441		$	3,954,508


Condensed Statement of Financial Condition—December 31, 2007	Frontier Trading Company II, LLC			Frontier Trading Company V, LLC			Frontier Trading Company VI, LLC			Frontier Trading Company IX, LLC
	(Unaudited)			(Unaudited)			(Unaudited)			(Unaudited)
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, 2007
Interest income	$	434,402		$	653,524		$	813,618		$	92,235
Net realized gain on investments, less commissions		17,491,808			7,504,459			(7,192,697	)		942,262
Change in open trade equity		(452,160	)		(1,673,135	)		(6,352,783	)		(378,687	)

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

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Condensed Statement of Financial Condition—December 31, 2006	Frontier Trading Company II, LLC			Frontier Trading Company V, LLC		Frontier Trading Company VI, LLC
	(Unaudited)			(Unaudited)		(Unaudited)
Cash held at futures commodities merchants	$	7,018,159		$	13,938,010	$	16,383,004
Open trade equity		1,422,913			1,576,367		39,486,041

Total assets	$	8,441,072		$	15,514,377	$	55,869,045

Members’ Equity	$	8,441,072		$	15,514,377	$	55,869,045

Condensed Statement of Income—For the Year Ended December 31, 2006
Interest income	$	213,384		$	345,944	$	487,539
Net realized gain on investments, less commissions		8,473,473			200,390		(787,064	)
Change in open trade equity		(2,090,380	)		1,479,234		6,111,319

Net income	$	6,596,477		$	2,025,568	$	5,811,794

6. 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 September 30, 2008, the Managing Owner exchanged $217,000 from the Currency Series, Class 2 for an identical amount in the Long/Short Commodity Series, Class 2. On November 17, 2008, the Managing Owner invested $10,000 in the Balanced Series, Class 2a, $400,000 in the Currency Series, Class 2, $140,000 in the Long/Short Commodity Series, Class 2 and $300,000 in the Managed Futures Index Series, Class 2. On December 30, 2008, the Managing Owner invested $10,000 in the Balanced Series, Class 2a and $200,000 in the Long/Short Commodity 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/Tiverton Series, Class 2 for an identical amount in the Currency Series, Class 2, $1.0 million from the Campbell/Graham/Tiverton Series, Class 2 for an identical amount in the Balanced Series, Class 2 and $400,000 from the Winton/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

F-31

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 February 28, 2008, Mr. Bornhoft, Chief Investment Officer, exchanged $3,000 from the Winton/Graham Series, Class 2 for an identical amount in the Balanced Series, Class 2. On May 7, 2008, Mr. Bornhoft redeemed $4,000 from the Long Only Commodity Series, Class 2. On October 23, 2008, Mr. Bornhoft redeemed $1,100 from the Currency Series, Class 2.

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 Winton/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.

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/Tiverton Series, Currency Series, Winton/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.

F-32

The following table summarizes the Balanced Series advances to and reductions from other Series of the Trust as of December 31, 2008.

Currency Series

Summary by Quarter

2008


Amount of investment January 1, 2008	$	4,535,784
Additions during period		—
Reduction during period		—
Earnings in investments in Inter-Series Receivables		299,184

Total investment as of March 31, 2008	$	4,834,968

Additions during period		—
Reduction during period		—

Earnings in investments in Inter-Series Receivables		(81,840	)

Total investment as of June 30, 2008	$	4,753,128

Additions during period		11,000,000
Reduction during period		—
Earnings in investments in Inter-Series Receivables		(1,256,626	)

Total investment as of September 30, 2008	$	14,496,502
Additions during period		—

Reduction during period		—
Earnings in investments in Inter-Series Receivables		182,958

Total investment as of December 31, 2008	$	14,679,460

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 $3,823,773 in 2008 and $4,242,194 in 2007.

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.

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, Winton/Graham Series, Campbell/Graham/Tiverton Series, Currency Series and Long/Short Commodity Series may 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 20% for the Winton Series Currency Series, Winton/Graham Series Campbell/Graham/Tiverton 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.

F-33

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, 2008


Series:	Management Fee		Trading Fee		Incentive Fee			Service Fee
Balanced	$	1,429,568	$	1,958,781	$	14,614,847		$	6,607,802
Winton		1,170,160		292,355		1,859,948			1,693,985
Campbell/Graham/Tiverton		1,818,096		401,798		2,999,275			1,793,780
Currency		164,428		130,222		—			350,360
Winton/Graham		505,597		101,035		876,892			508,438
Long Only Commodity		75,213		30,079		—			107,713
Long/Short Commodity		1,703,437		243,105		1,569,879			1,327,950
Managed Futures Index		33,826		8,454		—			26,950

The following table summarizes fees payable to the Managing Owner as of December 31, 2008
Series:	Management Fee		Trading Fee		Incentive Fee			Service Fee
Balanced	$	16,398	$	21,319	$	1,857,583		$	60,329
Winton		17,845		4,462		(64,844	)		17,576
Campbell/Graham/Tiverton		25,665		5,334		488,067			23,635
Currency		2,260		2,039		—			1,235
Winton/Graham		12,020		2,204		76,168			5,634
Long Only Commodity		4,167		1,665		—			3,943
Long/Short Commodity		21,889		2,699		39,178			5,319
Managed Futures Index		5,102		1,276		—			1,597

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 therefore 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, 2008, amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees was $3,708 for the Long Only Commodity Series and $3,528 for the Long/Short Commodity Series. For the twelve months ended December 31, 2008, amounts paid or owing the Managing Owner for the difference in monthly service fees from prepaid initial service fees were $80,575 for the Balanced Series, $934 for the Currency Series, $26,063 for the Winton/Graham Series, $32,417 for the Campbell/Graham/Tiverton Series, $1,263 for the Managed Futures Index Series and $55,902 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 $1,259,529 in 2008.

F-34

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 $477,612 for these expenses in 2008.

Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $2,261,442 in 2008.

Equinox Distributors, Inc. a wholly owned subsidiary of the Managing Owner, serves as wholesaler of the Trust by marketing to broker/dealer organizations. Its results are consolidated with the Managing Owner.

7. Financial Highlights

The following information presents the financial highlights of the Fund for the year ended December 31, 2008. This data has been derived from the information presented in the financial statements.


	Balanced												Winton
	Class 1			Class 1a			Class 2			Class 2a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2008	$	101.46		$	90.90		$	112.00		$	95.47		$	113.83		$	118.61
Net operating results:
Interest income		0.66			0.59			0.74			0.64			0.58			0.61
Expenses		(10.74	)		(9.64	)		(8.29	)		(7.10	)		(9.75	)		(6.39	)
Net gain/(loss) on investments, net of minority interests		33.79			30.23			37.99			32.29			25.76			27.21
Net income		23.71			21.19			30.44			25.83			16.58			21.43
Net asset value, December 31, 2008	$	125.17		$	112.09		$	142.44		$	121.30		$	130.41		$	140.04
Ratios to average net assets (3)
Net investment gain/(loss)		-9.01	%		-9.01	%		-6.00	%		-6.00	%		-7.46	%		-4.45	%
Expenses before incentive fees		4.25	%		4.25	%		1.24	%		1.24	%		5.17	%		2.17	%
Expenses after incentive fees		9.60	%		9.60	%		6.60	%		6.60	%		7.93	%		4.92	%
Total return before incentive fees (2)		26.70	%		27.09	%		30.22	%		29.64	%		14.47	%		19.34	%
Total return after incentive fees (2)		21.35	%		21.73	%		24.86	%		24.29	%		11.71	%		16.58	%

	Campbell/Graham/ Tiverton						Currency						Winton/Graham
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2008	$	91.90		$	100.20		$	100.66		$	111.00		$	95.04		$	104.37
Net operating results:
Interest income		0.50			0.54			0.93			1.03			0.45			0.53
Expenses		(10.78	)		(8.52	)		(5.27	)		(2.48	)		(9.94	)		(7.80	)
Net gain/(loss) on investments, net of minority interests		28.92			31.92			(0.12	)		(0.25	)		30.63			34.39
Net income/(loss)		18.64			23.94			(4.47	)		(1.70	)		21.14			27.12
Net asset value, December 31, 2008	$	110.54		$	124.14		$	96.19		$	109.30		$	116.18		$	131.49
Ratios to average net assets (3)
Net investment gain/(loss)		-10.45	%		-7.43	%		-4.30	%		-1.29	%		-8.86	%		-5.87	%
Expenses before incentive fees		6.39	%		3.38	%		5.21	%		2.21	%		5.57	%		2.57	%
Expenses after incentive fees		10.96	%		7.94	%		5.21	%		2.21	%		9.29	%		6.29	%
Total return before incentive fees (2)		23.65	%		26.87	%		-5.46	%		-9.14	%		21.42	%		24.61	%
Total return after incentive fees (2)		19.09	%		22.31	%		-5.46	%		-9.14	%		17.70	%		20.89	%

