UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

 

 

FORM 10-K/A

(AMENDMENT NO. 1)2)

 

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

For the fiscal year ended December 31, 2007

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

BALANCED SERIES; GRAHAM SERIES; WINTON SERIES; CAMPBELL/GRAHAM SERIES;

CURRENCY SERIES; DUNN SERIES; LONG ONLY COMMODITY SERIES;

LONG/SHORT COMMODITY SERIES; MANAGED FUTURES INDEX SERIES

(Exact Name of Registrant as specified in Its Charter)

 

 

 

Delaware 36-6815533

(State or Other Jurisdiction of Incorporation or

Incorporation or Organization)

 

(IRS Employer

Identification No.)

c/o Equinox Fund Management, LLC

1660 Lincoln Street, Suite 100,

Denver, Colorado 80264

 80264
(Address of Principal Executive Offices) (Zip Code)

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

 

 

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

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

Title of Each Class

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

Dunn Series Class 1 and Class 2 Units

Graham Series Class 1 and Class 2 Units

Winton Series Class 1 and Class 2 Units

Campbell/Graham Series Class 1 and Class 2 Units

Currency Series Class 1 and Class 2 Units

Long/Short Commodity Series Class 1 and Class 2 Units

Long Only Commodity Series Class 1 and Class 2 Units

Managed Futures Index Series Class 1 and Class 2 Units

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

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


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

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

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

 

Large Accelerated Filer  ¨

Accelerated Filer  ¨
Large 

Non–Accelerated Filer

¨Accelerated Filer¨
Non-Accelerated Filerx

  Smaller Reporting Company  x¨  (Do

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

Documents Incorporated by Reference

None

 

 

 


EXPLANATORY NOTE

This Amendment No. 1No.2 on Form 10-K/A (the “Amendment”) is filed by The Frontier Fund (the “Trust” or the “Registrant”) to amend the Registrant’s annual report on Form 10-K for the fiscal year ended December 31, 2007, originally filed with the Securities and Exchange Commission (the “SEC”) on March 18, 2008 (the “2007 10-K”). The purpose of this Annual Report on Form 10-K/A is to amend Part II,IV, Item 9A and Part III, Item 1015 of the 2007 10-K. No other items of the 2007 10-K and amendments thereto are amended in this 10-K/A.

The complete text of Item 9A15 of Part II and Item 10 of Part IIIIV is set forth herein.

Below is a summary of the principal amendments to those Items:

Part II

Item 9A. Controls and Procedures.

This Such Item has been amended to clarify that management’s evaluations and assessments of disclosure controls and procedures and internal control over financial reporting were made not only with respectinclude, as a Financial Statement Schedule to the Trust but also2007 10-K, audited financial statements for the Trust’s subsidiary trading vehicles (each, a “Trading Company”) prepared in accordance with respectRule 3-09 under SEC Regulation S-X. For more information, please see footnote 1 to each individual series of its units of beneficial interest.

Part III

Item 10. Directors, Executive Officers and Corporate Governance.

Robert J. Enck’s biography has been amendedthe Index to reflect that he is a member of the managing committee of the Managing Owner of the Trust, Equinox Fund Management, LLC, or the Executive Committee.Trading Company Financial Statements.

In addition, as required by Rule 12b-15 under the Securities Exchange Act of 1934, as amended (the “ Exchange“Exchange Act”), new certifications by the principal executive officer and principal financial officer of the Managing Owner of the Trust are filed as exhibits to this Annual Report on Form 10-K/A under Item 15 of Part IV hereof.

For purposes of this Annual Report on Form 10-K/A, and in accordance with Rule 12b-15 under the Exchange Act, Items 9A and 10Item 15 of our 2007 10-K havehas been amended and restated in theirits entirety. Except as stated herein, this Form 10-K/A does not reflect events occurring after the filing of the Form 10-K on March 18, 2008 and no attempt has been made in this Annual Report on Form 10-K/A to modify or update other disclosures as presented in the 2007 10-K. Accordingly, this Form 10-K/A should be read in conjunction with our filings with the SEC subsequent to the filing of the Form 10-K.

Table of Contents

 

PART IIIV

Item 9A. Controls and Procedures

  4
PART III

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

4
PART IV

Item 15. Exhibits and Financial Statement Schedules

  75

SIGNATURES

  

Part II

Item 9A.CONTROLS AND PROCEDURES.

