10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM 10-Q

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

For the Period Ended September 30, 2009

OR

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

Commission File Number 000-51274

THE FRONTIER FUND

FRONTIER DIVERSIFIED SERIES; FRONTIER DYNAMIC SERIES; FRONTIER LONG/SHORT

COMMODITY SERIES; FRONTIER MASTERS SERIES

BALANCED SERIES; CAMPBELL/GRAHAM/TIVERTON SERIES; CURRENCY SERIES; LONG

ONLY COMMODITY SERIES; MANAGED FUTURES INDEX SERIES; WINTON SERIES;

WINTON/GRAHAM SERIES

(Exact Name of Registrant as specified in its Charter)

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

c/o Equinox Fund Management, LLC

1660 Lincoln Street, Suite 100

Denver, Colorado 80264

(Address of Principal Executive Offices)

(303) 837-0600

(Registrant’s Telephone Number)

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

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

Frontier Diversified Series Class 1, Class 2 and Class 3 Units;

Frontier Dynamic Series Class 1, Class 2 and Class 3 Units;

Frontier Long/Short Commodity Series Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a Units;

Frontier Masters Series Class 1, Class 2 and Class 3 Units;

Balanced Series Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a Units;

Campbell/Graham/Tiverton Series Class 1, Class 2 and Class 3 Units;

Currency Series Class 1, Class 2 and Class 3 Units;

Long Only Commodity Series Class 1, Class 2 and Class 3 Units;

Managed Futures Index Series Class 1, Class 2 and Class 3 Units

Winton Series Class 1, Class 2 and Class 3 Units;

Winton/Graham Series Class 1, Class 2 and Class 3 Units

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 whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files)    Yes  ¨    No  ¨

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.

Large Accelerated Filer	¨	Accelerated Filer	¨
Non-Accelerated Filer	x  (Do not check if a smaller reporting company)	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

TABLE OF CONTENTS

PART I – FINANCIAL INFORMATION
Item 1.	Financial Statements
	Statements of Financial Condition as of September 30, 2009 (Unaudited) and December 31, 2008 (Audited)	4
	Condensed Schedule of Investments as of September 30, 2009 (Unaudited) and December 31, 2008 (Audited)	8
	Statements of Operations for the Three and Nine Months Ended September 30, 2009 and 2008 (Unaudited)	13
	Statements of Changes in Owners’ Capital for the Nine Months Ended September 30, 2009 (Unaudited)	21
	Notes to Financial Statements (Unaudited)	27
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	60
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	95
Item 4.	Controls and Procedures	105
PART II – OTHER INFORMATION
Item 1.	Legal Proceedings	106
Item 1A.	Risk Factors	106
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	106
Item 3.	Defaults Upon Senior Securities	106
Item 4.	Submission of Matters to a Vote of Security Holders	106
Item 5.	Other Information	106
Item 6.	Exhibits	107
SIGNATURES		110

2

Special Note About Forward-Looking Statements

THIS 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 SEPTEMBER 30, 2009, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

3

PART I. FINANCIAL INFORMATION

ITEM 1. Financial Statements

The Frontier Fund

Statements of Financial Condition

September 30, 2009 and December 31, 2008

	Frontier Diversified Series (1)				Frontier Dynamic Series (1)				Frontier Long/Short Commodity Series
	9/30/2009		12/31/2008		9/30/2009		12/31/2008		9/30/2009		12/31/2008
	(Unaudited)				(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents	$	14,790,336	$	—	$	699,529	$	—	$	1,353,178	$	—
U.S. Treasury securities, at fair value		5,260,038		—		3,019,383		—		8,886,927		10,554,571
Custom time deposits		25,157,828		—		14,441,173		—		42,504,591		42,008,320
Certificates of deposit		—		—		—		—		—		10,923,009
Receivable from futures commission merchants		—		—		—		—		47,198,942		—
Open trade equity		—		—		—		—		—		10,753,763
Swap contracts		10,036,654		—		11,401,259		—		—		—
Investments in unconsolidated trading companies		1,856,353		—		—		—		1,233,271		—
Prepaid service fees—Class 1		95,813		—		4,402		—		76,347		266,272
Interest receivable		24,060		—		13,811		—		40,649		159,949
Receivable from related parties		25,254		—		—		—		—		9,162
Other assets		—		—		640		—		—		11,333
Total Assets	$	57,246,336	$	—	$	29,580,197	$	—	$	101,293,905	$	74,686,379
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Payable to other Series	$	—	$	—	$	—	$	—	$	—	$	4,856,404
Payable to futures commission merchants		—		—		—		—		—		1,508,493
Open trade deficit		—		—		—		—		5,707,759		—
Inter-series payables		34,826,151		—		29,126,036		—		—		—
Pending owner additions		2,773,181		—		8,000		—		20,500		129,636
Owner redemptions payable		—		—		—		—		28,717		—
Incentive fees payable to Managing Owner		85,313		—		—		—		309,053		39,178
Management fees payable to Managing Owner		17,273		—		—		—		162,510		21,889
Interest fees payable to Managing Owner		11,600		—		6,205		—		15,062		329
Trading fees payable to Managing Owner		69,241		—		37,714		—		17,909		2,699
Trailing service fees payable to Managing Owner		191		—		—		—		50,917		5,319
Payables to related parties		2,133		—		—		—		19,001		249,809
Other liabilities		7,139		—		7,364		—		2,327		16,172
Total Liabilities		37,792,222		—		29,185,319		—		6,333,755		6,829,928
OWNERS’ CAPITAL
Non-Controlling Interests		—		—		—		—		27,712,627		10,124,156
Managing Owner Units—Class 1		27,212		—		26,553		—		—		—
Managing Owner Units—Class 1a		—		—		—		—		27,108		—
Managing Owner Units—Class 2		177,305		—		26,699		—		1,047,337		933,708
Managing Owner Units—Class 2a		—		—		—		—		27,249		—
Limited Owner Units—Class 1		10,448,019		—		225,822		—		45,829,180		46,525,406
Limited Owner Units—Class 1a		—		—		—		—		305,087		—
Limited Owner Units—Class 2		8,801,578		—		115,804		—		13,546,448		10,273,181
Limited Owner Units—Class 2a		—		—		—		—		260,437		—
Limited Owner Units—Class 3		—		—		—		—		6,204,677		—
Total Owners’ Capital		19,454,114		—		394,878		—		94,960,150		67,856,451
Total Liabilities and Owner’s Capital	$	57,246,336	$	—	$	29,580,197	$	—	$	101,293,905	$	74,686,379
Units Outstanding
Class 1		105,862		—		2,614		—		415,810		463,448
Class 1a		N/A		N/A		N/A		N/A		3,370		N/A
Class 2		90,237		—		1,468		—		119,056		102,552
Class 2a		N/A		N/A		N/A		N/A		2,903		N/A
Class 3		N/A		N/A		N/A		N/A		50,618		N/A
Net Asset Value per Unit
Class 1	$	98.95		N/A	$	96.56	$	—	$	110.22	$	100.39
Class 1a		N/A		N/A		N/A		N/A	$	98.57		N/A
Class 2	$	99.50		N/A	$	97.09	$	—	$	122.58	$	109.28
Class 2a		N/A		N/A		N/A		N/A	$	99.09		N/A
Class 3		N/A		N/A		N/A		N/A	$	122.58		N/A

(1) The Frontier Diversified Series and Frontier Dynamic Series began trading operations on June 9, 2009

The accompanying notes are an integral part of these statements.

4

The Frontier Fund

Statements of Financial Condition

September 30, 2009 and December 31, 2008

	Frontier Masters Series (1)				Balanced Series				Campbell/Graham/Tiverton Series
	9/30/2009		12/31/2008		9/30/2009		12/31/2008		9/30/2009		12/31/2008
	(Unaudited)				(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents	$	4,761,984	$	—	$	6,778,642	$	17,181,551	$	2,183,680	$	4,943,881
U.S. Treasury securities, at fair value		3,459,933		—		25,209,114		43,042,540		10,280,937		9,371,661
Custom time deposits		16,548,246		—		120,570,714		104,125,017		49,171,895		39,748,693
Certificates of deposit		—		—		—		34,091,481		—		12,866,065
Receivable from futures commission merchants		—		—		46,467,881		37,015,384		—		5,221,709
Open trade equity		—		—		24,770,538		23,149,527		—		—
Swap contracts		9,636,598		—		51,300,320		53,072,356		—		—
Investments in unconsolidated trading companies		1,204,624		—		39,610,131		19,528,370		21,036,365		8,559,112
Inter-series receivables		—		—		104,726,495		14,679,460		—		—
Prepaid service fees—Class 1		39,470		—		1,057,623		793,431		138,616		180,639
Interest receivable		15,826		—		115,307		492,171		47,025		112,684
Receivable from related parties		6,192		—		135,686		213,555		1,376		—
Other assets		—		—		962		55,234		748		—
Total Assets	$	35,672,873	$	—	$	420,743,413	$	347,440,077	$	82,860,642	$	81,004,444
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Open trade deficit	$	—	$	—	$	—	$	—	$	—	$	111,526
Inter-series payables		27,683,889		—		—		—		—		—
Pending owner additions		1,047,160		—		—		1,966,385		—		136,277
Owner redemptions payable		—		—		588,662		287,672		40,887		—
Incentive fees payable to Managing Owner		—		—		1,075,207		1,857,583		205,702		488,067
Management fees payable to Managing Owner		34,521		—		100,975		16,398		130,668		25,665
Interest fees payable to Managing Owner		7,146		—		211,451		63,212		76,539		16,616
Trading fees payable to Managing Owner		44,792		—		81,078		21,319		21,274		5,334
Trailing service fees payable to Managing Owner		271		—		248,181		60,329		89,325		23,635
Payables to related parties		146		—		—		14,451		—		27,118
Other liabilities		1,801		—		1,928		139,642		547		14,050
Total Liabilities		28,819,726		—		2,307,482		4,426,991		564,942		848,288
OWNERS’ CAPITAL
Non-Controlling Interests		—		—		16,211,186		9,330,079		—		2,391,227
Managing Owner Units—Class 1		27,037		—		—		—		—		—
Managing Owner Units—Class 1a		—		—		—		224		—		—
Managing Owner Units—Class 2		42,234		—		4,066,733		3,612,130		295,021		302,878
Managing Owner Units—Class 2a		—		—		149,502		120,378		—		—
Limited Owner Units—Class 1		4,246,584		—		302,366,242		256,550,829		71,804,566		69,957,155
Limited Owner Units—Class 1a		—		—		10,129,451		8,135,941		—		—
Limited Owner Units—Class 2		2,537,292		—		81,511,366		63,497,532		10,196,113		7,504,896
Limited Owner Units—Class 2a		—		—		3,335,654		1,765,973		—		—
Limited Owner Units—Class 3a		—		—		665,797		—		—		—
Total Owners’ Capital		6,853,147		—		418,435,931		343,013,086		82,295,700		80,156,156
Total Liabilities and Owner’s Capital	$	35,672,873	$	—	$	420,743,413	$	347,440,077	$	82,860,642	$	81,004,444
Units Outstanding
Class 1		43,468		—		2,469,306		2,049,590		681,952		632,847
Class 1a		N/A		N/A		92,753		72,586		N/A		N/A
Class 2		26,090		—		600,468		471,143		86,759		62,893
Class 2a		N/A		N/A		28,845		15,552		N/A		N/A
Class 3a		N/A		N/A		5,511		—		N/A		N/A
Net Asset Value per Unit
Class 1	$	98.32		N/A	$	122.45	$	125.17	$	105.29	$	110.54
Class 1a		N/A		N/A	$	109.21	$	112.09		N/A		N/A
Class 2	$	98.87		N/A	$	142.52	$	142.44	$	120.92	$	124.14
Class 2a		N/A		N/A	$	120.82	$	121.30		N/A		N/A
Class 3a		N/A		N/A	$	120.82		N/A		N/A		N/A

(1) The Frontier Masters Series began trading operations on June 9, 2009

The accompanying notes are an integral part of these statements.

5

The Frontier Fund

Statements of Financial Condition

September 30, 2009 and December 31, 2008

	Currency Series				Long Only Commodity Series				Managed Futures Index Series
	9/30/2009		12/31/2008		9/30/2009		12/31/2008		9/30/2009		12/31/2008
	(Unaudited)				(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents	$	375,590	$	—	$	229,088	$	—	$	315,330	$	400,351
U.S. Treasury securities, at fair value		3,045,397		3,770,011		614,075		1,241,289		490,562		140,111
Custom time deposits		14,565,593		12,616,208		2,937,010		2,425,332		2,346,270		1,630,221
Certificates of deposit		—		3,506,438		—		440,781		—		488,470
Receivable from futures commission merchants		477,496		670,927		—		—		—		—
Open trade equity		24,236		12,810		—		—		—		—
Swap Contracts		6,479,642		9,122,121		639,797		836,554		—		—
Investments in unconsolidated trading companies		—		—		—		—		1,117,433		770,967
Prepaid service fees—Class 1		772		33,974		2,993		11,435		6,971		8,848
Interest receivable		13,930		83,036		2,809		18,659		2,244		2,502
Receivable from related parties		438		444		—		63,133		39		—
Other assets		230		12,627		—		95		53		1,220
Total Assets	$	24,983,324	$	29,828,596	$	4,425,772	$	5,037,278	$	4,278,902	$	3,442,690
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Payable to other Series	$	—	$	279,582	$	—	$	983,248	$	—	$	—
Inter-series payables		13,090,419		14,679,460		—		—		—		—
Pending owner additions		—		10,000		—		—		—		30,000
Owner redemptions payable		18,306		—		—		—		5,615		—
Incentive fees payable to Managing Owner		2,171		—		—		—		—		—
Management fees payable to Managing Owner		7,787		2,260		4,562		4,167		7,232		5,102
Interest fees payable to Managing Owner		23,467		4,708		1,505		1,493		1,494		1,318
Trading fees payable to Managing Owner		6,981		2,039		1,771		1,665		1,777		1,276
Trailing service fees payable to Managing Owner		9,686		1,235		4,807		3,943		2,132		1,597
Payables to related parties		—		2,527		57		—		—		346
Other liabilities		165		—		25		289		7		—
Total Liabilities		13,158,982		14,981,811		12,727		994,805		18,257		39,639
OWNERS’ CAPITAL
Managing Owner Units—Class 2		612,951		687,357		122,978		110,092		269,806		77,559
Limited Owner Units—Class 1		9,277,783		11,900,185		3,528,604		3,254,226		2,021,313		2,266,977
Limited Owner Units—Class 2		1,933,608		2,259,243		761,463		678,155		1,969,526		1,058,515
Total Owners’ Capital		11,824,342		14,846,785		4,413,045		4,042,473		4,260,645		3,403,051
Total Liabilities and Owner’s Capital	$	24,983,324	$	29,828,596	$	4,425,772	$	5,037,278	$	4,278,902	$	3,442,690
Units Outstanding
Class 1		110,617		123,719		45,543		46,285		17,169		17,151
Class 2		26,127		26,959		10,643		10,587		17,739		8,132
Net Asset Value per Unit
Class 1	$	83.87	$	96.19	$	77.48	$	70.31	$	117.73	$	132.18
Class 2	$	97.47	$	109.30	$	83.10	$	74.46	$	126.24	$	139.70

The accompanying notes are an integral part of these statements.

6

The Frontier Fund

Statements of Financial Condition

September 30, 2009 and December 31, 2008

	Winton Series				Winton/Graham Series
	9/30/2009		12/31/2008		9/30/2009		12/31/2008
	(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents	$	1,663,120	$	1,283,671	$	1,519,887	$	10,000,528
U.S. Treasury securities, at fair value		9,869,092		12,899,592		8,634,882		1,424,286
Custom time deposits		47,202,114		45,207,225		41,299,106		26,043,287
Certificates of deposit		—		14,085,571		—		8,675,748
Receivable from futures commission merchants		—		9,653,595		16,159,866		—
Open trade equity		—		2,158,369		1,361,413		—
Investments in unconsolidated trading companies		3,322,573		—		2,536,697		4,342,658
Prepaid service fees—Class 1		—		89,142		250,218		365,708
Interest receivable		45,141		54,314		39,496		157,574
Receivable from related parties		—		64,844		8,284		20,000
Other assets		781		—		624		—
Total Assets	$	62,102,821	$	85,496,323	$	71,810,473	$	51,029,789
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Pending owner additions	$	—	$	—	$	—	$	710,128
Owner redemptions payable		45,030		—		108,949		—
Incentive fees payable to Managing Owner		—		—		256,842		76,168
Management fees payable to Managing Owner		89,324		17,845		108,377		12,020
Interest fees payable to Managing Owner		58,962		12,314		59,460		15,101
Trading fees payable to Managing Owner		18,085		4,462		16,368		2,204
Trailing service fees payable		69,115		17,576		35,200		5,634
Payables to related parties		472		25,597		—		5,124
Other liabilities		22,370		35,858		416		8,181
Total Liabilities		303,358		113,652		585,612		834,560
OWNERS’ CAPITAL
Non-Controlling Interests		—		11,355,645		8,577,592		—
Managing Owner Units—Class 1		—		1,304		—		—
Managing Owner Units—Class 2		453,954		277,935		55,013		56,315
Limited Owner Units—Class 1		51,465,175		62,282,355		49,794,837		35,760,835
Limited Owner Units—Class 2		9,880,334		11,465,432		12,797,419		14,378,079
Total Owners’ Capital		61,799,463		85,382,671		71,224,861		50,195,229
Total Liabilities and Owner’s Capital	$	62,102,821	$	85,496,323	$	71,810,473	$	51,029,789
Units Outstanding
Class 1		435,704		477,605		448,829		307,804
Class 2		79,664		83,855		100,063		109,779
Net Asset Value per Unit
Class 1	$	118.12	$	130.41	$	110.94	$	116.18
Class 2	$	129.72	$	140.04	$	128.44	$	131.49

The accompanying notes are an integral part of these statements.

7

The Frontier Fund

Condensed Schedule of Investments

September 30, 2009 (Unaudited)

	Frontier Diversified Series				Frontier Dynamic Series				Frontier Long/Short Commodity Series					Frontier Masters 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.)	$	—	0.00	%	$	—	0.00	%	$	571,839		0.60	%	$	—	0.00	%
Various currency futures contracts (U.S.)		—	0.00	%		—	0.00	%		73,158		0.08	%		—	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	%		6,928,606		7.30	%		—	0.00	%
Crude Oil, Light 12/1/2009 (Number of Contracts: 791)		—	0.00	%		—	0.00	%		3,363,910		3.54	%		—	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	%		31,453		0.03	%		—	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	%		148,420		0.16	%		—	0.00	%
Various soft futures contracts (U.S.)		—	0.00	%		—	0.00	%		(742,366	)	-0.78	%		—	0.00	%
Coffee @ CSCE Settling 3/1/2010 (Number of Contracts: 417)		—	0.00	%			0.00	%		(1,430,831	)	-1.51	%		—	0.00	%
Various soft futures contracts (Far East)		—	0.00	%		—	0.00	%		(6,202	)	-0.01	%		—	0.00	%
Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		46,493		0.05	%		—	0.00	%
Various soft futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (U.S.)		—	0.00	%		—	0.00	%		150,693		0.16	%		—	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	%		(2,954	)	0.00	%		—	0.00	%
Total Long Futures Contracts	$	—	0.00	%	$	—	0.00	%	$	9,132,219		9.62	%	$	—	0.00	%
LONG OPTIONS *	$	—	0.00	%	$	—	0.00	%		62,538		0.07	%	$	—	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	%	$	(313,868	)	-0.33	%	$	—	0.00	%
Various currency futures contracts (U.S.)		—	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 (U.S.)		—	0.00	%		—	0.00	%		(12,524,752	)	-13.19	%		—	0.00	%
Crude Oil, Light 11/1/2009 (Number of Contracts: 791)		—	0.00	%		—	0.00	%		(3,456,870	)	-3.64	%		—	0.00	%
Various interest rates futures contracts (US)		—	0.00	%		—	0.00	%		(68,891	)	-0.07	%		—	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	%		(936,950	)	-0.99	%		—	0.00	%
Coffee @ CSCE Settling 12/1/2009 (Number of Contracts: 587)		—	0.00	%		—	0.00	%		2,498,419		2.63	%		—	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	%		(470	)	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 Short Futures Contracts	$	—	0.00	%	$	—	0.00	%	$	(14,803,382	)	-15.59	%	$	—	0.00	%
SHORT OPTIONS *	$	—	0.00	%	$	—	0.00	%	$	(99,134	)	-0.10	%	$	—	0.00	%
SHORT CURRENCY FORWARDS *	$	—	0.00	%	$	—	0.00	%	$	—		0.00	%	$	—	0.00	%
Total Open Trade Equity	$	—			$	—			$	(5,707,759	)	-6.00	%	$	—
SWAPS (1)	$	10,036,654	51.59	%	$	11,401,259	2887.29	%	$	—		0.00	%	$	9,636,598	140.62	%

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) (2)		2,619,396	13.46	%		1,503,594	380.77	%		4,425,516	4.66	%		1,722,979	25.14	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		2,640,642	13.57	%		1,515,789	383.86	%		4,461,411	4.70	%		1,736,954	25.35	%
		$	5,260,038	27.03	%	$	3,019,383	764.63	%	$	8,886,927	9.36	%	$	3,459,933	50.49	%

* Except for those items disclosed, 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.

(2) Assets have been allocated to Series based on net assets which include inter-Series investments. Percentages are computed using net assets excluding inter-Series investments.

The accompanying notes are an integral part of these statements.

Additional Disclosure on U.S. Government Securities	Face Value	Face Value	Face Value		Face Value
US Treasury Note 3.875% due 02/15/2013	2,437,356	1,399,099		4,117,957	1,603,237
US Treasury Note 4.000% due 02/15/2015	2,450,712	1,406,765		4,140,521	1,612,022
	4,888,068	2,805,864	$	8,258,478	3,215,259
	Cost	Cost	Cost		Cost
US Treasury Note 3.875% due 02/15/2013	2,545,895	1,461,402		4,301,334	1,674,632
US Treasury Note 4.000% due 02/15/2015	2,538,593	1,457,211		4,288,997	1,669,828
	5,084,488	2,918,613	$	8,590,331	3,344,460

8

The Frontier Fund

Condensed Schedule of Investments

September 30, 2009 (Unaudited)

	Balanced Series					Campbell/Graham/Tiverton Series				Currency Series					Long Only 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.)	$	11,052,660		2.64	%	$	—	0.00	%	$	—		0.00	%	$	—	0.00	%
Various base metals futures contracts (Far East)		(49,930	)	-0.01	%		—	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (U.S.)		555,621		0.13	%		—	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 (U.S.)		866,874		0.21	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (U.S.)		386,612		0.09	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Canada)		79,176		0.02	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Europe)		1,279,493		0.31	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Far East)		128,636		0.03	%		—	0.00	%		—		0.00	%		—	0.00	%
Various precious metals futures contracts (U.S.)		2,553,680		0.61	%		—	0.00	%		—		0.00	%		—	0.00	%
Various soft futures contracts (U.S.)		769,785		0.18	%		—	0.00	%		—		0.00	%		—	0.00	%
Various soft futures contracts (Europe)		192,432		0.05	%		—	0.00	%		—		0.00	%		—	0.00	%
Various soft futures contracts (Canada)		—		0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (U.S.)		(77,571	)	-0.02	%		—	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)		106,482		0.02	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Far East)		43,408		0.01	%		—	0.00	%		—		0.00	%		—	0.00	%
Total Long Futures Contracts	$	17,887,359		4.27	%	$	—	0.00	%	$	—		0.00	%	$	—	0.00	%
LONG OPTIONS *	$	16,334,807		3.90	%	$	—	0.00	%	$	881		0.01	%	$	—	0.00	%
LONG CURRENCY FORWARDS *	$	4,951,868		1.18	%	$	—	0.00	%	$	155,363		1.31	%	$	—	0.00	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	(9,027,108	)	-2.16	%	$	—	0.00	%	$	—		0.00	%	$	—	0.00	%
Various currency futures contracts (US)		(12,110	)	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)		(1,509	)	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various energy futures contracts (U.S.)		(1,116,974	)	-0.27	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (U.S.)		(36,139	)	-0.01	%		—	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)		27,136		0.01	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Far East)		(15,783	)	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various precious metals futures contracts (U.S.)		(785,492	)	-0.19	%		—	0.00	%		—		0.00	%		—	0.00	%
Various soft futures contracts (U.S.)		(25,961	)	-0.01	%		—	0.00	%		—		0.00	%		—	0.00	%
Various soft futures contracts (Canada)		—		0.00	%		—	0.00	%				0.00	%			0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (U.S.)		23,575		0.01	%		—	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)		(1,008	)	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Far East)		63,833		0.02	%		—	0.00	%		—		0.00	%		—	0.00	%
Total Short Futures Contracts	$	(10,907,538	)	-2.61	%	$	—	0.00	%	$	—		0.00	%	$	—	0.00	%
SHORT OPTIONS *	$	(2,748,027	)	-0.66	%	$	—	0.00	%	$	367		0.00	%	$	—	0.00	%
SHORT CURRENCY FORWARDS *	$	(747,931	)	-0.18	%	$	—	0.00	%	$	(132,375	)	-1.12	%	$	—	0.00	%
Total Open Trade Equity	$	24,770,538		5.92	%	$	—	0.00	%	$	24,236		0.20	%	$	—	0.00	%
SWAPS (1)	$	51,300,320		12.26	%	$	—	0.00	%	$	6,479,642		54.80	%	$	639,797	14.50	%

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 )		12,553,646	3.00	%		5,119,706	6.22	%		1,516,548	12.83	%		305,797	6.93	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039 )		12,655,468	3.02	%		5,161,231	6.27	%		1,528,849	12.93	%		308,278	6.99	%
		$	25,209,114	6.02	%	$	10,280,937	12.49	%	$	3,045,397	25.76	%	$	614,075	13.92	%

* 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.

Additional Disclosure on U.S. Government Securities	Face Value	Face Value		Face Value		Face Value
US Treasury Note 3.875% due 02/15/2013	11,681,207		4,763,902		1,411,153		284,545
US Treasury Note 4.000% due 02/15/2015	11,745,214		4,790,006		1,418,885		286,105
	23,426,421	$	9,553,908	$	2,830,038	$	570,650
	Cost	Cost		Cost		Cost
US Treasury Note 3.875% due 02/15/2013	12,201,386		4,976,045		1,473,993		297,217
US Treasury Note 4.000% due 02/15/2015	12,166,390		4,961,772		1,469,766		296,364
	24,367,776	$	9,937,817	$	2,943,759	$	593,581

9

The Frontier Fund

Condensed Schedule of Investments

September 30, 2009 (Unaudited)

	Managed Futures Index Series				Winton Series				Winton/Graham Series
Description	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	%	$	(41,391	)	-0.06	%
Various currency futures contracts (U.S.)		—	0.00	%		—	0.00	%		2,638		0.00	%
Various currency futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%
Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%
Various currency futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		—	0.00	%		—	0.00	%		15,465		0.02	%
Various energy futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		—	0.00	%		—	0.00	%		28,688		0.04	%
Various interest rates futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		—	0.00	%		—	0.00	%		387,982		0.54	%
Various interest rates futures contracts (Far East)		—	0.00	%		—	0.00	%		(38,426	)	-0.05	%
Various precious metals futures contracts (U.S.)		—	0.00	%		—	0.00	%		76,930		0.11	%
Various soft futures contracts (U.S.)		—	0.00	%		—	0.00	%		121,125		0.17	%
Various soft futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%
Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		104,773		0.15	%
Various soft futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		—	0.00	%		—	0.00	%		9,172		0.01	%
Various stock index futures contracts (Canada)		—	0.00	%		—	0.00	%		(9,354	)	-0.01	%
Various stock index futures contracts (Europe)		—	0.00	%		—	0.00	%		(18,330	)	-0.03	%
Various stock index futures contracts (Far East)		—	0.00	%		—	0.00	%		(130,643	)	-0.18	%
Total Long Futures Contracts	$	—	0.00	%	$	—	0.00	%	$	508,629		0.71	%
LONG OPTIONS *	$	—	0.00	%	$	—	0.00	%	$	—		0.00	%
LONG CURRENCY FORWARDS *	$	—	0.00	%	$	—	0.00	%	$	(65,112	)	-0.09	%
SHORT FUTURES CONTRACTS
Various base metals futures contracts (U.S.)	$	—	0.00	%	$	—	0.00	%	$	(30,643	)	-0.04	%
Various currency futures contracts (U.S.)		—	0.00	%		—	0.00	%		2,488		0.00	%
Various currency futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%
Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		(48	)	0.00	%
Various currency futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		—	0.00	%		—	0.00	%		(156,618	)	-0.22	%
Various interest rates futures contracts (US)		—	0.00	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		—	0.00	%		—	0.00	%		(2,422	)	0.00	%
Various interest rates futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		—	0.00	%		—	0.00	%		4,510		0.01	%
Various precious metals futures contracts (U.S.)		—	0.00	%		—	0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		—	0.00	%		—	0.00	%		218,825		0.31	%
Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		—	0.00	%		—	0.00	%		28,870		0.04	%
Various stock index futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%
Total Short Futures Contracts	$	—	0.00	%	$	—	0.00	%	$	64,962		0.09	%
SHORT OPTIONS *	$	—	0.00	%	$	—	0.00	%	$	—		0.00	%
SHORT CURRENCY FORWARDS *	$	—	0.00	%	$	—	0.00	%	$	852,934		1.20	%
Total Open Trade Equity	$	—	0.00	%	$	—	0.00	%	$	1,361,413		1.91	%
SWAPS (1)	$	—	0.00	%	$	—	0.00	%	$	—		0.00	%

U.S. TREASURY SECURITIES

FACE VALUE		Fair Value				Fair Value				Fair Value
$36,500,000.00	US Treasury Note 3.875% due 02/15/2013 (Cost $38,125,391)		244,290	5.73	%		4,914,615	7.95	%		4,300,002	6.04	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039)		246,272	5.78	%		4,954,477	8.02	%		4,334,880	6.09	%
		$	490,562	11.51	%	$	9,869,092	15.97	%	$	8,634,882	12.13	%

* Except for those items disclosed, 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.

Additional Disclosure on U.S. Government Securities	Face Value		Face Value		Face Value
US Treasury Note 3.875% due 02/15/2013		227,313		4,573,065		4,001,166
US Treasury Note 4.000% due 02/15/2015		228,558		4,598,123		4,023,090
	$	455,871	$	9,171,188	$	8,024,256
	Cost		Cost		Cost
US Treasury Note 3.875% due 02/15/2013		237,435		4,776,709		4,179,343
US Treasury Note 4.000% due 02/15/2015		236,755		4,763,008		4,167,356
	$	474,190	$	9,539,717	$	8,346,699

10

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	%

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.

The accompanying notes are an integral part of these statements.

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

11

The Frontier Fund

Condensed Schedule of Investments

December 31, 2008

	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	%	$	(5,895,303	)	-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	%

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.

The accompanying notes are an integral part of these statements.

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

12

The Frontier Fund

Statements of Operations

For the Three Months Ended September 30, 2009 and 2008

	Frontier Diversified Series (1) (Unaudited)					Frontier Dynamic Series (1) (Unaudited)					Frontier Long/Short Commodity Series (Unaudited)
	9/30/2009			9/30/2008		9/30/2009			9/30/2008		9/30/2009			9/30/2008
Investment Income:
Interest—net	$	173,574		$	—	$	129,833		$	—	$	292,640		$	262,117
Total Income		173,574			—		129,833			—		292,640			262,117
Expenses:
Incentive Fees		103,872			—		—			—		394,978			215,120
Management Fees		61,573			—		—			—		756,119			522,660
Service Fees—Class 1		37,029			—		19,136			—		355,681			383,515
Trading Fees		238,385			—		175,705			—		84,684			74,726
Total Expenses		440,859			—		194,841			—		1,591,462			1,196,021
Investment gain/(loss)—net		(267,285	)		—		(65,008	)		—		(1,298,822	)		(933,904	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		—			—		—			—		53,306,171			2,449,546
Net change in open trade equity		—			—		—			—		(51,160,135	)		(4,358,191	)
Net unrealized gain/(loss) on swap contracts		129,598			—		8,640			—		—			—
Net unrealized gain/(loss) on treasuries		44,283			—		28,009			—		65,992			403,667
Trading commissions		—			—		—			—		(819,160	)		(306,310	)
Earnings in investments in inter-series payables		(451,702	)		—		26,501			—		—			—
Equity in earnings/(loss) from trading companies		693,855			—		—			—		266,024			—
Net gain/(loss) on investments		416,034			—		63,150			—		1,658,892			(1,811,288	)
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	148,749		$	—	$	(1,858	)	$	—	$	360,070		$	(2,745,192	)
Less: Operations attributable to Non-controlling interests		—			—		—			—		(424,637	)		1,604,993
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	148,749		$	—	$	(1,858	)	$	—	$	784,707		$	(4,350,185	)
NET INCOME/(LOSS) PER UNIT
Class 1	$	0.84			N/A	$	(0.51	)		N/A	$	1.04		$	(8.17	)
Class 1a		N/A			N/A		N/A			N/A	$	1.04			N/A
Class 2	$	1.29			N/A	$	(0.09	)		N/A	$	2.06		$	(7.91	)
Class 2a		N/A			N/A		N/A			N/A	$	1.45			N/A
Class 3		N/A			N/A		N/A			N/A	$	2.07			N/A

(1) The Frontier Diversified Series and Frontier Dynamic Series began trading operations on June 9, 2009

The accompanying notes are an integral part of these statements.