F-35


	Long Only Commodity						Long/Short Commodity						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, 2008	$	110.79		$	115.04		$	101.47		$	107.19		$	100.59		$	104.42
Net operating results:
Interest income		2.13			2.04			1.91			2.03			2.09			2.21
Expenses		(4.27	)		(1.91	)		(10.47	)		(7.75	)		(4.76	)		(2.64	)
Net gain/(loss) on investments, net of minority interests		(38.33	)		(40.71	)		7.48			7.81			34.27			35.71
Net income/(loss)		(40.48	)		(40.58	)		(1.08	)		2.09			31.59			35.28
Net asset value, December 31, 2008	$	70.31		$	74.46		$	100.39		$	109.28		$	132.18		$	139.70
Ratios to average net assets (3)
Net investment gain/(loss)		-1.89	%		0.12	%		-8.07	%		-5.06	%		-2.36	%		-0.36	%
Expenses before incentive fees		3.75	%		1.75	%		6.80	%		3.80	%		4.20	%		2.20	%
Expenses after incentive fees		3.75	%		1.75	%		9.87	%		6.86	%		4.20	%		2.20	%
Total return before incentive fees (2)		-40.10	%		-85.29	%		-1.40	%		-2.11	%		32.74	%		39.54	%
Total return after incentive fees (2)		-40.10	%		-85.29	%		-4.46	%		-5.17	%		32.74	%		39.54	%

(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

The following information presents the financial highlights of the Fund for the year ended December 31, 2007. This data has been derived from information presented in the financial statements.


	Balanced												Winton
	Class 1			Class 1a			Class 2			Class 2a			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
Net operating results:
Interest income		2.52			2.26			2.74			2.34			2.64			2.70
Expenses		(7.83	)		(7.02	)		(5.13	)		(4.38	)		(9.03	)		(5.95	)
Net gain/(loss) on investments, net of minority interests		0.11			(0.32	)		0.14			(0.37	)		14.58			15.06
Net income/(loss)		(5.20	)		(5.07	)		(2.24	)		(2.41	)		8.18			11.80
Net asset value, December 31, 2007	$	101.46		$	90.90		$	112.00		$	95.47		$	113.83		$	118.61
Ratios to average net assets (3)
Net investment gain/(loss)		-6.87	%		-6.87	%		-2.84	%		-2.84	%		-7.94	%		-3.95	%
Expenses before incentive fees		5.53	%		5.53	%		1.49	%		1.49	%		7.22	%		3.23	%
Expenses after incentive fees		10.14	%		10.14	%		6.11	%		6.11	%		11.21	%		7.22	%
Total return before incentive fees (2)		-1.79	%		-1.55	%		1.04	%		1.28	%		18.06	%		23.26	%
Total return after incentive fees (2)		-5.24	%		-5.00	%		-2.41	%		-2.17	%		15.07	%		20.28	%

F-36


	Campbell/Graham/Tiverton						Currency						Winton/Graham
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2007	$	96.27		$	101.86		$	101.16		$	108.23		$	84.70		$	90.25
Net operating results:
Interest income		2.58			2.76			4.81			5.25			2.48			2.51
Expenses		(7.27	)		(4.71	)		(5.33	)		(2.44	)		(7.77	)		(5.23	)
Net gain/(loss) on investments, net of minority interests		0.32			0.29			0.02			(0.04	)		15.63			16.84
Net income/(loss)		(4.37	)		(1.66	)		(0.50	)		2.77			10.34			14.12
Net asset value, December 31, 2007	$	91.90		$	100.20		$	100.66		$	111.00		$	95.04		$	104.37
Ratios to average net assets (3)
Net investment gain/(loss)		-6.60	%		-2.57	%		-0.68	%		3.35	%		-7.96	%		-4.02	%
Expenses before incentive fees		7.92	%		3.90	%		6.93	%		2.91	%		8.61	%		4.68	%
Expenses after incentive fees		10.23	%		6.21	%		6.93	%		2.91	%		11.68	%		7.75	%
Total return before incentive fees (2)		-2.80	%		2.56	%		-1.40	%		0.75	%		12.78	%		17.82	%
Total return after incentive fees (2)		-4.52	%		0.84	%		-1.40	%		0.75	%		10.48	%		15.52	%

	Long Only Commodity						Long/Short Commodity						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)

(2)

(3)

Annualized

(4)

The Dunn Series ceased trading operation on October 12, 2007

F-37

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									Winton
	Class 1			Class 1a			Class 2			Class 2a			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
Net operating results:
Interest income		2.09			0.84			2.16			1.98			3.45			2.33
Expenses		(5.64	)		(3.32	)		(2.59	)		(2.38	)		(10.51	)		(5.70	)
Net gain/(loss) on investments, net of minority interests		5.63			(1.55	)		5.94			(1.72	)		12.71			10.18
Net income/(loss)		2.08			(4.03	)		5.51			(2.12	)		5.65			6.81
Net asset value, December 31, 2006	$	106.66		$	95.97		$	114.24		$	97.88		$	105.65		$	106.81
Ratios to average net assets
Net investment gain/(loss)		-3.38	%		-2.44	%		-0.41	%		0.87	%		-6.36	%		-4.52	%
Expenses before incentive fees		3.73	%		3.89	%		0.76	%		0.58	%		3.30	%		1.47	%
Expenses after incentive fees		5.35	%		4.65	%		2.38	%		1.34	%		9.48	%		7.65	%
Total return before incentive fees (2)		4.14	%		0.28	%		7.29	%		0.92	%		17.28	%		27.87	%
Total return after incentive fees (2)		2.02	%		0.00	%		5.11	%		0.70	%		16.84	%		23.33	%

	Campbell/Graham/Tiverton						Currency						Winton/Graham
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2006	$	94.30		$	96.83		$	97.66		$	101.42		$	82.90		$	85.73
Net operating results:
Interest income		2.40			2.61			2.28			2.79			2.21			2.31
Expenses		(6.06	)		(3.57	)		(4.17	)		(1.56	)		(5.09	)		(2.73	)
Net gain/(loss) on investments, net of minority interests		5.63			5.99			5.39			5.58			4.68			4.94
Net income		1.97			5.03			3.50			6.81			1.80			4.52
Net asset value, December 31, 2006	$	96.27		$	101.86		$	101.16		$	108.23		$	84.70		$	90.25
Ratios to average net assets
Net investment gain/(loss)		-3.92	%		-0.95	%		-1.82	%		1.15	%		-3.44	%		-0.47	%
Expenses before incentive fees		5.86	%		2.88	%		4.30	%		1.34	%		6.08	%		3.11	%
Expenses after incentive fees		6.52	%		3.54	%		4.43	%		1.46	%		6.08	%		3.11	%
Total return before incentive fees (2)		3.10	%		2.53	%		5.30	%		6.94	%		2.32	%		2.67	%
Total return after incentive fees (2)		2.10	%		2.01	%		5.17	%		6.72	%		2.32	%		2.67	%

F-38


	Long Only Commodity						Long/Short Commodity						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/(loss)		(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)

8. Trading Activities and Related Risks

The purchase and sale of futures and options on futures contracts require margin deposits with Futures Commission 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-39

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, options and forwards is comprised of the following:


	Futures Contracts, Options and Forwards
	2008			2007			2006
Gross Unrealized Gains	$	88,343,756		$	23,009,450		$	27,229,898
Gross Unrealized (Losses)		(52,380,814	)		(34,220,728	)		(13,517,509	)

Net Unrealized Gain (Loss)	$	35,962,942		($	11,211,278	)	$	13,712,389

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.

