UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM 10-K

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

For the fiscal year ended December 31, 2009

or

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

For the transition period from              to             

Commission File Number 000-51274

THE FRONTIER FUND

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 or Other Jurisdiction of Incorporation or Organization)	(IRS Employer Identification No.)
c/o Equinox Fund Management, LLC 1660 Lincoln Street, Suite 100, Denver, Colorado 80264	80264
(Address of Principal Executive Offices)	(Zip Code)

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

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

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

Title of Each Class

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

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

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

Indicate by check mark 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 if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (§229.405) is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K.

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

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

The Frontier Fund’s units of beneficial interest are not traded on any market and, accordingly, do not have an aggregate market value. Units outstanding as of June 30, 2009 were: 550 for the Diversified Series, 550 for the Dynamic Series, 601,258 for the Long/Short Commodity Series, 550 for the Masters Series, 3,275,190 for the Balanced Series, 793,931 for the Campbell/Graham/Tiverton Series, 142,335 for the Currency Series, 58,472 for the Long Only Commodity Series, 35,765 for the Managed Futures Index Series, 531,274 for the Winton Series and 567,484 for the Winton/Graham Series. Units outstanding as of December 31, 2009 were: 579,363 for the Diversified Series, 9,782 for the Dynamic Series, 587,224 for the Long/Short Commodity Series, 245,657 for the Masters Series, 3,094,267 for the Balanced Series, 745,508 for the Campbell/Graham/Tiverton Series, 126,616 for the Currency Series, 54,979 for the Long Only Commodity Series, 32,285 for the Managed Futures Index Series, 488,380 for the Winton Series and 535,187 for the Winton/Graham Series.

Documents Incorporated by Reference

Portions of the Prospectus filed by the registrant on February 16, 2010 pursuant to Rule 424(b)(3) of the Securities Act (File No. 333-164629) are incorporated by reference into Part I and Part II of this report.

Special Note About Forward-Looking Statements

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

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

UNLESS EXPRESSLY STATED OTHERWISE, ALL INFORMATION IN THIS REPORT IS AS OF DECEMBER 31, 2009, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

Table of Contents

			Page
PART I
	Item 1.	Business	1
	Item 1A.	Risk Factors	5
	Item 1B.	Unresolved Staff Comments	24
	Item 2.	Properties	24
	Item 3.	Legal Proceedings	24
	Item 4.	Reserved	24
PART II
	Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	25
	Item 6.	Selected Financial Data	26
	Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	35
	Item 7A.	Quantitative and Qualitative Disclosures About Market Risk	88
	Item 8.	Financial Statements and Supplementary Data	98
	Item 9.	Changes in and Disagreements with Accountants on Accounting and Financial Disclosure	98
	Item 9A(T).	Controls and Procedures	98
	Item 9B.	Other Information	99
PART III
	Item 10.	Directors, Executive Officers and Corporate Governance	100
	Item 11.	Executive Compensation	103
	Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	104
	Item 13.	Certain Relationships and Related Transactions	105
	Item 14.	Principal Accountant Fees and Services	105
PART IV
	Item 15.	Exhibits and Financial Statement Schedules	106
		Index to Financial Statements	F-1
		Signatures	E-1

Part I

Item 1. BUSINESS.

Overview

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

Purchasers of Units are limited owners of the Trust (“Limited Owners”). The Trust Act provides that, except as otherwise provided in the amended and restated declaration of trust and trust agreement of the Trust dated as of August 8, 2003, by and among the Managing Owner, Wilmington Trust Company as trustee and the unitholders from time to time (the “Trust Agreement”), unitholders in a Delaware statutory trust will have the same limitation of liability as do stockholders of private corporations organized under the General Corporation Law of the State of Delaware. The Trust Agreement confers substantially the same limited liability, and contains the same limited exceptions thereto, as would a limited partnership agreement for a Delaware limited partnership engaged in like transactions as the Trust. In addition, pursuant to the Trust Agreement, the Managing Owner of the Trust is liable for obligations of a Series in excess of that Series’ assets. Limited Owners do not have any such liability. The Managing Owner will make contributions to Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of all Series.

The Trust conducts its business in one operating segment and has been organized to pool assets of investor funds for the purpose of trading in the U.S. and international markets for currencies, interest rates, stock indices, agricultural and energy products, precious and base metals and other commodities. The Trust may employ also futures contracts, forwards, option contracts and other interest in derivative instruments, including swap contracts (“Swaps”).

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 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),, and 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;

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• 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 1 a 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 1 a 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 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 231 0(b)(4)(B)(ii) (formerly Rule 281 0(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 1 a 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.

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

During 2009, the Trust registered up to an additional 1,000,000 Units in Frontier Diversified SeriesClass1 ; 250,000 Units in Frontier Diversified Series, Class 2; 1,000,000 Units in Frontier Masters Series, Class 1; 250,000 Units in Frontier Masters Series, Class 2; 600,000 Units in Frontier Long/Short Commodity Series, Class1a; 200,000 Units in Frontier Long/Short Commodity Series Class2a; 1,000,000 Units in Frontier Dynamic Series, Class 1; 250,000 Units in Frontier Dynamic Series, Class 2; 575,000 Units in Balanced Series, Class 1; 255,000 Units in Balanced Series, Class 2; 50,000 Units in Balanced Series, Class 1a; 25,000 Units in Balanced Series, Class 2a; 325,000 Units in Campbell/Graham/Tiverton Series, Class 1; 50,000 Units in Campbell/Graham/Tiverton, Class 2; 50,000 Units in Currency Series, Class 1; 25,000 Units in Currency Series, Class 2; 25,000 Units in Long Only Commodity Series, Class 1; 25,000 Units is Long Only Commodity Series, Class 2; 25,000 Units in Managed Futures Index Series, Class 1; 50,000 Units in Managed Futures Index Series, Class 2; 10,000 Units in Winton Series, Class 1; 5,000 Units in Winton Series, Class 2; 350,000 Units in Winton/Graham

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Series, Class 1; and 25,000 Units in Winton/Graham Series, Class 2 on a Registration Statement on Form S-1/A pursuant to Rule 462(b) (File No. 333-155800). No new Units were registered under the Securities Act of 1933, as amended during 2008. As of December 31, 2009, the total Units outstanding of each Series of the Trust was 579,363 with respect to the Frontier Diversified Series, 9,782 with respect to the Frontier Dynamic Series, 587,224 with respect to the Frontier Long/Short Commodity Series, 245,657 with respect to the Frontier Masters Series. 3,094,267 with respect to the Balanced Series, 745,508 with respect to the Campbell/Graham/Tiverton Series, 126,616 with respect to the Currency Series, 54,979 with respect to the Long Only Commodity Series, 32,285 with respect to the Managed Futures Index Series, 488,380 with respect to the Winton Series and 535,187 with respect to the Winton/Graham Series.

As of December 31, 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 have included 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.

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

The Trading Advisors were selected based upon the Managing Owner’s evaluation of each Trading Advisor’s past performance, trading portfolios and strategies, as well as how each Trading Advisor’s performance, portfolio and strategies complement and differ from those of the other Trading Advisors. As of December 31, 2009, none of the Trading Advisors or any of their principals had any beneficial interest in the Trust, but any of them is free to acquire such beneficial interest.

Equinox Fund Management, LLC, a Delaware limited liability company formed in June 2003, is the managing owner of the Trust (the “Managing Owner”). The Managing Owner became registered with the CFTC as a commodity pool operator (“CPO”), as of August 6, 2003, and has been a member of the National Futures Association (the “NFA”) in such capacity since that date. The Managing Owner’s main business office is located at 1660 Lincoln Street, Suite 100, Denver, Colorado 80264, telephone (303) 837-0600. A description of the Managing Owner’s responsibilities to the Trust is contained in a Prospectus filed dated February 16, 2010, which was filed by the Trust on February 2, 2010 pursuant to Rule 424(b)(3) of the Securities Act of 1933, as amended (File No. 333-164629), which is referred to herein as the “Prospectus,” under the section captioned “Duties of the Managing Owner,” and such description is incorporated herein by reference from the Prospectus.

Regulation

Under the Commodity Exchange Act, as amended, (the “Commodity Exchange Act”) commodity exchanges and commodity futures trading are subject to regulation by the CFTC. The NFA, a registered futures association under the Commodity Exchange Act, is the only non-exchange self-regulatory organization for commodity

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

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

Operations

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

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

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

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

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

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

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

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Financial Information about Geographic Areas

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

Employees

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

Available Information

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

Item 1A. RISK FACTORS.

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

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

Market Risks

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

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

• changes in interest rates;

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

• weather and climate conditions;

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• natural disasters, such as hurricanes;

• changing supply and demand relationships;

• changes in balances of payments and trade;

• U.S. and international rates of inflation;

• currency devaluations and revaluations;

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

• changes in philosophies and emotions of market participants.

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

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

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

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

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

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

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

Because the amount of margin funds necessary to be deposited with a Futures Clearing Broker to enter into a futures, forward contract or option position is typically about 2% to 10% of the total value of the contract, each Trading Advisor may take positions on behalf of a Series with face values equal to several times such Series’ Net Asset Value. These low margin requirements provide a large amount of leverage;. As a result of this leveraging, even a small movement in the price of a contract can cause major losses. Any purchase or sale of a futures or forward contract may result in losses that substantially exceed the amount invested in the contract. For example, if $2,200 in margin is required to hold one U.S. Treasury bond futures contract with a face value of $100,000, a $2,200 decrease in the value of that contract could, if the contract is then closed out, result in a complete loss of the margin deposit, not even taking into account deductions of fees and/or commissions. If severe short-term price declines occur, such declines could force the liquidation of open positions with large losses. Leverage is normally monitored through the margin-to-equity ratio employed by each Trading Advisor. Under normal circumstances, the Trading Advisors will vary between a 10% to 30% margin-to-equity ratio.

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

Although each Series generally will purchase and sell actively traded contracts, orders may not be executed at or near the desired price, particularly in thinly traded markets, in markets that lack trading liquidity, or because of applicable “daily price fluctuation limits,” “speculative position limits” or market disruptions. If market illiquidity or disruptions occur, then major losses could result. Some Trading Advisors have encountered illiquid situations in the past and may encounter others in the future.

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

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

Exchanges of futures for physicals may adversely affect performance.

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

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

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

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

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

The swap markets are “principals’ markets,” in which performance with respect to a Swap is the responsibility only of the counterparty to the contract, and not of any exchange or clearinghouse. As a result, each Trading Company is subject to the risk of the inability or refusal to perform with respect to Swaps on the part of the

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counterparties. There are no limitations on daily price movements in Swaps. Speculative position limits are not applicable to Swaps, although the counterparties to Swaps may limit the size or duration of positions as a consequence of credit considerations. Participants in the swap markets are not required to make continuous markets in the Swaps they trade. Participants could refuse to quote prices for Swaps or quote prices with an unusually wide spread between the price at which they are prepared to buy and the price at which they are prepared to sell.

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

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

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

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

Your investment could be illiquid.

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

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

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

Redemptions may be temporarily suspended.

The Managing Owner may suspend temporarily any redemption for some or all Series up to 30 days if the effect of the redemption, either alone or in conjunction with other redemptions, would be to impair the Trust’s ability to operate in pursuit of its objectives (for example, if the Managing Owner believes a redemption, if allowed, would

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materially advantage one investor over another investor). The Managing Owner anticipates suspending redemptions only under extreme circumstances, such as a natural disaster, force majeure, act of war, terrorism or other event which results in the closure of financial markets. During any suspension of redemptions, a redeeming Limited Owner invested in a Series for which redemptions were suspended would remain subject to market risk with respect to such Series.

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

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

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

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

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

Historically, managed futures have been generally non-correlated to the performance of other asset classes such as stocks and bonds. Non-correlation means that there is no statistically valid relationship between the

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

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

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

Some foreign markets present additional risk, because they are not subject to the same degree of regulation as their U.S. counterparts. None of the CFTC, the NFA or any domestic exchange regulates activities on any foreign boards of trade or exchanges (such as the execution, delivery and clearing of transactions) or has the power to compel enforcement of the rules of a foreign board of trade or exchange or of any applicable foreign laws. Similarly, the rights of market participants, in the event of the insolvency or bankruptcy of a foreign market or broker are also likely to be more limited than in the case of U.S. markets or brokers. As a result, in these markets, there is less legal and regulatory protection than that available domestically.

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

International trading activities are subject to foreign exchange risk.

The price of any foreign futures, options on futures or other commodity interest contract and, therefore, the potential profit and loss on such contract, may be affected by any variance in the foreign exchange rate between the time the order is placed and the time it is liquidated, offset or exercised. As a result, if changes in the value of the local currency relative to the U.S. Dollar occur, then such changes may cause losses even if the contract traded is profitable.

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

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

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Trading Risks

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

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

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

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

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

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

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

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

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

Because each of the Trading Advisors’ strategies involves some discretionary aspects in addition to their technical factors, certain Trading Advisors may occasionally use discretion in investing the assets of a Series. For

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

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

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

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

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

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

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

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

The use of multiple Trading Advisors for the Balanced Series, Winton/Graham Series, Campbell/Graham/Tiverton Series, Currency Series and Long/Short Commodity Series may result in developments or positions that adversely affect the respective Series’ Net Asset Value. For example, because the Trading Advisors trading for the Balanced Series, Winton/Graham Series, Campbell/Graham/Tiverton Series, Currency Series and Long/Short Commodity Series will be acting independently, such Series could buy and sell the same futures contract, thereby incurring additional expenses but with no net change in its holdings. The Trading Advisors also may compete, from time to time, for the same trades or other transactions, increasing the cost to such Series of making trades or

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transactions or causing some of them to be foregone altogether. Even though the margin requirements resulting from each Trading Advisor’s trading for any such Series ordinarily will be met from that Trading Advisor’s allocated net assets of such Series, a Trading Advisor for the Balanced Series, Winton/Graham Series, Campbell/Graham/Tiverton Series, Currency Series, or Long/Short Commodity Series may incur losses of such magnitude that such Series is unable to meet margin calls from the allocated net assets of that Trading Advisor. If losses of such magnitude were to occur, the Clearing Brokers for the Trading Company or Trading Companies in which such Series invests its assets may require liquidations and contributions from the allocated net assets of another Trading Advisor for such Series.

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

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

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

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

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

It is possible that (i) any Trading Advisor or the Managing Owner will exercise its rights to terminate the Advisory Agreement for any Series under certain conditions, (ii) the Advisory Agreement with any Trading Advisor, once it expires, will not be renewed on the same terms as the current Advisory Agreement for that Trading Advisor, or (iii) if assets of any Series allocated to a particular Trading Advisor are reallocated to a new or different Trading Advisor, the new or different Trading Advisor will not manage such assets on terms as favorable to such Series as those negotiated with the Trading Advisor to which such assets were previously allocated, and the Managing Owner may charge such Series incentive fees based on the performance of the Trading Advisor managing the reallocated assets even though the Series has not recouped the losses sustained by the previous Trading Advisor.

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

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

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

Each of the Trading Advisors currently manages other trading accounts, and each will remain free to manage additional accounts, including its own accounts, in the future. A Trading Advisor may vary the trading strategies applicable to the Series for which it trades from those used for its other managed accounts, or its other managed

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accounts may impose a different cost structure than that of the Series for which it trades. Consequently, the results any Trading Advisor achieves for the Series for which it trades may not be similar to those achieved for other accounts managed by the Trading Advisor or its affiliates at the same time. Moreover, it is possible that those other accounts managed by the Trading Advisor or its affiliates may compete with the Series for which it trades for the same or similar positions in the commodity interest markets and that those other accounts may make trades at better prices than the Series for which it trades.

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

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

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

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

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

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

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

Operating Risks

Past performance is not necessarily indicative of future performance.

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

Because you and other investors will acquire exchange and redeem Units at different times, you may experience a loss on your Units even though the Series in which you have invested as a whole is profitable and even though other investors in that Series experience a profit. The past performance of any Series may not be representative of each investor’s investment experience in it.

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Likewise, you and other investors will invest in different Series managed by different Trading Advisors. Each Series’ assets are valued and accounted for separately from every other Series.

Consequently, the past performance of one Series has no bearing on the past performance of another Series. You cannot, for example, consider the Balanced Series’ past performance in deciding whether to invest in any other Series.

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

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

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

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

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

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

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

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

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

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

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

In order to purchase Class 2 Units or Class 2a Units of any Series, you must have an arrangement with a Selling Agent where you directly compensate such Selling Agent for services rendered in connection with investments,

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including an investment in the Trust (such arrangements commonly referred to as “wrap-accounts”). If you do not have such an arrangement with a Selling Agent, then you will only be able to purchase Class 1 Units or Class 1a Units in any Series, which will result in you being charged higher service fees.

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

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

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

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

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

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

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

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

With respect to the Winton/Graham Series, Winton Series, Campbell/Graham/Tiverton Series, Currency Series and the Class 1 and Class 2 of the Balanced Series, the Trust has agreed to pay all interest income earned by it to the Managing Owner up to a cap of 2.0% annually of the Net Asset Value of such Series. To the extent that the interest income earned by the Trust falls below 0.75% annually, the Trust will be obligated to pay the Managing

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Owner the difference between the interest income that is allocated to each of such Series and 0.75%. Such shortfall will be charged pro rata across such Series of Units. Accordingly, if interest rates fall, then you could be charged a portion of such interest income shortfall which would reduce the value of your Units in such Series.

In October 2008, the Trust invested approximately $272 million in custom time deposits with U.S. Bank N.A. The time deposits earn a guaranteed fixed interest rate of 3.75% and will mature six months from the deposit date and be subject to automatic six-month rollovers through October 2013. Unscheduled withdrawals will be subject to certain penalties and other costs up to 1.0% of the amount deposited if withdrawn within the first six months from the deposit date. Other assets of the Trust earn interest at different rates. There can be no assurance that the interest income of the Trust can be maintained above the 0.75% shortfall level due to the uncertainties of the duration and extent of a low interest rate environment.

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

Pursuant to the Trust Agreement, you will exercise no control over the Trust’s day-to-day business. Therefore, the Trust may take certain actions and enter into certain transactions or agreements of which you have no approval. For example, the Trust may retain a Trading Advisor for a Series in which you are invested, and such Trading Advisor may ultimately incur losses for the Series. As a Limited Owner, you have no ability to determine or influence the hiring, retention or firing of such Trading Advisor. However, certain actions, such as termination or dissolution of a Series, or replacement of Managing Member, may be taken, or approved, upon the affirmative vote of Limited Owners holding Units representing at least a majority (over 50%) of the Net Asset Value of the Series (excluding Units owned by the Managing Owner and its affiliates).

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

The Trust is not an investment company subject to the Investment Company Act. Accordingly, you do not have the protections afforded by that statute. For example, the Investment Company Act requires investment

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companies to have a majority of disinterested directors and regulates the relationship between the investment company and its investment adviser. Since the Trust is not a registered investment company, you will not benefit from such protections.

Litigation could result in substantial additional expenses.

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

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

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

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

In managing and directing the day-to-day activities and affairs of the Trust, the Managing Owner relies heavily on its principals. The Managing Owner is leanly staffed, although there are back-up personnel for every key function. If any of its key persons were to leave or be unable to carry out his or her present responsibilities, it may have an adverse effect on the management of the Trust.

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

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

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

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

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

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

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

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

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

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

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

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

Each Trading Advisor’s trading activities, including its risk management, depends on the integrity and performance of the computer and communications systems supporting it. Extraordinary transaction volume, hardware or software failure, power or telecommunications failure, a natural disaster or other catastrophe could

20

cause any Trading Advisor’s computer systems to operate at an unacceptably slow speed or even fail. Any significant degradation or failure of the systems that a Trading Advisor uses to gather and analyze information, enter orders, process data, monitor risk levels and otherwise engage in trading activities may result in substantial losses on transactions, liability to other parties, lost profit opportunities, damages to the Trading Advisors’, the Managing Owner’s and the Trust’s reputations, increased operational expenses and diversion of technical resources.

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

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

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

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

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

The operations of the Managing Owner, the Trading Advisors, the Trust, the exchanges, brokers and counterparties with which the Managing Owner, the Trading Advisors and the Trust do business, and the markets in which the Managing Owner, the Trading Advisors and the Trust do business could be severely disrupted in the event of a major terrorist attack or the outbreak, continuation or expansion of war or other hostilities. Ongoing wars and other disputes among nations, global anti-terrorism initiatives and political unrest in the Middle East and Southeast Asia continue to present such risks. Additionally, a serious pandemic, such as avian influenza, or a natural disaster, such as a hurricane, could severely disrupt the global economy.

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

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

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

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

Tax and ERISA Risks

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

Your tax liability may exceed distributions to you.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Regulatory Risks

Government regulations may change and adversely affect the Trust.

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

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

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

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

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

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

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

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

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

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

Item 1B. UNRESOLVED STAFF COMMENTS.

None.

Item 2. PROPERTIES.

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

Item 3. LEGAL PROCEEDINGS.

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

Item 4. RESERVED.

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Part II

Item 5. MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES.

The following table provides information regarding the sale of unregistered Units by the Registrant for the quarter ended December 31, 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 the Net Asset Value per Unit at the time of the transaction and the Managing Owner of the Trust was the purchaser of the Units. No underwriting discount or sales commission was paid or received with respect to any of the transactions reported below. The Registrant claims an exemption from registration for each of the transactions listed below under Section 4(2) of the Securities Act, as a sale by an issuer not involving a public offering.

Series	Date	Units	Consideration
Frontier Diversified Series-2	December 30, 2009   December 30, 2009*	1,021.5725 2,758.2458	$ $	100,000 270,000
Frontier Masters Series-2	December 30, 2009*	1,778.3933	$	170,000

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

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

Further, if a Limited Owner redeems all or a portion of its Class 1 Units of any Series on or before the end of 12 full months following the effective date of the purchase of the Units being redeemed, such Limited Owner is charged a redemption fee of up to 3.0% of the Net Asset Value at which the Units are redeemed. The redemption fee charged will depend on, among other things, the particular Series of Units being redeemed. The Trust Agreement also contains restrictions on the transfer or assignment of the Units.

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

The proceeds are deposited in the bank and brokerage accounts of the Trust and the Trading Companies for the purpose of engaging in trading activities in accordance with the Trust’s trading policies and its Trading Advisors’ respective trading strategies.

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The following table shows the number of Limited Owners and the number of Units outstanding in each Class of each Series as of March 15, 2010:

	Number of Limited Owners	Number of Units Outstanding
Frontier Diversified (Class 1)	275	532,080
Frontier Diversified (Class 2)	7,876	272,131
Frontier Dynamic (Class 1)	275	8,085
Frontier Dynamic (Class 2)	275	3,918
Frontier Long/Short Commodity Series (Class 1)	—	367,667
Frontier Long/Short Commodity Series (Class 2)	8,544	116,355
Frontier Long/Short Commodity Series (Class 1a)	275	16,409
Frontier Long/Short Commodity Series (Class 2a)	275	13,213
Frontier Long/Short Commodity Series (Class 3)	—	72,980
Frontier Masters Series (Class 1)	275	215,378
Frontier Masters Series (Class 2)	4,113	201,178
Balanced Series (Class 1)	—	2,374,196
Balanced Series (Class 1a)	—	83,783
Balanced Series (Class 2)	17,223	537,474
Balanced Series (Class 2a)	1,237	27,363
Balanced Series (Class 3a)	—	11,272
Campbell/Graham Series/Tiverton (Class 1)	—	654,467
Campbell/Graham Series/Tiverton (Class 2)	1,036	75,996
Currency Series (Class 1)	—	99,286
Currency Series (Class 2)	765	9,359
Long Only Commodity Series (Class 1)	—	42,223
Long Only Commodity Series (Class 2)	1,479	10,322
Managed Futures Index Series (Class 1)	—	15,652
Managed Futures Index Series (Class 2)	18,314	32,187
Winton Series (Class 1)	—	400,853
Winton Series (Class 2)	1,499	76,202
Winton/Graham Series (Class 1)	—	425,664
Winton/Graham Series (Class 2)	428	96,177

No Units are authorized for issuance by the Trust under equity compensation plans. During the year ended December 31, 2009, no unregistered Units were sold by the Trust. In addition, the Trust did not repurchase any Units (excluding redemptions by Limited Owners in the ordinary course) during the year ended December 31, 2009.

ITEM 6. SELECTED FINANCIAL DATA.

The selected financial information for the years ended December 31, 2009, 2008, 2007, 2006 and 2005 is taken from the financial statements of the Trust included in section F of this filing and previous filings.

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

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FOR THE PERIOD ENDED DECEMBER 31, 2009

	Frontier Diversified Series *			Frontier Dynamic Series			Frontier Long/Short Commodity Series **			Frontier Masters Series ***
Interest—net	$	489,238		$	269,363		$	1,213,141		$	292,218
Total expenses		1,325,693			435,159			6,847,493			886,162
Net gain / (loss) on investments		(470,461	)		129,144			28,920,002			(312,999	)
Net increase/(decrease) in owners’ capital resulting from operations		(1,306,916	)		(36,652	)		8,527,351			(906,943	)
Net income / (loss) per unit—Class 1		(3.20	)		(8.57	)		13.38			(5.54	)
Net income / (loss) per unit—Class 1a		—			—			1.49			—
Net income / (loss) per unit—Class 2		(2.23	)		(7.75	)		18.21			(4.63	)
Net income / (loss) per unit—Class 2a		—			—			2.48			—
Net income / (loss) per unit—Class 3		—			—			4.79			—
Total assets		68,990,618			28,606,956			69,635,857			43,734,039
Total owners’ capital—Class 1		32,960,540			606,255			45,759,225			14,723,330
Total owners’ capital—Class 1a		—			—			1,092,016			—
Total owners’ capital—Class 2		23,355,579			290,662			14,986,103			8,563,857
Total owners’ capital—Class 2a		—			—			876,532			—
Total owners’ capital—Class 3		—			—			6,140,056			—
Total net asset value per unit—Class 1		96.80			91.43			113.77			94.46
Total net asset value per unit—Class 1a		—			—			101.49			—
Total net asset value per unit—Class 2		97.77			92.25			127.49			95.37
Total net asset value per unit—Class 2a		—			—			102.48			—
Total net asset value per unit—Class 3		—			—			127.49			—
	Balanced Series ****			Campbell/Graham/ Tiverton Series			Currency Series			Long Only Commodity Series
Interest—net	$	901,710		$	293,910		$	88,884		$	76,629
Total expenses		19,999,746			5,084,022			603,794			143,176
Net gain / (loss) on investments		(491,297	)		(697,472	)		(2,057,466	)		859,729
Net increase/(decrease) in owners’ capital resulting from operations		(19,150,902	)		(4,151,058	)		(2,572,376	)		793,182
Net income / (loss) per unit—Class 1		(6.63	)		(5.89	)		(18.19	)		13.28
Net income / (loss) per unit—Class 1a		(6.59	)		—			—			—
Net income / (loss) per unit—Class 2		(3.43	)		(3.04	)		(17.96	)		15.84
Net income / (loss) per unit—Class 2a		(3.70	)		—			—			—
Net income / (loss) per unit—Class 3		(4.37	)		—			—			—
Total assets		407,656,964			79,864,025			22,527,333			4,680,691
Total owners’ capital—Class 1		286,024,307			69,447,366			7,934,382			3,711,581
Total owners’ capital—Class 1a		9,150,114			—			—			—
Total owners’ capital—Class 2		77,372,166			9,914,994			2,273,746			954,744
Total owners’ capital—Class 2a		3,298,566			—			—			—
Total owners’ capital—Class 3a		1,170,746			—			—			—
Total net asset value per unit—Class 1		118.54			104.65			78.00			83.59
Total net asset value per unit—Class 1a		105.50			—			—			—
Total net asset value per unit—Class 2		139.01			121.10			91.34			90.30
Total net asset value per unit—Class 2a		117.60			—			—			—
Total net asset value per unit—Class 3		117.60			—			—			—
	Managed Futures Index Series			Winton Series			Winton/Graham Series
Interest—net	$	67,985		$	361,106		$	259,485
Total expenses		139,823			3,375,280			3,626,096
Net gain / (loss) on investments		(490,441	)		(7,737,998	)		3,919,086
Net increase/(decrease) in owners’ capital resulting from operations		(562,279	)		(6,685,179	)		(2,795,125	)
Net income / (loss) per unit—Class 1		(19.64	)		(12.84	)		(6.12	)
Net income / (loss) per unit—Class 2		(18.42	)		(9.94	)		(3.10	)
Total assets		3,799,854			58,778,262			68,237,504
Total owners’ capital—Class 1		1,831,435			48,198,317			48,168,395
Total owners’ capital—Class 2		1,941,774			10,203,862			12,522,478
Total net asset value per unit—Class 1		112.54			117.57			110.06
Total net asset value per unit—Class 2		121.28			130.10			128.39

* The Frontier Diversified Series and Frontier Dynamic Series began trading operations on June 9, 2009

** The Frontier Long/Short Commodity Series Class 3 Units began trading on May 29, 2009 and Class 1a and 2a Units began trading on June 8, 2009

*** The Frontier Masters Series began trading operations on June 9, 2009

**** The Balanced Series Class 3a Units began trading on June 3, 2009

27

FOR THE PERIOD ENDED DECEMBER 31, 2008

	Balanced Series		Winton Series			Campbell/Graham/ Tiverton Series			Currency Series
Interest—net	$	1,613,778	$	316,243		$	331,073		$	122,102
Total expenses		24,610,998		5,016,448			7,012,949			645,010
Net increase/(decrease) in owners’ capital resulting from operations		100,495,769		15,824,382			24,168,791			(268,237	)
Net income / (loss)		60,158,339		8,454,614			12,752,188.00			(791,145	)
Net income / (loss) per unit—Class 1		23.71		16.58			18.64			(4.47	)
Net income / (loss) per unit—Class 1a		21.19		—			—			—
Net income / (loss) per unit—Class 2		30.44		21.43			23.94			(1.70	)
Net income / (loss) per unit—Class 2a		25.83		—			—			—
Total assets		347,440,077		85,496,323			81,004,444			29,828,596
Total owners’ capital—Class 1		264,686,994		62,283,659			69,957,155			11,900,185
Total owners’ capital—Class 2		68,996,013		11,743,367			7,807,774.00			2,946,600
Total net asset value per unit—Class 1		125.17		130.41			110.54			96.19
Total net asset value per unit—Class 1a		112.09		—			—			—
Total net asset value per unit—Class 2		142.44		140.04			124.14			109.30
Total net asset value per unit—Class 2a		121.30		—			—			—
	Winton/Graham Series		Long Only Commodity Series			Frontier Long/Short Commodity Series			Managed Futures Index Series
Interest—net	$	100,204	$	112,372		$	921,454		$	35,362
Total expenses		1,991,962		213,005			4,844,371			69,230
Net increase/(decrease) in owners’ capital resulting from operations		6,276,258		(2,596,899	)		12,587,486			701,670
Net income / (loss)		4,384,500		(2,697,532	)		(2,336,474	)		667,802
Net income / (loss) per unit—Class 1		21.14		(40.48	)		(1.08	)		31.59
Net income / (loss) per unit—Class 2		27.12		(40.58	)		2.09			35.28
Total assets		51,029,789		5,037,278			74,686,379			3,442,690
Total owners’ capital—Class 1		35,760,835		3,254,226			46,525,406			2,266,977
Total owners’ capital—Class 2		14,434,394		788,247			11,206,889			1,136,074
Total net asset value per unit—Class 1		116.18		70.31			100.39			132.18
Total net asset value per unit—Class 2		131.49		74.46			109.28			139.70

28

FOR THE PERIOD ENDED DECEMBER 31, 2007

	Balanced Series			Winton Series		Campbell/Graham/ Tiverton Series			Currency Series
Interest—net	$	6,823,418		$	563,371	$	1,614,470		$	435,431
Total expenses		19,654,933			1,718,813		4,346,128			458,545
Net increase/(decrease) in owners’ capital resulting from operations		4,789,018			4,995,445		1,730,298			(90,083	)
Net income / (loss)		(13,183,593	)		3,840,003		(2,336,186.00	)		(113,197	)
Net income / (loss) per unit—Class 1		(5.20	)		8.18		(4.37	)		(0.50	)
Net income / (loss) per unit—Class 1a		(5.07	)		—		—			—
Net income / (loss) per unit—Class 2		(2.24	)		11.8		(1.66	)		2.77
Net income / (loss) per unit—Class 2a		(2.41	)		—		—			—
Total assets		284,867,427			46,779,088		74,655,994			15,232,200
Total owners’ capital—Class 1		210,379,248			35,664,260		55,530,902			9,791,812
Total owners’ capital—Class 2		47,205,598			10,374,901		5,820,002			800,194
Total net asset value per unit—Class 1		101.46			113.83		91.90			100.66
Total net asset value per unit—Class 1a		90.90			—		—			—
Total net asset value per unit—Class 2		112.00			118.61		100.20			111.00
Total net asset value per unit—Class 2a		95.47			—		—			—
	Winton/Graham Series			Long Only Commodity Series		Frontier Long/Short Commodity Series			Managed Futures Index Series
Interest—net	$	206,887		$	509,099	$	1,051,098		$	165,165
Total expenses		593,562			329,370		2,696,846			120,630
Net increase/(decrease) in owners’ capital resulting from operations		1,258,686			545,270		(233,874	)		429
Net income / (loss)		872,011			724,999		432,147			44,964
Net income / (loss) per unit—Class 1		10.34			15.34		1.05			3.84
Net income / (loss) per unit—Class 2		14.12			17.91		4.26			5.99
Total assets		7,955,224			5,051,981		50,619,254			971,247
Total owners’ capital—Class 1		6,060,207			4,730,889		31,092,746			621,740
Total owners’ capital—Class 2		1,808,776			299,179		3,658,890			335,709
Total net asset value per unit—Class 1		95.04			110.79		101.47			100.59
Total net asset value per unit—Class 2		104.37			115.04		107.19			104.42

29

FOR THE PERIOD ENDED DECEMBER 31, 2006

	Balanced Series			Winton Series			Campbell/Graham/ Tiverton Series		Currency Series
Interest—net	$	4,254,855		$	36,215		$	1,263,221	$	418,503
Total expenses		10,436,290			106,836			2,826,870		356,310
Net increase/(decrease) in owners’ capital resulting from operations		14,339,272			400,995			3,227,653		244,087
Net income / (loss)		4,495,683			330,374			1,143,594		283,991
Net income / (loss) per unit—Class 1		2.08			5.65			1.97		3.50
Net income / (loss) per unit—Class 1a		(4.03	)		—			—		—
Net income / (loss) per unit—Class 2		5.51			6.81			5.03		6.81
Net income / (loss) per unit—Class 2a		(2.12	)		—			—		—
Total assets		323,360,253			896,062			99,825,922		18,247,686
Total owners’ capital—Class 1		228,763,765			356,924			48,843,314		6,891,891
Total owners’ capital—Class 2		49,243,207			290,721			7,350,167		494,736
Total net asset value per unit—Class 1		106.66			105.65			96.27		101.16
Total net asset value per unit—Class 1a		95.97			—			—		—
Total net asset value per unit—Class 2		114.24			106.81			101.86		108.23
Total net asset value per unit—Class 2a		97.88			—			—		—
	Winton/Graham Series			Long Only Commodity Series*			Frontier Long/Short Commodity Series **		Managed Futures Index Series ***
Interest—net	$	422,496		$	231,248		$	883,143	$	285,909
Total expenses		673,707			134,250			1,398,261		179,590
Net increase/(decrease) in owners’ capital resulting from operations		508,040			(415,739	)		711,340		(118,380	)
Net income / (loss)		256,829			(318,741	)		263,054		(12,061	)
Net income / (loss) per unit—Class 1		1.80			(4.55	)		0.42		(3.25	)
Net income / (loss) per unit—Class 2		4.52			(2.87	)		2.93		(1.57	)
Total assets		20,493,398			10,012,410			22,234,616		10,424,977
Total owners’ capital—Class 1		5,991,337			4,321,464			19,478,595		500,070
Total owners’ capital—Class 2		2,049,495			115,401			2,697,482		52,659
Total net asset value per unit—Class 1		84.70			95.45			100.42		96.75
Total net asset value per unit—Class 2		90.25			97.13			102.93		98.43

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

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

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

30

FOR THE PERIOD ENDED DECEMBER 31, 2005

	Balanced Series			Winton Series		Campbell/Graham/ Tiverton Series *			Currency Series			Winton/ Graham Series
Interest—net	$	1,010,834		$	16,877	$	126,602		$	3,370		$	85,327
Total expenses		6,659,562			129,494		731,047			10,669			380,800
Net increase/(decrease) in owners’ capital resulting from operations		13,418,243			365,856		645,656			(5,175	)		(155,411	)
Net income / (loss)		7,044,527			253,239		404,576			(11,679	)		(1,268,834	)
Net income / (loss) per unit—Class 1		(1.45	)		5.92		(5.70	)		(5.01	)		(20.67	)
Net income / (loss) per unit— Class 2		1.88			9.43		(3.17	)		(2.05	)		(18.19	)
Total assets		143,854,064			2,251,600		30,219,924			2,872,248			7,515,985
Total owners’ capital—Class 1		114,741,316			2,047,247		21,561,490			276,762			5,642,080
Total owners’ capital—Class 2		21,224,912			178,306		2,846,556			2,065,914			1,772,604
Total net asset value per unit—Class 1		104.58			111.93		94.30			97.66			82.90
Total net asset value per unit—Class 2		108.73			116.27		96.83			101.42			85.73

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

31

Supplementary Quarterly Financial Information

The following summarized quarterly financial information presents the Frontier Fund’s results of operations for the three-month periods ended March 31, June 30, September 30, and December 31, 2009.