13

The Frontier Fund

Statements of Operations

For the Three Months Ended September 30, 2009 and 2008

	Frontier Masters (1) (Unaudited)					Balanced Series (Unaudited)						Campbell/Graham/Tiverton Series (Unaudited)
	9/30/2009			9/30/2008		9/30/2009			9/30/2008			9/30/2009			9/30/2008
Investment Income:
Interest—net	$	127,057		$	—	$	304,459		$	196,535		$	70,057		$	50,305
Total Income		127,057			—		304,459			196,535			70,057			50,305
Expenses:
Incentive Fees		—			—		1,617,711			1,136,659			218,702			121,505
Management Fees		114,063			—		258,424			320,409			577,342			516,447
Service Fees—Class 1		22,973			—		2,346,679			1,664,320			537,325			448,880
Trading Fees		173,101			—		426,936			469,193			101,597			104,899
Total Expenses		310,137			—		4,649,750			3,590,581			1,434,966			1,191,731
Investment gain/(loss)—net		(183,080	)		—		(4,345,291	)		(3,394,046	)		(1,364,909	)		(1,141,426	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		—			—		(173,572	)		(5,135,240	)		—			(29,190,201	)
Net change in open trade equity		—			—		11,495,083			3,400,142			—			27,382,678
Net unrealized gain/(loss) on swap contracts		(191,513	)		—		463,817			1,096,125			—			—
Net unrealized gain/(loss) on treasuries		28,097			—		268,598			1,697,797			76,368			419,574
Trading commissions		—			—		(440,022	)		(201,029	)		—			(33,578	)
Earnings in investments in inter-series receivables		—			—		141,506			(1,256,626	)		—			—
Earnings in investments in inter-series payables		(222,585	)		—		—						—			—
Equity in earnings/(loss) from trading companies		651,946			—		220,063			(1,501,740	)		3,933,641			87,138
Net gain/(loss) on investments		265,945			—		11,975,473			(1,900,571	)		4,010,009			(1,334,389	)
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	82,865		$	—	$	7,630,182		$	(5,294,617	)	$	2,645,100		$	(2,475,815	)
Less: Operations attributable to Non-controlling interests		—			—		2,478,828			(38,902	)		—			(573,067	)
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	82,865		$	—	$	5,151,354		$	(5,255,715	)	$	2,645,100		$	(1,902,748	)
NET INCOME/(LOSS) PER UNIT
Class 1	$	0.35			N/A	$	1.39		$	(2.43	)	$	3.26		$	(2.91	)
Class 1a		N/A			N/A	$	1.07		$	(2.21	)		N/A			N/A
Class 2	$	0.79			N/A	$	2.68		$	(1.77	)	$	4.63		$	(2.39	)
Class 2a		N/A			N/A	$	2.09		$	(1.54	)		N/A			N/A
Class 3		N/A			N/A	$	2.08			N/A			N/A			N/A

(1) The Frontier Masters Series began trading operations on June 9, 2009

The accompanying notes are an integral part of these statements.

14

The Frontier Fund

Statements of Operations

For the Three Months Ended September 30, 2009 and 2008

	Currency Series (Unaudited)						Long Only Commodity Series (Unaudited)						Managed Futures Index Series (Unaudited)
	9/30/2009			9/30/2008			9/30/2009			9/30/2008			9/30/2009			9/30/2008
Investment Income:
Interest—net	$	21,513		$	15,163		$	19,060		$	31,699		$	19,088		$	8,831
Total Income		21,513			15,163			19,060			31,699			19,088			8,831
Expenses:
Management Fees		38,751			41,643			13,603			21,859			21,711			9,295
Service Fees—Class 1		72,949			94,503			17,712			31,286			10,670			7,293
Trading Fees		31,210			35,478			5,423			8,742			5,491			2,323
Total Expenses		142,910			171,624			36,738			61,887			37,872			18,911
Investment gain/(loss)—net		(121,397	)		(156,461	)		(17,678	)		(30,188	)		(18,784	)		(10,080	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		(103,475	)		66,774			—			—			—			—
Net realized gain/(loss) on swap contracts		—			142,148			152,294			(2,035,103	)		—			—
Net change in open trade equity		32,902			(63,121	)		—			—			—			—
Net unrealized gain/(loss) on swap contracts		(892,495	)		(2,686,817	)		—			—			—			—
Net unrealized gain/(loss) on treasuries		22,748			188,362			4,481			48,689			3,933			12,510
Earnings in investments in inter-series payables		506,280			1,256,626			—			—			—			—
Equity in earnings/(loss) from trading companies		—			—			—			—			(86,313	)		(126,040	)
Net gain/(loss) on investments		(434,040	)		(1,096,028	)		156,775			(1,986,414	)		(82,380	)		(113,530	)
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	(555,437	)	$	(1,252,489	)	$	139,097		$	(2,016,602	)	$	(101,164	)	$	(123,610	)
NET INCOME/(LOSS) PER UNIT
Class 1	$	(3.91	)	$	(8.21	)	$	2.35		$	(35.13	)	$	(3.08	)	$	(7.36	)
Class 2	$	(3.77	)	$	(8.37	)	$	2.75		$	(36.25	)	$	(2.65	)	$	(7.25	)

The accompanying notes are an integral part of these statements.

15

The Frontier Fund

Statements of Operations

For the Three Months Ended September 30, 2009 and 2008

	Winton Series (Unaudited)						Winton/Graham Series (Unaudited)
	9/30/2009			9/30/2008			9/30/2009			9/30/2008
Investment Income:
Interest—net	$	53,124		$	54,392		$	55,724		$	20,175
Total Income		53,124			54,392			55,724			20,175
Expenses:
Incentive Fees		—			68,029			256,842			(4,296	)
Management Fees		328,132			309,407			438,658			169,037
Service Fees—Class 1		387,216			459,437			367,929			153,363
Trading Fees		76,757			77,496			76,851			33,823
Total Expenses		792,105			914,369			1,140,280			351,927
Investment gain/(loss)—net		(738,981	)		(859,977	)		(1,084,556	)		(331,752	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		—			(4,411,169	)		4,142,722			—
Net change in open trade equity		—			(5,110,363	)		1,987,351			—
Net unrealized gain/(loss) on treasuries		54,429			459,506			58,162			179,143
Trading commissions		—			(38,011	)		(156,002	)		—
Equity in earnings/(loss) from trading companies		1,101,443						492,187			(1,635,848	)
Net gain/(loss) on investments		1,155,872			(9,100,037	)		6,524,420			(1,456,705	)
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	416,891		$	(9,960,014	)	$	5,439,864		$	(1,788,457	)
Less: Operations attributable to Non-controlling interests		—			(4,169,514	)		2,782,172			—
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	416,891		$	(5,790,500	)	$	2,657,692		$	(1,788,457	)
NET INCOME/(LOSS) PER UNIT
Class 1	$	0.68		$	(9.90	)	$	4.49		$	(7.58	)
Class 2	$	1.72		$	(9.52	)	$	6.14		$	(7.57	)

The accompanying notes are an integral part of these statements.

16

The Frontier Fund

Statements of Operations

For the Nine Months Ended September 30, 2009 and 2008

	Frontier Diversified Series (1) (Unaudited)					Frontier Dynamic Series (1) (Unaudited)					Frontier Long/Short Commodity Series (Unaudited)
	9/30/2009			9/30/2008		9/30/2009			9/30/2008		9/30/2009			9/30/2008
Investment Income:
Interest—net	$	208,849		$	—	$	160,028		$	—	$	936,679		$	681,270
Total Income		208,849			—		160,028			—		936,679			681,270
Expenses:
Incentive Fees		145,898			—		—			—		1,660,433			1,458,260
Management Fees		74,811			—		—			—		2,056,185			1,155,599
Service Fees—Class 1		42,281			—		23,633			—		1,083,458			963,659
Trading Fees		287,854			—		218,030			—		259,232			164,841
Total Expenses		550,844			—		241,663			—		5,059,308			3,742,359
Investment gain/(loss)—net		(341,995	)		—		(81,635	)		—		(4,122,629	)		(3,061,089	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		—			—		15			—		41,623,183			(8,102,626	)
Net change in open trade equity		—			—		—			—		(20,647,197	)		21,219,824
Net unrealized gain/(loss) on swap contracts		(243,013	)		—		(873,506	)		—		—			—
Net unrealized gain/(loss) on treasuries		102,544			—		77,722			—		(299,932	)		187,885
Trading commissions		—			—		—			—		(1,827,550	)		(773,889	)
Earnings in investments in inter-series payables		173,849			—		873,964			—		—			—
Equity in earnings/(loss) from trading companies		456,353			—		—			—		233,271			—
Net gain/(loss) on investments		489,733			—		78,195			—		19,081,775			12,531,194
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	147,738		$	—	$	(3,440	)	$	—	$	14,959,146		$	9,470,105
Less: Operations attributable to Non-controlling interests		—			—		—			—		8,757,728			9,516,808
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	147,738		$	—	$	(3,440	)	$	—	$	6,201,418		$	(46,703	)
NET INCOME/(LOSS) PER UNIT
Class 1	$	(1.05	)		N/A	$	(3.44	)		N/A	$	9.83		$	2.92
Class 1a		N/A			N/A		N/A			N/A	$	(1.43	)		N/A
Class 2	$	(0.50	)		N/A	$	(2.91	)		N/A	$	13.30		$	5.59
Class 2a		N/A			N/A		N/A			N/A	$	(0.91	)		N/A
Class 3		N/A			N/A		N/A			N/A	$	(0.12	)		N/A

(1) The Frontier Diversified Series and Frontier Dynamic Series began trading operations on June 9, 2009

The accompanying notes are an integral part of these statements.

17

The Frontier Fund

Statements of Operations

For the Nine Months Ended September 30, 2009 and 2008

	Frontier Masters Series(1) (Unaudited)					Balanced Series (Unaudited)						Campbell/Graham/Tiverton Series (Unaudited)
	9/30/2009			9/30/2008		9/30/2009			9/30/2008			9/30/2009			9/30/2008
Investment Income:
Interest—net	$	155,405		$	—	$	707,619		$	1,030,977		$	267,239		$	236,839
Total Income		155,405			—		707,619			1,030,977			267,239			236,839
Expenses:
Incentive Fees		9,073			—		5,567,945			8,755,231			216,562			1,157,276
Management Fees		139,150			—		1,115,570			1,094,981			1,677,638			1,301,201
Service Fees—Class 1		27,199			—		6,776,656			4,768,834			1,606,061			1,297,045
Trading Fees		212,853			—		1,489,970			1,455,128			319,092			298,574
Total Expenses		388,275			—		14,950,141			16,074,174			3,819,353			4,054,096
Investment gain/(loss)—net		(232,870	)		—		(14,242,522	)		(15,043,197	)		(3,552,114	)		(3,817,257	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		—			—		7,833,223			18,096,994			(1,617,478	)		(21,610,207	)
Net realized gain/(loss) on swap contracts		—			—		—			(1,429,946	)		—			—
Net change in open trade equity		—			—		(1,580,619	)		18,541,312			(760,231	)		28,274,595
Net unrealized gain/(loss) on swap contracts		(381,111	)		—		(1,772,033	)		11,895,301			—			—
Net unrealized gain/(loss) on treasuries		75,024			—		(2,012,107	)		575,879			(405,814	)		129,849
Trading commissions		—			—		(1,023,480	)		(1,111,955	)		(99,835	)		(111,822	)
Earnings in investments in inter-series receivables		—			—		(2,952,965	)		(1,039,282	)		—			—
Earnings in investments in inter-series payables		316,111			—		—			—			—			—
Equity in earnings/(loss) from trading companies		304,624			—		6,916,896			8,044,771			1,327,034			2,739,024
Net gain/(loss) on investments		314,648			—		5,408,915			53,573,074			(1,556,324	)		9,421,439
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	81,778		$	—	$	(8,833,607	)	$	38,529,877		$	(5,108,438	)	$	5,604,182
Less: Operations attributable to Non-controlling interests		—			—		(1,443,690	)		9,664,065			(1,336,526	)		1,820,727
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	81,778		$	—	$	(7,389,917	)	$	28,865,812		$	(3,771,912	)	$	3,783,455
NET INCOME/(LOSS) PER UNIT
Class 1	$	(1.68	)		N/A	$	(2.72	)	$	11.58		$	(5.25	)	$	5.56
Class 1a		N/A			N/A	$	(2.88	)	$	10.28			N/A			N/A
Class 2	$	(1.13	)		N/A	$	0.08		$	15.66		$	(3.22	)	$	8.48
Class 2a		N/A			N/A	$	(0.48	)	$	13.20			N/A			N/A
Class 3a		N/A			N/A	$	(1.15	)		N/A			N/A			N/A

(1) The Frontier Masters Series began trading operations on June 9, 2009

The accompanying notes are an integral part of these statements.

18

The Frontier Fund

Statements of Operations

For the Nine Months Ended September 30, 2009 and 2008

	Currency Series (Unaudited)						Long Only Commodity Series (Unaudited)						Managed Futures Index Series (Unaudited)
	9/30/2009			9/30/2008			9/30/2009			9/30/2008			9/30/2009			9/30/2008
Investment Income:
Interest—net	$	56,439		$	68,817		$	55,508		$	91,076		$	51,136		$	20,959
Total Income		56,439			68,817			55,508			91,076			51,136			20,959
Expenses:
Management Fees		120,235			124,129			38,594			61,241			56,805			21,635
Service Fees—Class 1		236,328			259,902			50,304			88,818			31,533			16,797
Trading Fees		110,991			87,451			15,413			24,493			14,694			5,406
Total Expenses		467,554			471,482			104,311			174,552			103,032			43,838
Investment gain/(loss)—net		(411,115	)		(402,665	)		(48,803	)		(83,476	)		(51,896	)		(22,879	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		(190,562	)		88,091			—			—			—			—
Net realized gain/(loss) on swap contracts		—			1,047,794			510,253			(364,033	)		—			—
Net change in open trade equity		7,757			(70,306	)		—			—			—			—
Net unrealized gain/(loss) on swap contracts		(2,642,481	)		(2,686,817	)		—			—			—			—
Net unrealized gain/(loss) on treasuries		(140,507	)		100,440			(18,199	)		21,612			(18,568	)		5,153
Earnings in investments in inter-series payables		1,589,041			1,039,282			—			—			—			—
Equity in earnings/(loss) from trading companies		—			—			—			—			(324,097	)		(2,211	)
Net gain/(loss) on investments		(1,376,752	)		(481,516	)		492,054			(342,421	)		(342,665	)		2,942
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	(1,787,867	)	$	(884,181	)	$	443,251		$	(425,897	)	$	(394,561	)	$	(19,937	)
NET INCOME/(LOSS) PER UNIT
Class 1	$	(12.32	)	$	(4.95	)	$	7.17		$	(2.45	)	$	(14.45	)	$	2.17
Class 2	$	(11.83	)	$	(3.06	)	$	8.64		$	(0.83	)	$	(13.46	)	$	3.79

The accompanying notes are an integral part of these statements.

19

The Frontier Fund

Statements of Operations

For the Nine Months Ended September 30, 2009 and 2008

	Winton Series						Winton/Graham Series
	(Unaudited)						(Unaudited)
	9/30/2009			9/30/2008			9/30/2009			9/30/2008
Investment Income:
Interest—net	$	296,808		$	240,620		$	199,524		$	47,920
Total Income		296,808			240,620			199,524			47,920
Expenses:
Incentive Fees		(21,347	)		1,835,567			251,038			465,834
Management Fees		1,049,242			813,951			1,093,344			294,043
Service Fees—Class 1		1,249,973			1,231,078			1,031,526			283,959
Trading Fees		255,442			203,317			207,959			58,787
Total Expenses		2,533,310			4,083,913			2,583,867			1,102,623
Investment gain/(loss)—net		(2,236,502	)		(3,843,293	)		(2,384,343	)		(1,054,703	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		(4,684,999	)		(2,007,569	)		4,592,315			—
Net change in open trade equity		(3,608,807	)		(2,370,507	)		2,233,216			—
Net unrealized gain/(loss) on treasuries		(361,497	)		74,383			(286,546	)		153,000
Trading commissions		(36,659	)		(83,458	)		(229,556	)		—
Equity in earnings/(loss) from trading companies		316,100			6,927,252			(3,259,357	)		953,158
Net gain/(loss) on investments		(8,375,862	)		2,540,101			3,050,072			1,106,158
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	(10,612,364	)	$	(1,303,192	)	$	665,729		$	51,455
Less: Operations attributable to Non-controlling interests		(4,066,993	)		(2,339,606	)		3,081,608			—
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(6,545,371	)	$	1,036,414		$	(2,415,879	)	$	51,455
NET INCOME/(LOSS) PER UNIT
Class 1	$	(12.29	)	$	3.95		$	(5.24	)	$	9.26
Class 2	$	(10.32	)	$	6.91		$	(3.05	)	$	12.78

The accompanying notes are an integral part of these statements.

20

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Nine Months Ended September, 2009 (Unaudited)

	Frontier Diversified Series (1)														Frontier Dynamic Series (1)
	Class 1			Class 1			Class 2			Class 2			Total		Class 1			Class 1			Class 2			Class 2			Total
	Managing Owner			Limited Owners			Managing Owner			Limited Owners					Managing Owner			Limited Owners			Managing Owner			Limited Owners
Owners’ Capital, January 1, 2009	$	—		$	—		$	—		$	—		$	—	$	—		$	—		$	—		$	—		$	—
Sale of Units		27,500			10,382,812			177,500			8,718,564			19,306,376		27,500			226,618			27,500			116,700			398,318
Redemption of Units		—			—			—			—			—		—			—			—			—			—
Contributions		—			—			—			—			—		—			—			—			—			—
Distributions		—			—			—			—			—		—			—			—			—			—
Net increase/(decrease) in Owners’ Capital resulting from operations		(288	)		65,207			(195	)		83,014			147,738		(947	)		(796	)		(801	)		(896	)		(3,440	)
Owners’ Capital, September 30, 2009	$	27,212		$	10,448,019		$	177,305		$	8,801,578		$	19,454,114	$	26,553		$	225,822		$	26,699		$	115,804		$	394,878
Owners’ Capital—Units, January 1, 2009		—			—			—			—			—		—			—			—			—			—
Sale of Units		275			105,587			1,782			88,455			196,099		275			2,339			275			1,193			4,082
Redemption of Units		—			—			—			—			—		—			—			—			—			—
Owners’ Capital—Units, September 30, 2009		275			105,587			1,782			88,455			196,099		275			2,339			275			1,193			4,082
Net asset value per unit at start of operations				$	100.00					$	100.00							$	100.00					$	100.00
Change in net asset value per unit for three months ended June 30, 2009					(1.89	)					(1.79	)							(2.93	)					(2.82	)
Net asset value per unit at June 30, 2009				$	98.11					$	98.21							$	97.07					$	97.18
Change in net asset value per unit for three months ended September 30, 2009					0.84						1.29								(0.51	)					(0.09	)
Net asset value per unit at September 30, 2009				$	98.95					$	99.50							$	96.56					$	97.09

(1) The Frontier Diversified Series and Dynamic Series began trading operations on June 9, 2009

The accompanying notes are an integral part of these statements.

21

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2009 (Unaudited)

	Frontier Long/Short Commodity Series
	Class 1			Class 2					Class 3 (1)			Class 1a (2)			Class 1a (2)			Class 2a (2)			Class 2a (2)			Non-Controlling Interests			Total
	Limited Owners			Managing Owner		Limited Owners			Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners
Owners’ Capital, January 1, 2009	$	46,525,406		$	933,708	$	10,273,181		$	—		$	—		$	—		$	—		$	—		$	10,124,156		$	67,856,451
Sale of Units		7,034,013			—		3,221,195			6,696,779			27,500			303,039			27,500			259,500						17,569,526
Redemption of Units		(12,427,347	)		—		(1,365,434	)		(462,935	)					—						—						(14,255,716	)
Contributions		—			—		—									—						—			40,000,000			40,000,000
Distributions		—			—		—									—						—			(31,169,257	)		(31,169,257	)
Operations attributable to Non-controlling interests																									8,757,728			8,757,728
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		4,697,108			113,629		1,417,506			(29,167	)		(392	)		2,048			(251	)		937						6,201,418
Owners’ Capital, September 30, 2009	$	45,829,180		$	1,047,337	$	13,546,448		$	6,204,677		$	27,108		$	305,087		$	27,249		$	260,437		$	27,712,627		$	94,960,150
Owners’ Capital—Units, January 1, 2009		463,448			8,544		94,008			—			—			—			—			—			—			566,000
Sale of Units		66,714			—		28,148			54,425			275			3,095			275			2,628						155,560
Redemption of Units		(114,352	)		—		(11,644	)		(3,807	)		—			—			—			—						(129,803	)
Owners’ Capital—Units, September 30, 2009		415,810			8,544		110,512			50,618			275			3,095			275			2,628			—			591,757
Net asset value per unit at January 1, 2009 or start of operations	$	100.39				$	109.28		$	122.70					$	100.00					$	100.00
Change in net asset value per unit for three months ended March 31, 2009		3.75					4.92			—						—						—
Net asset value per unit at March 31, 2009	$	104.14				$	114.20		$	122.70					$	100.00					$	100.00
Change in net asset value per unit for three months ended June 30, 2009		5.04					6.32			(2.19	)					(2.47	)					(2.36	)
Net asset value per unit at June 30, 2009	$	109.18				$	120.52		$	120.51					$	97.53					$	97.64
Change in net asset value per unit for three months ended September 30, 2009		1.04					2.06			2.07						1.04						1.45
Net asset value per unit at September 30, 2009	$	110.22				$	122.58		$	122.58					$	98.57					$	99.09

(1) Long/Short Series Class 3 began trading operations on May 30, 2009

(2) Long/Short Series Class 1a and 2a began trading operations on June 9, 2009

The accompanying notes are an integral part of these statements.

22

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Nine Months Ended September, 2009 (Unaudited)

	Frontier Masters Series (1)														Balanced Series
	Class 1			Class 1			Class 2			Class 2			Total		Class 1			Class 1a
	Managing Owner			Limited Owners			Managing Owner			Limited Owners					Limited Owners			Managing Owner			Limited Owners
Owners’ Capital, January 1, 2009	$	—		$	—		$	—		$	—		$	—	$	256,550,829		$	224		$	8,135,941
Sale of Units		27,500			4,203,162			42,500			2,498,207			6,771,369		75,390,578			—			3,813,107
Redemption of Units		—			—			—			—			—		(22,615,409	)		(221	)		(1,535,910	)
Change in control of ownership—Trading Companies		—			—			—			—			—		—			—			—
Contributions		—			—			—			—			—		—			—			—
Distributions		—			—			—			—			—		—			—			—
Operations attributable to Non-controlling interests
Net increase/(decrease) in Owners’ Capital resulting from operations		(463	)		43,422			(266	)		39,085			81,778		(6,959,756	)		(3	)		(283,687	)
Owners’ Capital, September 30, 2009	$	27,037		$	4,246,584		$	42,234		$	2,537,292		$	6,853,147	$	302,366,242		$	—		$	10,129,451
Owners’ Capital—Units, January 1, 2009		—			—			—			—			—		2,049,590			2			72,584
Sale of Units		275			43,193			427			25,663			69,558		603,206			—			34,111
Redemption of Units		—			—			—			—			—		(183,490	)		(2	)		(13,942	)
Owners’ Capital—Units, September 30, 2009		275			43,193			427			25,663			69,558		2,469,306			—			92,753
Net asset value per unit at January 1, 2009															$	125.17					$	112.09
Change in net asset value per unit for three months ended March 31, 2009																0.04						(0.23	)
Net asset value per unit at March 31, 2009 or start of operations				$	100.00					$	100.00				$	125.21					$	111.86
Change in net asset value per unit for three months ended June 30, 2009					(2.03	)					(1.92	)				(4.15	)					(3.72	)
Net asset value per unit at June 30, 2009				$	97.97					$	98.08				$	121.06					$	108.14
Change in net asset value per unit for three months ended September 30, 2009					0.35						0.79					1.39						1.07
Net asset value per unit at September 30, 2009				$	98.32					$	98.87				$	122.45					$	109.21

	Balanced Series
	Class 2						Class 2a						Class 3a (2)			Non-Controlling Interests			Total
	Managing Owner			Limited Owners			Managing Owner			Limited Owners			Limited Owners
Owners’ Capital, January 1, 2009	$	3,612,130		$	63,497,532		$	120,378		$	1,765,973		$	—		$	9,330,079		$	343,013,086
Sale of Units		460,000			25,457,174			30,000			1,772,212			687,282						107,610,353
Redemption of Units		—			(7,317,608	)		—			(184,699	)		(24,851	)					(31,678,698	)
Change in control of ownership—Trading Companies		—			—			—			—			—			350,058			350,058
Contributions		—			—			—			—			—			10,212,897			10,212,897
Distributions		—			—			—			—			—			(2,238,158	)		(2,238,158	)
Operations attributable to Non-controlling interests																	(1,443,690	)		(1,443,690	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(5,397	)		(125,732	)		(876	)		(17,832	)		3,366						(7,389,917	)
Owners’ Capital, September 30, 2009	$	4,066,733		$	81,511,366		$	149,502		$	3,335,654		$	665,797		$	16,211,186		$	418,435,931
Owners’ Capital—Units, January 1, 2009		25,359			445,784			992			14,560			—			—			2,608,871
Sale of Units		3,176			177,866			245			14,604			5,718						838,926
Redemption of Units		—			(51,717	)		—			(1,556	)		(207	)					(250,914	)
Owners’ Capital—Units, September 30, 2009		28,535			571,933			1,237			27,608			5,511			—			3,196,883
Net asset value per unit at January 1, 2009				$	142.44					$	121.30
Change in net asset value per unit for three months ended March 31, 2009					1.10						0.65
Net asset value per unit at March 31, 2009 or start of operations				$	143.54					$	121.95		$	121.97
Change in net asset value per unit for three months ended June 30, 2009					(3.70	)					(3.22	)		(3.23	)
Net asset value per unit at June 30, 2009				$	139.84					$	118.73		$	118.74
Change in net asset value per unit for three months ended September 30, 2009					2.68						2.09			2.08
Net asset value per unit at September 30, 2009				$	142.52					$	120.82		$	120.82

(1) The Frontier Masters Series began trading operations on June 9, 2009

(2) Balanced Series Class 3a began trading operations on June 4, 2009

The accompanying notes are an integral part of these statements.

23

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2009 (Unaudited)

	Campbell/Graham/Tiverton Series															Currency Series
	Class 1			Class 2						Non-Controlling Interests			Total			Class 1			Class 2						Total
	Limited Owners			Managing Owner			Limited Owners									Limited Owners			Managing Owner			Limited Owners
Owners’ Capital, January 1, 2009	$	69,957,155		$	302,878		$	7,504,896		$	2,391,227		$	80,156,156		$	11,900,185		$	687,357		$	2,259,243		$	14,846,785
Sale of Units		10,892,203			—			4,025,676						14,917,879			551,301			—			82,125			633,426
Redemption of Units		(5,522,023	)		—			(1,093,173	)					(6,615,196	)		(1,698,922	)		—			(169,080	)		(1,868,002	)
Change in control of ownership—Trading Companies		—			—			—			(4,388,979	)		(4,388,979	)		—			—			—			—
Contributions		—			—			—			4,400,000			4,400,000			—			—			—			—
Distributions		—			—			—			(1,065,722	)		(1,065,722	)		—			—			—			—
Operations attributable to Non-controlling interests											(1,336,526	)		(1,336,526	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(3,522,769	)		(7,857	)		(241,286	)					(3,771,912	)		(1,474,781	)		(74,406	)		(238,680	)		(1,787,867	)
Owners’ Capital, September 30, 2009	$	71,804,566		$	295,021		$	10,196,113		$	—		$	82,295,700		$	9,277,783		$	612,951		$	1,933,608		$	11,824,342
Owners’ Capital—Units, January 1, 2009		632,847			2,439			60,454			—			695,740			123,719			6,289			20,670			150,678
Sale of Units		101,491			—			32,911						134,402			6,056			—			787			6,843
Redemption of Units		(52,386	)		—			(9,045	)					(61,431	)		(19,158	)		—			(1,619	)		(20,777	)
Owners’ Capital—Units, September 30, 2009		681,952			2,439			84,320			—			768,711			110,617			6,289			19,838			136,744
Net asset value per unit at January 1, 2009	$	110.54					$	124.14								$	96.19					$	109.30
Change in net asset value per unit for three months ended March 31, 2009		(2.91	)					(2.37	)								(5.56	)					(5.55	)
Net asset value per unit at March 31, 2009	$	107.63					$	121.77								$	90.63					$	103.75
Change in net asset value per unit for three months ended June 30, 2009		(5.60	)					(5.48	)								(2.85	)					(2.51	)
Net asset value per unit at June 30, 2009	$	102.03					$	116.29								$	87.78					$	101.24
Change in net asset value per unit for three months ended September 30, 2009		3.26						4.63									(3.91	)					(3.77	)
Net asset value per unit at September 30, 2009	$	105.29					$	120.92								$	83.87					$	97.47

The accompanying notes are an integral part of these statements.

24

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2009 (Unaudited)

	Long Only Commodity Series											Managed Futures Index Series
	Class 1			Class 2					Total			Class 1			Class 2						Total
	Limited Owners			Managing Owner		Limited Owners						Limited Owners			Managing Owner			Limited Owners
Owners’ Capital, January 1, 2009	$	3,254,226		$	110,092	$	678,155		$	4,042,473		$	2,266,977		$	77,559		$	1,058,515		$	3,403,051
Sale of Units		409,118			—		86,800			495,918			708,699			200,000			1,071,138			1,979,837
Redemption of Units		(481,572	)		—		(87,025	)		(568,597	)		(720,251	)		—			(7,431	)		(727,682	)
Contributions		—			—		—			—			—			—			—			—
Distributions		—			—		—			—			—			—			—			—
Net increase/(decrease) in Owners’ Capital resulting from operations		346,832			12,886		83,533			443,251			(234,112	)		(7,753	)		(152,696	)		(394,561	)
Owners’ Capital, September 30, 2009	$	3,528,604		$	122,978	$	761,463		$	4,413,045		$	2,021,313		$	269,806		$	1,969,526		$	4,260,645
Owners’ Capital—Units, January 1, 2009		46,285			1,479		9,108			56,872			17,151			555			7,577			25,283
Sale of Units		6,182			—		1,231			7,413			5,862			1,582			8,084			15,528
Redemption of Units		(6,924	)		—		(1,175	)		(8,099	)		(5,844	)		—			(59	)		(5,903	)
Owners’ Capital—Units, September 30, 2009		45,543			1,479		9,164			56,186			17,169			2,137			15,602			34,908
Net asset value per unit at January 1, 2009	$	70.31				$	74.46					$	132.18					$	139.70
Change in net asset value per unit for three months ended March 31, 2009		(4.27	)				(4.18	)					(8.50	)					(8.37	)
Net asset value per unit at March 31, 2009	$	66.04				$	70.28					$	123.68					$	131.33
Change in net asset value per unit for three months ended June 30, 2009		9.09					10.07						(2.87	)					(2.44	)
Net asset value per unit at June 30, 2009	$	75.13				$	80.35					$	120.81					$	128.89
Change in net asset value per unit for three months ended September 30, 2009		2.35					2.75						(3.08	)					(2.65	)
Net asset value per unit at September 30, 2009	$	77.48				$	83.10					$	117.73					$	126.24

The accompanying notes are an integral part of these statements.

25

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2009 (Unaudited)

	Winton Series																		Winton/Graham Series
	Class 1						Class 2									Total			Class 1			Class 2									Total
	Managing Owner			Limited Owners			Managing Owner			Limited Owners			Non- Controlling Interests						Limited Owners			Managing Owner			Limited Owners			Non- Controlling Interests
Owners’ Capital, January 1, 2009	$	1,304		$	62,282,355		$	277,935		$	11,465,432		$	11,355,645		$	85,382,671		$	35,760,835		$	56,315		$	14,378,079		$	—		$	50,195,229
Sale of Units		—			220,835			200,000			—						420,835			20,167,922			—			360,401						20,528,323
Redemption of Units		(1,165	)		(5,358,998	)		—			(742,864	)					(6,103,027	)		(4,094,963	)		—			(1,565,441	)					(5,660,404	)
Change in control of ownership - Trading Companies		—			—			—			—			(13,830,805	)		(13,830,805	)		—			—			—			2,258,238			2,258,238
Contributions		—			—			—			—			8,850,000			8,850,000			—			—			—			6,600,000			6,600,000
Distributions		—			—			—			—			(2,307,847	)		(2,307,847	)		—			—			—			(3,362,254	)		(3,362,254	)
Operations attributable to Non-controlling interests														(4,066,993	)		(4,066,993	)											3,081,608			3,081,608
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(139	)		(5,679,017	)		(23,981	)		(842,234	)					(6,545,371	)		(2,038,957	)		(1,302	)		(375,620	)					(2,415,879	)
Owners’ Capital, September 30, 2009	$	—		$	51,465,175		$	453,954		$	9,880,334		$	—		$	61,799,463		$	49,794,837		$	55,013		$	12,797,419		$	8,577,592		$	71,224,861
Owners’ Capital—Units, January 1, 2009		10			477,595			1,985			81,870			—			561,460			307,804			428			109,351			—			417,583
Sale of Units		—			1,804			1,514			—						3,318			178,132			—			2,732						180,864
Redemption of Units		(10	)		(43,695	)		—			(5,705	)					(49,410	)		(37,107	)		—			(12,448	)					(49,555	)
Owners’ Capital—Units, September 30, 2009		—			435,704			3,499			76,165			—			515,368			448,829			428			99,635			—			548,892
Net asset value per unit at January 1, 2009				$	130.41					$	140.04								$	116.18					$	131.49
Change in net asset value per unit for three months ended March 31, 2009					(2.98	)					(2.18	)								(3.06	)					(2.50	)
Net asset value per unit at March 31, 2009				$	127.43					$	137.86								$	113.12					$	128.99
Change in net asset value per unit for three months ended June 30, 2009					(9.99	)					(9.86	)								(6.67	)					(6.69	)
Net asset value per unit at June 30, 2009				$	117.44					$	128.00								$	106.45					$	122.30
Change in net asset value per unit for three months ended September 30, 2009					0.68						1.72									4.49						6.14
Net asset value per unit at September 30, 2009				$	118.12					$	129.72								$	110.94					$	128.44

The accompanying notes are an integral part of these statements.