9. Indemnifications

10. Subsequent Events

None.

F-40

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Frontier Fund,

as sole member of the Trading Companies

We have audited each of the accompanying statements of financial condition, including the condensed schedule of investments, of Frontier Trading Company I LLC, Frontier Trading Company II LLC, Frontier Trading Company III LLC, Frontier Trading Company IV LLC, Frontier Trading Company V LLC, Frontier Trading Company VI LLC, Frontier Trading Company VII, LLC, Frontier Trading Company VIII, LLC, and Frontier Trading Company IX, LLC (collectively, the “Trading Companies”) as of December 31, 2008 and 2007, and the related statements of operations and changes in members’ equity for each of the three years in the period ended December 31, 2008. These financial statements are the responsibility of the management of the Frontier Fund. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits 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, each of the financial statements referred to above present fairly, in all material respects, the financial position of Frontier Trading Company I LLC, Frontier Trading Company II LLC, Frontier Trading Company III LLC, Frontier Trading Company IV LLC, Frontier Trading Company V LLC, Frontier Trading Company VI LLC, Frontier Trading Company VII, LLC, Frontier Trading Company VIII, LLC, and Frontier Trading Company IX, LLC as of December 31, 2008 and 2007, and the results of their operations and changes in members’ equity for each of the three years in the period ended December 31, 2008 in conformity with U.S. generally accepted accounting principles.

/s/ McGladrey & Pullen, LLP

Denver, Colorado

March 23, 2009

F-41

The Trading Companies of the Frontier Fund

Statements of Financial Condition

December 31, 2008 and 2007


	Frontier Trading Company I LLC				Frontier Trading Company II LLC				Frontier Trading Company III LLC
	12/31/2008		12/31/2007		12/31/2008		12/31/2007		12/31/2008		12/31/2007
ASSETS
Receivable from futures commission merchants		28,949,317		25,861,525		9,653,595		9,924,146		670,927		1,539,788
Open trade equity		22,836,227		461,880		2,158,369		970,867		12,810		34,703
Swap contracts		53,072,356		32,329,392		—		—		9,122,121		822,068

Total Assets	$	104,857,900	$	58,652,797	$	11,811,964	$	10,895,013	$	9,805,858	$	2,396,559

MEMBERS’ EQUITY
MEMBERS’ EQUITY		104,857,900		58,652,797		11,811,964		10,895,013		9,805,858		2,396,559

Total Members’ Equity	$	104,857,900	$	58,652,797	$	11,811,964	$	10,895,013	$	9,805,858	$	2,396,559


	Frontier Trading Company V LLC				Frontier Trading Company VI LLC				Frontier Trading Company VII, LLC
	12/31/2008		12/31/2007		12/31/2008		12/31/2007		12/31/2008		12/31/2007
ASSETS

Receivable from futures commission merchants		5,221,709		12,761,730		6,271,352		13,863,217		—		21,539,642
Open trade equity		—		—		109,880		—		10,753,763		—
Swap contracts		—		—		—		14,912,063		—		—

Total Assets	$	5,221,709	$	12,761,730	$	6,381,232	$	28,775,280	$	10,753,763	$	21,539,642

LIABILITIES & MEMBERS’ EQUITY
LIABILITIES
Payable to futures commission merchants	$	—	$	—	$	—	$	—	$	1,508,493	$	—
Open trade deficit		111,526		96,656		—		1,481,122		—		11,151,267

Total Liabilities		111,526		96,656		—		1,481,122		1,508,493		11,151,267

MEMBERS’ EQUITY		5,110,183		12,665,074		6,381,232		27,294,158		9,245,270		10,388,375

Total Liabilities and Members’ Equity	$	5,221,709	$	12,761,730	$	6,381,232	$	28,775,280	$	10,753,763	$	21,539,642


	Frontier Trading Company VIII, LLC				Frontier Trading Company IX, LLC
	12/31/2008		12/31/2007		12/31/2008		12/31/2007
ASSETS
Receivable from futures commission merchants		—		—		1,794,715		2,576,122
Open trade equity		—		—		203,419		50,316
Swap contracts		836,554		768,028		—		—

Total Assets	$	836,554	$	768,028	$	1,998,134	$	2,626,438

MEMBERS’ EQUITY
MEMBERS’ EQUITY		836,554		768,028		1,998,134		2,626,438

Total Liabilities and Members’ Equity	$	836,554	$	768,028	$	1,998,134	$	2,626,438

The accompanying notes are an integral part of these statements.

F-42

The Trading Companies of the Frontier Fund

Condensed Schedule of Investments

December 31, 2008


	Frontier Trading Company I LLC					Frontier Trading Company II LLC					Frontier Trading Company III LLC					Frontier Trading Company V LLC
Description	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)	$	(12,284,337	)	-11.72	%	$	(61,704	)	-0.52	%	$	—		0.00	%	$	(16,604	)	-0.31	%
Various currency futures contracts (US)		711,287		0.68	%		706,944		5.97	%		—		0.00	%		16,123		0.30	%
Various currency futures contracts (Canada)		6,889		0.01	%		—		0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		40,525		0.04	%		8,268		0.07	%		—		0.00	%		1,315		0.03	%
Various currency futures contracts (Far East)		12,768		0.01	%		—		0.00	%		—		0.00	%		—		0.00	%
Various energy futures contracts (US)		(742,136	)	-0.71	%		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (US)		(148,731	)	-0.14	%		595,492		5.04	%		—		0.00	%		(80,680	)	-1.58	%
Various interest rates futures contracts (Canada)		22,811		0.02	%		57,298		0.49	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		216,792		0.21	%		1,120,595		9.49	%		—		0.00	%		152,684		2.99	%
Various interest rates futures contracts (Far East)		41,496		0.04	%		210,136		1.78	%		—		0.00	%		38,094		0.75	%
Various precious metals futures contracts (US)		757,370		0.72	%		—		0.00	%		—		0.00	%		3,340		0.06	%
Various soft futures contracts (US)		1,449,530		1.38	%		8,930		0.08	%		—		0.00	%		290		0.01	%
Various soft futures contracts (Europe)		155,590		0.15	%		51,098		0.43	%		—		0.00	%		2,660		0.05	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (US)		119,055		0.11	%		935		0.01	%		—		0.00	%		2,274		0.04	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		22,204		0.02	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		130,840		0.12	%		—		0.00	%		—		0.00	%		—		0.00	%

Total Long Futures Contracts	$	(9,488,047	)	-9.05	%	$	2,697,992		22.84	%	$	—		0.00	%	$	119,496		2.34	%

LONG OPTIONS *	$	19,791,432		18.87	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%

LONG CURRENCY FORWARDS*	$	(263,822	)	-0.25	%	$	—		0.00	%	$	(53,532	)	-0.55	%	$	148,701		2.91	%

SHORT FUTURES CONTRACTS*
Various base metals futures contracts (US)	$	15,995,032		15.25	%	$	501,985		4.25	%	$	—		0.00	%	$	41,676		0.81	%
Various currency futures contracts (US)		117,866		0.11	%		(456,100	)	-3.86	%		—		0.00	%		625		0.01	%
Various currency futures contracts (Canada)		(9,283	)	-0.01	%		—		0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		37,430		0.04	%		—		0.00	%		—		0.00	%		(5,097	)	-0.10	%
Various currency futures contracts (Far East)		(36,957	)	-0.04	%		—		0.00	%		—		0.00	%		—		0.00	%
Various energy futures contracts (US)		844,015		0.80	%		109,090		0.92	%		—		0.00	%		(7,363	)	-0.14	%
Various interest rates futures contracts (US)		(340,369	)	-0.32	%		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		(26,077	)	-0.02	%		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		(8,694	)	-0.01	%		(3,652	)	-0.03	%		—		0.00	%		(1,075	)	-0.02	%
Various precious metals futures contracts (US)		(172,610	)	-0.16	%		(11,840	)	-0.10	%		—		0.00	%		(4,930	)	-0.10	%
Various soft futures contracts (US)		(871,584	)	-0.82	%		(628,657	)	-5.32	%		—		0.00	%		(83,229	)	-1.63	%
Various soft futures contracts (Canada)		—		0.00	%		(1,171	)	-0.01	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)		(56,202	)	-0.05	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (US)		(2,748	)	0.00	%		(22,255	)	-0.19	%		—		0.00	%		(290	)	-0.01	%
Various stock index futures contracts (Canada)		—		0.00	%		(4,154	)	-0.04	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		(11,011	)	-0.01	%		(22,869	)	-0.19	%		—		0.00	%		(5,296	)	-0.10	%
Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		(4,798	)	-0.09	%

Total Short Futures Contracts	$	15,458,808		14.74	%	$	(539,623	)	-4.57	%	$	—		0.00	%	$	(69,777	)	-1.37	%

SHORT OPTIONS *	$	(3,378,636	)	-3.22	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%

SHORT CURRENCY FORWARDS*	$	716,492		0.69	%	$	—		0.00	%	$	66,342		0.68	%	$	(309,946	)	-6.07	%

Total Open Trade Equity	$	22,836,227		21.78	%	$	2,158,369		18.27	%	$	12,810		0.13	%	$	(111,526	)	-2.19	%

SWAPS (1)	$	53,072,356		50.61	%	$	—		0.00	%	$	9,122,121		93.03	%	$	—		0.00	%

*	No individual futures, forwards and option on futures contract position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.