Evaluation of Disclosure Controls and Procedures

Under the supervision and with the participation of the management of the Managing Owner, including its Chief Executive Officer and Chief Financial Officer, the Trust evaluated the effectiveness of the design and operation of the disclosure controls and procedures (as defined in Rule 13(a)-15(e) under the Securities Exchange Act of 1934, as amended) for the Trust and each Series as of December 31, 2007 (the “Evaluation Date”). Any control system, no matter how well designed and operated, can provide only reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected. Based upon our evaluation, the Chief Executive Officer and Chief Financial Officer of the Managing Owner concluded that, as of the Evaluation Date, the disclosure controls and procedures for the Trust and each Series were effective to provide reasonable assurance that they are timely alerted to the material information relating to the Trust and each Series required to be included in the Trust’s periodic SEC filings.

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

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

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

Management assessed the effectiveness of the internal control over financial reporting for the Trust and each Series as of December 31, 2007, 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, 2007, 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.

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 its capacity as managing owner. The Managing Owner became registered with the CFTC as a commodity pool operator, or a CPO, as of August 6, 2003, and has been a member in the National Futures Association (the “NFA”), in such capacity since that date.

Principals of the Managing Owner

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

Robert J. Enck, born in 1962, is the President and Chief Executive Officer of the Managing Owner 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 toThe Handbook of Managed Futures—Performance, Evaluation and Analysis(McGraw-Hill, 1997) andSearching for Alpha—The Quest for Exceptional Investment Performance(Wiley, 2000). Mr. Bornhoft is a board member and principal of Morningstar Hedge Inc. He currently holds SEC/NASD Series 7, 24 and 63 registrations, in addition to a CFTC/NFA series 3 registration.

Ron S. Montano, born in 1957, is the Chief Administration Officer and Secretary of the Managing Owner. In addition, Mr. Montano has been registered as a principal of the Managing Owner since August 2003. Mr. Montano is also the Chief Operations Officer of The Bornhoft Group. Mr. Montano joined the Bornhoft Group in November 1997 and has been registered as a principal thereof since May 1998. Mr. Montano is also a principal of Bornhoft Group Securities Corporation. His responsibilities include providing oversight and management to all divisions of The Bornhoft Group companies, managing all personnel activities, and directing marketing campaigns. Mr. Montano draws upon his extensive experience in leadership and management skills during his successful and highly decorated 23-year career in the U.S. Army/Army Recruiting Command. He achieved the rank of Command Sergeant Major responsible for administrative functions including manpower assessment, relocation and problem solving, training, documentation and community relations. During his tenure, his oversight has included overseeing six recruiting companies and 51 recruiting stations within the New England states territory, and seven companies and 52 recruiting offices and over 300 recruiting sales representatives in Michigan, which was the largest recruiting territory in the United States. He graduated with a degree in Applied Science as well as being selected for and graduated from the U.S. Army Sergeants Major Academy. Mr. Montano was selected to be directly involved in the U.S. Army Recruiting Command policy development process. He has been highly decorated for his accomplishments in promoting his assigned territories, which earned him the Army’s coveted “Legion of Merit Award.”

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

Executive Committee of the Managing Owner

The Executive Committee is responsible for the general oversight of the Managing Owner’s business and functions like a board of directors of a corporation. The initial members of the Executive Committee are Robert J. Enck, Richard E. Bornhoft, John C. Plimpton and John R. Zumbrunn.

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

Richard E. Bornhoft’sbiography 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.

John R. Zumbrunn, born in 1942, is a member of the Executive Committee of the Managing Owner. In addition, Mr. Zumbrunn has been registered as a principal of the Managing Owner since August 2003. Since 1995 he has served as a financial and trading consultant to Willowbridge Associates Inc. and Union Spring Asset Management, Inc., and as a principal of Millstone Portfolio Management, an advisory affiliate of Union Spring Asset Management, Inc. Since 1985 Mr. Zumbrunn was Managing Director of Princeton Investment Technologies, an investment advisory and consulting firm. From 1991 to 1994, he was the Director of Research of Tricon U.S.A., a managed futures and alternative investments fund. Since July 1982, Mr. Zumbrunn has been registered with the CFTC as a sole proprietor commodity trading advisor and has been a member of the NFA in such capacity as of such date. He has over 20 years of investment, trading, and quantitative research experience with Chemical Bank, The Prudential Insurance Company of America, Salomon Brothers, and Commodities Corporation. Mr. Zumbrunn holds a Ph.D. in Mathematics from the University of California at Berkeley and an A.B. in Mathematics from Princeton University and has taught mathematics at Columbia University and the City University of New York.

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

Part IV

 

Item 15.EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM 8-K.