26

The Frontier Fund

Notes to Financial Statements

As of September 30, 2009 (Unaudited)

1. Organization

The Frontier Fund (the “Trust”), was formed as a Delaware statutory trust on August 8, 2003, with separate Series of Units. The Trust’s 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 has eleven (11) separate and distinct Series of Units issued and outstanding: Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series, Campbell/Graham/Tiverton Series, Currency Series, Long Only Commodity Series, Managed Futures Index Series, Winton Series and Winton/Graham Series (each a “Series” and collectively, the “Series”). The Trust may issue additional Series of Units. The Units of each Series are separated into three or six sub-classes of Units. 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 an affiliated limited liability trading company or companies (“Trading Company”). Except as otherwise described in these notes, 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. 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.

• calculates the Net Asset Value (“NAV”) of its Units for each Series 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

• maintains each Series of Units in three or six sub-classes—Class 1, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased 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. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to Equinox Fund Management, LLC (the “Managing Owner”) by each Series, and paid to the selling agents by the Managing Owner in the month following sale; 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. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to Selling Agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series or Class 2a Units of the Frontier Long/Short Commodity Series) sold until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series for administrative purposes. The Managing Owner may also pay Selling Agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such Selling Agents.

27

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

• All payments made to Selling Agents who are members of the Financial Industry Regulatory

Authority, Inc. (“FINRA”) and their associated persons that constitute underwriting compensation will

be subject to the limitations set forth in Rule 2310(b)(4)(B)(ii) (formerly Rule 2810(b)(4)(B)(ii)) of the Conduct Rules of FINRA

(“Rule 2310”). An investor’s Class 1 Units or Class 2 Units of any Series, or Class 1a Units or Class 2a Units of the Frontier Long/Short Commodity Series or

Balanced Series will be classified as Class 3 Units of such Series, or Class 3a Units of the Frontier Long/Short Commodity Series or Balanced Series, as applicable when the Managing Owner determines that the fee limitation set forth

in Rule 2310 with respect to such Units has been reached or will be reached. No service fees are paid with respect to Class 3 or Class 3a Units.

• 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.

As of September 30, 2009, the total Units outstanding of each Series of the Trust was 196,099 with respect to the Frontier Diversified Series, 4,082 with respect to the Frontier Dynamic Series, 591,757 with respect to the Frontier Long/Short Commodity Series, 69,558 with respect to the Frontier Masters Series, 3,196,883 with respect to the Balanced Series, 768,711 with respect to the Campbell/Graham/Tiverton Series, 136,744 with respect to the Currency Series, 56,186 with respect to the Long Only Commodity Series, 34,908 with respect to the Managed Futures Index Series, 515,368 with respect to the Winton Series, and 548,892 with respect to the Winton/Graham Series. As of September 30, 2009, the Trust, with respect to the Frontier Diversified Series, Frontier Dynamic Series, Frontier Masters Series, Campbell/Graham/Tiverton Series, Currency Series, Long Only Commodity Series, Managed Futures Index Series, Winton Series and Winton/Graham Series separates Units into three separate Classes – Class 1, Class 2, and Class 3. The Trust, with respect to the Balanced Series, and Frontier Long/Short Commodity Series separates Units into six separate Classes – Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a. 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.

As of September 30, 2009, each of the Frontier Dynamic Series, Long Only Commodity Series, Managed Futures Index Series and Winton 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 Frontier Dynamic Series and for the Long Only Commodity Series allocate 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 Frontier 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 Frontier Diversified Series, Frontier Masters Series, Balanced Series, Campbell/Graham/Tiverton Series, and 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. Each of the respective Series has invested monies into pooled cash management assets which include purchases of certificates of deposit, custom time deposits and U.S. Treasury securities. Each Series’ ownership in these investments is based on its percentage ownership in the pooled cash management assets on the reporting date.

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”). Effective September 15, 2009, references to GAAP have changed due to the adoption of Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) 105, Generally Accepted Accounting Principles.

28

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

Consolidation—The Series, through investing in the Trading Companies, authorize certain Trading Advisors to place trades and manage assets at pre-determined investment levels. The Trading Companies were organized by the Managing Owner for the purpose of investing in securities and derivative instruments, and have no operating income or expenses, except for trading income and expenses, all of which is allocated to the Series. Trading Companies in which a Series has a majority equity interest are consolidated by such Series. Investments in Trading Companies in which a Series does not have a controlling or majority interest are 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 Frontier Diversified Series include the assets, liabilities and earnings of its wholly-owned trading company, Frontier Trading Company X, LLC.

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

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

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

The consolidated financial statements of the Balanced Series include the assets, liabilities and earnings of its majority owned Trading Companies, Frontier Trading Company I, LLC, Frontier Trading Company VI, LLC, Frontier Trading Company IX, LLC and Frontier Trading Company XIII, LLC as well as earnings of Frontier Trading Company II, LLC through May 28, 2009.

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

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

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

The consolidated financial statements of Campbell/Graham/Tiverton Series included earnings of its majority-owned trading company, Frontier Trading Company V, LLC, through April 2009.

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. Aggregate interest income from all sources, including assets held at clearing brokers, up to two percentage points of the aggregate percentage yield (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Campbell/Graham/Tiverton Series, Currency Series, Winton Series and Winton/Graham Series. For the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series (Class 1a, Class 2a and Class 3a only), Long Only Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner. Any excess is accrued as income allocated to these Series in proportion to their daily NAV, excluding non-controlling interests and including the effects of inter-Series advances.

Certificates of Deposit—Certificates of deposit include interest-bearing instruments issued by U.S Bank National Association, have maturities greater than three months and interest is paid at maturity. Certificates of Deposit are allocated to each Series based on their percentage ownership in the pooled cash management assets on the reporting date. The Certificates of Deposits matured on September 15, 2009 and were not renewed. The Trust valued the

29

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

certificates of deposit at face value plus accrued interest, which approximates fair value, and reports these instruments as Level 2 inputs under FASB ASC 820 formerly recognized as SFAS 157, Fair Value Measurements and Disclosures.

Custom Time Deposits—Custom time deposits are structured deposit agreements with U.S. Bank National Association that earn a guaranteed fixed interest rate between 2.17% and 3.75% and will mature six months from the deposit date and are 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. Custom time deposits were purchased on September 15, 2009, October 30, 2008 and October 21, 2008. The withdrawal fee is set at 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 as of the reporting date. 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 FASB ASC 820.

Payable to Other Series—Each of the Series has invested monies into pooled cash management assets from which purchases were made for certificates of deposit, custom time deposits and U.S. Treasury securities. Each Series’ ownership in these investments is based on its percentage ownership in the pooled cash management assets on the date of their purchase, except that a portion of these investments were allocated to the Frontier Diversified Series, the Frontier Dynamic Series and the Frontier Masters Series in proportion to and as a part of the inter-series advance from Balanced Series upon the commencement of trading for such Series. Because these investments were fixed, subsequent withdrawals of cash from these pooled cash management assets by some Series has resulted in a negative cash position or a “Payable to Other Series.” These payables will be settled with either an additional investment in the cash management pool by the Series with the deficiency of cash, or when the underlying investments are liquidated, or both.

Receivable From Futures Commission Merchants—The Trust deposits assets with a broker subject to CFTC 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, forward and swap 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 FASB ASC 815, Derivatives and Hedging.

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

Allocation of Earnings—Each Series of the Trust maintains three or six classes of Units—Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a). All classes have identical voting, dividend, liquidation and other rights and the same terms and conditions, except that fees charged to a Class or Series differ as described below. 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, Class 2a, Class 3 and Class 3a Units based on each Class’ respective owners’ capital balances.

30

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

Each Series allocates funds to an affiliated 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 September 30, 2009, 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, for the purposes of diversification of investments and trading advisors through the other Series’ access to trading companies in which the Balanced Series does not have a direct interest, advances funds to the Currency Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series. The amount of the funds advanced by the Balanced Series to each of the Currency Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series participates on a pari passu basis with the Class 2 Units of such investee Series. The Balanced Series and investee Series reflect the changes in values of these investments as “Earnings in investments 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 advances in affiliated Series, and the Managing Owner monitors such allocations so that aggregate fees of the investee Series on the Balanced Series advances do not exceed the allowable fees of the Balanced Series as provided in the Trust’s Prospectus. Pertaining to interest credited to the investee Series, interest is not credited to the Balanced Series on the capital allocated to its inter-series advances to avoid the duplication of interest.

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.

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 September 30, 2009 all investments in futures and forward contracts were based on quoted market prices. The valuation of investments in swap contracts (“Swaps”) involves estimates.

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.

Income Taxes—The Trust applies the provisions of FASB ASC 740 Income Taxes (“ASC 740”), which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This interpretation also provides guidance on derecognition, classification, interest and penalties, accounting in interim periods and disclosure. ASC 740 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 periods ended September 30, 2009 and December 31, 2008. 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.

31

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

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, Selling Agent Service fees and all other operating expenses and continuing offering costs of the Trust.

Service Fees—The Trust maintains each Series of Units in three or six sub-classes—Class 1, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased 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. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to Equinox Fund Management, LLC (the “Managing Owner”) by each Series, and paid to the selling agents by the Managing Owner in the month following sale; 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. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to Selling Agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series or Class 2a Units of the Frontier Long/Short Commodity Series) sold until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series for administrative purposes. The Managing Owner may also pay Selling Agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such Selling Agents.

All payments made to Selling Agents who are members of FINRA and their associated persons that constitute underwriting compensation will be subject to the limitations set forth in Rule 2310. An investor’s Class 1 Units or Class 2 Units of any Series, or Class 1a Units or Class 2a Units of the Frontier Long/Short Commodity Series or Balanced Series will be classified as Class 3 Units of such Series, or Class 3a Units of the Frontier Long/Short Commodity Series or Balanced Series, as applicable, when the Managing Owner determines that the fee limitation set forth in Rule 2310 with respect to such Units has been reached or will be reached. No service fees are paid with respect to Class 3 or Class 3a Units.

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. With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Class 1 and Class 1a Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed for such payment 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 of the downside 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.

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—In April 2009, the FASB issued ASC 230—formerly recognized as 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. The Trust has elected not to provide statements of cash flows as permitted by FASB ASC 230.

Recently Adopted Accounting Pronouncements—In June 2009, the FASB issued ASC 105, formerly recognized as SFAS No. 168, The FASB Accounting Standards Codification™ and the Hierarchy of Generally Accepted Accounting Principles, the guidance of which was incorporated in ASC 105-10 Generally Accepted Accounting Principles (“GAAP”) – Overall. Effective September 15, 2009, the FASB ASC will become the source of authoritative U.S. GAAP recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) are also sources of authoritative GAAP for SEC registrants pursuant to federal securities laws. On the effective date of this guidance, the FASB ASC will supersede all then-existing non-SEC accounting and reporting standards. All other non-grandfathered non-SEC accounting literature not included in the ASC will become non-authoritative. This guidance is effective for financial statements issued for interim and annual periods ending after September 15, 2009. The adoption of FASB ASC 105 did not impact the Trust’s or the Series’ financial positions or results of operations.

32

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

In April 2009, the FASB issuedASC 820, formerly recognized as Fair Value Measurements and Disclosures. FASB ASC 820 requires disclosures about fair value of financial instruments for interim reporting periods of publicly traded companies as well as in annual financial statements. This guidance is effective for interim and annual periods ending after June 15, 2009. The Trust adopted this standard effective April 1, 2009, the results of which are disclosed in Note 3 Fair Value Measurements.

In December 2007, the FASB issued ASC 805-10 Business Combinations – Overall (“ASC 805-10”), formerly recognized as SFAS No. 141 (revised 2007), Business Combinations (SFAS 141(R)) and SFAS No. 160, Noncontrolling Interests in Consolidated Financial Statements – an amendment of Accounting Review Bulletin (“ARB”) No. 51 (SFAS 160), the provisions of which have been incorporated in ASC 810 Business Combinations – Overall and FASB ASC 805-20 (“ASC 805-20) Business Combinations – Identifiable Assets and Liabilities, and Any Noncontrolling Interest. ASC 805-10 will significantly change current practices regarding business combinations. Among the more significant changes, ASC 805-10 expands the definition of a business and a business combination; requires the acquirer to recognize the assets acquired, liabilities assumed and noncontrolling interests (including goodwill), measured at fair value at the acquisition date; requires acquisition-related expenses and restructuring costs to be recognized separately from the business combination; requires assets acquired and liabilities assumed from contractual and non-contractual contingencies to be recognized at their acquisition date fair values with subsequent changes recognized in earnings; and requires in-process research and development to be capitalized at fair value as an indefinite-lived intangible asset. ASC 805-20 will change the accounting and reporting for minority interests, reporting them as equity separate from the parent entity’s equity, as well as requiring expanded disclosures. ASC 805-10 and ASC 805-20 are effective for financial statements issued for fiscal years beginning after December 15, 2008. The adoption of ASC 805-10 and ASC 805-20 required 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.

In March 2008, the FASB issued ASC 815, Derivatives and Hedging (“ASC 815”), formerly recognized as SFAS No. 161, Disclosures about Derivative Instruments and Hedging Activities, an amendment of FASB Statement No. 133). ASC 815 requires enhanced disclosures about an entity’s derivative and hedging activities including how and why an entity uses derivative instruments, how an entity accounts for derivative instruments; and related hedged items and how derivative instruments and related hedged items affect an entity’s financial position, financial performance and cash flows. ASC 815 became effective beginning January 1, 2009. The provisions of ASC 815 are effective prospectively for the Trust’s consolidated financial statements issued for fiscal years and interim periods beginning after November 15, 2008. Refer to Note 8 Derivative Instruments and Hedging Activities.

In April 2009, the FASB issued ASC 825, Financial Instruments (“ASC 825”), formerly recognized as Financial Staff Position (“FSP”) No. 107-1 and Accounting Principles Board (“APB”) 28-1 (FSP No. 107-1 and APB 28-1), Interim Disclosures about Fair Value of Financial Instruments. ASC 825 requires disclosures of fair value for any financial instruments not currently reflected at fair value on the balance sheet for all interim periods. ASC 825 enhances consistency in financial reporting by increasing the frequency of fair value disclosures and is effective for interim and annual periods ending after June 15, 2009. The Trust, however, has been applying fair value to all financial instruments on either daily or weekly frequency to meet the daily valuation requirement of the Trust to deliver a daily per unit net asset value, thus these provisions did not have a material impact on the Trust’s consolidated financial statements.

In May 2009, the FASB issued ASC 855, Subsequent Events. The objective of this guidance is to establish general standards of accounting for and disclosure of events that occur after the balance sheet date but before financial statements are issued or are available to be issued. In particular, this guidance sets forth:

1. The period after the balance sheet date during which management of a reporting entity should evaluate events or transactions that may occur for potential recognition or disclosure in the financial statements;

2. The circumstances under which an entity should recognize events or transactions occurring after the balance sheet date in its financial statements; and

33

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

3. The disclosures that an entity should make about events or transactions that occurred after the balance sheet date.

In accordance with this guidance, an entity should apply the requirements to interim or annual financial periods ending after June 15, 2009. The Trust adopted this standard effective April 1, 2009 and has and will make the appropriate disclosures, as required under ASC 855.

Recently Issued Accounting Pronouncements—In June 2009, the FASB issued ASC 860, Transfers and Servicing (“ASC 860”) formerly recognized as to SFAS No. 166, Accounting for Transfers of Financial Assets. ASC 860 requires more information about transfers of financial assets and where companies have continuing exposure to the risk related to transferred financial assets. ASC 860 eliminates the concept of a qualifying special purpose entity, changes the requirements for derecognizing financial assets and requires additional disclosure. This Statement is effective as of the beginning of each reporting entity’s first annual reporting period that begins after November 15, 2009, for interim periods within that first annual reporting period, and for interim and annual reporting periods thereafter. Earlier application is prohibited. The recognition and measurement provisions of this Statement shall be applied to transfers that occur on or after the effective date. The Trust intends to adopt ASC 860 for the period beginning January 1, 2010, and it anticipates that it will not have a material effect.

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 2009 presentation.

3. Fair Value Measurements

Effective January 1, 2008, the Trust adopted ASC 820. ASC 820 provides clarification that when a quoted price in an active market for the identical asset or liability is not available, a reporting entity is required to measure fair value using certain techniques. ASC 820 also clarifies that when estimating the fair value of a liability, a reporting entity is not required to include a separate input or adjustment to other inputs relating to the existence of a restriction that prevents the transfer of an asset or liability. ASC 820 also clarifies that both a quoted price in an active market for the identical liability at the measurement date and the quoted price for the identical liability when traded as an asset in an active market when no adjustments to the quoted price of the asset are required are Level 1 fair value measurements.

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 or liabilities, 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.

34

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

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.

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 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 the underlying positions on the financial statements of the 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 September 30, 2009, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

35

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

September 30, 2009	Level 1 Inputs			Level 2 Inputs		Level 3 Inputs		Total Fair Value
Frontier Diversified Series
Swap Contracts						$	10,036,654	$	10,036,654
Investment in Unconsolidated Trading Companies	$	1,856,353							1,856,353
U.S. Treasury Securities		5,260,038							5,260,038
Frontier Dynamic Series
Swap Contracts							11,401,259		11,401,259
U.S. Treasury Securities		3,019,383							3,019,383
Frontier Long Short Commodity Series
Open Trade Equity		(5,671,163	)	(36,596	)				(5,707,759	)
Investment in Unconsolidated Trading Companies		1,233,271							1,233,271
U.S. Treasury Securities		8,886,927							8,886,927
Frontier Masters Series
Swap Contracts							9,636,598		9,636,598
Investment in Unconsolidated Trading Companies		1,204,624							1,204,624
U.S. Treasury Securities		3,459,933							3,459,933
Balanced Series
Open Trade Equity		11,183,758		13,586,780					24,770,538
Swap Contracts							51,300,320		51,300,320
Investment in Unconsolidated Trading Companies		39,610,131							39,610,131
U.S. Treasury Securities		25,209,114							25,209,114
Campbell/Graham/Tiverton Series
Investment in Unconsolidated Trading Companies		21,036,365							21,036,365
U.S. Treasury Securities		10,280,937							10,280,937
Currency Series
Open Trade Equity		22,988		1,248					24,236
Swap Contracts							6,479,642		6,479,642
U.S. Treasury Securities		3,045,397							3,045,397
Long Only Commodity Series
Swap Contracts				639,797					639,797
U.S. Treasury Securities		614,075							614,075
Managed Futures Index Series
Investment in Unconsolidated Trading Companies		1,117,433							1,117,433
U.S. Treasury Securities		490,562							490,562
Winton Series
Investment in Unconsolidated Trading Companies		3,322,573							3,322,573
U.S. Treasury Securities		9,869,092							9,869,092
Winton/Graham Series
Open Trade Equity		1,361,413							1,361,413
Investment in Unconsolidated Trading Companies		2,536,697							2,536,697
U.S. Treasury Securities		8,634,882							8,634,882

36

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

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

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 three months and nine months ended September 30, 2009, all identified Level 3 assets are components of the Frontier Diversified Series, Frontier Dynamic Series, Frontier Masters Series, Balanced Series and the Currency Series.

37

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

Swap Contracts	Frontier Diversified Series		Frontier Dynamic Series		Frontier Masters Series
	For The Three Months Ended September 30, 2009		For The Three Months Ended September 30, 2009		For The Three Months Ended September 30, 2009
Balance of recurring Level 3 assets as of June 30, 2009	$	4,627,389	$	11,392,619	$	6,810,402
Total gains or losses (realized/unrealized):
Included in earnings-realized		—		—		—
Included in earnings-unrealized		129,598		8,640		(191,513	)
Purchases, sales, issuances, and settlements, net		5,279,667		—		3,017,709
Transfers in and/or out of Level 3		—		—		—
Balance of recurring Level 3 assets as of September 30, 2009	$	10,036,654	$	11,401,259	$	9,636,598

Swap Contracts	Balanced Series		Currency Series
	For The Three Months Ended September 30, 2009		For The Three Months Ended September 30, 2009
Balance of recurring Level 3 assets as of June 30, 2009	$	50,836,503	$	7,372,137
Total gains or losses (realized/unrealized):
Included in earnings-realized		—		—
Included in earnings-unrealized		463,817		(892,495	)
Included in other comprehensive income		—		—
Purchases, sales, issuances, and settlements, net		—		—
Transfers in and/or out of Level 3		—		—
Balance of recurring Level 3 assets as of September 30, 2009	$	51,300,320	$	6,479,642

Swap Contracts	Frontier Diversified Series			Frontier Dynamic Series			Frontier Masters Series
	For The Nine Months Ended September 30, 2009			For The Nine Months Ended September 30, 2009			For The Nine Months Ended September 30, 2009
Balance of recurring Level 3 assets as of January 1, 2009	$	—		$	—		$	—
Total gains or losses (realized/unrealized):
Included in earnings-realized		—			—			—
Included in earnings-unrealized		(243,013	)		(873,506	)		(381,111	)
Included in other comprehensive income		—			—			—
Purchases, sales, issuances, and settlements, net		10,279,667			12,274,765			10,017,709
Transfers in and/or out of Level 3		—			—			—
Balance of recurring Level 3 assets as of September 30, 2009	$	10,036,654		$	11,401,259		$	9,636,598

Swap Contracts	Balanced Series			Currency Series
	For The Nine Months Ended September 30, 2009			For The Nine Months Ended September 30, 2009
Balance of recurring Level 3 assets as of January 1, 2009	$	53,072,353		$	9,122,123
Total gains or losses (realized/unrealized):
Included in earnings-realized		—			—
Included in earnings-unrealized		(1,772,033	)		(2,642,481	)
Included in other comprehensive income		—			—
Purchases, sales, issuances, and settlements, net		—			—
Transfers in and/or out of Level 3		—			—
Balance of recurring Level 3 assets as of September 30, 2009	$	51,300,320		$	6,479,642

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, Currency Series, Frontier Diversified Series and Frontier Masters Series, the Swaps serve to diversify the investment holdings of each Series and to provide access to programs and advisors that would not be otherwise available to the Series, and are not used for hedging purposes.

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the

38

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of September 30, 2009, approximately 11.5% of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain Swaps.

The Balanced Series, Currency Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters 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, neither the swap counterparty to the Trading Company of these Series nor any advisor referenced by any such Swap is 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.

The Trust has invested in the following Swaps as of September 30, 2009:

	Option Basket Balanced Series			Option Basket Currency Series			Reuters/Jefferies CRB Index		Jefferies Commodity Performance Index
Series:		Balanced			Currency			Long Only		Long Only
Counterparty		Company A			Company B			Company C		Company C
Notional Amount	$	112,958,718		$	20,979,642		$	2,250,000	$	2,250,000
Termination Date		November 6, 2012			July 26, 2013			February 26, 2010		February 26, 2010
Investee Returns		Total Return			Total Return			Total Return		Total Return
Realized Gain/(Loss) on Option/Swap Contracts	$	—		$	—		$	265,186	$	245,067
Unrealized Gain / (Loss) on Option/Swap Contracts	$	(1,882,690	)	$	(2,642,481	)	$	—	$	—
Fair value of Swap Contracts at 09/30/2009	$	51,300,320		$	6,479,642		$	318,194	$	321,603

39

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

	Option Basket Frontier Diversified Series			Option Basket Frontier Dynamic Series			Total Returns Swap Frontier Masters Series
Series:		Frontier Diversified			Frontier Dynamic			Frontier Masters
Counterparty		Company D			Company E			Company F
Notional Amount	$	27,218,501		$	28,491,909		$	9,742,916
Termination Date		June 10, 2014			June 10, 2014			June 10, 2014
Investee Returns		Total Return			Total Return			Total Return
Realized Gain/(Loss) on Option/Swap Contracts	$	—		$	—		$	—
Unrealized Gain / (Loss) on Option/Swap Contracts	$	(243,013	)	$	(873,506	)	$	(381,111	)
Fair value of Swap Contracts at 09/30/2009	$	10,036,654		$	11,401,259		$	9,636,598

40

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

5. Investments in Unconsolidated Trading Companies

The following table summarizes the Balanced Series, Winton Series, Campbell/Graham/Tiverton Series, Winton/Graham Series, Frontier Long/Short Commodity Series, Managed Futures Index Series, Frontier Diversified Series, and Frontier Masters Series investments in unconsolidated Trading Companies as of September 30, 2009, and December 31, 2008. These investments represent cash and open trade equity invested in the Trading Companies by each Series and cumulative trading profits or losses allocated to each Series by the Trading Companies. Trading Companies allocate trading profits or losses on the basis of the proportion of each Series’ capital allocated for trading to each respective Trading Company, which bears no relationship to the amount of cash invested by a Series in the Trading Company.

41

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

	As of September 30, 2009				As of December 31, 2008
Trading Company	Percentage of Series Net Assets Invested in Trading Co.		Fair Value		Percentage of Series Net Assets Invested in Trading Co.		Fair Value
Balanced Series—
Frontier Trading Company II LLC and Frontier Trading Company VII, LLC	9.47	%	$	39,610,131	5.85	%	$	19,528,370
Winton Series—
Frontier Trading Company II LLC	5.38	%	$	3,322,573	—		$	—
Campbell/Graham/Tiverton Series—
Frontier Trading Company I LLC, Frontier Trading Company V LLC and Frontier Trading Company VI LLC	25.56	%	$	21,036,365	11.01	%	$	8,559,112
Winton/Graham Series—
Frontier Trading Company II LLC	3.56	%	$	2,536,697	8.65	%	$	4,342,658
Frontier Long/Short Commodity Series—
Frontier Trading Company XIII, LLC	1.30	%	$	1,233,271	—		$	—
Managed Futures Index Series—
Frontier Trading Company IX, LLC	26.23	%	$	1,117,433	22.66	%	$	770,967
Frontier Diversified Series—
Frontier Trading Company I LLC, Frontier Trading Company II LLC, Frontier Trading Company V LLC, Frontier Trading Company VI LLC and Frontier Trading Company VII, LLC	3.42	%	$	1,856,353	—		$	—
Frontier Masters Series—
Frontier Trading Company I LLC and Frontier Trading Company II LLC	3.49	%	$	1,204,624	—		$	—

42

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

The following tables summarize the Balanced Series, Winton Series, Campbell/Graham/Tiverton Series, Winton/Graham Series, Frontier Long/Short Commodity Series, Managed Futures Index Series, Frontier Diversified Series and Frontier Masters Series equity in earnings from Trading Companies for the three months ended September 30, 2009, and 2008.

	Three Months Ended September 30, 2009												Three Months Ended September 30, 2008
Trading Company	Trading Commissions			Realized Gain (Loss)			Change in Unrealized Gain (Loss)			Net Income (Loss)			Trading Commissions			Realized Gain (Loss)			Change in Unrealized Gain (Loss)			Net Income (Loss)
Balanced Series—
Frontier Trading Company II LLC	$	(10,224	)	$	(655,732	)	$	1,276,175		$	610,219		$	(11,241	)	$	(1,212,751	)	$	(1,882,741	)	$	(3,106,733	)
Frontier Trading Company VII, LLC		(545,362	)		39,899,274			(39,744,068	)		(390,156	)		(173,863	)		3,001,894			(1,223,038	)		1,604,993
Total	$	(555,586	)	$	39,243,542		$	(38,467,893	)	$	220,063		$	(185,104	)	$	1,789,143		$	(3,105,779	)	$	(1,501,740	)
Winton Series—
Frontier Trading Company II LLC	$	(16,030	)	$	(898,583	)	$	2,016,056		$	1,101,443			—			—			—			—
Campbell/Graham/ Tiverton Series—
Frontier Trading Company I LLC	$	(12,413	)	$	(582,464	)	$	549,157		$	(45,720	)	$	(12,006	)	$	1,190,705		$	(304,010	)	$	874,689
Frontier Trading Company V LLC		(71,763	)		1,844,101			958,366			2,730,704			—			—			—			—
Frontier Trading Company VI LLC		(9,764	)		37,136			1,221,285			1,248,657			(7,497	)		918,043			(1,698,097	)		(787,551	)
Total	$	(93,940	)	$	1,298,773		$	2,728,808		$	3,933,641		$	(19,503	)	$	2,108,748		$	(2,002,107	)	$	87,138
Winton/Graham Series—
Frontier Trading Company II, LLC	$	(8,935	)	$	(610,875	)	$	1,111,997		$	492,187		$	—		$	—		$	—		$	—
Frontier Trading Company V LLC		—			—			—			—			(17,622	)		(13,167,968	)		11,549,742			(1,635,848	)
Total	$	(8,935	)	$	610,875		$	1,111,997		$	492,187		$	(17,622	)	$	(13,167,968	)	$	11,549,742		$	(1,635,848	)

43

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

Frontier Long/Short Series—
Frontier Trading Company XIII, LLC–	$	(2,617	)	$	(5,415	)	$	274,056		$	266,024			—			—			—			—
Frontier Diversified Series—
Frontier Trading Company I LLC	$	(25,344	)	$	(7,402	)	$	455,543		$	422,797			—			—			—			—
Frontier Trading Company II LLC		(973	)		(54,619	)		126,120			70,528			—			—			—			—
Frontier Trading Company V LLC		(1,273	)		33,738			19,003			51,468			—			—			—			—
Frontier Trading Company VI LLC		(1,102	)		12,372			140,845			152,115			—			—			—			—
Frontier Trading Company VII, LLC		(50,306	)		3,315,379			(3,299,554	)		(34,481	)
Frontier Trading Company XIII, LLC	$	(313	)		15,519			16,222			31,428			—			—			—			—
Total	$	(79,311	)	$	3,314,987		$	(2,541,821	)	$	693,855			—			—			—			—
Frontier Masters Series—
Frontier Trading Company I LLC	$	(14,224	)	$	(63,434	)	$	567,498		$	489,840			—			—			—			—
Frontier Trading Company II LLC		(1,938	)		(86,439	)		250,483			162,106			—			—			—			—
Total	$	(16,162	)	$	(149,873	)	$	817,981		$	651,946			—			—			—			—
Managed Futures Index Series—
Frontier Trading Company IX, LLC	$	(3,313	)	$	(65,852	)	$	(17,148	)	$	(86,313	)	$	(1,178	)	$	(63,140	)	$	(61,722	)	$	(126,040	)

44

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

The following tables summarize the Balanced Series, Winton Series, Campbell/Graham/Tiverton Series, Winton/Graham Series, Frontier Long/Short Commodity Series, Managed Futures Index Series, Frontier Diversified Series and Frontier Masters Series equity in earnings from Trading Companies for the nine months ended September 30, 2009, and 2008.