	1st Quarter 2009			2nd Quarter 2009			3rd Quarter 2009			4th Quarter 2009
Frontier Diversified Series:*
Net gain (loss) on investments	$	—		$	73,699		$	416,034		$	(960,194	)
Net income (loss)		—			(1,011	)		148,749			(1,454,654	)
Increase (decrease) in net asset value per Class 1 units		—			(1.89	)		0.84			(2.15	)
Increase (decrease) in net asset value per Class 2 units		—			(1.79	)		1.29			(1.73	)
Net asset value per Class 1 units		—			98.11			98.95			96.80
Net asset value per Class 2 units		—			98.21			99.50			97.77
Frontier Dynamic Series:*
Net gain (loss) on investments	$	—		$	15,045		$	63,150		$	50,949
Net income (loss)		—			(1,582	)		(1,858	)		(33,212	)
Increase (decrease) in net asset value per Class 1 units		—			(2.93	)		(0.51	)		(5.13	)
Increase (decrease) in net asset value per Class 2 units		—			(2.82	)		(0.09	)		(4.84	)
Net asset value per Class 1 units		—			97.07			96.56			91.43
Net asset value per Class 2 units		—			97.18			97.09			92.25
Frontier Long/Short Commodity Series:**
Net gain (loss) on investments	$	10,799,151		$	6,623,732		$	1,658,892		$	9,838,227
Net income (loss)		2,244,293			3,172,418			784,707			2,325,933
Increase (decrease) in net asset value per Class 1 units		3.75			5.04			1.04			3.55
Increase (decrease) in net asset value per Class 1a units		—			(2.47	)		1.04			2.92
Increase (decrease) in net asset value per Class 2 units		4.92			6.32			2.06			4.91
Increase (decrease) in net asset value per Class 2a units		—			(2.36	)		1.45			3.39
Increase (decrease) in net asset value per Class 3 units		—			(2.19	)		2.07			4.91
Net asset value per Class 1a units		104.14			109.18			110.22			113.77
Net asset value per Class 1 units		—			97.53			98.57			101.49
Net asset value per Class 2 units		114.20			120.52			122.58			127.49
Net asset value per Class 2a units		—			97.64			99.09			102.48
Net asset value per Class 3 units		—			120.51			122.58			127.49
Frontier Masters Series:***
Net gain (loss) on investments	$	—		$	48,703		$	265,945		$	(627,647	)
Net income (loss)		—			(1,087	)		82,865			(988,721	)
Increase (decrease) in net asset value per Class 1 unit		—			(2.03	)		0.35			(3.86	)
Increase (decrease) in net asset value per Class 2 unit		—			(1.92	)		0.79			(3.50	)
Net asset value per Class 1 unit		—			97.97			98.32			94.46
Net asset value per Class 2 unit		—			98.08			98.87			95.37
Balanced Series:****
Net gain (loss) on investments	$	4,556,262		$	(11,122,820	)	$	11,975,473		$	(5,900,212	)
Net increase/(decrease) in owners’ capital resulting from operations		247,088			(12,788,359	)		5,151,354			(11,760,985	)
Increase (decrease) in net asset value per Class 1 units		0.04			(4.15	)		1.39			(3.91	)
Increase (decrease) in net asset value per Class 1a units		(0.23	)		(3.72	)		1.07			(3.71	)
Increase (decrease) in net asset value per Class 2 units		1.10			(3.70	)		2.68			(3.51	)
Increase (decrease) in net asset value per Class 2a units		0.65			(3.22	)		2.09			(3.22	)
Increase (decrease) in net asset value per Class 3a units		—			(3.23	)		2.08			(3.22	)
Net asset value per Class 1 units		125.21			121.06			122.45			118.54
Net asset value per Class 1a units		111.86			108.14			109.21			105.50
Net asset value per Class 2 units		143.54			139.84			142.52			139.01
Net asset value per Class 2a units		121.95			118.73			120.82			117.60
Net asset value per Class 3a units		—			118.74			120.82			117.60

* The Frontier Diversified Series and Frontier Dynamic Series began trading operations on June 9, 2009

** The Frontier Long/Short Commodity Series Class 3 Units began trading on May 29, 2009 and Class 1a and 2a Units began trading on June 8, 2009

*** The Frontier Masters Series began trading operations on June 9, 2009

**** The Balanced Series Class 3a Units began trading on June 3, 2009

32

	1st Quarter 2009			2nd Quarter 2009			3rd Quarter 2009			4th Quarter 2009
Campbell/Graham/Tiverton Series:
Net gain (loss) on investments	$	(1,581,458	)	$	(3,984,875	)	$	4,010,009		$	858,852
Net income (loss)		(2,084,257	)		(4,332,755	)		2,645,100			(379,146	)
Increase (decrease) in net asset value per Class 1 units		(2.91	)		(5.60	)		3.26			(0.64	)
Increase (decrease) in net asset value per Class 2 units		(2.37	)		(5.48	)		4.63			0.18
Net asset value per Class 1 units		107.63			102.03			105.29			104.65
Net asset value per Class 2 units		121.77			116.29			120.92			121.10
Currency Series:
Net gain (loss) on investments	$	(674,397	)	$	(268,315	)	$	(434,040	)	$	(680,714	)
Net income (loss)		(826,574	)		(405,856	)		(555,437	)		(784,509	)
Increase (decrease) in net asset value per Class 1 units		(5.56	)		(2.85	)		(3.91	)		(5.87	)
Increase (decrease) in net asset value per Class 2 units		(5.55	)		(2.51	)		(3.77	)		(6.13	)
Net asset value per Class 1 units		90.63			87.78			83.87			78.00
Net asset value per Class 2 units		103.75			101.24			97.47			91.34
Long Only Commodity Series:
Net gain (loss) on investments	$	(232,988	)	$	568,267		$	156,775		$	367,675
Net income (loss)		(246,383	)		550,537			139,097			349,931
Increase (decrease) in net asset value per Class 1 units		(4.27	)		9.09			2.35			6.11
Increase (decrease) in net asset value per Class 2 units		(4.18	)		10.07			2.75			7.20
Net asset value per Class 1 units		66.04			75.13			77.48			83.59
Net asset value per Class 2 units		70.28			80.35			83.10			90.30
Managed Futures Index Series:
Net gain (loss) on investments	$	(208,699	)	$	(51,586	)	$	(82,380	)	$	(147,776	)
Net income (loss)		(225,763	)		(67,634	)		(101,164	)		(167,718	)
Increase (decrease) in net asset value per Class 1 units		(8.50	)		(2.87	)		(3.08	)		(5.19	)
Increase (decrease) in net asset value per Class 2 units		(8.37	)		(2.44	)		(2.65	)		(4.96	)
Net asset value per Class 1 units		123.68			120.81			117.73			112.54
Net asset value per Class 2 units		131.33			128.89			126.24			121.28
Winton Series:
Net gain (loss) on investments	$	(1,393,512	)	$	(8,138,222	)	$	1,155,872		$	637,864
Net income (loss)		(1,551,743	)		(5,410,519	)		416,891			(139,808	)
Increase (decrease) in net asset value per Class 1 units		(2.98	)		(9.99	)		0.68			(0.55	)
Increase (decrease) in net asset value per Class 2 units		(2.18	)		(9.86	)		1.72			0.38
Net asset value per Class 1 units		127.43			117.44			118.12			117.57
Net asset value per Class 2 units		137.86			128.00			129.72			130.10
Winton/Graham Series:
Net gain (loss) on investments	$	(924,910	)	$	(2,549,438	)	$	6,524,420		$	869,014
Net income (loss)		(1,450,561	)		(3,623,010	)		2,657,692			(379,246	)
Increase (decrease) in net asset value per Class 1 units		(3.06	)		(6.67	)		4.49			(0.88	)
Increase (decrease) in net asset value per Class 2 units		(2.50	)		(6.69	)		6.14			(0.05	)
Net asset value per Class 1 units		113.12			106.45			110.94			110.06
Net asset value per Class 2 units		128.99			122.30			128.44			128.39

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The following summarized quarterly financial information presents the Frontier Fund’s results of operations for the three-month periods ended March 31, June 30, September 30, 2008 and December 31, 2008.

	1st Quarter 2008		2nd Quarter 2008			3rd Quarter 2008			4th Quarter 2008
Balanced Series:
Net gain (loss) on investments	$	28,484,724	$	26,988,921		$	(1,900,571	)	$	46,922,695
Net increase/(decrease) in owners’ capital resulting from operations		16,222,078		17,899,449			(5,255,715	)		31,292,527
Increase (decrease) in net asset value per Class 1 unit		6.51		7.50			(2.43	)		12.13
Increase (decrease) in net asset value per Class 1a unit		5.78		6.71			(2.21	)		10.91
Increase (decrease) in net asset value per Class 2 unit		8.08		9.35			(1.77	)		14.78
Increase (decrease) in net asset value per Class 2a unit		6.83		7.91			(1.54	)		12.63
Net asset value per Class 1 unit		107.97		115.47			113.04			125.17
Net asset value per Class 1a unit		96.68		103.39			101.18			112.09
Net asset value per Class 2 unit		120.08		129.43			127.66			142.44
Net asset value per Class 2a unit		102.30		110.21			108.67			121.30
Winton Series:
Net gain (loss) on investments	$	6,177,411	$	5,462,727		$	(9,100,037	)	$	13,284,282
Net income (loss)		4,731,166		2,095,748			(5,790,500	)		7,418,201
Increase (decrease) in net asset value per Class 1 unit		10.77		3.08			(9.90	)		12.63
Increase (decrease) in net asset value per Class 2 unit		12.19		4.24			(9.52	)		14.52
Net asset value per Class 1 unit		124.60		127.68			117.78			130.41
Net asset value per Class 2 unit		130.80		135.04			125.52			140.04
Campbell/Graham/Tiverton Series:
Net gain (loss) on investments	$	5,513,561	$	5,242,267		$	(1,334,389	)	$	14,747,352
Net income (loss)		3,183,727		2,502,476			(1,902,748	)		8,968,733
Increase (decrease) in net asset value per Class 1 unit		4.74		3.73			(2.91	)		13.08
Increase (decrease) in net asset value per Class 2 unit		5.94		4.93			(2.39	)		15.46
Net asset value per Class 1 unit		96.64		100.37			97.46			110.54
Net asset value per Class 2 unit		106.14		111.07			108.68			124.14
Currency Series:
Net gain (loss) on investments	$	763,316	$	(148,804	)	$	(1,096,028	)	$	213,279
Net income (loss)		663,527		(295,219	)		(1,252,489	)		93,036
Increase (decrease) in net asset value per Class 1 unit		5.84		(2.58	)		(8.21	)		0.48
Increase (decrease) in net asset value per Class 2 unit		7.32		(2.01	)		(8.37	)		1.36
Net asset value per Class 1 unit		106.50		103.92			95.71			96.19
Net asset value per Class 2 unit		118.32		116.31			107.94			109.30
Winton/Graham Series:
Net gain (loss) on investments	$	1,270,369	$	1,292,494		$	(1,456,705	)	$	5,170,100
Net income (loss)		988,146		851,766			(1,788,457	)		4,333,045
Increase (decrease) in net asset value per Class 1 unit		10.83		6.01			(7.58	)		11.88
Increase (decrease) in net asset value per Class 2 unit		12.77		7.58			(7.57	)		14.34
Net asset value per Class 1 unit		105.87		111.88			104.30			116.18
Net asset value per Class 2 unit		117.14		124.72			117.15			131.49
Long Only Commodity Series:
Net gain (loss) on investments	$	546,225	$	1,097,768		$	(1,986,414	)	$	(2,254,478	)
Net income (loss)		527,273		1,063,432			(2,016,602	)		(2,271,635	)
Increase (decrease) in net asset value per Class 1 unit		11.49		21.19			(35.13	)		(38.03	)
Increase (decrease) in net asset value per Class 2 unit		12.56		22.86			(36.25	)		(39.75	)
Net asset value per Class 1 unit		122.28		143.47			108.34			70.31
Net asset value per Class 2 unit		127.60		150.46			114.21			74.46
Long/Short Commodity Series:
Net gain (loss) on investments	$	6,531,549	$	7,810,933		$	(1,811,288	)	$	56,292
Net income (loss)		2,696,972		1,606,510			(4,350,185	)		(2,289,771	)
Increase (decrease) in net asset value per Class 1 unit		7.78		3.31			(8.17	)		(4.00	)
Increase (decrease) in net asset value per Class 2 unit		9.08		4.42			(7.91	)		(3.50	)
Net asset value per Class 1 unit		109.25		112.56			104.39			100.39
Net asset value per Class 2 unit		116.27		120.69			112.78			109.28
Managed Futures Index Series:
Net gain (loss) on investments	$	111,545	$	4,927		$	(113,530	)	$	698,728
Net income (loss)		107,920		(4,247	)		(123,610	)		687,739
Increase (decrease) in net asset value per Class 1 unit		10.55		(1.02	)		(7.36	)		29.42
Increase (decrease) in net asset value per Class 2 unit		11.53		(0.49	)		(7.25	)		31.49
Net asset value per Class 1 unit		111.14		110.12			102.76			132.18
Net asset value per Class 2 unit		115.95		115.46			108.21			139.70

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

Overview

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

The Trust, with respect to each Series of Units, engages in the speculative trading of a diversified portfolio of futures, forward (including interbank foreign currencies) and options contracts and other derivative instruments (including Swaps) and may, from time to time, engage in cash and spot transactions. The Trust allocates funds to the Trading Companies each of which has one-year renewable contracts with its own independent Trading Advisor(s) that will manage all or a portion of the applicable Trading Company’s assets, and make the trading decisions for the assets of each Series vested in such Trading Company (other than the Long Only Commodity Series which invests only in Swaps referencing two indexes). The assets of each Trading Company will be segregated from the assets of each other Trading Company. The Trust has an investment objective of increasing the value of the Units over the long term (capital appreciation), while controlling risk and volatility; further, to offer exposure to the investment programs of individual Trading Advisors and to specific instruments (currencies). For additional overview of the Trust’s structure and business activities, see Item 1 “BUSINESS.”

Critical Accounting Policies and Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States (“GAAP”) requires the Managing Owner to adopt accounting policies and make estimates and assumptions that affect amounts reported in the Trust’s financial statements. The Trust’s most significant accounting policy, described below, includes the valuation of its futures and forward contracts, options contracts, swap contracts, U.S. Treasury securities and investments in unconsolidated Trading Companies, as well as the carrying value of the custom time deposits. The majority of these investments are exchange traded contracts valued upon exchange settlement prices or non-exchange traded contracts and obligations with valuation based on third-party quoted dealer values on the Interbank market.

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

Investment Transactions and Valuation

The Managing Owner has evaluated the nature and type of transactions processed and estimates that it makes in preparing the Trust’s financial statements and related disclosures and has adopted Accounting Standard Codification “ASC” 820, Fair Value Measurements and Disclosure, as of April 1, 2009, 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 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

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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.

Certificates of Deposit and Custom Time Deposits

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 certificates of deposit at face value plus accrued interest, which approximates fair value, and reports these instruments as Level 2 inputs under ASC 820.

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 7.31 of the Investment Company Audit Guide, and accordingly, this deposit is not subject to 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 December 31, 2009, cash deposited at the clearing brokers was $71,161,299 for the Balanced Series, $489,483 for the Currency Series, $23,781,708 for the Long/Short Commodity Series and $13,010,250 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 month. Currently, with the Federal Funds target rate at 0.00% to 0.25%, this amount is estimated to be 0.00%. 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

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the United States, or by a person controlled by or supervised by and acting as an instrumentality of the government of the United States pursuant to authority granted by Congress or any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the U.S. government, and certain cash items such as money market funds, certificates of deposit (under nine months) and time deposits. Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Campbell/Graham/Tiverton Series, Currency Series, and Winton/Graham Series. For the Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner.

Approximately 10% to 20% of the Trust’s assets are expected to be committed as required margin for futures contracts and forward and options trading and held by the respective broker, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury bills in segregated accounts with the futures broker pursuant to the Commodity Exchange Act and regulations there under. Approximately 2% to 6% of the Trust’s assets are expected to be deposited with over-the-counter counterparties in order to initiate and maintain forward and swap contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held in either U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparties. The remaining approximately 74% to 88% of the Trust’s assets will normally be invested in cash equivalents and short-term investments, such as money market funds, certificates of deposit (under nine months) and time deposits and held by the clearing broker, the over-the-counter counterparties and by U.S. Federally chartered banks. As of December 31, 2009, total cash and cash equivalents and custom time deposits held at banking institutions were $47,895,580 for the Frontier Diversified Series, $15,802,320 for the Frontier Dynamic Series, $37,789,611 for the Frontier Long/Short Commodity Series, $22,701,439 for the Frontier Masters Series, $182,088,771 for the Balanced Series, $42,271,337 for the Campbell/Graham/Tiverton Series, $14,473,172 for the Currency Series, $3,515,966 for the Long Only Commodity Series, $2,397,492 for the Managed Futures Index Series, $40,520,486, for the Winton Series, and $43,718,386 for the Winton/Graham Series.

Off-Balance Sheet Risk

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

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

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responsibility only of the individual counterparty with whom the Trading Company has entered into the transaction with and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.

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

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

Results of Operations

Market Conditions for Twelve Months Ended December 31, 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.

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

39

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.

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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%.

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.

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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

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 quite 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.

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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

With many traders on vacation and not much news to excite the ones who remained, 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, as well. 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.

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, as healthy supplies and a relatively cool summer drove prices 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.

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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.

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 4.5%.

October 2009

Interest Rates

After falling earlier in the month, short and mid-term U.S. interest rate futures recovered and finished slightly higher. Long-term U.S. interest rate futures finished the month down. Short and mid-term European rate futures finished nearly un-changed, while the long-term European rate futures finished slightly higher.

Currencies

The U.S. Dollar index dropped slightly during the month, finishing down 0.5%. The Euro strengthened against the U.S. Dollar, up 0.5% for the month. The British Pound recouped the September loss against the U.S. Dollar, finishing up 2.9%. The Australian Dollar strengthened against the U.S. Dollar as well, up 1.9% for the month. The Canadian Dollar and the Japanese Yen weakened against the U.S. Dollar, finishing lower by 1.4% and 0.5%, respectively.

Stock Indices

The S&P 500 Index and the NASDAQ Composite Index dropped during October, down 2.0% and 3.6%, respectively. The DJIA finished October nearly unchanged. Most of the major European stock indices also finished lower in October. FTSE index futures dropped 2.5%, CAC-40 futures finished down 5.8% and DAX index futures finished lower by 5.2% for the month.

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Energy

Crude oil futures, gasoline futures and heating oil futures strengthened in October, finishing up 8.5%, 11.0% and 7.9%, respectively. Natural gas futures dropped the latter part of the month, finishing down 11.1%.

Metals

Gold futures for December delivery continued to climb, up 3.1% for the month, finishing at $1,040/oz. Copper, platinum and palladium also strengthened finishing up 4.8%, 1.7% and 8.0%, respectively. Silver futures for December delivery dropped, finishing down 2.4% for the month.

Agriculturals

Wheat futures recouped the September loss, up 8.0% for October. The soybean complex jumped mid-month and finished higher for the month. Corn and rice finished higher as well, up 6.4% and 8.3% respectively. Orange juice futures rallied mid-month, and finished higher by 21.9%.

November 2009

Interest Rates

Recent data suggests that economic activity has continued to pick up. Activity in the housing sector has increased over recent months, although conditions in financial markets are roughly unchanged. Businesses are still cutting back on fixed investment and staffing, though at a slower pace. In these circumstances, the Federal Reserve has decided to continue to maintain the target range for the federal funds rate at 0 to 1/4 percent. U.S. and European interest rate futures, across the curve, climbed steadily during the month to finish higher.

Currencies

The U.S. Dollar index continued to drop during November, finishing down 1.9% for the month. The Euro and the Japanese yen strengthened against the U.S. Dollar, up 4.3% and 1.9%, respectively, for the month. The Australian Dollar and the Canadian Dollar also strengthened against their U.S. counterpart, up 1.8% and 2.7%, respectively, for November. The British Pound finished the month nearly unchanged.

Stock Indices

Most of the major U.S. and European stock indices finished higher in November. The DJIA, the S&P 500 Index and the NASDAQ Composite Index strengthened, finishing up 6.5%, 5.7% and 4.9%, respectively, for the month. In Europe, FTSE index futures gained 4.9%, CAC-40 futures finished up 3.7% and DAX index futures finished higher by 4.7% for the month.

Energy

Natural gas futures continued to drop in November, finishing down 10.1%. Gasoline futures gained 1.5%, while crude oil and heating oil futures finished the month nearly unchanged.

Metals

As the U.S. Dollar continued to drop in November, precious metals finished higher. Gold futures for February delivery continued to climb, up 13.5% for the month, finishing at $1,182/oz. Copper, silver, platinum and palladium also strengthened finishing up 6.8%, 13.8%, 10.1% and 12.9%, respectively.

Agriculturals

Corn and Wheat futures continued to climb in November, up 10.1% and 14.5%, respectively, for the month. The soybean complex also strengthened for the month. Lumber futures rallied mid-month, and finished higher by 16.7% for November.

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December 2009

Interest Rates

U.S. and European interest rate futures, across the curve, dropped during December to finish lower. The decrease was widely seen to be due to optimism about the worldwide economy.

Currencies

The U.S. Dollar index strengthened during December, finishing up 4.0% for the month. The Euro, British Pound and Japanese Yen weakened against the U.S. Dollar, down 4.5%, 1.7% and 7.1%, respectively, for the month. The Canadian Dollar strengthened against the U.S. Dollar, up 0.3%.

Stock Indices

Most of the major U.S. and European stock indices continued to strengthen in December. The DJIA, the S&P 500 Index and the NASDAQ Composite Index finished up 0.8%, 1.8% and 5.8%, respectively, for the month. In Europe, FTSE index futures gained 3.6%, CAC-40 futures finished up 6.6% and DAX index futures finished higher by 5.2% for the month.

Energy

Natural gas futures recouped the November loss, up 12.7% for December. Gasoline, heating oil and crude oil futures finished slightly higher, up 0.8%, 1.8% and 0.9%, respectively for the month.

Metals

Gold futures reversed its upward trend and dropped steadily during the month, finishing lower by 7.2% at $1,096/oz. Silver futures also weakened, down 9.1% in December. Copper and palladium strengthened finishing up 5.3% and 11.6%, respectively, for the month.

Agriculturals

Rough rice dropped mid-month, finishing December down 4.4%. Wheat futures also dropped, finishing down 8.0% for the month. Sugar futures rallied the latter part of the month, up 19.0% for December. Lumber futures dropped in the beginning of the month to finish lower by 11.7% for December.

Series Returns and Other Information

The returns for each Series and Class of Units for the twelve months ended December 31, 2009, and related information, are discussed below. Each Series had exposure to commodity interest positions within one or more sectors during fiscal 2009. The performance of each Series was impacted over the course of the year by, among other things, the relative performance of the relevant sector or sectors and the commodities within those sectors, the changing allocations among, and the specific positions taken by the Series’ Trading Advisors in, the relevant sector(s) and commodities, and the timing of entries and exits. For certain of the Series, a sector attribution chart has been included at the end of the relevant discussion. Each chart depicts the performance of the relevant Series’ positions within each of the relevant sectors (determined by the Managing Owner using monthly gross return and Net Asset Value figures, with various adjustments to net out a proportional allocation of the fees and expenses chargeable to the Series) during the fourth quarter (except as otherwise noted) and for the full calendar year. See comments above under Market Condition for Twelve Months Ended December 31, 2009 for information regarding the market performance of each sector on a month-by-month basis during the year. Charts depicting the performance of the various Series’ positions within each of the relevant sectors during the prior three quarters were included in the Trust’s quarterly reports on Form 10-Q previously filed.

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Frontier Diversified Series

The Frontier Diversified Series began trading operations on June 9, 2009. The Frontier Diversified Series—Class 1 Net Asset Value lost 3.2% since the beginning of operation through the period ended December 31, 2009, net of fees and expenses; the Frontier Diversified Series—Class 2 Net Asset Value lost 2.2% since the beginning of operations through the period ended December 31, 2009, net of fees and expenses.

For the period ended December 31, 2009 the Frontier Diversified Series recorded a net loss on investments of $470,461, net interest of $489,238, and total expenses of $1,325,693, resulting in a net decrease in Owners’ capital from operations of $1,306,916. The Net Asset Value per Unit, Class 1, decreased from $100.00 at June 8, 2009, to $96.80 as of December 31, 2009. The Net Asset Value per Unit, Class 2, decreased from $100.00 at June 8, 2009, to $97.77 as of December 31, 2009. Total Class 1 subscriptions for the period were $33,810,390 and redemptions were $10,924. Total Class 2 subscriptions for the period were $23,982,063 and redemptions were $158,494. Ending capital at December 31, 2009, was $32,960,540 for Class 1 and $23,355,579 for Class 2.

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 Twelve Months Ended December 31, 2009, for additional information regarding these sectors.

Sector Attribution for the Frontier Diversified Series

Frontier Dynamic Series

The Frontier Dynamic Series began trading operations on June 9, 2009. The Frontier Dynamic Series—Class 1 Net Asset Value lost 8.6% since the beginning of operations through the period ended December 31, 2009, net of fees and expenses; the Frontier Dynamic Series—Class 2 Net Asset Value lost 7.8% since the beginning of operation through the period ended December 31, net of fees and expenses.

For the period ended December 31, 2009 the Frontier Dynamic Series recorded a net gain on investments of $129,144, net interest of $269,363, and total expenses of $435,159, resulting in a net decrease in Owners’ capital from operations of $36,652. The Net Asset Value per Unit, Class 1, decreased from $100.00 at June 8, 2009, to $91.43 as of December 31, 2009. The Net Asset Value per Unit, Class 2, decreased from $100.00 at June 8, 2009, to $92.25 as of December 31, 2009. Total Class 1 subscriptions for the period were $628,769. There were no redemptions. Total Class 2 subscriptions for the period were $304,800. There were no redemptions. Ending capital at December 31, 2009, was $606,255 for Class 1 and $290,662 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 Twelve Months Ended December 31, 2009, for additional information regarding these sectors.

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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

The Frontier Long/Short Commodity Series Class 3 began trading operations on May 29, 2009 and Classes 1a and 2a began trading operations on June 8, 2009.

The Frontier Long/Short Commodity Series—Class 1 Net Asset Value gained 13.3% for the twelve months ended December 31, 2009, net of fees and expenses; the Frontier Long/Short Commodity Series—Class 2 Net Asset Value gained 16.7% for the twelve months ended December 31, 2009, net of fees and expenses; the Frontier Long/Short Commodity Series—Class 3 Net Asset Value gained 3.9% since the beginning of operations through the period ended December 31, 2009; the Frontier Long/Short Commodity Series—Class 1a Net Asset Value gained 1.5% since the beginning of operations through the period ended December 31, 2009; the Frontier Long/Short Commodity Series—Class 2a Net Asset Value gained 2.5% since the beginning of operations through the period ended December 31, 2009.

For the twelve months ended December 31, 2009, the Long/Short Commodity Series recorded net gain on investments of $28,920,002, net interest of $1,213,141, and total expenses of $6,847,493, resulting in a net increase in Owners’ capital from operations of $8,527,351 after non-controlling interests of ($14,758,299). The Net Asset Value per Unit, Class 1, increased from $100.39 at December 31, 2008, to $113.77 as of December 31, 2009. The Net Asset Value per Unit, Class 2, increased from $109.28 at December 31, 2008, to $127.49 as of December 31, 2009. The Net Asset Value per Unit, Class 3, increased from $122.70 at the start of operations, to $127.49 as of December 31, 2009. The Net Asset Value per Unit, Class 1a, increased from $100.00 at the start of operations, to $101.49 as of December 31, 2009. The Net Asset Value per Unit, Class 2a, increased from $100.00 at the start of operations, to $102.48 as of December 31, 2009. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2009 were $7,069,581 and $14,009,386, respectively. Total Class 2 subscriptions and redemptions for the twelve months ended December 31, 2009 were $3,221,195 and $1,557,461, respectively. Total Class 3 subscriptions and redemptions from the start of operations through December 31, 2009 were $6,746,852 and $821,589, respectively. Total Class 1a subscriptions from the start of operations through December 31, 2009 were $1,080,344. There were no redemptions. Total Class 2a subscriptions from the start of operations through December 31, 2009 were $864,750. There were no redemptions. Ending capital at December 31, 2009, was $45,759,225 for Class 1, $14,986,103 for Class 2, $6,140,056 for Class 3, $1,092,016 for Class 1a and $876,532 for Class 2a. Ending capital at December 31, 2008, was $46,525,406 for Class 1 and $11,206,889 for Class 2.

The Long/Short Commodity Series had exposure to commodity interest positions within the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors during 2009. Typically, the majority of the exposure is to the Energies, Metals and Commodities sectors. See comments above under Market Conditions for Twelve Months Ended December 31, 2009, for additional information regarding these sectors.

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Sector Attribution for the 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 lost 5.5% since the beginning of operations through the period ended December 31, 2009, net of fees and expenses; the Frontier Masters Series—Class 2 Net Asset Value lost 4.6% since the beginning of operations through the period ended December 31, 2009, net of fees and expenses.

For the period ended December 31, 2009 the Frontier Masters Series recorded a net loss on investments of $312,999, net interest of $292,218, and total expenses of $886,162, resulting in a net decrease in Owners’ capital

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from operations of $906,943. The Net Asset Value per Unit, Class 1, decreased from $100.00 at June 8, 2009, to $94.46 as of December 31, 2009. The Net Asset Value per Unit, Class 2, decreased from $100.00 at June 8, 2009, to $95.37 as of December 31, 2009. Total Class 1 subscriptions and redemptions for the period were $15,344,142 and $4,896, respectively. Total Class 2 subscriptions for the period were $8,854,884. There were no redemptions. Ending capital at December 31, 2009, was $14,723,330 for Class 1 and $8,563,857 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 Twelve Months Ended December 31, 2009, for additional information regarding these sectors.

Sector Attribution for the Frontier Masters Series

Balanced Series

The Balanced Series—Class 1 Net Asset Value lost 5.3% for the twelve months ended December 31, 2009, net of fees and expenses; the Balanced Series—Class 1a Net Asset Value lost 5.9% for the twelve months ended December 31, 2009, net of fees and expenses; the Balanced Series—Class 2 Net Asset Value lost 2.4% for the twelve months ended December 31, 2009, net of fees and expenses; the Balanced Series—Class 2a Net Asset Value lost 3.1% for the twelve months ended December 31, 2009, net of fees and expenses; the Balanced Series—Class 3a Net Asset Value lost 3.6% since the beginning of operations through December 31, 2009, net of fees and expenses.

For the twelve months ended December 31, 2009, the Balanced Series recorded net loss on investments of $491,297, net interest of $901,710, and total expenses of $19,999,746, resulting in a net decrease in Owners’ capital from operations of $19,150,902 after non-controlling interests of $438,431. The Net Asset Value per Unit, Class 1, decreased from $125.17 at December 31, 2008, to $118.54 at December 31, 2009. For Class 1a, the Net Asset Value per Unit decreased from $112.09 at December 31, 2008, to $105.50 at December 31, 2009. The Net Asset Value per Unit, Class 2, decreased from $142.44 at December 31, 2008, to $139.01 at December 31, 2009. For Class 2a, the Net Asset Value per Unit decreased from $121.30 at December 31, 2008, to $117.60 at December 31, 2009. For Class 3, the Net Asset Value per Unit decreased from $121.97 at the start of operations, to $117.60 at December 31, 2009.Total Class 1 subscriptions and redemptions for the twelve months were $75,585,729 and $29,735,827, respectively. Total Class 1a subscriptions and redemptions for the twelve-month period were $3,817,405 and $2,204,487, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $25,917,174 and $13,622,072, respectively. Total Class 2a subscriptions and redemptions for the twelve month period were $1,802,211 and $282,240, respectively. Total Class 3 subscriptions and redemptions from the start of operations through December 31, 2009 were $1,241,589 and $35,688, respectively. Ending capital at December 31, 2009, was $286,024,307 for Class 1, $9,150,114 for Class 1a, $77,372,166 for Class 2, $3,298,566 for Class 2a, and $1,170,746 for Class 3. 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.

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The Balanced Series had exposure to commodity interest positions within the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors during fiscal 2009. See comments above under Market Conditions for Twelve Months Ended December 31, 2009, for additional information regarding these sectors.

Sector Attribution for the Balanced Series

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

The Campbell/Graham/Tiverton Series—Class 1 Net Asset Value lost 5.3% for the twelve months ended December 31, 2009, net of fees and expenses; the Campbell/Graham/Tiverton Series—Class 2 Net Asset Value lost 2.4% for the twelve months ended December 31, 2009, net of fees and expenses.

For the twelve months ended December 31, 2009, the Campbell/Graham/Tiverton Series recorded net loss on investments of $697,472, net interest of $293,910, and total expenses of $5,084,022, resulting in a net decrease in

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Owners’ capital from operations of $4,151,058 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 $104.65 as of December 31, 2009. The Net Asset Value per Unit, Class 2, decreased from $124.14 at December 31, 2008, to $121.10 as of December 31, 2009. Total Class 1 subscriptions for the twelve months ended December 31, 2009, were $10,924,243 and redemptions were $7,507,650. Total Class 2 subscriptions and redemptions for the twelve months ended December 31, 2009, were $4,025,676, and $1,693,780, respectively. Ending capital at December 31, 2009, was $69,447,366 for Class 1 and $9,914,994 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 had exposure to commodity interest positions within the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors during 2009. See comments above under Market Conditions for Twelve Months Ended December 31, 2009, for additional information regarding these sectors.

Sector Attribution for the Campbell/Graham/Tiverton Series

Currency Series

The Currency Series—Class 1 Net Asset Value lost 18.9% for the twelve months ended December 31, 2009, net of fees and expenses; the Currency Series—Class 2 Net Asset Value lost 16.4% for the twelve months ended December 31, 2009, net of fees and expenses.

For the twelve months ended December 31, 2009, the Currency Series recorded net loss on investments of $2,057,466, net interest of $88,884, and total expenses of $603,794, resulting in a net decrease in Owners’ capital from operations of $2,572,376. The Net Asset Value per Unit, Class 1, decreased from $96.19 at December 31, 2008, to $78.00 as of December 31, 2009. The Net Asset Value per Unit, Class 2, decreased from $109.30 at December 31, 2008, to $91.34 as of December 31, 2009. Total Class 1 subscriptions and redemptions for the twelve months ending December 31, 2009 were $570,243, and $2,434,358, respectively. Total Class 2 subscriptions and redemptions for the twelve months ending December 31, 2009 were $82,125 and $284,291, respectively. Ending capital at December 31, 2009, was $7,934,382 for Class 1 and $2,273,746 for Class 2. Ending capital at December 31, 2008, was $11,900,185 for Class 1 and $2,946,600 for Class 2.

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

Long Only Commodity Series

The Long Only Commodity Series—Class 1 Net Asset Value gained 18.9% for the twelve months ended December 31, 2009, net of fees and expenses; the Long Only Commodity Series—Class 2 Net Asset Value gained 21.3% for the twelve months ended December 31, 2009, net of fees and expenses.

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For the twelve months ended December 31, 2009, the Long Only Commodity Series recorded net gain on investments of $859,729, net interest of $76,629, and total expenses of $143,176, resulting in a net increase in Owners’ capital from operations of $793,182. The Net Asset Value per Unit, Class 1, increased from $70.31 at December 31, 2008 to $83.59 as of December 31, 2009. The Net Asset Value per Unit, Class 2, increased from $74.46 at December 31, 2008, to $90.30 as of December 31, 2009. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2009 were $409,347 and $572,400, respectively. Total Class 2 subscriptions and redemptions for the twelve months ended December 31, 2009 were $86,800 and $93,077, respectively. Ending capital at December 31, 2009, was $3,711,581 for Class 1 and $954,744 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 had exposure to long commodity interest positions within the Energies, Metals and Commodities sectors during 2009.

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

Managed Futures Index Series

The Managed Futures Index Series—Class 1 Net Asset Value lost 14.9% for the twelve months ended December 31, 2009, net of fees and expenses; the Managed Futures Index Series—Class 2 Net Asset Value lost 13.2% for the twelve months ended December 31, 2009, net of fees and expenses.

For the twelve months ended December 31, 2009, the Managed Futures Index Series recorded a net loss on investments of $490,441, net interest of $67,985, and total expenses of $139,823, resulting in a net decrease in Owners’ capital from operations of $562,279. The Net Asset Value per Unit, Class 1, decreased from $132.18 at December 31, 2008, to $112.54 as of December 31, 2009. The Net Asset Value per Unit, Class 2, decreased from $139.70 at December 31, 2008, to $121.28 as of December 31, 2009. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2009 were $708,699 and $822,446, respectively. Total Class 2 subscriptions and redemptions for the twelve months ended December 31, 2009 were $1,271,138 and $224,954, respectively. Ending capital at December 31, 2009, was $1,831,435 for Class 1 and $1,941,774 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 had exposure to commodity interest positions within the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors during 2009. See comments above under Market Conditions for Twelve Months Ended December 31, 2009, for additional information regarding these sectors.

Sector Attribution for the Managed Futures Index Series

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Winton Series

The Winton Series—Class 1 Net Asset Value lost 9.8% for the twelve months ended December 31, 2009, net of fees and expenses; the Winton Series—Class 2 Net Asset Value lost 7.1% for the twelve months ended December 31, 2009, net of fees and expenses.

For the twelve months ended December 31, 2009, the Winton Series recorded net loss on investments of $7,737,998, net interest of $361,106, and total expenses of $3,375,280, resulting in a net decrease in Owners’ capital from operations of $6,685,179, after minority interests of $4,066,993. The Net Asset Value per Unit, Class 1, decreased from $130.41 at December 31, 2008, to $117.57 as of December 31, 2009. The Net Asset Value per Unit, Class 2, decreased from $140.04 at December 31, 2008, to $130.10 as of December 31, 2009. Total Class 1 subscriptions for the twelve months were $287,976 and redemptions were $8,522,436. Total Class 2 subscriptions and redemptions for the twelve-month period were $200,000, and $905,208, respectively. Ending capital at December 31, 2009, was $48,198,317 for Class 1 and $10,203,862 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 had exposure to commodity interest positions within the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors during 2009. See comments above under Market Conditions for Twelve Months Ended December 31, 2009, for additional information regarding these sectors.

Sector Attribution for the Winton Series

Winton/Graham Series (formerly the Graham Series)

The Winton/Graham Series—Class 1 Net Asset Value lost 5.3% for the twelve months ended December 31, 2009, net of fees and expenses; the Winton/Graham Series—Class 2 Net Asset Value lost 2.4% for the twelve months ended December 31, 2009, net of fees and expenses.

For the twelve months ended December 31, 2009, the Winton/Graham Series recorded net gain on investments of $3,919,086, net interest of $259,485, and total expenses of $3,626,096, resulting in a net decrease in Owners’ capital from operations of $2,795,125 after non-controlling interests of ($3,347,600). The Net Asset Value per Unit, Class 1, decreased from $116.18 at December 31, 2008, to $110.06 as of December 31, 2009. The Net Asset Value per Unit, Class 2, decreased from $131.49 at December 31, 2008, to $128.39 as of December 31, 2009. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2009 were $20,207,122 and $5,384,099, respectively. Total Class 2 subscriptions and redemptions for the twelve months ended December 31, 2009 were $360,401 and $1,892,655, respectively. Ending capital at December 31, 2009, was $48,168,395 for Class 1 and $12,522,478 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 had exposure to commodity interest positions within the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors during 2009. See comments above under Market Conditions for Twelve Months Ended December 31, 2009, for additional information regarding these sectors.

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Sector Attribution for the Winton/Graham Series

Results of Operations

Market Conditions for Twelve Months Ended December 31, 2008

January 2008

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

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Metals

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

Commodities

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

February 2008

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

Metals

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

Commodities

Soybean futures prices rallied sharply since August of last year, resulting in the highest prices in three decades. Soybean futures for May delivery surged to an all-time high on February 29th, finishing up 18.9% for the month.

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Corn futures also continued their upward path, finishing 8.4% for February. Wheat futures strengthened as well and hit an all-time intraday high on February 27th, finishing the month up 14.9%. Coffee, sugar and cocoa futures also gained during the month, settling up 18.6%, 13.7% and 18.0%, respectively. Lean hog futures dropped sharply the latter part of February, finishing down 9.8%. Cotton futures rose to new all-time highs, finishing the month higher by 19.3%.

March 2008

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

Metals

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

Commodities

Corn futures continued to strengthen in March, finishing higher by 1.9%. Soybean futures, which had been on an upward path since August of last year, dropped precipitously in March to finish lower by 22.08%. Wheat futures for May delivery also weakened, finishing down 14.5%. Coffee, sugar and cocoa futures followed the same path,

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finishing lower by 23.6%, 20.0% and 16.4% respectively. After reaching new all time highs on March 5th, cotton futures also dropped sharply during the latter part of the month, finishing down 15.3%. Lean hog futures and live cattle futures also finished lower by 11.0% and 8.0% respectively.

