0001193125-11-273926.txt : 20111018 0001193125-11-273926.hdr.sgml : 20111018 20111018171957 ACCESSION NUMBER: 0001193125-11-273926 CONFORMED SUBMISSION TYPE: 424B3 PUBLIC DOCUMENT COUNT: 3 FILED AS OF DATE: 20111018 DATE AS OF CHANGE: 20111018 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FRONTIER FUND CENTRAL INDEX KEY: 0001261379 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 386815533 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-155800 FILM NUMBER: 111146360 BUSINESS ADDRESS: STREET 1: 1775 SHERMAN STREET, SUITE 2500 CITY: DENVER STATE: CO ZIP: 80203 BUSINESS PHONE: 303-837-0600 MAIL ADDRESS: STREET 1: 1775 SHERMAN STREET, SUITE 2500 CITY: DENVER STATE: CO ZIP: 80203 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BALANCED SERIES, a series of The Frontier Fund CENTRAL INDEX KEY: 0001389122 IRS NUMBER: 386815533 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-155800-11 FILM NUMBER: 111146359 BUSINESS ADDRESS: STREET 1: C/0 EQUINOX FUND MANAGEMENT LLC STREET 2: 1775 SHERMAN STREET, SUITE 2500 CITY: DENVER STATE: CO ZIP: 80203 BUSINESS PHONE: 303-837-0600 MAIL ADDRESS: STREET 1: C/0 EQUINOX FUND MANAGEMENT LLC STREET 2: 1775 SHERMAN STREET, SUITE 2500 CITY: DENVER STATE: CO ZIP: 80203 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WINTON/GRAHAM SERIES, a series of The Frontier Fund CENTRAL INDEX KEY: 0001389123 IRS NUMBER: 386815533 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-155800-01 FILM NUMBER: 111146364 BUSINESS ADDRESS: STREET 1: C/0 EQUINOX FUND MANAGEMENT LLC STREET 2: 1775 SHERMAN STREET, SUITE 2500 CITY: DENVER STATE: CO ZIP: 80203 BUSINESS PHONE: 303-837-0600 MAIL ADDRESS: STREET 1: C/0 EQUINOX FUND MANAGEMENT LLC STREET 2: 1775 SHERMAN STREET, SUITE 2500 CITY: DENVER STATE: CO ZIP: 80203 FORMER COMPANY: FORMER CONFORMED NAME: GRAHAM/WINTON SERIES, a series of The Frontier Fund DATE OF NAME CHANGE: 20080508 FORMER COMPANY: FORMER CONFORMED NAME: GRAHAM SERIES, a series of The Frontier Fund DATE OF NAME CHANGE: 20070206 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WINTON SERIES, a series of The Frontier Fund CENTRAL INDEX KEY: 0001389124 IRS NUMBER: 386815533 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-155800-02 FILM NUMBER: 111146363 BUSINESS ADDRESS: STREET 1: C/0 EQUINOX FUND MANAGEMENT LLC STREET 2: 1775 SHERMAN STREET, SUITE 2500 CITY: DENVER STATE: CO ZIP: 80203 BUSINESS PHONE: 303-837-0600 MAIL ADDRESS: STREET 1: C/0 EQUINOX FUND MANAGEMENT LLC STREET 2: 1775 SHERMAN STREET, SUITE 2500 CITY: DENVER STATE: CO ZIP: 80203 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BERKELEY/GRAHAM/TIVERTON SERIES, a series of The Frontier Fund CENTRAL INDEX KEY: 0001389125 IRS NUMBER: 386815533 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-155800-06 FILM NUMBER: 111146367 BUSINESS ADDRESS: STREET 1: C/0 EQUINOX FUND MANAGEMENT LLC STREET 2: 1775 SHERMAN STREET, SUITE 2500 CITY: DENVER STATE: CO ZIP: 80203 BUSINESS PHONE: 303-837-0600 