 

(a)(1)The response to this portion of Item 15 is submitted as a separate section of this report commencing on page F-1.
(a)(2)The response to this portion of Item 15 is submitted as a separate section of this report commencing on page F-34.
(a)(3)Exhibits (numbered in accordance with Item 601 of Regulation S-K).
  1.1Form of Selling Agent Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents****
  1.2Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents**
  1.3Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents***
  1.4Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents***
  1.5Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents****
  1.6Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents****
  4.1Declaration of Trust and Amended and Restated Trust Agreement of the Registrant (annexed to the Prospectus as Exhibit A)****
  4.2Form of Subscription Agreement (annexed to the Prospectus as Exhibit B)****
  4.3Form of Exchange Request (annexed to the Prospectus as Exhibit C)****
  4.4Form of Request for Redemption (annexed to the Prospectus as Exhibit D)****
  4.5Form of Request for Additional Subscription (annexed to the Prospectus as Exhibit E)****
  4.6Form of Application for Transfer of Ownership / Re-registration Form (annexed to the Prospectus as Exhibit F)****
  4.7Form of Privacy Notice (annexed to the Prospectus as Exhibit G)****
  10.1Form 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***
  10.2Form of Brokerage Agreement between each Trading Company and UBS Securities, LLC*
  10.21Form of Brokerage Agreement between each Trading Company and Banc of America Futures Incorporated*
  10.22Form of Brokerage Agreement between the Managing Owner, acting as agent on behalf of certain Trading Companies, and Deutsche Bank AG London**
  10.23Form of Brokerage Agreement between each Trading Company and Man Financial Inc. ***
  10.24Form of Amendment Agreement between the Managing Owner, acting as agent on behalf of certain Trading Companies, and Deutsche Bank AG London***
  10.25Form of Brokerage Agreement between each Trading Company and Fimat USA, LLC****
  10.3Form of Advisory Agreement among the Registrant, the Trading Company, Equinox Fund Management, LLC, and each Trading Advisor****

10.31Form 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***
10.32Form of License Agreement among Jefferies Financial Products, LLC, Reuters America LLC, the Registrant and Equinox Fund Management, LLC***
10.33Form of License Agreement among Jefferies Financial Products, the Registrant and Equinox Fund Management, LLC***
10.34Form of Guaranty made by Jefferies Group, Inc. in favor of Frontier Trading Company VIII, LLC***
10.35Form 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***
10.36Form 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***
10.4Form of Cash Management Agreement between Equinox Fund Management, LLC and Merrill Lynch**
10.41Form of Cash Management Agreement between Equinox Fund Management, LLC and STW Fixed Income Management Ltd.***
10.5Form of single-member limited liability company operating agreement governing each Trading Company***
21.1Subsidiaries of Registrant. (filed herewith)
31.1  Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.2  Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.3  Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.4  Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.5  Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.6  Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.7  Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.8  Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.9  Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.10  Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.11  Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.12  Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)

31.13  Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.14  Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.15  Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.16  Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.17  Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.18  Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.19  Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.20  Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)

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

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

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

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

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

INDEX TO TRADING COMPANY FINANCIAL STATEMENTS(1)

Report of Independent Registered Public Accounting Firm

F-34

Statements of Financial Condition as of December 31, 2007 and 2006

F-35

Statements of Operations for the Years Ended December 31, 2007, 2006 and 2005

F-36

Statements of Changes in Members’ Equity for the Years Ended December 31, 2007, 2006 and 2005

F-37

Notes to Financial Statements

F-38

(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 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, financial statements of each consolidated Trading Company of the Trust are also included in the interest of providing a more complete presentation.


Report of Independent Registered Public Accounting Firm

To the Frontier Fund, as sole member of the Trading Companies

We have audited each of the accompanying statements of financial condition, of Frontier Trading Company I LLC, Frontier Trading Company II LLC, Frontier Trading Company III LLC, Frontier Trading Company IV LLC, Frontier Trading Company V LLC, Frontier Trading Company VI LLC, Frontier Trading Company VII, LLC, Frontier Trading Company VIII, LLC, and Frontier Trading Company IX, LLC (collectively, the “Trading Companies”) as of December 31, 2007 and 2006, and the related statements of operations and changes in members’ equity for each of the three years in the period ended December 31, 2007. These financial statements are the responsibility of the Trading Companies’ 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 audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, each of the financial statements referred to above present fairly, in all material respects, the financial position of Frontier Trading Company I LLC, Frontier Trading Company II LLC, Frontier Trading Company III LLC, Frontier Trading Company IV LLC, Frontier Trading Company V LLC, Frontier Trading Company VI LLC, Frontier Trading Company VII, LLC, Frontier Trading Company VIII, LLC, and Frontier Trading Company IX, LLC as of December 31, 2007 and 2006, and the results of their operations and changes in members’ equity for each of the three years in the period ended December 31, 2007 in conformity with U.S. generally accepted accounting principles

/s/ McGladrey & Pullen, LLP

Denver, Colorado

January 15, 2009

The Trading Companies of the Frontier Fund

Statements of Financial Condition

December 31, 2007 and December 31, 2006

   Frontier Trading
Company I LLC
  Frontier Trading
Company II LLC
  Frontier Trading
Company III LLC
   12/31/2007  12/31/2006  12/31/2007  12/31/2006  12/31/2007  12/31/2006
ASSETS            