April 2008

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

Metals

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

Agriculturals

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

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May 2008

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

Metals

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

Agriculturals

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

June 2008

Interest Rates

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

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Currencies

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

Stock Indices

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

Energy

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

Metals

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

Agriculturals

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

July 2008

Interest Rates

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

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Currencies

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

Stock Indices

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

Energy

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

Metals

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

Agriculturals

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

August 2008

Interest Rates

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

Currencies

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

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Stock Indices

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

Energy

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

Metals

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

Agriculturals

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

September 2008

Interest Rates

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

Currencies

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

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Stock Indices

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

Energy

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

Metals

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

Agriculturals

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

October 2008

Interest Rates

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

Currencies

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

Stock Indices

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

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Energy

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

Metals

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

Agriculturals

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

November 2008

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

Metals

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

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Agriculturals

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

December 2008

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

Metals

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

Agriculturals

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

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Series Returns and Other Information

The returns for each Series and Class of Units for the twelve months ended December 31, 2008, and related information, are discussed below. Each Series had exposure to commodity interest positions within one or more sectors during 2008. The performance of each Series was impacted over the course of the year by, among other things, the relative performance of the relevant sector or sectors and the commodities within those sectors, the changing allocations among, and the specific positions taken by the Series’ Trading Advisors in, the relevant sector(s) and commodities, and the timing of entries and exits. For certain of the Series, a sector attribution chart has been included at the end of the relevant discussion. Each chart depicts the performance of the relevant Series’ positions within each of the relevant sectors (determined by the Managing Owner using monthly gross return and Net Asset Value figures, with various adjustments to net out a proportional allocation of the fees and expenses chargeable to the Series) during the fourth quarter (except as otherwise noted) and for the full calendar year. See comments above under Market Condition for Twelve Months Ended December 31, 2008 for information regarding the market performance of each sector on a month-by-month basis during the year. Charts depicting the performance of the various Series’ positions within each of the relevant sectors during the prior three quarters were included in the Trust’s quarterly reports on Form 10-Q previously filed.

Balanced Series

The Balanced Series—Class 1 Net Asset Value gained 23.4% for the twelve months ended December 31, 2008, net of fees and expenses; the Balanced Series—Class 1a Net Asset Value gained 23.3% for the twelve months ended December 31, 2008, net of fees and expenses; the Balanced Series—Class 2 Net Asset Value gained 27.2% for the twelve months ended December 31, 2008, net of fees and expenses; the Balanced Series—Class 2a Net Asset Value gained 27.1% for the twelve months ended December 31, 2008, net of fees and expenses.

For the twelve months ended December 31, 2008, the Balanced Series recorded net gain on investments of $100,495,769, net interest of $1,613,778, and total expenses of $24,610,998, resulting in a net increase in Owners’ capital from operations of $60,158,339 after minority interests of ($17,340,210). The Net Asset Value per Unit, Class 1, increased from $101.46 at December 31, 2007, to $125.17 at December 31, 2008. For Class 1a, the Net Asset Value per Unit increased from $90.90 at December 31, 2007, to $112.09 at December 31, 2008. The Net Asset Value per Unit, Class 2, increased from $112.00 at December 31, 2007, to $142.44 at December 31, 2008. For Class 2a, the Net Asset Value per Unit increased from $95.47 at December 31, 2007, to $121.30 at December 31, 2008. Total Class 1 subscriptions and redemptions for the twelve months were $53,227,589 and $46,971,227, respectively. Total Class 1a subscriptions and redemptions for the twelve-month period were $2,242,824 and $1,099,001, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $17,553,242 and $9,274,267, respectively. Total Class 2a subscriptions and redemptions for the twelve month period were $606,073 and $345,411, respectively. Ending capital at December 31, 2008, was $256,550,829 for Class 1, $8,136,165 for Class 1a, $67,109,662 for Class 2 and $1,886,351 for Class 2a. At December 31, 2007, ending capital was $204,740,748 for Class 1, $5,638,500 for Class 1a, $45,954,042 for Class 2 and $1,251,556 for Class 2a.

In November and December of 2007, the Balanced Series, through Frontier Trading Company I LLC, engaged in a fund option transaction, whereby the Balanced Series obtains exposure to the performance of additional commodity pools, for the purpose of further diversification among trading advisors and styles. The Trust does not have transparency to the underlying investments of these commodity pools. Accordingly, the underlying investments of the fund option transaction have been excluded from the below sector attribution chart.

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

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Sector Attribution for the Balanced Series

Winton Series

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

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

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

Sector Attribution for the Winton Series

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

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

For the twelve months ended December 31, 2008, the Campbell/Graham/Tiverton Series recorded net gain on investments of $24,168,791, net interest of $331,073, and total expenses of $7,012,949, resulting in a net increase in Owners’ capital from operations of $12,752,188 after minority interests of ($4,734,727). The Net Asset Value per Unit, Class 1, increased from $91.90 at December 31, 2007, to $110.54 as of December 31, 2008. The Net Asset Value per Unit, Class 2, increased from $100.20 at December 31, 2007, to $124.14 as of December 31, 2008. Total Class 1 subscriptions for the twelve months ended December 31, 2008, were $15,128,511 and redemptions were $12,047,193. Total Class 2 subscriptions and redemptions for the twelve months ended December 31, 2008, were $2,039,851, and $1,459,332, respectively. Ending capital at December 31, 2008, was $69,957,155 for Class 1 and $7,807,774 for Class 2. Ending capital at December 31, 2007, was $55,530,902 for Class 1 and $5,820,002 for Class 2.

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

Sector Attribution for the Campbell/Graham/Tiverton Series

Currency Series

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

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

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

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Winton/Graham Series (formerly the Graham Series)

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

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

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

Sector Attribution for the Winton/Graham Series

Long Only Commodity Series

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

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

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

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

Long/Short Commodity Series

The Long/Short Commodity Series—Class 1 Net Asset Value lost 1.1% for the twelve months ended December 31, 2008, net of fees and expenses; the Long/Short Commodity Series—Class 2 Net Asset Value gained 1.9% for the twelve months ended December 31, 2008, net of fees and expenses.

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

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

Sector Attribution for the Long/Short Commodity Series

Managed Futures Index Series

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

For the twelve months ended December 31, 2008, the Managed Futures Index Series recorded a net gain on investments of $701,670, net interest of $35,362, and total expenses of $69,230, resulting in a net increase in

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Owners’ capital from operations of $667,802. The Net Asset Value per Unit, Class 1, increased from $100.59 at December 31, 2007, to $132.18 as of December 31, 2008. The Net Asset Value per Unit, Class 2, increased from $104.42 at December 31, 2007, to $139.70 as of December 31, 2008. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2008 were $1,620,857 and $416,360, respectively. Total Class 2 subscriptions for the twelve months ended December 31, 2008 were $889,180 and $315,877, respectively. Ending capital at December 31, 2008, was $2,266,977 for Class 1 and $1,136,074 for Class 2. Ending capital at December 31, 2007, was $621,740 for Class 1 and $335,709 for Class 2.

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

Sector Attribution for the Managed Futures Index Series

Results of Operations

Market Conditions for Twelve Months Ended December 31, 2007

January 2007

Interest Rates

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

Currencies

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

Stock Indices

Stock markets continued the upward trend that began in June 2006. The S&P 500 finished the month up 1.4% and the NASDAQ Composite was higher by 2%. The blue-chip Dow Jones Industrial Index continued to set new

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all-time highs during January, culminating with an intraday high of 12,657 and finishing the month up 1.3% at 12,621. In Europe, futures on the German DAX finished the month up just over 3% while French CAC-40 futures were up 0.6%. Japanese Nikkei 225 futures finished the month higher by nearly 1%.

Energy

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

Metals

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

Commodities

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

February 2007

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

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Metals

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

Commodities

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

March 2007

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

Metals

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

Commodities

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

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April 2007

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

Metals

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

Commodities

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

May 2007

Interest Rates

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

Currencies

After flirting with all-time lows in April, the U.S. Dollar Index recovered slightly in May, gaining 1% during the month. The Japanese Yen continued to fall, down an additional 1.8% against the U.S. Dollar, and the Euro fell

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1.4%, driving the Euro/Yen cross rate to another new record high, up 0.4%. While the Australian Dollar was little changed, the Canadian Dollar continued its meteoric rise, climbing nearly 4% against the U.S. Dollar for the second month in a row and 5.3% against the Euro.

Stock Indices

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

Energy

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

Metals

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

Commodities

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

June 2007

Interest Rates

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

Currencies

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

Stock Indices

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

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Energy

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

Metals

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

Commodities

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

July 2007

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

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Metals

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

Commodities

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

August 2007

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

Metals

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

Commodities

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

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September 2007

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

Metals

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

Commodities

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

October 2007

Interest Rates

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

Currencies

Pessimism over the future of the U.S. economy contributed to the continuing decline of the U.S. Dollar during October. For the month, the U.S. Dollar Index finished down 1.6%, setting another new all-time record low. The

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Euro and the British Pound continued to strengthen against the U.S. Dollar, gaining 1.5% and 1.6% respectively for October. The Australian Dollar continued its meteoric rise against the U.S Dollar, gaining 5.2% for the month. The Japanese Yen dropped against the U.S. Dollar during the first part of the month, finishing slightly down for October. The Canadian Dollar was up 5.2% against its U.S. counterpart, setting a new thirty-year high.

Stock Indices

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

Energy

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

Metals

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

Commodities

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

November 2007

Interest Rates

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

Currencies

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

Stock Indices

The DJIA, which reached an all time intraday high of 14,198 in October, fell sharply the first part of November. The blue chip index recouped some of the loss after Abu Dhabi Investment Authority announced it would invest

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$7.5 billion in Citigroup Inc., which had suffered severe losses in the midst of the ongoing crisis in the mortgage market. The DJIA finished the month at 13,371, a decline of 5.8%. The S&P 500 index followed the same pattern as the DJIA and finished down 4.4%. The NASDAQ Composite reversed an upward trend that began in August and finished down 6.9%. French CAC-40 and German DAX futures also dropped in the beginning of November but bounced back, finishing lower by 2.9% and 2.3% respectively.

Energy

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

Metals

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

Commodities

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

December 2007

Interest Rates

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

Currencies

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

Stock Indices

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

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Energy

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

Metals

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

Commodities

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

Series Returns and Other Information

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

Balanced Series

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

For the twelve months ended December 31, 2007, the Balanced Series recorded net gain on investments of $4,789,018, net interest of $6,823,418, and total expenses of $19,654,933, resulting in a net decrease in Owners’ capital from operations of $13,183,593 after minority interests of ($5,141,096). The Net Asset Value per Unit, Class 1, decreased from $106.66 at December 31, 2006, to $101.46 at December 31, 2007. For Class 1a, the Net Asset Value per Unit decreased from $95.97 at December 31, 2006, to $90.90 at December 31, 2007. The Net Asset Value per Unit, Class 2, decreased from $114.24 at December 31, 2006, to $112.00 at December 31, 2007.

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For Class 2a, the Net Asset Value per Unit decreased from $97.88 at December 31, 2006, to $95.47 at December 31, 2007. Total Class 1 subscriptions and redemptions for the twelve months were $45,063,047 and $53,164,207, respectively. Total Class 1a subscriptions and redemptions for the twelve-month period were $2,453,374 and $758,846, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $12,361,842 and $13,809,185, respectively. Total Class 2a subscriptions and redemptions for the twelve month period were $799,760 and $184,318, respectively. Ending capital at December 31, 2007, was $204,740,748 for Class 1, $5,638,500 for Class 1a, $45,954,042 for Class 2 and $1,251,556 for Class 2a. At December 31, 2006, ending capital was $224,559,900 for Class 1, $4,203,865 for Class 1a, $48,581,401 for Class 2 and $661,806 for Class 2a.

In November and December of 2007, the Balanced Series, through Frontier Trading Company I, LLC, engaged in a fund option transaction, whereby the Balanced Series obtains exposure to the performance of additional commodity pools, for the purpose of further diversification among trading advisors and styles. The Trust does not have transparency to the underlying investments of these commodity pools. Accordingly, the underlying investments of the fund option transaction have been excluded from the below sector attribution chart.

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

Sector Attribution for the Balanced Series

Winton Series

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

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

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

Sector Attribution for the Winton Series

Campbell/Graham Series

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

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

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

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Sector Attribution for the Campbell/Graham Series

Currency Series

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

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

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

Graham Series

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

For the twelve months ended December 31, 2007, the Graham Series recorded net gain on investments of $1,258,686, net interest of $206,887, and total expenses of $593,562, resulting in a net increase in Owners’ capital from operations of $872,011. The Net Asset Value per Unit, Class 1, increased from $84.70 at December 31, 2006, to $95.04 as of December 31, 2007. The Net Asset Value per Unit, Class 2, increased from $90.25 at December 31, 2006, to $104.37 as of December 31, 2007. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2007 were $1,274,358 and $1,786,900, respectively. Total Class 2 subscriptions and redemptions for the twelve months ended December 31, 2007 were $24,016 and $555,334, respectively. Ending capital at December 31, 2007, was $6,060,207 for Class 1 and $1,808,776 for Class 2. Ending capital at December 31, 2006, was $5,991,337 for Class 1 and $2,049,495 for Class 2.

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

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Sector Attribution for the Graham Series

Long Only Commodity Series

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

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

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

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

Long/Short Commodity Series

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

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

86

December 31, 2007 were $1,317,261 and $500,449, respectively. Ending capital at December 31, 2007, was $31,092,746 for Class 1 and $3,658,890 for Class 2. Ending capital at December 31, 2006, was $19,478,595 for Class 1 and $2,697,482 for Class 2.

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

Sector Attribution for the Long/Short Commodity Series

Managed Futures Index Series

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

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

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

87

Sector Attribution for the Managed Futures Index Series

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

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

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

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

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

Quantitative Market Risk

Trading Risk

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

88

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

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

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

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

Value at Risk by Market Sectors

The following table presents the trading value at risk associated with each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of December 31, 2009 and 2008. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

Frontier Diversified Series: (1)

MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	810,969	1.2	%	$	—	—
Currencies	$	635,006	0.9	%	$	—	—
Stock Indices	$	1,117,679	1.7	%	$	—	—
Metals	$	219,940	0.3	%	$	—	—
Agriculturals/Softs	$	757,524	1.1	%	$	—	—
Energy	$	385,978	0.6	%	$	—	—
Total:	$	3,927,096	5.8	%	$	—	—
Frontier Dynamic Series: (2)
MARKET SECTOR	December 31, 2009				December 31, 2008
	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	%	$	—	—

89

Frontier Long/Short Commodity Series:

MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	458,373	0.7	%	$	190,975	0.3	%
Currencies	$	123,312	0.2	%	$	215,085	0.4	%
Stock Indices	$	214,885	0.3	%	$	99,892	0.2	%
Metals	$	739,536	1.1	%	$	1,217,781	2.1	%
Agriculturals/Softs	$	3,885,971	5.6	%	$	2,210,340	3.8	%
Energy	$	2,532,008	3.7	%	$	1,094,515	1.9	%
Total:	$	7,954,085	11.6	%	$	5,028,588	8.7	%
Frontier Masters Series: (3)
MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	362,224	1.3	%	$	—	—
Currencies	$	273,070	1.0	%	$	—	—
Stock Indices	$	317,394	1.1	%	$	—	—
Metals	$	91,585	0.3	%	$	—	—
Agriculturals/Softs	$	186,311	0.7	%	$	—	—
Energy	$	65,552	0.2	%	$	—	—
Total:	$	1,296,136	4.6	%	$	—	—
Balanced Series: (4), (5)
MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	8,664,284	2.3	%	$	2,002,489	0.6	%
Currencies	$	6,765,682	1.8	%	$	3,124,541	0.9	%
Stock Indices	$	14,042,370	3.7	%	$	5,250,263	1.6	%
Metals	$	1,954,885	0.5	%	$	355,150	0.1	%
Agriculturals/Softs	$	6,682,314	1.8	%	$	1,553,216	0.5	%
Energy	$	3,351,748	0.9	%	$	624,306	0.2	%
Total:	$	41,461,283	11.0	%	$	12,909,965	3.9	%
Campbell/Graham/Tiverton Series:
MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,896,966	2.4	%	$	828,192	1.1	%
Currencies	$	2,228,877	2.8	%	$	1,067,847	1.4	%
Stock Indices	$	1,163,045	1.5	%	$	915,299	1.2	%
Metals	$	195,419	0.2	%	$	68,164	0.1	%
Agriculturals/Softs	$	755,928	1.0	%	$	199,871	0.3	%
Energy	$	133,992	0.2	%	$	88,512	0.1	%
Total:	$	6,374,227	8.1	%	$	3,167,885	4.2	%

90

Currency Series: (6)

MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—	0	%	$	—	0	%
Currencies	$	166,661	0.7	%	$	181,098	1.2	%
Stock Indices	$	—	0	%	$	—	0	%
Metals	$	—	0	%	$	—	0	%
Agriculturals/Softs	$	—	0	%	$	—	0	%
Energy	$	—	0	%	$	—	0	%
Total:	$	166,661	0.7	%	$	181,098	1.2	%
Long Only Commodity Series:
MARKET SECTOR	December 31, 2009				December 31, 2008
	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	$	110,400	2.4	%	$	105,600	2.6	%
Agriculturals/Softs	$	156,400	3.4	%	$	149,600	3.7	%
Energy	$	193,200	4.1	%	$	184,800	4.6	%
Total:	$	460,000	9.9	%	$	440,000	10.9	%
Managed Futures Index Series:
MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	85,348	2.3	%	$	87,004	2.6	%
Currencies	$	87,620	2.3	%	$	85,655	2.5	%
Stock Indices	$	95,314	2.5	%	$	14,610	0.4	%
Metals	$	5,542	0.1	%	$	—	0.0	%
Agriculturals/Softs	$	33,252	0.9	%	$	17,047	0.5	%
Energy	$	14,409	0.4	%	$	—	0.0	%
Total:	$	321,485	8.5	%	$	204,316	6.0	%
Winton Series:
MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,363,844	2.3	%	$	1,076,982	1.5	%
Currencies	$	1,337,445	2.3	%	$	1,360,405	1.8	%
Stock Indices	$	1,365,395	2.3	%	$	67,599	0.1	%
Metals	$	353,132	0.6	%	$	69,327	0.1	%
Agriculturals/Softs	$	577,065	1.0	%	$	532,693	0.7	%
Energy	$	60,996	0.1	%	$	72,478	0.1	%
Total:	$	5,057,877	8.6	%	$	3,179,484	4.3	%

91

Winton/Graham Series:

MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,816,487	3.0	%	$	451,517	0.9	%
Currencies	$	2,252,403	3.7	%	$	433,230	0.9	%
Stock Indices	$	1,411,504	2.3	%	$	54,758	0.1	%
Metals	$	335,103	0.6	%	$	43,737	0.1	%
Agriculturals/Softs	$	975,542	1.6	%	$	185,563	0.4	%
Energy	$	148,812	0.2	%	$	38,493	0.1	%
Total:	$	6,939,851	11.4	%	$	1,207,298	2.5	%

(1) As of December 31, 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 $22,760,455. 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 December 31, 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 $25,875,001. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

(3) As of December 31, 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 $15,972,157. 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 December 31, 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 December 31, 2009 was 54.6%, 16.3%, 66.7% and 63.6%, 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 $43,016,998, or 11.4% of capitalization as of December 31, 2009 and $13,000,001, or 3.9% of capitalization as of December 31, 2008.

(5) As of December 31, 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 $129,084,678 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 December 31, 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 $15,426,942 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.

Value at Risk: Foreign Markets

The following table presents the portion of trading value at risk associated with each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of December 31, 2009 and 2008, on foreign markets. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

Frontier Diversified Series:

MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	522,354	0.8	%	$	—	—
Currencies	$	462,733	0.7	%	$	—	—
Stock Indices	$	316,181	0.5	%	$	—	—
Metals	$	184,885	0.3	%	$	—	—
Agriculturals/Softs	$	73,420	0.1	%	$	—	—
Energy	$	25,299	0.0	%	$	—	—
Total:	$	1,584,872	2.4	%	$	—	—

92

Frontier Dynamic Series:

MARKET SECTOR	December 31, 2009				December 31, 2008
	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:
MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	150,180	0.2	%	$	—	0.0	%
Currencies	$	123,312	0.2	%	$	215,085	0.4	%
Stock Indices	$	133,926	0.2	%	$	—	0.0	%
Metals	$	263,874	0.4	%	$	2,648	0.0	%
Agriculturals/Softs	$	106,174	0.2	%	$	30,091	0.1	%
Energy	$	68,216	0.1	%	$	—	0.0	%
Total:	$	845,682	1.3	%	$	247,824	0.5	%
Frontier Masters Series:
MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	265,495	0.9	%	$	—	—
Currencies	$	201,422	0.7	%	$	—	—
Stock Indices	$	205,099	0.7	%	$	—	—
Metals	$	147,035	0.5	%	$	—	—
Agriculturals/Softs	$	52,836	0.2	%	$	—	—
Energy	$	7,969	0.0	%	$	—	—
Total:	$	879,856	3.0	%	$	—	—
Balanced Series:
MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	5,354,182	1.4	%	$	1,416,902	0.4	%
Currencies	$	4,835,251	1.3	%	$	2,298,473	0.7	%
Stock Indices	$	2,991,063	0.8	%	$	1,187,342	0.4	%
Metals	$	1,407,054	0.4	%	$	90,790	0.0	%
Agriculturals/Softs	$	584,722	0.2	%	$	432,527	0.1	%
Energy	$	260,941	0.1	%	$	50,388	0.0	%
Total:	$	15,433,213	4.2	%	$	5,476,422	1.6	%

93

Campbell/Graham/Tiverton Series:

MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,418,447	1.8	%	$	594,969	0.8	%
Currencies	$	1,874,435	2.4	%	$	932,716	1.2	%
Stock Indices	$	817,800	1.0	%	$	324,627	0.4	%
Metals	$	370,502	0.5	%	$	44,690	0.1	%
Agriculturals/Softs	$	148,341	0.2	%	$	58,513	0.1	%
Energy	$	49,543	0.1	%	$	11,642	0.0	%
Total:	$	4,679,068	6.0	%	$	1,967,157	2.6	%
Currency Series:
MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—	0	%	$	—	0	%
Currencies	$	166,661	0.7	%	$	181,098	1.2	%
Stock Indices	$	—	0	%	$	—	0	%
Metals	$	—	0	%	$	—	0	%
Agriculturals/Softs	$	—	0	%	$	—	0	%
Energy	$	—	0	%	$	—	0	%
Total:	$	166,661	0.7	%	$	181,098	1.2	%
Long Only Commodity Series:
MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—	0.0	%	$	—	0.0	%
Currencies	$	—	0.0	%	$	—	0.0	%
Stock Indices	$	—	0.0	%	$	—	0.0	%
Metals	$	—	0.0	%	$	—	0.0	%
Agriculturals/Softs	$	—	0.0	%	$	—	0.0	%
Energy	$	—	0.0	%	$	—	0.0	%
Total:	$	—	0.0	%	$	—	0.0	%
Managed Futures Index Series:
MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	48,771	1.3	%	$	70,732	2.1	%
Currencies	$	68,777	1.8	%	$	68,608	2.0	%
Stock Indices	$	73,146	1.9	%	$	9,186	0.3	%
Metals	$	5,542	0.1	%	$	—	0.0	%
Agriculturals/Softs	$	—	0.0	%	$	—	0.0	%
Energy	$	1,108	0.0	%	$	—	0.0	%
Total:	$	197,344	5.1	%	$	148,526	4.4	%

94

Winton Series:

MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,149,824	2.0	%	$	853,246	1.2	%
Currencies	$	892,285	1.5	%	$	697,076	0.9	%
Stock Indices	$	667,692	1.1	%	$	43,964	0.1	%
Metals	$	116,640	0.2	%	$	40,966	0.1	%
Agriculturals/Softs	$	35,596	0.1	%	$	31,651	0.0	%
Energy	$	16,051	0.0	%	$	18,908	0.0	%
Total:	$	2,878,088	4.9	%	$	1,685,811	2.3	%
Winton/Graham Series:
MARKET SECTOR	December 31, 2009				December 31, 2008
	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,548,343	2.6	%	$	331,657	0.7	%
Currencies	$	1,910,549	3.1	%	$	241,938	0.5	%
Stock Indices	$	850,468	1.4	%	$	37,584	0.1	%
Metals	$	174,560	0.3	%	$	34,428	0.1	%
Agriculturals/Softs	$	68,353	0.1	%	$	11,193	0.0	%
Energy	$	53,463	0.1	%	$	8,684	0.0	%
Total:	$	4,605,736	7.6	%	$	665,484	1.4	%

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

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

Non-Trading Risk

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

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Qualitative Market Risk

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

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Agriculturals/Softs

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

Energy

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

Other Trading Risks

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

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

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

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

However, because certain of the Trading Advisors’ strategies involve some discretionary aspects in addition to their technical factors, certain of the Trading Advisors may occasionally use discretion in investing the assets of a

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

Item 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA.

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

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

None.

Item 9A(T). CONTROLS AND PROCEDURES

Evaluation of Disclosure Controls and Procedures

Under the supervision and with the participation of the management of the Managing Owner, including its Chief Executive Officer and Chief Financial Officer, the Trust evaluated the effectiveness of the design and operation of the disclosure controls and procedures (as defined in Rule 13(a)-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), for the Trust and each Series as of December 31, 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.

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

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

The Managing Owner’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with accounting principles generally accepted in the United States. The internal control over financial reporting for the Trust and each Series includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of assets; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with accounting principles generally accepted in the United States, and that

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receipts and expenditures are being made only in accordance with authorizations of the management of the Managing Owner; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of assets that could have a material effect on the financial statements of the Trust or any Series.

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

Management assessed the effectiveness of the internal control over financial reporting for the Trust and each Series as of December 31, 2009, based on the framework set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in its report entitled Internal Control-Integrated Framework. Based on that assessment, management concluded that, as of December 31, 2009, the internal control over financial reporting for the Trust and each Series is effective based on the criteria established in Internal Control-Integrated Framework.

This annual report does not include an attestation report of the Trust’s registered public accounting firm regarding internal control over financial reporting. Management’s report was not subject to attestation by the Trust’s registered public accounting firm pursuant to temporary rules of the SEC that permit the Trust to provide only management’s report in this annual report.

Changes in Internal Control Over Financial Reporting.

There were no changes in the Trust’s internal control over financial reporting during the year ended December 31, 2009, that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.

Scope of Exhibit 31 Certifications

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

Item 9B. OTHER INFORMATION.

None.

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Part III

Item 10. DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE.

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

Principals of the Managing Owner

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

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

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

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Performance (Wiley, 2000). Mr. Bornhoft is a board member and principal of Morningstar Hedge Inc. He currently holds SEC/NASD Series 7, 24 and 63 registrations, in addition to a CFTC/NFA series 3 registration.

Ron S. Montano, born in 1957, is the Chief Administration Officer and Secretary of the Managing Owner. In addition, Mr. Montano has been registered as a principal of the Managing Owner since August 2003. Mr. Montano is also the Chief Operations Officer of The Bornhoft Group. Mr. Montano joined the Bornhoft Group in November 1997 and has been registered as a principal thereof since May 1998. Mr. Montano is also a principal of Bornhoft Group Securities Corporation. His responsibilities include providing oversight and management to all divisions of The Bornhoft Group companies, managing all personnel activities, and directing marketing campaigns.

Mr. Montano draws upon his extensive experience in leadership and management skills during his successful and highly decorated 23-year career in the U.S. Army/Army Recruiting Command. He achieved the rank of Command Sergeant Major responsible for administrative functions including manpower assessment, relocation and problem solving, training, documentation and community relations. During his tenure, his oversight has included overseeing six recruiting companies and 51 recruiting stations within the New England states territory, and seven companies and 52 recruiting offices and over 300 recruiting sales representatives in Michigan, which was the largest recruiting territory in the United States. He graduated with a degree in Applied Science as well as being selected for and graduated from the U.S. Army Sergeants Major Academy. Mr. Montano was selected to be directly involved in the U.S. Army Recruiting Command policy development process. He has been highly decorated for his accomplishments in promoting his assigned territories, which earned him the Army’s coveted “Legion of Merit Award.”

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

Executive Committee of the Managing Owner

The Executive Committee is responsible for the general oversight of the Managing Owner’s business and the Frontier Fund and functions like a board of directors of a corporation. The members of the Executive Committee are Richard E. Bornhoft, Ajay R. Dravid and Robert J. Enck.

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

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

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Robert J. Enck’s biography appears above under the caption “Principals of the Managing Owner.”

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

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

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

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

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

Section 16(a) Beneficial Ownership Reporting Compliance

Section 16 of the Exchange Act requires an issuer’s directors and certain executive officers and certain other beneficial owners of the issuer’s equity securities to periodically file notices of changes in their beneficial ownership with the SEC. The Trust does not have any directors or officers. However, the officers of the Managing Owner, as well as the Managing Owner itself, file such notices regarding their beneficial ownership in the Trust, if any.

Audit Committee Financial Expert

The Trust does not have a board of directors but instead is operated and managed by the Managing Owner. The Executive Committee of the Managing Owner has created an audit committee of the Trust consisting of all of the Executive Committee’s members. The Executive Committee of the Managing Owner, in its capacity as the audit committee for the Trust, has determined that Robert J. Enck, the Chief Executive Officer of the Managing Owner, qualifies as an “audit committee financial expert” in accordance with the applicable rules and regulations of the SEC. Mr. Enck is not independent of management.

Code of Ethics

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

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

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

Item 11. EXECUTIVE COMPENSATION.

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

Management Fees

Each Series of Units pays to the Managing Owner a monthly management fee equal to a certain percentage of such Series’ assets, calculated on a daily basis. The annual rate of the management fee is: 0.5% for the Balanced Series; 0.75% for the Frontier Diversified Series; 2.0% for the Frontier Masters Series, Winton Series, Currency Series, Long Only Commodity Series and Managed Futures Index Series; 2.5% for the Winton/Graham Series and Campbell/Graham/Tiverton Series; and 3.5% for the Frontier Long/Short Commodity Series. The Managing Owner does not charge a management fee for the assets of the Frontier Dynamic Series committed to one or more Swaps which reference one or more managed futures programs that already include Trading Advisor management fees. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) for each Series.

Incentive Fees

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

Interest Income

Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Campbell/Graham/Tiverton Series, Currency Series and Winton/Graham Series. For the 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.

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Other Fees

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

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

The Trust has no officers or directors. Its affairs are managed solely by the Managing Owner. Set forth in the table below is information regarding the beneficial ownership of Units of the principals of the Managing Owner as of March 15, 2010:

Equinox Fund Management, LLC:

Series of Units	Units Owned	Total Units in Each Series	Percentage Ownership of Each Series
Frontier Diversified Series	8,151	804,211	1.014	%
Frontier Dynamic Series	550	12,003	4.582	%
Frontier Long/Short Commodity Series	9,094	586,623	1.550	%
Frontier Masters Series	4,388	416,556	1.053	%
Balanced Series	18,460	3,034,088	0.608	%
Currency Series	765	108,645	0.704	%
Campbell/Graham/Tiverton Series	1,036	730,462	0.142	%
Long Only Commodity Series	1,479	52,545	2.815	%
Managed Futures Index Series	18,314	47,839	38.283	%
Winton Series	1,499	477,056	0.314	%
Winton/Graham Series	428	522,841	0.082	%
Total of All Series *	64,164	6,791,869	0.945	%

* The Managing Owner is required to maintain at least a 1% interest in the aggregate capital, profits and losses of the Trust. The Managing Owner’s interest of $7,590,255 in the aggregate capital of the Trust of $747,188,607 at March 15, 2010 is 1.016%.

Richard E. Bornhoft:

Series of Units	Units Owned	Total Units in Each Series	Percentage Ownership of Each Series
Frontier Diversified Series	—	804,211	0.000	%
Frontier Dynamic Series	—	12,003	0.000	%
Frontier Long/Short Commodity Series	—	586,623	0.000	%
Frontier Masters Series	—	416,556	0.000	%
Balanced Series	35	3,034,088	0.001	%
Currency Series	—	108,645	0.000	%
Campbell/Graham/Tiverton Series	2	730,462	0.000	%
Long Only Commodity Series	73	52,545	0.139	%
Managed Futures Index Series	—	47,839	0.000	%
Winton Series	—	477,056	0.000	%
Winton/Graham Series	6	522,841	0.001	%
Total of All Series	116	6,791,869	0.002	%

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Item 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS.

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

Item 14. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

The following table sets forth the fees billed to Equinox Fund Management, LLC, the Managing Owner of the Trust, for professional services provided by McGladrey & Pullen, LLP, the Trust’s independent registered public accounting firm, for the years ended December 31, 2009 and 2008. In accordance with the prospectus of the Trust, the Managing Owner has agreed to pay all costs of the Trust, and the Trust therefore bears no direct obligation to its independent registered public accounting firm.

FEE CATEGORY	2009		2008
Audit Fees(1)	$	288,740	$	266,125
Audit-Related Fees(2)	$	79,250	$	22,000
Tax Fees(3)	$	0	$	0
All Other Fees(4)	$	0	$	0
TOTAL FEES	$	367,990	$	288,125

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

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

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

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

The Managing Owner approved all the services provided by McGladrey & Pullen, LLP to the Trust described above. The Managing Owner has determined that the payments made to McGladrey & Pullen, LLP for these services during 2009 and 2008 are compatible with maintaining that firm’s independence. The Managing Owner pre-approves all audit and allowed non-audit services of the Trust’s independent registered public accounting firm, including all engagement fees and terms.

105

Part IV

Item 15. EXHIBITS AND FINANCIAL STATEMENT SCHEDULES

(a)(1) and (2)	The response to these portions of Item 15 is submitted as a separate section of this report commencing on page F-1.
(a)(3)	Exhibits (numbered in accordance with Item 601 of Regulation S-K).
1.1	Form of Selling Agent Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents****
1.2	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents**
1.3	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents***
1.4	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents***
1.5	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents****
1.6	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents****
4.1	Declaration of Trust and Amended and Restated Trust Agreement of the Registrant (annexed to the Prospectus as Exhibit A)****
4.2	Form of Subscription Agreement (annexed to the Prospectus as Exhibit B)****
4.3	Form of Exchange Request (annexed to the Prospectus as Exhibit C)****
4.4	Form of Request for Redemption (annexed to the Prospectus as Exhibit D)****
4.5	Form of Request for Additional Subscription (annexed to the Prospectus as Exhibit E)****
4.6	Form of Application for Transfer of Ownership / Re-registration Form (annexed to the Prospectus as Exhibit F)****
4.7	Form of Privacy Notice (annexed to the Prospectus as Exhibit G)****
10.1	Form of Amended and Restated Escrow Agreement among the Registrant, Equinox Fund Management, LLC, Bornhoft Group Securities Corporation and the U.S. Bank National Association, Denver Colorado***
10.2	Form of Brokerage Agreement between each Trading Company and UBS Securities, LLC*
10.21	Form of Brokerage Agreement between each Trading Company and Banc of America Futures Incorporated*
10.22	Form of Brokerage Agreement between the Managing Owner, acting as agent on behalf of certain Trading Companies, and Deutsche Bank AG London**
10.23	Form of Brokerage Agreement between each Trading Company and Man Financial Inc. ***
10.24	Form of Amendment Agreement between the Managing Owner, acting as agent on behalf of certain Trading Companies, and Deutsche Bank AG London***
10.25	Form of Brokerage Agreement between each Trading Company and Fimat USA, LLC****
10.3	Form of Advisory Agreement among the Registrant, the Trading Company, Equinox Fund Management, LLC, and each Trading Advisor****

106

10.31	Form of International Swaps and Derivatives Association Master Agreement, including all Schedules thereto and the Credit Support Annex thereto entered into for the Long Only Commodity Series of the Registrant***
10.32	Form of License Agreement among Jefferies Financial Products, LLC, Reuters America LLC, the Registrant and Equinox Fund Management, LLC***
10.33	Form of License Agreement among Jefferies Financial Products, the Registrant and Equinox Fund Management, LLC***
10.34	Form of Guaranty made by Jefferies Group, Inc. in favor of Frontier Trading Company VIII, LLC***
10.35	Form of International Swaps and Derivatives Association Master Agreement, including all Schedules thereto and the Credit Support Annex thereto entered into for the Currency Series of the Registrant***
10.36	Form of International Swaps and Derivatives Association Master Agreement, including all Schedules thereto and the Credit Support Annex thereto entered into for the Managed Futures Index Series of the Registrant***
10.37	Form of International Swaps and Derivatives Association Master Agreement, including all Schedules thereto and the Credit Support Annex thereto entered into for the Balanced Series of the Registrant+
10.4	Form of Cash Management Agreement between Equinox Fund Management, LLC and Merrill Lynch**
10.41	Form of Cash Management Agreement between Equinox Fund Management, LLC and STW Fixed Income Management Ltd.***
10.5	Form of single-member limited liability company operating agreement governing each Trading Company***
21.1	Subsidiaries of Registrant. (filed herewith)
23.1	Consent of Independent Registered Public Accounting Firm
23.2	Consent of Independent Registered Public Accounting Firm
31.1	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.2	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
32.1	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)
32.2	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)
32.3	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)
32.4	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)
32.5	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)
32.6	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)

107

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

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

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

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

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

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

108

INDEX TO FINANCIAL STATEMENTS

Report of Independent Registered Public Accounting Firm	F-2
Statements of Financial Condition as of December 31, 2009 and 2008	F-3
Condensed Schedule of Investments as of December 31, 2009	F-7
Condensed Schedule of Investments as of December 31, 2008	F-16
Statements of Operations for the years ended December 31, 2009, 2008 and 2007	F-22
Statements of Changes in Owners’ Capital for the years ended December 31, 2009, 2008 and 2007	F-26
Notes to Financial Statements	F-36

INDEX TO TRADING COMPANY FINANCIAL STATEMENTS(1)

Report of Independent Registered Public Accounting Firm	F-69
Statements of Financial Condition as of December 31, 2009 and 2008	F-70
Condensed Schedule of Investments as of December 31, 2009	F-73
Condensed Schedule of Investments as of December 31, 2008	F-79
Statements of Operations for the years ended December 31, 2009, 2008 and 2007	F-83
Statements of Changes in Members’ Equity for the years ended December 31, 2009, 2008 and 2007	F-86
Notes to Financial Statements	F-89

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

F-1

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Unitholders

The Frontier Fund

We have audited the accompanying statements of financial condition, including the condensed schedules of investments, of the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series, Campbell/Graham/Tiverton Series (formerly Campbell/Graham Series), Currency Series, Long Only Commodity Series, Managed Futures Index Series, Winton Series and the Winton/Graham Series (formerly Graham Series) of The Frontier Fund (collectively, the “Trust”) as of December 31, 2009 and 2008, and the related statements of operations and changes in owners’ capital for each of the three years in the period ended December 31, 2009. These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

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

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series, Campbell/Graham/Tiverton Series (formerly Campbell/Graham Series), Currency Series, Long Only Commodity Series, Managed Futures Index Series, Winton Series and the Winton/Graham Series (formerly Graham Series) of The Frontier Fund as of December 31, 2009 and 2008, and the results of their operations for each of the three years in the period ended December 31, 2009, in conformity with U.S. generally accepted accounting principles.

We were not engaged to examine management’s assessment of the effectiveness of the Trust’s internal control over financial reporting as of December 31, 2009 included in the accompanying Report on Management’s Assessment of Internal Control over Financial Reporting and, accordingly, we do not express an opinion thereon.