MAIL ADDRESS: STREET 1: C/0 EQUINOX FUND MANAGEMENT LLC STREET 2: 1775 SHERMAN STREET, SUITE 2500 CITY: DENVER STATE: CO ZIP: 80203 FORMER COMPANY: FORMER CONFORMED NAME: CAMPBELL/GRAHAM/TIVERTON SERIES, a series of The Frontier Fund DATE OF NAME CHANGE: 20080508 FORMER COMPANY: FORMER CONFORMED NAME: WINTON/CAMPBELL/GRAHAM SERIES, a series of The Frontier Fund DATE OF NAME CHANGE: 20080429 FORMER COMPANY: FORMER CONFORMED NAME: CAMPBELL/GRAHAM SERIES, a series of The Frontier Fund DATE OF NAME CHANGE: 20070206 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CURRENCY SERIES, a series of The Frontier Fund CENTRAL INDEX KEY: 0001389126 IRS NUMBER: 386815533 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-155800-05 FILM NUMBER: 111146366 BUSINESS ADDRESS: STREET 1: C/0 EQUINOX FUND MANAGEMENT LLC STREET 2: 1775 SHERMAN STREET, SUITE 2500 CITY: DENVER STATE: CO ZIP: 80203 BUSINESS PHONE: 303-837-0600 MAIL ADDRESS: STREET 1: C/0 EQUINOX FUND MANAGEMENT LLC STREET 2: 1775 SHERMAN STREET, SUITE 2500 CITY: DENVER STATE: CO ZIP: 80203 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LONG ONLY COMMODITY SERIES, a series of The Frontier Fund CENTRAL INDEX KEY: 0001389127 IRS NUMBER: 386815533 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-155800-04 FILM NUMBER: 111146362 BUSINESS ADDRESS: STREET 1: C/0 EQUINOX FUND MANAGEMENT LLC STREET 2: 1775 SHERMAN STREET, SUITE 2500 CITY: DENVER STATE: CO ZIP: 80203 BUSINESS PHONE: 303-837-0600 MAIL ADDRESS: STREET 1: C/0 EQUINOX FUND MANAGEMENT LLC STREET 2: 1775 SHERMAN STREET, SUITE 2500 CITY: DENVER STATE: CO ZIP: 80203 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FRONTIER LONG/SHORT COMMODITY SERIES, a series of The Frontier Fund CENTRAL INDEX KEY: 0001389128 IRS NUMBER: 386815533 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-155800-08 FILM NUMBER: 111146365 BUSINESS ADDRESS: STREET 1: C/0 EQUINOX FUND MANAGEMENT LLC STREET 2: 1775 SHERMAN STREET, SUITE 2500 CITY: DENVER STATE: CO ZIP: 80203 BUSINESS PHONE: 303-837-0600 MAIL ADDRESS: STREET 1: C/0 EQUINOX FUND MANAGEMENT LLC STREET 2: 1775 SHERMAN STREET, SUITE 2500 CITY: DENVER STATE: CO ZIP: 80203 FORMER COMPANY: FORMER CONFORMED NAME: LONG/SHORT COMMODITY SERIES, a series of The Frontier Fund DATE OF NAME CHANGE: 20070206 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MANAGED FUTURES INDEX SERIES, a series of The Frontier Fund CENTRAL INDEX KEY: 0001389129 IRS NUMBER: 386815533 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-155800-03 FILM NUMBER: 111146361 BUSINESS ADDRESS: STREET 1: C/0 EQUINOX FUND MANAGEMENT LLC STREET 2: 1775 SHERMAN STREET, SUITE 2500 CITY: DENVER STATE: CO ZIP: 80203 BUSINESS PHONE: 303-837-0600 MAIL ADDRESS: STREET 1: C/0 EQUINOX FUND MANAGEMENT LLC STREET 2: 1775 SHERMAN STREET, SUITE 2500 CITY: DENVER STATE: CO ZIP: 80203 424B3 1 d242560d424b3.htm SEPTEMBER PERFORMANCE UPDATE FOR CLASS 1 ORIGINAL September Performance Update for Class 1 Original