Cash held at futures commission merchants

  $25,861,525  $13,191,065  $9,924,146  $7,018,159  $1,539,788  $1,495,953

Open trade equity

   461,880   4,850,568   970,867   1,422,913   34,703   41,615

Swap contracts

   32,329,392   —     —     —     822,068   1,474,958
                        

Total Assets

  $58,652,797  $18,041,633  $10,895,013  $8,441,072  $2,396,559  $3,012,526
                        
MEMBERS’ EQUITY            

MEMBERS’ EQUITY

   58,652,797   18,041,633   10,895,013   8,441,072   2,396,559   3,012,526
                        

Total Members’ Equity

  $58,652,797  $18,041,633  $10,895,013  $8,441,072  $2,396,559  $3,012,526
                        
   Frontier Trading
Company IV LLC (1)
  Frontier Trading
Company V LLC
  Frontier Trading
Company VI LLC
   12/31/2007  12/31/2006  12/31/2007  12/31/2006  12/31/2007  12/31/2006
ASSETS            

Cash held at futures commission merchants

  $—    $1,284,925  $12,761,730  $13,938,010  $13,863,217  $16,383,004

Open trade equity

   —     235,235   —     1,576,367   —     4,882,656

Swap contracts

   —     —     —     —     14,912,063   34,603,385
                        

Total Assets

  $—    $1,520,160  $12,761,730  $15,514,377  $28,775,280  $55,869,045
                        
LIABILITIES & MEMBERS’ EQUITY            

LIABILITIES

            

Open trade deficit

  $—    $—    $96,656  $—    $1,481,122  $—  
                        

Total Liabilities

   —     —     96,656   —     1,481,122   —  
                        

MEMBERS’ EQUITY

   —     1,520,160   12,665,074   15,514,377   27,294,158   55,869,045
                        

Total Liabilities and Members’ Equity

  $—    $1,520,160  $12,761,730  $15,514,377  $28,775,280  $55,869,045
                        
   Frontier Trading
Company VII, LLC
  Frontier Trading
Company VIII, LLC
  Frontier Trading
Company IX, LLC
   12/31/2007  12/31/2006  12/31/2007  12/31/2006  12/31/2007  12/31/2006
ASSETS            

Cash held at futures commission merchants

  $21,539,642  $4,485,621  $—    $—    $2,576,122  $1,729,868

Open trade equity

   —     280,503   —     —     50,316   428,995

Swap contracts

   —     —     768,028   806,473   —     —  
                        

Total Assets

  $21,539,642  $4,766,124  $768,028  $806,473  $2,626,438  $2,158,863
                        
LIABILITIES & MEMBERS’ EQUITY            

LIABILITIES

            

Open trade deficit

  $11,151,267  $—    $—    $—    $—    $—  
                        

Total Liabilities

   11,151,267   —     —     —     —     —  
                        

MEMBERS’ EQUITY

   10,388,375   4,766,124   768,028   806,473   2,626,438   2,158,863
                        

Total Liabilities and Members’ Equity

  $21,539,642  $4,766,124  $768,028  $806,473  $2,626,438  $2,158,863
                        

(1)Frontier Trading Company IV LLC ceased operations in October 2007

The accompanying notes are an integral part of these statements.

The Trading Companies of the Frontier Fund

Statements of Operations

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

  Frontier Trading
Company I LLC
  Frontier Trading
Company II LLC
  Frontier Trading
Company III LLC
 
  12/31/2007  12/31/2006  12/31/2005  12/31/2007  12/31/2006  12/31/2005  12/31/2007  12/31/2006  12/31/2005 

Investment Income:

         

Interest-net

 $1,000,475  $399,825  $161,255  $434,402  $213,384  $137,820  $132,464  $98,990  $15,558 
                                    

Total Income

  1,000,475   399,825   161,255   434,402   213,384   137,820   132,464   98,990   15,558 
                                    

Realized and unrealized gain (loss) on investments:

         

Net realized gain/(loss) on futures and currencies

  (621,375)  3,400,339   2,367,355   17,879,093   8,755,911   2,025,715   (8,104)  27,040   (12,388)

Net realized gain/(loss) on option / swap contracts

  —     —     —     —     —     —     135,100   900,226   —   

Net change in open trade equity

  2,928,523   151,686   4,320,654   (452,160)  (2,090,380)  3,142,512   (28,482)  14,008   15,039 

Net unrealized gain/(loss) on option / swap contracts

  (899,872)  —     —     —     —     —     —     —     —   

Trading commissions

  (2,155,318)  (722,652)  (596,506)  (387,285)  (282,438)  (303,355)  —     —     —   
                                    