/s/ McGladrey & Pullen, LLP

Denver, Colorado

March 22, 2010

F-2

The Frontier Fund

Statements of Financial Condition

December 31, 2009 and December 31, 2008

	Frontier Diversified Series(1)				Frontier Dynamic Series(1)				Frontier Long/Short Commodity Series(2)
	12/31/2009		12/31/2008		12/31/2009		12/31/2008		12/31/2009			12/31/2008
ASSETS
Cash and cash equivalents	$	9,509,091	$	—	$	2,262,363	$	—	$	5,387,525		$	—
U.S. Treasury securities, at fair value		7,765,643		—		2,739,153		—		6,554,990			10,554,571
Custom time deposits		38,386,489		—		13,539,957		—		32,402,086			42,008,320
Certificates of deposit		—		—		—		—		—			10,923,009
Receivable from futures commission merchants		—		—		—		—		23,781,708			—
Open trade equity		—		—		—		—		—			10,753,763
Swap contracts		8,550,639		—		10,027,253		—		—			—
Investments in unconsolidated trading companies		3,966,809		—		—		—		1,357,682			—
Prepaid service fees—Class 1		424,337		—		180		—		60,881			266,272
Interest receivable		107,790		—		38,020		—		90,985			159,949
Receivable from related parties		279,820		—		30		—		—			9,162
Other assets		—		—		—		—		—			11,333
Total Assets	$	68,990,618	$	—	$	28,606,956	$	—	$	69,635,857		$	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		—		—		—		—		518,490			—
Inter-series payables		10,962,073		—		27,676,116		—		—			—
Pending owner additions		1,461,241		—		—		—		—			129,636
Owner redemptions payable		—		—		—		—		212			—
Incentive fees payable to Managing Owner		132,434		—		—		—		278,267			39,178
Management fees payable to Managing Owner		28,225		—		—		—		144,346			21,889
Interest payable to Managing Owner		12,179		—		4,048		—		9,939			329
Trading fees payable to Managing Owner		73,768		—		28,591		—		15,480			2,699
Trailing service fees payable to Managing Owner		607		—		—		—		63,507			5,319
Payables to related parties		—		—		—		—		35,524			249,809
Other liabilities		3,972		—		1,284		—		2,961			16,172
Total Liabilities		12,674,499		—		27,710,039		—		1,068,726			6,829,928
OWNERS’ CAPITAL
Non-Controlling Interests		—		—		—		—		(286,801	)		10,124,156
Managing Owner Units—Class 1		26,621		—		25,142		—		—			—
Managing Owner Units—Class 1a		—		—		—		—		27,911			—
Managing Owner Units—Class 2		543,790		—		25,370		—		1,089,327			933,708
Managing Owner Units—Class 2a		—		—		—		—		28,183			—
Limited Owner Units—Class 1		32,933,919		—		581,113		—		45,759,225			46,525,406
Limited Owner Units—Class 1a		—		—		—		—		1,064,105			—
Limited Owner Units—Class 2		22,811,789		—		265,292		—		13,896,776			10,273,181
Limited Owner Units—Class 2a		—		—		—		—		848,349			—
Limited Owner Units—Class 3		—		—		—		—		6,140,056			—
Total Owners’ Capital		56,316,119		—		896,917		—		68,567,131			67,856,451
Total Liabilities and Owners’ Captial	$	68,990,618	$	—	$	28,606,956	$	—	$	69,635,857		$	74,686,379
Units Outstanding
Class 1		340,489		—		6,631		—		402,206			463,448
Class 1a		N/A		N/A		N/A		N/A		10,759			N/A
Class 2		238,874		—		3,151		—		117,544			102,552
Class 2a		N/A		N/A		N/A		N/A		8,553			N/A
Class 3		N/A		N/A		N/A		N/A		48,162			N/A
Net Asset Value per Unit
Class 1	$	96.80		N/A	$	91.43		N/A	$	113.77		$	100.39
Class 1a		N/A		N/A		N/A		N/A	$	101.49			N/A
Class 2	$	97.77		N/A	$	92.25		N/A	$	127.49		$	109.28
Class 2a		N/A		N/A		N/A		N/A	$	102.48			N/A
Class 3		N/A		N/A		N/A		N/A	$	127.49			N/A

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

(2) The Frontier Long/Short Commodity Class 3 Units began trading on May 29, 2009 and the Class 1a and 2a Units began trading on June 8, 2009.

The accompanying notes are an integral part of these financial statements.

F-3

The Frontier Fund

Statements of Financial Condition

December 31, 2009 and December 31, 2008

	Frontier Masters Series(1)				Balanced Series(2)				Campbell/Graham/ Tiverton Series
	12/31/2009		12/31/2008		12/31/2009		12/31/2008		12/31/2009		12/31/2008
ASSETS
Cash and cash equivalents	$	5,976,679	$	—	$	24,729,568	$	17,181,551	$	5,851,963	$	4,943,881
U.S. Treasury securities, at fair value		3,383,444		—		31,833,998		43,042,540		7,367,693		9,371,661
Custom time deposits		16,724,760		—		157,359,203		104,125,017		36,419,374		39,748,693
Certificates of deposit		—		—		—		34,091,481		—		12,866,065
Receivable from futures commission merchants		—		—		71,161,299		37,015,384		—		5,221,709
Open trade equity		—		—		10,933,646		23,149,527		—		—
Swap contracts		15,972,156		—		41,020,535		53,072,356		—		—
Investments in unconsolidated trading companies		1,282,798		—		303,102		19,528,370		30,057,520		8,559,112
Inter-series receivables		—		—		69,089,082		14,679,460		—		—
Prepaid service fees—Class 1		167,524		—		487,875		793,431		65,009		180,639
Interest receivable		46,963		—		441,867		492,171		102,266		112,684
Receivable from related parties		179,715		—		296,789		213,555		200		—
Other assets		—		—		—		55,234		—		—
Total Assets	$	43,734,039	$	—	$	407,656,964	$	347,440,077	$	79,864,025	$	81,004,444
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Open trade deficit	$	—	$	—	$	—	$	—	$	—	$	111,526
Inter-series payables		18,184,135		—		—		—		—		—
Pending owner additions		2,182,469		—		—		1,966,385		—		136,277
Owner redemptions payable		—		—		667,616		287,672		—		—
Incentive fees payable to Managing Owner		—		—		1,306,596		1,857,583		—		488,067
Management fees payable to Managing Owner		29,929		—		208,736		16,398		94,011		25,665
Interest payable to Managing Owner		6,094		—		74,715		63,212		58,113		16,616
Trading fees payable to Managing Owner		40,976		—		103,317		21,319		17,084		5,334
Trailing service fees payable to Managing Owner		1,313		—		85,599		60,329		86,041		23,635
Payables to related parties		—		—		270,000		14,451		245,936		27,118
Other liabilities		1,936		—		5,689		139,642		480		14,050
Total Liabilities		20,446,852		—		2,722,268		4,426,991		501,665		848,288
OWNERS’ CAPITAL
Non-Controlling Interests		—		—		27,918,797		9,330,079		—		2,391,227
Managing Owner Units—Class 1		25,977		—		—		—		—		—
Managing Owner Units—Class 1a		—		—		—		224		—		—
Managing Owner Units—Class 2		210,351		—		3,697,180		3,612,130		125,510		302,878
Managing Owner Units—Class 2a		—		—		145,517		120,378		—		—
Limited Owner Units—Class 1		14,697,353		—		286,024,307		256,550,829		69,447,366		69,957,155
Limited Owner Units—Class 1a		—		—		9,150,114		8,135,941		—		—
Limited Owner Units—Class 2		8,353,506		—		73,674,986		63,497,532		9,789,484		7,504,896
Limited Owner Units—Class 2a		—		—		3,153,049		1,765,973		—		—
Limited Owner Units—Class 3a		—		—		1,170,746		—		—		—
Total Owners’ Capital		23,287,187		—		404,934,696		343,013,086		79,362,360		80,156,156
Total Liabilities and Owners’ Captial	$	43,734,039	$	—	$	407,656,964	$	347,440,077	$	79,864,025	$	81,004,444
Units Outstanding
Class 1		155,864		—		2,412,953		2,049,590		663,631		632,847
Class 1a		N/A		N/A		86,734		72,586		N/A		N/A
Class 2		89,793		—		556,577		471,143		81,877		62,893
Class 2a		N/A		N/A		28,048		15,552		N/A		N/A
Class 3a		N/A		N/A		9,955		—		N/A		N/A
Net Asset Value per Unit
Class 1	$	94.46		N/A	$	118.54	$	125.17	$	104.65	$	110.54
Class 1a		N/A		N/A	$	105.50	$	112.09		N/A		N/A
Class 2	$	95.37		N/A	$	139.01	$	142.44	$	121.10	$	124.14
Class 2a		N/A		N/A	$	117.60	$	121.30		N/A		N/A
Class 3a		N/A		N/A	$	117.60		N/A		N/A		N/A

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

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

The accompanying notes are an integral part of these financial statements.

F-4

The Frontier Fund

Statements of Financial Condition

December 31, 2009 and December 31, 2008

	Currency Series				Long Only Commodity Series				Managed Futures Index Series
	12/31/2009		12/31/2008		12/31/2009		12/31/2008		12/31/2009		12/31/2008
ASSETS
Cash and cash equivalents	$	2,043,698	$	—	$	691,771	$	—	$	332,007	$	400,351
U.S. Treasury securities, at fair value		2,514,501		3,770,011		571,339		1,241,289		417,851		140,111
Custom time deposits		12,429,474		12,616,208		2,824,195		2,425,332		2,065,485		1,630,221
Certificates of deposit		—		3,506,438		—		440,781		—		488,470
Receivable from futures commission merchants		489,483		670,927		—		—		—		—
Open trade equity		19,464		12,810		—		—		—		—
Swap Contracts		4,992,959		9,122,121		584,391		836,554		—		—
Investments in unconsolidated trading companies		—		—		—		—		975,271		770,967
Prepaid service fees—Class 1		2,852		33,974		1,065		11,435		3,342		8,848
Interest receivable		34,902		83,036		7,930		18,659		5,800		2,502
Receivable from related parties		—		444		—		63,133		98		—
Other assets		—		12,627		—		95		—		1,220
Total Assets	$	22,527,333	$	29,828,596	$	4,680,691	$	5,037,278	$	3,799,854	$	3,442,690
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Payable to other Series	$	—	$	279,582	$	—	$	983,248	$	—	$	—
Inter-series payables		12,266,758		14,679,460		—		—		—		—
Pending owner additions		—		10,000		—		—		—		30,000
Owner redemptions payable		—		—		—		—		—		—
Incentive fees payable to Managing Owner		—		—		—		—		—		—
Management fees payable to Managing Owner		8,537		2,260		4,891		4,167		7,105		5,102
Interest payable to Managing Owner		14,271		4,708		1,913		1,493		1,405		1,318
Trading fees payable to Managing Owner		5,570		2,039		1,904		1,665		1,636		1,276
Trailing service fees payable to Managing Owner		13,629		1,235		5,301		3,943		2,083		1,597
Payables to related parties		10,004		2,527		152		—		14,235		346
Other liabilities		436		—		205		289		181		—
Total Liabilities		12,319,205		14,981,811		14,366		994,805		26,645		39,639
OWNERS’ CAPITAL
Managing Owner Units—Class 2		574,384		687,357		133,513		110,092		259,205		77,559
Limited Owner Units—Class 1		7,934,382		11,900,185		3,711,581		3,254,226		1,831,435		2,266,977
Limited Owner Units—Class 2		1,699,362		2,259,243		821,231		678,155		1,682,569		1,058,515
Total Owners’ Capital		10,208,128		14,846,785		4,666,325		4,042,473		3,773,209		3,403,051
Total Liabilities and Owners’ Capital	$	22,527,333	$	29,828,596	$	4,680,691	$	5,037,278	$	3,799,854	$	3,442,690
Units Outstanding
Class 1		101,722		123,719		44,405		46,285		16,274		17,151
Class 2		24,894		26,959		10,574		10,587		16,011		8,132
Net Asset Value per Unit
Class 1	$	78.00	$	96.19	$	83.59	$	70.31	$	112.54	$	132.18
Class 2	$	91.34	$	109.30	$	90.30	$	74.46	$	121.28	$	139.70

The accompanying notes are an integral part of these financial statements.

F-5

The Frontier Fund

Statements of Financial Condition

December 31, 2009 and December 31, 2008

	Winton Series				Winton/Graham Series
	12/31/2009		12/31/2008		12/31/2009		12/31/2008
ASSETS
Cash and cash equivalents	$	5,299,857	$	1,283,671	$	6,159,468	$	10,000,528
U.S. Treasury securities, at fair value		7,125,185		12,899,592		7,598,224		1,424,286
Custom time deposits		35,220,629		45,207,225		37,558,918		26,043,287
Certificates of deposit		—		14,085,571		—		8,675,748
Receivable from futures commission merchants		—		9,653,595		13,010,250		—
Open trade equity		—		2,158,369		810,189		—
Investments in unconsolidated trading companies		11,033,691		—		2,889,071		4,342,658
Prepaid service fees—Class 1		—		89,142		105,448		365,708
Interest receivable		98,900		54,314		105,466		157,574
Receivable from related parties		—		64,844		470		20,000
Other assets		—		—		—		—
Total Assets	$	58,778,262	$	85,496,323	$	68,237,504	$	51,029,789
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Pending owner additions	$	—	$	—	$	—	$	710,128
Owner redemptions payable		—		—		—		—
Incentive fees payable to Managing Owner		—		—		—		76,168
Management fees payable to Managing Owner		63,259		17,845		79,384		12,020
Interest payable to Managing Owner		51,341		12,314		54,167		15,101
Trading fees payable to Managing Owner		13,271		4,462		12,080		2,204
Trailing service fees payable		74,866		17,576		52,712		5,634
Payables to related parties		172,556		25,597		3,800		5,124
Other liabilities		790		35,858		903		8,181
Total Liabilities		376,083		113,652		203,046		834,560
OWNERS’ CAPITAL
Non-Controlling Interests		—		11,355,645		7,343,585		—
Managing Owner Units—Class 1		—		1,304		—		—
Managing Owner Units—Class 2		455,282		277,935		54,990		56,315
Limited Owner Units—Class 1		48,198,317		62,282,355		48,168,395		35,760,835
Limited Owner Units—Class 2		9,748,580		11,465,432		12,467,488		14,378,079
Total Owners’ Capital		58,402,179		85,382,671		68,034,458		50,195,229
Total Liabilities and Owners’ Capital	$	58,778,262	$	85,496,323	$	68,237,504	$	51,029,789
Units Outstanding
Class 1		409,951		477,605		437,653		307,804
Class 2		78,429		83,855		97,534		109,779
Net Asset Value per Unit
Class 1	$	117.57	$	130.41	$	110.06	$	116.18
Class 2	$	130.10	$	140.04	$	128.39	$	131.49

The accompanying notes are an integral part of these financial statements.

F-6

The Frontier Fund

Condensed Schedule of Investments

December 31, 2009

	Description	Frontier Diversified Series				Frontier Dynamic Series				Frontier Long/Short Commodity Series					Frontier Masters 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	%	$	(156,407	)	-0.23	%	$	—	0.00	%
	Silver @ Comex Settling 5/1/2010 (Number of Contracts: 500)		—	0.00	%		—	0.00	%		1,090,000		1.59	%
	Various base metals futures contracts (Europe)		—	0.00	%		—	0.00	%		1,150,643		1.68	%		—	0.00	%
	Various currency futures contracts (U.S.)		—	0.00	%		—	0.00	%		(6,050	)	-0.01	%		—	0.00	%
	Various currency futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
	Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		(39,963	)	-0.06	%		—	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	%		(2,068,184	)	-3.02	%		—	0.00	%
	Crude Oil, Light Settling 3/1/2010 (Number of Contracts: 1,281)		—	0.00	%		—	0.00	%		3,305,111		4.82	%		—	0.00	%
	Natural Gas Settling 5/1/2010 (Number of Contracts: 699)		—	0.00	%		—	0.00	%		(1,204,616	)	-1.76	%		—	0.00	%
	Various energy futures contracts (Europe)		—	0.00	%		—	0.00	%		23,935		0.03	%		—	0.00	%
	Various interest rates futures contracts (U.S.)		—	0.00	%		—	0.00	%		(159,796	)	-0.23	%		—	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	%		(228,947	)	-0.33	%		—	0.00	%
	Various interest rates futures contracts (Far East)		—	0.00	%		—	0.00	%		52,229		0.08	%		—	0.00	%
	Various precious metals futures contracts (U.S.)		—	0.00	%		—	0.00	%		(269,865	)	-0.39	%		—	0.00	%
	Various precious metals futures contracts (Europe)		—	0.00	%		—	0.00	%		15		0.00	%		—	0.00	%
	Various soft futures contracts (U.S.)		—	0.00	%		—	0.00	%		495,577		0.72	%		—	0.00	%
	Coffee @ CSCE Settling 12/1/2010 (Number of Contracts: 2,014)		—	0.00	%		—	0.00	%		(5,962,294	)	-8.70	%		—	0.00	%
	Coffee @ CSCE Settling 9/1/2010 (Number of Contracts: 1,703)		—	0.00	%		—	0.00	%		(6,875,963	)	-10.03	%		—	0.00	%
	Various soft futures contracts (Far East)		—	0.00	%		—	0.00	%		8,290		0.01	%		—	0.00	%
	Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		5,313		0.01	%		—	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	%		111,835		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	%		(7,766	)	-0.01	%		—	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	%	$	(10,736,903	)	-15.66	%	$	—	0.00	%
LONG OPTIONS*		$	—	0.00	%	$	—	0.00	%	$	(205,075	)	-0.30	%	$	—	0.00	%

F-7

The Frontier Fund

Condensed Schedule of Investments

December 31, 2009

	Description	Frontier Diversified Series				Frontier Dynamic Series				Frontier Long/Short Commodity Series					Frontier Masters Series
		Value		% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value		Value		% of Net Asset Value
SHORT FUTURES CONTRACTS
	Various base metals futures contracts (U.S.)	$	—	0.00	%	$	—	0.00	%	$	(13,613	)	-0.02	%	$	—	0.00	%
	Silver @ Comex Settling 3/1/2010 (Number of Contracts: 500)		—	0.00	%		—	0.00	%		(1,075,000	)	-1.57	%
	Various base metals futures contracts (Europe)		—	0.00	%		—	0.00	%		(799,966	)	-1.17	%		—	0.00	%
	Various currency futures contracts (U.S.)		—	0.00	%		—	0.00	%		5,488		0.01	%		—	0.00	%
	Various currency futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
	Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		10,638		0.02	%		—	0.00	%
	Various currency futures contracts (Far East)		—	0.00	%		—	0.00	%		21,703		0.03	%		—	0.00	%
	Various energy futures contracts (U.S.)		—	0.00	%		—	0.00	%		694,557		1.01	%		—	0.00	%
	Crude Oil, Light Settling 2/1/2010 (Number of Contracts: 650)		—	0.00	%		—	0.00	%		(1,812,713	)	-2.64	%		—	0.00	%
	Crude Oil, Light Settling 4/1/2010 (Number of Contracts: 613)		—	0.00	%		—	0.00	%		(1,370,558	)	-2.00	%		—	0.00	%
	Natural Gas Settling 4/1/2010 (number of Contracts: 747)		—	0.00	%		—	0.00	%		1,627,470		2.37	%		—	0.00	%
	Natural Gas Settling 5/1/2010 (number of Contracts: 1,387)		—	0.00	%		—	0.00	%		941,441		1.37	%		—	0.00	%
	Various energy futures contracts (Europe)		—	0.00	%		—	0.00	%		(69,230	)	-0.10	%		—	0.00	%
	Various interest rates futures contracts (US)		—	0.00	%		—	0.00	%		361,042		0.53	%		—	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	%		(1,126,898	)	-1.64	%		—	0.00	%
	Coffee @ CSCE Settling 3/1/2010 (Number of Contracts: 2,562)		—	0.00	%		—	0.00	%		7,791,994		11.36	%		—	0.00	%
	Coffee @ CSCE Settling 5/1/2010 (Number of Contracts: 456)		—	0.00	%		—	0.00	%		2,061,450		3.01	%		—	0.00	%
	Coffee @ CSCE Settling 7/1/2010 (Number of Contracts: 718)		—	0.00	%		—	0.00	%		3,021,281		4.41	%		—	0.00	%
	Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		5,063		0.01	%		—	0.00	%
	Various stock index futures contracts (U.S.)		—	0.00	%		—	0.00	%		(16,665	)	-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	%		(1,461	)	0.00	%		—	0.00	%

F-8

The Frontier Fund

Condensed Schedule of Investments

December 31, 2009

	Description	Frontier Diversified Series				Frontier Dynamic Series				Frontier Long/Short Commodity Series					Frontier Masters Series
		Value		% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value		Value		% of Net Asset Value
	Total Short Futures Contracts	$	—	0.00	%	$	—	0.00	%	$	10,256,023		14.96	%	$	—	0.00	%
SHORT OPTIONS*		$	—	0.00	%	$	—	0.00	%	$	167,465		0.24	%	$	—	0.00	%
CURRENCY FORWARDS*		$	—	0.00	%	$	—	0.00	%	$	—		0.00	%	$	—	0.00	%
	Total Open Trade Equity	$	—	0.00	%	$	—	0.00	%	$	(518,490	)	-0.76	%	$	—	0.00	%
SWAPS(1)		$	8,550,639	15.18	%	$	10,027,253	1117.97	%	$	—		0.00	%	$	15,972,156	68.59	%
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)		3,875,920	6.88	%		1,367,142	152.43	%		3,271,669		4.77	%		1,688,715	7.25	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039)(2)		3,889,723	6.91	%		1,372,011	152.97	%		3,283,321		4.79	%		1,694,729	7.28	%
		$	7,765,643	13.79	%	$	2,739,153	305.40	%	$	6,554,990		9.56	%	$	3,383,444	14.53	%
Additional Disclosure on U.S. Government Securities		Face Value				Face Value				Face Value					Face Value
	US Treasury Note 3.875% due 02/15/2013		3,639,895				1,283,890				3,072,440					1,585,880
	US Treasury Note 4.000% due 02/15/2015		3,659,840				1,290,925				3,089,276					1,594,570
		$	7,299,735			$	2,574,815			$	6,161,716				$	3,180,450
		Cost				Cost				Cost					Cost
	US Treasury Note 3.875% due 02/15/2013		3,801,984				1,341,063				3,209,260					1,656,502
	US Treasury Note 4.000% due 02/15/2015		3,791,079				1,337,216				3,200,055					1,651,750
		$	7,593,063			$	2,678,279			$	6,409,315				$	3,308,252

* 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.

The accompanying notes are an integral part of these statements.

F-9

The Frontier Fund

Condensed Schedule of Investments

December 31, 2009

		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.)	$	(102,978	)	-0.03	%	$	—	0.00	%	$	—	0.00	%	$	—	0.00	%
	Various base metals futures contracts (Europe)		22,207,995		5.48	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various currency futures contracts (U.S.)		81,706		0.02	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various currency futures contracts (Canada)		—		0.00	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various currency futures contracts (Europe)		(97,838	)	-0.02	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various currency futures contracts (Far East)		32,904		0.01	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various energy futures contracts (U.S.)		572,173		0.14	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various energy futures contracts (Europe)		155,870		0.04	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various interest rates futures contracts (U.S.)		(794,718	)	-0.20	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various interest rates futures contracts (Canada)		(31,250	)	-0.01	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various interest rates futures contracts (Europe)		(477,750	)	-0.12	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various interest rates futures contracts (Far East)		24,871		0.01	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various precious metals futures contracts (U.S.)		(209,115	)	-0.05	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various precious metals futures contracts (Europe)		19,570		0.00	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various soft futures contracts (U.S.)		913,853		0.23	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various soft futures contracts (Far East)		389,458		0.10	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various soft futures contracts (Europe)		4,769		0.00	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various soft futures contracts (Canada)		—		0.00	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various stock index futures contracts (U.S.)		1,067,750		0.26	%		—	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)		241,919		0.06	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various stock index futures contracts (Far East)		183,153		0.05	%		—	0.00	%		—	0.00	%		—	0.00	%
	Total Long Futures Contracts	$	24,182,342		5.97	%	$	—	0.00	%	$	—	0.00	%	$	—	0.00	%
LONG OPTIONS*		$	(1,304,319	)	-0.32	%	$	—	0.00	%	$	—	0.00	%	$	—	0.00	%

F-10

The Frontier Fund

Condensed Schedule of Investments

December 31, 2009

		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
SHORT FUTURES CONTRACTS*
	Various base metals futures contracts (U.S.)	$	(170,634	)	-0.04	%	$	—	0.00	%	$	—	0.00	%	$	—	0.00	%
	Various base metals futures contracts (Europe)		5,803,306		1.43	%		—	0.00	%		—	0.00	%		—	0.00	%
	Copper @ LME Settling 3/17/2010 (Number of Contracts: 744)		(14,032,634	)	-3.47	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various currency futures contracts (US)		(41,610	)	-0.01	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various currency futures contracts (Canada)		—		0.00	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various currency futures contracts (Europe)		934,027		0.23	%		—	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.)		(798,293	)	-0.20	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various energy futures contracts (Europe)		(203,350	)	-0.05	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various interest rates futures contracts (U.S.)		553,520		0.14	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various interest rates futures contracts (Canada)		(3,329	)	0.00	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various interest rates futures contracts (Europe)		1,038,814		0.26	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various interest rates futures contracts (Far East)		59,775		0.01	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various precious metals futures contracts (U.S.)		3,503,876		0.87	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various precious metals futures contracts (Europe)		(4,850,464	)	-1.20	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various soft futures contracts (U.S.)		68,903		0.02	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various soft futures contracts (Canada)		—		0.00	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various soft futures contracts (Europe)		(568,685	)	-0.14	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various stock index futures contracts (U.S.)		5,095		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)		(11,061	)	0.00	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various stock index futures contracts (Far East)		(282,798	)	-0.07	%		—	0.00	%		—	0.00	%		—	0.00	%
	Total Short Futures Contracts	$	(8,995,542	)	-2.22	%	$	—	0.00	%	$	—	0.00	%	$	—	0.00	%
SHORT OPTIONS*		$	(394,585	)	-0.10	%	$	—	0.00	%	$	201	0.00	%	$	—	0.00	%
CURRENCY FORWARDS*		$	(2,554,250	)	-0.63	%	$	—	0.00	%	$	19,263	0.19	%	$	—	0.00	%
	Total Open Trade Equity	$	10,933,646		2.70	%	$	—	0.00	%	$	19,464	0.19	%	$	—	0.00	%
SWAPS(1)		$	41,020,535		10.13	%	$	—	0.00	%	$	4,992,959	48.91	%	$	584,391	12.52	%

F-11

The Frontier Fund

Condensed Schedule of Investments

December 31, 2009

		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
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)		15,888,706	3.92	%		3,677,298	4.63	%		1,255,016	12.29	%		285,162	6.11	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039)(2)		15,945,292	3.94	%		3,690,395	4.65	%		1,259,485	12.34	%		286,177	6.13	%
		$	31,833,998	7.86	%	$	7,367,693	9.28	%	$	2,514,501	24.63	%	$	571,339	12.24	%
Additional Disclosure on U.S. Government Securities		Face Value				Face Value				Face Value				Face Value
	US Treasury Note 3.875% due 02/15/2013		14,921,160				3,453,369				1,178,591				267,797
	US Treasury Note 4.000% due 02/15/2015		15,002,920				3,472,291				1,185,049				269,264
		$	29,924,080			$	6,925,660			$	2,363,640			$	537,061
		Cost				Cost				Cost				Cost
	US Treasury Note 3.875% due 02/15/2013		15,585,618				3,607,152				1,231,075				279,722
	US Treasury Note 4.000% due 02/15/2015		15,540,915				3,596,805				1,227,544				278,920
		$	31,126,533			$	7,203,957			$	2,458,619			$	558,642

* 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

The accompanying notes are an integral part of these financial statements.

F-12

The Frontier Fund

Condensed Schedule of Investments

December 31, 2009

	Description	Managed Futures Index Series				Winton Series				Winton/Graham Series
		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	%	$	1,403		0.00	%
	Various base metals futures contracts (Europe)		—	0.00	%		—	0.00	%		1,132,371		1.66	%
	Various currency futures contracts (U.S.)		—	0.00	%		—	0.00	%		(60	)	0.00	%
	Various currency futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		(49,882	)	-0.07	%
	Various currency futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%
	Various energy futures contracts (U.S.)		—	0.00	%		—	0.00	%		78,236		0.11	%
	Various energy futures contracts (Europe)		—	0.00	%		—	0.00	%		46,060		0.07	%
	Various interest rates futures contracts (U.S.)		—	0.00	%		—	0.00	%		(738	)	0.00	%
	Various interest rates futures contracts (Canada)		—	0.00	%		—	0.00	%		(22,874	)	-0.03	%
	Various interest rates futures contracts (Europe)		—	0.00	%		—	0.00	%		(404,032	)	-0.59	%
	Various interest rates futures contracts (Far East)		—	0.00	%		—	0.00	%		9,295		0.01	%
	Various precious metals futures contracts (U.S.)		—	0.00	%		—	0.00	%		(62,250	)	-0.09	%
	Various soft futures contracts (U.S.)		—	0.00	%		—	0.00	%		213,979		0.31	%
	Various soft futures contracts (Far East)		—	0.00	%		—	0.00	%		39,774		0.06	%
	Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%
	Various soft futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%
	Various stock index futures contracts (U.S.)		—	0.00	%		—	0.00	%		(52,431	)	-0.08	%
	Various stock index futures contracts (Canada)		—	0.00	%		—	0.00	%		17,967		0.03	%
	Various stock index futures contracts (Europe)		—	0.00	%		—	0.00	%		17,477		0.03	%
	Various stock index futures contracts (Far East)		—	0.00	%		—	0.00	%		94,269		0.14	%
	Total Long Futures Contracts	$	—	0.00	%	$	—	0.00	%	$	1,058,564		1.56	%
LONG OPTIONS*		$	—	0.00	%	$	—	0.00	%	$	—		0.00	%

F-13

The Frontier Fund

Condensed Schedule of Investments

December 31, 2009

	Description	Managed Futures Index Series				Winton Series				Winton/Graham Series
		Value		% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value
SHORT FUTURES CONTRACTS
	Various base metals futures contracts (U.S.)	$	—	0.00	%	$	—	0.00	%	$	7,800		0.01	%
	Various base metals futures contracts (Europe)		—	0.00	%		—	0.00	%		(508,727	)	-0.75	%
	Various currency futures contracts (U.S.)		—	0.00	%		—	0.00	%		4,708		0.01	%
	Various currency futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		(1,907	)	0.00	%
	Various currency futures contracts (Far East)		—	0.00	%		—	0.00	%		(3,276	)	0.00	%
	Various energy futures contracts (U.S.)		—	0.00	%		—	0.00	%		18,764		0.03	%
	Various interest rates futures contracts (US)		—	0.00	%		—	0.00	%		—		0.00	%
	Various interest rates futures contracts (Canada)		—	0.00	%		—	0.00	%		—		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	%		35,289		0.05	%
	Various precious metals futures contracts (U.S.)		—	0.00	%		—	0.00	%		—		0.00	%
	Various soft futures contracts (U.S.)		—	0.00	%		—	0.00	%		16,048		0.02	%
	Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%
	Various stock index futures contracts (U.S.)		—	0.00	%		—	0.00	%		(2,250	)	0.00	%
	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	%	$	(433,551	)	-0.64	%
SHORT OPTIONS*		$	—	0.00	%	$	—	0.00	%	$	—		0.00	%
CURRENCY FORWARDS*		$	—	0.00	%	$	—	0.00	%	$	185,176		0.27	%
	Total Open Trade Equity	$	—	0.00	%	$	—	0.00	%	$	810,189		1.19	%
SWAPS(1)		$	—	0.00	%	$	—	0.00	%	$	—		0.00	%

F-14

The Frontier Fund

Condensed Schedule of Investments

December 31, 2009

	Description	Managed Futures Index Series				Winton Series				Winton/Graham Series
		Value		% of Net Asset Value		Value		% of Net Asset Value		Value		% of Net Asset Value
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)(2)		208,554	5.53	%		3,556,260	6.09	%		3,792,359	5.57	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039)(2)		209,297	5.55	%		3,568,925	6.11	%		3,805,865	5.59	%
		$	417,851	11.08	%	$	7,125,185	12.20	%	$	7,598,224	11.16	%
Additional Disclosure on U.S. Government Securities		Face Value				Face Value				Face Value
	US Treasury Note 3.875% due 02/15/2013		195,854				3,339,701				3,561,423
	US Treasury Note 4.000% due 02/15/2015		196,927				3,358,001				3,580,937
		$	392,781			$	6,697,702			$	7,142,360
		Cost				Cost				Cost
	US Treasury Note 3.875% due 02/15/2013		204,576				3,488,422				3,720,017
	US Treasury Note 4.000% due 02/15/2015		203,989				3,478,416				3,709,347
		$	408,565			$	6,966,838			$	7,429,364

* 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

The accompanying notes are an integral part of these financial statements.

F-15

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	%

F-16

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
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	)	-0.11	%	$	—	0.00	%
SHORT OPTIONS*		$	(3,378,636	)	-1.01	%	$	—		0.00	%	$	—		0.00	%	$	—	0.00	%
CURRENCY FORWARDS*		$	486,511		0.11	%	$	—		0.00	%	$	(161,245	)	0.20	%	$	12,810	0.09	%
	Total Open Trade Equity	$	23,149,527		6.90	%	$	2,158,369		2.92	%	$	(111,526	)	-0.14	%	$	12,810	0.09	%
SWAPS(1)		$	53,072,356		15.91	%	$	—		0.00	%	$	—		0.00	%	$	9,122,121	62.73	%

F-17

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
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	%
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

* 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 financial statements.

F-18

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	%	$	1,180,973		2.05	%	$	—	0.00	%
LONG OPTIONS*		$	—	0.00	%	$	—	0.00	%		285,120		0.49	%	$	—	0.00	%

F-19

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
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	%
CURRENCY FORWARDS*		$	—	0.00	%	$	—	0.00	%	$	—		0.00	%	$	—	0.00	%
	Total Open Trade Equity	$	—	0.00	%	$	—	0.00	%	$	10,753,763		18.63	%	$	—	0.00	%
SWAPS(1)		$	—	0.00	%	$	836,554	20.69	%	$	—		0.00	%	$	—	0.00	%

F-20

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
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	%
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

* 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 financial statements.

F-21

The Frontier Fund

Statements of Operations

For the Years Ended December 31, 2009, 2008 and 2007

	Frontier Diversified Series(1)			Frontier Dynamic Series(1)			Frontier Long/Short Commodity Series(2)
	12/31/2009			12/31/2009			12/31/2009			12/31/2008			12/31/2007
Investment Income:
Interest—net	$	489,238		$	269,363		$	1,213,141		$	921,454		$	1,051,098
Total Income		489,238			269,363			1,213,141			921,454			1,051,098
Expenses:
Incentive Fees		299,318			—			2,135,357			1,569,879			728,853
Management Fees		189,654			—			2,923,989			1,703,437			1,027,170
Service Fees—Class 1		179,789			43,521			1,437,570			1,327,950			800,073
Trading Fees		656,932			391,638			350,577			243,105			140,750
Total Expenses		1,325,693			435,159			6,847,493			4,844,371			2,696,846
Investment gain/(loss)—net		(836,455	)		(165,796	)		(5,634,352	)		(3,922,917	)		(1,645,748	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		—			—			60,288,927			(18,291,792	)		15,057,205
Net change in open trade equity		—			—			(28,316,249	)		31,013,453			(14,220,168	)
Net unrealized gain/(loss) on swap contracts		(1,707,778	)		(2,247,497	)		—			—			—
Net realized gain on U.S. Treasury Securities		—			—			—			228,920			—
Net unrealized gain/(loss) on U.S. Treasury Securities		32,581			52,757			(358,065	)		712,591			—
Trading commissions		—			—			(3,052,293	)		(1,075,686	)		(1,070,911	)
Earnings on inter-series payables		37,927			2,323,884			—			—			—
Equity in earnings/(loss) from unconsolidated trading companies		1,166,809			—			357,682			—			—
Net gain/(loss) on investments		(470,461	)		129,144			28,920,002			12,587,486			(233,874	)
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	(1,306,916	)	$	(36,652	)	$	23,285,650		$	8,664,569		$	(1,879,622	)
Less: Operations attributable to Non-controlling interests		—			—			14,758,299			11,001,043			(2,311,769	)
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(1,306,916	)	$	(36,652	)	$	8,527,351		$	(2,336,474	)	$	432,147
NET INCOME/(LOSS) PER UNIT
Class 1	$	(3.20	)	$	(8.57	)	$	13.38		$	(1.08	)	$	1.05
Class 1a		N/A			N/A		$	1.49			N/A			N/A
Class 2	$	(2.23	)	$	(7.75	)	$	18.21		$	2.09		$	4.26
Class 2a		N/A			N/A		$	2.48			N/A			N/A
Class 3		N/A			N/A		$	4.79			N/A			N/A

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

(2) Frontier Long/Short Commodity Series Class 3 Units began trading on May 29, 2009 and Class 1a and 2a Units began trading on June 8, 2009

The accompanying notes are an integral part of these financial statements.

F-22

The Frontier Fund

Statements of Operations

For the Years Ended December 31, 2009, 2008 and 2007

	Frontier Masters Series(1)			Balanced Series(2)									Campbell/Graham/Tiverton Series
	12/31/2009			12/31/2009			12/31/2008			12/31/2007			12/31/2009			12/31/2008			12/31/2007
Investment Income:
Interest—net	$	292,218		$	901,710		$	1,613,778		$	6,823,418		$	293,910		$	331,073		$	1,614,470
Total Income		292,218			901,710			1,613,778			6,823,418			293,910			331,073			1,614,470
Expenses:
Incentive Fees		9,073			7,386,253			14,614,847			9,634,890			222,963			2,999,275			1,025,208
Management Fees		336,955			1,555,348			1,429,568			1,463,113			2,291,126			1,818,096			1,351,587
Service Fees—Class 1		95,272			9,120,995			6,607,802			6,903,826			2,148,431			1,793,780			1,592,284
Trading Fees		444,862			1,937,150			1,958,781			1,653,104			421,502			401,798			377,049
Total Expenses		886,162			19,999,746			24,610,998			19,654,933			5,084,022			7,012,949			4,346,128
Investment gain/(loss)—net		(593,944	)		(19,098,036	)		(22,997,220	)		(12,831,515	)		(4,790,112	)		(6,681,876	)		(2,731,658	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		—			24,948,863			33,159,098			18,024,499			(1,617,478	)		(16,480,430	)		1,718,484
Net realized gain/(loss) on swap contracts		—			—			361,511			1,674,698			—			—			—
Net change in open trade equity		—			(17,024,041	)		31,443,123			(5,946,236	)		(760,231	)		30,023,621			(341,386	)
Net unrealized gain/(loss) on swap contracts		(1,864,032	)		(12,051,820	)		20,742,953			(4,294,443	)		—			—			—
Net realized gain on U.S. Treasury Securities		—			—			800,494			—			—			180,450			—
Net unrealized gain/(loss) on U.S. Treasury Securities		52,370			(2,354,829	)		3,401,799			—			(467,310	)		839,011			—
Trading commissions		—			(1,528,958	)		(1,350,615	)		(2,989,829	)		(99,835	)		(145,539	)		(42,272	)
Earnings on inter-series receivables		—			(5,590,378	)		(856,324	)		632,098			—			—			—
Earnings on inter-series payables		815,865			—			—			—			—			—			325,800
Equity in earnings/(loss) from unconsolidated trading companies		682,798			13,109,866			12,793,730			(2,311,769	)		2,247,382			9,751,678			69,672
Net gain/(loss) on investments		(312,999	)		(491,297	)		100,495,769			4,789,018			(697,472	)		24,168,791			1,730,298
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	(906,943	)	$	(19,589,333	)	$	77,498,549		$	(8,042,497	)	$	(5,487,584	)	$	17,486,915		$	(1,001,360	)
Less: Operations attributable to Non-controlling interests		—			(438,431	)		17,340,210			5,141,096			(1,336,526	)		4,734,727			1,334,826
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(906,943	)	$	(19,150,902	)	$	60,158,339		$	(13,183,593	)	$	(4,151,058	)	$	12,752,188		$	(2,336,186	)
NET INCOME/(LOSS) PER UNIT
Class 1	$	(5.54	)	$	(6.63	)	$	23.71		$	(5.20	)	$	(5.89	)	$	18.64		$	(4.37	)
Class 1a		N/A		$	(6.59	)	$	21.19		$	(5.07	)		N/A			N/A			N/A
Class 2	$	(4.63	)	$	(3.43	)	$	30.44		$	(2.24	)	$	(3.04	)	$	23.94		$	(1.66	)
Class 2a		N/A		$	(3.70	)	$	25.83		$	(2.41	)		N/A			N/A			N/A
Class 3a		N/A		$	(4.37	)		N/A			N/A			N/A			N/A			N/A

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

(2) The Balanced Series Class 3 Units began trading on June 3, 2009

The accompanying notes are an integral part of these financial statements.