	Nine Months Ended September 30, 2009												Nine Months Ended September 30, 2008
Trading Company	Trading Commissions			Realized Gain (Loss)			Change in Unrealized Gain (Loss)			Net Income (Loss)			Trading Commissions			Realized Gain (Loss)			Change in Unrealized Gain (Loss)			Net Income (Loss)
Balanced Series—
Frontier Trading Company II LLC	$	(23,472	)	$	(2,656,602	)	$	872,349		$	(1,807,725	)	$	(27,064	)	$	(426,033	)	$	(1,018,940	)	$	(1,472,037	)
Frontier Trading Company VII, LLC		(1,219,711	)		25,863,431			(15,919,099	)		8,724,621			(458,471	)		(1,676,142	)		11,651,421			9,516,808
Total	$	(1,243,183	)	$	23,206,829		$	(15,046,750	)	$	6,916,896		$	(485,535	)	$	(2,102,175	)	$	10,632,481		$	8,044,771
Winton Series—
Frontier Trading Company II LLC	$	(23,033	)	$	(2,361,228	)	$	2,700,361		$	316,100		$	(38,401	)	$	6,765,536		$	200,117		$	6,927,252
Campbell/Graham/ Tiverton Series—
Frontier Trading Company I LLC	$	(46,889	)	$	2,417,043		$	(3,636,680	)	$	(1,266,526	)	$	(15,017	)	$	1,323,763		$	79,205		$	1,387,951
Frontier Trading Company V LLC		(106,342	)		2,059,182			1,095,206			3,048,046			—			—			—			—
Frontier Trading Company VI LLC		(21,615	)		(1,336,451	)		903,580			(454,486	)		(25,348	)		596,068			780,353			1,351,073
Total	$	(174,846	)	$	3,139,774		$	(1,637,894	)	$	1,327,034		$	(40,365	)	$	1,919,831		$	859,558		$	2,739,024
Winton/Graham Series—
Frontier Trading Company II LLC	$	(20,399	)	$	(2,705,362	)	$	802,930		$	(1,922,831	)	$	—		$	—		$	—		$	—
Frontier Trading Company V LLC		(46,668	)		(892,742	)		(397,116	)		(1,336,526	)		(40,869	)		(11,090,962			12,084,989			953,158
Total	$	(67,067	)	$	(3,598,104	)	$	405,814		$	(3,259,357	)	$	(40,869	)	$	(11,090,962	)	$	12,084,989		$	953,158

45

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

Frontier Long/Short Series—
Frontier Trading Company XIII, LLC	$	(5,776	)	$	(58,816	)	$	297,863		$	233,271			—			—		—			—
Frontier Diversified Series—
Frontier Trading Company I LLC	$	(30,082	)	$	(73,518	)	$	246,565		$	142,965			—			—		—			—
Frontier Trading Company II LLC		(1,208	)		(110,535	)		211,913			100,170
Frontier Trading Company V LLC		(1,531	)		25,408			9,685			33,562			—			—		—			—
Frontier Trading Company VI LLC		(1,366	)		(88,709	)		205,196			115,121			—			—		—			—
Frontier Trading Company VII, LLC		(62,761	)		990,987			(895,119	)		33,107			—			—		—			—
Frontier Trading Company XIII, LLC		(313	)		15,519			16,222			31,428			—			—		—			—
Total	$	(97,261	)	$	759,152		$	(205,538	)	$	456,353			—			—		—			—
Frontier Masters Series—
Frontier Trading Company I LLC	$	(18,100	)	$	(81,406	)	$	178,140		$	78,634			—			—		—			—
Frontier Trading Company II LLC		(2,426	)		(202,376	)		430,792			225,990			—			—		—			—
Total	$	(20,526	)	$	(283,782	)	$	608,932		$	304,624			—			—		—			—
Managed Futures Index Series—
Frontier Trading Company IX, LLC	$	(7,510	)	$	(260,261	)	$	(56,326	)	$	(324,097	)	$	(3,335	)	$	61,154	$	(60,030	)	$	(2,211	)

46

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

The statements of financial condition as of September 30, 2009, and December 31, 2008, for the unconsolidated Trading Companies are as follows:

Statements of Financial Condition—September 30, 2009	Frontier Trading Company II LLC		Frontier Trading Company VI LLC		Frontier Trading Company IX, LLC		Frontier Trading Company XIII, LLC
Cash held at futures commission merchants	$	14,310,085	$	9,501,199	$	1,380,043	$	4,821,271
Open trade equity		5,105,956		2,808,808		4,116		910,012
Total assets	$	19,416,041	$	12,310,007	$	1,384,159	$	5,731,283
Members’ equity	$	19,416,041	$	12,310,007	$	1,384,159	$	5,731,283

Statements of Financial Condition—December 31, 2008	Frontier Trading Company V LLC			Frontier Trading Company VI LLC		Frontier Trading Company IX, LLC
Cash held at futures commission merchants	$	5,221,709		$	6,271,352	$	1,794,715
Open trade equity		(111,526	)		109,880		203,419
Total assets	$	5,110,183		$	6,381,232	$	1,998,134
Members’ equity	$	5,110,183		$	6,382,232	$	1,998,134

47

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

The statements of income for the three and nine months ended September 30, 2009 for the unconsolidated Trading Companies are as follows:

Statements of Income—For the Three Months Ended September 30, 2009	Frontier Trading Company II LLC			Frontier Trading Company VI LLC			Frontier Trading Company IX, LLC			Frontier Trading Company XIII, LLC
Interest income	$	(17	)	$	392		$	1,151		$	—
Net realized gain (loss) on investments, less commissions		(2,344,349	)		76,341			(138,585	)		(8,999	)
Change in open trade equity		4,780,831			2,973,249			(44,297	)		838,460
Net income (loss)	$	2,436,465		$	3,049,982		$	(181,731	)	$	829,461
Statements of Income—For the Nine Months Ended September 30, 2009	Frontier Trading Company II LLC			Frontier Trading Company VI LLC			Frontier Trading Company IX, LLC			Frontier Trading Company XIII, LLC
Interest income	$	11,216		$	8,808		$	4,089		$	—
Net realized gain (loss) on investments, less commissions		(10,338,765	)		(3,586,528	)		(743,101	)		(178,729	)
Change in open trade equity		2,986,998			2,698,878			(199,302	)		910,012
Net income (loss)	$	(7,340,551	)	$	(878,842	)	$	(938,314	)	$	731,283

6. Transactions with Affiliates

The Managing Owner contributes funds to the Trust in order to have a 1% interest in the aggregate capital, profits and losses of all Series and in return will receive units designated as general units in the Series in which the Managing Owner invests such funds. The general units may only be purchased by the Managing Owner and may be subject to no advisory fees or advisory fees at reduced rates. Otherwise, the general units hold the same rights as the limited units. The Managing Owner is required to maintain at least a 1% interest (“Minimum Purchase Commitment”) in the aggregate capital, profits and losses of all Series so long as it is acting as the Managing Owner of the Trust. Such contribution was made by the Managing Owner before trading commenced for the Trust and will be maintained throughout the existence of the Trust, and the Managing Owner will make such purchases as are necessary to effect this requirement. Additionally, the Managing Owner agreed with certain regulatory bodies to maintain a 1% interest specifically in the Balanced Series Class 1a Units and Balanced Series Class 2a Units, aggregated, and each of the Long Only Commodity Series, Frontier Long/Short Commodity Series, Managed Futures Index Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters 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. Principals of the Managing Owner or affiliates are allowed to own beneficial interests in the Trust, as well. All Units purchased by the Managing Owner are held for investment purposes only and not for resale. The Managing Owner may make purchases or redemptions at any time on the same terms as any Limited Owner. The Trust has and will continue to have certain relationships with the Managing Owner and its affiliates.

The Balanced Series, in order to make investments in the Currency Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series, advances funds to such Series, for the purpose of investing in the respective Trading Company for such Series on behalf of the Balanced Series.

The following table summarizes the Balanced Series advances to and reductions from the Currency Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series of the Trust for the nine months ending September 30, 2009.

48

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

Balanced Series

Summary by Quarter

2009

	Currency Series			Frontier Diversified Series			Frontier Dynamic Series			Frontier Masters Series			Total
Inter-series receivables January 1, 2009	$	14,679,460		$	—		$	—		$	—		$	14,679,460
Additions during period		—			—			—			—			—
Reduction during period		—			—			—			—			—
Earnings in investments in Inter-Series Receivables		(745,512	)		—			—			—			(745,512	)
Inter-series receivables March 31, 2009	$	13,933,948		$	—		$	—		$	—		$	13,933,948
														—
Additions during period		—			35,000,000			30,000,000			28,000,000			93,000,000
Reduction during period		—			—			—			—			—
Earnings in investments in Inter-Series Receivables		(337,249	)		(625,551	)		(847,463	)		(538,696	)		(2,348,959	)
Inter-series receivables June 30, 2009	$	13,596,699		$	34,374,449		$	29,152,537		$	27,461,304		$	104,584,989
Additions during period		—			—			—			—			—
Reduction during period		—			—			—			—			—
Earnings in investments in Inter-Series Receivables		(506,280	)		451,702			(26,501	)		222,585			141,506
Inter-series receivables September 30, 2009	$	13,090,419		$	34,826,151		$	29,126,036		$	27,683,889		$	104,726,495

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, Frontier Long/Short Commodity Series Class 1a and Class 2a, Managed Futures Index Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series, 2.5% for the Winton/Graham Series and Campbell/Graham/Tiverton Series, and 3.5% for the Frontier Long/Short Commodity Series Class 1 and Class 2. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) for such Series.

In connection with each Series’ trading activities, each Series of Units pays to the Managing Owner a monthly trading fee of up to 0.75% of such Series’ NAV annually.

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 Frontier 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 Frontier Long/Short Commodity Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee is 25% for the Balanced Series and the Frontier Diversified Series and 20% for the Winton Series Currency Series, Winton/Graham Series Campbell/Graham/Tiverton Series, Frontier Long/Short Commodity Series, Frontier Dynamic Series and Frontier Masters Series. There is no incentive fee for the Long Only Commodity Series or the Managed Futures Index Series. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series.

In addition, with respect to Class 1 and Class 1a Units of each Series, as applicable, the Series pays monthly or quarterly to the Managing Owner a service fee at an annualized rate, as described in more detail above, which the Managing Owner pays to selling agents of the Trust.

49

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

The following table summarizes fees earned by the Managing Owner for the three and nine months ended September 30, 2009.

Series: Three Months	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified	$	61,573	$	238,385	$	103,872	$	37,029
Frontier Dynamic		—		175,075		—		19,136
Frontier Long/Short Commodity		756,119		84,684		394,978		355,681
Frontier Masters		114,063		173,101		—		22,973
Balanced		258,424		426,936		1,617,711		2,346,679
Campbell/Graham/Tiverton		577,342		101,597		218,702		537,325
Currency		38,751		31,210		—		72,949
Long Only Commodity		13,603		5,423		—		17,712
Managed Futures Index		21,711		5,491		—		10,670
Winton		328,132		76,757		—		387,216
Winton/Graham		438,658		76,851		256,842		367,929

Series: Nine Months	Management Fee		Trading Fee		Incentive Fee			Service Fee
Frontier Diversified	$	74,811	$	287,854	$	145,898		$	42,281
Frontier Dynamic		—		218,030		—			23,633
Frontier Long/Short Commodity		2,056,185		259,232		1,660,433			1,083,458
Frontier Masters		139,150		212,853		9,073			27,199
Balanced		1,115,570		1,489,970		5,567,945			6,776,656
Campbell/Graham/Tiverton		1,677,638		319,092		216,562			1,606,061
Currency		120,235		110,991		—			236,328
Long Only Commodity		38,594		15,413		—			50,304
Managed Futures Index		56,805		14,694		—			31,533
Winton		1,049,242		255,442		(21,347	)		1,249,973
Winton/Graham		1,093,344		207,959		251,038			1,031,526

The following table summarizes fees payable to the Managing Owner as of September 30, 2009.

Series:	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified	$	17,273	$	69,241	$	85,313	$	191
Frontier Dynamic		—		37,714		—		—
Frontier Long/Short Commodity		162,510		17,909		309,053		50,917
Frontier Masters		34,521		44,792		—		271
Balanced		100,975		81,078		1,075,207		248,181
Campbell/Graham/Tiverton		130,668		21,274		205,702		89,325
Currency		7,787		6,981		2,171		9,686
Long Only Commodity		4,562		1,771		—		4,807
Managed Futures Index		7,232		1,777		—		2,132
Winton		89,324		18,085		—		69,115
Winton/Graham		108,377		16,368		256,842		35,200

50

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

With respect to the service fees, the initial service fee (for the first 12 months) relating to a sale of the Units is prepaid by the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following the sale. Since the Managing Owner is prepaying the initial service fee for the first year and is being reimbursed for such payment by the Series monthly in arrears based upon a corresponding percentage of NAV, it bears the risk of the downside 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 nine months ended September 30, 2009, due to variations in NAVs, amounts paid or payable to the Managing Owner for the difference in monthly service fees from the prepaid initial service fees was $32,160 for the Balanced Series, $7,637 for the Campbell/Graham/Tiverton Series, $874 for the Managed Futures Index Series, $8,724 for the Winton Series, $$2,136 for the Diversified Series and $345 for the Masters Series. For the nine months ended September 30, 2009, amounts received or receivable from the Managing Owner for the difference in monthly service fees from prepaid initial service fees was $6,370 for the Winton/Graham Series, $3,880 from the Frontier Long/Short Commodity Series, $4,211 for the Currency Series, $7 for the Masters Series and $5,279 from the Long Only Commodity Series.

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), Campbell/Graham/Tiverton Series, Currency Series, Winton Series, and Winton/Graham Series. In addition, if interest rates fall below 0.75% (calculated daily based on each Series’ NAV), the Managing Owner will be paid the difference between the Trust’s annualized interest income allocated to the foregoing Series and 0.75%. For the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner. During the nine months ended September 30, 2009, the Trust paid $7,959,941 of such interest income to the Managing Owner.

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. The amount paid under this agreement was $1,275,479 for the nine months ended September 30, 2009. 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 $340,784 for the nine months ended September 30, 2009.

Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $2,295,863 for the nine months ended September 30, 2009.

Equinox Distributors, Inc. (“EDI”), a wholly owned subsidiary of the Managing Owner, served as wholesaler of the Trust until the termination of the agreement to provide such wholesaling services on April 21, 2009. Its results are consolidated with the results of the Managing Owner. On April 21, 2009, Bornhoft Group Securities Corporation, an affiliate of the Managing Owner, entered into an agreement to provide wholesaling services to the Trust.

51

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

7. Financial Highlights

The following information presents the financial highlights of the Fund for the three months ended September 30, 2009 and 2008. This data has been derived from information presented in the financial statements.

	Balanced															Winton						Campbell/Graham/Tiverton
	Class 1			Class 1a			Class 2			Class 2a			Class 3a			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, June 30, 2009	$	121.06		$	108.14		$	139.84		$	118.73		$	118.74		$	117.44		$	128.00		$	102.03		$	116.29
Net operating results:
Interest income		0.09			0.08			0.11			0.09			0.09			0.10			0.11			0.09			0.10
Expenses		(1.60	)		(1.43	)		(0.80	)		(0.68	)		(0.68	)		(1.64	)		(0.83	)		(1.90	)		(1.31	)
Net gain/(loss) on investments, net of non-controlling interests		2.90			2.42			3.38			2.68			2.67			2.22			2.44			5.08			5.83
Net income		1.39			1.07			2.68			2.09			2.08			0.68			1.72			3.26			4.63
Net asset value, September 30, 2009	$	122.45		$	109.21		$	142.52		$	120.82		$	120.82		$	118.12		$	129.72		$	105.29		$	120.92
Ratios to average net assets (3)
Net investment gain/(loss)		-5.03	%		-5.03	%		-2.01	%		-2.01	%		-1.00	%		-5.32	%		-2.29	%		-8.65	%		-4.96	%
Expenses before incentive fees		3.72	%		3.72	%		0.69	%		0.69	%		0.34	%		5.67	%		2.63	%		7.76	%		4.07	%
Expenses after incentive fees		5.34	%		5.34	%		2.31	%		2.31	%		1.16	%		5.67	%		2.63	%		9.07	%		5.38	%
Total return before incentive fees (2)		1.53	%		1.35	%		2.28	%		2.14	%		2.93	%		0.55	%		1.31	%		4.17	%		5.05	%
Total return after incentive fees (2)		1.13	%		0.95	%		1.87	%		1.73	%		2.52	%		0.55	%		1.31	%		3.84	%		4.72	%

	Currency						Winton/Graham						Frontier Long/Short
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 3			Class 1a			Class 2a
Per unit operating performance (1)
Net asset value, June 30, 2009	$	87.78		$	101.24		$	106.45		$	122.30		$	109.18		$	120.52		$	120.51		$	97.53		$	97.64
Net operating results:
Interest income		0.15			0.17			0.10			0.11			0.49			0.56			0.36			0.39			0.52
Expenses		(1.12	)		(0.56	)		(2.15	)		(1.55	)		(2.88	)		(2.35	)		(1.52	)		(2.31	)		(2.20	)
Net gain/(loss) on investments, net of non-controlling interests		(2.94	)		(3.38	)		6.55			7.58			3.43			3.85			3.23			2.96			3.13
Net income		(3.91	)		(3.77	)		4.49			6.14			1.04			2.06			2.07			1.04			1.45
Net asset value, September 30, 2009	$	83.87		$	97.47		$	110.94		$	128.44		$	110.22		$	122.58		$	122.58		$	98.57		$	99.09
Ratios to average net assets (3)
Net investment gain/(loss)		-4.63	%		-1.59	%		-7.72	%		-4.68	%		-9.37	%		-6.13	%		-3.07	%		-4.68	%		-3.07	%
Expenses before incentive fees		5.33	%		2.30	%		6.40	%		3.37	%		8.70	%		5.47	%		2.73	%		4.35	%		2.73	%
Expenses after incentive fees		5.33	%		2.30	%		8.08	%		5.05	%		11.27	%		8.03	%		4.02	%		5.63	%		4.02	%
Total return before incentive fees (2)		-4.73	%		-3.89	%		4.60	%		5.31	%		1.66	%		2.41	%		3.08	%		2.74	%		1.77	%
Total return after incentive fees (2)		-4.73	%		-3.89	%		4.18	%		4.89	%		1.02	%		1.77	%		2.44	%		2.10	%		1.13	%

	Long Only						Managed Futures Index						Frontier Diversified						Frontier Dynamic						Frontier Masters
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, June 30, 2009	$	75.13		$	80.35		$	120.81		$	128.89		$	98.11		$	98.21		$	97.07		$	97.18		$	97.97		$	98.08
Net operating results:
Interest income		0.33			0.38			0.52			0.56			2.94			2.94			59.35			59.60			6.56			6.58
Expenses		(0.71	)		(0.37	)		(1.34	)		(0.79	)		(8.14	)		(6.85	)		(94.51	)		(80.66	)		(16.86	)		(14.88	)
Net gain/(loss) on investments, net of non-controlling interests		2.73			2.75			(2.26	)		(2.41	)		6.04			5.20			34.65			20.97			10.65			9.09
Net income		2.35			2.75			(3.08	)		(2.65	)		0.84			1.29			(0.51	)		(0.09	)		0.35			0.79
Net asset value, September 30, 2009	$	77.48		$	83.10		$	117.73		$	126.24		$	98.95		$	99.50		$	96.56		$	97.09		$	98.32		$	98.87
Ratios to average net assets (3)
Net investment gain/(loss)		-1.43	%		0.00	%		-2.77	%		-0.74	%		-10.58	%		-7.92	%		-72.54	%		-43.26	%		-21.12	%		-16.95	%
Expenses before incentive fees		2.65	%		1.22	%		4.51	%		2.49	%		12.98	%		10.32	%		194.96	%		165.68	%		34.57	%		30.40	%
Expenses after incentive fees		2.65	%		1.22	%		4.51	%		2.49	%		16.55	%		13.89	%		194.96	%		165.68	%		34.57	%		30.40	%
Total return before incentive fees (2)		2.22	%		2.23	%		-2.55	%		-2.08	%		4.12	%		4.53	%		-0.72	%		-1.13	%		3.93	%		5.00	%
Total return after incentive fees (2)		2.22	%		2.23	%		-2.55	%		-2.08	%		2.34	%		2.75	%		-0.72	%		-1.13	%		3.93	%		5.00	%

(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 non-controlling 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

52

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

Three Months Ended September 30, 2008

	Balanced												Winton
	Class 1			Class 1a			Class 2			Class 2a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, June 30, 2008	$	115.47		$	103.39		$	129.43		$	110.21		$	127.68		$	135.04
Net operating results:
Interest income		0.08			0.07			0.09			0.08			0.09			0.10
Expenses		(1.66	)		(1.48	)		(0.90	)		(0.77	)		(1.68	)		(0.82	)
Net gain/(loss) on investments, net of non-controlling interests		(0.85	)		(0.80	)		(0.96	)		(0.85	)		(8.31	)		(8.80	)
Net income		(2.43	)		(2.21	)		(1.77	)		(1.54	)		(9.90	)		(9.52	)
Net asset value, September 30, 2008	$	113.04		$	101.18		$	127.66		$	108.67		$	117.78		$	125.52
Ratios to average net assets (3)
Net investment gain/(loss)		-5.52	%		-5.52	%		-2.52	%		-2.52	%		-5.22	%		-2.21	%
Expenses before incentive fees		4.15	%		4.15	%		1.15	%		1.15	%		5.14	%		2.14	%
Expenses after incentive fees		5.81	%		5.81	%		2.81	%		2.81	%		5.52	%		2.52	%
Total return before incentive fees (2)		-1.66	%		-1.71	%		-0.90	%		-0.82	%		-8.09	%		-7.32	%
Total return after incentive fees (2)		-2.08	%		-2.13	%		-1.31	%		-1.24	%		-8.19	%		-7.42	%
	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, June 30, 2008	$	100.37		$	111.07		$	103.92		$	116.31		$	111.88		$	124.72
Net operating results:
Interest income		0.08			0.08			0.10			0.12			0.07			0.08
Expenses		(1.85	)		(1.23	)		(1.31	)		(0.60	)		(1.54	)		(0.82	)
Net gain/(loss) on investments, net of non-controlling interests		(1.13	)		(1.24	)		(7.01	)		(7.89	)		(6.12	)		(6.83	)
Net income		(2.91	)		(2.39	)		(8.21	)		(8.37	)		(7.58	)		(7.57	)
Net asset value, September 30, 2008	$	97.46		$	108.68		$	95.71		$	107.94		$	104.30		$	117.15
Ratios to average net assets (3)
Net investment gain/(loss)		-7.19	%		-4.19	%		-4.66	%		-1.66	%		-5.45	%		-2.46	%
Expenses before incentive fees		6.76	%		3.76	%		5.06	%		2.06	%		5.79	%		2.80	%
Expenses after incentive fees		7.49	%		4.49	%		5.06	%		2.06	%		5.73	%		2.74	%
Total return before incentive fees (2)		-2.80	%		-1.90	%		-8.20	%		-9.80	%		-6.65	%		-5.25	%
Total return after incentive fees (2)		-2.99	%		-2.09	%		-8.20	%		-9.80	%		-6.63	%		-5.24	%
	Long Only						Long/Short						Managed Futures Index
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, June 30, 2008	$	143.47		$	150.46		$	112.56		$	120.69		$	110.12		$	115.46
Net operating results:
Interest income		0.55			0.57			0.47			0.51			0.47			0.49
Expenses		(1.15	)		(0.55	)		(2.28	)		(1.58	)		(1.15	)		(0.65	)
Net gain/(loss) on investments, net of non-controlling interests		(34.52	)		(36.27	)		(6.36	)		(6.84	)		(6.68	)		(7.09	)
Net income		(35.13	)		(36.25	)		(8.17	)		(7.91	)		(7.36	)		(7.25	)
Net asset value, September 30, 2008	$	108.34		$	114.21		$	104.39		$	112.78		$	102.76		$	108.21
Ratios to average net assets (3)
Net investment gain/(loss)		-1.93	%		0.06	%		-6.66	%		-3.67	%		-2.55	%		-0.55	%
Expenses before incentive fees		3.68	%		1.69	%		6.98	%		3.98	%		4.31	%		2.31	%
Expenses after incentive fees		3.68	%		1.69	%		8.41	%		5.42	%		4.31	%		2.31	%
Total return before incentive fees (2)		-27.99	%		-28.06	%		-7.13	%		-5.91	%		-5.89	%		-7.00	%
Total return after incentive fees (2)		-27.99	%		-28.06	%		-7.49	%		-6.27	%		-5.89	%		-7.00	%

(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 non-controlling 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

53

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

The following information presents the financial highlights of the Fund for the nine months ended September 30, 2009 and 2008. This data has been derived from information presented in the financial statements.

	Balanced															Winton						Campbell/Graham/Tiverton
	Class 1			Class 1a			Class 2			Class 2a			Class 3a			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2008 or beginning of operations	$	125.17		$	112.09		$	142.44		$	121.30		$	121.97		$	130.41		$	140.04		$	110.54		$	124.14
Net operating results:
Interest income		0.23			0.20			0.26			0.22			0.22			0.54			0.59			0.35			0.39
Expenses		(5.36	)		(4.79	)		(2.99	)		(2.54	)		(2.51	)		(5.09	)		(2.55	)		(5.24	)		(3.26	)
Net gain/(loss) on investments, net of non-controlling interests		2.41			1.71			2.82			1.84			1.14			(7.74	)		(8.36	)		(0.36	)		(0.36	)
Net income		(2.72	)		(2.88	)		0.08			(0.48	)		(1.15	)		(12.29	)		(10.32	)		(5.25	)		(3.22	)
Net asset value, September 30, 2009	$	122.45		$	109.21		$	142.52		$	120.82		$	120.82		$	118.12		$	129.72		$	105.29		$	120.92
Ratios to average net assets (3)
Net investment gain/(loss)		-5.58	%		-5.58	%		-2.58	%		-2.58	%		-5.88	%		-4.98	%		-1.98	%		-6.96	%		-3.59	%
Expenses before incentive fees		3.90	%		3.90	%		0.90	%		0.90	%		2.05	%		5.61	%		2.61	%		7.05	%		3.68	%
Expenses after incentive fees		5.83	%		5.83	%		2.83	%		2.83	%		6.43	%		5.57	%		2.57	%		7.45	%		4.08	%
Total return before incentive fees (2)		-0.94	%		-1.41	%		1.28	%		0.80	%		2.21	%		-10.23	%		-7.90	%		-5.23	%		-2.56	%
Total return after incentive fees (2)		-2.38	%		-2.85	%		-0.16	%		-0.65	%		0.77	%		-10.19	%		-7.86	%		-5.53	%		-2.86	%

	Currency						Winton/Graham						Frontier Long/Short
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 3			Class 1a			Class 2a
Per unit operating performance (1)
Net asset value, December 31, 2008 or beginning of operations	$	96.19		$	109.30		$	116.18		$	131.49		$	100.39		$	109.28		$	122.70		$	100.00		$	100.00
Net operating results:
Interest income		0.38			0.44			0.37			0.42			1.52			1.71			1.12			1.21			1.62
Expenses		(3.55	)		(1.78	)		(5.33	)		(3.30	)		(8.85	)		(7.27	)		(4.75	)		(7.05	)		(6.86	)
Net gain/(loss) on investments, net of non-controlling interests		(9.15	)		(10.48	)		(0.28	)		(0.18	)		17.15			18.85			3.51			4.41			4.33
Net income		(12.32	)		(11.83	)		(5.24	)		(3.05	)		9.83			13.30			(0.12	)		(1.43	)		(0.91	)
Net asset value, September 30, 2009	$	83.87		$	97.47		$	110.94		$	128.44		$	110.22		$	122.58		$	122.58		$	98.57		$	99.09
Ratios to average net assets (3)
Net investment gain/(loss)		-4.77	%		-1.77	%		-6.03	%		-3.04	%		-9.48	%		-6.39	%		-14.53	%		-9.48	%		-6.39	%
Expenses before incentive fees		5.34	%		2.34	%		5.92	%		2.92	%		7.96	%		4.87	%		11.07	%		7.96	%		4.87	%
Expenses after incentive fees		5.34	%		2.34	%		6.48	%		3.48	%		11.45	%		8.36	%		19.01	%		11.45	%		8.36	%
Total return before incentive fees (2)		-14.01	%		-11.62	%		-4.01	%		-2.36	%		12.67	%		13.95	%		1.70	%		4.38	%		3.29	%
Total return after incentive fees (2)		-14.01	%		-11.62	%		-4.43	%		-2.78	%		10.06	%		11.34	%		-0.91	%		1.77	%		0.68	%

	Long Only						Managed Futures Index						Frontier Diversified						Frontier Dynamic						Frontier Masters
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2008 or beginning of operations	$	70.31		$	74.46		$	132.18		$	139.70		$	100.00		$	100.00		$	100.00		$	100.00		$	100.00		$	100.00
Net operating results:
Interest income		0.93			1.05			1.55			1.64			4.41			4.42			153.15			134.74			22.70			22.42
Expenses		(1.97	)		(1.02	)		(4.01	)		(2.30	)		(12.59	)		(10.76	)		(245.77	)		(183.58	)		(59.55	)		(52.09	)
Net gain/(loss) on investments, net of non-controlling interests		8.21			8.61			(11.99	)		(12.81	)		7.14			5.84			89.19			45.93			35.17			28.54
Net income		7.17			8.64			(14.45	)		(13.46	)		(1.05	)		(0.50	)		(3.44	)		(2.91	)		(1.68	)		(1.13	)
Net asset value, September 30, 2009	$	77.48		$	83.10		$	117.73		$	126.24		$	98.95		$	99.50		$	96.56		$	97.09		$	98.32		$	98.87
Ratios to average net assets (3)
Net investment gain/(loss)		-1.48	%		0.04	%		-2.67	%		-0.67	%		-26.57	%		-20.53	%		-171.22	%		-102.60	%		-52.92	%		-43.14	%
Expenses before incentive fees		2.80	%		1.29	%		4.37	%		2.36	%		30.88	%		24.84	%		454.30	%		385.68	%		83.62	%		73.84	%
Expenses after incentive fees		2.80	%		1.29	%		4.37	%		2.36	%		40.87	%		34.83	%		454.30	%		385.68	%		85.52	%		75.74	%
Total return before incentive fees (2)		7.80	%		8.36	%		-11.11	%		-8.29	%		6.02	%		6.53	%		-1.58	%		-2.40	%		5.42	%		6.70	%
Total return after incentive fees (2)		7.80	%		8.36	%		-11.11	%		-8.29	%		2.90	%		3.41	%		-1.58	%		-2.40	%		4.82	%		6.11	%

(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 non-controlling 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

54

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

Nine Months Ended September 30, 2008

	Balanced												Winton
	Class 1			Class 1a			Class 2			Class 2a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2007	$	101.46		$	90.90		$	112.00		$	95.47		$	113.83		$	118.61
Net operating results:
Interest income		0.43			0.39			0.48			0.41			0.45			0.47
Expenses		(7.19	)		(6.43	)		(5.28	)		(4.51	)		(8.04	)		(5.57	)
Net gain/(loss) on investments, net of non-controlling interests		18.34			16.32			20.46			17.30			11.54			12.01
Net income		11.58			10.28			15.66			13.20			3.95			6.91
Net asset value, September 30, 2008	$	113.04		$	101.18		$	127.66		$	108.67		$	117.78		$	125.52
Ratios to average net assets (3)
Net investment gain/(loss)		-8.28	%		-8.28	%		-5.26	%		-5.26	%		-8.31	%		-5.31	%
Expenses before incentive fees		4.33	%		4.33	%		1.31	%		1.31	%		5.07	%		2.07	%
Expenses after incentive fees		8.81	%		8.81	%		5.79	%		5.79	%		8.80	%		5.80	%
Total return before incentive fees (2)		13.97	%		13.72	%		16.36	%		14.51	%		3.56	%		8.32	%
Total return after incentive fees (2)		10.62	%		10.37	%		13.00	%		11.16	%		0.77	%		5.53	%
	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, December 31, 2007	$	91.90		$	100.20		$	100.66		$	111.00		$	95.04		$	104.37
Net operating results:
Interest income		0.36			0.39			0.55			0.61			0.29			0.33
Expenses		(6.33	)		(4.59	)		(4.01	)		(1.89	)		(7.34	)		(5.58	)
Net gain/(loss) on investments, net of non-controlling interests		11.53			12.68			(1.49	)		(1.79	)		16.31			18.04
Net income		5.56			8.48			(4.95	)		(3.06	)		9.26			12.78
Net asset value, September 30, 2008	$	97.46		$	108.68		$	95.71		$	107.94		$	104.30		$	117.15
Ratios to average net assets (3)
Net investment gain/(loss)		-8.31	%		-5.30	%		-4.50	%		-1.48	%		-8.93	%		-5.98	%
Expenses before incentive fees		6.38	%		3.36	%		5.21	%		2.20	%		5.69	%		2.74	%
Expenses after incentive fees		8.81	%		5.80	%		5.21	%		2.20	%		9.30	%		6.35	%
Total return before incentive fees (2)		7.56	%		9.80	%		-6.04	%		-13.94	%		3.26	%		2.24	%
Total return after incentive fees (2)		5.74	%		7.98	%		-6.04	%		-13.94	%		0.56	%		-0.46	%
	Long Only						Long/Short						Managed Futures Index
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2007	$	110.79		$	115.04		$	101.47		$	107.19		$	100.59		$	104.42
Net operating results:
Interest income		1.76			1.82			1.51			1.62			1.45			1.52
Expenses		(3.54	)		(1.71	)		(8.62	)		(6.60	)		(3.48	)		(1.96	)
Net gain/(loss) on investments, net of non-controlling interests		(0.67	)		(0.94	)		10.02			10.57			4.20			4.23
Net income		(2.45	)		(0.83	)		2.92			5.59			2.17			3.79
Net asset value, September 30, 2008	$	108.34		$	114.21		$	104.39		$	112.78		$	102.76		$	108.21
Ratios to average net assets (3)
Net investment gain/(loss)		-1.89	%		0.11	%		-8.76	%		-5.75	%		-2.53	%		-0.52	%
Expenses before incentive fees		3.77	%		1.76	%		6.63	%		3.62	%		4.33	%		2.33	%
Expenses after incentive fees		3.77	%		1.76	%		10.62	%		7.62	%		4.33	%		2.33	%
Total return before incentive fees (2)		-4.23	%		-30.58	%		2.99	%		2.21	%		-1.60	%		-0.45	%
Total return after incentive fees (2)		-4.23	%		-30.58	%		0.00	%		-0.78	%		-1.60	%		-0.45	%

(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 non-controlling 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

8. Derivative Instruments and Hedging Activities

The Trust’s primary business is to engage in the speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). It does not enter into or hold positions for hedging purposes as defined under ASC 815. The detail of the fair

55

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

value of the Trust’s derivatives by instrument type as of September 30, 2009 and December 31, 2008 is included in the Condensed Schedules of Investments. See note 4 for further disclosure related to the Trust’s positions in swap contracts.