Net gain/(loss) on investments

  (748,042)  2,829,373   6,091,503   17,039,648   6,383,093   4,864,872   98,514   941,274   2,651 
                                    

NET INCREASE IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS

 $252,433  $3,229,198  $6,252,758  $17,474,050  $6,596,477  $5,002,692  $230,978  $1,040,264  $18,209 
                                    
  Frontier Trading
Company IV LLC (2)
  Frontier Trading
Company V LLC
  Frontier Trading
Company VI LLC
 
  12/31/2007  12/31/2006  12/31/2005  12/31/2007  12/31/2006  12/31/2005  12/31/2007  12/31/2006  12/31/2005 

Investment Income:

         

Interest-net

 $58,739  $99,330  $78,437  $653,524  $345,944  $123,550  $813,618  $487,539  $113,858 
                                    

Total Income

  58,739   99,330   78,437   653,524   345,944   123,550   813,618   487,539   113,858 
                                    

Realized and unrealized gain (loss) on investments:

         

Net realized gain/(loss) on futures and currencies

  (1,319,360)  (2,269,819)  (1,425,792)  7,697,156   485,089   (782,768)  (5,247,587)  (2,247,370)  5,039,524 

Net realized gain/(loss) on option / swap contracts

  —     —     —     —     —     —     1,674,698    —   

Net change in open trade equity

  (235,223)  47,344   269,038   (1,673,135)  1,479,234   136,041   (6,352,783)  6,111,319   (1,222,005)

Net unrealized gain/(loss) on option / swap contracts

  —     —     —     —     —     —     (3,394,571)  1,603,390   —   

Trading commissions

  (33,983)  (86,487)  (119,452)  (192,697)  (284,699)  (74,411)  (225,237)  (143,084)  (78,383)
                                    

Net gain/(loss) on investments

  (1,588,566)  (2,308,962)  (1,276,206)  5,831,324   1,679,624   (721,138)  (13,545,480)  5,324,255   3,739,136 
                                    

NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS

 $(1,529,827) $(2,209,632) $(1,197,769) $6,484,848  $2,025,568  $(597,588) $(12,731,862) $5,811,794  $3,852,994 
                                    
  Frontier Trading
Company VII, LLC (1)
  Frontier Trading
Company VIII, LLC (1)
  Frontier Trading
Company IX, LLC (1)
 
  12/31/2007  12/31/2006  12/31/2005  12/31/2007  12/31/2006  12/31/2005  12/31/2007  12/31/2006  12/31/2005 

Investment Income:

         

Interest-net

 $135,889  $118,855  $—    $88,729  $34,500  $—    $92,235  $49,412  $—   
                                    

Total Income

  135,889   118,855   —     88,729   34,500   —     92,235   49,412   —   
                                    

Realized and unrealized gain (loss) on investments:

         

Net realized gain/(loss) on futures and currencies

  15,057,205   664,214   —     —     —     —     1,001,958   (681,466)  —   

Net realized gain/(loss) on option / swap contracts

  —     —     —     1,729,289   (643,705)  —     —     —     —   

Net change in open trade equity

  (14,220,168)  438,221   —     —     —     —     (378,687)  429,002   —   

Trading commissions

  (1,070,911)  (195,424)  —     —     —     —     (59,696)  (34,148)  —   
                                    

Net gain/(loss) on investments

  (233,874)  907,011   —     1,729,289   (643,705)  —     563,575   (286,612)  —   
                                    

NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS

 $(97,985) $1,025,866  $—    $1,818,018  $(609,205) $—    $655,810  $(237,200) $—   
                                    

(1)Trading Companies VII, VIII and IX commenced trading operations on February 24, 2006.
(2)Trading Company IV ceased trading operations in October, 2007

The accompanying notes are an integral part of these statements.

The Trading Companies of the Frontier Fund

Statements of Changes in Members’ Equity

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

   Frontier Trading
Company I LLC
  Frontier Trading
Company II LLC
  Frontier Trading
Company III LLC
 

Members’ Equity, January 1, 2005

  $2,316,869  $1,727,291  $456,513 

Capital Contributed

   11,245,000   7,960,000   419,918 

Capital Distributed

   (9,689,265)  (7,557,574)  —   

Net Increase in Members’ Equity Resulting From Operations

   6,252,758   5,002,692   18,209 
             

Members’ Equity, December 31, 2005

  $10,125,362  $7,132,409  $894,640 
             

Capital Contributed

   20,120,000   8,530,961   2,093,478 

Capital Distributed

   (15,432,927)  (13,818,775)  (1,015,856)

