Frontier Funds 10-Q 2009 Q1 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM 10-Q

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

For the Period Ended March 31, 2009

OR

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

Commission File Number 000-51274

THE FRONTIER FUND

BALANCED SERIES; WINTON/GRAHAM SERIES; WINTON SERIES;

CAMPBELL/GRAHAM/TIVERTON SERIES; CURRENCY SERIES; LONG ONLY COMMODITY

SERIES; LONG/SHORT COMMODITY SERIES; MANAGED FUTURES INDEX SERIES

(Exact Name of Registrant as specified in its Charter)

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

c/o Equinox Fund Management, LLC

1660 Lincoln Street, Suite 100

Denver, Colorado 80264

(Address of Principal Executive Offices)

(303) 837-0600

(Registrant’s Telephone Number)

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

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

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

Winton Series Class 1 and Class 2 Units;

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

Currency Series Class 1 and Class 2 Units;

Winton/Graham Series Class 1 and Class 2 Units;

Long/Short Commodity Series Class 1 and Class 2 Units;

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

Managed Futures Index Series Class 1 and Class 2 Units

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

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

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

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

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes  ¨    No  x

TABLE OF CONTENTS

PART I – FINANCIAL INFORMATION
Item 1.	Financial Statements
	Statements of Financial Condition, March 31, 2009 (Unaudited) and December 31, 2008	4
	Condensed Schedule of Investments as of March 31, 2009 (Unaudited) and December 31, 2008	7
	Statements of Operations for the Three Months Ended March 31, 2009 and 2008 (Unaudited)	15
	Statements of Changes in Owners’ Capital for the Three Months Ended March 31, 2009 (Unaudited)	18
	Notes to Financial Statements (Unaudited)	23
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	43
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	62
Item 4.	Controls and Procedures	70
PART II – OTHER INFORMATION
Item 1.	Legal Proceedings	72
Item 1A.	Risk Factors	72
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	72
Item 3.	Defaults Upon Senior Securities	72
Item 4.	Submission of Matters to a Vote of Security Holders	72
Item 5.	Other Information	72
Item 6.	Exhibits	72
SIGNATURES		76