For the nine months ended September 30, 2009, the monthly average of futures contracts bought for the Trust was approximately 118,700 and sold for the Trust was approximately 114,800. The following table summarizes the trading revenue for the three months and nine months ended September 30, 2009 approximately by sector:

Realized Trading Revenue from Futures and Forwards and Options

for the Three Months Ended September 30, 2009 ⁽¹⁾

Type of contract	Frontier Long/Short Series			Balanced Series			Currency Series			Winton/Graham Series
Metals	$	3,712,916		$	412,579		$	—		$	557,289
Currencies		271,636			(171,014	)		(103,475	)		(367,998	)
Energies		46,822,429			(680,213	)		—			(968,939	)
Agriculturals		2,183,737			(174,313	)		—			425,314
Interest rates		(141,718	)		(1,271,066	)		—			(1,479,451	)
Stock indices		457,171			1,710,455			—			5,976,507
Realized trading income/(loss)(2)	$	53,306,171		$	(173,572	)	$	(103,475	)	$	4,142,722

56

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

Realized Trading Revenue from Futures and Forwards and Options

for the Nine Months Ended September 30, 2009 ⁽¹⁾

Type of contract	Frontier Dynamic Series		Frontier Long/Short Series		Balanced Series			Campbell/Graham/ Tiverton Series
Metals		—	$	14,703,688	$	(15,145,761	)	$	(523,662	)
Currencies	$	15		1,327,231		5,263,619			1,073,618
Energies		—		17,716,577		(15,384,679	)		(185,872	)
Agriculturals		—		5,083,309		10,551,983			(1,331,375	)
Interest rates		—		269,751		(27,683,526	)		(249,380	)
Stock indices		—		2,522,627		50,231,587			(400,807	)
Realized trading income/(loss)(2)	$	15	$	41,623,183	$	7,833,223		$	(1,617,478	)

Type of contract	Currency Series			Winton Series			Winton/Graham Series
Metals		—		$	(349,440	)	$	336,567
Currencies		(190,562	)		(2,603,191	)		446,430
Energies		—			(447,390	)		(1,592,428	)
Agriculturals		—			(12,665	)		(599,144	)
Interest rates		—			(558,286	)		(2,399,818	)
Stock indices		—			(714,027	)		8,400,708
Realized trading income/(loss)(2)	$	(190,562	)	$	(4,684,999	)	$	4,592,315

(1) The Frontier Diversified Series, Frontier Masters Series and Managed Futures Index Series participate in trading activities through equity in earnings/(loss) from trading companies. The Long Only Commodity Series participates in trading activities through realized gain/(loss) on swap contracts. Campbell/Graham/Tiverton Series deconsolidated Frontier Trading Company V LLC as of April 23, 2009, and thereafter participates in trading activities through equity in earnings/(loss) from trading companies. Winton Series deconsolidated Frontier Trading Company II LLC as of May 28, 2009, and thereafter participates in trading activities through equity in earnings/(loss) from Frontier Trading Company II LLC.

(2) In the Statements of Operations under Net realized gain/(loss) on futures and forwards.

57

The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

Net Change in Open Trade Equity from Futures and Forwards and Options

for the Three Months Ended September 30, 2009 ⁽¹⁾

Type of contract	Frontier Long/Short Series			Balanced Series			Currency Series		Winton/Graham Series
Metals	$	(2,321,541	)	$	5,088,525			—	$	39,998
Currencies		124,871			1,396,165			32,902		1,337,836
Energies		(46,210,400	)		(438,636	)		—		(51,500	)
Agriculturals		(3,205,966	)		2,452,611			—		423,249
Interest rates		(51,203	)		3,137,589			—		490,810
Stock indices		504,104			(141,171	)		—		(253,042	)
Unrealized trading income/(loss)(2)	$	(51,160,135	)	$	11,495,083		$	32,902	$	1,987,351

Net Change in Open Trade Equity from Futures and Forwards

for the Nine Months Ended September 30, 2009 ⁽¹⁾

Type of contract	Frontier Long/Short Series			Balanced Series			Campbell/Graham/ Tiverton Series
Metals	$	(15,266,759	)	$	(1,313,660	)	$	86,477
Currencies		(141,274	)		(2,502,114	)		(970,417	)
Energies		(4,420,641	)		(364,540	)		121,454
Agriculturals		(1,321,448	)		1,497,641			(150,188	)
Interest rates		117,652			344,151			246,961
Stock indices		385,273			757,903			(94,518	)
Unrealized trading income/(loss)(2)	$	(20,647,197	)	$	(1,580,619	)	$	(760,231	)
Type of contract	Currency Series			Winton Series			Winton/Graham Series
Metals		—		$	(2,294,483	)	$	(16,595	)
Currencies		7,757			1,977,629			1,780,673
Energies		—			(60,860	)		(119,397	)
Agriculturals		—			1,048,578			468,525
Interest rates		—			(4,484,327	)		288,675
Stock indices		—			204,656			(168,665	)
Unrealized trading income/(loss)(2)	$	7,757		$	(3,608,807	)	$	2,233,216

(1) The Frontier Diversified Series, Frontier Masters Series and Managed Futures Index Series participate in trading activities through equity in earnings/(loss) from trading companies. The Long Only Commodity Series participates in trading activities through realized gain/(loss) on swap contracts. Campbell/Graham/Tiverton Series deconsolidated Frontier Trading Company V LLC as of April 23, 2009, and thereafter participates in trading activities through equity in earnings/(loss) from trading companies. Winton Series deconsolidated Frontier Trading Company II LLC as of May 28, 2009, and thereafter participates in trading activities through equity in earnings/(loss) from Frontier Trading Company II LLC.

(2) In the Statements of Operations under Net change in open trade equity.

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The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

9. 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.

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

In the case of forward contracts traded on the interbank market and swaps, neither is traded on exchanges. The counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty credit risk. The Managing Owner expects the Trading Advisors to trade only with those counterparties which it believes to be creditworthy. All positions of each Trading Company will be valued each day on a mark-to-market basis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to any Trading Company.

The 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.

10. Indemnifications

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

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The Frontier Fund

Notes to Financial Statements—(Continued)

As of September 30, 2009 (Unaudited)

11. Subsequent Events

The Trust has evaluated the need to disclose events subsequent to the balance sheet date through the filing date of this 10-Q and have the following events to report:

None.

Item 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Introduction

The following discussion and tables should be read in conjunction with our consolidated financial statements and notes thereto included in this quarterly report and our 2008 Annual Report on Form 10-K for the year ended December 31, 2008.

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 and allocates funds to an affiliated limited liability trading company (each a “Trading Company”). Each Trading Company 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 Frontier Dynamic and the Long Only Commodity Series which allocate assets only to Swaps). 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 September 30, 2009 the Trust had eleven separate Series of Units issued and outstanding: the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series, Campbell/Graham/Tiverton Series, Currency Series, Long Only Commodity Series, Managed Futures Index Series, Winton Series and Winton/Graham Series. Each Series of Units has between three and six separate classes issued and/or outstanding—Class 1, Class 2, Class 3, Class 1a, Class 2a, and Class 3a.

Critical Accounting Policies and Estimates

The financial statements of the Trust in this Quarterly Report on Form 10-Q have not been audited by an independent registered public accounting firm, but in the opinion of management, reflect all adjustments necessary for a fair presentation of the Company’s financial position and results of operations. The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”). These interim financial statements have been prepared in accordance with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X and serve to update the Trust’s 2008 Annual Report on Form 10-K (“Form 10-K”). These financial statements do not include all of the information and notes necessary to constitute a complete set of financial statements under GAAP applicable to annual periods. Accordingly, they should be read in conjunction with the financial information contained in the Form 10-K. In the opinion of management, all adjustments necessary for a fair presentation have been included. The results of operations for the interim periods disclosed herein are not necessarily indicative of results that may be expected for the full year or any future period.

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The Trust’s critical accounting policies and related estimates and judgments underlying the financial statements are as identified below.

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

Allocation of Trading Profits or Losses—Each Series of the Trust has three or six classes of Units – Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a). All classes have identical voting, dividend, liquidation and other rights and the same terms and conditions, except that Class 1 and 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, Class 2a, Class 3 and Class 3a Units based on each Class’ respective owners’ capital balances.

Each Series allocates funds to a Trading Company, or Trading Companies, which allocate all of their daily trading profits or losses to the Series in proportion to each Series’ funds allocated to the Trading Company, adjusted on a daily basis. As of September 30, 2009, 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 Trading Companies.

Interest Income—Interest income from all sources, including assets held at clearing brokers and cash and cash equivalents held at banks, is aggregated and allocated across all Series in proportion to their daily NAV, including the effects of inter-series advances and excluding non-controlling interests.

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

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 ASC 820, 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 FASB ASC 820 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 ASC 820 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.

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Custom Time Deposits 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 as of the reporting date. 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 ASC 820. The Trust values the certificates of deposit at face value plus accrued interest and reports these instruments as Level 2 inputs under ASC 820.

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 September 30, 2009, cash deposited at the clearing brokers was $47,198,942 for the Frontier Long/Short Commodity Series, $46,467,881 for the Balanced Series, $477,496 for the Currency Series and $16,159,866 for the Winton/Graham 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 0.20%. 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), Campbell/Graham/Tiverton Series, Currency Series, Winton Series, and Winton/Graham Series. For the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series (Class 1a and Class 2a only), Long Only 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, and time deposits and held by the clearing broker, the over-the-counter counterparties and by U.S. Federally chartered banks. As of September 30, 2009, total cash and cash equivalents (including cash payables to other Series) and custom time deposits held at banking institutions were $39,948,164 for the Frontier Diversified Series, $15,140,702 for the Frontier Dynamic Series, $43,857,769 for the Frontier Long/Short Commodity Series, $21,310,230 for the Frontier Masters Series $127,349,356 for the Balanced Series, $51,355,575 for the Campbell/Graham/Tiverton Series, $14,941,183 for the Currency Series, $3,166,098 for the Long Only Commodity Series, $2,661,600 for the Managed Futures Index Series, $48,865,234 for the Winton Series and $42,818,993 for the Winton/Graham Series.

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Off-Balance Sheet Risk

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

In addition to market risk, trading futures, forward and swap contracts entails credit risk 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 advisors, 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

Three Months Ended September 30, 2009 Compared to Three Months Ended September 30, 2008

Frontier Diversified Series

The Frontier Diversified Series began trading operations on June 9, 2009. The Frontier Diversified Series – Class 1 Net Asset Value gained 0.9% for the three months ended September 30, 2009, net of fees and expenses; the Frontier Diversified Series – Class 2 Net Asset Value gained 1.3% for the three months ended September 30, 2009, net of fees and expenses.

For the three months ended September 30, 2009, the Frontier Diversified Series recorded a net gain on investments of $416,034, net interest of $173,574, and total expenses of $440,859, resulting in a net decrease in Owners’ capital from operations of $148,749.

Please see additional discussion under “Nine Months Ended September 30, 2009 Compared to Nine Months Ended September 30, 2008 – Frontier Diversified Series.”

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Frontier Dynamic Series

The Frontier Dynamic Series began trading operations on June 9, 2009. The Frontier Dynamic Series – Class 1 Net Asset Value lost 0.5% for the three ended September 30, 2009, net of fees and expenses; the Frontier Dynamic Series – Class 2 Net Asset Value lost 0.1% for the three months ended September 30, 2009, net of fees and expenses.

For the three months ended September 30, 2009 the Frontier Dynamic Series recorded a net gain on investments of $63,150, net interest of $129,833, and total expenses of $194,841, resulting in a net decrease in Owners’ capital from operations of $1,858.

Please see additional discussion under “Nine Months Ended September 30, 2009 Compared to Nine Months Ended September 30, 2008 – Frontier Dynamic Series.”

Frontier Long/Short Commodity Series

The Frontier Long/Short Commodity Series – Class 1 Net Asset Value gained 1.0% and lost 7.3%, respectively, for the three months ended September 30, 2009 and 2008, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 Net Asset Value gained 1.7% and lost 6.6%, respectively, for the three months ended September 30, 2009 and 2008, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 Net Asset Value gained 1.7% for the three months ended September 30, 2009, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1a Net Asset Value gained 1.1% for the three months ended September 30, 2009, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a Net Asset Value gained 1.5% for the three months ended September 30, 2009, net of fees and expenses. For the three months ended September 30, 2009, the Frontier Long/Short Commodity Series recorded net gain on investments of $1,658,892, net interest of $292,640, and total expenses of $1,591,462, resulting in a net increase in Owners’ capital from operations of $784,707 after non-controlling interests of $424,637. For the three months ended September 30, 2008, the Long/Short Commodity Series recorded net loss on investments of $1,811,288, net interest of $262,117, and total expenses of $1,196,021, resulting in a net decrease in Owners’ capital from operations of $4,350,185 after non-controlling interests of ($1,604,993).

The Frontier Long/Short Commodity Series was previously designated as the “Long/Short Commodity Series.” The Long/Short Commodity Series was renamed the Frontier Long/Short Commodity Series in May 2009.

Please see additional discussion under “Nine Months Ended September 30, 2009 Compared to Nine Months Ended September 30, 2008 – Frontier Long/Short Commodity Series.”

Frontier Masters Series

The Frontier Masters Series began trading operations on June 9, 2009. The Frontier Masters Series – Class 1 Net Asset Value gained 0.4% for the three months ended September 30, 2009, net of fees and expenses; the Frontier Masters Series – Class 2 Net Asset Value gained 0.8% for the three months ended September 30, 2009, net of fees and expenses.

For the three months ended September 30, 2009 the Frontier Masters Series recorded a net gain on investments of $265,945, net interest of $127,057, and total expenses of $310,137, resulting in a net increase in Owners’ capital from operations of $82,865.

Please see additional discussion under “Nine Months Ended September 30, 2009 Compared to Nine Months Ended September 30, 2008 – Frontier Masters Series.”

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Balanced Series

The Balanced Series – Class 1 Net Asset Value gained 1.1% and lost 2.1%, respectively, for the three months ended September 30, 2009 and 2008, net of fees and expenses; the Balanced Series – Class 1a Net Asset Value gained 1.0% and lost 2.1%, respectively, for the three months ended September 30, 2009 and 2008, net of fees and expenses; the Balanced Series – Class 2 Net Asset Value gained 1.9% and lost 1.4%, respectively, for the three months ended September 30, 2009 and 2008, net of fees and expenses; the Balanced Series – Class 2a Net Asset Value gained 1.8% and lost 1.4%, respectively, for the three months ended September 30, 2009 and 2008, net of fees and expenses; the Balanced Series – Class 3a Net Asset Value gained 1.8% for the three months ended September 30, 2009, net of fees and expenses.

For the three months ended September 30, 2009, the Balanced Series recorded net gain on investments of $11,975,473, net interest of $304,459, and total expenses of $4,649,750, resulting in a net decrease in Owners’ capital from operations of $5,151,354 after non-controlling interests of ($2,478,828). For the three months ended September 30, 2008, the Balanced Series recorded net loss on investments of $1,900,571, net interest of $196,535, and total expenses of $3,590,581, resulting in a net decrease in Owners’ capital from operations of $5,255,715 after non-controlling interests of $38,902.

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

Please see additional discussion under “Nine Months Ended September 30, 2009 Compared to Nine Months Ended September 30, 2008 – Balanced Series.”

Campbell/Graham/Tiverton Series

The Campbell/Graham/Tiverton Series – Class 1 Net Asset Value gained 3.2% and lost 2.9%, respectively, for the three months ended September 30, 2009 and 2008, net of fees and expenses; the Campbell/Graham/Tiverton Series – Class 2 Net Asset Value gained 4.0% and lost 2.2%, respectively for the three months ended September 30, 2009 and 2008, net of fees and expenses.

For the three months ended September 30, 2009, the Campbell/Graham/Tiverton Series recorded net gain on investments of $4,010,009, net interest of $70,057, and total expenses of $1,434,966, resulting in a net increase in Owners’ capital from operations of $2,645,100. For the three months ended September 30, 2008, the Campbell/Graham/Tiverton Series recorded net loss on investments of $1,334,389, net interest of $50,305, and total expenses of $1,191,731, resulting in a net decrease in Owners’ capital from operations of $1,902,748 after non-controlling interests of 573,067.

The Campbell/Graham/Tiverton Series was previously designated as the “Campbell/Graham Series,” and trading for the Series was directed only by Campbell and Graham. The Campbell/Graham Series was renamed the “Campbell/Graham/Tiverton Series” in May 2008 and Tiverton was added as a Trading Advisor to the Series on June 2, 2008.

Please see additional discussion under “Nine Months Ended September 30, 2009 Compared to Nine Months Ended September 30, 2008 – Campbell/Graham/Tiverton Series.”

Currency Series

The Currency Series – Class 1 Net Asset Value lost 4.5% and 7.9%, respectively, for the three months ended September 30, 2009 and 2008, net of fees and expenses; the Currency Series – Class 2 Net Asset Value lost 3.7% and 7.2%, respectively for the three months ended September 30, 2009 and 2008, net of fees and expenses.

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For the three months ended September 30, 2009, the Currency Series recorded net loss on investments of $434,040, net interest of $21,513, and total expenses of $142,910, resulting in a net decrease in Owners’ capital from operations of $555,437. For the three months ended September 30, 2008, the Currency Series recorded net loss on investments of $1,096,028, net interest of $15,163, and total expenses of $171,624, resulting in a net decrease in Owners’ capital from operations of $1,252,489.

All commodity interest positions of the Currency Series during 2009 were within the Currencies sector.

Please see additional discussion under “Nine Months Ended September 30, 2009 Compared to Nine Months Ended September 30, 2008 – Currency Series.”

Long Only Commodity Series

The Long Only Commodity Series – Class 1 Net Asset Value gained 3.1% and lost 24.5%, respectively, for the three months ended September 30, 2009 and 2008, net of fees and expenses; the Long Only Commodity Series – Class 2 Net Asset Value gained 3.4% and lost 24.1% respectively, for the three months ended September 30, 2009 and 2008, net of fees and expenses.

For the three months ended September 30, 2009, the Long Only Commodity Series recorded net gain on investments of $156,775, net interest of $19,060, and total expenses of $36,738, resulting in a net increase in Owners’ capital from operations of $139,097. For the three months ended September 30, 2008, the Long Only Commodity Series recorded net loss on investments of $1,986,414, net interest of $31,699, and total expenses of $61,887, resulting in a net decrease in Owners’ capital from operations of $2,016,602.

Please see additional discussion under “Nine Months Ended September 30, 2009 Compared to Nine Months Ended September 30, 2008 – Long Only Commodity Series.”

Managed Futures Index Series

The Managed Futures Index Series – Class 1 Net Asset Value lost 2.5% and 6.7%, respectively, for the three months ended September 30, 2009 and 2008, respectively, net of fees and expenses; the Managed Futures Index Series – Class 2 Net Asset Value lost 2.1% and 6.3%, respectively, for the three months ended September 30, 2009 and 2008, net of fees and expenses.

For the three months ended September 30, 2009, the Managed Futures Index Series recorded a net loss on investments of $82,380, net interest of $19,088, and total expenses of $37,872, resulting in a net decrease in Owners’ capital from operations of $101,164. For the three months ended September 30, 2008 the Managed Futures Index Series recorded a net loss on investments of $113,530, net interest of $8,831, and total expenses of $18,911, resulting in a net decrease in Owners’ capital from operations of $123,610.

Please see additional discussion under “Nine Months Ended September 30, 2009 Compared to Nine Months Ended September 30, 2008 – Managed Futures Index Series.”

Winton Series

The Winton Series – Class 1 Net Asset Value gained 0.6% and lost 7.8%, respectively, for the three months ended September 30, 2009 and 2008, net of fees and expenses; the Winton Series – Class 2 Net Asset Value gained 1.3% and lost 7.0%, respectively, for the three months ended September 30, 2009 and 2008, net of fees and expenses.

For the three months ended September 30, 2009, the Winton Series recorded net gain on investments of $1,155,872, net interest of $53,124, and total expenses of $792,105, resulting in a net increase in Owners’ capital from operations of $416,891. For the three months ended September 30, 2008, the Winton Series recorded net loss on investments of $9,100,037 net interest of $54,392, and total expenses of $914,369, resulting in a net decrease in Owners’ capital from operations of $5,790,500 after non-controlling interests of 4,169,514.

Please see additional discussion under “Nine Months Ended September 30, 2009 Compared to Nine Months Ended September 30, 2008 – Winton Series.”

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Winton/Graham Series

The Winton/Graham Series – Class 1 Net Asset Value gained 4.2% and lost 6.8%, respectively, for the three months ended September 30, 2009 and 2008, net of fees and expenses; the Winton/Graham Series – Class 2 Net Asset Value gained 5.0% and lost 6.1%, respectively for the three months ended September 30, 2009 and 2008, net of fees and expenses.

For the three months ended September 30, 2009, the Winton/Graham Series recorded net gain on investments of $6,524,420, net interest of $55,724, and total expenses of $1,140,280, resulting in a net increase in Owners’ capital from operations of $2,657,692 after non-controlling interests of ($2,782,172). For the three months ended September 30, 2008, the Winton/Graham Series recorded net loss on investments of $1,456,705, net interest of $20,175, and total expenses of $351,927, resulting in a net decrease in Owners’ capital from operations of $1,788,457.

The Winton/Graham Series was previously designated as the “Graham Series,” and trading for the Series was directed only by Graham. The Graham Series was renamed the “Winton/Graham Series” in May 2008 and Winton was added as a Trading Advisor to the Series on June 18, 2008. Please see additional discussion under “Nine Months Ended September 30, 2009 Compared to Nine Months Ended September 30, 2008 – Winton/Graham Series.”

Nine Months Ended September 30, 2009 Compared to Nine Months Ended September 30, 2008

Market Conditions for Nine Months Ended September 30, 2009

January 2009

Interest Rates

The Federal Open Market Committee decided to keep its target range for the federal funds rate at 0 to 0.25 percent in January, as economic data suggested that the economy has weakened further. The Federal Open Market Committee continued to purchase large quantities of agency debt and mortgage-backed securities to provide support to the mortgage and housing markets, and announced that it will employ all available tools to promote sustainable economic growth, including possibly purchasing long-term U.S. Treasury notes. U.S. interest rate futures, as well as European interest rate futures, finished mixed for the month.

Currencies

The U.S. Dollar strengthened against most other major currencies in January. The U.S. Dollar Index recouped the December loss and finished the month up 5.8%. The Euro and the British Pound weakened against the U.S. Dollar, finishing lower by -8.3% and -0.6% respectively for the month. The Australian Dollar and the Canadian Dollar also weakened again their U.S. counterpart, finishing down 9.6% and 0.7% respectively. The Swiss Franc weakened against the U.S. Dollar, down 7.7% and the Japanese Yen gained against the U.S. dollar, up 0.9%.

Stock Indices

All major U.S. and European stock indices weakened in January. The Dow Jones Industrial Average (DJIA) finished the month down 8.8%, and the S&P 500 Index and NASDAQ Composite Index dropped 8.6% and 6.4% respectively in January. The DJIA, S&P 500 Index and NASDAQ Composite Index have dropped 30.7%, 35.6% and 37.6% respectively since August 2008. In Europe, FTSE index futures finished down 6.8%, CAC-40 futures dropped 8.4% and DAX index futures finished lower by 10.3% for the month.

Energy

Crude oil futures for March delivery finished the month down 14.2%. Crude oil futures have dropped more than 60.7% since August last year. Natural gas futures and heating oil futures for March delivery dropped as well, finishing lower by 21.9% and 2.3%. Gasoline futures prices finished the month up 14.3%.

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Metals

Gold futures for April delivery finished up 4.9% settling at $928/oz. Silver, platinum and palladium futures also finished higher, up 11.2%, 5.3% and 2.4% respectively. Copper futures finished higher by 4.1%.

Agriculturals

Corn and wheat futures for March delivery weakened in January, finishing down 6.9% and 7.0% respectively. Rough rice futures dropped sharply during the month, finishing lower by 22.8%. Soybean oil futures dropped 2.6% and soybean futures for March delivery finished the month unchanged. Cocoa futures and coffee futures for March 2009 delivery finished the month higher by 4.0% and 6.1% respectively. Lumber futures continued its downward path finishing lower by 21.1% for the month.

February 2009

Interest Rates

European rate futures continued to climb on bad news regarding toxic assets in European banks, U.S. rate futures were flat to slightly down. There is general consensus that much of the bad news about U.S. banks has already been addressed, while Europe is still to deal with its toxic asset problems.

Currencies

The U.S. Dollar strengthened against most other major currencies in February. The U.S. Dollar Index continued its January gains and finished February up 2.3%. The Euro and the British Pound continued their declines against the U.S. Dollar, finishing lower by 1.2% and 1.6% respectively for the month.

Stock Indices

All major U.S. and European stock indices continued their dramatic declines in February, as the new U.S. administration struggled with resolving the complex economic issues before the nation, and passed a huge spending bill in an attempt to stimulate the economy. The DJIA plummeted 11.7%, with global markets responding to the economic downturn.

Energy

Crude oil and natural gas futures continued their declines in February on continuing weak demand.

Metals

Gold futures for April delivery finished up 1.5% for the month. Silver, platinum and palladium futures also finished higher, up 4.2%, 9.5% and .66% respectively. Copper futures finished higher by 3.7%.

Agriculturals

Corn and wheat futures for May continued their declines in February, finishing down 8.0% and 10.2% respectively. The soybean complex was down for the month, with meats mixed. With the softs, sugar showed a 5.6% gain, and cotton, coffee, and cocoa showing substantial declines.

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March 2009

Interest Rates

The Federal Open Market Committee decided on March 18th to maintain the target range for the federal funds rate at 0 to 0.25 %, and anticipates that the weak economic conditions are likely to warrant exceptionally low levels of the federal funds rate for an extended period of time. To support the mortgage lending and housing markets, the Federal Open Market Committee decided to increase the size of the Federal Reserve’s balance sheet further by purchasing an additional $750 billion of agency mortgage-backed securities, bringing its total purchases of these securities to up to $1.25 trillion this year. In addition, the Committee decided to increase its purchases of agency debt this year to a total of $200 billion and to purchase up to $300 billion of longer-term Treasury securities over the next six months. U.S. interest rate futures, as well as European interest rate futures, finished higher for the month.

Currencies

The U.S. Dollar weakened against most other major currencies in March. The U.S. Dollar Index finished the month down 2.7%. The Euro and the Swiss Franc strengthened against the U.S. Dollar, finishing up 4.6% and 2.7% respectively. The Australian Dollar and the Canadian Dollar also strengthened against their U.S. counterpart, finishing up 8.2% and 1.2% respectively. The Japanese Yen weakened against the U.S. Dollar, down 1.4% and British Pound finished the month nearly unchanged against the U.S. Dollar.

Stock Indices

All major U.S. and European stock indices strengthened in March. The DJIA finished the month up 7.7%, and the S&P 500 Index and NASDAQ Composite Index gained 8.5% and 10.9% respectively. In Europe, FTSE index futures finished up 3.6%, CAC-40 futures gained 4.6% and DAX index futures finished higher by 6.5% for the month.

Energy

Crude oil futures, heating oil futures and gasoline futures for May delivery finished the month up 5.9%, 7.1% and 3.6% respectively. Natural gas futures finished the month down 11.7%.

Metals

Gold futures for June delivery finished the month down 2.1% settling at $925/oz. Silver futures also finished lower for the month, down 1.0%. Platinum, palladium and copper futures finished higher in March, up 3.6%, 11.8% and 19.9% respectively.

Agriculturals

Corn and soybean futures for May delivery strengthened in March, finishing up 12.7% and 9.2% respectively. Cotton, cocoa and coffee futures for May delivery finished the month higher by 7.4%, 8.4% and 3.4% respectively. Live cattle and lean hogs finished the month slightly down.

April 2009

Interest Rates

The FOMC decided in April to maintain the target range for the Fed Funds rate at 0 to 0.25 percent, as recent economic data suggests that the economy continues to contract. To support the mortgage lending and housing markets, the FOMC has decided to purchase $1.25 trillion of agency mortgage-backed securities this year. In addition, the Committee has decided to increase its purchases of agency debt this year to a total of $200 billion and to purchase up to $300 billion of longer-term Treasury securities over the next six months. U.S. interest rate futures finished lower for the month and European interest rate futures finished mixed for the month.

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Currencies

The U.S. Dollar weakened against most other major currencies in April. The U.S. Dollar index finished the month down 0.9%. The British Pound strengthened against the U.S. dollar, finishing up 3.2%. The Australian Dollar and the Canadian Dollar also strengthened against their U.S. counterpart, finishing up 5.0% and 5.7%, respectively. The Euro weakened slightly against the U.S. Dollar, down 0.2% and the Japanese Yen finished the month up 0.3% against the U.S. dollar.

Stock Indices

All major U.S. and European stock indices continued to strengthen in April. The DJIA finished the month up 7.3%, and the S&P 500 Index and NASDAQ Composite Index gained 9.4% and 12.4% respectively. In Europe, FTSE index futures finished up 7.6%, CAC-40 futures gained 12.3% and DAX index futures finished higher by 16.2% for the month.

Energy

Natural gas futures continued their downward path, finishing down 13.8% in April. Natural gas futures have dropped more than 40% since December 2008. Gasoline futures for June delivery finished the month up 2.5%. Crude oil futures and heating oil futures finished lower by 0.5% and 3.9%, respectively.

Metals

Gold futures for June delivery finished the month down 3.7% settling at $891/oz. Copper futures continued to climb, up 10.4% for the month. Silver, platinum and palladium finished lower in April, down 5.3%, 2.0% and 0.3%, respectively.

Agriculturals

The soybean complex was up for the month; soybean oil futures for July delivery finished up 7.6%, soybeans and soybean meal futures finished higher by 11.0% and 13.3% respectively. Corn and wheat futures for July delivery finished slightly down 2.7% and 1.6% respectively. Cotton continued its upward path, finishing up 14.8% for the month.

May 2009

Interest Rates

U.S. interest rate futures at the longer end of the curve moved significantly lower in May, as investors digested the inflationary potential of the massive borrowing planned by the Federal Reserve. Standard & Poor’s moved its outlook on UK sovereign debt from “stable” to “negative” in response to skyrocketing public debt. Fear of a similar downgrade occurring to the U.S. and rumors of large investors, especially China, diversifying away from the U.S. Dollar caused a widespread pullback in bond prices in the U.S., Great Britain, and across Europe.

Currencies

The U.S. Dollar continued to weaken against most other major currencies in May. The U.S. Dollar index which measures the performance of the U.S. Dollar against a basket of currencies, finished down 6.4%. The Euro and the British Pound strengthened against the U.S. Dollar, finishing up 7.0% and 9.5% respectively. The Australian Dollar and the Canadian Dollar also continued their climb against their U.S. counterpart, finishing up 10.4% and 9.3% respectively. The Japanese Yen finished the month up 3.5% against the U.S. Dollar.

Stock Indices

All major U.S. and European stock indices continued to strengthen in May. The DJIA finished the month up 4.1%, and the S&P 500 Index and NASDAQ Composite Index gained 5.3% and 3.3% respectively. In Europe, FTSE index futures finished up 6.6%, CAC-40 futures gained 8.4% and DAX index futures finished higher by 4.8% for the month.

Energy

Energy futures saw an upswing in prices in May. Crude oil futures, heating oil futures and gasoline futures for July delivery gained 26.8%, 22.5% and 28.8% for the month. Natural gas futures regained some of the April loss, finishing higher by 9.1%.

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Metals

The combination of a declining U.S. Dollar, low interest rates and inflation expectations has been contributing to the rise in precious metals futures prices recently. Silver futures for July delivery strengthened during the month, finishing higher by 26.7%. Gold futures for June delivery finished the month up 9.8% settling at $979/oz. Platinum and palladium finished higher by 8.1% and 8.3% respectively. Copper futures continued to climb, up 7.3% for the month.

Agriculturals

The soybean complex was up for the month; soybean oil futures for July delivery finished up 7.0%, soybeans and soybean meal futures finished higher by 12.2% and 15.7% respectively. Corn and wheat futures for July delivery also finished higher, up 8.1% and 18.8% for the month. Coffee and cocoa futures prices for July delivery also strengthened, finishing higher by 18.6% and 9.0% for the month.

June 2009

Interest Rates

After a dramatic early-month sell-off, short-term interest rate futures on both sides of the Atlantic recovered to finish the month nearly unchanged. Longer term U.S. rate futures finished the month unchanged to slightly down, but the European BOBL (5-year note) and Bund (10-year note) were up strongly in anticipation of continued recession and banking problems in the Euro zone.

Currencies

The U.S. Dollar strengthened slightly in June. The U.S. Dollar index, which measures the performance of the U.S. Dollar against a basket of currencies, finished up 1.0%. The Euro weakened against the U.S. Dollar, finishing lower by 0.9%. The British Pound continued to strengthen again the U.S. Dollar, up 1.6% for the month. The Australian Dollar also continued climbing against its U.S. counterpart, finishing up 0.6%. The Canadian Dollar lost against the U.S. Dollar, finishing lower by 6.1%. The Japanese Yen finished the month down 1.1 % against the U.S. Dollar.

Stock Indices

The DJIA finished the month slightly lower, 0.6% for the month. The NASDAQ Composite Index gained 3.4% while the S&P 500 Index finished the month nearly unchanged. All major European stock indices weakened in June. FTSE index futures finished down 3.8%, CAC-40 futures lost 4.4% and DAX index futures finished lower by 3.1% for the month.

Energy

Crude oil futures, heating oil futures and gasoline futures for August delivery gained 4.2%, 4.4% and 1.2%, respectively, for the month. Natural gas futures for August delivery finished lower by 3.1% in June.

Metals

Gold futures for August delivery weakened during the month, finishing lower by 5.4% settling at $927/oz. Silver futures for September delivery finished the month lower as well, down 13.0%. Palladium finished higher by 5.7% and platinum dropped 1.4%. Copper futures continued to climb, up 3.1% for the month.

Agriculturals

Corn and wheat futures dropped during the month, down 20.0% and 18.5% respectively. The soybean complex also dropped; soybean oil futures finished down 10.0%, soybeans and soybean meal futures finished lower by 7.7% and 5.2% respectively. Coffee and orange juice futures weakened as well, finishing down 14.0% and 19.0% respectively.

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July 2009

Interest Rates

Interest rate futures on both sides of the Atlantic finished mixed to slightly up after a range-bound performance in July. Health care dominated the debate in the U.S., and there was little financial news to push the market one way or the other.

Currencies

The U.S. Dollar weakened in July. The US Dollar Index, which measures the performance of the U.S. Dollar against a basket of currencies, finished down 2.2%. The Euro strengthened against the U.S. Dollar, finishing higher by 1.6%. The British Pound continued to strengthen against the U.S. Dollar, up 1.6% for the month. In spite of volatile energy prices, both the Australian and Canadian Dollars also continued climbing against their U.S. counterpart, finishing up 3.7% and 7.9%, respectively. The Japanese Yen finished the month up 1.8% against the U.S. Dollar.