F-23

The Frontier Fund

Statements of Operations

For the Years Ended December 31, 2009, 2008 and 2007

	Currency Series									Long Only Commodity Series									Managed Futures Index Series
	12/31/2009			12/31/2008			12/31/2007			12/31/2009			12/31/2008			12/31/2007			12/31/2009			12/31/2008			12/31/2007
Investment Income:
Interest—net	$	88,884		$	122,102		$	435,431		$	76,629		$	112,372		$	509,099		$	67,985		$	35,362		$	165,165
Total Income		88,884			122,102			435,431			76,629			112,372			509,099			67,985			35,362			165,165
Expenses:
Management Fees		161,155			164,428			106,645			53,403			75,213			171,913			78,544			33,826			87,109
Service Fees—Class 1		302,067			350,360			256,106			68,696			107,713			88,731			41,467			26,950			11,883
Trading Fees		140,572			130,222			95,794			21,077			30,079			68,726			19,812			8,454			21,638
Total Expenses		603,794			645,010			458,545			143,176			213,005			329,370			139,823			69,230			120,630
Investment gain/(loss)—net		(514,910	)		(522,908	)		(23,114	)		(66,547	)		(100,633	)		179,729			(71,838	)		(33,868	)		44,535
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		(178,743	)		234,616			(8,104	)		—			—			—			—			—			(353,098	)
Net realized gain/(loss) on swap contracts		—			1,047,794			135,100			883,900			(2,684,087	)		1,729,289			—			—			—
Net change in open trade equity		2,985			780			(28,482	)		—			—			—			—			—			(224,977	)
Net unrealized gain/(loss) on swap contracts		(4,129,164	)		(2,877,879	)		—			—			—			—			—			—			—
Net realized gain on U.S. Treasury Securities		—			114,432			—			—			27,185			—			—			6,580			—
Net unrealized gain/(loss) on U.S. Treasury Securities		(165,246	)		355,696			—			(24,171	)		60,003			—			(22,641	)		33,810			—
Trading commissions		—			—			—			—			—			—			—			—			(22,129	)
Earnings on inter-series payables		2,412,702			856,324			(188,597	)					—			(1,184,019	)		—			—			490,858
Equity in earnings/(loss) from unconsolidated trading companies		—			—			—						—			—			(467,800	)		661,280			109,775
Net gain/(loss) on investments		(2,057,466	)		(268,237	)		(90,083	)		859,729			(2,596,899	)		545,270			(490,441	)		701,670			429
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	(2,572,376	)	$	(791,145	)	$	(113,197	)	$	793,182		$	(2,697,532	)	$	724,999		$	(562,279	)	$	667,802		$	44,964
NET INCOME/(LOSS) PER UNIT
Class 1	$	(18.19	)	$	(4.47	)	$	(0.50	)	$	13.28		$	(40.48	)	$	15.34		$	(19.64	)	$	31.59		$	3.84
Class 2	$	(17.96	)	$	(1.70	)	$	2.77		$	15.84		$	(40.58	)	$	17.91		$	(18.42	)	$	35.28		$	5.99

The accompanying notes are an integral part of these financial statements.

F-24

The Frontier Fund

Statements of Operations

For the Years Ended December 31, 2009, 2008 and 2007

	Winton Series									Winton/Graham Series
	12/31/2009			12/31/2008			12/31/2007			12/31/2009			12/31/2008			12/31/2007
Investment Income:
Interest—net	$	361,106		$	316,243		$	563,371		$	259,485		$	100,204		$	206,887
Total Income		361,106			316,243			563,371			259,485			100,204			206,887
Expenses:
Incentive Fees		(21,347	)		1,859,948			687,066			350,180			876,892			170,704
Management Fees		1,430,660			1,170,160			445,408			1,583,991			505,597			216,609
Service Fees—Class 1		1,634,324			1,693,985			475,010			1,406,083			508,438			163,270
Trading Fees		331,643			292,355			111,329			285,842			101,035			42,979
Total Expenses		3,375,280			5,016,448			1,718,813			3,626,096			1,991,962			593,562
Investment gain/(loss)—net		(3,014,174	)		(4,700,205	)		(1,155,442	)		(3,366,611	)		(1,891,758	)		(386,675	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		(4,684,999	)		7,399,048			—			5,853,780			—			—
Net change in open trade equity		(3,608,807	)		630,441			—			1,681,991			—			—
Net realized gain on U.S. Treasury Securities		—			146,719			—			—			155,060			—
Net unrealized gain/(loss) on U.S. Treasury Securities		(434,210	)		824,019			—			(367,408	)		509,595			—
Trading commissions		(36,658	)		(103,097	)		—			(342,295	)		—			—
Earnings on inter-series payables		—			—			—			—			—			(76,140	)
Equity in earnings/(loss) from unconsolidated trading companies		1,026,676			6,927,252			4,995,445			(2,906,982	)		5,611,603			1,334,826
Net gain/(loss) on investments		(7,737,998	)		15,824,382			4,995,445			3,919,086			6,276,258			1,258,686
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	(10,752,172	)	$	11,124,177		$	3,840,003		$	552,475		$	4,384,500		$	872,011
Less: Operations attributable to Non-controlling interests		(4,066,993	)		2,669,563			—			3,347,600			—			—
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(6,685,179	)	$	8,454,614		$	3,840,003		$	(2,795,125	)	$	4,384,500		$	872,011
NET INCOME/(LOSS) PER UNIT
Class 1	$	(12.84	)	$	16.58		$	8.18		$	(6.12	)	$	21.14		$	10.34
Class 2	$	(9.94	)	$	21.43		$	11.80		$	(3.10	)	$	27.12		$	14.12

The accompanying notes are an integral part of these financial statements.

F-25

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2009, 2008 and 2007

	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
	Managing Owner			Limited Owners			Managing Owner			Limited Owners						Managing Owner			Limited Owners			Managing Owner			Limited Owners			Total
Owners’ Capital, January 1, 2007	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—
Owners’ Capital, December 31, 2007		—			—			—			—			—			—			—			—			—			—
Owners’ Capital, December 31, 2008		—			—			—			—			—			—			—			—			—			—
Sale of Units		27,500			33,782,890			547,500			23,434,563			57,792,453			27,500			601,269			27,500			277,300			933,569
Redemption of Units		—			(10,924	)		—			(158,494	)		(169,418	)		—			—			—			—			—
Net increase/(decrease) in Owners’ Capital resulting from operations		(879	)		(838,047	)		(3,710	)		(464,280	)		(1,306,916	)		(2,358	)		(20,156	)		(2,130	)		(12,008	)		(36,652	)
Owners’ Capital, December 31, 2009	$	26,621		$	32,933,919		$	543,790		$	22,811,789		$	56,316,119		$	25,142		$	581,113		$	25,370		$	265,292		$	896,917
Owners’ Capital—Units, January 1, 2007		—			—			—			—			—			—			—			—			—			—
Owners’ Capital—Units, December 31, 2007		—			—			—			—			—			—			—			—			—			—
Owners’ Capital—Units, December 31, 2008		—			—			—			—			—			—			—			—			—			—
Sale of Units		275			340,324			5,562			234,902			581,063			275			6,356			275			2,876			9,782
Redemption of Units		—			(110	)		—			(1,590	)		(1,700	)		—			—			—			—			—
Owners’ Capital—Units, December 31, 2009		275			340,214			5,562			233,312			579,363			275			6,356			275			2,876			9,782
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 year ended December 31, 2009					(3.20	)					(2.23	)								(8.57	)					(7.75	)
Net asset value per unit at December 31, 2009				$	96.80					$	97.77								$	91.43					$	92.25

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

The accompanying notes are an integral part of these financial statements.

F-26

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2009, 2008 and 2007

	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, 2007		19,478,595			249,285		2,448,197			—			—		—		—		—		(78,056	)		22,098,021
Sale of Units		18,002,305			111,000		1,206,261			—			—		—		—		—		—			19,319,566
Redemption of Units		(6,675,705	)		—		(500,449	)		—			—		—		—		—		—			(7,176,154	)
Contributions		—			—		—			—			—		—		—		—		6,750,000			6,750,000
Distributions		—			—		—			—			—		—		—		—		(121,827	)		(121,827	)
Operations attributable to Non-controlling interests		—			—		—			—			—		—		—		—		(2,311,769	)		(2,311,769	)
Net increase (decrease) in Owners’ Capital resulting from operations		287,551			13,765		130,831			—			—		—		—		—		—			432,147
Owners’ Capital, December 31, 2007		31,092,746			374,050		3,284,840			—			—		—		—		—		4,238,348			38,989,984
Sale of Units		28,403,530			557,000		7,696,603			—			—		—		—		—		—			36,657,133
Redemption of Units		(10,999,764	)		—		(340,236	)		—			—		—		—		—		—			(11,340,000	)
Contributions		—			—		—			—			—		—		—		—		1,500,000			1,500,000
Distributions		—			—		—			—			—		—		—		—		(6,615,235	)		(6,615,235	)
Operations attributable to Non-controlling interests		—			—		—			—			—		—		—		—		11,001,043			11,001,043
Net increase (decrease) in Owners’ Capital resulting from operations		(1,971,106	)		2,658		(368,026	)		—			—		—		—		—		—			(2,336,474	)
Owners’ Capital, December 31, 2008		46,525,406			933,708		10,273,181			—			—		—		—		—		10,124,156			67,856,451
Sale of Units		7,069,581			—		3,221,195			6,746,852			27,500		1,052,844		27,500		837,250		—			18,982,722
Redemption of Units		(14,009,386	)		—		(1,557,461	)		(821,589	)		—		—		—		—		—			(16,388,436	)
Contributions		—			—		—			—			—		—		—		—		36,000,000			36,000,000
Distributions		—			—		—			—			—		—		—		—		(61,169,256	)		(61,169,256	)
Operations attributable to Non-controlling interests		—			—		—			—			—		—		—		—		14,758,299			14,758,299
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		6,173,624			155,619		1,959,861			214,793			411		11,261		683		11,099		—			8,527,351
Owners’ Capital, December 31, 2009	$	45,759,225		$	1,089,327	$	13,896,776		$	6,140,056		$	27,911	$	1,064,105	$	28,183	$	848,349	$	(286,801	)	$	68,567,131

F-27

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2009, 2008 and 2007

	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
Owner’s Capital—Units, January 1, 2007		193,966		2,422		23,784			—		—		—	—		—	—	220,172
Sale of Units		179,408		1,068		11,627			—		—		—	—		—	—	192,103
Redemption of Units		(66,949	)	—		(4,765	)		—		—		—	—		—	—	(71,714	)
Owners’ Capital—Units, December 31, 2007		306,425		3,490		30,646												340,561
Sale of Units		263,538		5,054		66,341			—		—		—	—		—	—	334,933
Redemption of Units		(106,515	)	—		(2,979	)		—		—		—	—		—	—	(109,494	)
Owners’ Capital—Units, December 31, 2008		463,448		8,544		94,008			—		—		—	—		—	—	566,000
Sale of Units		67,026		—		28,148			54,820		275		10,484	275		8,278	—	169,306
Redemption of Units		(128,268	)	—		(13,156	)		(6,658	)	—		—	—		—	—	(148,082	)
Owners’ Capital—Units, December 31, 2009		402,206		8,544		109,000			48,162		275		10,484	275		8,278	—	587,224
Net asset value per unit at January 1, 2007	$	100.42			$	102.93		$	—			$	—		$	—
Change in net asset value per unit for the year ended December 31, 2007		1.05				4.26			—				—			—
Net asset value per unit at December 31, 2007	$	101.47			$	107.19		$	—			$	—		$	—
Change in net asset value per unit for the year ended December 31, 2008		(1.08	)			2.09			—				—			—
Net asset value per unit at December 31, 2008 or start of operations	$	100.39			$	109.28		$	122.70			$	100.00		$	100.00
Change in net asset value per unit for the year ended December 31, 2009		13.38				18.21			4.79				1.49			2.48
Net asset value per unit at December 31, 2009	$	113.77			$	127.49		$	127.49			$	101.49		$	102.48

(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 financial statements.

F-28

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2009, 2008 and 2007

	Frontier Masters Series(1)															Balanced Series
	Class 1			Class 1			Class 2			Class 2			Total			Class 1			Class 1a						Class 2						Class 2a						Class 3a(2)			Non- Controlling Interests			Total
	Managing Owner			Limited Owners			Managing Owner			Limited Owners						Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Limited Owners
Owners’ Capital, January 1, 2007	$	—		$	—		$	—		$	—		$	—		$	224,559,900		$	192		$	4,203,673		$	711,471		$	47,869,930		$	48,942		$	612,864		$	—		$	42,733,193		$	320,740,165
Sale of Units		—			—			—			—			—			45,063,047			—			2,453,374			2,200,000			10,161,842			30,000			769,760			—			—			60,678,023
Redemption of Units		—			—			—			—			—			(53,164,207	)		—			(758,846	)		—			(13,809,185	)		—			(184,318	)		—			—			(67,916,556	)
Contributions																				—			—			—			—			—			—			—			11,190,255			11,190,255
Distributions																				—			—			—			—			—			—			—			(35,439,500	)		(35,439,500	)
Operations attributable to Non-controlling interests																				—			—			—			—			—			—			—			5,141,096			5,141,096
Net (decrease) in Owners’ Capital resulting from operations		—			—			—			—			—			(11,717,992	)		(10	)		(259,883	)		(71,325	)		(1,108,691	)		(297	)		(25,395	)		—			—			(13,183,593	)
Owners’ Capital, December 31, 2007		—			—			—			—			—			204,740,748			182			5,638,318			2,840,146			43,113,896			78,645			1,172,911			—			23,625,044			281,209,890
Sale of Units		—			—			—			—			—			53,227,589			—			2,242,824			—			17,553,242			20,000			586,073			—			—			73,629,728
Redemption of Units		—			—			—			—			—			(46,971,227	)		—			(1,099,001	)		—			(9,274,267	)		—			(345,411	)		—			—			(57,689,906	)
Change in control of ownership—Trading Companies																				—			—			—			—			—			—			—			(11,459,210	)		(11,459,210	)
Contributions																				—			—			—			—			—			—			—			3,320,822			3,320,822
Distributions																				—			—			—			—			—			—			—			(23,496,787	)		(23,496,787	)
Operations attributable to Non-controlling interests																				—			—			—			—			—			—			—			17,340,210			17,340,210
Net (decrease) in Owners’ Capital resulting from operations		—			—			—			—			—			45,553,719			42			1,353,800			771,984			12,104,661			21,733			352,400			—			—			60,158,339
Owners’ Capital, December 31, 2008		—			—			—			—			—			256,550,829			224			8,135,941			3,612,130			63,497,532			120,378			1,765,973			—			9,330,079			343,013,086
Sale of Units		27,500			15,316,642			212,500			8,642,384			24,199,026			75,585,729			—			3,817,405			460,000			25,457,174			30,000			1,772,211			1,241,589			—			108,364,108
Redemption of Units		—			(4,896	)		—			—			(4,896	)		(29,735,827	)		(221	)		(2,204,266	)		(270,000	)		(13,352,072	)		—			(282,240	)		(35,688	)		—			(45,880,314	)
Change in control of ownership—Trading Companies		—			—			—			—			—			—			—			—			—			—			—			—			—			350,058			350,058
Contributions		—			—			—			—			—			—			—			—			—			—			—			—			—			21,615,249			21,615,249
Distributions		—			—			—			—			—			—			—			—			—			—			—			—			—			(2,938,158	)		(2,938,158	)
Operations attributable to Non-controlling interests		—			—			—			—			—			—			—			—			—			—			—			—			—			(438,431	)		(438,431	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(1,523	)		(614,393	)		(2,149	)		(288,878	)		(906,943	)		(16,376,424	)		(3	)		(598,966	)		(104,950	)		(1,927,648	)		(4,861	)		(102,895	)		(35,155	)		—			(19,150,902	)
Owners’ Capital, December 31, 2009	$	25,977		$	14,697,353		$	210,351		$	8,353,506		$	23,287,187		$	286,024,307		$	—		$	9,150,114		$	3,697,180		$	73,674,986		$	145,517		$	3,153,049		$	1,170,746		$	27,918,797		$	404,934,696

F-29

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2009, 2008 and 2007

	Frontier Masters Series (1)										Balanced Series
	Class 1	Class 1			Class 2	Class 2			Total		Class 1			Class 1a					Class 2					Class 2a				Class 3a (2)			Non- Controlling Interests	Total
	Managing Owner	Limited Owners			Managing Owner	Limited Owners					Limited Owners			Managing Owner		Limited Owners			Managing Owner		Limited Owners			Managing Owner	Limited Owners			Limited Owners
Owners’ Capital—Units, January 1, 2007	—		—		—		—		—			2,105,455		2			43,800		6,228			419,011		500		6,261			—		—	2,581,257
Sale of Units												431,921		—			26,140		19,131			90,124		324		7,986			—		—	575,626
Redemption of Units												(519,373	)	—			(7,910	)	—			(124,183	)	—		(1,961	)		—		—	(653,427	)
																																—
Owners’ Capital—Units, December 31, 2007	—		—		—		—		—			2,018,003		2			62,030		25,359			384,952		824		12,286			—		—	2,503,456
Sale of Units												460,090		—			21,617		—			134,511		168		5,372			—		—	621,758
Redemption of Units												(428,503	)	—			(11,063	)	—			(73,679	)	—		(3,098	)		—		—	(516,343	)
Owners’ Capital—Units, December 31, 2008	—		—		—		—		—			2,049,590		2			72,584		25,359			445,784		992		14,560			—		—	2,608,871
Sale of Units	275		155,639		2,206		87,587		245,707			604,791		—			34,150		3,176			177,866		245		14,604			10,253		—	845,085
Redemption of Units	—		(50	)	—				(50	)		(241,428	)	(2	)		(20,000	)	(1,939	)		(93,669	)	—		(2,353	)		(298	)	—	(359,689	)
Owners’ Capital—Units, December 31, 2009	275		155,589		2,206		87,587		245,657			2,412,953		—			86,734		26,596			529,981		1,237		26,811			9,955		—	3,094,267
Net asset value per unit at January 1, 2007		$	—			$	—				$	106.66				$	95.97				$	114.24			$	97.88		$	—
Change in net asset value per unit for year ended December 31, 2007			—				—					(5.20	)				(5.07	)				(2.24	)			(2.41	)		—
Net asset value per unit at December 31, 2007		$	—			$	—				$	101.46				$	90.90				$	112.00			$	95.47		$	—
Change in net asset value per unit for year ended December 31, 2008			—				—					23.71					21.19					30.44				25.83			—
Net asset value per unit at December 31, 2008 or beginning of operations		$	100.00			$	100.00				$	125.17				$	112.09				$	142.44			$	121.30		$	121.97
Change in net asset value per unit for year ended December 31, 2009			(5.54	)			(4.63	)				(6.63	)				(6.59	)				(3.43	)			(3.70	)		(4.37	)
Net asset value per unit at December 31, 2009		$	94.46			$	95.37				$	118.54				$	105.50				$	139.01			$	117.60		$	117.60

(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 financial statements.

F-30

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2009, 2008 and 2007

	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, 2007	$	48,843,314		$	2,105,062		$	5,245,105		$	15,514,377		$	71,707,858		$	6,891,891		$	16,689		$	478,047		$	7,386,627
Sale of Units		16,528,939			—			1,454,351			—			17,983,290			4,092,276			1,000,000			127,954			5,220,230
Redemption of Units		(7,450,850	)		(2,000,000	)		(1,038,831	)		—			(10,489,681	)		(1,073,104	)		(500,000	)		(328,550	)		(1,901,654	)
Contributions		—			—			—			653,524			653,524			—			—			—			—
Distributions		—			—			—			(12,727,173	)		(12,727,173	)		—			—			—			—
Operations attributable to Non-controlling interests		—			—			—			1,334,826			1,334,826			—			—			—			—
Net increase (decrease) in Owners’ Capital resulting from operations		(2,390,501	)		139,395			(85,080	)		—			(2,336,186	)		(119,251	)		(2,751	)		8,805			(113,197	)
Owners’ Capital, December 31, 2007		55,530,902			244,457			5,575,545			4,775,554			66,126,458			9,791,812			513,938			286,256			10,592,006
Sale of Units		15,128,511			—			2,039,851			—			17,168,362			4,569,653			400,000			2,203,875			7,173,528
Redemption of Units		(12,047,193	)		—			(1,459,332	)		—			(13,506,525	)		(1,825,220	)		(217,000	)		(85,384	)		(2,127,604	)
Contributions		—			—			—			3,478,151			3,478,151			—			—			—			—
Distributions		—			—			—			(10,597,205	)		(10,597,205	)		—			—			—			—
Operations attributable to Non-controlling interests		—			—			—			4,734,727			4,734,727			—			—			—			—
Net increase (decrease) in Owners’ Capital resulting from operations		11,344,935			58,421			1,348,832			—			12,752,188			(636,060	)		(9,581	)		(145,504	)		(791,145	)
Owners’ Capital, December 31, 2008		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		10,924,243			—			4,025,676			—			14,949,919			570,243			—			82,125			652,368
Redemption of Units		(7,507,650	)		(170,000	)		(1,523,780	)		—			(9,201,430	)		(2,434,358	)		—			(284,291	)		(2,718,649	)
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		(3,926,382	)		(7,368	)		(217,308	)		—			(4,151,058	)		(2,101,688	)		(112,973	)		(357,715	)		(2,572,376	)
Owners’ Capital, December 31, 2009	$	69,447,366		$	125,510		$	9,789,484		$	—		$	79,362,360		$	7,934,382		$	574,384		$	1,699,362		$	10,208,128

F-31

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2009, 2008 and 2007

	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
Owner’s Capital—Units, January 1, 2007		507,344		20,666			51,494		—	579,504			68,126		154			4,417		72,697
Sale of Units		175,604		—			14,394		—	189,998			39,538		8,825			1,135		49,498
Redemption of Units		(78,709	)	(18,227	)		(10,242	)	—	(107,178	)		(10,391	)	(4,349	)		(2,973	)	(17,713	)
Owners’ Capital—Units, December 31, 2007		604,239		2,439			55,646		—	662,324			97,273		4,630			2,579		104,482
Sale of Units		151,684		—			18,316		—	170,000			44,605		3,669			18,851		67,125
Redemption of Units		(123,076	)	—			(13,508	)	—	(136,584	)		(18,159	)	(2,010	)		(760	)	(20,929	)
Owners’ Capital—Units, December 31, 2008		632,847		2,439			60,454		—	695,740			123,719		6,289			20,670		150,678
Sale of Units		101,789		—			32,910		—	134,699			6,288		—			787		7,075
Redemption of Units		(71,005	)	(1,403	)		(12,523	)	—	(84,931	)		(28,285	)	—			(2,852	)	(31,137	)
Owners’ Capital—Units, December 31, 2009		663,631		1,036			80,841		—	745,508			101,722		6,289			18,605		126,616
Net asset value per unit at January 1, 2007	$	96.27				$	101.86					$	101.16				$	108.23
Change in net asset value per unit for the year ended December 31, 2007		(4.37	)				(1.66	)					(0.50	)				2.77
Net asset value per unit at December 31, 2007	$	91.90				$	100.20					$	100.66				$	111.00
Change in net asset value per unit for the year ended December 31, 2008		18.64					23.94						(4.47	)				(1.70	)
Net asset value per unit at December 31, 2008	$	110.54				$	124.14					$	96.19				$	109.30
Change in net asset value per unit for the year ended December 31, 2009		(5.89	)				(3.04	)					(18.19	)				(17.96	)
Net asset value per unit at December 31, 2009	$	104.65				$	121.10					$	78.00				$	91.34

The accompanying notes are an integral part of these financial statements.

F-32

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2009, 2008 and 2007

	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
Owner’s Capital, January 1, 2007	$	4,321,464		$	47,632		$	67,769		$	4,436,865		$	500,070		$	50,141		$	2,518		$	552,729
Sale of Units		1,304,399			100,000			96,183			1,500,582			264,820			230,000			39,900			534,720
Redemption of Units		(1,584,773	)		—			(47,605	)		(1,632,378	)		(174,964	)		—			—			(174,964	)
Net increase (decrease) in Owners’ Capital resulting from operations		689,799			22,462			12,738			724,999			31,814			14,431			(1,281	)		44,964
Owners’ Capital, December 31, 2007		4,730,889			170,094			129,085			5,030,068			621,740			294,572			41,137			957,449
Sale of Units		2,036,429			—			1,058,317			3,094,746			1,620,857			—			889,180			2,510,037
Redemption of Units		(1,356,931	)		—			(27,878	)		(1,384,809	)		(416,360	)		(300,000	)		(15,877	)		(732,237	)
Net increase (decrease) in Owners’ Capital resulting from operations		(2,156,161	)		(60,002	)		(481,369	)		(2,697,532	)		440,740			82,987			144,075			667,802
Owners’ Capital, December 31, 2008		3,254,226			110,092			678,155			4,042,473			2,266,977			77,559			1,058,515			3,403,051
Sale of Units		409,347			—			86,800			496,147			708,699			200,000			1,071,138			1,979,837
Redemption of Units		(572,400	)		—			(93,077	)		(665,477	)		(822,446	)		—			(224,954	)		(1,047,400	)
Net increase/(decrease) in Owners’ Capital resulting from operations		620,408			23,421			149,353			793,182			(321,795	)		(18,354	)		(222,130	)		(562,279	)
Owners’ Capital, December 31, 2009	$	3,711,581		$	133,513		$	821,231		$	4,666,325		$	1,831,435		$	259,205		$	1,682,569		$	3,773,209
Owner’s Capital—Units, January 1, 2007		45,276			490			698			46,464			5,169			509			26			5,704
Sale of Units		13,507			989			884			15,380			2,843			2,312			368			5,523
Redemption of Units		(16,082	)		—			(460	)		(16,542	)		(1,831	)		—			—			(1,831	)
Owners’ Capital—Units, December 31, 2007		42,701			1,479			1,122			45,302			6,181			2,821			394			9,396
Sale of Units		16,745			—			8,208			24,953			14,749			—			7,317			22,066
Redemption of Units		(13,161	)		—			(222	)		(13,383	)		(3,779	)		(2,266	)		(134	)		(6,179	)
Owners’ Capital—Units, December 31, 2008		46,285			1,479			9,108			56,872			17,151			555			7,577			25,283
Sale of Units		6,185			—			1,232			7,417			5,748			1,582			8,084			15,414
Redemption of Units		(8,065	)		—			(1,245	)		(9,310	)		(6,625	)		—			(1,787	)		(8,412	)
Owners’ Capital—Units, December 31, 2009		44,405			1,479			9,095			54,979			16,274			2,137			13,874			32,285
Net asset value per unit at January 1, 2007	$	95.45					$	97.13					$	96.75					$	98.43
Change in net asset value per unit for the year ended December 31, 2007		15.34						17.91						3.84						5.99
Net asset value per unit at December 31, 2007	$	110.79					$	115.04					$	100.59					$	104.42
Change in net asset value per unit for the year ended December 31, 2008		(40.48	)					(40.58	)					31.59						35.28
Net asset value per unit at December 31, 2008	$	70.31					$	74.46					$	132.18					$	139.70
Change in net asset value per unit for the year ended December 31, 2009		13.28						15.84						(19.64	)					(18.42	)
Net asset value per unit at December 31, 2009	$	83.59					$	90.30					$	112.54					$	121.28

The accompanying notes are an integral part of these financial statements.

F-33

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2009, 2008 and 2007

	Winton Series																		Winton/Graham Series
	Class 1						Class 2												Class 1			Class 2
	Managing Owner			Limited Owners			Managing Owner			Limited Owners			Non- Controlling Interests			Total			Limited Owners			Managing Owner			Limited Owners			Non- Controlling Interests			Total
Owner’s Capital, January 1, 2007	$	1,057		$	355,867		$	228,782		$	61,939		$	—		$	647,645		$	5,991,337		$	389,915		$	1,659,580		$	—		$	8,040,832
Sale of Units		—			34,289,489			410,000			8,918,823			—			43,618,312			1,274,358			—			24,016			—			1,298,374
Redemption of Units		—			(1,381,913	)		(500,000	)		(184,886	)		—			(2,066,799	)		(1,786,900	)		(400,000	)		(155,334	)		—			(2,342,234	)
Net increase (decrease) in Owners’ Capital resulting from operations		81			2,399,679			96,610			1,343,633			—			3,840,003			581,412			54,785			235,814			—			872,011
Owners’ Capital, December 31, 2007		1,138			35,663,122			235,392			10,139,509			—			46,039,161			6,060,207			44,700			1,764,076			—			7,868,983
Sale of Units		—			25,445,441			—			—			—			25,445,441			28,257,833			—			11,442,834			—			39,700,667
Redemption of Units		—			(5,428,009	)		—			(484,181	)		—			(5,912,190	)		(1,559,841	)		—			(199,080	)		—			(1,758,921	)
Change in control of ownership—Trading Companies		—			—			—			—			10,799,618			10,799,618			—			—			—			—			—
Contributions		—			—			—			—			12,720,000			12,720,000			—			—			—			—			—
Distributions		—			—			—			—			(14,833,536	)		(14,833,536	)		—			—			—			—			—
Operations attributable to Non-controlling interests		—			—			—			—			2,669,563			2,669,563			—			—			—			—			—
Net increase (decrease) in Owners’ Capital resulting from operations		166			6,601,801			42,543			1,810,104			—			8,454,614			3,002,636			11,615			1,370,249			—			4,384,500
Owners’ Capital, December 31, 2008		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		—			287,976			200,000			—			—			487,976			20,207,122			—			360,401			—			20,567,523
Redemption of Units		(1,165	)		(8,521,271	)		—			(905,208	)		—			(9,427,644	)		(5,384,099	)		—			(1,892,655	)		—			(7,276,754	)
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			—			—			—			8,100,000			8,100,000
Distributions		—			—			—			—			(2,307,847	)		(2,307,847	)		—			—			—			(6,362,253	)		(6,362,253	)
Operations attributable to Non-controlling interests		—			—			—			—			(4,066,993	)		(4,066,993	)		—			—			—			3,347,600			3,347,600
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(139	)		(5,850,743	)		(22,653	)		(811,644	)		—			(6,685,179	)		(2,415,463	)		(1,325	)		(378,337	)		—			(2,795,125	)
Owners’ Capital, December 31, 2009	$	—		$	48,198,317		$	455,282		$	9,748,580		$	—		$	58,402,179		$	48,168,395		$	54,990		$	12,467,488		$	7,343,585		$	68,034,458

F-34

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2009, 2008 and 2007

	Winton Series													Winton/Graham Series
	Class 1					Class 2								Class 1			Class 2
	Managing Owner		Limited Owners			Managing Owner		Limited Owners			Non- Controlling Interests	Total		Limited Owners			Managing Owner		Limited Owners			Non- Controlling Interests	Total
Owner’s Capital—Units, January 1, 2007	10			3,368		2,142			580		—	6,100			70,733		4,320			18,389		—	93,442
Sale of Units	—			322,603		4,210			86,620		—	413,433			13,874		—			236		—	14,110
Redemption of Units	—			(12,671	)	(4,367	)		(1,712	)	—	(18,750	)		(20,840	)	(3,892	)		(1,722	)	—	(26,454	)
Owners’ Capital—Units, December 31, 2007	10			313,300		1,985			85,488		—	400,783			63,767		428			16,903		—	81,098
Sale of Units	—			208,113		—			—		—	208,113			258,465		—			94,026		—	352,491
Redemption of Units	—			(43,818	)	—			(3,618	)	—	(47,436	)		(14,428	)	—			(1,578	)	—	(16,006	)
Owners’ Capital—Units, December 31, 2008	10			477,595		1,985			81,870		—	561,460			307,804		428			109,351		—	417,583
Sale of Units	—			2,363		1,514			—		—	3,877			178,479		—			2,731		—	181,210
Redemption of Units	(10	)		(70,007	)	—			(6,940	)	—	(76,957	)		(48,630	)	—			(14,976	)	—	(63,606	)
Owners’ Capital—Units, December 31, 2009	—			409,951		3,499			74,930		—	488,380			437,653		428			97,106		—	535,187
Net asset value per unit at January 1, 2007			$	105.65				$	106.81					$	84.70				$	90.25
Change in net asset value per unit for the year ended December 31, 2007				8.18					11.80						10.34					14.12
Net asset value per unit at December 31, 2007			$	113.83				$	118.61					$	95.04				$	104.37
Change in net asset value per unit for the year ended December 31, 2008				16.58					21.43						21.14					27.12
Net asset value per unit at December 31, 2008			$	130.41				$	140.04					$	116.18				$	131.49
Change in net asset value per unit for the year ended December 31, 2009				(12.84	)				(9.94	)					(6.12	)				(3.10	)
Net asset value per unit at December 31, 2009			$	117.57				$	130.10					$	110.06				$	128.39

The accompanying notes are an integral part of these financial statements.

F-35

The Frontier Fund

Notes to Financial Statements

As of December 31, 2009 and December 31, 2008

1. Organization and Purpose

The Frontier Fund (the “Trust”), was formed as a Delaware statutory trust on August 8, 2003, with separate Series of Units. 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 § 4.1 0(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 1 a 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 1 a 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

F-36

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

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 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 231 0(b)(4)(B)(ii) (formerly Rule 281 0(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 1 a 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 December 31, 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. Each of the respective Series has invested monies into pooled cash management assets which have included 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.

As of December 31, 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.

2. Significant Accounting Policies

The following are the significant accounting policies of the Trust.

Basis of Presentation—The Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (‘ASC”) became effective on July 1, 2009. At that date, the ASC became FASB’s officially recognized source of authoritative U.S. generally accepted accounting principles (“GAAP”) applicable to all

F-37

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

public and non-public non-governmental entities, superseding existing FASB, American Institute of Certified Public Accountants, Emerging Issues task Force (“EITF”) and related literature. Rules and interpretive releases of the SEC under the authority of federal securities laws are also sources of authoritative GAAP for SEC registrants. All other accounting literature is considered non-authoritative. The switch to the ASC affects the way companies refer to U.S. GAAP in financial statements and accounting policies. Existing GAAP prior to the effective date of the ASC was not altered in compilation of the ASC. Citing particular content in the ASC involves specifying the unique numeric path to the content through the Topic, Subtopic, Section and Paragraph structure.

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, Beach Horizon Trading Company – Horizon Program, LLC, Frontier Trading Company XIV, LLC and Frontier Trading Company XV, 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.

F-38

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

Use of Estimates—The preparation of financial statements in conformity with generally accepted accounting principles may require 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. Swap contracts may require significant estimates. Swap Contracts are reported at fair value. Certain fair values are 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 fair values are 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. Actual results could differ from those estimates.

Cash and Cash Equivalents—Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits held at banks 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.

Interest Income—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. All interest not paid to the Managing Owner is interest income to the Series.

U.S. Treasury Securities, Certificates of Deposit, Custom Time Deposits and certain demand deposits are pooled for purposes of maximizing returns on these assets to investors of all Series. Interest income from pooled cash management assets is recognized on the accrual basis and allocated daily to each Series based upon its daily proportion of ownership of the pool. Interest income from demand deposits segregated by Series is allocated to the respective Series.

U.S. Treasury Securities—U.S. Treasury Securities are allocated to each Series based on their percentage ownership in the pooled cash management assets as of the reporting date. They are reported at fair value as Level 1 inputs under ASC 820, Fair Value Measurements and Disclosures. Accrued interest is reported on the Statements of Financial Condition as interest receivable.

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 certificates of deposit at face value plus accrued interest, which approximates fair value, and reports these instruments as Level 2 inputs under ASC 820.

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

F-39

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

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 7.31 of the Investment Company Audit Guide, and accordingly, this deposit is not subject to ASC 820.

Swaps— Certain Series of the Trust 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. The Trust valued the Swaps at fair value and reports these instruments as Level 3 inputs under ASC 820.

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.

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 ASC 815, Derivatives and Hedging (“ASC 815”).

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 1 a, 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 1 a, Class 2, Class 2a, Class 3 and Class 3a Units based on each Class’ respective owners’ capital balances.

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 December 31, 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, advances funds to the Currency Series, Frontier Diversified Series, Frontier Dynamic Series and

F-40

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

Frontier Masters Series to access trading companies in which the Balanced Series does not have a direct interest. 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 income.

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 December 31, 2009 all investments in futures and forward contracts were based on quoted market prices. The valuation of investments in swap contracts (“Swaps”) involves estimates.

Income Taxes—The Trust applies the provisions of 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 years ended December 31, 2009 and December 31, 2008. The 2006 through 2009 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.

F-41

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

Fees and Expenses—All management fees, incentive fees, service fees and trading fees of the Trust 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.

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 Trading Companies have elected not to provide statements of cash flows as permitted by FASB ASC 230.

Recently Adopted Accounting Pronouncements—In December 2007, the FASB issued ASC 805-10 Business Combinations – Overall (“ASC 805-10”), and 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,

F-42

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

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 requires consolidated net income to be reported at amounts that include the amounts attributable to both the parent and the non-controlling interest. It also requires disclosure, on the face of the consolidated income statement, of the amounts of consolidated net income attributable to the parent and to the non-controlling interest. The adoption of ASC 805-10 and 805-20 did not impact the Trust’s or Series’ financial positions or results of operations.

In March 2008, the FASB issued ASC 815, Derivatives and Hedging (“ASC 815”). 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. The adoption of ASC 815 did not impact the Trust’s or Series’ financial positions or results of operations.

In April 2009, the FASB issued ASC 825, Financial Instruments (“ASC 825”). 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. The adoption of ASC 825 did not impact the Trust’s or Series’ financial positions or results of operations.