(1)	See Notes to Financial Statements, Note 4.

The accompanying notes are an integral part of these statements.

F-43


	Frontier Trading Company VI LLC					Frontier Trading Company VII, LLC					Frontier Trading Company VIII, LLC				Frontier Trading Company IX, LLC
Description	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)	$	6,568		0.10	%	$	99,628		1.08	%	$	—	0.00	%	$	(17,822	)	-0.89	%
Silver @ Comex Settling 5/1/2009 (Number of Contracts: 647)		—		0.00	%		(2,997,465	)	-32.42	%		—	0.00	%		—		0.00	%
Silver @ Comex Settling 7/1/2009 (Number of Contracts: 1,096)		—		0.00	%		3,008,100		32.54	%		—	0.00	%		—		0.00	%
Silver @ Comex Settling 12/1/2009 (Number of Contracts: 736)		—		0.00	%		2,138,080		23.13	%		—	0.00	%		—		0.00	%
Various currency futures contracts (US)		—		0.00	%		166,320		1.80	%		—	0.00	%		18,700		0.94	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various currency futures contracts (Europe)		(2,396	)	-0.04	%		—		0.00	%		—	0.00	%		—		0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—	0.00	%		(1,158	)	-0.06	%
Various energy futures contracts (US)		—		0.00	%		(522,392	)	-5.65	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (US)		(88,266	)	-1.37	%		(391	)	0.00	%		—	0.00	%		92,156		4.62	%
Various interest rates futures contracts (Canada)		2,491		0.04	%		—		0.00	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		115,648		1.81	%		—		0.00	%		—	0.00	%		68,137		3.41	%
Various interest rates futures contracts (Far East)		147,684		2.32	%		—		0.00	%		—	0.00	%		25,269		1.26	%
Various precious metals futures contracts (US)		3,250		0.05	%		342,510		3.70	%		—	0.00	%		—		0.00	%
Various soft futures contracts (US)		—		0.00	%		(2,558,068	)	-27.67	%		—	0.00	%		675		0.03	%
Sugar #11 Settling 7/1/2009 (Number of Contracts 459)		—		0.00	%		1,403,438		15.17	%		—	0.00	%		—		0.00	%
Various soft futures contracts (Far East)		—		0.00	%		(35	)	0.00	%		—	0.00	%		—		0.00	%
Various soft futures contracts (Europe)		—		0.00	%		100,873		1.09	%		—	0.00	%		—		0.00	%
Various soft futures contracts (Canada)		—		0.00	%		376		0.00	%		—	0.00	%		—		0.00	%
Various stock index futures contracts (US)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		13,693		0.21	%		—		0.00	%		—	0.00	%		(1,001	)	-0.05	%
Various stock index futures contracts (Far East)		2,168		0.03	%		—		0.00	%		—	0.00	%		—		0.00	%

Total Long Futures Contracts	$	200,840		3.15	%	$	1,180,974		12.77	%	$	—	0.00	%	$	184,956		9.26	%

LONG OPTIONS*	$	—		0.00	%	$	285,120		3.08	%	$	—	0.00	%	$	—		0.00	%

LONG CURRENCY FORWARDS*	$	424,574		6.65	%	$	—		0.00	%	$	—	0.00	%	$	92,907		4.65	%

SHORT FUTURES CONTRACTS
Various base metals futures contracts (US)		(34,197	)	-0.54	%	$	(2,475,835	)	-26.78	%	$	—	0.00	%	$	18,041		0.90	%
Silver @ Comex Settling 3/1/2009 (Number of Contracts: 2,102)		—		0.00	%		10,812,460		116.95	%		—	0.00	%
Silver @ Comex Settling 9/1/2009 (Number of Contracts: 356)		—		0.00	%		1,034,180		11.19	%		—	0.00	%
Various currency futures contracts (US)		(100	)	0.00	%		(29,640	)	-0.32	%		—	0.00	%		—		0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various energy futures contracts (US)		(13,490	)	-0.21	%		(1,329,703	)	-14.38	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (US)		—		0.00	%		(234	)	0.00	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		(2,139	)	-0.03	%		—		0.00	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		(50,137	)	-0.79	%		—		0.00	%		—	0.00	%		—		0.00	%
Various precious metals futures contracts (US)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various soft futures contracts (US)		—		0.00	%		(148,204	)	-1.60	%		—	0.00	%		30,377		1.52	%
Coffee @ CSCE Settling 3/1/2009 (Number of Contracts: 1,111)		—		0.00	%		1,902,375		20.57	%		—	0.00	%		—		0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various stock index futures contracts (US)		(27,338	)	-0.43	%		(12,545	)	-0.14	%		—	0.00	%		4,360		0.22	%
Various stock index futures contracts (Europe)		(10,846	)	-0.17	%		—		0.00	%		—	0.00	%		(2,446	)	-0.12	%
Various stock index futures contracts (Far East)		(18,424	)	-0.29	%		—		0.00	%		—	0.00	%		—		0.00	%

Total Short Futures Contracts	$	(156,670	)	-2.46	%	$	9,752,854		105.49	%	$	—	0.00	%	$	50,332		2.52	%

SHORT OPTIONS*	$	—		0.00	%	$	(465,185	)	-5.02	%	$	—	0.00	%	$	—		0.00	%

SHORT CURRENCY FORWARDS*	$	(358,864	)	-5.62	%	$	—		0.00	%	$	—	0.00	%	$	(124,776	)	-6.23	%

Total Open Trade Equity	$	109,880		1.72	%	$	10,753,763		116.32	%	$	—	0.00	%	$	203,419		10.18	%

SWAPS (1)	$	—		0.00	%	$	—		0.00	%	$	836,554	100.00	%	$	—		0.00	%

*	No individual futures, forwards and option on futures contract position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.

(1)	See Notes to Financial Statements, Note 4.

The accompanying notes are an integral part of these statements.