Stock Indices

Stock markets around the world were generally strong in July. The DJIA finished the month higher by 8.6% for the month. The NASDAQ Composite Index gained 8.5% while the S&P 500 Index finished the month up by 7.4%. All major European stock indices strengthened in July. FTSE index futures finished up 7.9%, CAC-40 futures gained 8.7% and DAX index futures finished higher by 10.7% for the month.

Energy

After a volatile month, the energy complex finished little changed in July. Crude oil and heating oil futures for September delivery lost 2.0% and 0.3%, respectively, while gasoline futures gained 6.1% for the month. Natural gas futures for September delivery finished lower by 8.3% in July.

Metals

Gold futures for December delivery strengthened during the month, finishing higher by 2.8%, settling at $956/oz. Silver futures for September delivery finished the month higher as well, up 2.5%. Palladium finished higher by 5.4% and platinum gained 2.4%. Copper futures continued to climb, finishing up +15.5% for the month.

Agriculturals

Corn and wheat futures dropped during the month, down 4.8% and 2.3%, respectively. After a volatile month, the soybean complex finished little changed. After a dramatic drop in June, coffee strengthened, gaining 6.6%.

August 2009

Interest Rates

After falling earlier in the month, interest rate futures on both sides of the Atlantic recovered. While European rate futures finished little changed, American futures continued climbing to close out August significantly higher, especially those at the shorter end of the curve.

Currencies

Both the U.S. Dollar and the Euro traded in tight ranges throughout August. The British Pound weakened slightly against the U.S. Dollar, down 2.6% for the month. The Japanese Yen also weakened, finishing down 1.6% against the U.S. Dollar.

Stock Indices

Stock markets around the world took a breather to consolidate the gains from July, and generally finished August somewhat higher than the month before. The DJIA finished the month higher by 3.5%. The NASDAQ Composite Index gained 1.5% while the S&P 500 Index finished the month up by 3.4%. Some of the major European stock indices were more volatile in August, with FTSE index futures finishing up 7.6% and CAC-40 futures gaining 7.3%. DAX index futures finished higher by 2.5% for the month.

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Energy

Energy prices fell slightly in August, with October crude prices down 1.7%. Heating oil and gasoline futures were also down, 2.9% and 4.7%, respectively. The big mover of the month was natural gas prices due to healthy supplies and a relatively cool summer, were down 24%.

Metals

Gold futures for December delivery remained in a tight trading range during the month, finishing almost unchanged at $953/oz. Silver futures for December delivery finished the month higher, up 6.8%. Palladium finished higher by 10.4% and platinum gained 2.5%. Copper futures continued to climb, finishing up 7.5% for the month.

Agriculturals

After starting the month with a rally, corn and wheat futures continued to fall, down 5.7% and 10.3%, respectively. The soybean complex had another volatile month but finished little changed.

September 2009

Interest Rates

Recent data suggests that economic activity has picked up to some extent. Financial markets have improved and activity in the housing sector has increased. However, businesses are still cutting back on fixed investment and staffing, though at a slower pace. Interest rate futures, across the curve and on both sides of the Atlantic, finished higher for the month.

Currencies

The U.S. Dollar index dropped during the month, finishing down 1.9%. The Euro strengthened against the U.S. Dollar, up 2.1% for the month. The Canadian Dollar and the Australian Dollar strengthened against their U.S. counterpart as well, finishing up 2.3% and 4.6%, respectively. The British Pound continued to weaken against the U.S. Dollar, down 1.9% for the month. The Japanese Yen strengthened, finishing up 3.8% against the U.S. dollar.

Stock Indices

The DJIA finished September higher by 2.8%. The S&P 500 Index and the NASDAQ Composite Index gained as well, up 3.6% and 1.5%, respectively. Most of the major European stock indices also finished higher. FTSE index futures gained 4.5%, CAC-40 futures finished up 3.7% and DAX index futures finished higher by 4.0% for the month.

Energy

Crude oil futures finished the month nearly unchanged. Heating oil and gasoline futures finished down 0.4% and 2.8%, respectively. Natural gas futures recouped most of the August loss, up 21.1% for the month.

Metals

Most precious metals futures finished higher in September. Gold futures for December delivery finished higher by 5.9% at $1,009/oz. Silver futures for December delivery also finished higher, up 11.6% for the month. Palladium and platinum also gained, up 1.9% and 4.3% in September. Copper futures remained in a tight trading range during the month, finishing nearly unchanged.

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Agriculturals

Wheat futures continued to fall in September, down 8.3%. The soybean complex had another volatile month but finished lower. Corn recouped some of the August loss, finishing higher by 4.3%. Coffee futures rallied mid-month, but dropped later in the month to finish higher by 4.5%.

Market Conditions for Nine Months Ended September 30, 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 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%.

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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 have 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.

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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 have 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 have 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 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 US 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.

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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 intra-day 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 US 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%.

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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%. Lean hogs and live cattle continued to strengthen, finishing up 3.7% and 2.9%. Corn, coffee and cocoa futures finished slightly down 2.1%, 1.1% and 1.9% respectively.

June 2008

Interest Rates

The Federal Open Market Committee decided on June 25th to keep its target for the Federal Funds rate at 2 percent. Federal Reserve policymakers, along with foreign central bank officials, have expressed greater concerns about inflation, stressing the importance of keeping inflation expectations contained. US 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 have 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 have 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%.

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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.

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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 have 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

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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 finish 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 have 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%.

Frontier Diversified Series

2009

The Frontier Diversified Series began trading operations on June 9, 2009. The Frontier Diversified Series – Class 1 Net Asset Value lost 1.1% for the period ended September 30, 2009, net of fees and expenses; the Frontier Diversified Series – Class 2 Net Asset Value lost 0.5% for the period ended September 30, 2009, net of fees and expenses.

For the period ended September 30, 2009 the Frontier Diversified Series recorded a net gain on investments of $489,733, net interest of $208,849, and total expenses of $550,844, resulting in a net increase in Owners’ capital from operations of $147,738. The Net Asset Value per Unit, Class 1, decreased from $100.00 at June 8, 2009, to $98.95 as of September 30, 2009. The Net Asset Value per Unit, Class 2, decreased from $100.00 at June 8, 2009, to $99.50 as of September 30, 2009. Total Class 1 subscriptions for the period were $10,410,312. There were no redemptions. Total Class 2 subscriptions for the period were $8,896,064. There were no redemptions. Ending capital at September 30, 2009, was $10,475,231 for Class 1 and $8,978,883 for Class 2.

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The Frontier Diversified Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

Sector Attribution for the Frontier Diversified Series

Frontier Dynamic Series

2009

The Frontier Dynamic Series began trading operations on June 9, 2009. The Frontier Dynamic Series – Class 1 Net Asset Value lost 3.4% for the period ended September 30, 2009, net of fees and expenses; the Frontier Dynamic Series – Class 2 Net Asset Value lost 2.9% for the period ended September 30, 2009, net of fees and expenses.

For the period ended September 30, 2009 the Frontier Dynamic Series recorded a net gain on investments of $78,195, net interest of $160,028, and total expenses of $241,663, resulting in a net decrease in Owners’ capital from operations of $3,440. The Net Asset Value per Unit, Class 1, decreased from $100.00 at June 8, 2009, to $96.56 as of September 30, 2009. The Net Asset Value per Unit, Class 2, decreased from $100.00 at June 8, 2009, to $97.09 as of September 30, 2009. Total Class 1 subscriptions for the period were $254,118. There were no redemptions. Total Class 2 subscriptions for the period were $144,200. There were no redemptions. Ending capital at September 30, 2009, was $252,375 for Class 1 and $142,503 for Class 2.

The Frontier Dynamic Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

The Dynamic Series invests in an option market basket of which the underlying investments are not transparent to the Trust. Therefore there are no Sector Attribution charts for the Dynamic Series.

Frontier Long/Short Commodity Series

2009

The Frontier Long/Short Commodity Series – Class 1 Net Asset Value gained 9.8% for the nine months ended September 30, 2009, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 Net Asset Value gained 12.2% for the nine months ended September 30, 2009, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 Net Asset Value lost 0.1% for the nine months ended September 30, 2009, net of fees

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and expenses; the Frontier Long/Short Commodity Series – Class 1a Net Asset Value lost 1.4% for the nine months ended September 30, 2009, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a Net Asset Value lost 0.9% for the nine months ended September 30, 2009, net of fees and expenses.

For the nine months ended September 30, 2009, the Frontier Long/Short Commodity Series recorded net gain on investments of $19,081,775, net interest of $936,679, and total expenses of $5,059,308, resulting in a net increase in Owners’ capital from operations of $6,201,418 after non-controlling interests of ($8,757,728). The Net Asset Value per Unit, Class 1, increased from $100.39 at December 31, 2008, to $110.22 as of September 30, 2009. The Net Asset Value per Unit, Class 2, increased from $109.28 at December 31, 2008, to $122.58 as of September 30, 2009. The Net Asset Value per Unit, Class 3, decreased from $122.70 at May 29, 2009, to $122.58 as of September 30, 2009. The Net Asset Value per Unit, Class 1a, decreased from $100.00 at June 8, 2009, to $98.57 as of September 30, 2009. The Net Asset Value per Unit, Class 2a, decreased from $100.00 at June 8, 2009, to $99.09 as of September 30, 2009. Total Class 1 subscriptions and redemptions for the nine months were $7,034,013 and $12,427,347, respectively. Total Class 2 subscriptions and redemptions for the nine months were $3,221,195 and $1,365,434, respectively. Total Class 3 subscriptions and redemptions for the nine months were $6,696,779 and $462,935, respectively. Total Class 1a subscriptions for the nine months were $330,539. There were no redemptions. Total Class 2a subscriptions for the nine months were $287,000. There were no redemptions. Ending capital at September 30, 2009, was $45,829,180 for Class 1, $14,593,785 for Class 2, $6,204,677 for Class 3, $332,195 for Class 1a and $287,686 for Class 2a. Ending capital at December 31, 2008, was $46,525,406 for Class 1 and $11,206,889 for Class 2.

The Frontier Long/Short Commodity Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors, although the majority of the exposure will typically be in the Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

Sector Attribution for the Frontier Long/Short Commodity Series

2008

The Long/Short Commodity Series – Class 1 Net Asset Value gained 2.9% for the nine months ended September 30, 2008, net of fees and expenses; the Long/Short Commodity Series – Class 2 Net Asset Value gained 5.2% for the nine months ended September 30, 2008, net of fees and expenses.

For the nine months ended September 30, 2008, the Long/Short Commodity Series recorded net gain on investments of $12,531,194, net interest of $681,270, and total expenses of $3,742,359, resulting in a net decrease in Owners’ capital from operations of $46,703 after non-controlling interests of ($9,516,808). The Net Asset Value per Unit,

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Class 1, increased from $101.47 at December 31, 2007, to $104.39 as of September 30, 2008. The Net Asset Value per Unit, Class 2, increased from $107.19 at December 31, 2007, to $112.78 as of September 30, 2008. Total Class 1 subscriptions and redemptions for the nine months were $24,853,677 and $4,356,405, respectively. Total Class 2 subscriptions and redemptions for the nine months were $7,073,727 and $240,913, respectively. Ending capital at September 30, 2008, was $51,589,347 for Class 1 and $10,445,672 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 may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors, although the majority of the exposure will typically be in the Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Nine Months Ended September 30, 2008, for additional information regarding these sectors.

Sector Attribution for the Long/Short Commodity Series

Frontier Masters Series

2009

The Frontier Masters Series began trading operations on June 9, 2009. The Frontier Masters Series – Class 1 Net Asset Value lost 1.7% for the period ended September 30, 2009, net of fees and expenses; the Frontier Masters Series – Class 2 Net Asset Value lost 1.3% for the period ended September 30, 2009, net of fees and expenses.

For the period ended September 30, 2009 the Frontier Masters Series recorded a net gain on investments of $314,648, net interest of $155,405, and total expenses of $388,275, resulting in a net increase in Owners’ capital from operations of $81,778. The Net Asset Value per Unit, Class 1, decreased from $100.00 at June 8, 2009, to $98.32 as of September 30, 2009. The Net Asset Value per Unit, Class 2, decreased from $100.00 at June 8, 2009, to $98.87 as of September 30, 2009. Total Class 1 subscriptions for the period were $4,230,662. There were no redemptions. Total Class 2 subscriptions for the period were $2,540,707. There were no redemptions. Ending capital at September 30, 2009, was $4,273,621 for Class 1 and $2,579,526 for Class 2.

The Frontier Masters Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

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Sector Attribution for the Frontier Masters Series

Balanced Series

2009

The Balanced Series – Class 1 Net Asset Value lost 2.2% for the nine months ended September 30, 2009, net of fees and expenses; the Balanced Series – Class 1a Net Asset Value lost 2.6% for the nine months ended September 30, 2009, net of fees and expenses; the Balanced Series – Class 2 Net Asset Value lost 0.1% for the nine months ended September 30, 2009, net of fees and expenses; the Balanced Series – Class 2a Net Asset Value lost 0.4% for the nine months ended September 30, 2009, net of fees and expenses; the Balanced Series – Class 3a Net Asset Value lost 0.9% for the period ended September 30, 2009, net of fees and expenses.

For the nine months ended September 30, 2009, the Balanced Series recorded net gain on investments of $5,408,915, net interest of $707,619, and total expenses of $14,950,141, resulting in a net decrease in Owners’ capital from operations of $7,389,917 after non-controlling interests of $ 1,443,690. The Net Asset Value per Unit, Class 1, decreased from $125.17 at December 31, 2008, to $122.45 at September 30, 2009. For Class 1a, the Net Asset Value per Unit decreased from $112.09 at December 31, 2008, to $109.21 at September 30, 2009. The Net Asset Value per Unit, Class 2, increased from $142.44 at December 31, 2008, to $142.52 at September 30, 2009. For Class 2a, the Net Asset Value per Unit decreased from $121.30 at December 31, 2008, to $120.82 at September 30, 2009. For Class 3a, the Net Asset Value per Unit decreased from $121.97 at June 3, 2009, to $120.82 at September 30, 2009. Total Class 1 subscriptions and redemptions for the nine months were $75,390,578 and $22,615,409, respectively. Total Class 1a subscriptions and redemptions for the nine month period were $3,818,107 and $1,536,131, respectively. Total Class 2 subscriptions and redemptions for the nine months were $25,917,174 and $7,317,608, respectively. Total Class 2a subscriptions and redemptions for the nine month period were $1,802,212 and $184,699, respectively. Total Class 3a subscriptions and redemptions for the period were $687,282 and $24,851, respectively. Ending capital at September 30, 2009, was $302,366,242 for Class 1, $10,129,451 for Class 1a, $85,578,099 for Class 2, $3,485,156 for Class 2a and $665,797 for Class 3a. At December 31, 2008, ending capital 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.

The Balanced Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

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Sector Attribution for the Balanced Series

2008

The Balanced Series – Class 1 Net Asset Value gained 11.4% for the nine months ended September 30, 2008, net of fees and expenses; the Balanced Series – Class 1a Net Asset Value gained 11.3% for the nine months ended September 30, 2008, net of fees and expenses; the Balanced Series – Class 2 Net Asset Value gained 14.0% for the nine months ended September 30, 2008, net of fees and expenses; the Balanced Series – Class 2a Net Asset Value gained 13.8% for the nine months ended September 30, 2008, net of fees and expenses.

For the nine months ended September 30, 2008, the Balanced Series recorded net gain on investments of $53,573,074, net interest of $1,030,977, and total expenses of $16,074,174, resulting in a net increase in Owners’ capital from operations of $28,865,812 after non-controlling interests of ($ 9,664,065). The Net Asset Value per Unit, Class 1, increased from $101.46 at December 31, 2007, to $113.04 at September 30, 2008. For Class 1a, the Net Asset Value per Unit increased from $90.90 at December 31, 2007, to $101.18 at September 30, 2008. The Net Asset Value per Unit, Class 2, increased from $112.00 at December 31, 2007, to $127.66 September 30, 2008. For Class 2a, the Net Asset Value per Unit increased from $95.47 at December 31, 2007, to $108.67 at September 30, 2008. Total Class 1 subscriptions and redemptions for the nine months were $29,380,651 and $37,572,590, respectively. Total Class 1a subscriptions and redemptions for the nine month period were $839,065 and $755,956, respectively. Total Class 2 subscriptions and redemptions for the nine months were $7,116,211 and $7,149,357, respectively. Total Class 2a subscriptions and redemptions for the nine month period were $575,073 and $130,400, respectively. Ending capital at September 30, 2008, was $218,322,458 for Class 1, $6,342,839 for Class 1a, $52,232,182 for Class 2 and $1,855,876 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.

The Balanced Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Nine Months Ended September 30, 2008, for additional information regarding these sectors.

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Sector Attribution for the Balanced Series

Campbell/Graham/Tiverton Series

2009

The Campbell/Graham/Tiverton Series – Class 1 Net Asset Value lost 4.7% for the nine months ended September 30, 2009, net of fees and expenses; the Campbell/Graham/Tiverton Series – Class 2 Net Asset Value lost 2.6% for the nine months ended September 30, 2009, net of fees and expenses.

For the nine months ended September 30, 2009, the Campbell/Graham/Tiverton Series recorded net loss on investments of $1,556,324, net interest of $267,239, and total expenses of $3,819,353, resulting in a net decrease in Owners’ capital from operations of $3,771,912 after non-controlling interests of $1,336,526. The Net Asset Value per Unit, Class 1, decreased from $110.54 at December 31, 2008, to $105.29 as of September 30, 2009. The Net Asset Value per Unit, Class 2, decreased from $124.14 at December 31, 2008, to $120.92 as of September 30, 2009. Total Class 1 subscriptions for the nine months ended September 30, 2009, were $10,892,203 and redemptions were $5,522,023. Total Class 2 subscriptions and redemptions for the nine months ended September 30, 2009, were $4,025,676, and $1,093,173, respectively. Ending capital at September 30, 2009, was $71,804,566 for Class 1 and $10,491,134 for Class 2. Ending capital at December 31, 2008, was $69,957,155 for Class 1 and $7,807,774 for Class 2.

The Campbell/Graham/Tiverton Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

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Sector Attribution for the Campbell/Graham/Tiverton Series

2008

The Campbell/Graham/Tiverton Series – Class 1 Net Asset Value gained 6.1% for the nine months ended September 30, 2008, net of fees and expenses; the Campbell/Graham/Tiverton Series – Class 2 Net Asset Value gained 8.5% for the nine months ended September 30, 2008, net of fees and expenses.

For the nine months ended September 30, 2008, the Campbell/Graham/Tiverton Series recorded net gain on investments of $9,421,439, net interest of $236,839, and total expenses of $4,054,096, resulting in a net increase in Owners’ capital from operations of $3,783,455 after non-controlling interests of ($1,820,727). The Net Asset Value per Unit, Class 1, increased from $91.90 at December 31, 2007, to $97.46 as of September 30, 2008. The Net Asset Value per Unit, Class 2, increased from $100.20 at December 31, 2007, to $108.68 as of September 30, 2008. Total Class 1 subscriptions for the nine months ended September 30, 2008, were $9,952,791 and redemptions were $9,401,137. Total Class 2 subscriptions and redemptions for the nine months ended September 30, 2008, were $1,207,453, and $1,188,714, respectively. Ending capital at September 30, 2008, was $59,386,945 for Class 1 and $6,317,807 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 may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Nine Months Ended September 30, 2008, for additional information regarding these sectors.

88

Sector Attribution for the Campbell/Graham Series

Currency Series

2009

The Currency Series – Class 1 Net Asset Value lost 12.8% for the nine months ended September 30, 2009, net of fees and expenses; the Currency Series – Class 2 Net Asset Value lost 10.8% for the nine months ended September 30, 2009, net of fees and expenses.

For the nine months ended September 30, 2009, the Currency Series recorded net loss on investments of $1,376,752, net interest of $56,439, and total expenses of $467,554, resulting in a net decrease in Owners’ capital from operations of $1,787,867. The Net Asset Value per Unit, Class 1, decreased from $96.19 at December 31, 2008, to $83.87 as of September 30, 2009. The Net Asset Value per Unit, Class 2, decreased from $109.30 at December 31, 2008, to $97.47 as of September 30, 2009. Total Class 1 subscriptions and redemptions for the nine months ending September 30, 2009 were $551,301, and $1,698,922, respectively. Total Class 2 subscriptions and redemptions for the nine months ending September 30, 2009, was $82,125 and $169,080, respectively. Ending capital at September 30, 2009, was $9,277,783 for Class 1 and $2,546,559 for Class 2. Ending capital at December 31, 2008, was $11,900,185 for Class 1 and $2,946,600 for Class 2.

The Currency Series may have both long and short exposure to the Currencies sector only. See comments above under Market Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

Because all returns are from the Currencies sector, there are no Sector Attribution charts for the Currency Series.

2008

The Currency Series – Class 1 Net Asset Value lost 4.9% for the nine months ended September 30, 2008, net of fees and expenses; the Currency Series – Class 2 Net Asset Value lost 2.8% for the nine months ended September 30, 2008, net of fees and expenses.

For the nine months ended September 30, 2008, the Currency Series recorded net loss on investments of $481,516, net interest of $68,817, and total expenses of $471,482, resulting in a net decrease in Owners’ capital from operations of $884,181. The Net Asset Value per Unit, Class 1, decreased from $100.66 at December 31, 2007, to $95.71 as of September 30, 2008. The Net Asset Value per Unit, Class 2, decreased from $111.00 at December 31, 2007, to $107.94 as of September 30, 2008. Total Class 1 subscriptions and redemptions for the nine months ending September 30, 2008 were $4,127,682, and $1,256,918, respectively. Total Class 2 subscriptions and redemptions for

89

the nine months ending September 30, 2008, were $2,149,750 and $261,786, respectively. Ending capital at September 30, 2008, was $11,966,129 for Class 1 and $2,500,424 for Class 2. Ending capital at December 31, 2007, was $9,791,812 for Class 1 and $800,194 for Class 2.

The Currency Series may have both long and short exposure to the Currencies sector only. See comments above under Market Conditions for Nine Months Ended September 30, 2008, for additional information regarding these sectors.

Because all returns are from the Currencies sector, there are no Sector Attribution charts for the Currency Series.

Long Only Commodity Series

2009

The Long Only Commodity Series – Class 1 Net Asset Value gained 10.2% for the nine months ended September 30, 2009, net of fees and expenses; the Long Only Commodity Series – Class 2 Net Asset Value gained 11.6% for the nine months ended September 30, 2009, net of fees and expenses.

For the nine months ended September 30, 2009, the Long Only Commodity Series recorded net gain on investments of $492,054, net interest of $55,508, and total expenses of $104,311, resulting in a net increase in Owners’ capital from operations of $443,251. The Net Asset Value per Unit, Class 1, increased from $70.31 at December 31, 2008 to $77.48 as of September 30, 2009. The Net Asset Value per Unit, Class 2, increased from $74.46 at December 31, 2008, to $83.10 as of September 30, 2009. Total Class 1 subscriptions and redemptions for the nine months were $409,118 and $481,572, respectively. Total Class 2 subscriptions and redemptions for the nine months were $86,800 and $87,025, respectively. Ending capital at September 30, 2009, was $3,528,604 for Class 1 and $884,441 for Class 2. Ending capital at December 31, 2008, was $3,254,226 for Class 1 and $788,247 for Class 2.

The Long Only Commodity Series may have long-only exposure in the Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

The Long Only Commodity Series invests approximately equally in the Jefferies Commodity Performance Index and the Reuters/Jefferies CRB Index. There are no Sector Attribution charts for the Long Only Commodity Series.

2008

The Long Only Commodity Series – Class 1 Net Asset Value lost 2.2% for the nine months ended September 30, 2008, net of fees and expenses; the Long Only Commodity Series – Class 2 Net Asset Value lost 0.7% for the nine months ended September 30, 2008, net of fees and expenses.

For the nine months ended September 30, 2008, the Long Only Commodity Series recorded net loss on investments of $342,421, net interest of $91,076, and total expenses of $174,552, resulting in a net decrease in Owners’ capital from operations of $425,897. The Net Asset Value per Unit, Class 1, decreased from $110.79 at December 31, 2007 to $108.34 as of September 30, 2008. The Net Asset Value per Unit, Class 2, decreased from $115.04 at December 31, 2007, to $114.21 as of September 30, 2008. Total Class 1 subscriptions and redemptions for the nine months were $1,931,482 and $851,824, respectively. Total Class 2 subscriptions and redemptions for the nine months were $901,500 and $24,534, respectively. Ending capital at September 30, 2008, was $5,559,860 for Class 1 and $1,000,935 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 may have long-only exposure in the Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Nine Months Ended September 30, 2008, for additional information regarding these sectors.

The Long Only Commodity Series invests approximately equally in the Jefferies Commodity Performance Index and the Reuters/Jefferies CRB Index. There are no Sector Attribution charts for the Long Only Commodity Series.

90

Managed Futures Index Series

2009

The Managed Futures Index Series – Class 1 Net Asset Value lost 10.9% for the nine months ended September 30, 2009, net of fees and expenses; the Managed Futures Index Series – Class 2 Net Asset Value lost 9.6% for the nine months ended September 30, 2009, net of fees and expenses.

For the nine months ended September 30, 2009 the Managed Futures Index Series recorded a net loss on investments of $342,665, net interest of $51,136, and total expenses of $103,032, resulting in a net decrease in Owners’ capital from operations of $394,561. The Net Asset Value per Unit, Class 1, decreased from $132.18 at December 31, 2008, to $117.73 as of September 30, 2009. The Net Asset Value per Unit, Class 2, decreased from $139.70 at December 31, 2008, to $126.24 as of September 30, 2009. Total Class 1 subscriptions and redemptions for the nine months were $708,699 and $720,251, respectively. Total Class 2 subscriptions and redemptions for the nine months were $1,271,138 and $7,431, respectively. Ending capital at September 30, 2009, was $2,021,313 for Class 1 and $2,239,332 for Class 2. Ending capital at December 31, 2008, was $2,266,977 for Class 1 and $1,136,074 for Class 2.

The Managed Futures Index Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

Sector Attribution for the Managed Futures Index Series

2008

The Managed Futures Index Series – Class 1 Net Asset Value gained 2.2% for the nine months ended September 30, 2008, net of fees and expenses; the Managed Futures Index Series – Class 2 Net Asset Value gained 3.6% for the nine months ended September 30, 2008, net of fees and expenses.

For the nine months ended September 30, 2008 the Managed Futures Index Series recorded a net gain on investments of $2,942, net interest of $20,959, and total expenses of $43,838, resulting in a net decrease in Owners’ capital from operations of $19,937. The Net Asset Value per Unit, Class 1, increased from $100.59 at December 31, 2007, to $102.76 as of September 30, 2008. The Net Asset Value per Unit, Class 2, increased from $104.42 at December 31, 2007, to $108.21 as of September 30, 2008. Total Class 1 subscriptions and redemptions for the nine months were $1,280,605 and $350,116, respectively. Total Class 2 subscriptions and redemptions for the nine months were $435,930 and $15,877, respectively. Ending capital at September 30, 2008, was $1,534,248 for Class 1 and $753,806 for Class 2. Ending capital at December 31, 2007, was $621,740 for Class 1 and $335,709 for Class 2.

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The Managed Futures Index Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Nine Months Ended September 30, 2008, for additional information regarding these sectors.

Sector Attribution for the Managed Futures Index Series

Winton Series

2009

The Winton Series – Class 1 Net Asset Value lost 9.4% for the nine months ended September 30, 2009, net of fees and expenses; the Winton Series – Class 2 Net Asset Value lost 7.4% for the nine months ended September 30, 2009, net of fees and expenses.

For the nine months ended September 30, 2009, the Winton Series recorded net loss on investments of $8,377,862, net interest of $296,808, and total expenses of $2,533,310, resulting in a net decrease in Owners’ capital from operations of $6,547,371 after non-controlling interests of $4,066,993. The Net Asset Value per Unit, Class 1, decreased from $130.41 at December 31, 2008, to $118.12 as of September 30, 2009. The Net Asset Value per Unit, Class 2, decreased from $140.04 at December 31, 2008, to $129.62 as of September 30, 2009. Total Class 1 subscriptions for the nine months were $220,835 and redemptions were $5,360,163. Total Class 2 subscriptions and redemptions for the nine month period were $200,000, and $742,864, respectively. Ending capital at September 30, 2009, was $51,465,175 for Class 1 and $10,334,288 for Class 2. Ending capital at December 31, 2008, was $62,283,659 for Class 1 and $11,743,367 for Class 2.

The Winton Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

92

Sector Attribution for the Winton Series

2008

The Winton Series – Class 1 Net Asset Value gained 3.5% for the nine months ended September 30, 2008, net of fees and expenses; the Winton Series – Class 2 Net Asset Value gained 5.8% for the nine months ended September 30, 2008, net of fees and expenses.

For the nine months ended September 30, 2008, the Winton Series recorded net gain on investments of $2,540,101, net interest of $240,620, and total expenses of $4,083,913, resulting in a net increase in Owners’ capital from operations of $1,036,414 after non-controlling interests of 2,339,606. The Net Asset Value per Unit, Class 1, increased from $113.83 at December 31, 2007, to $117.78 as of September 30, 2008. The Net Asset Value per Unit, Class 2, increased from $118.61 at December 31, 2007, to $125.52 as of September 30, 2008. Total Class 1 subscriptions for the nine months were $25,371,264 and redemptions were $3,262,611. Total Class 2 subscriptions and redemptions for the nine month period were $0, and $276,678, respectively. Ending capital at September 30, 2008, was $58,196,947 for Class 1 and $10,710,603 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 may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Nine Months Ended September 30, 2008, for additional information regarding these sectors.

Sector Attribution for the Winton Series

93

Winton/Graham Series

2009

The Winton/Graham Series – Class 1 Net Asset Value lost 4.5% for the nine months ended September 30, 2009, net of fees and expenses; the Winton/Graham Series – Class 2 Net Asset Value lost 2.3% for the nine months ended September 30, 2009, net of fees and expenses.

For the nine months ended September 30, 2009, the Winton/Graham Series recorded net gain on investments of $3,050,072, net interest of $199,524, and total expenses of $2,583,867, resulting in a net decrease in Owners’ capital from operations of $2,451,879, after non-controlling interest of ($3,081,608). The Net Asset Value per Unit, Class 1, decreased from $ 116.18 at December 31, 2008, to $110.94 as of September 30, 2009. The Net Asset Value per Unit, Class 2, decreased from $131.49 at December 31, 2008, to $128.44 as of September 30, 2009. Total Class 1 subscriptions and redemptions for the nine months were $20,167,922 and $4,094,963, respectively. Total Class 2 subscriptions and redemptions for the nine months were $360,401 and $1,565,441, respectively. Ending capital at September 30, 2009, was $49,794,837 for Class 1 and $12,852,432 for Class 2. Ending capital at December 31, 2008, was $35,760,835 for Class 1 and $14,434,394 for Class 2.

The Winton/Graham Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

Sector Attribution for the Winton/Graham Series

2008

The Winton/Graham Series – Class 1 Net Asset Value gained 9.7% for the nine months ended September 30, 2008, net of fees and expenses; the Winton/Graham Series – Class 2 Net Asset Value gained 12.2% for the nine months ended September 30, 2008, net of fees and expenses.

For the nine months ended September 30, 2008, the Winton/Graham Series recorded net gain on investments of $1,106,158, net interest of $47,920, and total expenses of $1,102,623, resulting in a net increase in Owners’ capital from operations of $51,455. The Net Asset Value per Unit, Class 1, increased from $ 95.04 at December 31, 2007, to $104.30 as of September 30, 2008. The Net Asset Value per Unit, Class 2, increased from $104.37 at December 31, 2007, to $117.15 as of September 30, 2008. Total Class 1 subscriptions and redemptions for the nine months were $18,543,048 and $909,697, respectively. Total Class 2 subscriptions and redemptions for the nine months were $9,144,068 and $45,673, respectively. Ending capital at September 30, 2008, was $23,765,244 for Class 1 and $10,886,940 for Class 2. Ending capital at December 31, 2007, was $6,060,207 for Class 1 and $1,808,776 for Class 2.

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The Winton/Graham Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Nine Months Ended September 30, 2008, for additional information regarding these sectors.

Sector Attribution for the Winton/Graham Series

Contractual Obligations

None.

ITEM 3. 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.