In May 2009, the FASB issued ASC 855, Subsequent Events (“ASC 855”). The objective of this guidance is to establish general standards of accounting for and disclosures 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

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. Refer to Note 11.

F-43

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

Recently Issued Accounting Pronouncements—In June 2009, the FASB issued ASC 860, Transfers and Servicing (“ASC 860”). 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 on the financial statements of the Series.

In January 2010, the FASB issued Accounting Standards Update (“ASU”) No. 2010-06, Fair Value Measurements and Disclosures (Topic 820) – Improving Disclosures about Fair Value Measurements. This ASU affects all entities that are required to make disclosures about recurring and nonrecurring fair value measurements under ASC 820. The ASU requires certain new disclosures and clarifies two existing disclosure requirements. The new disclosures and clarifications of existing disclosures are effective for interim and annual reporting periods beginning after December 15, 2009, except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measurements. The Trust is currently assessing the impact of this ASU on the financial statements of the Series.

Reclassification—Certain amounts in the financial statements have been reclassified to conform to the 2009 presentation.

3. Fair Value Measurements

In connection with the valuation of investments the Series apply 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 an asset or 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 asset or liability at the measurement date and the quoted price for the identical asset or 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

F-44

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

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.

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.

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

Investment in Unconsolidated Trading Companies. This investment represents the fair value of the allocation of cash, futures, forwards and options to each respective Series relative to its trading allocations from 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 the majority of the underlying positions on the financial statements of the Trading Companies.

F-45

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

The following table summarizes the instruments that comprise the Trust’s financial asset portfolio, by Series, measured at fair value on a recurring basis as of December 31, 2009 and 2008, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

December 31, 2009	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Frontier Diversified Series
Swap Contracts	$	—		$	—		$	8,550,639	$	8,550,639
Investment in Unconsolidated Trading Companies		3,966,809								3,966,809
U.S. Treasury Securities		7,765,643								7,765,643
Frontier Dynamic Series
Swap Contracts								10,027,253		10,027,253
Investment in Unconsolidated Trading Companies		—								—
U.S. Treasury Securities		2,739,153								2,739,153
Frontier Long Short Commodity Series
Open Trade Equity		(480,880	)		(37,610	)				(518,490	)
Investment in Unconsolidated Trading Companies		1,357,682								1,357,682
U.S. Treasury Securities		6,554,990								6,554,990
Frontier Masters Series
Swap Contracts								15,972,156		15,972,156
Investment in Unconsolidated Trading Companies		1,282,798								1,282,798
U.S. Treasury Securities		3,383,444								3,383,444
Balanced Series
Open Trade Equity		12,632,550			(1,698,904	)				10,933,646
Swap Contracts								41,020,535		41,020,535
Investment in Unconsolidated Trading Companies		303,102								303,102
U.S. Treasury Securities		31,833,998								31,833,998
Campbell/Graham/Tiverton Series
Open Trade Equity
Investment in Unconsolidated Trading Companies		30,057,520								30,057,520
U.S. Treasury Securities		7,367,693								7,367,693
Currency Series
Open Trade Equity		19,263			201					19,464
Swap Contracts								4,992,959		4,992,959
U.S. Treasury Securities		2,514,501								2,514,501
Long Only Commodity Series
Swap Contracts					584,391					584,391
Investment in Unconsolidated Trading Companies		—								—
U.S. Treasury Securities		571,339								571,339
Managed Futures Index Series
Investment in Unconsolidated Trading Companies		975,271								975,271
U.S. Treasury Securities		417,851								417,851
Winton Series
Open Trade Equity										—
Investment in Unconsolidated Trading Companies		11,033,691								11,033,691
U.S. Treasury Securities		7,125,185								7,125,185
Winton/Graham Series
Open Trade Equity		810,189								810,189
Investment in Unconsolidated Trading Companies		2,889,071								2,889,071
U.S. Treasury Securities		7,598,224								7,598,224

F-46

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

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

F-47

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

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 “net realized and unrealized gain (loss) on investments –net realized and unrealized gain/(loss) on swap contracts” on the statements of operations. During the year ended December 31, 2009 and 2008, all identified Level 3 assets are components of the Frontier Diversified Series, Frontier Dynamic Series, Frontier Masters Series, Balanced Series and the Currency Series.

2009:

Swap Contracts	Frontier Diversified Series For The Year Ended December 31, 2009			Frontier Dynamic Series For The Year Ended December 31, 2009			Frontier Masters Series For The Year Ended December 31, 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		(1,707,778	)		(2,247,497	)		(1,864,032	)
Purchases, sales, issuances, and settlements, net		10,258,417			12,274,765			17,836,189
Transfers in and/or out of Level 3		—			—			—
Balance of recurring Level 3 assets as of December 31, 2009	$	8,550,639		$	10,027,253		$	15,972,157
Swap Contracts	Balanced Series For The Year Ended December 31, 2009			Currency Series For The Year Ended December 31, 2009
Balance of recurring Level 3 assets as of January 1, 2009	$	53,072,355		$	9,122,123
Total gains or losses (realized/unrealized):
Included in earnings-realized		—			—
Included in earnings-unrealized		(12,051,820	)		(4,129,164	)
Purchases, sales, issuances, and settlements, net		—			—
Transfers in and/or out of Level 3		—			—
Balance of recurring Level 3 assets as of December 31, 2009	$	41,020,535		$	4,992,959
During 2009, there were no transfers in or out of Level 3.
2008:
Swap Contracts	Balanced Series For The Year Ending December 31, 2008			Currency Series For The Year Ending December 31, 2008
Balance of recurring Level 3 assets as of January 1, 2008	$	47,241,455		$	—
Total gains or losses (realized/unrealized):
Included in earnings-realized		361,511			—
Included in earnings-unrealized		20,742,963			(2,877,877	)
Included in other comprehensive income		—			—
Purchases, sales, issuances, and settlements, net		(15,273,574	)		12,000,000
Transfers in and/or out of Level 3		—			—
Balance of recurring Level 3 assets as of December 31, 2008	$	53,072,355		$	9,122,123
During 2008, there were no transfers in or out of Level 3.

F-48

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

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 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 December 31, 2009, approximately 10.4% 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.

F-49

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

The Trust has invested in the following Swaps as of December 31, 2009:

	Option Basket Frontier Diversified Series	Option Basket Frontier Dynamic Series	Option Basket Frontier Masters Series	Option Basket Balanced Series
Series:	Diversified	Dynamic	Masters	Balanced
Counterparty	Company D	Company E	Company F	Company A
Notional Amount	$22,760,455	$25,875,001	$15,927,157	$129,084,678
Termination Date	6/6/2014	6/6/2014	6/6/2014	11/6/2012
Investee Returns	Total Returns	Total Returns	Total Returns	Total Returns
Realized Gain/(Loss)	$0	$0	$0	$0
Unrealized Gain/(Loss)	($1,707,778)	($2,247,497)	($1,864,032)	($12,051,820)
Fair Value as of 12/31/2009	$8,550,639	$10,027,253	$15,972,156	$41,020,535
	Option Basket Currency Series	Reuters/Jefferies CRB Index	Jefferies Commodity Performance Index
Series:	Currency	Long/Only	Long/Only
Counterparty	Company B	Company C	Company C
Notional Amount	$15,426,942	$2,300,000	$2,300,000
Termination Date	1/26/2013	2/26/2010	2/26/2010
Investee Returns	Total Returns	Total Returns	Total Returns
Realized Gain/(Loss)	$0	$420,073	$463,827
Unrealized Gain/(Loss)	($4,129,164)	$0	$0
Fair Value as of 12/31/2009	$4,992,959	$278,645	$305,746
The Trust has invested in the following Swaps as of December 31, 2008:
	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	$101,715,457	$25,015,994	$2,200,000	$2,200,000
Termination Date	11/6/2012	1/26/2013	2/27/2009	2/27/2009
Investee Returns	Total Returns	Total Returns	Total Returns	Total Returns
Realized Gain/(Loss)	$0	$0	($1,371,769)	($1,312,318)
Unrealized Gain/(Loss)	$20,742,953	($2,877,879)	$0	$0
Fair Value as of 12/31/2008	$53,072,356	$9,122,121	$430,720	$405,834

5. Investments in Unconsolidated Trading Companies

Investments in unconsolidated trading companies 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.

F-50

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

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 and for the year ended December 31, 2009.

Trading Company	Percentage of Net Assets		Fair Value		Trading Commissions			Realized Gain (Loss)			Change in Unrealized Gain (Loss)			Net Income (Loss)
Balanced Series—
Frontier Trading Companies II LLC and VII, LLC	0.07	%	$	303,102	$	(2,119,966	)	$	27,198,524		$	(11,968,692	)	$	13,109,866
Winton Series—
Frontier Trading Company II LLC	18.89	%	$	11,033,691	$	(41,731	)	$	127,741		$	940,666		$	1,026,676
Campbell/Graham/Tiverton Series—
Frontier Trading Company V LLC, VI, LLC and XV, LLC	37.87	%	$	30,057,520	$	(254,782	)	$	7,521,736		$	(5,019,572	)	$	2,247,382
Winton/Graham Series—
Frontier Trading Company II, LLC	4.25	%	$	2,889,071	$	(76,610	)	$	(2,332,703	)	$	(497,669	)	$	(2,906,982	)
Frontier Long/Short Commodity Series—
Frontier Trading Company VII, LLC	1.98	%	$	1,357,682	$	(9,702	)	$	135,132		$	232,252		$	357,682
Managed Futures Index Series—
Frontier Trading Company I and VI LLC	25.85	%	$	975,271	$	(11,181	)	$	(418,895	)	$	(37,724	)	$	(467,800	)
Frontier Diversified Series—
Frontier Trading Company I LLC, II LLC, V LLC, VI, LLC, VII, LLC, XIII, LLC, XIV, LLC and XV, LLC	5.90	%	$	3,966,809	$	(241,773	)	$	2,241,681		$	(833,099	)	$	(1,166,809	)
Frontier Masters Series—
Frontier Trading Company II LLC, XIV, LLC, and XV, LLC	3.09	%	$	1,282,798	$	(43,728	)	$	2,257,011		$	(1,530,485	)	$	682,798

F-51

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

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

Trading Company	Percentage of Net Assets		Fair Value		Trading Commissions			Realized Gain (Loss)			Change in Unrealized Gain (Loss)			Net Income (Loss)
Balanced Series—
Frontier Trading Company II and VII, LLC	5.85	%	$	19,528,370	$	(670,137	)	$	(3,093,773	)	$	16,557,640		$	12,793,730
Campbell/Graham/Tiverton Series—
Frontier Trading Company I and VI LLC	11.01	%	$	8,559,112	$	(56,395	)	$	4,501,544		$	5,306,529		$	9,751,678
Winton/Graham Series—
Frontier Trading Company II and V LLC	8.65	%	$	4,342,658	$	(57,944	)	$	(7,581,309	)	$	13,250,856		$	5,611,603
Managed Futures Index Series—
Frontier Trading Company IX, LLC	22.66	%	$	770,967	$	(4,196	)	$	706,836		$	(41,360	)	$	661,280

The following table summarizes the Balanced Series, Winton Series, Campbell/Graham/Tiverton Series, Winton/Graham Series and Managed Futures Index Series investments in unconsolidated trading companies as of and for the year ended December 31, 2007.

Trading Company	Percentage of Net Assets		Fair Value		Trading Commissions			Realized Gain (Loss)		Change in Unrealized Gain (Loss)			Net Income (Loss)
Balanced Series—
Frontier Trading Company VII, LLC	1.65	%	$	4,238,348	$	(735,368	)	$	9,809,155	$	(11,385,556	)	$	(2,311,769	)
Winton Series—
Frontier Trading Company II LLC	10.07	%	$	4,637,121	$	(98,797	)	$	6,756,630	$	(1,662,388	)	$	4,995,445
Campbell/Graham/Tiverton Series—
Frontier Trading Company VI LLC	29.92	%	$	18,353,523	$	(204,311	)	$	5,277,036	$	(5,003,053	)	$	69,672
Winton/Graham Series—
Frontier Trading Company V LLC	60.69	%	$	4,775,554	$	(42,272	)	$	1,718,484	$	(341,386	)	$	1,334,826
Managed Futures Index Series—
Frontier Trading Company IX, LLC	66.26	%	$	634,400	$	(2,636	)	$	101,276	$	11,135		$	109,775

F-52

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

The condensed statements of financial condition and statements of income as of and for the years ended December 31, 2009, 2008 and 2007 for the unconsolidated trading companies are as follows:

	Frontier Trading Company II, LLC			Frontier Trading Company VI, LLC			Frontier Trading Company IX, LLC			Beach Horizon Trading Company –Horizon Program, LLC		Frontier Trading Company XIV, LLC			Frontier Trading Company XV, LLC
Condensed Statement of Financial Condition— December 31, 2009
Cash held at futures commodities merchants	$	16,364,138		$	12,801,718		$	1,135,385		$	5,428,704	$	11,719,152		$	12,425,289
Open trade equity		527,503			(767,235	)		38,234			695,218		(2,498,825	)		11,374,083
Swaps/Options		—			—			—			—		—			—
Total assets	$	16,891,641		$	12,034,483		$	1,173,619		$	6,123,922	$	9,220,327		$	23,799,372
Members’ Equity	$	16,891,641		$	12,034,483		$	1,173,619		$	6,123,922	$	9,220,327		$	23,799,372
Condensed Statement of Income—For the Year Ended December 31, 2009
Interest income	$	11,757		$	9,613		$	5,629		$	—	$	(1,416	)	$	(1,089	)
Net realized gain on investments, less commissions		(3,862,915	)		(286,816	)		(1,080,812	)		428,694		2,886,310			14,054,689
Change in open trade equity		(1,513,729	)		(877,165	)		(165,186	)		695,228		(2,986,215	)		(14,596,420	)
Net income	$	(5,364,887	)	$	(1,154,368	)	$	(1,240,369	)	$	1,123,922	$	(101,321	)	$	(542,820	)
	Frontier Trading Company V, LLC			Frontier Trading Company VI, LLC			Frontier Trading Company IX, LLC
Condensed Statement of Financial Condition—December 31, 2008
Cash held at futures commodities merchants	$	5,221,709		$	6,271,352		$	1,794,715
Open trade equity		(111,526	)		109,880			203,419
Swaps/Options		—			—			—
Total assets	$	5,110,183		$	6,381,232		$	1,998,134
Members’ Equity	$	5,110,183		$	6,381,232		$	1,988,134
Condensed Statement of Income—For the Year Ended December 31, 2008
Interest income	$	278,151		$	344,098		$	63,692
Net realized gain on investments, less commissions		(16,625,970	)		1,377,864			3,737,713
Change in open trade equity		30,023,621			3,382,479			153,103
Net income	$	13,675,802		$	5,104,441		$	3,954,508

F-53

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

	Frontier Trading Company II, LLC			Frontier Trading Company V, LLC			Frontier Trading Company VI, LLC			Frontier Trading Company IX, LLC
Condensed Statement of Financial Condition—December 31, 2007
Cash held at futures commodities merchants	$	9,924,146		$	12,761,730		$	13,863,217		$	2,576,122
Open trade equity		970,867			(96,656	)		(1,481,122	)		50,316
Swaps/Options		—			—			14,912,063			—
Total assets	$	10,895,013		$	12,665,074		$	27,294,158		$	2,626,438
Members’ Equity	$	10,895,013		$	12,665,074		$	27,294,158		$	2,626,438
Condensed Statement of Income—For the Year Ended December 31, 2007
Interest income	$	434,402		$	653,524		$	813,618		$	92,235
Net realized gain on investments, less commissions		17,491,808			7,504,459			(7,192,697	)		942,262
Change in open trade equity		(452,160	)		(1,673,135	)		(6,352,783	)		(378,687	)
Net income	$	17,474,050		$	6,484,848		$	(12,731,862	)	$	655,810

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 1 a 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.

On March 12, 2009, the Managing Owner invested $20,000 in the Balanced Series, Class 2a and $460,000 in the Balanced Series, Class 2. On May 5, 2010, the Managing Owner invested $200,000 in the Managed Futures Index Series, Class 2 and $200,000 in the Winton Series, Class 2. On June 8, 2009, the Managing Owner redeemed $221 from the Balanced Series, Class 1a and $1,165 from the Winton Series, Class 1. On that same date, the Managing Owner invested $10,000 in the Balanced Series, Class 2a, $27,500 in the Frontier Diversified Series, Class 1, $27,500 in the Diversified Series, Class 2, $27,500 in the Frontier Dynamic Series, Class 1, $27,500 in the Frontier Dynamic Series, Class 2, $27,500 in the Frontier Long/Short Commodity Series, Class 1a, $27,500 in the Frontier Long/Short Commodity Series, Class 2a, $27,500 in the Frontier Masters Series, Class 1 and $27,500 in the Frontier Masters Series, Class 2. On September 29, 2009, the Managing Owner invested $150,000 in the Frontier Diversified

F-54

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

Series, Class 2 and $15,000 in the Frontier Masters Series, Class 2. On December 30, 2009, the Managing Owner exchanged $270,000 from the Balanced Series, Class 2 and $170,000 from the Campbell/Graham/Tiverton Series, Class 2 for equal amounts in the Frontier Diversified Series, Class 2 and The Frontier Masters Series, Class 2, respectively. On that same date, the Managing Owner invested $100,000 in the Frontier Diversified Series, Class 2.

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

The Managing Owner may make purchases or redemptions at any time on the same terms as any Limited Owner.

During 2009, Mr. Bornhoft, Chief Investment Officer, had no transactions involving Units of the Frontier Funds.

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

Mr. Bornhoft may make purchases or redemptions at any time on the same terms as any Limited Owner. No other principal of the Managing Owner or affiliates own any beneficial interest in the Trust but are allowed to do so.

The Balanced Series, in order to make investments in the 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.

F-55

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

The following table summarizes the Balanced Series advances to and reductions from other Series of the Trust as of December 31, 2009 and 2008.

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 on 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 on 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 on 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
Additions during period		—			—			—			—			—
Reduction during period		—			(24,000,000	)		—			(9,000,000	)		(33,000,000	)
Earnings on inter-series receivables		(823,661	)		135,922			(1,449,920	)		(499,754	)		(2,637,413	)
Inter-series receivables December 31, 2009	$	12,266,758		$	10,962,073		$	27,676,116		$	18,184,135		$	69,089,082

F-56

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

Balanced Series

Summary by Quarter

2008

	Currency Series
Inter-series receivables January 1, 2008	$	4,535,784
Additions during period		—
Reduction during period		—
Earnings on inter-series receivables		299,184
Inter-series receivables March 31, 2008	$	4,834,968
Additions during period		—
Reduction during period		—
Earnings on inter-series receivables		(81,840	)
Inter-series receivables June 30, 2008	$	4,753,128
Additions during period		11,000,000
Reduction during period		—
Earnings on inter-series receivables		(1,256,626	)
Inter-series receivables September 30, 2008	$	14,496,502
Additions during period		—
Reduction during period		—
Earnings on inter-series receivables		182,958
Inter-series receivables December 31, 2008	$	14,679,460

As sponsoring Management Company of the Trust, the Managing Owner has agreed to bear the organization and offering costs of the Trust. These costs were $6,673,565, $3,823,773 and 4,242,194 for the years ended December 31, 2009, 2008 and 2007, respectively.

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 1 a 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

F-57

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

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 1 a 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.

The following table summarizes fees incurred to the Managing Owner for the year ended December 31, 2009

Series:	Management Fee		Trading Fee		Incentive Fee			Service Fee
Frontier Diversified	$	189,654	$	656,932	$	299,318		$	179,789
Frontier Dynamic		—		391,638		—			43,521
Frontier Long/Short Commodity		2,923,989		350,577		2,135,357			1,437,570
Frontier Masters		336,955		444,862		9,073			95,272
Balanced		1,555,348		1,937,150		7,386,253			9,120,995
Campbell/Graham/Tiverton		2,291,126		421,502		222,963			2,148,431
Currency		161,155		140,572		—			302,067
Long Only Commodity		53,403		21,077		—			68,696
Managed Futures Index		78,544		19,812		—			41,467
Winton		1,430,660		331,643		(21,347	)		1,634,324
Winton/Graham		1,583,991		285,842		350,180			1,406,083

The following table summarizes fees incurred to the Managing Owner for the year ended December 31, 2008

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

F-58

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

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

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

The following table summarizes fees payable to the Managing Owner as of December 31, 2009

Series:	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified	$	28,225	$	73,768	$	132,434	$	607
Frontier Dynamic		—		28,591		—		—
Frontier Long/Short Commodity		144,346		15,480		278,267		63,507
Frontier Masters		29,929		40,976		—		1,313
Balanced		208,736		103,317		1,306,596		85,599
Campbell/Graham/Tiverton		94,011		17,084		—		86,041
Currency		8,537		5,570		—		13,629
Long Only Commodity		4,891		1,904		—		5,301
Managed Futures Index		7,105		1,636		—		2,083
Winton		63,259		13,271		—		74,866
Winton/Graham		79,384		12,080		—		52,712

The following table summarizes fees payable to the Managing Owner as of December 31, 2008

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

With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed therefore by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. For the 12 months ended December 31, 2009, amounts received or receivable from the Managing Owner for the difference

F-59

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

in monthly service fees from the prepaid initial service fees were $4,241 for the Currency Series, $7,777 for the Winton/Graham Series, $4,839 for the Long Only Commodity Series and $55 for the Frontier Dynamic Series. For the twelve months ended December 31, 2009, amounts paid or owing the Managing Owner for the difference in monthly service fees from prepaid initial service fees were $28,323 for the Balanced Series, $7,332 for the Campbell/Graham/Tiverton Series, $2,424 for the Frontier Long/Short Commodity Series, $671 for the Managed Futures Index Series, $10,220 for the Winton Series, $1,918 for the Frontier Diversified Series and $649 for the Frontier Masters 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), Winton Series, Campbell/Graham/Tiverton Series, Currency 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. During the years ended December 31, 2009, 2008 and 2007 the Trust paid $10,476,506, $8,268,510 and $7,064,961, respectively, 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. For these services the Managing Owner paid The Bornhoft Group Corporation $1,746,079, $1,259,529 and $1,032,296, respectively, for the years ended December 31, 2009, 2008 and 2007. Additionally, The Bornhoft Group Corporation provides office space to the Managing Owner, prorates office expenses, and advances certain direct expenses on behalf of the Managing Owner. Under this agreement, the Managing Owner reimbursed The Bornhoft Group Corporation $427,862, $477,612 and $316,970, respectively, for the years ended December 31, 2009, 2008 and 2007 for these expenses.

Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $3,142,942, $2,261,442 and $3,096,889, respectively, for the years ended December 31, 2009, 2008 and 2007.

Bornhoft Group Securities Corporation, a subsidiary of the Managing Owner, serves as wholesaler of the Trust by marketing to broker/dealer organizations. Its results are consolidated with the Managing Owner.

F-60

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

7. Financial Highlights

The following information presents the financial highlights of the Series for the year ended December 31, 2009. This data has been derived from the information presented in the financial statements.

	Frontier Diversified*						Frontier Dynamic*						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	$	100.00		$	100.00		$	100.00		$	100.00		$	100.39		$	109.28		$	122.70		$	100.00		$	100.00
Net operating results:
Interest income		2.41			2.43			72.10			72.56			1.93			2.14			2.21			1.80			1.81
Expenses		(7.23	)		(5.69	)		(123.88	)		(105.50	)		(11.85	)		(9.55	)		(9.85	)		(11.05	)		(8.08	)
Net gain/(loss) on investments, net of non-controlling interests		1.62			1.03			43.21			25.19			23.30			25.62			12.43			10.74			8.75
Net income/(loss)		(3.20	)		(2.23	)		(8.57	)		(7.75	)		13.38			18.21			4.79			1.49			2.48
Net asset value, December 31, 2009	$	96.80		$	97.77		$	91.43		$	92.25		$	113.77		$	127.49		$	127.49		$	101.49		$	102.48
Ratios to average net assets(3)
Net investment gain/(loss)		-8.60	%		-5.78	%		-96.63	%		-61.09	%		-9.15	%		-6.17	%		-10.52	%		-16.21	%		-10.93	%
Expenses before incentive fees		10.27	%		7.45	%		231.20	%		195.66	%		7.80	%		4.81	%		8.21	%		13.81	%		8.52	%
Expenses after incentive fees		12.91	%		10.08	%		231.20	%		195.66	%		10.93	%		7.95	%		13.56	%		19.37	%		14.08	%
Total return before incentive fees(2)		-5.95	%		-3.80	%		-10.38	%		-10.27	%		16.06	%		18.22	%		6.98	%		6.30	%		7.28	%
Total return after incentive fees(2)		-7.44	%		-5.29	%		-10.38	%		-10.27	%		12.92	%		15.08	%		3.84	%		3.17	%		4.15	%
	Frontier Masters***						Balanced****															Campbell/ Graham/Tiverton
	Class 1			Class 2			Class 1			Class 1a			Class 2			Class 2a			Class 3a			Class 1			Class 2
Per unit operating performance(1)
Net asset value, December 31, 2008 or beginning of operations	$	100.00		$	100.00		$	125.17		$	112.09		$	142.44		$	121.30		$	121.97		$	110.54		$	124.14
Net operating results:
Interest income		3.71			3.74			0.28			0.25			0.33			0.28			0.28			0.38			0.43
Expenses		(11.95	)		(10.12	)		(7.12	)		(6.36	)		(3.97	)		(3.37	)		(3.37	)		(6.98	)		(4.34	)
Net gain/(loss) on investments, net of non-controlling interests		2.70			1.75			0.21			(0.48	)		0.21			(0.61	)		(1.28	)		0.71			0.86
Net income/(loss)		(5.54	)		(4.63	)		(6.63	)		(6.59	)		(3.43	)		(3.70	)		(4.37	)		(5.89	)		(3.04	)
Net asset value, December 31, 2009	$	94.46		$	95.37		$	118.54		$	105.50		$	139.01		$	117.60		$	117.60		$	104.65		$	121.09
Ratios to average net assets(3)
Net investment gain/(loss)		-14.83	%		-11.42	%		-5.56	%		-5.56	%		-2.56	%		-2.56	%		-4.41	%		-6.24	%		-3.24	%
Expenses before incentive fees		21.32	%		17.90	%		3.90	%		3.90	%		0.90	%		0.90	%		1.55	%		6.33	%		3.33	%
Expenses after incentive fees		21.52	%		18.10	%		5.79	%		5.79	%		2.80	%		2.80	%		4.81	%		6.60	%		3.60	%
Total return before incentive fees(2)		-12.36	%		-10.27	%		-3.67	%		-4.15	%		-0.60	%		-1.65	%		-3.33	%		-5.21	%		-1.99	%
Total return after incentive fees(2)		-12.47	%		-10.38	%		-5.56	%		-6.05	%		-2.50	%		-3.55	%		-5.23	%		-5.48	%		-2.27	%

F-61

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

	Currency						Long Only						Managed Futures Index						Winton						Winton/Graham
	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	$	96.19		$	109.30		$	70.31		$	74.46		$	132.18		$	139.70		$	130.41		$	140.04		$	116.18		$	131.49
Net operating results:
Interest income		0.61			0.70			1.31			1.41			2.03			2.16			0.67			0.73			0.48			0.55
Expenses		(4.69	)		(2.38	)		(2.74	)		(1.37	)		(5.37	)		(3.12	)		(6.89	)		(3.53	)		(7.38	)		(4.68	)
Net gain/(loss) on investments, net of non-controlling interests		(14.11	)		(16.28	)		14.71			15.80			(16.30	)		(17.46	)		(6.63	)		(7.15	)		0.79			1.03
Net income/(loss)		(18.19	)		(17.96	)		13.28			15.84			(19.64	)		(18.42	)		(12.84	)		(9.94	)		(6.12	)		(3.10	)
Net asset value, December 31, 2009	$	78.00		$	91.34		$	83.59		$	90.30		$	112.54		$	121.28		$	117.57		$	130.09		$	110.07		$	128.39
Ratios to average net assets(3)
Net investment gain/(loss)		-4.68	%		-1.68	%		-1.95	%		0.05	%		-2.75	%		-0.75	%		-5.11	%		-2.11	%		-6.25	%		-3.26	%
Expenses before incentive fees		5.38	%		2.38	%		3.73	%		1.74	%		4.43	%		2.43	%		5.70	%		2.70	%		6.10	%		3.10	%
Expenses after incentive fees		5.38	%		2.38	%		3.73	%		1.74	%		4.43	%		2.43	%		5.66	%		2.66	%		6.68	%		3.69	%
Total return before incentive fees(2)		-20.89	%		-17.92	%		18.04	%		20.29	%		-15.53	%		-12.13	%		-10.77	%		-7.71	%		-4.57	%		-2.27	%
Total return after incentive fees(2)		-20.89	%		-17.92	%		18.04	%		20.29	%		-15.53	%		-12.13	%		-10.74	%		-7.67	%		-5.15	%		-2.85	%

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

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

(3) Annualized

* The Frontier Diversified Series and Frontier Dynamic Series began trading operations on June 9, 2009

** The Frontier Long/Short Commodity Series Class 3 Units began trading on May 29, 2009 and Class 1a and 2a Units began trading on June 8, 2009

*** The Frontier Masters Series began trading operations on June 9, 2009

**** The Balanced Series Class 3a Units began trading on June 3, 2009

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

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

F-62

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

	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, Janauary 1, 2008	$	91.90		$	100.20		$	100.66		$	111.00		$	95.04		$	104.37
Net operating results:
Interest income		0.50			0.54			0.93			1.03			0.45			0.53
Expenses		(10.78	)		(8.52	)		(5.27	)		(2.48	)		(9.94	)		(7.80	)
Net gain/(loss) on investments, net of minority interests		28.92			31.92			(0.12	)		(0.25	)		30.63			34.39
Net income/(loss)		18.64			23.94			(4.47	)		(1.70	)		21.14			27.12
Net asset value, December 31, 2008	$	110.54		$	124.14		$	96.19		$	109.30		$	116.18		$	131.49
Ratios to average net assets(3)
Net investment gain/(loss)		-10.45	%		-7.43	%		-4.30	%		-1.29	%		-8.86	%		-5.87	%
Expenses before incentive fees		6.39	%		3.38	%		5.21	%		2.21	%		5.57	%		2.57	%
Expenses after incentive fees		10.96	%		7.94	%		5.21	%		2.21	%		9.29	%		6.29	%
Total return before incentive fees(2)		23.65	%		26.87	%		-5.46	%		-9.14	%		21.42	%		24.61	%
Total return after incentive fees(2)		19.09	%		22.31	%		-5.46	%		-9.14	%		17.70	%		20.89	%
	Long Only Commodity						Long/Short Commodity						Managed Futures Index
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance(1)
Net asset value, Janauary 1, 2008	$	110.79		$	115.04		$	101.47		$	107.19		$	100.59		$	104.42
Net operating results:
Interest income		2.13			2.04			1.91			2.03			2.09			2.21
Expenses		(4.27	)		(1.91	)		(10.47	)		(7.75	)		(4.76	)		(2.64	)
Net gain/(loss) on investments, net of minority interests		(38.33	)		(40.71	)		7.48			7.81			34.27			35.71
Net income/(loss)		(40.48	)		(40.58	)		(1.08	)		2.09			31.59			35.28
Net asset value, December 31, 2008	$	70.31		$	74.46		$	100.39		$	109.28		$	132.18		$	139.70
Ratios to average net assets(3)
Net investment gain/(loss)		-1.89	%		0.12	%		-8.07	%		-5.06	%		-2.36	%		-0.36	%
Expenses before incentive fees		3.75	%		1.75	%		6.80	%		3.80	%		4.20	%		2.20	%
Expenses after incentive fees		3.75	%		1.75	%		9.87	%		6.86	%		4.20	%		2.20	%
Total return before incentive fees(2)		-40.10	%		-85.29	%		-1.40	%		-2.11	%		32.74	%		39.54	%
Total return after incentive fees(2)		-40.10	%		-85.29	%		-4.46	%		-5.17	%		32.74	%		39.54	%

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

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

(3) Annualized

F-63

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

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

	Balanced												Winton
	Class 1			Class 1a			Class 2			Class 2a			Class 1			Class 2
Per unit operating performance(1)
Net asset value, January 1, 2007	$	106.66		$	95.97		$	114.24		$	97.88		$	105.65		$	106.81
Net operating results:
Interest income		2.52			2.26			2.74			2.34			2.64			2.70
Expenses		(7.83	)		(7.02	)		(5.13	)		(4.38	)		(9.03	)		(5.95	)
Net gain/(loss) on investments, net of minority interests		0.11			(0.32	)		0.14			(0.37	)		14.58			15.06
Net income/(loss)		(5.20	)		(5.07	)		(2.24	)		(2.41	)		8.18			11.80
Net asset value, December 31, 2007	$	101.46		$	90.90		$	112.00		$	95.47		$	113.83		$	118.61
Ratios to average net assets(3)
Net investment gain/(loss)		-6.87	%		-6.87	%		-2.84	%		-2.84	%		-7.94	%		-3.95	%
Expenses before incentive fees		5.53	%		5.53	%		1.49	%		1.49	%		7.22	%		3.23	%
Expenses after incentive fees		10.14	%		10.14	%		6.11	%		6.11	%		11.21	%		7.22	%
Total return before incentive fees(2)		-1.79	%		-1.55	%		1.04	%		1.28	%		18.06	%		23.26	%
Total return after incentive fees(2)		-5.24	%		-5.00	%		-2.41	%		-2.17	%		15.07	%		20.28	%
	Campbell/Graham/ Tiverton						Currency						Winton/Graham
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance(1)
Net asset value, January 1, 2007	$	96.27		$	101.86		$	101.16		$	108.23		$	84.70		$	90.25
Net operating results:
Interest income		2.58			2.76			4.81			5.25			2.48			2.51
Expenses		(7.27	)		(4.71	)		(5.33	)		(2.44	)		(7.77	)		(5.23	)
Net gain/(loss) on investments, net of minority interests		0.32			0.29			0.02			(0.04	)		15.63			16.84
Net income/(loss)		(4.37	)		(1.66	)		(0.50	)		2.77			10.34			14.12
Net asset value, December 31, 2007	$	91.90		$	100.20		$	100.66		$	111.00		$	95.04		$	104.37
Ratios to average net assets(3)
Net investment gain/(loss)		-6.60	%		-2.57	%		-0.68	%		3.35	%		-7.96	%		-4.02	%
Expenses before incentive fees		7.92	%		3.90	%		6.93	%		2.91	%		8.61	%		4.68	%
Expenses after incentive fees		10.23	%		6.21	%		6.93	%		2.91	%		11.68	%		7.75	%
Total return before incentive fees(2)		-2.80	%		2.56	%		-1.40	%		0.75	%		12.78	%		17.82	%
Total return after incentive fees(2)		-4.52	%		0.84	%		-1.40	%		0.75	%		10.48	%		15.52	%

F-64

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

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

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

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

(3) Annualized

(4) The Dunn Series ceased trading operation on October 12, 2007

8. Derivative Instruments and Hedging Activities

The Series primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Series do not enter into or hold positions for hedging purposes as defined under ASC 815. The detail of the fair value of the Series’ derivatives by instrument types as of December 31, 2009 and 2008 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trust’s positions in swap contracts.

F-65

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

For the year ended December 31, 2009, the monthly average of futures contracts bought for the Trust was approximately 122,000 and sold for the Trust was approximately 117,500. The following table summarizes the trading revenue for the year ended December 31, 2009 by contract:

Realized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2009(1)

Type of contract	Frontier Long/ Short Series			Balanced Series			Campbell/Graham/ Tiverton Series
Metals	$	19,615,278		$	(5,239,299	)	$	383,614
Currencies		3,599,861			6,732,973			1,140,115
Energies		20,547,042			(13,532,062	)		(660,395	)
Agriculturals		9,409,345			10,327,412			(1,379,700	)
Interest rates		2,539,200			(25,905,939	)		(585,739	)
Stock indices		4,578,201			52,565,778			(515,373	)
Realized trading income/(loss)(2)	$	60,288,927		$	24,948,863		$	(1,617,478	)
Type of contract	Currency Series			Winton Series			Winton/Graham Series
Metals	$	—		$	1,427,741		$	1,470,562
Currencies		(178,743	)		(1,770,778	)		1,214,077
Energies		—			(2,503,289	)		(2,353,206	)
Agriculturals		—			(2,116,386	)		(774,992	)
Interest rates		—			1,325,304			(3,550,512	)
Stock indices		—			(1,047,591	)		9,847,851
Realized trading income/(loss)(2)	$	(178,743	)	$	(4,684,999	)	$	5,853,780

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

for the Year Ended December 31, 2009(1)

Type of contract	Frontier Long/Short Series			Balanced Series			Campbell/Graham/ Tiverton Series
Metals	$	(15,338,074	)	$	(1,597,128	)	$	187,751
Currencies		(141,604	)		(25,601,772	)		(885,245	)
Energies		1,796,390			1,165,825			397,133
Agriculturals		(15,751,965	)		2,978,506			(74,899	)
Interest rates		440,666			2,244,443			(844,133	)
Stock indices		678,338			3,786,085			459,162
Unrealized trading income/(loss)(2)	$	(28,316,249	)	$	(17,024,041	)	$	(760,231	)
Type of contract	Currency Series			Winton Series			Winton/Graham Series
Metals	$	—		$	(1,596,179	)	$	(647,951	)
Currencies		2,985			166,923			7,035,862
Energies		—			860,728			(1,024,357	)
Agriculturals		—			2,077,665			(895,567	)
Interest rates		—			(7,272,548	)		(1,762,016	)
Stock indices		—			2,154,604			(1,023,980	)
Unrealized trading income/(loss)(2)	$	2,985		$	(3,608,807	)	$	1,681,991

F-66

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

(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.

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.

F-67

The Frontier Fund

Notes to Financial Statements—(Continued)

As of December 31, 2009 and December 31, 2008

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

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

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

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-K and have the following events to report:

None.

F-68

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Frontier Fund,

as sole member of the Trading Companies

We have audited the accompanying statements of financial condition, including the condensed schedules of investments, of Frontier Trading Company I LLC, Frontier Trading Company II LLC, Frontier Trading Company III LLC, Frontier Trading Company IV LLC, Frontier Trading Company V LLC, Frontier Trading Company VI LLC, Frontier Trading Company VII, LLC, Frontier Trading Company VIII, LLC, Frontier Trading Company IX, LLC, Frontier Trading Company X, LLC, Frontier Trading Company XI, LLC, Frontier Trading Company XII, LLC, Beach Horizon Trading Company – Horizon Program, LLC, Frontier Trading Company XIV, LLC and Frontier Trading Company XV, LLC (collectively, the “Trading Companies”) as of December 31, 2009 and 2008, and the related statements of operations and changes in members’ equity for each of the three years in the period ended December 31, 2009. These financial statements are the responsibility of the management of the Frontier Fund. Our responsibility is to express an opinion on these financial statements based on our audits.

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

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Frontier Trading Company I LLC, Frontier Trading Company II LLC, Frontier Trading Company III LLC, Frontier Trading Company IV LLC, Frontier Trading Company V LLC, Frontier Trading Company VI LLC, Frontier Trading Company VII, LLC, Frontier Trading Company VIII, LLC, Frontier Trading Company IX, LLC, Frontier Trading Company X, LLC, Frontier Trading Company XI, LLC, Frontier Trading Company XII, LLC, Beach Horizon Trading Company – Horizon Program, LLC, Frontier Trading Company XIV, LLC and Frontier Trading Company XV, LLC as of December 31, 2009 and 2008, and the results of their operations for each of the three years in the period ended December 31, 2009, in conformity with U.S. generally accepted accounting principles.