F-44

The Trading Companies of the Frontier Fund

Condensed Schedule of Investments

December 31, 2007


	Frontier Trading Company I LLC					Frontier Trading Company II LLC					Frontier Trading Company III LLC				Frontier Trading Company V LLC
Description	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)	$	(296,085	)	-0.50	%	$	(750,925	)	-6.89	%	$	—	0.00	%	$	(46,995	)	-0.37	%
Various currency futures contracts (US)		(1,881	)	0.00	%		(170,950	)	-1.57	%		—	0.00	%		5,213		0.04	%
Various currency futures contracts (Canada)		16,808		0.03	%		—		0.00	%		—	0.00	%		—		0.00	%
Various currency futures contracts (Europe)		76,877		0.13	%		43,498		0.40	%		—	0.00	%		(8,656	)	-0.07	%
Various currency futures contracts (Far East)		7,187		0.01	%		17,336		0.16	%		—	0.00	%		—		0.00	%
Various energy futures contracts (US)		339,042		0.58	%		436,155		4.00	%		—	0.00	%		23,239		0.18	%
Various interest rates futures contracts (US)		33,680		0.06	%		(53,497	)	-0.49	%		—	0.00	%		1,922		0.02	%
Various interest rates futures contracts (Canada)		(4,235	)	-0.01	%		(4,610	)	-0.04	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		1,772		0.00	%		(12,044	)	-0.11	%		—	0.00	%		4,554		0.04	%
Various interest rates futures contracts (Far East)		(117,265	)	-0.20	%		132,985		1.22	%		—	0.00	%		39,259		0.31	%
Various precious metals futures contracts (US)		84,180		0.14	%		380,950		3.50	%		—	0.00	%		440		0.00	%
Various soft futures contracts (US)		1,299,271		2.22	%		755,306		6.93	%		—	0.00	%		(1,859	)	-0.01	%
Various soft futures contracts (Europe)		(1,792	)	0.00	%		(856	)	-0.01	%		—	0.00	%		(3,802	)	-0.03	%
Various soft futures contracts (Canada)		—		0.00	%		2,547		0.02	%		—	0.00	%		—		0.00	%
Various stock index futures contracts (US)		232,252		0.40	%		(102,551	)	-0.94	%		—	0.00	%		(2,020	)	-0.02	%
Various stock index futures contracts (Canada)		89,362		0.15	%		15,879		0.15	%		—	0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		108,920		0.17	%		100,550		0.92	%		—	0.00	%		(6,130	)	-0.05	%
Various stock index futures contracts (Far East)		5,117		0.01	%		(4,309	)	-0.04	%		—	0.00	%		(988	)	-0.01	%

Total Long Futures Contracts		1,873,210		3.19	%		785,464		7.21	%		—	0.00	%		4,177		0.03	%

LONG CURRENCY FORWARDS		0		0.00	%		—		0.00	%		120	0.01	%		107,869		0.85	%

LONG SWAPS / OPTIONS		32,329,392		55.12	%		—		0.00	%		822,068	34.30	%		—		0.00	%

SHORT FUTURES CONTRACTS
Various base metals futures contracts (US)		138,659		0.24	%		415,456		3.81	%		—	0.00	%		95,072		0.75	%
Various currency futures contracts (US)		(1,028,111	)	-1.75	%		(26,538	)	-0.24	%		—	0.00	%		—		0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various currency futures contracts (Europe)		44,459		0.08	%		6,522		0.06	%		—	0.00	%		(3,312	)	-0.03	%
Various currency futures contracts (Far East)		(679	)	0.00	%		(11,329	)	-0.10	%		—	0.00	%		—		0.00	%
Various energy futures contracts (US)		(120,010	)	-0.20	%		(60,210	)	-0.55	%		—	0.00	%		(28,300	)	-0.22	%
Various interest rates futures contracts (US)		—		0.00	%		—		0.00	%		—	0.00	%		(6,547	)	-0.05	%
Various interest rates futures contracts (Canada)		—		0.00	%		(1,672	)	-0.02	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		478,146		0.82	%		(18,832	)	-0.17	%		—	0.00	%		(9,568	)	-0.08	%
Various interest rates futures contracts (Far East)		29,196		0.05	%		2,298		0.02	%		—	0.00	%		(1,029	)	-0.01	%
Various precious metals futures contracts (US)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various soft futures contracts (US)		(299,754	)	-0.51	%		(120,292	)	-1.10	%		—	0.00	%		—		0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various stock index futures contracts (US)		(692,455	)	-1.18	%		—		0.00	%		—	0.00	%		7,815		0.06	%
Various stock index futures contracts (Europe)		34,204		0.06	%		—		0.00	%		—	0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		5,015		0.01	%		—		0.00	%		—	0.00	%		—		0.00	%

Total Short Futures Contracts		(1,411,330	)	-2.38	%		185,403		1.71	%		—	0.00	%		54,131		0.42	%

SHORT CURRENCY FORWARDS		0		0.00	%		—		0.00	%		34,583	1.44	%		(262,833	)	-2.07	%

Total Open Trade Equity	$	32,791,272		55.93	%	$	970,867		8.92	%	$	856,771	35.75	%	$	(96,656	)	-0.77	%

No individual futures, forwards and option on futures contract position constituted greater than 5 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.

F-45


	Frontier Trading Company VI LLC					Frontier Trading Company VII, LLC					Frontier Trading Company VIII, LLC				Frontier Trading Company IX, LLC
Description	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)	$	(12,033	)	-0.04	%	$	78,655		0.76	%	$	—	0.00	%	$	(306,507	)	-11.67	%
Various currency futures contracts (US)		136,888		0.50	%		(29,520	)	-0.28	%		—	0.00	%		12,763		0.49	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various currency futures contracts (Europe)		(32,615	)	-0.12	%		—		0.00	%		—	0.00	%		—		0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various energy futures contracts (US)		250,679		0.92	%		2,390,287		23.01	%		—	0.00	%		30,475		1.16	%
Various interest rates futures contracts (US)		37,546		0.14	%		52,718		0.51	%		—	0.00	%		1,594		0.06	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		99,151		0.36	%		—		0.00	%		—	0.00	%		34,980		1.33	%
Various interest rates futures contracts (Far East)		42		0.00	%		—		0.00	%		—	0.00	%		(2,193	)	-0.08	%
Various precious metals futures contracts (US)		109,030		0.40	%		68,860		0.66	%		—	0.00	%		36,290		1.38	%
Various soft futures contracts (US)		—		0.00	%		2,321,450		22.34	%		—	0.00	%		70,876		2.70	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%			0.00	%		—		0.00	%
Various stock index futures contracts (US)		(80,963	)	-0.30	%		(61,188	)	-0.59	%		—	0.00	%		(13,152	)	-0.50	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%			0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		420,866		1.54	%		—		0.00	%		—	0.00	%		(3,100	)	-0.12	%
Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%

Total Long Futures Contracts		928,591		3.40	%		4,821,262		46.41	%		—	0.00	%		(137,974	)	-5.25	%

LONG CURRENCY FORWARDS		(2,073,646	)	-7.60	%		—		0.00	%		—	0.00	%		4,162		0.16	%

LONG SWAPS / OPTIONS		14,912,063		54.63	%		—		0.00	%		768,028	100.00	%		—		0.00	%

SHORT FUTURES CONTRACTS
Various base metals futures contracts (US)		12,514		0.05	%		(2,648,030	)	-25.49	%		—	0.00	%		194,993		7.42	%
Various currency futures contracts (US)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various energy futures contracts (US)		(188,998	)	-0.69	%		(7,884,832	)	-75.90	%		—	0.00	%		(3,870	)	-0.15	%
Various interest rates futures contracts (US)		(2,109	)	-0.01	%		4,219		0.04	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		(33,370	)	-0.12	%		—		0.00	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		(58,471	)	-0.21	%		—		0.00	%		—	0.00	%		(5,388	)	-0.21	%
Various interest rates futures contracts (Far East)		84,194		0.31	%		—		0.00	%		—	0.00	%		(5,182	)	-0.20	%
Various precious metals futures contracts (US)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various soft futures contracts (US)		—		0.00	%		(5,344,761	)	-51.45	%		—	0.00	%		13,870		0.53	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
Various stock index futures contracts (US)		(77,695	)	-0.28	%		(99,125	)	-0.95	%		—	0.00	%		(4,810	)	-0.18	%
Various stock index futures contracts (Europe)		(34,838	)	-0.13	%		—		0.00	%		—	0.00	%		(2,412	)	-0.09	%
Various stock index futures contracts (Far East)		35,767		0.13	%		—		0.00	%		—	0.00	%		—		0.00	%

Total Short Futures Contracts		(263,006	)	-0.95	%		(15,972,529	)	-153.75	%		—	0.00	%		187,201		7.12	%

SHORT CURRENCY FORWARDS		(73,061	)	-0.26	%		—		0.00	%		—	0.00	%		(3,073	)	-0.12	%

Total Open Trade Equity	$	13,430,941		49.22	%	$	(11,151,267	)	-107.34	%	$	768,028	100.00	%	$	50,316		1.91	%

The accompanying notes are an integral part of these statements.