95

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 September 30, 2009 and December 31, 2008. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

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Frontier Diversified Series: (1)

	September 30, 2009				December 31, 2008
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	733,957	1.4	%	$	—	0	%
Currencies	$	569,513	1.0	%	$	—	0	%
Stock Indices	$	998,204	1.8	%	$	—	0	%
Metals	$	235,848	0.4	%	$	—	0	%
Agriculturals/Softs	$	489,438	0.9	%	$	—	0	%
Energy	$	673,544	1.2	%	$	—	0	%
Total:	$	3,700,504	6.7	%	$	—	0	%

Frontier Dynamic Series: (2)

	September 30, 2009				December 31, 2008
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—	0	%	$	—	0	%
Currencies	$	—	0	%	$	—	0	%
Stock Indices	$	—	0	%	$	—	0	%
Metals	$	—	0	%	$	—	0	%
Agriculturals/Softs	$	—	0	%	$	—	0	%
Energy	$	—	0	%	$	—	0	%
Total:	$	—	0	%	$	—	0	%

Frontier Long/Short Commodity Series:

	September 30, 2009				December 31, 2008
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	411,211	0.6	%	$	190,975	0.3	%
Currencies	$	180,851	0.3	%	$	215,085	0.4	%
Stock Indices	$	174,839	0.3	%	$	99,892	0.2	%
Metals	$	548,435	0.8	%	$	1,217,781	2.1	%
Agriculturals/Softs	$	3,915,056	5.8	%	$	2,210,340	3.8	%
Energy	$	9,441,960	14.0	%	$	1,094,515	1.9	%
Total:	$	14,672,352	21.8	%	$	5,028,588	8.7	%

97

Frontier Masters Series: (3)

	September 30, 2009				December 31, 2008
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	520,461	1.5	%	$	—	0	%
Currencies	$	407,018	1.2	%	$	—	0	%
Stock Indices	$	727,591	2.1	%	$	—	0	%
Metals	$	147,795	0.4	%	$	—	0	%
Agriculturals/Softs	$	190,797	0.6	%	$	—	0	%
Energy	$	82,090	0.2	%	$	—	0	%
Total:	$	2,075,752	6.0	%	$	—	0	%

98

Balanced Series: (4), (5)

	September 30, 2009				December 31, 2008
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	8,288,006	2.1	%	$	2,002,489	0.6	%
Currencies	$	6,179,374	1.5	%	$	3,124,541	0.9	%
Stock Indices	$	13,471,074	3.3	%	$	5,250,263	1.6	%
Metals	$	3,009,331	0.7	%	$	355,150	0.1	%
Agriculturals/Softs	$	5,814,903	1.4	%	$	1,553,216	0.5	%
Energy	$	8,198,847	2.0	%	$	624,306	0.2	%
Total:	$	44,961,535	11.0	%	$	12,909,965	3.9	%

Campbell/Graham/Tiverton Series:

	September 30, 2009				December 31, 2008
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	4,086,802	5.0	%	$	828,192	1.1	%
Currencies	$	4,104,737	5.0	%	$	1,067,847	1.4	%
Stock Indices	$	2,739,344	3.3	%	$	915,299	1.2	%
Metals	$	471,061	0.6	%	$	68,164	0.1	%
Agriculturals/Softs	$	1,064,443	1.3	%	$	199,871	0.3	%
Energy	$	236,637	0.3	%	$	88,512	0.1	%
Total:	$	12,703,024	15.5	%	$	3,167,885	4.2	%

Currency Series: (6)

	September 30, 2009				December 31, 2008
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—	0	%	$	—	0	%
Currencies	$	210,581	0.8	%	$	181,098	1.2	%
Stock Indices	$	—	0	%	$	—	0	%
Metals	$	—	0	%	$	—	0	%
Agriculturals/Softs	$	—	0	%	$	—	0	%
Energy	$	—	0	%	$	—	0	%
Total:	$	210,581	0.8	%	$	181,098	1.2	%

99

Long Only Commodity Series:

	September 30, 2009				December 31, 2008
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	$	108,000	2.4	%	$	105,600	2.6	%
Agriculturals/Softs	$	153,000	3.4	%	$	149,600	3.7	%
Energy	$	189,000	4.2	%	$	184,800	4.6	%
Total:	$	450,000	10.0	%	$	440,000	10.9	%

Managed Futures Index Series:

	September 30, 2009				December 31, 2008
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	188,557	4.4	%	$	87,004	2.6	%
Currencies	$	191,017	4.5	%	$	85,655	2.5	%
Stock Indices	$	39,609	0.9	%	$	14,610	0.4	%
Metals	$	23,730	0.6	%	$	—	0.0	%
Agriculturals/Softs	$	34,276	0.8	%	$	17,047	0.5	%
Energy	$	21,092	0.5	%	$	—	0.0	%
Total:	$	498,281	11.7	%	$	204,316	6.0	%

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Winton Series:

	September 30, 2009				December 31, 2008
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	2,241,617	3.6	%	$	1,076,982	1.5	%
Currencies	$	1,993,707	3.2	%	$	1,360,405	1.8	%
Stock Indices	$	744,523	1.2	%	$	67,599	0.1	%
Metals	$	279,451	0.5	%	$	69,327	0.1	%
Agriculturals/Softs	$	513,149	0.8	%	$	532,693	0.7	%
Energy	$	107,563	0.2	%	$	72,478	0.1	%
Total:	$	5,880,010	9.5	%	$	3,179,484	4.3	%

Winton/Graham Series:

	September 30, 2009				December 31, 2008
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	4,213,497	6.7	%	$	451,517	0.9	%
Currencies	$	4,347,572	6.9	%	$	433,230	0.9	%
Stock Indices	$	1,680,746	2.7	%	$	54,758	0.1	%
Metals	$	353,469	0.6	%	$	43,737	0.1	%
Agriculturals/Softs	$	1,312,389	2.1	%	$	185,563	0.4	%
Energy	$	135,768	0.2	%	$	38,493	0.1	%
Total:	$	12,043,441	19.2	%	$	1,207,298	2.5	%

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(1) As of September 30, 2009, a portion of the assets of the Frontier Diversified Series was invested in an Option basket of futures contracts with a notional value of $27,218,501. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

(2) As of September 30, 2009, a portion of the assets of the Frontier Dynamic Series was invested in an Option basket of futures contracts with a notional value of $28,491,909. 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 September 30, 2009, a portion of the assets of the Frontier Masters Series was invested in an Option basket of futures contracts with a notional value of $9,742,916. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

(4) As of September 30, 2009 and December 31, 2008, a portion of the assets of the Balanced Series was invested in the Currency Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series. The Balanced Series effective ownership in these Series as of September 30, 2009 was 52.5%, 64.2%, 98.7% and 80.2%, respectively. As of December 31, 2008 the Balanced Series effective ownership was 49.7% of the Currency Series only. Including its investment in this Series, total value at risk for the Balanced Series would be $47,417,455, or 11.8% of capitalization as of September 30, 2009 and $13,000,001, or 3.9% of capitalization as of December 31, 2008.

(5) As of September 30, 2009 and December 31, 2008, a portion of the assets of the Balanced Series was invested in an Option basket of futures contracts with a notional value of $112,958,718 and $101,715,457, respectively. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

(6) As of September 30, 2009 and 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 $20,979,642 and $25,015,994, respectively. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

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 the contract’s face value, as well as many times the capitalization of the Series. The magnitude of each Series’ open positions creates a risk of loss 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 tables above, as well as the past performance of the Series, gives no indication of this risk of loss.

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.

102

Qualitative Market Risk

The following are the primary trading risk exposures of the Series of the Trust as of September 30, 2009, 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, Frontier Long/Short Commodity Series, Managed Futures Index Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters 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.

103

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 Advisors’ 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

104

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 4. 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 September 30, 2009 (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.

Changes in Internal Control Over Financial Reporting

There were no changes made in internal controls during this reporting period that have materially affected or are reasonably likely to materially affect the internal controls over financial reporting for the Trust or any Series.

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-Q apply not only to the Trust as a whole but also to each Series individually.

105

PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS.

None

ITEM 1A. RISK FACTORS.

The following risk factor relating to The Frontier Fund supplements the risk factors under the heading “Operating Risks” previously disclosed in the Trust’s Annual Report on Form 10-K for its fiscal year ended December 31, 2008, under the caption “Item 1A. Risk Factors.”

Trading Company Allocations

More than one Series may invest in a single Trading Company to access a particular Trading Advisor. While the assets of certain Trading Companies are traded by only one Trading Advisor, the assets of certain other Trading Companies are traded by multiple Trading Advisors. If a particular Trading Advisor accessed through a Trading Company with multiple Trading Advisors were to incur losses in excess of the amounts allocated to such Trading Advisor, the remaining assets of the Trading Company (including assets not allocated to such Trading Advisor), would be available to offset such losses. As a result, any Series invested in that Trading Company would bear such losses in proportion to their allocation to such Trading Company.

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS.

The following table provides information regarding the sale of unregistered Units by the Registrant for the three months ended September 30, 2009. 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 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 of 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
FRONTIER DIVERSIFIED SERIES - 2	SEPTEMBER 29, 2009	1,506.90580	$	150,000
FRONTIER MASTERS SERIES - 2	SEPTEMBER 29, 2009	152.15850	$	15,000

ITEM 3. DEFAULTS UPON SENIOR SECURITIES.

None

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

None

ITEM 5. OTHER INFORMATION.

None

106

ITEM 6. EXHIBITS.

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***
1.6	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents ****
1.7	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents****
1.8	Selling Agent Agreement among the Registrant, Equinox Management, LLC, Ameriprise Financial Services and Ameriprise Advisor Services, Inc. +++
1.9	Selling Agent Agreement among the Registrant, Equinox Management, LLC and Raymond James & Associates, Inc. +++
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. ***

107

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+
10.26	Form of Guaranty made by The Frontier Fund, in favor of UBS Securities, 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 ++
10.38	Form of International Swaps and Derivatives Association Master Agreement, including all Schedules thereto and the Credit Support Annex thereto entered into for the Frontier Master 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***
10.51	Form of amended and restated limited liability company operating agreement (furnished herewith)
21.1	Subsidiaries of the Registrant
31.1	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15(d)-14(a) of the Securities Exchange Act of 1934 (furnished herewith)
31.2	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15(d)-14(a) of the Securities Exchange Act of 1934 (furnished herewith)

108

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)
32.10	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.11	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.12	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 second, fourth or fifth post-effective amendment to Registration Statement No. 333-140240 and incorporated by reference herein.

+ Previously filed as like-numbered exhibit to Form 10-Q for the period ended September 30, 2007.

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

+++ Previously filed as like-numbered exhibit to Form 10-Q for the period ended June 30, 2009.

109

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: November 12, 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

110

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: November 12, 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

111

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: November 12, 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

112

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: November 12, 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

113

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: November 12, 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

114

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: November 12, 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

115

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: November 12, 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

116

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.

	Frontier Long/Short Commodity Series,
	a Series of The Frontier Fund
	(Registrant)
Date: November 12, 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

117

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: November 12, 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

118

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.

	Frontier Diversified Series,
	a Series of The Frontier Fund
	(Registrant)
Date: November 12, 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

119

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.

	Frontier Dynamic Series,
	a Series of The Frontier Fund
	(Registrant)
Date: November 12, 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

120

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.

	Frontier Masters Series,
	a Series of The Frontier Fund
	(Registrant)
Date: November 12, 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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EX-10.26

Exhibit 10.26

GUARANTEE

1. Guarantee. In consideration of, and as an inducement for UBS SECURITIES LLC (the “Company”) entering into and continuing in effect that certain customer agreement with FRONTIER TRADING COMPANY VII, LLC (“Debtor”) dated [        ], 2006 (“Customer Agreement”), and effecting certain transactions pursuant to the terms thereof for account of the Debtor including, but not limited to, commodity futures and swaps, commodity options, exchange for physical transactions, futures transactions, foreign exchange and precious metals transactions and any other similar transactions (including any option with respect to any such transactions) or any combination of such transactions (collectively, the “Transaction(s)”), the undersigned, THE FRONTIER FUND, a Delaware statutory unit trust (the “Guarantor”), acting separately for and on behalf of each of its series of units of beneficial interest which executes and delivers a counterpart of this Guarantee from time to time (each such series being referred to herein singly as a “Series” and collectively as the “Series”), hereby (i) absolutely and unconditionally guarantees the due performance, and the due and punctual payment, when due, whether by acceleration or otherwise, of all indebtedness, liabilities, and undertakings of the Debtor arising under the terms and conditions of the Customer Agreement relating to the Transaction(s) (the “Guaranteed Obligations”) and (ii) agrees to pay all reasonable legal fees, costs, and expenses incurred by Company in enforcing the obligations under this Guarantee, such fees, costs and expenses being deemed to be Guaranteed Obligations hereunder; provided, however, that each Series’s total liability under the terms of this Guarantee is expressly limited to up to a maximum amount equal to the product of (1) the aggregate amount of such Guaranteed Obligations, multiplied by (2) a percentage equal to such Series’s pro rata equitable beneficial limited liability ownership interest in the Debtor as of the date immediately preceding the date as of which such Guaranteed Obligations become due hereunder, expressed as a percentage of all of Debtor’s then outstanding equitable beneficial limited liability ownership interest (the “Applicable Percentage Interest”). All amounts payable by any Series to the Company hereunder shall be paid free and clear of, and without deduction or withholding for or on account of any present or future taxes, levies, imposts, duties, fees, assessments or other charges of whatever nature, now or hereafter imposed by any governmental or taxing authority. This Guarantee shall not be construed to impose upon any Series any obligations greater than, in addition to, or other than, such Series’s Applicable Percentage Interest of the Guaranteed Obligations. This Guarantee is a guarantee of payment and performance and not of collection.

2. Waiver. Each Series hereby waives (i) notice of acceptance of this Guarantee, and of the creation or existence of any of the Guaranteed Obligations and of any action by Company in reliance hereon or in connection herewith, and (ii) except as otherwise provided herein, presentment, demand for payment, notice of dishonor or nonpayment, protest and notice of protest with respect to the Guaranteed Obligations.

3. Remedies. Company shall not be bound or obliged to pursue any remedy or to exhaust its recourse against Debtor in respect of any default in any of the Guaranteed Obligations before being entitled to require each Series to honor this Guarantee in respect of such Guaranteed Obligation.

4. Termination. As to each Series, this Guarantee shall remain in full force and effect with respect to such Series until terminated by such Series by certified mail, return receipt required, by thirty (30) days’ prior written notice addressed to Company at: One North Wacker Drive, Chicago, IL 60606, Attention: Tami A. Jensen, but in no event shall it be terminated as to the Transaction(s) entered into between Debtor and Company prior to the date of termination.

5. Guarantee Absolute. The liability of a Series under this Guarantee shall be absolute and unconditional irrespective of: (i) the lack of validity or enforceability, defect, or deficiency in the Transaction(s), or any other document executed in connection with the Transaction(s); (ii) any change in the time, manner, terms, place of payment, or in any other term of all or any of the Guaranteed Obligations, or any other document executed in connection therewith; (iii) any sale, exchange, release, or non-perfection of any property standing as security for the Guaranteed Obligations, or any release, amendment, waiver, or consent to departure from any other guarantee, for all or any of the Guaranteed Obligations; (iv) failure, omission, delay, waiver, or refusal by Company to exercise, in whole or in part, any right or remedy held by Company with respect to the Guaranteed Obligations; (v) any change in the existence, structure, or ownership of such Series, the Guarantor or Debtor, or any insolvency, bankruptcy, reorganization, or other similar proceeding; and (vi) any other circumstance that might otherwise constitute a defense available to, or discharge of, such Series not available to Debtor. Any other suretyship defenses are hereby waived by the Series. Notwithstanding the foregoing, each Series reserves to itself (i) all defenses and all rights to set-off that Debtor is or may be entitled to that arise out of the Transaction(s), except for any of those defenses that are based upon the insolvency, bankruptcy, or reorganization of Debtor; and (ii) any defense of such Series arising from the due payment and/or performance of the Guaranteed Obligations in accordance with the terms and conditions of the Transaction(s). This Guarantee shall continue to be effective or be reinstated, as the case may be, if at any time any payment of any of the Guaranteed Obligations is rescinded or must otherwise be returned by Company upon the insolvency, bankruptcy, or reorganization of Debtor, or any other guarantor or otherwise, all as though such payment had not been made.

6. Default. In the event of default by Debtor in performance or payment of any of the Guaranteed Obligations, the Company is entitled to require each Series to honor this Guarantee by personally performing or satisfying such Guaranteed Obligation solely to the extent of its Applicable Percentage Interest upon giving prior notice in writing to each Series specifying therein the Guaranteed Obligation in respect of which such default has occurred. Each Series shall thereupon, as if it were the primary obligor, pay and/or perform such Guaranteed Obligation solely to the extent of its Applicable Percentage Interest immediately after first demand by Company.

7. Representations and Warranties. The Guarantor hereby represents and warrants, separately for and on behalf of each of the Series, to the Company as follows:

A) The Guarantor is duly organized, validly existing, and in good standing under the laws of the jurisdiction of its formation, and has full power to execute, deliver, and perform this Guarantee for and on behalf of each of the Series.

B) The execution, delivery, and performance of this Guarantee have been and remain duly authorized by all necessary action and do not contravene any provision of law or of the Guarantor’s organizational documents or any contractual restriction binding on the Guarantor, the Series or the Series’s assets.

C) All consents, authorizations, and approvals of, and registrations and declarations with, any governmental authority necessary for the due execution, delivery, and performance of this Guarantee have been obtained and remain in full force and effect and all conditions thereof have been duly complied with, and no other action by and no notice to or filing with any governmental authority is required in connection with the execution, delivery, or performance of this Guarantee.

D) This Guarantee constitutes the legal, valid, and binding obligation of the Series enforceable against the Series in accordance with its terms, subject, as to enforcement, to bankruptcy, insolvency, reorganization, and other laws of general applicability relating to or affecting creditors’ rights and to general equity principles.

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E) The Guarantor has adequate means to obtain from Debtor, on a continuing basis, information concerning the financial condition of Debtor, and is not relying on Company to provide such information, now or in the future.

8. Succession and Assigns. The Guarantor may not assign or delegate its obligations hereunder without the prior written consent of Company, which consent may be withheld in Company’s sole and absolute discretion. Company may, upon written notice to the Guarantor, assign its rights hereunder without the consent of the Guarantor. Subject to the foregoing, this Guarantee shall be binding upon the Guarantor, its successors and assigns, and shall be for the benefit of Company, its successors and assigns.

9. Choice of Law; Severability. This Guarantee shall be governed by, and construed in accordance with the laws of the State of New York and applicable federal law. However, if any provision of this Guarantee shall be prohibited by or invalid under such law, such provision shall be ineffective to the extent of such prohibition or invalidity without invalidating the remainder of such provision or the remaining provisions of this Guarantee.

10. Entire Agreement. This Guarantee constitutes the entire agreement among the parties hereto with respect to the subject matter hereof and shall supersede and revoke all previous and prior guarantees issued by any Series to Company prior to the date hereof, if any.

11. Counterparts. This Guarantee may be executed (including by facsimile or electronic transmission) in one or more counterparts, each of which shall be deemed an original agreement, and each of which together shall constitute one and the same instrument.

12. Limited Liability and Limited Recourse. The Company hereby acknowledges, understands and agrees that (a) the Guarantor is a Delaware statutory trust organized in series pursuant to Sections 3804(a) and 3806(b)(2) of the Delaware Statutory Trust Act, (ii) the Guarantor is entering into this Guarantee separately for and on behalf of each of the Series that has executed and delivered a counterpart of this Guarantee and, as such, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to each Series shall be enforceable solely against the assets of such Series and only to the extent of such Series’s Applicable Percentage Interest of the Guaranteed Obligations, and (iii) all of the liabilities and obligations of the Guarantor to the Company under this Guarantee or otherwise with respect to a Series is expressly limited to the assets of such Series and further is limited to the extent of such Series’s Applicable Percentage Interest of the Guaranteed Obligations. The Company hereby

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further acknowledges and agrees that the Company shall look only to assets of the relevant Series for the payment of any amounts owed to the Company in respect of the Guaranteed Obligations by such Series and then only to the extent of such Series’s Applicable Percentage Interest of the Guaranteed Obligations and not to the assets of the Guarantor generally or the assets of any other series of the Guarantor including the other Series to the extent provided for in this Guarantee or to the assets of the trustee of the Guarantor.

IN WITNESS WHEREOF, the foregoing instrument is executed this [    ] day of [        ], [        ].

GUARANTOR:
THE FRONTIER FUND, ACTING FOR AND ON BEHALF OF THE FRONTIER LONG/SHORT COMMODITY SERIES
By: Equinox Fund Management, LLC, Managing Owner of the Guarantor
	By:
THE FRONTIER FUND, ACTING FOR AND ON BEHALF OF THE BALANCED SERIES
By: Equinox Fund Management, LLC, Managing Owner of the Guarantor
THE FRONTIER FUND, ACTING FOR AND ON BEHALF OF THE FRONTIER DIVERSIFIED SERIES
By: Equinox Fund Management, LLC, Managing Owner of the Guarantor
	By:
THE FRONTIER FUND, ACTING FOR AND ON BEHALF OF THE                              SERIES
By: Equinox Fund Management, LLC, Managing Owner of the Guarantor
	By:

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EX-10.51

Exhibit 10.51

FRONTIER TRADING COMPANY [    ] LLC

AMENDED AND RESTATED

LIMITED LIABILITY COMPANY AGREEMENT

Table of Contents

Article I	Organization	1
Article II	Manager	5
Article III	Liability and Indemnification	7
Article IV	Members	8
Article V	Capital Contributions; Capital Accounts; Allocations; Distributions	8
Article VI	Accounting Matters and Reports	12
Article VII	Withdrawals	12
Article VIII	Dissolution	14
Article IX	Miscellaneous	14

FRONTIER TRADING COMPANY [    ] LLC

AMENDED AND RESTATED

LIMITED LIABILITY COMPANY AGREEMENT

This amended and restated limited liability company agreement (“Agreement”), is made and entered into effective as of the [            ] day of [            , 20    ], by and among the undersigned parties hereto. The term “Manager” shall refer to any party who executes this Agreement as a Manager, including The Bornhoft Group Corporation, a Colorado corporation. The term “Member” shall refer to any party that has executed or in the future executes this Agreement as a Member but excludes any party that ceases to be a Member of the Company (as hereinafter defined) pursuant to Article VII of this Agreement.

WHEREAS, Equinox Fund Management, LLC, a Delaware limited liability company (“Equinox”) and the initial Member originally entered into a limited liability company agreement dated as of [            , 20    ] (the “Existing Agreement”), which set forth the operative terms of the Company and pursuant to which Equinox was named the Manager of the Company; and

WHEREAS, Equinox wishes to withdraw as Manager of the Company and desires to admit The Bornhoft Group Corporation, a Colorado corporation, as a substitute Manager pursuant to Section 10.4 of the Existing Agreement, and The Bornhoft Group Corporation wishes to accept such an appointment; and

WHEREAS, the Company has operated under the name “[            ]” until the date hereof; and

WHEREAS, the parties to this Agreement wish to amend this Agreement to change the name of the Company to “[            ]”; and

WHEREAS, the parties to this Agreement desire to amend and restate the Existing Agreement in its entirety.

NOW THEREFORE, in consideration of the premises and the mutual covenants contained herein and for other good and valuable consideration, the receipt and sufficiency of all of which are hereby acknowledged and confirmed, the parties hereto do hereby agree as follows:

Article I

Organization

Section 1.1 Name and Principal Office. The parties to the Existing Agreement formed a limited liability company under the name “Frontier Trading Company [    ] LLC” which has subsequently been changed to “[        ]” (the “Company”) under the provisions of the Delaware Limited Liability Company Act, as amended (the “Limited Liability Company Act”). The Manager, in its sole and absolute discretion, may choose to conduct the business of the Company under any other name upon written notice to the Members. The principal place of business of the Company shall be located at 1660 Lincoln Street, Suite 100, Denver, Colorado 80264, or at such other locations as may from time to time be determined by the Manager.

Section 1.2 Purpose. The Company’s business and purpose is to seek capital appreciation directly or indirectly through the leveraged speculative trading of commodities, futures contracts, forward contracts, swaps, options on the foregoing, exchange of futures for physical transactions, exchange of physical for futures transactions, exchange of swap for future

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transactions, exchange of futures for swap transactions, other derivative instruments and hybrid instruments, and other instruments and investments, 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 the 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 United States government, and certain cash items such as money market funds, certificates of deposit (under nine months) and time deposits and other cash equivalents as may be approved by the Manager from time to time, in each case of every kind and character, traded on United States and non-United States markets (including over-the-counter markets) and exchanges (collectively, “Futures”) and to engage in such other Futures-related activities or transactions as determined in good faith by the Manager from time to time in its sole and absolute discretion. The Manager and the Members acknowledge that it is not the intention of the Company to operate as an “investment company” as such term is defined in Section 3(a)(1) of the Investment Company Act of 1940, as amended (the “Investment Company Act”) or as an entity excluded from such definition of an investment company by virtue of Section 3(c)(1) or Section 3(c)(7) of the Investment Company Act.

Section 1.3 Term. The Company was organized on the date that the certificate of formation of the Company was filed as provided in Section 18-206(b) of the Limited Liability Company Act, and shall terminate on December 31, [        ], unless terminated earlier pursuant to the terms of this Agreement or by operation of law.

Section 1.4 Registered Agent and Registered Office. The address of the registered office of the Company in the State of Delaware is c/o Corporation Service Company, 2711 Centerville Road, Suite 400, Wilmington, New Castle County, DE 19808. Such registered agent and such registered office may be changed from time to time by the Manager in its sole and absolute discretion.

Section 1.5 Power of Attorney.

(a) Each Member, by the execution of this Agreement, whether in counterpart, by separate instrument, by attorney-in-fact or otherwise, does hereby irrevocably constitute and appoint the Manager with full power of substitution, as its true and lawful attorney-in-fact and agent, with full power and authority in its name, place and stead, to file, prosecute, defend, settle or compromise any and all actions at law or suits in equity for or on behalf of the Company with respect to any claim, demand or liability asserted or threatened by or against the Company, and to execute, acknowledge, deliver, file and record on behalf of the Company and each Member in the appropriate public offices: (i) all certificates and other instruments (including, without limitation, all counterparts of this Agreement, all amendments hereto, the certificate of formation of the Company and all amendments thereto) which the Manager deems appropriate to qualify or continue the Company as a limited liability company in the jurisdictions in which the Company may conduct business or which may be required to be filed by the Company or any Member under the laws of any jurisdiction; (ii) all instruments which the Manager deems appropriate to reflect a change in or modification or amendment of the Company or this Agreement adopted or effected in accordance with the terms of this Agreement; (iii) all conveyances and other instruments which the Manager deems appropriate to reflect the

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dissolution and termination of the Company; (iv) certificates of assumed name; and (v) any brokerage, administrative, selling, custodial, advisory, investment management, subscription, stock purchase and swap agreement, including, without limitation, any, ISDA master agreements, the schedules thereto, the credit support annexes to the ISDA master agreements, paragraph 13 thereof and any confirmations issued thereunder and other agreements which the Manager deems necessary, advisable or desirable in connection with the Company’s business.

(b) The Power of Attorney granted herein shall be irrevocable and be deemed to be a power coupled with an interest and shall survive the bankruptcy, insolvency, termination, incapacity or death of a Member. Each Member hereby agrees to be bound by any representation made by the Manager and by any successor thereto acting in good faith pursuant to such Power of Attorney, and each Member hereby waives any and all defenses which may be available to contest, negate or disaffirm the action of the Manager and any successor thereto taken in good faith under such Power of Attorney. In the event of any conflict between this Agreement and any instruments filed by such attorney pursuant to the Power of Attorney granted in this Section 1.5, this Agreement shall control.

Section 1.6 Offering of Interests. The Manager shall have the authority, in its sole and absolute discretion, to cause the Company from time to time, at the expense of the Company or otherwise, to offer Interests to any person. The term “Interest” as used in this Agreement is defined as an interest in the Company acquired upon the making of a capital contribution to the Company (“Capital Contribution”) by a Member. Interests may be issued by the Company in such classes or series (each being referred to herein as a “Series”) established in accordance with Section 18-215 of the Limited Liability Company Act, with each such Series bearing such rights, obligations, liabilities, privileges, designations and preferences and having different trading strategies and other terms (including without limitation different trading strategies, underlying trading advisors, management fees, incentive fees, degrees of leverage, brokerage commissions and other differences) as the Manager shall determine in its sole and absolute discretion upon the issuance of such Interests.

Section 1.7 Series Liability; Member Liability.

(a) Subject to the right of the Manager in its discretion to allocate general liabilities, expenses, costs, charges or reserves as herein provided, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Series shall be enforceable against the assets of such Series only, and not against the assets (i) of the Company generally or (ii) of any other Series, and, except as otherwise provided in this Agreement, none of the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to the Company generally or any other Series thereof shall be enforceable against the assets of such Series. The statutory provisions of Section 18-215 of the Limited Liability Company Act relating to limitations on interseries liabilities shall apply to the Company and each Series.

(b) Notwithstanding any other provision of this Agreement, the Manager shall have the right, in its sole discretion, to cause one Series to advance or loan funds to another Series, on such terms and conditions as the Manager deems are reasonable to compensate the lender Series for such advance or loan. Notwithstanding any other provision of this Agreement, the Manager may elect to hold funds or other assets owned by more than one Series in a single account.

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(c) Except as otherwise provided in the Limited Liability Company Act, a Member of any Series shall not have any personal liability whatsoever to the Company or any of the creditors of the Company for the debts, liabilities, or other obligations of such Series beyond the Member’s Capital Contributions allocated to such Series and any allocated and undistributed profits relating to such Series.

Section 1.8 Transfer. No Member may pledge, transfer or assign its Interest in the Company, in whole or in part, to any person except with the prior written consent of the Manager or by operation of law. Any attempted pledge, transfer, or assignment not made in accordance with this Section 1.8 shall be void.

Section 1.9 Net Asset Value. The “Net Asset Value” of the Company shall mean the total assets of the Company including, but not limited to, all cash and cash equivalents (valued at cost plus accrued interest and amortization of original issue discount), less the total liabilities of the Company, each determined using generally accepted accounting principles in the United States, consistently applied under the accrual method of accounting as a guideline (“GAAP”), except as set forth below or elsewhere in this Agreement. The “Net Asset Value” of each Series shall mean the total assets of the Company allocable to such Series including, but not limited to, all cash and cash equivalents (valued at cost plus accrued interest and amortization of original issue discount), less the total liabilities of the Company allocable to such Series, each determined using GAAP, except as set forth below or elsewhere in this Agreement:

(a) Net Asset Value shall include any unrealized profit or loss on open commodities and swap positions, and any other credit or debit accruing to the Company but unpaid or not received by the Company.

(b) All open commodity futures contracts and options traded on a United States exchange shall be calculated at their then current market value, which shall be based upon the settlement price for that particular commodity futures contract or option traded on the applicable United States exchange on the date with respect to which Net Asset Value is being determined; provided, that if a commodity futures contract or option traded on a United States exchange could not be liquidated on such day, due to the operation of daily limits or other rules of the exchange upon which that position is traded or otherwise, the settlement price on the first subsequent day on which the position could be liquidated shall be the basis for determining the market value of such position for such day. The current market value of all open commodity futures contracts and options traded on a non-United States exchange shall be based upon the liquidating value for that particular commodity futures contract or option traded on the applicable non-United States exchange on the date with respect to which Net Asset Value is being determined; provided, that if a commodity futures contract or option traded on a non- United States exchange could not be liquidated on such day, due to the operation of rules of the exchange upon which that position is traded or otherwise, the liquidating value on the first subsequent day on which the position could be liquidated shall be the basis for determining the market value of such position for such day. The current market value of all open forward contracts entered into by the Company shall be the mean between the last bid and last asked

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prices quoted by the bank or financial institution which is a party to the contract on the date with respect to which Net Asset Value is being determined; provided, that if such quotations are not available on such date, the mean between the last bid and asked prices on the first subsequent day on which such quotations are available shall be the basis for determining the market value of such forward contract for such day. The Manager may in its discretion value any of the Company’s assets pursuant to such other principles as it may deem fair and equitable in its sole and absolute discretion.

(c) Swap transactions shall be valued pursuant to the terms of each such swap transaction agreement.

(d) Interest earned shall be accrued at least daily.

(e) The amount of any distribution made pursuant to Article V hereof shall be a liability of the Company from the day when the distribution is declared until it is paid.

(f) Any reserves shall be accrued as a liability from the date when the reserve is created.

Article II

Manager

Section 2.1 Management. Subject to the limitations of this Agreement, the Manager shall have full, exclusive and complete control of the management, operations and policies of the Company and the Company’s affairs for the purposes herein stated and shall make all decisions affecting Company affairs. Subject to the Manager’s fiduciary obligations, these services also may be performed by the Manager or its Affiliates at rates which may exceed the lowest rates that might otherwise be available to the Company. The validity of any transaction, agreement or payment involving the Company and the Manager or any of its Affiliates otherwise permitted by this Agreement shall not be affected by reason of the relationship between the Manager and such Affiliate. The Manager may take such other actions as it deems to be in the best interests of the Company or necessary or desirable to manage or promote the business of the Company, including, without limitation, the power: (i) to purchase, repurchase, hold, sell (including short selling), loan, possess, transfer, mortgage, borrow, pledge, repledge, acquire, dispose of and exercise all rights, powers, privileges and other incidents of ownership or possession with respect to, Futures, securities, cash equivalents, other instruments and investments, and other Company assets; (ii) to enter into swap agreements; (iii) to lend and borrow money and cash equivalents on a secured or unsecured basis from banks, brokers, dealers, financial institutions or other persons; (iv) to conduct margin accounts with brokers, dealers and other financial institutions; (v) to open, maintain and close bank, depository, brokerage and custodial accounts; (vi) to sign checks and other documents on behalf of the Company; (vii) to pay or authorize the payment of distributions to the Members and of the liabilities of the Company (including tax liabilities and withholdings); (viii) to exercise such powers as may be necessary or desirable to act as an investor, trader, arbitrageur, principal and counterparty; (ix) to prepare and file all Company tax returns and the making of such tax elections and determinations as appear to it appropriate; (x) to invest from time to time in one or more investment vehicles (including affiliated investment vehicles) for the investment of the Company’s or one or more Series’ assets, to cause the Company from time to time to become a

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partner in such partnerships, a member in such limited liability companies, a shareholder in such companies, or a unit holder in such statutory trusts, and to acquire indicia of ownership in such other entities as the Manager may deem necessary or advisable from time to time, (xi) to enter into contracts with third parties with or otherwise engage third parties (including Affiliates (as hereinafter defined) of the Manager) for contracts for trading advisory, investment management, brokerage, swap counterparty, custodial, banking, investment banking, accounting, legal, administrative, clearing and consulting services, (xii) to engage personnel, whether part-time or full-time, attorneys and independent accountants or such other persons as the Manager may deem necessary or advisable, (xiii) to admit new Members to the Company pursuant to Section 4.1, (xiv) to require the withdrawal of any Member of the Company pursuant to Section 7.2, (xv) to suspend withdrawals from the Company pursuant to Section 7.6(b), and (xvi) generally, to act for the Company in all matters incidental to the foregoing.