Filed Pursuant to Rule 424(b)(3)
Registration No. 333-155800

 

LOGO     LOGO

September 2011 Performance Update

The Frontier Fund Supplement Dated September 30, 2011 to Prospectus Dated April 30, 2011.

The Frontier Fund Class 1 Original

T H E   F R O N T I E R   F U N D ’ S   G O A L : To provide you - the investor - with a managed futures product that, over the long term, provides attractive returns, reduces volatility, and improves the overall performance of your investment portfolio.

September performance for the various Series of The Frontier Fund is detailed below:*

 

The Frontier Fund Class 1 Original   

September 30, 2011

MTD

  

September 30, 2011

YTD

   NAV/Unit

Balanced Series-1

    3.79%   -4.48%     $ 126.03  

Balanced Series-1a

    3.66%   -5.39%     $ 110.08  

Berkeley/Graham/Tiverton Series-1

    -0.80%   -10.62%     $ 98.73  

Currency Series-1

    1.05%   -8.82%     $ 72.11  

Long/Short Commodity Series-1

    -6.48%   2.91%     $ 136.60  

Winton/Graham Series-1

    -2.29%   -5.44%     $ 113.31  

Winton Series-1

    -0.04%   5.20%     $ 142.07  

Long Only Commodity Series-1

    -15.18%   -14.14%     $ 80.80  

Managed Futures Index Series-1

    7.94%   4.11%     $ 122.81  

Additional information, including monthly rates of return, concerning the aforementioned Series and the Trading Advisor(s) is contained in the Prospectus and the respective Series Appendix to the Prospectus.

* The above table sets forth the actual performance for the Class and Series as of September 30, 2011. Actual gross trading performance (gross realized and unrealized gain/loss before deduction for trading commissions and fees, management fees, any other expense, and before addition of interest income) is adjusted for the trading expenses, management fees, initial service fees, on-going service fees, and interest income of the applicable Series.

THIS INSERT MUST BE ACCOMPANIED OR PRECEDED BY THE CURRENT PROSPECTUS OF THE FRONTIER FUND

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

THE FRONTIER FUND BALANCED SERIES - 1

STATEMENT OF INCOME (LOSS)

FOR THE MONTH ENDED

September 30, 2011

(Unaudited)

 

     Current Period  

INCOME

   

Realized trading gain/(loss)

    $ 13,462,319.83   

Unrealized trading gain/(loss)

      (4,338,512.92 ) 

Less: commissions

      (238,359.50 ) 

Less: FCM fees

      (70,795.80 ) 

Foreign currency gain/(loss)

      (298,408.18 ) 

Interest income

      22,861.53   
  

 

 

  
Total Income      8,539,104.96   
EXPENSES       

Management fees

      170,157.09   

Incentive fees

      747,476.84   

Broker service fees

      477,172.70   
  

 

 

  
Total Expenses      1,394,806.63   
Net Income (Loss)    $ 7,144,298.33   
  

 

 

  

 

     Units     Dollars     $'s per unit  
STATEMENT OF CHANGES IN NET ASSET VALUE                   

Net Asset Value, end of prior month

      1,558,036.04809      $ 189,197,587.12        121.43   

Current month additions

      374.40445        46,641.18     

Current month redemptions

      (19,917.09656 )      (2,488,972.63 )   

Net Income (loss) for current month

        7,144,298.33     

Net Asset Value, end of current month

      1,538,493.35598      $ 193,899,554.00        126.03   
  

 

 

    

 

 

    

 

 

  
     Monthly rate of return        3.79 % 

To the best of my knowledge and belief, the information

contained in this statement is accurate and complete

 

    /s/ S. Brent Bales    
 

S. Brent Bales, Chief Accounting Officer of the Managing Owner

  

Equinox Fund Management LLC

1775 Sherman Street, Suite 2500

Denver, Colorado 80203

On Behalf of the Frontier Fund - Balanced Series 1

THE FRONTIER FUND BALANCED SERIES - 1a

STATEMENT OF INCOME (LOSS)

FOR THE MONTH ENDED

September 30, 2011

(Unaudited)

 

     Current Period  

INCOME

   

Realized trading gain/(loss)

    $ 236,318.65   

Unrealized trading gain/(loss)

      (76,570.90 ) 

Less: commissions

      (4,187.17 ) 

Less: FCM fees

      (1,243.36 ) 

Foreign currency gain/(loss)

      (5,269.99 ) 

Interest income

      4,332.09   
  

 

 

  
Total Income      153,379.32   
EXPENSES       

Trading Fee

      7,579.12   

Management fees

      2,989.90   

Incentive fees

      13,531.81   

Broker service fees

      8,380.31   
  

 

 

  
Total Expenses      32,481.14   
Net Income (Loss)    $ 120,898.18   
  

 

 

  

 

     Units     Dollars     $'s per unit  
STATEMENT OF CHANGES IN NET ASSET VALUE                   

Net Asset Value, end of prior month

      31,169.44572      $ 3,310,070.64        106.20   

Current month additions

      2.55284        277.96     

Current month redemptions

      (315.34905 )      (34,442.66 )   