F-46

The Trading Companies of the Frontier Fund

Statements of Operations

For The Years Ended December 31, 2008, 2007 and 2006


	Frontier Trading Company I LLC									Frontier Trading Company II LLC									Frontier Trading Company III LLC
	12/31/2008			12/31/2007			12/31/2006			12/31/2008			12/31/2007			12/31/2006			12/31/2008			12/31/2007			12/31/2006
Investment Income:
Interest-net	$	601,820		$	1,000,475		$	399,825		$	329,722		$	434,402		$	213,384		$	45,295		$	132,464		$	98,990

Total Income		601,820			1,000,475			399,825			329,722			434,402			213,384			45,295			132,464			98,990

Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and currencies		13,956,522			(621,375	)		3,400,339			19,921,443			17,879,093			8,755,911			234,616			(8,104	)		27,040
Net realized gain/(loss) on option / swap contracts		—			—			—			—			—			—			1,047,794			135,100			900,226
Net change in open trade equity		29,141,961			2,928,523			151,686			1,187,477			(452,160	)		(2,090,380	)		780			(28,482	)		14,008
Net unrealized gain/(loss) on option / swap contracts		20,742,953			(899,872	)		—			—			—			—			(2,877,879	)		—			—
Trading commissions		(1,144,572	)		(2,155,318	)		(722,652	)		(174,481	)		(387,285	)		(282,438	)		—			—			—

Net gain/(loss) on investments		62,696,864			(748,042	)		2,829,373			20,934,439			17,039,648			6,383,093			(1,594,689	)		98,514			941,274

NET INCREASE IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS	$	63,298,684		$	252,433		$	3,229,198		$	21,264,161		$	17,474,050		$	6,596,477		$	(1,549,394	)	$	230,978		$	1,040,264


	Frontier Trading Company V LLC									Frontier Trading Company VI LLC									Frontier Trading Company VII, LLC (1)
	12/31/2008			12/31/2007			12/31/2006			12/31/2008			12/31/2007			12/31/2006			12/31/2008			12/31/2007			12/31/2006
Investment Income:
Interest-net	$	278,151		$	653,524		$	345,944		$	344,098		$	813,618		$	487,539		$	213,312		$	135,889		$	118,855

Total Income		278,151			653,524			345,944			344,098			813,618			487,539			213,312			135,889			118,855

Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and currencies		(16,480,431	)		7,697,156			485,089			2,913,449			(5,247,587	)		(2,247,370	)		(18,291,792	)		15,057,205			664,214
Net realized gain/(loss) on option / swap contracts		—			—			—			361,511			1,674,698			—			—			—			—
Net change in open trade equity		30,023,621			(1,673,135	)		1,479,234			1,591,022			(6,352,783	)		6,111,319			31,013,453			(14,220,168	)		438,221
Net unrealized gain/(loss) on option / swap contracts		—			—			—			—			(3,394,571	)		1,603,390			—			—			—
Trading commissions		(145,539	)		(192,697	)		(284,699	)		(105,639	)		(225,237	)		(143,084	)		(1,075,687	)		(1,070,911	)		(195,424	)

Net gain/(loss) on investments		13,397,651			5,831,324			1,679,624			4,760,343			(13,545,480	)		5,324,255			11,645,974			(233,874	)		907,011

NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS	$	13,675,802		$	6,484,848		$	2,025,568		$	5,104,441		$	(12,731,862	)	$	5,811,794		$	11,859,286		$	(97,985	)	$	1,025,866


	Frontier Trading Company VIII, LLC (1)									Frontier Trading Company IX, LLC (1)
	12/31/2008			12/31/2007			12/31/2006			12/31/2008			12/31/2007			12/31/2006
Investment Income:
Interest-net	$	17,439		$	88,729		$	34,500		$	63,692		$	92,235		$	49,412

Total Income		17,439			88,729			34,500			63,692			92,235			49,412

Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and currencies		—			—			—			3,766,733			1,001,958			(681,466	)
Net realized gain/(loss) on option/swap contracts		(2,684,087	)		1,729,289			(643,705	)		—			—			—
Net change in open trade equity		—			—			—			153,103			(378,687	)		429,002
Trading commissions		—			—			—			(29,020	)		(59,696	)		(34,148	)

Net gain/(loss) on investments		(2,684,087	)		1,729,289			(643,705	)		3,890,816			563,575			(286,612	)

NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS	$	(2,666,648	)	$	1,818,018		$	(609,205	)	$	3,954,508		$	655,810		$	(237,200	)

(1)	Trading Companies VII, VIII and IX commenced trading operations on February 24, 2006.

The accompanying notes are an integral part of these statements.

F-47

The Trading Companies of the Frontier Fund

Statements of Changes in Members’ Equity

For the Years Ended December 31, 2008, 2007 and 2006


	Frontier Trading Company I LLC			Frontier Trading Company II LLC			Frontier Trading Company III LLC
Members’ Equity, January 1, 2006	$	10,125,362		$	7,132,409		$	894,640
Capital Contributed		20,120,000			8,530,961			2,093,478
Capital Distributed		(15,432,927	)		(13,818,775	)		(1,015,856	)
Net Increase in Members’ Equity Resulting From Operations		3,229,198			6,596,477			1,040,264

Members’ Equity, December 31, 2006	$	18,041,633		$	8,441,072		$	3,012,526

Capital Contributed		102,070,000			6,550,000			1,138,420
Capital Distributed		(61,711,269	)		(21,570,109	)		(1,985,365	)
Net Increase in Members’ Equity Resulting From Operations		252,433			17,474,050			230,978

Members’ Equity, December 31, 2007	$	58,652,797		$	10,895,013		$	2,396,559

Capital Contributed		30,500,000			21,120,000			12,588,268
Capital Distributed		(47,593,581	)		(41,467,210	)		(3,629,575	)
Net Increase in Members’ Equity Resulting From Operations		63,298,684			21,264,161			(1,549,394	)

Members’ Equity, December 31, 2008	$	104,857,900		$	11,811,964		$	9,805,858


	Frontier Trading Company V LLC			Frontier Trading Company VI LLC			Frontier Trading Company VII, LLC (1)
Members’ Equity, January 1, 2006	$	5,116,543		$	6,855,771		$	—
Capital Contributed		14,940,000			50,350,000			8,080,000
Capital Distributed		(6,567,734	)		(7,148,520	)		(4,339,742	)
Net Increase/(Decrease) in Members’ Equity Resulting From Operations		2,025,568			5,811,794			1,025,866

Members’ Equity, December 31, 2006	$	15,514,377		$	55,869,045		$	4,766,124

Capital Contributed		3,350,000			20,501,800			14,750,000
Capital Distributed		(12,684,151	)		(36,344,826	)		(9,029,764	)
Net Increase/(Decrease) in Members’ Equity Resulting From Operations		6,484,848			(12,731,861	)		(97,985	)

Members’ Equity, December 31, 2007	$	12,665,074		$	27,294,158		$	10,388,375

Capital Contributed		4,200,000			6,163,032			11,350,000
Capital Distributed		(25,430,693	)		(32,180,399	)		(24,352,391	)
Net Increase/(Decrease) in Members’ Equity Resulting From Operations		13,675,802			5,104,441			11,859,286

Members’ Equity, December 31, 2008	$	5,110,183		$	6,381,232		$	9,245,270


	Frontier Trading Company VIII, LLC (1)			Frontier Trading Company IX, LLC (1)
Members’ Equity, January 1, 2006	$	—		$	—
Capital Contributed		5,222,261			2,550,000
Capital Distributed		(3,806,583	)		(153,937	)
Net Increase/(Decrease) in Members’ Equity Resulting From Operations		(609,205	)		(237,200	)

Members’ Equity, December 31, 2006	$	806,473		$	2,158,863

Capital Contributed		7,584,341			100,000
Capital Distributed		(9,440,804	)		(288,235	)
Net Increase/(Decrease) in Members’ Equity Resulting From Operations		1,818,018			655,810

Members’ Equity, December 31, 2007	$	768,028		$	2,626,438

Capital Contributed		10,286,986			800,000
Capital Distributed		(7,551,812	)		(5,382,812	)
Net Increase/(Decrease) in Members’ Equity Resulting From Operations		(2,666,648	)		3,954,508

Members’ Equity, December 31, 2008	$	836,554		$	1,998,134

(1)	Trading Companies VII, VIII and IX commenced trading operations on February 24, 2006.

The accompanying notes are an integral part of these statements.