Section 2.2 Other Business. (a) Nothing in this Agreement shall be deemed to preclude the Manager or its Affiliates from directly or indirectly purchasing, selling or holding investments, whether as principal, agent, broker or dealer, or engaging in any other activities or transactions for the account of any other person or enterprise or for their own account, regardless of whether the Company also has purchased or sold such investments or has engaged in similar transactions. The Members shall not have the right, by reason of their status as such, to participate in any manner in any profits or income earned or derived by or accruing to the Manager or its Affiliates from any transaction effected by any such person or from the conduct of any business other than that of the Company.

(b) The activities and services of the Manager under this Agreement are not exclusive, and nothing contained in this Agreement shall be deemed or construed to preclude the Manager or any of its Affiliates from engaging in any other business activities or in any way limit or circumscribe their respective abilities to engage in such other business activities, except as provided by the Limited Liability Company Act. The Manager shall devote such time to the Company’s business as the Manager, in its sole and absolute discretion, shall deem to be necessary to manage and supervise the Company’s business and affairs.

Section 2.3 No Liability for Return of Capital. Except as provided in the Limited Liability Company Act, the Manager shall not be liable for the return or repayment of all or any portion of the Capital Contributions or profits of the Members (or assignees). Any return or repayment of capital or profits made pursuant to this Agreement shall be made solely from the assets of the Company (which shall not include any right of contribution from the Manager).

Section 2.4 Expenses of the Company.

(a) The Company shall be responsible for all expenses incurred by the Company in the ordinary course of its business, including, without limitation, management fees, incentive fees, administration fees and expenses, brokerage commissions and other investment and trading fees and expenses, dealer spreads and related transaction fees and expenses, swap spreads, licensing fees, financing charges, fees and expenses incurred in connection with any action, arbitration, claim, demand, dispute, investigation, lawsuit or other proceeding, indemnification payments, and custodial fees. The Company also shall be obligated to pay all of its extraordinary fees and expenses, if any.

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(b) All Company fees and expenses which are specific to a particular Series shall be allocated to such Series. All general expenses of the Company shall be allocated pro-rata among all the Series according to their respective Net Asset Values and taking into account the timing of Capital Contributions and withdrawals.

Section 2.5 Appointment of Brokers. Subject to applicable law, the Manager may designate from time to time one or more brokers, dealers, swap counterparties, banks, clearing associations, depositories, or other financial institutions, including Affiliates to execute transactions with or on behalf of the Company and to perform such other services for the Company as such party and the Manager may agree upon from time to time.

Section 2.6 Compensation of the Manager. In connection with the services of the Manager to be provided under the terms of this Agreement, the Manager shall be paid one dollar (U.S.$1) per annum.

Article III

Liability and Indemnification

Section 3.1 Standard of Liability. The Manager and its Affiliates shall not be liable to the Company or to the Members for any act or failure to act taken or omitted by it in good faith and in a manner reasonably believed to be in or not opposed to the best interests of the Company if such act or failure to act did not constitute negligence, willful misconduct or a breach of fiduciary obligations.

Section 3.2 Indemnification of the Manager and its Affiliates.

(a) In any threatened, pending or completed action, arbitration, claim, demand, dispute, investigation, lawsuit or other proceeding (each a “Proceeding”) to which the Manager and/or any of its Affiliates (each, an “Indemnified Party) was or is a party or is threatened to be made a party by reason of the fact that it is or was the Manager of the Company, or is or was affiliated with the Manager, the Company shall indemnify, defend, and hold harmless such Indemnified Party from and against any loss, liability, damage, cost, expense (including, without limitation, attorneys’ and accountants’ fees and expenses incurred in defense of any Proceedings), judgments and amounts paid in settlement (collectively, “Losses”), incurred by it if such Indemnified Party acted in good faith and in a manner it reasonably believed to be in, or not opposed to, the best interests of the Company and, provided that the omission, act or conduct that was the basis for such Losses did not constitute willful misconduct, negligence or a breach of fiduciary obligations on the part of the Indemnified Party. The termination of any Proceeding by judgment, order or settlement shall not create, of itself, a presumption that the Indemnified Party did not act in good faith and in a manner it reasonably believed to be in or not opposed to, the best interests of the Company.

(b) The Company shall make advances to an Indemnified Party hereunder only if (i) the Proceeding relates to the performance of duties or services by such Indemnified Party to the Company and (ii) the Indemnified Party receiving such advance agrees to repay the advance if such Indemnified Party is ultimately found not to be entitled to indemnification hereunder.

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(c) As used in this Agreement, the term “Affiliate” of the Manager shall mean: (i) any natural person, partnership, corporation, limited liability company, association or other legal entity directly or indirectly owning, controlling, or holding with power to vote 10.0% or more of the outstanding voting interest of the Manager; (ii) any partnership, corporation, limited liability company, association or other legal entity 10.0% or more of whose outstanding voting securities are directly or indirectly owned, controlled, or held with power to vote by the Manager; (iii) any natural person, partnership, corporation, limited liability company, association or other legal entity directly or indirectly controlling, controlled by, or under common control with, the Manager; or (iv) any officer, manager, director, shareholder, employee, partner or member of the Manager.

Section 3.3 Indemnification by Members. In the event that the Company, the Manager and/or any of its Affiliates is made a party to any Proceeding or otherwise incurs any Losses as a result of, or in connection with, (a) a Member’s (or its assignee’s) activities, obligations or liabilities unrelated to the Company’s business or (b) any failure or alleged failure on the part of the Company or the Manager to withhold from income or gains allocated or deemed to be allocated to a Member (or its assignees), whether or not distributed, any amounts with respect to which Federal income tax withholding was required or alleged to have been required, the Member (or its assignees cumulatively) shall indemnify, defend, hold harmless, and reimburse the Company, the Manager and its Affiliates for such Losses to which they shall become subject.

Article IV

Members

Section 4.1 Members.

(a) The Manager may admit Members to the Company from time to time and upon such terms as the Manager may decide in its sole and absolute discretion.

(b) A transferee of a Member’s Interest will not become a Member of the Company unless: (i) the transferee accepts and agrees to be bound by the terms and provisions of this Agreement, (ii) a counterpart of this Agreement and such other documents or instruments as the Manager may require are executed by the transferee to evidence such acceptance and agreement, (iii) the transferor and transferee of any Interest shall be jointly and severally obligated to reimburse the Company for all reasonable expenses (including attorneys’ fees and expenses) of any transfer or proposed transfer of such Interest, whether or not consummated, (iv) the Manager has consented to the admission of such transferee as a Member; and (v) if the transferee is not an individual, the transferee provides the Company with evidence satisfactory to counsel for the Company of the authority of such transferee to become a Member under the terms and provisions of this Agreement.

Article V

Capital Contributions; Capital Accounts; Allocations; Distributions

Section 5.1 Capital Contributions. Each Member has made (or shall make) an initial Capital Contribution to the Company in an amount determined by the Manager in its sole and absolute discretion. The Manager shall have the right, in its sole and absolute discretion, to

8

accept a Members’ Capital Contributions in cash, securities or other property, in whole or in part, which will be valued at fair market value, which is to be determined by the Manager in its sole and absolute discretion. The Manager may, in its sole and absolute discretion, permit a Member to make Capital Contributions to the Company as of the close of business (as determined by the Manager) on each Business Day (as hereinafter defined) and at such other times as the Manager may determine in its sole and absolute discretion. The Manager shall have the right to refuse any Capital Contribution in whole or in part in its sole and absolute discretion.

Section 5.2 Capital Accounts. A separate capital account shall be established on the books of the Company for each Member with respect to each Series of Interests held by such Member (each, a “Capital Account”).

Section 5.3 General Allocations. As of the close of business (as determined by the Manager) on each Business Day during each Fiscal Year (as hereinafter defined) of the Company, a Member’s Capital Account with respect to each Series shall be (a) credited with the amount of any Capital Contributions to the Company made by such Member relating to such Series, (ii) debited by the amount of any withdrawals made by the Member related to such Series pursuant to Article VII and the amount of any distributions made to such Member relating to such Series pursuant to Section 5.6, and (c) credited or debited pro rata (based on the Capital Account balance of such Capital Account as a percentage of the total Capital Account balances of such Series) by any increase or decrease in the Net Asset Value of such Series as of such date as compared with the Net Asset Value of such Series on the immediately preceding determination date.

Section 5.4 Tax Matters Partner. The initial “Tax Matters Partner” of the Company, as defined in Section 6231 of the Code shall be the Frontier Fund. Each Member hereby consents to such designation and agrees to take any further action as may be required by regulation or otherwise to effectuate such designation. The Manager shall have the authority to designate any successor Tax Matters Partner for the Company and may designate a successor Tax Matters Partner for the Company, in its sole and absolute discretion, upon written notice to the Members. The Tax Matters Partner, in its sole and absolute discretion, may cause the Company to make, refrain from making and, once having made, revoke the election referred to in Section 754 of the Code or any other election affecting the computation of partnership income required to be made by the Company pursuant to Section 703(b) of the Code, and any similar or different elections provided by Federal, state or local law or any similar provision enacted in lieu thereof. The Tax Matters Partner, in its sole and absolute discretion, may delegate some or all of its management responsibilities to Affiliates, and it also may hire third parties to perform such services, either at its own expense or at the expense of the Company.

Section 5.5 Tax Allocations.

(a) Allocations pursuant to this Section 5.5 are solely for tax purposes and shall not affect, or in any way be taken into account in computing, any Member’s Capital Account balance, share of profits, losses, or other items, or distributions pursuant to any provision of this Agreement.

9

(b) For each Fiscal Year of the Company, items of income, deduction, gain, loss or credit shall be allocated for income tax purposes among the Members in such manner as to reflect equitably amounts credited or debited to each Member’s Capital Account for the relevant accounting periods. Allocations under this Section 5.5 shall be made pursuant to the principles of Sections 704(b) and 704(c) of the Internal Revenue Code of 1986, as amended (the “Code”), and Treasury Regulations Sections 1.704-1(b)(2)(iv)(f) and (g), 1.704-1(b)(4)(i) and 1.704-3(e) promulgated there under, as applicable, or the successor provisions to such Section and Treasury Regulations.

(c) Notwithstanding anything to the contrary in this Agreement, there shall be allocated to the Members such gains or income as shall be necessary to satisfy the “qualified income offset” requirements of Treasury Regulations Section 1.704-1(b)(2)(ii)(d)

(d) If the Company realizes ordinary income and/or capital gains (including short-term capital gains) for Federal income tax purposes (collectively, “income”), the Manager may elect to allocate such income as follows: (i) to allocate such income among such Positive Basis Members (as hereinafter defined), pro rata in proportion to the respective Positive Basis (as hereinafter defined) of each such Positive Basis Member, until either the full amount of such income shall have been so allocated or the Positive Basis of each such Positive Basis Member shall have been eliminated and (ii) to allocate any income not so allocated to Positive Basis Members to the other Members in such manner as shall equitably reflect the amounts allocated to such Members’ Capital Accounts pursuant to Section 5.3.

(e) If the Company realizes deductions, ordinary losses and/or capital losses (including long-term capital losses) for Federal income tax purposes (collectively, “losses”), the Manager may elect to allocate such losses as follows: (i) to allocate such losses among such Negative Basis Members (as hereinafter defined), pro rata in proportion to the respective Negative Basis (as hereinafter defined) of each such Negative Basis Member, until either the full amount of such losses shall have been so allocated or the Negative Basis of each such Negative Basis Member shall have been eliminated and (ii) to allocate any losses not so allocated to Negative Basis Members to the other Members in such manner as shall equitably reflect the amounts allocated to such Members’ Capital Accounts pursuant to Section 5.3.

(f) As used herein, (i) the term “Positive Basis” shall mean, with respect to any Member and as of any time of calculation, the amount by which (x) its Interest in the Company as of such time plus an amount equal to any deemed distributions to such Member for Federal income tax purposes pursuant to Section 752(b) of the Code resulting from its withdrawal exceeds (y) its “adjusted tax basis”, for Federal income tax purposes, in its Interest in the Company as of such time, and (ii) the term “Positive Basis Member” shall mean any Member who withdraws from the Company and who has Positive Basis as of the effective date of its withdrawal (determined prior to any allocations made pursuant to this Section 5.4).

(g) As used herein, (i) the term “Negative Basis” shall mean, with respect to any Member and as of any time of calculation, the amount by which (x) its Interest in the Company as of such time plus an amount equal to any deemed distributions to such Member for Federal income tax purposes pursuant to Section 752(b) of the Code resulting from its withdrawal is less than (y) its “adjusted tax basis”, for Federal income tax purposes, in its

10

Interest in the Company as of such time, and (ii) the term “Negative Basis Member” shall mean any Member who withdraws from the Company and who has Negative Basis as of the effective date of its withdrawal (determined prior to any allocations made pursuant to this Section 5.4).

(h) If the Code or regulations promulgated thereunder require a withholding or other adjustment to a Member’s Capital Account or some other event occurs necessitating in the Manager’s judgment an equitable adjustment, the Manager shall make such adjustments in the determination and allocation among the Members of such items of income, deduction, gain, loss, credit or withholding for tax purposes, accounting procedures or such other financial or tax items as shall equitably take into account such event and applicable provisions of law, and the determination thereof in the discretion of the Manager shall be final and conclusive as to all of the Members.

Section 5.6 Distributions.

(a) The Members recognize that the profitability of the Company depends upon long-term, uninterrupted investment of capital. The Members acknowledge, therefore, that the Manager generally will not make distributions of any items of income or gain to the Members except as required or permitted by this Agreement. The Manager shall have sole discretion in determining the amount and frequency of distributions to be made to the Members. The Manager may, in its sole discretion, make distributions in cash or in kind, or partly in cash and partly in kind to the Members.

(b) The Manager may withhold and pay over to the U.S. Internal Revenue Service (or any other relevant taxing authority) such amounts as the Company is required to withhold or pay over, pursuant to the Code or any other applicable law, on account of a Member’s distributive share of the Company’s items of income or gain.

(c) For purposes of this Agreement, any taxes so withheld or paid over by the Company with respect to a Member’s distributive share of the Company’s income or gain shall be deemed to be a distribution or payment to such Member, reducing the amount otherwise distributable to such Member pursuant to this Agreement and reducing the Capital Account of such Member. If the amount of such taxes is greater than any such distributable amounts, then such Member and any successor to such Member’s Interest shall pay the amount of such excess to the Company, as a contribution to the capital of the Company.

Section 5.7 Determination by the Manager of Certain Matters. All matters concerning the valuation of securities and other assets and liabilities of the Company, the allocation of income, deductions, gains and losses among the Members, including taxes thereon, and accounting procedures not expressly provided for by the terms of this Agreement shall be determined by the Manager, whose determination shall be final and conclusive as to all of the Members.

Section 5.8 Tax Returns. The Manager or its designated agent shall prepare and file, or cause the accountants of the Company to prepare and file, a Federal information tax return in compliance with Section 6031 of the Code, and any required state and local income tax and information returns for each tax year of the Company.

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Article VI

Accounting Matters and Reports

Section 6.1 Books of Account; Fiscal Year. Proper books of account shall be kept under the accrual method of accounting, and there shall be entered therein all transactions, matters and things relating to the Company’s business as are required by all applicable laws and using GAAP, except as otherwise expressly provided in this Agreement. The books of accounts and records of the Company shall be open for inspection in accordance with and subject to the limitations set forth in the Limited Liability Company Act. Each “Fiscal Year” of the Company will end on December 31.

Section 6.2 Valuation; Reserves. Except as otherwise expressly provided in this Agreement, in determining the value of accounts of the Company for all purposes, the assets and liabilities of the Company shall be valued in accordance with Section 1.9; The Manager, in its sole and absolute discretion may provide reserves or holdbacks for estimated accrued expenses, assets that are difficult to value, and liabilities or contingencies, including general reserves or holdbacks for unspecified contingencies (even if such reserves or holdbacks are not required by GAAP).

Section 6.3 Effect of Accounting Determination. Except with respect to the distributive interest of the Members determined in accordance with this Agreement, the value of accounts of the Company, as ascertained and determined at the end of each fiscal year, shall be conclusive upon each Member, unless it shall make objection to the same in writing, delivered to the Company within 20 days after receipt by a Member of a statement of its account as sent to such Member at the end of each fiscal year. In the absence of such written objection, the valuation of each account shall not thereafter be questioned by a Member or by its legal representatives.

Section 6.4 Reports. The Company shall prepare and deliver to each Member, from time to time, information concerning the Net Asset Value of the Company or a Series, as applicable, and information with respect to balances of any Capital Accounts established for such Member.

(b) The Company shall prepare and deliver, or cause its accountants to prepare and deliver, to each Member, a report setting forth in sufficient detail such information as shall enable such Member to prepare its Federal income tax return in accordance with the laws, rules and regulations then prevailing.

Article VII

Withdrawals

Section 7.1 Withdrawals from Capital Accounts. Subject to the other provisions of this Agreement and in compliance with applicable laws, a Member of a Series may withdraw some or all amounts from its Capital Account relating to a Series as of the close of business on any Business Day (each, a “Withdrawal Date”) with one Business Day’s prior written notice to the Manager. To be deemed to be given on a Business Day, notice must be

12

received by the Manager no later than 4:00 pm Eastern Time on the preceding Business Day. “Business Day” means a day other than Saturday, Sunday or other day when banks and/or securities exchanges in the City of New York or the City of Wilmington are authorized or obligated by law or executive order to close.

Section 7.2 Mandatory Withdrawals. The Manager may, in its sole and absolute discretion, require a Member to withdraw from the Company.

Section 7.3 Other Withdrawals. The withdrawal of a Member shall also be deemed to occur in the event of the death, expulsion, dissolution, legal incapacity, insolvency, or bankruptcy of such Member. The death, legal disability, incapacity, insolvency, bankruptcy, dissolution or withdrawal of a Member shall not result in the dissolution or termination of the Company.

Section 7.4 Timing of Withdrawal. For purposes of computing the withdrawing Member’s distributive interest pursuant to this Agreement, a withdrawal will be deemed to occur as of 4:00 pm Eastern Time on the applicable Withdrawal Date.

Section 7.5 Payment of Withdrawal Proceeds. Subject to the other terms of this Agreement, payment of the amount requested to be withdrawn generally shall be made within seven (7) Business Days following the Withdrawal Date to the extent reasonably practicable.

Section 7.6 Limitations on Payment of Withdrawal Proceeds.

(a) Notwithstanding anything contained in this Agreement to the contrary, the payment of withdrawal proceeds will not be made to a withdrawing Member unless (i) all liabilities, contingent or otherwise, of the Company and the relevant Series have been paid or there remains property of the relevant Series sufficient to pay them, and (ii) any reserves and estimated accrued expenses and liabilities provided for in accordance with Section 6.2 have been taken.

(b) The Manager may suspend temporarily any withdrawal if the effect of such withdrawal, either alone or in conjunction with other withdrawals, would, in its sole judgment, be to impair the Company’s ability to operate. The Manager may also suspend any withdrawal in the event of a natural disaster, force majeure, act of war, terrorism, bankruptcies, closure of financial markets, or other events outside of the Company’s control that impair the Company’s ability to operate.

(c) The Manager, by written notice to any Member, may suspend payment of some or all withdrawal proceeds to such Member (i) if the Member reasonably deems it necessary to do so to comply with anti-money laundering laws and regulations applicable to the Company and (ii) under extraordinary circumstances, as determined by the Manager in its sole and absolute discretion (including, but not limited to, the inability to liquidate portfolio positions as of such Withdrawal Date, or default or delay in payments due the Company from brokers, banks, counterparties, or other persons, or significant administrative hardship), in which event payment for withdrawal will be made to such Member as soon thereafter as is practicable.

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Section 7.8 Rights and Obligations Upon Withdrawal. Upon the complete withdrawal of a Member, all of its rights in specific Company property of every kind whatsoever, including, but not limited to, all books of account, records, and papers of the Company, shall immediately and without further assignment, cease. The withdrawing Member and its legal representatives shall have only the right to receive the distributions to the withdrawn Member provided for under this Agreement.

Article VIII

Dissolution

Section 8.1 Dissolution. The Company shall cease doing business and shall be dissolved upon the earlier of: (a) December 31, [        ]; (b) upon the insolvency or bankruptcy of the Company; (c) at the election of the Manager upon 60 days notice to the Members; (d) upon the resignation, retirement, adjudication of bankruptcy or insolvency, dissolution or withdrawal of the Manager; or (e) at the election by the Members together with the consent of the Manager. The death, legal disability, incapacity, insolvency, bankruptcy, dissolution or withdrawal of a Member shall not result in the dissolution or termination of the Company.

Section 8.2 Final Accounting. Upon the dissolution of and failure to reconstitute the Company, an accounting shall be made of the accounts of the Company and of the Members, and of the Company’s assets, liabilities and changes in financial condition from the date of the last previous accounting to the date of such dissolution. The Manager, or such person or persons designated by it, shall act as liquidating trustee or trustees and immediately proceed to wind-up and terminate the business and affairs of the Company and liquidate the property and assets of the Company. In the event the dissolution is caused by the death, legal disability, incapacity, insolvency, bankruptcy, dissolution or withdrawal of the Manager, the liquidating trustee or trustees shall be designated with the consent of a Majority-in-Interest (as defined below) of the Members.

Section 8.3 Distribution. Upon the winding-up and termination of the business and affairs of the Company, its liabilities and obligations to creditors and all expenses incurred in liquidation shall be paid, and its remaining assets shall be distributed to the Members pursuant to the terms of Section 7.5 of this Agreement.

Section 8.4 Use of Firm Name upon Dissolution. At no time during the operation of the Company or upon the termination and dissolution of the Company shall any value be placed upon the firm name, or the right to its use, or to the goodwill, if any, attached thereto, either for the Members or for the purpose of determining any distributive interest of the Members in accordance with this Agreement.

Article IX

Miscellaneous

Section 9.1 Notices. All notices or other communications required or permitted to be given pursuant to this Agreement shall be effective only if in writing and shall be considered as properly given or made, if sent by facsimile, if personally delivered, if mailed, postage prepaid, and addressed, if to the Manager, to it at the address of the Company, and if to a Member, to the address of such Member as reflected in the books and records of the Company

14

from time to time. A Member may change its address by giving notice in writing to the Manager stating its new address, and the Manager may change its address by giving such notice to the Members. Commencing on the 10th day after the giving of such notice, such newly designated address shall be the Member’s address for the purpose of all notices or other communications required or permitted to be given pursuant to this Agreement.

Section 9.2 Amendment.

(a) The terms and provisions of this Agreement as a whole or in respect of any Series may be modified or amended at any time and from time to time with the written consent of a Majority-in-Interest of Members of the Company, and the consent of the Manager (which may be given or withheld in its sole and absolute discretion). For purposes of this Section 9.2, a “Majority-in-Interest” shall mean, with respect to the Company, those Members with aggregate Capital Account balances totaling more than 50% of the aggregate Capital Account balances of all Members of the Company as of the determination date.

(b) Notwithstanding the foregoing, the Manager may, without the approval of the Members, make such amendments to this Agreement which (i) are necessary to add to the representations, duties or obligations of the Manager or surrender any right or power granted to the Manager herein, for the benefit of the Members; (ii) are necessary to cure any ambiguity or to correct or supplement any provision in this Agreement which may be manifestly inconsistent with any other provision herein; and (iii) are necessary to delete from or add any provision to this Agreement required or deemed necessary to be so deleted or added by any governmental authority for the benefit or protection of the Members. However, no such amendment shall change the liability of the Members so as to materially, adversely affect the Members or change the Members’ share of the profits or losses of the Company without the consent of the Members.

Section 9.3 Execution. This Agreement may be executed in more than one counterpart, and all so executed shall constitute one Agreement, binding on all of the parties hereto, notwithstanding that all the parties are not signatory to the original or the same counterpart. Executed facsimile or electronic copies of this Agreement shall constitute a binding agreement for all purposes.

Section 9.4 Successors in Interest. (a) Each Member of a Series covenants for it, its heirs, executors, administrators, successor, assigns and legal representatives that it will, at any time on demand after its withdrawal from the Company, contribute to the Company (for the benefit of the relevant Series) its proportionate share of any liability, judgment or cost of any kind (including the reasonable cost of the defense of any suit or action and any sums which may be paid in settlement thereof) that may be incurred by the Company on behalf of a Series on account of any matters or transactions occurring during the time it was a Member. The amount of such contribution shall not exceed the then balance of its account at the time it ceased to be a Member plus the amount of distributions theretofore made to it, if any, plus interest thereon. Such proportionate share of liability, judgment or cost of any kind shall be determined from this Agreement as it existed at the time such matter or transaction occurred.

(b) Each Member covenants that neither it nor its heirs, executors, administrators, successors, assigns or legal representatives, nor any person or persons claiming through or under it, will file a bill for a Company accounting or otherwise proceed adversely in any way whatsoever against the Company, except in an action for fraud.

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(c) This Agreement and all of its terms and provisions shall be binding upon and shall inure to the benefit of the Members and their legal representatives, heirs and successors and assigns. Any person subsequently admitted to the Company as a Manager or a Member shall be subject to all of the provisions of this Agreement as if an original signatory hereto.

Section 9.5 Governance. Each Member agrees that if any action shall be taken pursuant to this Agreement by such Member, it will execute any such writing or instrument as may be necessary to carry out and perfect such action notwithstanding that said party may not have assented thereto or may have objected thereto. Company action covered within the scope of this clause includes, but is not limited to, the adoption of any certificate of formation of the Company or any amendment thereto, any instrument effecting or evidencing the withdrawal of the Member and any amendment or supplement to this Agreement.

Section 9.6 Ownership of Company Assets. Any assets owned by the Company may be registered in the Company’s name, or in the name of a nominee, or in a “street name.”

Section 9.7 Governing Law. The validity and construction of this Agreement and all amendments hereto shall be governed by the laws of the State of Delaware, and the rights of all parties hereto and the effect of every provision hereof shall be subject to and construed according to the laws of the State of Delaware without regard to the conflict of laws provisions thereof.

Section 9.8 Entire Agreement. This Agreement constitutes the entire agreement among the Manager and the Members relative to the formation and operation of the Company. This Agreement supersedes and replaces any and all prior agreements relative to such matters.

Section 9.9 Investment Representation. By executing this Agreement, each Member hereby represents and warrants to the Manager as follows:

(a) it understands that its investment in the Company is a “security” as defined in the U.S. Securities Act of 1933, as amended (the “1933 Act”) which has not been registered under the 1933 Act or any state securities law and that its investment is being made in reliance upon the exemption contained in 4(2) of the 1933 Act and similar provisions under state securities laws;

(b) its participation in the Company is being made for its own account for investment purposes and with no present intention of reselling or distributing its Interest in the Company;

(c) it is familiar with the types of transactions and activities in which the Company intends to engage and is fully aware that such transactions and activities involve volatility and risk of loss; and

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(d) it is fully capable of evaluating the merits and risks associated with an investment in the Company, and its net worth is such that it can bear the economic risk of loss of its investment in the Company.

Section 9.10 Arbitration. Each party hereto agrees that any dispute, controversy, claim or difference between the parties with respect to any matter related to or arising out of this Agreement shall be settled and determined by arbitration in the City of New York, State of New York, in accordance with the rules then obtaining of the National Futures Association or, if no such rules are then obtaining or if jurisdiction is declined, then in accordance with the rules then obtaining of the American Arbitration Association. Without limiting the generality of the foregoing, in any such arbitration, each of the parties hereto agrees to request from the arbitrators that (i) their authority be limited to construing and enforcing the terms and conditions of the Agreement as expressly set forth herein, (ii) the reasons for their award be stated in a written opinion, (iii) they shall not make any award which shall alter, change, cancel or rescind any provision of this Agreement, and (iv) their award shall be consistent with the provisions of this Agreement. The award of the arbitrators shall be final and binding, and judgment may be confirmed and entered thereon in any court of competent jurisdiction. Any notice of such arbitration or for the confirmation of any award in any arbitration shall be sufficient if given in accordance with the provisions of this Agreement.

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IN WITNESS WHEREOF, the undersigned have executed this Agreement as of the day and year first written above.

Manager
THE BORNHOFT GROUP CORPORATION
By:
	Richard E. Bornhoft, President

Members
THE FRONTIER FUND
By: Its Managing Owner, Equinox Fund Management, LLC
	By:
		Robert J. Enck, President and CEO

[MEMBER NAME]
By:	[    ]
	By:
		[    ]

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EX-21.1

Exhibit 21.1

SUBSIDIARIES OF REGISTRANT

Name	State of Incorporation	Name Under Which Such Subsidiary Does Business
Frontier Trading Company II LLC	Delaware	Same
Frontier Trading Company III LLC	Delaware	Same
Frontier Trading Company V LLC	Delaware	Same
Frontier Trading Company VI LLC	Delaware	Same
Frontier Trading Company VII, LLC	Delaware	Same
Frontier Trading Company VIII, LLC	Delaware	Same
Frontier Trading Company IX, LLC	Delaware	Same
Frontier Trading Company X, LLC	Delaware	Same
Frontier Trading Company XI, LLC	Delaware	Same
Frontier Trading Company XII, LLC	Delaware	Same
Frontier Trading Company XIII, LLC	Delaware	Same

EX-31.1

Exhibit 31.1

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Robert J. Enck, certify that:

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

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

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

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

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

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

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

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

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

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

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

November 12, 2009	/s/ Robert J. Enck
	Robert J. Enck
	President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

EX-31.2

Exhibit 31.2

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Brent Bales, certify that:

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

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

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

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

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

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

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

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

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

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

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

November 12, 2009	/s/ Brent Bales
	Brent Bales
	Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

EX-32.1

Exhibit 32.1

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of The Frontier Fund on Form 10-Q for the period ended September 30, 2009 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of The Frontier Fund.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

Date: November 12, 2009

EX-32.2

Exhibit 32.2

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of the Balanced Series, a Series of The Frontier Fund on Form 10-Q for the period ended September 30, 2009 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Balanced Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of the Balanced Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of the Balanced Series, a Series of The Frontier Fund

Date: November 12, 2009

EX-32.3

Exhibit 32.3

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of the Campbell/Graham/Tiverton Series, a Series of The Frontier Fund on Form 10-Q for the period ended September 30, 2009 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Campbell/Graham/Tiverton Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of the Campbell/Graham/Tiverton Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of the Campbell/Graham/Tiverton Series, a Series of The Frontier Fund

Date: November 12, 2009

EX-32.4

Exhibit 32.4

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of the Currency Series, a Series of The Frontier Fund on Form 10-Q for the period ended September 30, 2009 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Currency Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of the Currency Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of the Currency Series, a Series of The Frontier Fund

Date: November 12, 2009

EX-32.5

Exhibit 32.5

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of the Long Only Commodity Series, a Series of The Frontier Fund on Form 10-Q for the period ended September 30, 2009 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Long Only Commodity Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of the Long Only Commodity Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of the Long Only Commodity Series, a Series of The Frontier Fund

Date: November 12, 2009

EX-32.6

Exhibit 32.6

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of the Frontier Long/Short Commodity Series, a Series of The Frontier Fund on Form 10-Q for the period ended September 30, 2009 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Frontier Long/Short Commodity Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of the Frontier Long/Short Commodity Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of the Frontier Long/Short Commodity Series, a Series of The Frontier Fund

Date: November 12, 2009

EX-32.7

Exhibit 32.7

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of the Managed Futures Index Series, a Series of The Frontier Fund on Form 10-Q for the period ended September 30, 2009 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Managed Futures Index Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of the Managed Futures Index Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of the Managed Futures Index Series, a Series of The Frontier Fund

Date: November 12, 2009

EX-32.8

Exhibit 32.8

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of the Winton Series, a Series of The Frontier Fund on Form 10-Q for the period ended September 30, 2009 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Winton Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of the Winton Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of the Winton Series, a Series of The Frontier Fund

Date: November 12, 2009

EX-32.9

Exhibit 32.9

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of the Winton/Graham Series, a Series of The Frontier Fund on Form 10-Q for the period ended September 30, 2009 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Winton/Graham Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of the Winton/Graham Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of the Winton/Graham Series, a Series of The Frontier Fund

Date: November 12, 2009

EX-32.10

Exhibit 32.10

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of the Frontier Diversified Series, a Series of The Frontier Fund on Form 10-Q for the period ended September 30, 2009 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Frontier Diversified Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of the Frontier Diversified Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of the Frontier Diversified Series, a Series of The Frontier Fund

Date: November 12, 2009

EX-32.11

Exhibit 32.11

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of the Frontier Dynamic Series, a Series of The Frontier Fund on Form 10-Q for the period ended September 30, 2009 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Frontier Dynamic Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of the Frontier Dynamic Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of the Frontier Dynamic Series, a Series of The Frontier Fund

Date: November 12, 2009

EX-32.12

Exhibit 32.12

CERTIFICATION PURSUANT TO

18 U.S.C.§1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of the Frontier Masters Series, a Series of The Frontier Fund on Form 10-Q for the period ended September 30, 2009 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies, to the best of his knowledge:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Frontier Masters Series.

/s/ Robert J. Enck

Robert J. Enck

President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of the Frontier Masters Series, a Series of The Frontier Fund

/s/ Brent Bales

Brent Bales

Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of the Frontier Masters Series, a Series of The Frontier Fund

Date: November 12, 2009