Net Increase in Members’ Equity Resulting From Operations

   3,229,198   6,596,477   1,040,264 
             

Members’ Equity, December 31, 2006

  $18,041,633  $8,441,072  $3,012,526 
             

Capital Contributed

   102,070,000   6,550,000   1,138,420 

Capital Distributed

   (61,711,269)  (21,570,109)  (1,985,365)

Net Increase in Members’ Equity Resulting From Operations

   252,433   17,474,050   230,978 
             

Members’ Equity, December 31, 2007

  $58,652,797  $10,895,013  $2,396,559 
             
   Frontier Trading
Company IV LLC (2)
  Frontier Trading
Company V LLC
  Frontier Trading
Company VI LLC
 

Members’ Equity, January 1, 2005

  $1,577,231  $2,609,869  $—   

Capital Contributed

   7,035,000   5,111,000   4,940,000 

Capital Distributed

   (5,286,781)  (2,006,738)  (1,937,223)

Net Increase/(Decrease) in Members’ Equity Resulting From Operations

   (1,197,769)  (597,588)  3,852,994 
             

Members’ Equity, December 31, 2005

  $2,127,681  $5,116,543  $6,855,771 
             

Capital Contributed

   2,500,000   14,940,000   50,350,000 

Capital Distributed

   (897,889)  (6,567,734)  (7,148,520)

Net Increase/(Decrease) in Members’ Equity Resulting From Operations

   (2,209,632)  2,025,568   5,811,794 
             

Members’ Equity, December 31, 2006

  $1,520,160  $15,514,377  $55,869,045 
             

Capital Contributed

   1,700,000   3,350,000   20,501,800 

Capital Distributed

   (1,690,333)  (12,684,151)  (36,344,826)

Net Increase/(Decrease) in Members’ Equity Resulting From Operations

   (1,529,827)  6,484,848   (12,731,861)
             

Members’ Equity, December 31, 2007

  $—    $12,665,074  $27,294,158 
             
   Frontier Trading
Company VII, LLC (1)
  Frontier Trading
Company VIII, LLC (1)
  Frontier Trading
Company IX, LLC (1)
 

Members’ Equity, January 1, 2005

  $—    $—    $—   

Capital Contributed

   —     —     —   

Capital Distributed

   —     —     —   
             

Members’ Equity, December 31, 2005

  $—    $—    $—   
             

Capital Contributed

   8,080,000   5,222,261   2,550,000 

Capital Distributed

   (4,339,742)  (3,806,583)  (153,937)

Net Increase/(Decrease) in Members’ Equity Resulting From Operations

   1,025,866   (609,205)  (237,200)
             

Members’ Equity, December 31, 2006

  $4,766,124  $806,473  $2,158,863 
             

Capital Contributed

   14,750,000   7,584,341   100,000 

Capital Distributed

   (9,029,764)  (9,440,804)  (288,235)

Net Increase/(Decrease) in Members’ Equity Resulting From Operations

   (97,985)  1,818,018   655,810 
             

Members’ Equity, December 31, 2007

  $10,388,375  $768,028  $2,626,438 
             

(1)Trading Companies VII, VIII and IX commenced trading operations on February 24, 2006.
(2)Trading Company IV ceased trading operations in October 2007

The accompanying notes are an integral part of these statements.

The Trading Companies of The Frontier Fund

Notes to Financial Statements

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

1. Organization and Purpose

These financial statements and related notes pertain to the following companies: Frontier Trading Company I LLC, Frontier Trading Company II LLC, Frontier Trading Company III LLC, Frontier Trading Company IV LLC, Frontier Trading Company V LLC, Frontier Trading Company VI LLC, Frontier Trading Company VII, LLC, Frontier Trading Company VIII, LLC, and Frontier Trading Company IX, LLC (each a “Trading Company” and collectively 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 (“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 independent commodity trading advisors (“Trading Advisors”) to place trades and manage assets at pre-determined investment levels. The Trading Companies were organized for the purpose of investing in securities and derivative instruments, and have no operating income or expenses, except for trading income and expenses. Trading Companies in which a Series has a majority equity interest are consolidated by such Series. Equity interest is defined as Trading Level, which is the aggregate amount of predetermined investment levels which all Trading Advisors in the Trading Company have been authorized to trade, plus the accumulated profit or loss in the accounts. Investments in Trading Companies in which a Series does not have a controlling or majority interest are accounted for under the equity method and are carried in the statement of financial condition of such Series at fair value. Fair value represents the investment in the Trading Company and the proportionate share of the Trading Company’s income or loss.

The following table details the percentage equity interest of each Series in each Trading Company as of December 31, 2007 and December 31, 2006.