Net Income (loss) for current month

        120,898.18     

Net Asset Value, end of current month

      30,856.64951      $ 3,396,804.12        110.08   
  

 

 

    

 

 

    

 

 

  
     Monthly rate of return        3.66 % 

To the best of my knowledge and belief, the information

contained in this statement is accurate and complete

 

    /s/ S. Brent Bales    
 

S. Brent Bales, Chief Accounting Officer of the Managing Owner

  

Equinox Fund Management LLC

1775 Sherman Street, Suite 2500

Denver, Colorado 80203

On Behalf of the Frontier Fund - Balanced Series 1a

THE FRONTIER FUND BERKELEY/GRAHAM/TIVERTON SERIES - 1

STATEMENT OF INCOME (LOSS)

FOR THE MONTH ENDED

September 30, 2011

(Unaudited)

 

     Current Period  

INCOME

   

Realized trading gain/(loss)

    $ (1,487,349.46 ) 

Unrealized trading gain/(loss)

      1,491,181.98   

Less: commissions

      (34,143.03 ) 

Less: FCM fees

      (16,367.89 ) 

Foreign currency gain/(loss)

      (37,459.31 ) 

Interest income

      12,595.71   
  

 

 

  
Total Income      (71,542.00 ) 
EXPENSES       

Management fees

      129,994.48   

Incentive fees

      26,415.02   

Broker service fees

      99,402.88   
  

 

 

  
Total Expenses      255,812.38   
Net Income (Loss)    $ (327,354.38 ) 
  

 

 

  

 

     Units     Dollars     $'s per unit  
STATEMENT OF CHANGES IN NET ASSET VALUE                   

Net Asset Value, end of prior month

      410,220.75686      $ 40,830,781.99        99.53   

Current month additions

      46.57100        4,548.43     

Current month redemptions

      (4,442.80153 )      (439,245.69 )   

Net Income (loss) for current month

        (327,354.38 )   

Net Asset Value, end of current month

      405,824.52633      $ 40,068,730.35        98.73   
  

 

 

    

 

 

    

 

 

  
     Monthly rate of return        -0.80 % 

To the best of my knowledge and belief, the information

contained in this statement is accurate and complete

 

    /s/ S. Brent Bales    
 

S. Brent Bales, Chief Accounting Officer of the Managing Owner

  

Equinox Fund Management LLC

1775 Sherman Street, Suite 2500

Denver, Colorado 80203

On Behalf of the Frontier Fund - Berkeley/Graham/Tiverton Series 1

THE FRONTIER FUND CURRENCY SERIES - 1

STATEMENT OF INCOME (LOSS)

FOR THE MONTH ENDED

September 30, 2011

(Unaudited)

 

     Current Period  

INCOME

   

Realized trading gain/(loss)

    $ —     

Unrealized trading gain/(loss)

      60,358.86   

Less: FCM fees

      (1,869.98 ) 

Interest income

      1,509.91   
  

 

 

  
Total Income      59,998.79   

EXPENSES

   

Management fees

      —     

Incentive fees

      —     

Broker service fees

      11,422.43   
  

 

 

  

Total Expenses

      11,422.43   

Net Income (Loss)

    $ 48,576.36   
  

 

 

  

 

     Units     Dollars     $'s per unit  

STATEMENT OF CHANGES IN NET ASSET VALUE

       

Net Asset Value, end of prior month

      64,816.87509      $ 4,625,321.77        71.36   

Current month additions

      67.50928        4,797.26     

Current month redemptions

      (853.33683 )      (61,292.69 )   

Net Income (loss) for current month

        48,576.36     

Net Asset Value, end of current month

      64,031.04754      $ 4,617,402.70        72.11   
  

 

 

    

 

 

    

 

 

  
     Monthly rate of return        1.05 % 

To the best of my knowledge and belief, the information

contained in this statement is accurate and complete

 

    /s/ S. Brent Bales    
 

S. Brent Bales, Chief Accounting Officer of the Managing Owner

  

Equinox Fund Management LLC

1775 Sherman Street, Suite 2500

Denver, Colorado 80203

On Behalf of the Frontier Fund - Currency Series 1

THE FRONTIER FUND LONG/SHORT COMMODITY SERIES - 1

STATEMENT OF INCOME (LOSS)

FOR THE MONTH ENDED

September 30, 2011

(Unaudited)

 

     Current Period  

INCOME

   

Realized trading gain/(loss)