/s/ McGladrey & Pullen, LLP

Denver, Colorado

March 22, 2010

F-69

The Trading Companies of the Frontier Fund

Statements of Financial Condition

December 31, 2009 and 2008

	Frontier Trading Company I LLC				Frontier Trading Company II LLC				Frontier Trading Company III LLC
	12/31/2009		12/31/2008		12/31/2009		12/31/2008		12/31/2009		12/31/2008
ASSETS
Receivable from futures commission merchants		27,651,040		28,949,317		16,364,138		9,653,595		489,481		670,927
Open trade equity		2,092,171		22,836,227		527,503		2,158,369		19,464		12,810
Swap contracts		41,020,535		53,072,356		—		—		4,992,959		9,122,121
Total Assets	$	70,763,746	$	104,857,900	$	16,891,641	$	11,811,964	$	5,501,904	$	9,805,858
LIABILITIES & MEMBERS’ EQUITY
LIABILITIES
Payable to futures commission merchants	$	—	$	—	$	—	$	—	$	—	$	—
Open trade deficit		—		—		—		—		—		—
Total Liabilities		—		—		—		—		—		—
MEMBERS’ EQUITY (Net Asset Value)		70,763,746		104,857,900		16,891,641		11,811,964		5,501,904		9,805,858
Total Liabilities and Members’ Equity	$	70,763,746	$	104,857,900	$	16,891,641	$	11,811,964	$	5,501,904	$	9,805,858
	Frontier Trading Company V LLC				Frontier Trading Company VI LLC				Frontier Trading Company VII, LLC
	12/31/2009		12/31/2008		12/31/2009		12/31/2008		12/31/2009		12/31/2008
ASSETS
Receivable from futures commission merchants		13,010,291		5,221,709		12,801,718		6,271,352		23,781,712		—
Open trade equity		810,189		—		—		109,880		—		10,753,763
Swap contracts		—		—		—		—		—		—
Total Assets	$	13,820,480	$	5,221,709	$	12,801,718	$	6,381,232	$	23,781,712	$	10,753,763
LIABILITIES & MEMBERS’ EQUITY
LIABILITIES
Payable to futures commission merchants	$	—	$	—	$	—	$	—	$	—	$	1,508,493
Open trade deficit		—		111,526		767,235		—		518,490		—
Total Liabilities		—		111,526		767,235		—		518,490		1,508,493
MEMBERS’ EQUITY (Net Asset Value)		13,820,480		5,110,183		12,034,483		6,381,232		23,263,222		9,245,270
Total Liabilities and Members’ Equity	$	13,820,480	$	5,221,709	$	12,801,718	$	6,381,232	$	23,781,712	$	10,753,763

F-70

The Trading Companies of the Frontier Fund

Statements of Financial Condition

December 31, 2009 and 2008

	Frontier Trading Company VIII, LLC				Frontier Trading Company IX, LLC				Frontier Trading Company X, LLC(1)
	12/31/2009		12/31/2008		12/31/2009		12/31/2008		12/31/2009		12/31/2008
ASSETS
Receivable from futures commission merchants		—		—		1,135,385		1,794,715		—		—
Open trade equity		—		—		38,234		203,419		—		—
Swap contracts		584,770		836,554		—		—		8,550,639		—
Total Assets	$	584,770	$	836,554	$	1,173,619	$	1,998,134	$	8,550,639	$	—
LIABILITIES & MEMBERS’ EQUITY
LIABILITIES
Payable to futures commission merchants	$	—	$	—	$	—	$	—	$	—	$	—
Open trade deficit		—		—		—		—		—		—
Total Liabilities		—		—		—		—		—		—
MEMBERS’ EQUITY (Net Asset Value)		584,770		836,554		1,173,619		1,998,134		8,550,639		—
Total Liabilities and Members’ Equity	$	584,770	$	836,554	$	1,173,619	$	1,998,134	$	8,550,639	$	—

(1) Trading Companies X, XI and XII commenced trading operations on June 10, 2009.

(2) Trading Company XIII commenced trading operations on June 15, 2009.

(3) Trading Companies XIV and XV commenced trading operations on June 19, 2009.

The accompanying notes are an integral part of these financial statements.

F-71

The Trading Companies of the Frontier Fund

Statements of Financial Condition

December 31, 2009 and 2008

	Frontier Trading Company XI, LLC(1)				Frontier Trading Company XII, LLC(1)				Beach Horizon Trading Company – Horizon Program, LLC(2)
	12/31/2009		12/31/2008		12/31/2009		12/31/2008		12/31/2009		12/31/2008
ASSETS
Receivable from futures commission merchants		—		—		—		—		5,428,704		—
Open trade equity		—		—		—		—		695,218		—
Swap contracts		15,972,157		—		10,027,253		—		—		—
Total Assets	$	15,972,157	$	—	$	10,027,253	$	—	$	6,123,922	$	—
LIABILITIES & MEMBERS’ EQUITY
LIABILITIES
Payable to futures commission merchants	$	—	$	—	$	—	$	—	$	—	$	—
Open trade deficit		—		—		—		—		—		—
Total Liabilities		—		—		—		—		—		—
MEMBERS’ EQUITY (Net Asset Value)		15,972,157		—		10,027,253		—		6,123,922		—
Total Liabilities and Members’ Equity	$	15,972,157	$	—	$	10,027,253	$	—	$	6,123,922	$	—
	Frontier Trading Company XIV, LLC(3)				Frontier Trading Company XV, LLC(3)
	12/31/2009		12/31/2008		12/31/2009		12/31/2008
ASSETS
Receivable from futures commission merchants		11,719,152		—		12,425,289		—
Open trade equity		—		—		11,374,083		—
Swap contracts		—		—		—		—
Total Assets	$	11,719,152	$	—	$	23,799,372	$	—
LIABILITIES & MEMBERS’ EQUITY
LIABILITIES
Payable to futures commission merchants	$	—	$	—	$	—	$	—
Open trade deficit		2,498,825		—		—		—
Total Liabilities		2,498,825		—		—		—
MEMBERS’ EQUITY (Net Asset Value)		9,220,327		—		23,799,372		—
Total Liabilities and Members’ Equity	$	11,719,152	$	—	$	23,799,372	$	—

(1) Trading Companies X, XI and XII commenced trading operations on June 10, 2009.

(2) Beach Horizon Trading Company – Horizon Program, LLC commenced trading operations on June 15, 2009.

(3) Trading Companies XIV and XV commenced trading operations on June 19, 2009.

The accompanying notes are an integral part of these financial statements.

F-72

The Trading Companies of the Frontier Fund

Condensed Schedule of Investments

December 31, 2009

	Frontier Trading Company I LLC					Frontier Trading Company II LLC					Frontier Trading Company III LLC				Frontier Trading Company V LLC
Description	Value			% of Net Asset Value		Value			% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value
LONG FUTURES CONTRACTS*
Various base metals futures contracts (US)	$	(35,600	)	-0.05	%	$	(75,905	)	-0.45	%			0.00	%	$	1,403		0.01	%
Various base metals futures contracts (Europe)		141,913		0.20	%		808,538		4.79	%			0.00	%		1,132,371		8.19	%
Various currency futures contracts (US)		81,706		0.12	%		(641,932	)	-3.80	%			0.00	%		(60	)	0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%			0.00	%		—		0.00	%
Various currency futures contracts (Europe)		(30,238	)	-0.04	%		(22,957	)	-0.14	%			0.00	%		(49,882	)	-0.36	%
Various currency futures contracts (Far East)		—		0.00	%		25,316		0.15	%			0.00	%		—		0.00	%
Various energy futures contracts (US)		(90,328	)	-0.13	%		34,132		0.20	%			0.00	%		78,236		0.57	%
Various energy futures contracts (Europe)		28,055		0.04	%		320		0.00	%			0.00	%		46,060		0.33	%
Various interest rates futures contracts (US)		(122,928	)	-0.17	%		(180,141	)	-1.07	%			0.00	%		(738	)	-0.01	%
Various interest rates futures contracts (Canada)		(5,809	)	-0.01	%		(11,375	)	-0.07	%			0.00	%		(22,874	)	-0.17	%
Various interest rates futures contracts (Europe)		(67,026	)	-0.09	%		(233,123	)	-1.38	%			0.00	%		(404,032	)	-2.92	%
Various interest rates futures contracts (Far East)		(13,382	)	-0.02	%		103,198		0.61	%			0.00	%		9,295		0.07	%
Various precious metals futures contracts (US)		(351,340	)	-0.50	%		(37,135	)	-0.22	%			0.00	%		(62,250	)	-0.45	%
Various precious metals futures contracts (Europe)		—		0.00	%		5,760		0.03	%			0.00	%		—		0.00	%
Various soft futures contracts (US)		408,173		0.58	%		217,088		0.10	%			0.00	%		213,979		1.55	%
Various soft futures contracts (Europe)		7,186		0.01	%		17,424		1.29	%			0.00	%		39,774		0.29	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%			0.00	%		—		0.00	%
Various stock index futures contracts (US)		865,940		1.22	%		211,794		1.25	%			0.00	%		(52,431	)	-0.38	%
Various stock index futures contracts (Canada)		—		0.00	%		22,119		0.13	%			0.00	%		17,967		0.13	%
Various stock index futures contracts (Europe)		(41,830	)	-0.06	%		508,030		3.01	%			0.00	%		17,477		0.13	%
Various stock index futures contracts (Far East)		—		0.00	%		211,260		1.23	%			0.00	%		94,269		0.68	%
Total Long Futures Contracts	$	774,492		1.10	%	$	962,411		5.66	%	$	—	0.00	%	$	1,058,564		7.66	%
LONG OPTIONS*	$	(220,439	)	-0.31	%	$	(3,846	)	-0.02	%	$	—	0.00	%	$	—		0.00	%
SHORT FUTURES CONTRACTS*
Various base metals futures contracts (US)	$	66,900		0.09	%	$	—		0.00	%			0.00	%	$	7,800		0.06	%
Various base metals futures contracts (Europe)		(12,738	)	-0.02	%		(199,794	)	-1.18	%			0.00	%		(508,727	)	-3.66	%
Various currency futures contracts (US)		(47,076	)	-0.07	%		(50,906	)	-0.30	%			0.00	%		4,708		0.03	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%			0.00	%		—		0.00	%
Various currency futures contracts (Europe)		487,868		0.69	%		7,875		0.05	%			0.00	%		(1,907	)	-0.01	%
Various currency futures contracts (Far East)		—		0.00	%		(3,480	)	-0.02	%			0.00	%		(3,276	)	-0.02	%
Various energy futures contracts (US)		(4,870	)	-0.01	%		(155,584	)	-0.92	%			0.00	%		18,764		0.14	%
Various energy futures contracts (Europe)		—		0.00	%		(9,125	)	-0.04	%			0.00	%		—		0.00	%
Various interest rates futures contracts (US)		540,639		0.76	%		14,719		0.09	%			0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%			0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		351,638		0.50	%		(9,673	)	-0.06	%			0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		(3,336	)	0.00	%		(2,671	)	-0.02	%			0.00	%		35,289		0.26	%
Various precious metals futures contracts (US)		—		0.00	%		—		0.00	%			0.00	%		—		0.00	%
Various soft futures contracts (US)		5,674		0.01	%		(30,118	)	-0.18	%			0.00	%		16,048		0.12	%
Various soft futures contracts (Canada)		—		0.00	%		(660	)	0.00	%			0.00	%		—		0.00	%
Various soft futures contracts (Europe)		230		0.00	%		(200	)	0.00	%			0.00	%		—		0.00	%
Various stock index futures contracts (US)		9,760		0.01	%		—		0.00	%			0.00	%		(2,250	)	-0.02	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%			0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		(19,006	)	-0.03	%		—		0.00	%			0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		(282,799	)	-0.40	%		—		0.00	%			0.00	%		—		0.00	%
Total Short Futures Contracts	$	1,092,884		1.53	%	$	(439,617	)	-2.59	%	$	—	0.00	%	$	(433,551	)	-3.10	%
SHORT OPTIONS*	$	445,234		0.63	%	$	8,555		0.05	%	$	201	0.00	%	$	—		0.00	%
CURRENCY FORWARDS*	$	—		0.00	%	$	—		0.00	%	$	19,263	0.35	%	$	185,176		1.34	%
Total Open Trade Equity	$	2,092,171		2.95	%	$	527,503		3.10	%	$	19,464	0.35	%	$	810,189		5.90	%
SWAPS(1)	$	41,020,535		57.98	%	$	—		0.00	%	$	4,992,959	90.75	%	$	—		0.00	%

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

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

The accompanying notes are an integral part of these financial statements.

F-73

The Trading Companies of the Frontier Fund

Condensed Schedule of Investments

December 31, 2009

		Frontier Trading Company VI LLC					Frontier Trading Company VII, LLC					Frontier Trading Company VIII, LLC				Frontier Trading Company IX, LLC
	Description	Value			% of Net Asset Value		Value			% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value
LONG FUTURES CONTRACTS
	Various base metals futures contracts (US)	$	(66,750	)	-0.55	%	$	(156,407	)	-0.67	%	$	—	0.00	%	$	—		0.00	%
	Silver @ Comex Settling 5/1/2010 (Number of Contracts: 500)		—		0.00	%		1,090,000		4.69	%		—	0.00	%		—		0.00	%
	Various base metals futures contracts (Europe)		255,067		2.12	%		1,150,643		4.95	%		—	0.00	%		76,345		6.51	%
	Aluminum Settling 1/1/2010 (Number of Contracts: 21)		—		0.00	%		—		0.00	%		—	0.00	%		148,174		12.63	%
	Various currency futures contracts (US)		—		0.00	%		(6,050	)	-0.03	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		(44,600	)	-0.37	%		(39,963	)	-0.17	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various energy futures contracts (US)		28,427		0.24	%		(2,068,184	)	-8.89	%		—	0.00	%		7,967		0.68	%
	Crude Oil, Light Settling 3/1/2010 (Number of Contracts: 1,281)		—		0.00	%		3,305,111		14.21	%		—	0.00	%		—		0.00	%
	Natural Gas Settling 5/1/2010 (number of Contracts: 699)		—		0.00	%		(1,204,616	)	-5.18	%		—	0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		2,495		0.02	%		23,935		0.10	%		—	0.00	%		—		0.00	%
	Various interest rates futures contracts (US)		(502,446	)	-4.18	%		(159,796	)	-0.69	%		—	0.00	%		—		0.00	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		(317,596	)	-2.64	%		(228,947	)	-0.98	%		—	0.00	%		—		0.00	%
	Various interest rates futures contracts (Far East)		10,180		0.08	%		52,229		0.22	%		—	0.00	%		24,858		2.12	%
	Various precious metals futures contracts (US)		(50,070	)	-0.43	%		(269,865	)	-1.16	%		—	0.00	%		—		0.00	%
	Various precious metals futures contracts (Europe)		—		0.00	%		15		0.00	%		—	0.00	%		—		0.00	%
	Various soft futures contracts (US)		(1,381	)	-0.01	%		495,577		2.13	%		—	0.00	%		(7,373	)	-0.63	%
	Coffee @ CSCE Settling 12/1/2010 (Number of Contracts: 2,014)		—		0.00	%		(5,962,294	)	-25.63	%		—	0.00	%		—		0.00	%
	Coffee @ CSCE Settling 9/1/2010 (Number of Contracts: 1,703)		—		0.00	%		(6,875,963	)	-29.56	%		—	0.00	%		—		0.00	%
	Various soft futures contracts (Far East)		—		0.00	%		8,290		0.04	%		—	0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		—		0.00	%		5,313		0.02	%		—	0.00	%		—		0.00	%
	Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various stock index futures contracts (US)		151,937		1.26	%		111,835		0.48	%		—	0.00	%		41,909		3.57	%
	Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		201,782		1.68	%		(7,766	)	-0.03	%		—	0.00	%		22,203		1.89	%
	Various stock index futures contracts (Far East)		143,511		1.19	%		—		0.00	%		—	0.00	%		8,550		0.72	%
	Total Long Futures Contracts	$	(189,444	)	-1.59	%	$	(10,736,903	)	-46.15	%	$	—	0.00	%	$	322,633		27.49	%
LONG OPTIONS*		$	14,815		0.12	%	$	(205,075	)	-0.88	%			0.00	%				0.00	%

F-74

The Trading Companies of the Frontier Fund

Condensed Schedule of Investments

December 31, 2009

		Frontier Trading Company VI LLC					Frontier Trading Company VII, LLC					Frontier Trading Company VIII, LLC				Frontier Trading Company IX, LLC
	Description	Value			% of Net Asset Value		Value			% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value
SHORT FUTURES CONTRACTS
	Various base metals futures contracts (US)	$	—		0.00	%	$	(13,613	)	-0.06	%	$	—	0.00	%	$	—		0.00	%
	Silver @ Comex Settling 3/1/2010 (Number of Contracts: 500)		—		0.00	%		(1,075,000	)	-4.62	%		—	0.00	%		—		0.00	%
	Various base metals futures contracts (Europe)		(92,500	)	-0.77	%		(799,966	)	-3.44	%		—	0.00	%		(67,350	)	-5.74	%
	Aluminum Settling 1/1/2010 (Number of Contracts: 21)		—		0.00	%		—		0.00	%		—	0.00	%		(174,037	)	-14.83	%
	Various currency futures contracts (US)		—		0.00	%		5,488		0.02	%		—	0.00	%		5,466		0.47	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		—		0.00	%		10,638		0.05	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Far East)		—		0.00	%		21,703		0.07	%		—	0.00	%		—		0.00	%
	Various energy futures contracts (US)		—		0.00	%		694,557		3.01	%		—	0.00	%		(16,841	)	-1.43	%
	Crude Oil, Light Settling 2/1/2010 (Number of Contracts: 650)		—		0.00	%		(1,812,713	)	-7.79	%		—	0.00	%		—		0.00	%
	Crude Oil, Light Settling 4/1/2010 (Number of Contracts: 613)		—		0.00	%		(1,370,558	)	-5.89	%		—	0.00	%		—		0.00	%
	Natural Gas Settling 4/1/2010 (number of Contracts: 747)		—		0.00	%		1,627,470		7.00	%		—	0.00	%		—		0.00	%
	Natural Gas Settling 8/1/2010 (number of Contracts: 1,387)		—		0.00	%		941,441		4.05	%		—	0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		—		0.00	%		(69,230	)	-0.30	%		—	0.00	%		(4,400	)	-0.37	%
	Various interest rates futures contracts (US)		—		0.00	%		361,042		1.55	%		—	0.00	%		12,695		1.07	%
	Various interest rates futures contracts (Canada)		(3,329	)	-0.04	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		(14,663	)	-0.12	%		—		0.00	%		—	0.00	%		12,446		1.06	%
	Various interest rates futures contracts (Far East)		46,065		0.38	%		—		0.00	%		—	0.00	%		(624	)	-0.05	%
	Various precious metals futures contracts (US)		500		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various soft futures contracts (US)		2,988		0.02	%		(1,126,898	)	-4.84	%		—	0.00	%		(8,015	)	-0.68	%
	Coffee @ CSCE Settling 3/1/2010 (Number of Contracts: 2,562)		—		0.00	%		7,791,994		33.50	%		—	0.00	%		—		0.00	%
	Coffee @ CSCE Settling 5/1/2010 (Number of Contracts: 456)		—		0.00	%		2,061,450		8.86	%		—	0.00	%		—		0.00	%
	Coffee @ CSCE Settling 7/1/2010 (Number of Contracts: 718)		—		0.00	%		3,021,281		12.99	%		—	0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		—		0.00	%		5,063		0.02	%		—	0.00	%		—		0.00	%
	Various stock index futures contracts (US)		—		0.00	%		(16,665	)	-0.07	%		—	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	%		(1,461	)	-0.01	%		—	0.00	%		—		0.00	%
	Total Short Futures Contracts	$	(60,939	)	-0.53	%	$	10,256,023		44.10	%	$	—	0.00	%	$	(240,660	)	-20.50	%
SHORT OPTIONS*		$	(20,998	)	-0.17	%	$	167,465		0.72	%	$	—	0.00	%	$	—		0.00	%
CURRENCY FORWARDS*		$	(510,669	)	-4.24	%	$	—		0.00	%	$	—	0.00	%	$	(43,739	)	-3.73	%
	Total Open Trade Equity	$	(767,235	)	6.41	%	$	(518,490	)	-2.21	%	$	—	0.00	%	$	38,234		3.26	%
SWAPS (1)		$	—		0.00	%	$	—		0.00	%	$	584,770	100.00	%	$	—		0.00	%

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

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

The accompanying notes are an integral part of these financial statements.

F-75

The Trading Companies of the Frontier Fund

Condensed Schedule of Investments

December 31, 2009

		Frontier Trading Company X, LLC				Frontier Trading Company XI, LLC				Frontier Trading Company XII, LLC				Beach Horizon Trading Company – Horizon Program, LLC
	Description	Value		% of Net Asset Value		Value		% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value
LONG FUTURES CONTRACTS
	Various base metals futures contracts (US)	$	—	0.00	%	$	—	0.00	%	$	—	0.00	%	$	(628	)	-0.01	%
	Various base metals futures contracts (Europe)		—	0.00	%		—	0.00	%		—	0.00	%		463,248		7.56	%
	Various currency futures contracts (US)		—	0.00	%		—	0.00	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Canada)		—	0.00	%		—	0.00	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		—	0.00	%		30,663		0.50	%
	Various currency futures contracts (Far East)		—	0.00	%		—	0.00	%		—	0.00	%		32,904		0.54	%
	Various energy futures contracts (US)		—	0.00	%		—	0.00	%		—	0.00	%		28,016		0.46	%
	Various energy futures contracts (Europe)		—	0.00	%		—	0.00	%		—	0.00	%		270		0.00	%
	Various interest rates futures contracts (US)		—	0.00	%		—	0.00	%		—	0.00	%		(65,078	)	-1.06	%
	Various interest rates futures contracts (Canada)		—	0.00	%		—	0.00	%		—	0.00	%		(25,441	)	-0.42	%
	Various interest rates futures contracts (Europe)		—	0.00	%		—	0.00	%		—	0.00	%		26,979		0.44	%
	Various interest rates futures contracts (Far East)		—	0.00	%		—	0.00	%		—	0.00	%		14,604		0.24	%
	Various precious metals futures contracts (US)		—	0.00	%		—	0.00	%		—	0.00	%		124,385		2.03	%
	Various precious metals futures contracts (Europe)		—	0.00	%		—	0.00	%		—	0.00	%		19,570		0.32	%
	Various soft futures contracts (US)		—	0.00	%		—	0.00	%		—	0.00	%		123,144		2.01	%
	Various soft futures contracts (Far East)		—	0.00	%		—	0.00	%		—	0.00	%		(2,417	)	-0.04	%
	Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		—	0.00	%		14,411		0.24	%
	Various soft futures contracts (Canada)		—	0.00	%		—	0.00	%		—	0.00	%		—		0.00	%
	Various stock index futures contracts (US)		—	0.00	%		—	0.00	%		—	0.00	%		12,546		0.20	%
	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	%		46,977		0.77	%
	Various stock index futures contracts (Far East)		—	0.00	%		—	0.00	%		—	0.00	%		31,092		0.51	%
	Total Long Futures Contracts	$	—	0.00	%	$	—	0.00	%	$	—	0.00	%	$	875,245		14.29	%
LONG OPTIONS*		$	—	0.00	%	$	—	0.00	%	$	—	0.00	%	$	—		0.00	%

F-76

The Trading Companies of the Frontier Fund

Condensed Schedule of Investments

December 31, 2009

		Frontier Trading Company X, LLC				Frontier Trading Company XI, LLC				Frontier Trading Company XII, LLC				Beach Horizon Trading Company – Horizon Program, LLC
	Description	Value		% of Net Asset Value		Value		% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value
SHORT FUTURES CONTRACTS
	Various base metals futures contracts (US)	$	—	0.00	%	$	—	0.00	%	$	—	0.00	%	$	—		0.00	%
	Various base metals futures contracts (Europe)		—	0.00	%		—	0.00	%		—	0.00	%		(83,085	)	-1.36	%
	Various currency futures contracts (US)		—	0.00	%		—	0.00	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Canada)		—	0.00	%		—	0.00	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Far East)		—	0.00	%		—	0.00	%		—	0.00	%		—		0.00	%
	Various energy futures contracts (US)		—	0.00	%		—	0.00	%		—	0.00	%		(6,900	)	-0.12	%
	Various energy futures contracts (Europe)		—	0.00	%		—	0.00	%		—	0.00	%		(17,650	)	-0.29	%
	Various interest rates futures contracts (US)		—	0.00	%		—	0.00	%		—	0.00	%		186		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	%		17,670		0.29	%
	Various precious metals futures contracts (US)		—	0.00	%		—	0.00	%		—	0.00	%		—		0.00	%
	Various soft futures contracts (US)		—	0.00	%		—	0.00	%		—	0.00	%		(67,975	)	-1.11	%
	Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		—	0.00	%		16,000		0.26	%
	Various stock index futures contracts (US)		—	0.00	%		—	0.00	%		—	0.00	%		(4,665	)	-0.08	%
	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	%	$	—	0.00	%	$	(146,419	)	-2.41	%
SHORT OPTIONS*		$	—	0.00	%	$	—	0.00	%	$	—	0.00	%	$	—		0.00	%
CURRENCY FORWARDS*		$	—	0.00	%	$	—	0.00	%	$	—	0.00	%	$	(33,608	)	-0.55	%
	Total Open Trade Equity	$	—	0.00	%	$	—	0.00	%	$	—	0.00	%	$	695,218		11.33	%
SWAPS(1)		$	8,550,639	100.00	%	$	15,972,157	100.00	%	$	10,027,253	100.00	%	$	—		0.00	%

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

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

The accompanying notes are an integral part of these financial statements.

F-77

The Trading Companies of the Frontier Fund

Condensed Schedule of Investments

December 31, 2009

		Frontier Trading Company XIV, LLC					Frontier Trading Company XV, LLC
	Description	Value			% of Net Asset Value		Value			% of Net Asset Value
LONG FUTURES CONTRACTS
	Various base metals futures contracts (US)	$	—		0.00	%	$	—		0.00	%
	Various base metals futures contracts (Europe)		4,619,838		50.10	%		16,503,410		69.34	%
	Various currency futures contracts (US)		—		0.00	%		—		0.00	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		(4,200	)	-0.05	%		(49,463	)	-0.21	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%
	Various energy futures contracts (US)		609,726		6.61	%		(11,635	)	-0.05	%
	Various energy futures contracts (Europe)		125,050		1.37	%		—		0.00	%
	Various interest rates futures contracts (US)		(104,266	)	-1.13	%		—		0.00	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		(77,701	)	-0.84	%		(42,406	)	-0.18	%
	Various interest rates futures contracts (Far East)		(11,389	)	-0.12	%		—		0.00	%
	Various precious metals futures contracts (US)		(25,070	)	-0.27	%		92,980		0.38	%
	Various soft futures contracts (US)		1,025		0.01	%		390,265		1.64	%
	Various soft futures contracts (Far East)		—		0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		—		0.00	%		375,047		1.57	%
	Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%
	Various stock index futures contracts (US)		1,528		0.02	%		(6,110	)	-0.03	%
	Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		12,787		0.14	%		—		0.00	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%
	Total Long Futures Contracts	$	5,147,328		55.84	%	$	17,252,088		72.46	%
LONG OPTIONS		$	—		0.00	%	$	389,504		1.64	%
Copper @ LME Settling 3/1/2010 (Number of Contracts: 95)			—		0.00	%		(1,488,199	)	-6.25	%
SHORT FUTURES CONTRACTS
	Various base metals futures contracts (US)	$	—		0.00	%	$	(237,534	)	-1.00	%
	Various base metals futures contracts (Europe)		—		0.00	%		6,233,016		26.19	%
	Copper @ LME Settling 3/17/2010 (Number of Contracts: 744)		—		0.00	%		(14,032,634	)	-58.96	%
	Various currency futures contracts (US)		—		0.00	%		—		0.00	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		5,275		0.06	%		440,884		1.85	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%
	Various energy futures contracts (US)		(769,682	)	-8.35	%		—		0.00	%
	Various energy futures contracts (Europe)		(181,300	)	-1.97	%		—		0.00	%
	Various interest rates futures contracts (US)		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		7,039		0.08	%		682,354		2.87	%
	Various precious metals futures contracts (US)		—		0.00	%		—		0.00	%
	Gold @ COMEX Settling 2/1/2010 (Number of Contracts: 440)		—		0.00	%		3,503,376		14.72	%
	Various precious metals futures contracts (Europe)		(4,850,464	)	-52.60	%		—		0.00	%
	Various soft futures contracts (US)		(66,563	)	-0.72	%		202,794		0.85	%
	Various soft futures contracts (Europe)		—		0.00	%		(584,915	)	-2.46	%
	Various stock index futures contracts (US)		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		7,945		0.09	%		—		0.00	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%
	Total Short Futures Contracts	$	(5,847,750	)	-63.41	%	$	(3,792,659	)	-15.94	%
SHORT OPTIONS*		$	—		0.00	%	$	(818,820	)	-3.44	%
CURRENCY FORWARDS*		$	(1,798,403	)	-19.50	%	$	(167,831	)	-0.71	%
	Total Open Trade Equity	$	(2,498,825	)	-27.07	%	$	11,374,083		47.76	%
SWAPS(1)		$	—		0.00	%	$	—		0.00	%

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

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

The accompanying notes are an integral part of these financial statements.

F-78

The Trading Companies of the Frontier Fund

Condensed Schedule of Investments

December 31, 2008

		Frontier Trading Company I LLC					Frontier Trading Company II LLC					Frontier Trading Company III LLC				Frontier Trading Company V LLC
	Description	Value			% of Net Asset Value		Value			% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value
LONG FUTURES CONTRACTS*
	Various base metals futures contracts (US)	$	(12,284,337	)	-11.72	%	$	(61,704	)	-0.52	%	$	—	0.00	%	$	(16,604	)	-0.31	%
	Various currency futures contracts (US)		711,287		0.68	%		706,944		5.97	%		—	0.00	%		16,123		0.30	%
	Various currency futures contracts (Canada)		6,889		0.01	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		40,525		0.04	%		8,268		0.07	%		—	0.00	%		1,315		0.03	%
	Various currency futures contracts (Far East)		12,768		0.01	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various energy futures contracts (US)		(742,136	)	-0.71	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various interest rates futures contracts (US)		(148,731	)	-0.15	%		595,492		5.04	%		—	0.00	%		(80,680	)	-1.58	%
	Various interest rates futures contracts (Canada)		22,811		0.02	%		57,298		0.49	%		—	0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		216,792		0.21	%		1,120,595		9.49	%		—	0.00	%		152,684		2.99	%
	Various interest rates futures contracts (Far East)		41,496		0.04	%		210,136		1.78	%		—	0.00	%		38,094		0.75	%
	Various precious metals futures contracts (US)		757,370		0.72	%		—		0.00	%		—	0.00	%		3,340		0.06	%
	Various soft futures contracts (US)		1,449,530		1.38	%		8,930		0.08	%		—	0.00	%		290		0.01	%
	Various soft futures contracts (Europe)		155,590		0.15	%		51,098		0.43	%		—	0.00	%		2,660		0.05	%
	Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various stock index futures contracts (US)		119,055		0.11	%		935		0.01	%		—	0.00	%		2,274		0.04	%
	Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		22,204		0.02	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various stock index futures contracts (Far East)		130,840		0.12	%		—		0.00	%		—	0.00	%		—		0.00	%
	Total Long Futures Contracts	$	(9,488,047	)	-9.06	%	$	2,697,992		22.84	%	$	—	0.00	%	$	119,496		2.34	%
LONG OPTIONS*		$	19,791,432		18.87	%	$	—		0.00	%	$	—	0.00	%	$	—		0.00	%

F-79

The Trading Companies of the Frontier Fund

Condensed Schedule of Investments

December 31, 2008

		Frontier Trading Company I LLC					Frontier Trading Company II LLC					Frontier Trading Company III LLC				Frontier Trading Company V LLC
	Description	Value			% of Net Asset Value		Value			% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value
SHORT FUTURES CONTRACTS*
	Various base metals futures contracts (US)	$	15,995,032		15.25	%	$	501,985		4.25	%	$	—	0.00	%	$	41,676		0.81	%
	Various currency futures contracts (US)		117,866		0.12	%		(456,100	)	-3.86	%		—	0.00	%		625		0.01	%
	Various currency futures contracts (Canada)		(9,283	)	-0.01	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		37,430		0.04	%		—		0.00	%		—	0.00	%		(5,097	)	-0.10	%
	Various currency futures contracts (Far East)		(36,957	)	-0.04	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various energy futures contracts (US)		844,015		0.80	%		109,090		0.92	%		—	0.00	%		(7,363	)	-0.14	%
	Various interest rates futures contracts (US)		(340,369	)	-0.32	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		(26,077	)	-0.02	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various interest rates futures contracts (Far East)		(8,694	)	-0.01	%		(3,652	)	-0.03	%		—	0.00	%		(1,075	)	-0.02	%
	Various precious metals futures contracts (US)		(172,610	)	-0.16	%		(11,840	)	-0.10	%		—	0.00	%		(4,930	)	-0.10	%
	Various soft futures contracts (US)		(871,584	)	-0.82	%		(628,657	)	-5.32	%		—	0.00	%		(83,229	)	-1.63	%
	Various soft futures contracts (Canada)		—		0.00	%		(1,171	)	-0.01	%		—	0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		(56,202	)	-0.05	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various stock index futures contracts (US)		(2,748	)	0.00	%		(22,255	)	-0.19	%		—	0.00	%		(290	)	-0.01	%
	Various stock index futures contracts (Canada)		—		0.00	%		(4,154	)	-0.04	%		—	0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		(11,011	)	-0.01	%		(22,869	)	-0.19	%		—	0.00	%		(5,296	)	-0.10	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—	0.00	%		(4,798	)	-0.09	%
	Total Short Futures Contracts	$	15,458,808		14.77	%	$	(539,623	)	-4.57	%	$	—	0.00	%	$	(69,777	)	-1.37	%
SHORT OPTIONS*		$	(3,378,636	)	-3.22	%	$	—		0.00	%	$	—	0.00	%	$	—		0.00	%
CURRENCY FORWARDS*
		$	452,670		0.44	%	$	—		0.00	%	$	12,810	0.13	%	$	(161,245	)	-6.07	%
	Total Open Trade Equity	$	22,836,227		21.78	%	$	2,158,369		18.27	%	$	12,810	0.13	%	$	(111,526	)	-2.19	%
SWAPS(1)		$	53,072,356		50.61	%	$	—		0.00	%	$	9,122,121	93.03	%	$	—		0.00	%

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

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

The accompanying notes are an integral part of these financial statements.

F-80

The Trading Companies of the Frontier Fund

Condensed Schedule of Investments

December 31, 2008

		Frontier Trading Company VI LLC					Frontier Trading Company VII, LLC					Frontier Trading Company VIII, LLC				Frontier Trading Company IX, LLC
	Description	Value			% of Net Asset Value		Value			% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value
LONG FUTURES CONTRACTS
	Various base metals futures contracts (US)	$	6,568		0.10	%	$	99,628		1.08	%	$	—	0.00	%	$	(17,822	)	-0.89	%
	Silver @ Comex Settling 5/1/2009 (Number of Contracts: 647)		—		0.00	%		(2,997,465	)	-32.42	%		—	0.00	%		—		0.00	%
	Silver @ Comex Settling 7/1/2009 (Number of Contracts: 1,096)		—		0.00	%		3,008,100		32.54	%		—	0.00	%		—		0.00	%
	Silver @ Comex Settling 12/1/2009 (Number of Contracts: 736)		—		0.00	%		2,138,080		23.13	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (US)		—		0.00	%		166,320		1.80	%		—	0.00	%		18,700		0.94	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		(2,396	)	-0.04	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—	0.00	%		(1,158	)	-0.06	%
	Various energy futures contracts (US)		—		0.00	%		(522,392	)	-5.65	%		—	0.00	%		—		0.00	%
	Various interest rates futures contracts (US)		(88,266	)	-1.37	%		(391	)	0.00	%		—	0.00	%		92,156		4.62	%
	Various interest rates futures contracts (Canada)		2,491		0.04	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		115,648		1.81	%		—		0.00	%		—	0.00	%		68,137		3.41	%
	Various interest rates futures contracts (Far East)		147,684		2.32	%		—		0.00	%		—	0.00	%		25,269		1.26	%
	Various precious metals futures contracts (US)		3,250		0.05	%		342,510		3.70	%		—	0.00	%		—		0.00	%
	Various soft futures contracts (US)		—		0.00	%		(2,558,068	)	-27.67	%		—	0.00	%		675		0.03	%
	Sugar #11 Settling 7/1/2009 (Number of Contracts 459)		—		0.00	%		1,403,438		15.17	%		—	0.00	%		—		0.00	%
	Various soft futures contracts (Far East)		—		0.00	%		(35	)	0.00	%		—	0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		—		0.00	%		100,873		1.09	%		—	0.00	%		—		0.00	%
	Various soft futures contracts (Canada)		—		0.00	%		376		0.00	%		—	0.00	%		—		0.00	%
	Various stock index futures contracts (US)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		13,693		0.21	%		—		0.00	%		—	0.00	%		(1,001	)	-0.05	%
	Various stock index futures contracts (Far East)		2,168		0.03	%		—		0.00	%		—	0.00	%		—		0.00	%
Total Long Futures Contracts		$	200,840		3.15	%	$	1,180,974		12.77	%	$	—	0.00	%	$	184,956		9.26	%
LONG OPTIONS*		$	—		0.00	%	$	285,120		3.08	%	$	—	0.00	%	$	—		0.00	%

F-81

The Trading Companies of the Frontier Fund

Condensed Schedule of Investments

December 31, 2008

		Frontier Trading Company VI LLC					Frontier Trading Company VII, LLC					Frontier Trading Company VIII, LLC				Frontier Trading Company IX, LLC
	Description	Value			% of Net Asset Value		Value			% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value
SHORT FUTURES CONTRACTS
	Various base metals futures contracts (US)		(34,197	)	-0.54	%	$	(2,475,835	)	-26.78	%	$	—	0.00	%	$	18,041		0.90	%
	Silver @ Comex Settling 3/1/2009 (Number of Contracts: 2,102)		—		0.00	%		10,812,460		116.95	%		—	0.00	%
	Silver @ Comex Settling 9/1/2009 (Number of Contracts: 356)		—		0.00	%		1,034,180		11.19	%		—	0.00	%
	Various currency futures contracts (US)		(100	)	0.00	%		(29,640	)	-0.32	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various energy futures contracts (US)		(13,490	)	-0.21	%		(1,329,703	)	-14.38	%		—	0.00	%		—		0.00	%
	Various interest rates futures contracts (US)		—		0.00	%		(234	)	0.00	%		—	0.00	%		—		0.00	%
	Various interest rates futures contracts (Canada)		(2,139	)	-0.03	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various interest rates futures contracts (Far East)		(50,137	)	-0.79	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various precious metals futures contracts (US)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various soft futures contracts (US)		—		0.00	%		(148,204	)	-1.60	%		—	0.00	%		30,377		1.52	%
	Coffee @ CSCE Settling 3/1/2009 (Number of Contracts: 1,111)		—		0.00	%		1,902,375		20.57	%		—	0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—	0.00	%		—		0.00	%
	Various stock index futures contracts (US)		(27,338	)	-0.43	%		(12,545	)	-0.14	%		—	0.00	%		4,360		0.22	%
	Various stock index futures contracts (Europe)		(10,846	)	-0.17	%		—		0.00	%		—	0.00	%		(2,446	)	-0.12	%
	Various stock index futures contracts (Far East)		(18,424	)	-0.29	%		—		0.00	%		—	0.00	%		—		0.00	%
	Total Short Futures Contracts	$	(156,670	)	-2.46	%	$	9,752,854		105.49	%	$	—	0.00	%	$	50,332		2.52	%
SHORT OPTIONS*		$	—		0.00	%	$	(465,185	)	-5.02	%	$	—	0.00	%	$	—		0.00	%
CURRENCY FORWARDS*		$	65,710		1.47	%	$	—		0.00	%	$	—	0.00	%	$	(31,869	)	-1.58	%
	Total Open Trade Equity	$	109,880		1.72	%	$	10,753,763		116.32	%	$	—	0.00	%	$	203,419		10.18	%
SWAPS(1)		$	—		0.00	%	$	—		0.00	%	$	836,554	100.00	%	$	—		0.00	%

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

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

The accompanying notes are an integral part of these financial statements.