The Frontier Fund

Equity Percentage Control of Trading Companies by Series

December 31, 2007

   Trading Company 

Series

  I  II  III  V  VI  VII  VIII  IX 

Balanced

  100.00% 54.03%   68.76% 25.15%  93.72%

Winton

   45.97%      

Currency

    100.00%     

Dunn

         

Graham

     18.81%    

Campbell/Graham

     81.19% 31.24%   

Long/Only Commodity

        100.00% 

Long/Short Commodity

       74.85%  

Managed Futures

         6.28%
                         
  100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
                         

The Frontier Fund

Equity Percentage Control of Trading Companies by Series

December 31, 2006

   Trading Company 

Series

  I  II  III  IV  V  VI  VII  VIII  IX 

Balanced

  100.00% 99.12%  95.05%  65.11% 39.33%  

Winton

   0.88%       

Currency

    100.00%      

Dunn

     4.95%     

Graham

      48.30%    

Campbell/Graham

      51.70% 34.89%   

Long/Only Commodity

         100.00% 

Long/Short Commodity

        60.67%  

Managed Futures

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

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

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

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.

2. Critical Accounting Polices

The following are the significant accounting policies of the Trading Companies. The Trading Companies follow the same significant accounting policies as the Trust.

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

The Trading Companies have elected not to provide statements of cash flows as permitted by Statement of Financial Accounting Standards No. 102Statements of Cash Flows—Exemption of Certain Enterprises and Classification of Cash Flows from Certain Securities Acquired for Resale.

Cash held at Futures Commodity Merchants—The Trading Companies deposit 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 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 Equinox Fund Management, LLC, the managing owner of the Trust and the manager of each of the Trading Companies (the “Managing Owner”), to make estimates and assumptions that affect amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.

Revenue recognition—Futures, options on futures, and forward contracts are recorded on a trade date basis and realized gains or losses are recognized when contracts are liquidated. Unrealized gains or losses on open contracts (the difference between contract trade price and market price) are reported in the Statement of Operations as a Net change in open trade equity, as there exists a right of offset of unrealized gains or losses in accordance with the Financial Accounting Standards Board (“FASB”) Interpretation No. 39—“Offsetting of Amounts Related to Certain Contracts.” Any change in net unrealized gain or loss from the preceding period is reported in the

Statement of Operations. Market value of exchange-traded contracts is based upon exchange settlement prices. Market value of non-exchange-traded contracts is based on third party quoted dealer values on the interbank market.

Distribution of Earnings—Each Trading Company distributes all of its daily trading profits or losses to the Series in proportion to each Series’ ownership interest in the Trading Company, adjusted on a daily basis. As of December 31, 2007, the value of all open contracts and cash held at clearing brokers is similarly allocated to the Series in proportion to each Series’ funds allocated to the Trading Company, or Companies.

Foreign Currency Transactions—The Trading Companies functional currency is the U.S. Dollar, however, it transacts business in currencies other than the U.S. Dollar. Assets and liabilities denominated in currencies other than the U.S. Dollar are translated into U.S. Dollars at the rates in effect at the date of the statement of financial condition. Income and expense items denominated in currencies other than the U.S. Dollar are translated into U.S. Dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. Dollars are reported in income currently.

Investments and Swaps—The Trading Companies records investment transactions on trade date and all investments are recorded at fair value in its financial statements, with changes in fair value reported as a component of realized and unrealized gains (losses) on investments in the Statements of Operations. Generally, fair values will be based on quoted market prices; however, in certain circumstances, significant judgments and estimates may be required in determining fair value in the absence of an active market closing price. At December 31, 2007 all investments in futures and forward contracts were based on quoted market prices. The valuation of investments in swap contracts (“Swaps”) involve estimates.

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

Fees and Expenses—The Trading Companies incur no expenses other than trading commissions resulting from normal trading activity. All operating expenses such as legal, accounting, etc. are immaterial and paid for, without reimbursement, by the Managing Owner.

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

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

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

In March 2008, the FASB issued Statement of Financial Accounting Standards No. 161,Disclosure about Derivative Instruments and Hedging Activities, an Amendment of FASB Statement No. 133 (“SFAS No. 161”). SFAS No. 161 is intended to improve transparency in financial reporting by requiring enhanced disclosures of an entity’s derivative instruments and hedging activities and their effects on the entity’s financial position, financial performance, and cash flows. SFAS No. 161 applies to all derivative instruments within the scope of SFAS No. 133. It also applies to non-derivative hedging instruments and all hedged items designated and qualifying as hedges under SFAS No. 133. SFAS No. 161 amends the current qualitative and quantitative disclosure requirements for derivative

instruments and hedging activities set forth in SFAS No. 133 and generally increases the level of desegregations that will be required in an entity’s financial statements. SFAS No. 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk related contingent features in derivative agreements. SFAS No. 161 is effective prospectively for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. Management is currently evaluating the provisions of SFAS 161 and its potential effect on its Financial Statements.