    $ 247,860.09   

Unrealized trading gain/(loss)

      (863,334.73 ) 

Less: commissions

      (5,433.86 ) 

Less: FCM fees

      (4,193.92 ) 

Foreign currency gain/(loss)

      (3,817.96 ) 

Interest income

      13,873.22   
  

 

 

  

Total Income

      (615,047.16 ) 

EXPENSES

   

Management fees

      49,041.55   

Incentive fees

      (6,329.45 ) 

Broker service fees

      25,452.16   
  

 

 

  

Total Expenses

      68,164.26   

Net Income (Loss)

    $ (683,211.42 ) 
  

 

 

  

 

     Units     Dollars     $'s per unit  

STATEMENT OF CHANGES IN NET ASSET VALUE

       

Net Asset Value, end of prior month

      77,731.97357      $ 11,353,868.54        146.06   

Current month additions

      31.60778        4,460.87     

Current month redemptions

      (11,918.92199 )      (1,680,780.42 )   

Net Income (loss) for current month

        (683,211.42 )   

Net Asset Value, end of current month

      65,844.65936      $ 8,994,337.57        136.60   
  

 

 

    

 

 

    

 

 

  
     Monthly rate of return        -6.48 % 

To the best of my knowledge and belief, the information

contained in this statement is accurate and complete

 

    /s/ S. Brent Bales    
 

S. Brent Bales, Chief Accounting Officer of the Managing Owner

  

Equinox Fund Management LLC

1775 Sherman Street, Suite 2500

Denver, Colorado 80203

On Behalf of the Frontier Fund - Long/Short Commodity Series 1

THE FRONTIER FUND WINTON/GRAHAM SERIES - 1

STATEMENT OF INCOME (LOSS)

FOR THE MONTH ENDED

September 30, 2011

(Unaudited)

 

     Current Period  

INCOME

   

Realized trading gain/(loss)

    $ (396,993.50 ) 

Unrealized trading gain/(loss)

      (86,766.26 ) 

Less: commissions

      (23,799.37 ) 

Less: FCM fees

      (11,831.41 ) 

Foreign currency gain/(loss)

      (10,632.01 ) 

Interest income

      16,530.16   
  

 

 

  

Total Income

      (513,492.39 ) 

EXPENSES

   

Management fees

      71,877.88   

Incentive fees

      2,673.62   

Broker service fees

      71,678.13   
  

 

 

  

Total Expenses

      146,229.63   

Net Income (Loss)

    $ (659,722.02 ) 

 

     Units     Dollars     $'s per unit  

STATEMENT OF CHANGES IN NET ASSET VALUE

       

Net Asset Value, end of prior month

      252,051.97955      $ 29,228,027.01        115.96   

Current month additions

      68.30247        7,872.88     

Current month redemptions

      (2,957.80787 )      (344,105.53 )   

Net Income (loss) for current month

        (659,722.02 )   

Net Asset Value, end of current month

      249,162.47415      $ 28,232,072.34        113.31   
  

 

 

    

 

 

    

 

 

  
     Monthly rate of return        -2.29 % 

To the best of my knowledge and belief, the information

contained in this statement is accurate and complete

 

    /s/ S. Brent Bales    
 

S. Brent Bales, Chief Accounting Officer of the Managing Owner

  

Equinox Fund Management LLC

1775 Sherman Street, Suite 2500

Denver, Colorado 80203

On Behalf of the Frontier Fund - Winton/Graham Series 1

THE FRONTIER FUND WINTON SERIES - 1

STATEMENT OF INCOME (LOSS)

FOR THE MONTH ENDED

September 30, 2011

(Unaudited)

 

     Current Period  

INCOME

   

Realized trading gain/(loss)

    $ 1,115,967.74   

Unrealized trading gain/(loss)

      (929,251.86 ) 

Less: commissions

      (2,379.01 ) 

Less: FCM fees

      (16,223.20 ) 

Foreign currency gain/(loss)

      (22,636.61 ) 

Interest income

      30,562.50   
  

 

 

  

Total Income

      176,039.56   

EXPENSES

   

Management fees

      74,800.33   

Incentive fees

      10,792.39   

Broker service fees

      98,616.29   
  

 

 

  

Total Expenses

      184,209.01   

Net Income (Loss)

    $ (8,169.45 ) 
  

 

 

  

 

     Units     Dollars     $'s per unit  

STATEMENT OF CHANGES IN NET ASSET VALUE

       