F-48

The Frontier Fund Trading Companies

Notes to Financial Statements

As of December 31, 2008, and December 31, 2007

1. Organization and Purpose

These financial statements and related notes pertain to the following companies: Frontier Trading Company I LLC, Frontier Trading Company II LLC, Frontier Trading Company III LLC, Frontier Trading Company IV LLC, Frontier Trading Company V LLC, Frontier Trading Company VI LLC, Frontier Trading Company VII, LLC, Frontier Trading Company VIII, LLC and Frontier Trading Company IX, LLC (the “Trading Companies”).

The Frontier Fund (the “Trust”), was formed as a Delaware statutory trust on August 8, 2003, with separate Series of Units (the “Series”). 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).

All capital of the Trading Companies is provided by the Series and there are no other investors in the Trading Companies.

Each Trading Company authorizes certain Trading Advisors to place trades and manage assets at pre-determined investment levels. The Trading Companies were organized for the purpose of investing in securities and derivative instruments, and have no operating income or expenses, except for trading income and expenses. Trading Companies in which a Series has a majority equity interest are consolidated by such Series. Equity interest is defined as Trading Level, which is the aggregate amount of predetermined investment levels which all Trading Advisors in the Trading Company have been authorized to trade, plus the accumulated profit or loss in the accounts. 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.

The following table details the percentage equity interest of each Series in each Trading Company as of December 31, 2008 and December 31, 2007.

The Frontier Fund

Equity Percentage Control of Trading Companies by Series

December 31, 2008


	Trading Company
Series	I		II		III		V		VI		VII		VIII		IX
Balanced	88.82	%	26.22	%					57.03	%	17.05	%			66.27	%
Winton			60.31	%
Currency					100.00	%
Winton/Graham			13.47	%			41.64	%
Campbell/Graham/Tiverton	11.18	%					58.36	%	42.97	%
Long/Only Commodity													100.00	%
Long/Short Commodity											82.95	%
Managed Futures Index															33.73	%

	100.00	%	100.00	%	100.00	%	100.00	%	100.00	%	100.00	%	100.00	%	100.00	%

F-49

The Frontier Fund

Equity Percentage Control of Trading Companies by Series

December 31, 2007


	Trading Company
Series	I		II		III		V		VI		VII		VIII		IX
Balanced	100.00	%	54.03	%					68.76	%	25.15	%			93.72	%
Winton			45.97	%
Currency					100.00	%
Dunn
Winton/Graham							18.81	%
Campbell/Graham/Tiverton							81.19	%	31.24	%
Long/Only Commodity													100.00	%
Long/Short Commodity											74.85	%
Managed Futures Index															6.28	%

	100.00	%	100.00	%	100.00	%	100.00	%	100.00	%	100.00	%	100.00	%	100.00	%

The Trading Companies 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.

•

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 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.

•

2. Significant Accounting Policies

The following are the significant accounting policies of the Trading Companies.

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

The Trading Companies have 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 held at Futures Commission Merchants—the Trading Companies deposit 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 Trading Companies earn interest income on its assets deposited with the broker.

F-50

Use of Estimates—The preparation of financial statements in conformity with generally accepted accounting principles requires management of the Trading Companies 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 Operations as a Net change in open trade equity, 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.

Distribution of Earnings— Each Trading Company distributes 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, 2008, 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.

Foreign Currency Transactions—The Trading Companies 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 Trading Companies 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, 2008 all investments in futures and forward contracts were based on quoted market prices. The valuation of investments in swap contracts (“Swaps”) involve estimates.

Income Taxes—No provision for income taxes has been made in these financial statements as the results of operations of the Trading Companies are consolidated with the Trust for income tax purposes. Each Limited Owner of the Trust 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. In June 2006, the Financial Accounting Standards Board (FASB) issued Interpretation N. 48 (FIN 48), Accounting for Uncertainty in Income Taxes, an Interpretation of FASB Statement No. 109. This Interpretation clarifies the accounting and financial statement reporting for uncertainty in Income taxes recognized by prescribing a recognition threshold and measurement attributable for a tax position taken or expected to be taken in a tax return. The Interpretation was originally effective for fiscal years beginning after December 15, 2006; however, on February 1, 2008, FASB issued Staff Position No. FIN 48-2, which deferred the effective date to annual financial statements for fiscal years beginning after December 15, 2007 for nonpublic companies. The adoption of FIN 48 was effective for the Trading Companies on January 1, 2007, and did not impact the Trading Companies’ financial position or results of operations.

Fees and Expenses—The Trading Companies incur no expenses other than trading commissions resulting from normal trading activity. All operating expenses such as legal, accounting, etc. are paid for, without reimbursement, by Equinox Fund Management, LLC, the managing owner of the Trust.

F-51

Recently Adopted 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. This statement emphasizes that fair value is a market-based measurement and should be determined based on assumptions that a market participant would use when pricing an asset or liability. This statement clarifies that market participant assumptions should include assumptions about risk as well as the effect of a restriction on the sale or use of an asset. Additionally, this statement establishes a fair value hierarchy that provides the highest priority to quoted prices in active markets and the lowest priority to unobservable data. This statement was effective for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. The adoption of SFAS 157 on January 1, 2008 did not have a material effect on the Trading Companies’ financial statements. (See Note 3 – Fair Value Measurements).

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 Trading Companies’ adoption of FIN 39-1 on January 1, 2008 did not have a material impact on the Trading Companies’ Financial Statements.

Recently Issued Accounting Pronouncements

In March 2008, the FASB issued Statement of Financial Accounting Standards No. 161, Disclosure about Derivative Instruments and Hedging Activities, an Amendment of FASB Statement No. 133 (“SFAS No. 161”). SFAS No. 161 is intended to improve transparency in financial reporting by requiring enhanced disclosures of an entity’s derivative instruments and hedging activities and their effects on the entity’s financial position, financial performance, and cash flows. SFAS No. 161 applies to all derivative instruments within the scope of SFAS No. 133. It also applies to non-derivative hedging instruments and all hedged items designated and qualifying as hedges under SFAS No. 133. SFAS No. 161 amends the current qualitative and quantitative disclosure requirements for derivative instruments and hedging activities set forth in SFAS No. 133 and generally increases the level of desegregations that will be required in an entity’s financial statements. SFAS No. 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk related contingent features in derivative agreements. SFAS No. 161 is effective prospectively for financial statements issued for fiscal years and interim periods beginning after November 15, 2008, or the Trading Companies’ first quarter ending March 31, 2009. As this pronouncement is only disclosure-related, it will not have an impact on the financial position and results of operations of the Trading Companies.

In October 2008, the FASB issued Staff Positions No. 157-3, Determining the Fair Value of a Financial Asset When the Market is Not Active (“FSP 157-3”). FSP 157-3 provides an illustrative example of how to determine the fair value of financial instruments in an inactive market. FSP 157-3 does not change the fair value measurement principles set forth in SFAS 157. Since adopting SFAS 157 in January 2008, the Trading Companies’ process for determining the fair value of its investments has been, and continues to be, consistent with the guidance provided in FSP 157-3. As a result, the adoption of FSP 157-3 did not affect the Trading Companies’ process for determining the fair value of its investments and did not have a material impact on the Trading Companies’ results of operations.

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

F-52

3. Fair Value Measurements

Effective January 1, 2008, the Trading Companies adopted the provisions of SFAS No. 157, “Fair Value Measurements,” for financial assets. The Trading Companies utilize valuation techniques that are consistent with the market approach per the requirement of SFAS 157. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable assets. The Trading Companies apply the valuation techniques in a consistent manner for each asset. Inputs to valuation techniques refer to the assumptions that market participants would use in pricing the assets. Inputs may be observable, meaning those that reflect the assumptions market participants would use in pricing the financial asset based on market data obtained from independent sources, or unobservable, meaning those that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the financial asset based on the best information available in the circumstances. In addition, the Frontier Trading Companies monitor counterparty credit risk and incorporates any identified risk factors when assigning input levels to underlying financial assets or liabilities. In that regard SFAS 157 establishes a fair value hierarchy for valuation inputs that gives the highest priority to quoted prices in active markets for identical financial assets and the lowest priority to unobservable inputs. The fair value hierarchy is as follows:

Level 1 Inputs

Unadjusted quoted prices in active markets for identical financial assets that the reporting entity has the ability to access at the measurement date.