F-82

The Trading Companies of the Frontier Fund

Statements of Operations

For The Years Ended December 31, 2009, 2008 and 2007

	Frontier Trading Company I LLC									Frontier Trading Company II LLC									Frontier Trading Company III LLC
	12/31/2009			12/31/2008			12/31/2007			12/31/2009			12/31/2008			12/31/2007			12/31/2009			12/31/2008			12/31/2007
Investment Income:
Interest-net	$	(28,283	)	$	601,820		$	1,000,475		$	11,757		$	329,722		$	434,402		$	970		$	45,295		$	132,464
Total Income		(28,283	)		601,820			1,000,475			11,757			329,722			434,402			970			45,295			132,464
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and currencies		8,715,485			13,956,522			(621,375	)		(3,723,161	)		19,921,443			17,879,093			(178,745	)		234,616			(8,104	)
Net realized gain/(loss) on swap contracts		—			—			—			—			—			—			—			1,047,794			135,100
Net change in open trade equity		904,979			29,141,961			2,928,523			(1,513,729	)		1,187,477			(452,160	)		2,985			780			(28,482	)
Net unrealized gain/(loss) on option / swap contracts		(12,051,082	)		20,742,953			(899,872	)		—			—			—			(4,129,164	)		(2,877,879	)		—
Trading commissions		(1,297,644	)		(1,144,572	)		(2,155,318	)		(139,754	)		(174,481	)		(387,285	)		—			—			—
Net gain/(loss) on investments		(3,728,262	)		62,696,864			(748,042	)		(5,376,644	)		20,934,439			17,039,648			(4,304,924	)		(1,594,689	)		98,514
NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS	$	(3,756,545	)	$	63,298,684		$	252,433		$	(5,364,887	)	$	21,264,161		$	17,474,050		$	(4,303,954	)	$	(1,549,394	)	$	230,978
	Frontier Trading Company V LLC									Frontier Trading Company VI LLC									Frontier Trading Company VII, LLC
	12/31/2009			12/31/2008			12/31/2007			12/31/2009			12/31/2008			12/31/2007			12/31/2009			12/31/2008			12/31/2007
Investment Income:
Interest-net	$	5,825		$	278,151		$	653,524		$	9,613		$	344,098		$	813,618		$	3,666		$	213,312		$	135,889
Total Income		5,825			278,151			653,524			9,613			344,098			813,618			3,666			213,312			135,889
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and currencies		4,236,302			(16,480,431	)		7,697,156			(210,732	)		2,913,449			(5,247,587	)		60,288,927			(18,291,792	)		15,057,205
Net realized gain/(loss) on swap contracts		—			—			—			—			361,511			1,674,698			—			—			—
Net change in open trade equity		921,760			30,023,621			(1,673,135	)		(877,165	)		1,591,022			(6,352,783	)		(28,316,249	)		31,013,453			(14,220,168	)
Net unrealized gain/(loss) on option / swap contracts		—			—			—			—			—			(3,394,571	)		—			—			—
Trading commissions		(442,130	)		(145,539	)		(192,697	)		(76,084	)		(105,639	)		(225,237	)		(3,052,293	)		(1,075,687	)		(1,070,911	)
Net gain/(loss) on investments		4,715,932			13,397,651			5,831,324			(1,163,981	)		4,760,343			(13,545,480	)		28,920,385			11,645,974			(233,874	)
NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS	$	4,721,757		$	13,675,802		$	6,484,848		$	(1,154,368	)	$	5,104,441		$	(12,731,862	)	$	28,924,051		$	11,859,286		$	(97,985	)

F-83

The Trading Companies of the Frontier Fund

Statements of Operations

For The Years Ended December 31, 2009, 2008 and 2007

	Frontier Trading Company VIII, LLC							Frontier Trading Company IX, LLC									Frontier Trading Company X, LLC (1)
	12/31/2009		12/31/2008			12/31/2007		12/31/2009			12/31/2008			12/31/2007			12/31/2009			12/31/2008		12/31/2007
Investment Income:
Interest-net	$	853	$	17,439		$	88,729	$	5,629		$	63,692		$	92,235		$	—		$	—	$	—
Total Income		853		17,439			88,729		5,629			63,692			92,235			—			—		—
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and currencies		—		—			—		(1,054,979	)		3,766,733			1,001,958			—			—		—
Net realized gain/(loss) on swap contracts		883,900		(2,684,087	)		1,729,289		—			—			—			—			—		—
Net change in open trade equity		—		—			—		(165,186	)		153,103			(378,687	)		—			—		—
Net unrealized gain/(loss) on option / swap contracts		—		—			—		—			—			—			(1,707,778	)		—		—
Trading commissions		—		—			—		(25,833	)		(29,020	)		(59,696	)		—			—		—
Net gain/(loss) on investments		883,900		(2,684,087	)		1,729,289		(1,245,998	)		3,890,816			563,575			(1,707,778	)		—		—
NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS	$	884,753	$	(2,666,648	)	$	1,818,018	$	(1,240,369	)	$	3,954,508		$	655,810		$	(1,707,778	)	$	—	$	—

(1) Trading Companies X, XI and XII commenced trading operations on June 10, 2009.

(2) Trading Company XIII commenced trading operations on June 15, 2009.

(3) Trading Companies XIV and XV commenced trading operations on June 19, 2009.

The accompanying notes are an integral part of these financial statements.

F-84

The Trading Companies of the Frontier Fund

Statements of Operations

For The Years Ended December 31, 2009, 2008 and 2007

	Frontier Trading Company XI, LLC(1)							Frontier Trading Company XII, LLC(1)							Beach Horizon Trading Company – Horizon Program, LLC(2)
	12/31/2009			12/31/2008		12/31/2007		12/31/2009			12/31/2008		12/31/2007		12/31/2009			12/31/2008		12/31/2007
Investment Income:
Interest-net	$	—		$	—	$	—	$	—		$	—	$	—	$	—		$	—	$	—
Total Income		—			—		—		—			—		—		—			—		—
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and currencies		—			—		—		—			—		—		458,937			—		—
Net realized gain/(loss) on swap contracts		—			—		—		—			—		—		—			—		—
Net change in open trade equity		—			—		—		—			—		—		695,228			—		—
Net unrealized gain/(loss) on swap contracts		(1,864,032	)		—		—		(2,247,497	)		—		—		—			—		—
Trading commissions		—			—		—		—			—		—		(30,243	)		—		—
Net gain/(loss) on investments		(1,864,032	)		—		—		(2,247,497	)		—		—		1,123,922			—		—
NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS	$	(1,864,032	)	$	—	$	—	$	(2,247,497	)	$	—	$	—	$	1,123,922		$	—	$	—
	Frontier Trading Company XIV, LLC(3)							Frontier Trading Company XV, LLC(3)
	12/31/2009			12/31/2008		12/31/2007		12/31/2009			12/31/2008		12/31/2007
Investment Income:
Interest-net	$	(1,416	)	$	—	$	—	$	(1,089	)	$	—	$	—
Total Income		(1,416	)		—		—		(1,089	)		—		—
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and currencies		2,920,905			—		—		14,119,248			—		—
Net realized gain/(loss) on swap contracts		—			—		—		—			—		—
Net change in open trade equity		(2,986,215	)		—		—		(14,596,420	)		—		—
Net unrealized gain/(loss) on swap contracts		—			—		—		—			—		—
Trading commissions		(33,595	)		—		—		(64,559	)		—		—
Net gain/(loss) on investments		(98,905	)		—		—		(541,731	)		—		—
NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS	$	(100,321	)	$	—	$	—	$	(542,820	)	$	—	$	—

(1) Trading Companies X, XI and XII commenced trading operations on June 10, 2009.

(2) Beach Horizon Trading Company – Horizon Program, LLC commenced trading operations on June 15, 2009.

(3) Trading Companies XIV and XV commenced trading operations on June 19, 2009.

The accompanying notes are an integral part of these financial statements.

F-85

The Trading Companies of the Frontier Fund

Statements of Changes in Members’ Equity

For the Years Ended December 31, 2009, 2008 and 2007

	Frontier Trading Company I LLC			Frontier Trading Company II LLC			Frontier Trading Company III LLC
Members’ Equity, January 1, 2007	$	18,041,633		$	8,441,072		$	3,012,526
Capital Contributed		102,070,000			6,550,000			1,138,420
Capital Distributed		(61,711,269	)		(21,570,109	)		(1,985,365	)
Net Increase in Members’ Equity Resulting From Operations		252,433			17,474,050			230,978
Members’ Equity, December 31, 2007	$	58,652,797		$	10,895,013		$	2,396,559
Capital Contributed		30,500,000			21,120,000			12,588,268
Capital Distributed		(47,593,581	)		(41,467,210	)		(3,629,575	)
Net Increase in Members’ Equity Resulting From Operations		63,298,684			21,264,161			(1,549,394	)
Members’ Equity, December 31, 2008	$	104,857,900		$	11,811,964		$	9,805,858
Capital Contributed		27,700,000			31,050,000			—
Capital Distributed		(58,037,609	)		(20,605,436	)		—
Net Increase in Members’ Equity Resulting From Operations		(3,756,545	)		(5,364,887	)		(4,303,954	)
Members’ Equity, December 31, 2009	$	70,763,746		$	16,891,641		$	5,501,904
	Frontier Trading Company V LLC			Frontier Trading Company VI LLC			Frontier Trading Company VII, LLC
Members’ Equity, January 1, 2007	$	15,514,377		$	55,869,045		$	4,766,124
Capital Contributed		3,350,000			20,501,800			14,750,000
Capital Distributed		(12,684,151	)		(36,344,826	)		(9,029,764	)
Net Increase in Members’ Equity Resulting From Operations		6,484,848			(12,731,861	)		(97,985	)
Members’ Equity, December 31, 2007	$	12,665,074		$	27,294,158		$	10,388,375
Capital Contributed		4,200,000			6,163,032			11,350,000
Capital Distributed		(25,430,693	)		(32,180,399	)		(24,352,391	)
Net Increase in Members’ Equity Resulting From Operations		13,675,802			5,104,441			11,859,286
Members’ Equity, December 31, 2008	$	5,110,183		$	6,381,232		$	9,245,270
Capital Contributed		18,100,000			16,900,000			71,700,000
Capital Distributed		(14,111,460	)		(10,092,381	)		(86,606,099	)
Net Increase in Members’ Equity Resulting From Operations		4,721,757			(1,154,368	)		28,924,051
Members’ Equity, December 31, 2009	$	13,820,480		$	12,034,483		$	23,263,222

F-86

The Trading Companies of the Frontier Fund

Statements of Changes in Members’ Equity

For the Years Ended December 31, 2009, 2008 and 2007

	Frontier Trading Company VIII, LLC			Frontier Trading Company IX, LLC			Frontier Trading Company X, LLC(1)
Members’ Equity, January 1, 2007	$	806,473		$	2,158,863		$	—
Capital Contributed		7,584,341			100,000			—
Capital Distributed		(9,440,804	)		(288,235	)		—
Net Increase in Members’ Equity Resulting From Operations		1,818,018			655,810			—
Members’ Equity, December 31, 2007	$	768,028		$	2,626,438		$	—
Capital Contributed		10,286,986			800,000			—
Capital Distributed		(7,551,812	)		(5,382,812	)		—
Net Increase in Members’ Equity Resulting From Operations		(2,666,648	)		3,954,508			—
Members’ Equity, December 31, 2008	$	836,554		$	1,998,134		$	—
Capital Contributed		1,849,628			900,000			10,279,667
Capital Distributed		(2,986,165	)		(484,146	)		(21,250	)
Net Increase in Members’ Equity Resulting From Operations		884,753			(1,240,369	)		(1,707,778	)
Members’ Equity, December 31, 2009	$	584,770		$	1,173,619		$	8,550,639

(1) Trading Companies X, XI and XII commenced trading operations on June 10, 2009.

(2) Trading Company XIII commenced trading operations on June 15, 2009.

(3) Trading Companies XIV and XV commenced trading operations on June 19, 2009.

The accompanying notes are an integral part of these financial statements.

F-87

The Trading Companies of the Frontier Fund

Statements of Changes in Members’ Equity

For the Years Ended December 31, 2009, 2008 and 2007

	Frontier Trading Company XI, LLC(1)			Frontier Trading Company XII, LLC(1)			Beach Horizon Trading Company – Horizon Program, LLC(2)
Members’ Equity, January 1, 2007	$	—		$	—		$	—
Capital Contributed		—			—			—
Capital Distributed		—			—			—
Net Increase in Members’ Equity Resulting From Operations		—			—			—
Members’ Equity, December 31, 2007	$	—		$	—		$	—
Capital Contributed		—			—			—
Capital Distributed		—			—			—
Net Increase in Members’ Equity Resulting From Operations		—			—			—
Members’ Equity, December 31, 2008	$	—		$	—		$	—
Capital Contributed		18,060,709			12,500,000			6,000,000
Capital Distributed		(224,520	)		(225,250	)		(1,000,000	)
Net Increase in Members’ Equity Resulting From Operations		(1,864,032	)		(2,247,497	)		1,123,922
Members’ Equity, December 31, 2009	$	15,972,157		$	10,027,253		$	6,123,922
	Frontier Trading Company XIV, LLC(3)			Frontier Trading Company XV, LLC(3)
Members’ Equity, January 1, 2007	$	—		$	—
Capital Contributed		—			—
Capital Distributed		—			—
Net Increase in Members’ Equity Resulting From Operations		—			—
Members’ Equity, December 31, 2007	$	—		$	—
Capital Contributed		—			—
Capital Distributed		—			—
Net Increase in Members’ Equity Resulting From Operations		—			—
Members’ Equity, December 31, 2008	$	—		$	—
Capital Contributed		9,321,648			26,742,192
Capital Distributed		—			(2,400,000	)
Net Increase in Members’ Equity Resulting From Operations		(101,321	)		(542,820	)
Members’ Equity, December 31, 2009	$	9,220,327		$	23,799,372

(1) Trading Companies X, XI and XII commenced trading operations on June 10, 2009.

(2) Beach Horizon Trading Company – Horizon Program, LLC commenced trading operations on June 15, 2009.

(3) Trading Companies XIV and XV commenced trading operations on June 19, 2009.

The accompanying notes are an integral part of these financial statements.

F-88

The Frontier Fund Trading Companies

Notes to Financial Statements

As of December 31, 2009, and December 31, 2008

1. Organization and Purpose

These financial statements and related notes pertain to the following companies: Frontier Trading Company I LLC, Frontier Trading Company II LLC, Frontier Trading Company III LLC, Frontier Trading Company IV LLC, Frontier Trading Company V LLC, Frontier Trading Company VI LLC, Frontier Trading Company VII, LLC, Frontier Trading Company VIII, LLC, Frontier Trading Company IX, LLC, Frontier Trading Company X, LLC, Frontier Trading Company XI, LLC, Frontier Trading Company XII, LLC, Beach Horizon Trading Company – Horizon Program, LLC, Frontier Trading Company XIV, LLC and Frontier Trading Company XV, LLC (the “Trading Companies”).

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

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

Each Trading Company authorizes certain Trading Advisors to place trades and manage assets at pre-determined investment levels. The Trading Companies were organized for the purpose of investing in securities and derivative instruments, and have no operating income or expenses, except for trading income and expenses.

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

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

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

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

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

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

F-89

The Frontier Fund Trading Companies

Notes to Financial Statements—(Continued)

As of December 31, 2009, and December 31, 2008

2. Significant Accounting Policies

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

Basis of Presentation—The Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (‘ASC”) became effective on July 1, 2009. At that date, the ASC became FASB’s officially recognized source of authoritative U.S. generally accepted accounting principles (“GAAP”) applicable to all public and non-public non-governmental entities, superseding existing FASB, American Institute of Certified Public Accountants, Emerging Issues task Force (“EITF”) and related literature. Rules and interpretive releases of the SEC under the authority of federal securities laws are also sources of authoritative GAAP for SEC registrants. All other accounting literature is considered non-authoritative. The switch to the ASC affects the way companies refer to U.S. GAAP in financial statements and accounting policies. Existing GAAP prior to the effective date of the ASC was not altered in compilation of the ASC. Citing particular content in the ASC involves specifying the unique numeric path to the content through the Topic, Subtopic, Section and Paragraph structure.

Cash held at Futures Commission Merchants—the Trading Companies deposit assets with a broker subject to CFTC Commission regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such broker. The Trading Companies earn interest income on its assets deposited with the broker.

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

Revenue recognition—Futures, options on futures, and forward contracts are recorded on a trade date basis and realized gains or losses are recognized when contracts are liquidated. Unrealized gains or losses on open contracts (the difference between contract trade price and market price) are reported in the Statement of Operations as a Net change in open trade equity, as there exists a right of offset of unrealized gains or losses in accordance with ASC 210. Any change in net unrealized gain or loss from the preceding period is reported in the Statement of Operations. Market value of exchange-traded contracts is based upon exchange settlement prices. Market value of non-exchange-traded contracts is based on third party quoted dealer values on the interbank market.

Distribution of Earnings— Each Trading Company distributes all of its daily trading profits or losses to the Series in proportion to each Series’ ownership interest in the Trading Company, adjusted on a daily basis. As of December 31, 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.

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

F-90

The Frontier Fund Trading Companies

Notes to Financial Statements—(Continued)

As of December 31, 2009, and December 31, 2008

Investments and Swaps—The Trading Companies records investment transactions on trade date and all investments are recorded at fair value in its financial statements, with changes in fair value reported as a component of realized and unrealized gains (losses) on investments in the Statements of Operations. Generally, fair values will be based on quoted market prices; however, in certain circumstances, significant judgments and estimates may be required in determining fair value in the absence of an active market closing price. At December 31, 2009 all investments in futures and forward contracts were based on quoted market prices. The valuation of investments in swap contracts (“Swaps”) involves estimates.

Income Taxes—The Trading Companies apply the provisions of 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 Trading Companies’ 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 Trading Company level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. Management has concluded there is no tax expense, interest or penalties to be recorded by the Trading Companies for the periods ended December 31, 2009 and December 31, 2008. The 2006 through 2009 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

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

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 Trading Companies have 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, , The FASB Accounting Standards CodificationTM 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 ASC 105 did not impact the Trading Companies’ financial positions or results of operations.

F-91

The Frontier Fund Trading Companies

Notes to Financial Statements—(Continued)

As of December 31, 2009, and December 31, 2008

In December 2007, the FASB issued ASC 805-10 Business Combinations – Overall (“ASC 805-10”), 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 Trading Companies’ 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 May 2009, the FASB issued ASC 855, Subsequent Events. The objective of this guidance is to establish general standards of accounting for and disclosures 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

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 Trading Companies adopted this standard effective April 1, 2009 and has and will make the appropriate disclosures, as required under ASC 855. Refer to Note 9.

F-92

The Frontier Fund Trading Companies

Notes to Financial Statements—(Continued)

As of December 31, 2009, and December 31, 2008

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 Trading Companies intends to adopt ASC 860 for the period beginning January 1, 2010, and it anticipates that it will not have a material effect.

In January 2010, the FASB issued Accounting Standards Update (“ASU”) No. 2010-06, Fair Value Measurements and Disclosures (Topic 820) – Improving Disclosures about Fair Value Measurements. This ASU affects all entities that are required to make disclosures about recurring and nonrecurring fair value measurements under ASC 820. The ASU requires certain new disclosures and clarifies two existing disclosure requirements. The new disclosures and clarifications of existing disclosures are effective for interim and annual reporting periods beginning after December 15, 2009, except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measurements. The Trust is currently assessing the impact of this ASU on the financial statements of the Trading Companies.

Reclassification—Certain amounts in the financial statements have been reclassified to conform to the 2009 presentation.

3. Fair Value Measurements

In connection with the valuation of investments, the Trading Companies apply 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 an asset or 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 asset or liability at the measurement date and the quoted price for the identical asset or liability when traded as an asset or liability 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.

F-93

The Frontier Fund Trading Companies

Notes to Financial Statements—(Continued)

As of December 31, 2009, and December 31, 2008

The Trading Companies 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, Currency Forwards and Options) 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.

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.

The following table summarizes the instruments that comprise the Trading Companies financial asset portfolio, by Series, measured at fair value on a recurring basis as of December 31, 2009 and 2008, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

December 31, 2009	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs	Total Fair Value
Frontier Trading Company I LLC
Open Trade Equity	1,867,376		224,795		—	2,092,171
Swap Contracts	—		—		41,020,535	41,020,535
Frontier Trading Company II LLC
Open Trade Equity	522,794		4,709		—	527,503
Frontier Trading Company III LLC
Open Trade Equity	19,263		201		—	19,464
Swap Contracts	—		—		4,992,959	4,992,959
Frontier Trading Company V LLC
Open Trade Equity	810,189					810,189
Frontier Trading Company VI LLC
Open Trade Equity	(761,052	)	(6,183	)	—	(767,235	)
Frontier Trading Company VII, LLC
Open Trade Equity	(480,880	)	(37,610	)	—	(518,490	)
Frontier Trading Company VIII, LLC
Swap Contracts	—		584,770		—	584,770
Frontier Trading Company IX, LLC
Open Trade Equity	38,234		—		—	38,234
Frontier Trading Company X, LLC
Swap Contracts	—		—		8,550,639	8,550,639
Frontier Trading Company XI, LLC
Swap Contracts	—		—		15,972,157	15,972,157

F-94

The Frontier Fund Trading Companies

Notes to Financial Statements—(Continued)

As of December 31, 2009, and December 31, 2008

December 31, 2009	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs	Total Fair Value
Frontier Trading Company XII, LLC
Swap Contracts	—		—		10,027,253	10,027,253
Beach Horizon Trading Company – Horizon Program, LLC
Open Trade Equity	695,218		—		—	695,218
Frontier Trading Company XIV, LLC
Open Trade Equity	(2,498,825	)	—		—	(2,498,825	)
Frontier Trading Company XV, LLC
Open Trade Equity	13,291,598		(1,917,515	)	—	11,374,083

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

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 “net realized and unrealized gain/(loss) on investments—net realized and unrealized gain/(loss) on swap contracts” on the statements of operations. During the year ended December 31, 2009 and 2008, all identified level three assets are components of the Frontier Trading Company I, Frontier Trading Company III, Frontier Trading Company X, Frontier Trading Company XI and Frontier Trading Company XII.

F-95

The Frontier Fund Trading Companies

Notes to Financial Statements—(Continued)

As of December 31, 2009, and December 31, 2008

2009:
Swap Contracts	Frontier Trading Company I LLC			Frontier Trading Company III LLC
	For The Year Ending December 31, 2009			For The Year Ending December 31, 2009
Balance of recurring Level 3 assets as of January 1, 2009	$	53,072,356		$	9,122,121
Total gains or losses (realized/unrealized):
Included in earnings-realized		—			—
Included in earnings-unrealized		(12,051,082	)		(4,129,164	)
Purchases, sales, issuances, and settlements, net		—			—
Other		(739	)		2
Transfers in and/or out of Level 3		—			—
Balance of recurring Level 3 assets as of December 31, 2009	$	41,020,535		$	4,992,959
Swap Contracts	Frontier Trading Company X LLC			Frontier Trading Company XI LLC
	For The Year Ending December 31, 2009			For The Year Ending December 31, 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		(1,707,778	)		(1,864,032	)
Included in other comprehensive income		—			—
Purchases, sales, issuances, and settlements, net		10,258,417			17,836,189
Transfers in and/or out of Level 3		—			—
Balance of recurring Level 3 assets as of December 31, 2009	$	8,550,639		$	15,972,157
Swap Contracts	Frontier Trading Company XII LLC
	For The Year Ending December 31, 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		(2,247,497	)
Included in other comprehensive income		—
Purchases, sales, issuances, and settlements, net		12,274,750
Transfers in and/or out of Level 3		—
Balance of recurring Level 3 assets as of December 31, 2009	$	10,027,253
During 2009, there were no transfers in or out of Level 3.

F-96

The Frontier Fund Trading Companies

Notes to Financial Statements—(Continued)

As of December 31, 2009, and December 31, 2008

2008:
Swap Contracts	Frontier Trading Company I LLC		Frontier Trading Company III LLC
	For The Year Ending December 31, 2008		For The Year Ending December 31, 2008
Balance of recurring Level 3 assets as of January 1, 2008	$	32,329,392	$	—
Total gains or losses (realized/unrealized):
Included in earnings-realized		—		—
Included in earnings-unrealized		20,742,964		(2,877,879	)
Included in other comprehensive income		—		—
Purchases, sales, issuances, and settlements, net		—		12,000,000
Transfers in and/or out of Level 3		—		—
Balance of recurring Level 3 assets as of December 31, 2008	$	53,072,356	$	9,122,121
During 2008, there were no transfers in or out of Level 3.

4. Swaps

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

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

Management follows a procedure in selecting well-established financial institutions which management, in its sole discretion, considers to be reputable, reliable, financially responsible and well established, to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the managements’ minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies.

Frontier Trading Company I LLC and Frontier Trading Company III LLC strategically invest assets in one or more swaps linked to certain underlying investments or indices, at the direction of management. The Trading Company in which the assets of these Series will be invested will not own any of the investments or indices referenced by any swap entered into by these Series. In addition, the swap counterparty to the Trading Company of these Series is not a Trading Advisor to these Trading Companies.

F-97

The Frontier Fund Trading Companies

Notes to Financial Statements—(Continued)

As of December 31, 2009, and December 31, 2008

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

The Trading Companies have invested in the following Swaps as of December 31, 2009.

	Option Basket Frontier Trading Company X, LLC	Option Basket Frontier Trading Company XII, LLC	Option Basket Frontier Trading Company XI, LLC	Option Basket Frontier Trading Company I LLC
Series:	Diversified	Dynamic	Masters	Balanced
Counterparty	Company D	Company E	Company F	Company A
Notional Amount	$22,760,455	$25,875,001	$15,927,157	$129,084,678
Termination Date	6/6/2014	6/6/2014	6/6/2014	11/21/2014
Investee Returns	Total Returns	Total Returns	Total Returns	Total Returns
Realized Gain/(Loss)	$0	$0	$0	$0
Unrealized Gain/(Loss)	($1,707,778)	($2,247,497)	($1,864,032)	($12,051,082)
Fair Value 12/31/2009	$8,550,639	$10,027,253	$15,972,157	$41,020,535
	Option Basket Frontier Trading Company III LLC	Reuters/Jefferies Frontier Trading Company VIII, LLC	Jefferies Commodity Frontier Trading Company VIII, LLC
Series:	Currency	Long/Only	Long/Only
Counterparty	Company B	Company C	Company C
Notional Amount	$15,426,942	$2,300,000	$2,300,000
Termination Date	7/26/13	2/26/2010	2/26/2010
Investee Returns	Total Returns	Total Returns	Total Returns
Realized Gain/(Loss)	$0	$420,073	$463,827
Unrealized Gain/(Loss)	($4,129,164)	$0	$0
Fair Value 12/31/2009	$4,992,959	$278,645	$305,745
The Trading Companies have invested in the following Swaps as of December 31, 2008:
	Option Basket Frontier Trading Company I LLC	Option Basket Frontier Trading Company III LLC	Reuters/Jefferies Frontier Trading Company VIII, LLC	Jefferies Commodity Frontier Trading Company VIII, LLC
Series:	Balanced	Currency	Long/Only	Long/Only
Counterparty	Company A	Company B	Company C	Company C
Notional Amount	$101,715,457	$25,015,994	$2,200,000	$2,200,000
Termination Date	11/6/2012	1/26/2013	2/27/2009	2/27/2009
Investee Returns	Total Returns	Total Returns	Total Returns	Total Returns
Realized Gain/(Loss)	$0	$0	($1,371,769)	($1,312,318)
Unrealized Gain/(Loss)	$20,742,953	($2,877,879)	$0	$0
Fair Value as of 12/31/2008	$53,072,356	$9,122,121	$430,720	$405,834

F-98

The Frontier Fund Trading Companies

Notes to Financial Statements—(Continued)

As of December 31, 2009, and December 31, 2008

5. Financial Highlights

The following information presents the financial highlights of the Trading Companies for the years ended December 31, 2009, 2008 and 2007.

	For the Years Ended December 31, 2009, 2008 and 2007
	Frontier Trading Company I LLC						Frontier Trading Company II LLC						Frontier Trading Company III LLC
	12/31/2009		12/31/2008		12/31/2007		12/31/2009		12/31/2008		12/31/2007		12/31/2009		12/31/2008		12/31/2007
Net Investment Gain(4)	-0.03	%	0.91	%	3.27	%	0.10	%	2.40	%	4.57	%	0.01	%	1.70	%	5.13	%
Total Return(5)	-6.36	%	124.05	%	-13.81	%	-73.23	%	265.68	%	244.46	%	-43.89	%	24.52	%	-1.13	%
	Frontier Trading Company V LLC						Frontier Trading Company VI LLC						Frontier Trading Company VII, LLC
	12/31/2009		12/31/2008		12/31/2007		12/31/2009		12/31/2008		12/31/2007		12/31/2009		12/31/2008		12/31/2007
Net Investment Gain(4)	0.06	%	2.23	%	5.36	%	0.14	%	1.80	%	2.26	%	0.02	%	2.22	%	3.23	%
Total Return(5)	24.08	%	190.02	%	52.24	%	-16.71	%	4.77	%	-38.78	%	408.19	%	96.66	%	-167.03	%
	Frontier Trading Company VIII, LLC						Frontier Trading Company IX, LLC						Frontier Trading Company X, LLC(1)
	12/31/2009		12/31/2008		12/31/2007		12/31/2009		12/31/2008		12/31/2007		12/31/2009		12/31/2008		12/31/2007
Net Investment Gain(4)	0.15	%	2.16	%	5.31	%	0.35	%	2.45	%	4.71	%	0.00	%	n/a		n/a
Total Return(5)	327.66	%	-101.56	%	234.06	%	-58.00	%	301.40	%	32.30	%	-33.17	%	n/a		n/a
	Frontier Trading Company XI, LLC(1)						Frontier Trading Company XII, LLC(1)						Beach Horizon Trading Company – Horizon Program, LLC(2)
	12/31/2009		12/31/2008		12/31/2007		12/31/2009		12/31/2008		12/31/2007		12/31/2009		12/31/2008		12/31/2007
Net Investment Gain(4)	0.00	%	n/a		n/a		0.00	%	n/a		n/a		0.00	%	n/a		n/a
Total Return(5)	-24.56	%	n/a		n/a		-31.23	%	n/a		n/a		39.04	%	n/a		n/a
	Frontier Trading Company XIV, LLC(3)						Frontier Trading Company XV, LLC(3)
	12/31/2009		12/31/2008		12/31/2007		12/31/2009		12/31/2008		12/31/2007
Net Investment Gain(4)	-0.08	%	n/a		n/a		-0.03	%	n/a		n/a
Total Return(5)	-6.50	%	n/a		n/a		-13.34	%	n/a		n/a

(1) Trading Companies X, XI and XII commenced trading operations on June 10, 2009.

(2) Beach Horizon Trading Company – Horizon Program, LLC commenced trading operations on June 15, 2009.

(3) Trading Companies XIV and XV commenced trading operations on June 19, 2009.

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

(5) Total returns have not been annualized.

F-99

The Frontier Fund Trading Companies

Notes to Financial Statements—(Continued)

As of December 31, 2009, and December 31, 2008

6. Derivative Instruments and Hedging Activities

The Trading Companies’ primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Trading Companies do not enter into or hold positions for hedging purposes as defined under ASC 815. The detail of the fair value of the Trading Companies’ derivatives by instrument types as of December 31, 2009 and December 31, 2008 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trading Companies’ positions in swap contracts.

For the year ended December 31, 2009, the monthly average of futures contracts bought for the Trading Companies was approximately 122,000 and sold for the Trading Companies was approximately 117,500. The following table summarizes the trading revenue for the year ended December 31, 2009 approximately by contract:

Realized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2009(2)

Type of contract	Frontier Trading Company I LLC			Frontier Trading Company II LLC			Frontier Trading Company III LLC			Frontier Trading Company V LLC
Metals	$	3,475,246		$	1,588,047		$	—		$	1,200,986
Currencies		3,170,040			(1,610,472	)		(178,745	)		944,497
Energies		286,142			(2,342,983	)		—			(2,622,786	)
Agriculturals		62,398			(1,956,080	)		—			(1,044,572	)
Interest rates		(741,506	)		1,485,612			—			(3,820,092	)
Stock indices		2,463,165			(887,285	)		—			9,578,269
Realized trading income/(loss)(2)	$	8,715,485		$	(3,723,161	)	$	(178,745	)	$	4,236,302
Type of contract	Frontier Trading Company VI LLC			Frontier Trading Company VII, LLC			Frontier Trading Company IX, LLC			Beach Horizon Trading Company – Horizon Program, LLC
Metals	$	3,441,595		$	19,615,278		$	(88,155	)	$	3,142,777
Currencies		(169,551	)		3,599,861			(192,123	)		(443,885	)
Energies		(1,689,573	)		20,547,042			162,890			(1,017,693	)
Agriculturals		(517,887	)		9,409,345			(311,339	)		(1,719,906	)
Interest rates		78,737			2,539,200			(47,574	)		1,167,187
Stock indices		(1,354,053	)		4,578,201			(578,678	)		(669,543	)
Realized trading income/(loss)(2)	$	(210,732	)	$	60,288,927		$	(1,054,979	)	$	458,937
Type of contract	Frontier Trading Company XIV, LLC			Frontier Trading Company XV, LLC
Metals	$	(2,942,602	)	$	(6,201,505	)
Currencies		(1,728,629	)		1,315,935
Energies		4,484,267			4,063,077
Agriculturals		(2,238,895	)		12,396,090
Interest rates		2,574,598			(183,030	)
Stock indices		2,772,166			2,728,681
Realized trading income/(loss)(2)	$	2,920,905		$	14,119,248

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

F-100

The Frontier Fund Trading Companies

Notes to Financial Statements—(Continued)

As of December 31, 2009, and December 31, 2008

Unrealized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2009(1)

Type of contract	Frontier Trading Company I, LLC			Frontier Trading Company II, LLC			Frontier Trading Company III, LLC			Frontier Trading Company V, LLC
Metals	$	1,800,573		$	1,956,286		$	—		$	648,562
Currencies		(555,213	)		(1,242,233	)		2,985			392,073
Energies		2,526,944			(1,974,744	)		—			(3,175,210	)
Agriculturals		1,886,477			(1,587,841	)		—			(1,596,996	)
Interest rates		252,323			1,853,851			—			(4,372,516	)
Stock indices		(5,006,125	)		(519,048	)		—			9,025,847
Unrealized trading income/(loss)(2)	$	904,979		$	(1,513,729	)	$	2,985		$	921,760
Type of contract	Frontier Trading Company VI, LLC			Frontier Trading Company VII, LLC			Frontier Trading Company IX, LLC			Beach Horizon Trading Company – Horizon Program, LLC
Metals	$	551,242		$	(15,338,074	)	$	(361,205	)	$	1,058,999
Currencies		(956,054	)		(141,604	)		(148,544	)		33,463
Energies		4,730			1,796,390			(187,104	)		304,177
Agriculturals		(889,051	)		(15,751,965	)		(129,226	)		(720,468	)
Interest rates		3,115,915			440,666			712,669			(481,812	)
Stock indices		(2,703,947	)		678,338			(51,776	)		500,869
Unrealized trading income/(loss)(2)	$	(877,165	)	$	(28,316,249	)	$	(165,186	)	$	695,228
Type of contract	Frontier Trading Company XIV, LLC			Frontier Trading Company XV, LLC
Metals	$	2,005,875		$	(26,324,601	)
Currencies		237,027			3,668,493
Energies		(3,960,994	)		2,228,338
Agriculturals		2,757,764			5,607,090
Interest rates		(4,088,349	)		(244,110	)
Stock indices		62,462			468,370
Unrealized trading income/(loss)(2)	$	(2,986,215	)	$	(14,596,420	)

(1) In the Statements of Operations under net change in open trade equity

7. Trading Activities and Related Risks

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

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the Statement of Financial Condition, may result in future obligation or loss in excess of the amount paid by the Series for a particular investment. Each Trading Company expects to trade in futures, options, forward and swap contracts and will therefore be a party to financial instruments with elements of off-balance sheet market

F-101

The Frontier Fund Trading Companies

Notes to Financial Statements—(Continued)

As of December 31, 2009, and December 31, 2008

and credit risk. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures positions held by a Trading Company in respect of any Series at the same time, and if the Trading Advisor(s) of such Trading Company are unable to offset such futures interests positions, such Trading Company could lose all of its assets and the holders of Units of such Series would realize a 100% loss. Management will seek to minimize market risk through real-time monitoring of open positions and the level of diversification of each Trading Advisor’s portfolio. It is anticipated that any Trading Advisor’s margin-to-equity ratio will typically not exceed approximately 35% although the actual ratio could be higher or lower from time to time.

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

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

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

8. Indemnifications

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

9. Subsequent Events

The Trading Companies have evaluated the need to disclose events subsequent to the balance sheet date through the filing date of this 10-K and have the following events to report:

None.

F-102

SIGNATURES

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

	The Frontier Fund
	(Registrant)
Date: March 22, 2010	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

SIGNATURES

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

	Balanced Series,
	a Series of The Frontier Fund
	(Registrant)
Date: March 22, 2010	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

SIGNATURES

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

	Winton/Graham Series,
	a Series of The Frontier Fund
	(Registrant)
Date: March 22, 2010	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

SIGNATURES

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

	Winton Series,
	a Series of The Frontier Fund
	(Registrant)
Date: March 22, 2010	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

SIGNATURES

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

	Campbell/Graham/Tiverton Series,
	a Series of The Frontier Fund
	(Registrant)
Date: March 22, 2010	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

SIGNATURES

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

	Currency Series,
	a Series of The Frontier Fund
	(Registrant)
Date: March 22, 2010	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

SIGNATURES

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

	Long Only Commodity Series,
	a Series of The Frontier Fund
	(Registrant)
Date: March 22, 2010	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

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: March 22, 2010	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

SIGNATURES

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

	Managed Futures Index Series,
	a Series of The Frontier Fund
	(Registrant)
Date: March 22, 2010	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

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: March 22, 2010	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

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: March 22, 2010	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

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: March 22, 2010	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