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

3. Swaps

In addition to authorizing Trading Advisors to manage pre-determined investment levels of futures and forward contracts, certain Trading Companies 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 Trading Companies’ investment in Swaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements.

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established, to act as Swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s 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, Frontier Trading Company III LLC and Frontier Trading Company VI LLC strategically invest assets in one or more Swaps linked to certain underlying investments or indices, at the direction of the Managing Owner. The Trading Company in which the assets of these Series will be invested will not own any of the investments or indices referenced by any Swap entered into by these Series. In addition, the swap counterparty to the Trading Company of these Series is not a Trading Advisor to these Trading Companies.

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

The Trading Companies have invested in the following Swaps as of December 31, 2007:

   Option Basket
Balanced Series
  Campbell Fund,
LTD.
  FX Concepts Global
Currency Program
  Reuters/
Jefferies CRB
Index
  Jefferies Commodity
Performance Index

Trading Company:

   I   VI   III   VIII   VIII

Counterparty

   Company A   Company A   Company B   Company C   Company C

Notional Amount

  $65,557,928  $15,000,000  $11,400,000  $2,500,000  $2,500,000

Termination Date

   

 

November 6,

2012

   

 

October 9,

2009

 

 

  

 

January 31,

2008

   

 

February 28,

2008

   

 

February 28,

2008

Investee Returns

   Total Return   Total Return   Total Return   Total Return   Total Return
                    

Realized Gain

  $—    $1,674,698  $135,100  $884,839  $844,450
                    

Unrealized Gain / (Loss)

  $329,391  $(3,394,571)     
                    

Fair Value 12/31/2007

  $32,329,392  $14,912,063  $822,068  $388,135  $379,893

4. Trading Activities and Related Risks

The purchase and sale of futures and options on futures contracts require margin deposits with futures commission merchants (each, an “FCM”). Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than the total of cash and other property deposited.

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

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

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

The unrealized gain (loss) on open futures contracts is comprised of the following:

   Futures Contracts
(exchange traded)
 
   2007  2006  2005 

Gross Unrealized Gains

  $23,009,450  $27,229,898  $17,528,857 

Gross Unrealized (Losses)

   (34,220,728)  (13,517,509)  (10,266,195)
             

Net Unrealized Gain (Loss)

  $(11,211,278) $13,712,389  $7,262,662 
             

The Managing Owner has established procedures to actively monitor and minimize market and credit risks. 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.

5. Indemnifications

The Trading Companies have entered into agreements, which provide for the indemnification of futures clearing brokers, currency trading companies, and commodity trading advisors, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence or bad faith. The 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 Managing Owner expects the risk of loss to be remote.

6. Subsequent Events

None.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

 The Frontier Fund
 (Registrant)
Date: November 26, 2008January 15, 2009 By: 

/s/ Robert J. Enck

  

Robert J. Enck

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


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

 Balanced Series,
 a Series of The Frontier Fund
 (Registrant)
Date: November 26, 2008January 15, 2009 By: 

/s/ Robert J. Enck

  

Robert J. Enck

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


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

 Dunn Series,
 a Series of The Frontier Fund
 (Registrant)
Date: November 26, 2008January 15, 2009 By: 

/s/ Robert J. Enck

  

Robert J. Enck

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


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

 Graham Series,
 a Series of The Frontier Fund
 (Registrant)
Date: November 26, 2008January 15, 2009 By: 

/s/ Robert J. Enck

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


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

 

Winton Series,

a Series of The Frontier Fund

(Registrant)

Date: November 26, 2008January 15, 2009 By: 

/s/ Robert J. Enck

  

Robert J. Enck

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


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

 

Campbell/Graham Series,

a Series of The Frontier Fund

(Registrant)

Date: November 26, 2008January 15, 2009 By: 

/s/ Robert J. Enck

  

Robert J. Enck

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


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

 

Currency Series,

a Series of The Frontier Fund

(Registrant)

Date: November 26, 2008January 15, 2009 By: 

/s/ Robert J. Enck

  

Robert J. Enck

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


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

 

Long Only Commodity Series,

a Series of The Frontier Fund

(Registrant)

Date: November 26, 2008January 15, 2009 By: 

/s/ Robert J. Enck

  

Robert J. Enck

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


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

 

Long/Short Commodity Series,

a Series of The Frontier Fund

(Registrant)

Date: November 26, 2008January 15, 2009 By: 

/s/ Robert J. Enck

  

Robert J. Enck

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


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

 

Managed Futures Index Series,

a Series of The Frontier Fund

(Registrant)

Date: November 26, 2008January 15, 2009 By: 

/s/ Robert J. Enck

  

Robert J. Enck

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

18