Net Asset Value, end of prior month

      283,595.86583      $ 40,305,120.53        142.12   

Current month additions

      145.34368        20,683.63     

Current month redemptions

      (6,651.46150 )      (952,551.74 )   

Net Income (loss) for current month

        (8,169.45 )   

Net Asset Value, end of current month

      277,089.74801      $ 39,365,082.97        142.07   
  

 

 

    

 

 

    

 

 

  
     Monthly rate of return        -0.04 % 

To the best of my knowledge and belief, the information

contained in this statement is accurate and complete

 

    /s/ S. Brent Bales    
 

S. Brent Bales, Chief Accounting Officer of the Managing Owner

  

Equinox Fund Management LLC

1775 Sherman Street, Suite 2500

Denver, Colorado 80203

On Behalf of the Frontier Fund - Winton Series 1

THE FRONTIER FUND LONG ONLY COMMODITY SERIES - 1

STATEMENT OF INCOME (LOSS)

FOR THE MONTH ENDED

September 30, 2011

(Unaudited)

 

     Current Period  

INCOME

   

Realized trading gain/(loss)

    $ (94,032.06 ) 

Unrealized trading gain/(loss)

      (471.54 ) 

Less: commissions

      —     

Less: FCM fees

      (252.98 ) 

Foreign currency gain/(loss)

      —     

Interest income

      1,249.15   
  

 

 

  

Total Income

      (93,507.43 ) 

EXPENSES

   

Management fees

      977.84   

Incentive fees

      —     

Broker service fees

      1,029.52   
  

 

 

  

Total Expenses

      2,007.36   

Net Income (Loss)

    $ (95,514.79 ) 
  

 

 

  

 

     Units     Dollars     $'s per unit  

STATEMENT OF CHANGES IN NET ASSET VALUE

       

Net Asset Value, end of prior month

      7,511.77992      $ 715,581.30        95.26   

Current month additions

      0.98640        91.29     

Current month redemptions

      (1,196.08950 )      (109,786.93 )   

Net Income (loss) for current month

        (95,514.79 )   

Net Asset Value, end of current month

      6,316.67682      $ 510,370.87        80.80   
  

 

 

    

 

 

    

 

 

  
     Monthly rate of return        -15.18 % 

To the best of my knowledge and belief, the information

contained in this statement is accurate and complete

 

    /s/ S. Brent Bales    
 

S. Brent Bales, Chief Accounting Officer of the Managing Owner

  

Equinox Fund Management LLC

1775 Sherman Street, Suite 2500

Denver, Colorado 80203

On Behalf of the Frontier Fund - Long Only Commodity Series 1

THE FRONTIER FUND MANAGED FUTURES INDEX SERIES - 1

STATEMENT OF INCOME (LOSS)

FOR THE MONTH ENDED

September 30, 2011

(Unaudited)

 

     Current Period  

INCOME

   

Realized trading gain/(loss)

    $ 26,845.59   

Unrealized trading gain/(loss)

      4,726.58   

Less: commissions

      (89.80 ) 

Less: FCM fees

      (157.59 ) 

Foreign currency gain/(loss)

      (1,254.20 ) 

Interest income

      598.89   
  

 

 

  

Total Income

      30,669.47   

EXPENSES

   

Management fees

      731.66   

Incentive fees

      —     

Broker service fees

      633.46   
  

 

 

  

Total Expenses

      1,365.12   

Net Income (Loss)

    $ 29,304.35   
  

 

 

  

 

     Units     Dollars     $'s per unit  

STATEMENT OF CHANGES IN NET ASSET VALUE

       

Net Asset Value, end of prior month

      3,248.88319      $ 369,633.02        113.77   

Current month additions

      —          —       

Current month redemptions

      (39.24873 )      (4,765.87 )   

Net Income (loss) for current month

        29,304.35     

Net Asset Value, end of current month

      3,209.63446      $ 394,171.50        122.81   
  

 

 

    

 

 

    

 

 

  
     Monthly rate of return        7.94 % 

To the best of my knowledge and belief, the information

contained in this statement is accurate and complete

    /s/ S. Brent Bales    
 

S. Brent Bales, Chief Accounting Officer of the Managing Owner

  

Equinox Fund Management LLC

1775 Sherman Street, Suite 2500

Denver, Colorado 80203

On Behalf of the Frontier Fund - Managed Futures Index Series 1

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