Level 2 Inputs

Level 3 Inputs

The Trading Companies use the following methodologies to value instruments within its financial asset portfolio at fair value:

Trading Securities. These instruments include Open Trade Equity Positions (Futures Contracts and Currency Forwards) that are actively traded on public markets with quoted pricing for corroboration. Futures Contracts and Currency Forward are reported at fair value using Level 1 inputs. Trading Securities instruments further include Open Trade Equity that are quoted prices for identical or similar assets that are not traded on active markets. Trading Options are reported at fair value using Level 2 inputs

Swap Contracts. Certain Swap Contracts are reported utilizing Level 2 inputs. These Swap Contracts are reported at fair value based on daily reports from the swap counterparty that may be corroborated against independent valuation/rate of return information published and available on a daily recurring frequency. Other Swap Contracts are reported utilizing Level 3 Inputs. These Swap Contracts are reported at fair value based upon returns/values that are provided on less than a daily frequency from the swap counterparty, require additional internal financial modeling to develop pricing, and these swaps may not be corroborated against independent valuation/rate of return information published and available on a daily recurring frequency.

F-53

The following table summarizes the instruments that comprise the Trading Companies’ financial asset portfolio, by Company, measured at fair value on a recurring basis as of December 31, 2008, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:


December 31, 2008	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs	Total Fair Value
Frontier Trading Company I LLC
Open Trade Equity	6,423,431		16,412,796		—	22,836,227
Swap Contracts	—		—		53,072,356	53,072,356
Frontier Trading Company II LLC
Open Trade Equity	2,158,369		—		—	2,158,369
Frontier Trading Company III LLC
Open Trade Equity	12,810		—		—	12,810
Swap Contracts	—		—		9,122,121	9,122,121
Frontier Trading Company V LLC
Open Trade Equity	(111,526	)				(111,526	)
Frontier Trading Company VI LLC
Open Trade Equity	109,880		—		—	109,880
Frontier Trading Company VII, LLC
Open Trade Equity	10,753,763		—		—	10,753,763
Frontier Trading Company VIII, LLC
Swap Contracts	—		836,554		—	836,554
Frontier Trading Company IX, LLC
Open Trade Equity	235,288		(31,869	)	—	203,419


Swap Contracts	Frontier Trading Company I		Frontier Trading Company III
	For The Twelve Months Ending December 31, 2008		For The Twelve Months Ending December 31, 2008
Balance of recurring Level 3 assets as of January 1, 2008	$	32,329,392	$	—
Total gains or losses (realized/unrealized):
Included in earnings-realized		—		—
Included in earnings-unrealized		20,742,964		(2,877,879	)
Purchases, sales, issuances, and settlements, net		—		12,000,000
Transfers in and/or out of Level 3		—		—

Balance of recurring Level 3 assets as of December 31, 2008	$	53,072,356	$	9,122,121

4. Swaps

In addition to authorizing Trading Advisors to manage pre-determined investment levels of futures and forward contracts, certain Trading Companies of the Trust will strategically invest a portion or all of their assets in total return Swaps, selected at the direction of management. 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”

F-54

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 Trading Companies’ investment in Swaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements.

Management follows a procedure in selecting well-established financial institutions which management, 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 managements’ minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies.

Frontier Trading Company I LLC and Frontier Trading Company III LLC strategically invest assets in one or more Swaps linked to certain underlying investments or indices, at the direction of management. 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 Trading Companies.

Frontier Trading Company VIII, LLC has entered into various Swaps with one or more swap counterparties. The Swaps earn returns similar to returns of the Reuters/Jefferies CRB Index (the “RJ/CRB Index”), and the Jefferies Commodity Performance Index (the “JCPI”).

The Trading Companies have invested in the following Swaps as of December 31, 2008:


	Option Basket Balanced Series		Option Basket Currency Program			Reuters/ Jefferies CRB Index			Jefferies Commodity Performance Index
Trading Company:	I		III			VIII			VIII
Counterparty		Company A		Company B			Company C			Company C
Notional Amount	$	101,715,457	$	25,015,994		$	2,200,000		$	2,200,000
Termination Date		November 6, 2012		January 26, 2013			February 27, 2009			February 27, 2009
Investee Returns		Total Return		Total Return			Total Return			Total Return

Realized Gain	$	—	$	—		$	(1,371,769	)	$	(1,312,318	)

Unrealized Gain/(Loss)	$	20,742,953	$	(2,877,879	)	$	—		$	—
Fair Value 12/31/2008	$	53,072,356	$	9,122,121		$	430,720		$	405,834

F-55

5. Financial Highlights

The following information presents the financial highlights of the Trading Companies for the years ended December 31, 2008, 2007 and 2006.


	For the Years Ended December 31, 2008, 2007 and 2006
	Frontier Trading Company I LLC						Frontier Trading Company II LLC						Frontier Trading Company III LLC
	12/31/2008		12/31/2007		12/31/2006		12/31/2008		12/31/2007		12/31/2006		12/31/2008		12/31/2007		12/31/2006
Net Investment Gain (2)	0.91	%	3.27	%	4.05	%	2.40	%	4.57	%	3.02	%	1.70	%	5.13	%	4.46	%
Total Return (3)	124.05	%	-13.81	%	-11.82	%	265.68	%	244.46	%	136.53	%	24.52	%	-1.13	%	46.88	%

	Frontier Trading Company V LLC						Frontier Trading Company VI LLC						Frontier Trading Company VII, LLC (1)
	12/31/2008		12/31/2007		12/31/2006		12/31/2008		12/31/2007		12/31/2006		12/31/2008		12/31/2007		12/31/2006
Net Investment Gain (2)	2.23	%	5.36	%	4.85	%	1.80	%	2.26	%	4.47	%	2.22	%	3.23	%	3.03	%
Total Return (3)	190.02	%	52.24	%	-23.67	%	4.77	%	-38.78	%	-11.44	%	96.66	%	-167.03	%	-5.57	%

	Frontier Trading Company VIII, LLC (1)						Frontier Trading Company IX, LLC (1)
	12/31/2008		12/31/2007		12/31/2006		12/31/2008		12/31/2007		12/31/2006
Net Investment Gain (2)	2.16	%	5.31	%	4.12	%	2.45	%	4.71	%	3.53	%
Total Return (3)	-101.56	%	234.06	%	-77.05	%	301.40	%	32.30	%	-17.68	%

(1)	Trading Companies VII, VIII and IX commenced trading operations on February 24, 2006.

(2)	Ratio of net investment gain to average members’ equity, annualized. Net investment gain is “Interest-net”, only, as there are no expenses included with the Trading Companies.

(3)	Total returns have not been annualized.

6. Trading Activities and Related Risks

The purchase and sale of futures and options on futures contracts require margin deposits with Futures Commodities Merchants (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. Management 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-56

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. Management 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, options and forwards is comprised of the following:


	Futures Contracts, Options and Forwards
	2008			2007			2006
Gross Unrealized Gains	$	88,343,756		$	23,009,450		$	27,229,898
Gross Unrealized (Losses)		(52,380,814	)		(34,220,728	)		(13,517,509	)

Net Unrealized Gain (Loss)	$	35,962,942		($	11,211,278	)	$	13,712,389

Management has established procedures to actively monitor and minimize market and credit risks. Investors in units of the Frontier Fund Series bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

7. Indemnifications

8. Subsequent Events

None.

F-57

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 23, 2009

	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 23, 2009

	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.


	Winton/Graham Series,
	a Series of The Frontier Fund
	(Registrant)

Date: March 23, 2009	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.


	Winton Series,
	a Series of The Frontier Fund
	(Registrant)

Date: March 23, 2009	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.


	Campbell/Graham/Tiverton Series,
	a Series of The Frontier Fund
	(Registrant)

Date: March 23, 2009	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.


	Currency Series,
	a Series of The Frontier Fund
	(Registrant)

Date: March 23, 2009	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.


	Long Only Commodity Series,
	a Series of The Frontier Fund
	(Registrant))

Date: March 23, 2009	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/Short Commodity Series,
	a Series of The Frontier Fund
	(Registrant)

Date: March 23, 2009	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.


	Managed Futures Index Series,
	a Series of The Frontier Fund
	(Registrant)

Date: March 23, 2009	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

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