Special Note About Forward-Looking Statements

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

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

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

PART I. FINANCIAL INFORMATION

ITEM 1. Financial Statements

The Frontier Fund

Statements of Financial Condition

March 31, 2009 and December 31, 2008

	Balanced Series				Winton Series				Campbell/Graham/Tiverton Series
	3/31/2009		12/31/2008		3/31/2009		12/31/2008		3/31/2009		12/31/2008
	(Unaudited)				(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents	$	55,655,816	$	17,181,551	$	—	$	1,283,671	$	6,690,325	$	4,943,881
U.S. Treasury securities, at fair value		42,359,818		43,042,540		12,730,568		12,899,592		9,200,051		9,371,661
Custom time deposits		104,881,626		104,125,017		45,560,525		45,207,225		40,041,956		39,748,693
Certificates of deposit		34,278,103		34,091,481		14,163,068		14,085,571		12,936,539		12,866,065
Receivable from futures commission merchants		50,135,999		37,015,384		9,304,919		9,653,595		7,845,707		5,221,709
Open trade equity		17,421,453		23,149,527		—		2,158,369		—		—
Swap contracts		52,389,649		53,072,356		—		—		—		—
Investments in unconsolidated trading companies		24,753,544		19,528,370		—		—		10,375,180		8,559,112
Inter-series receivables		13,933,948		14,679,460		—		—		—		—
Prepaid service fees - Class 1		1,325,907		793,431		15,670		89,142		200,907		180,639
Interest receivable		182,964		492,171		54,987		54,314		39,738		112,684
Receivable from related parties		270,067		213,555		—		64,844		20,000		—
Other assets		571		55,234		15,463		—		134		—
Total Assets		397,589,465		347,440,077		81,845,200		85,496,323		87,350,537		81,004,444
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Payable to cash management pool	$	—	$	—	$	1,200,783	$	—	$	—	$	—
Open trade deficit		—		—		219,487		—		297,635		111,526
Pending owner additions		4,604,602		1,966,385		—		—		522,650		136,277
Owner redemptions payable		397,593		287,672		1,827		—		15,000		—
Incentive fees payable to Managing Owner		2,242,873		1,857,583		—		—		—		488,067
Management fees payable to Managing Owner		70,626		16,398		61,901		17,845		90,965		25,665
Interest fees payable to Managing Owner		318,406		63,212		54,615		12,314		62,454		16,616
Trading fees payable to Managing Owner		99,014		21,319		16,226		4,462		20,194		5,334
Trailing service fees payable to Managing Owner		217,551		60,329		50,246		17,576		63,483		23,635
Payables to related parties		11,303		14,451		35,194		25,597		135,037		27,118
Other liabilities		83,040		139,642		26,846		35,858		25,612		14,050
Total Liabilities		8,045,008		4,426,991		1,667,125		113,652		1,233,030		848,288
OWNERS’ CAPITAL
Non-Controlling Interests		11,626,784		9,330,079		9,800,421		11,355,645		4,135,599		2,391,227
Managing Owner Units - Class 1		—		—		1,274		1,304		—		—
Limited Owner Units - Class 1		287,834,027		256,550,829		58,930,461		62,282,355		72,323,161		69,957,155
Managing Owner Units - Class 1a		224		224		—		—		—		—
Limited Owner Units - Class 1a		9,769,979		8,135,941		—		—		—		—
Managing Owner Units - Class 2		4,095,925		3,612,130		273,611		277,935		297,076		302,878
Limited Owner Units - Class 2		73,887,129		63,497,532		11,172,308		11,465,432		9,361,671		7,504,896
Managing Owner Units - Class 2a		140,825		120,378		—		—		—		—
Limited Owner Units - Class 2a		2,189,564		1,765,973		—		—		—		—
Total Owners’ Capital		389,544,457		343,013,086		80,178,075		85,382,671		86,117,507		80,156,156
Total Liabilities and Owner’s Capital	$	397,589,465	$	347,440,077	$	81,845,200	$	85,496,323	$	87,350,537	$	81,004,444
Units Outstanding
Class 1		2,298,802		2,049,590		462,449		477,605		671,938		632,847
Class 1a		87,341		72,586		N/A		N/A		N/A		N/A
Class 2		543,277		471,143		83,023		83,855		79,322		62,893
Class 2a		19,110		15,552		N/A		N/A		N/A		N/A
Net Asset Value per Unit
Class 1	$	125.21	$	125.17	$	127.43	$	130.41	$	107.63	$	110.54
Class 1a	$	111.86	$	112.09		N/A		N/A		N/A		N/A
Class 2	$	143.54	$	142.44	$	137.86	$	140.04	$	121.77	$	124.14
Class 2a	$	121.95	$	121.30		N/A		N/A		N/A		N/A

The accompanying notes are an integral part of these statements.

4

The Frontier Fund

Statements of Financial Condition

March 31, 2009 and December 31, 2008

	Currency Series				Winton/Graham Series				Long Only Commodity Series
	3/31/2009		12/31/2008		3/31/2009		12/31/2008		3/31/2009		12/31/2008
	(Unaudited)				(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents	$	—	$	—	$	18,029,721	$	10,000,528	$	—	$	—
U.S. Treasury securities, at fair value		3,707,075		3,770,011		1,320,418		1,424,286		1,232,758		1,241,289
Custom time deposits		12,719,922		12,616,208		26,208,676		26,043,287		2,451,812		2,425,332
Certificates of deposit		3,525,573		3,506,438		8,722,351		8,675,748		443,222		440,781
Receivable from futures commission merchants		706,648		670,927		—		—		—		—
Open trade equity		—		12,810		—		—		—		—
Swap contracts		7,874,757		9,122,121		—		—		510,257		836,554
Investments in unconsolidated trading companies		—		—		6,126,175		4,342,658		—		—
Prepaid service fees - Class 1		25,912		33,974		463,230		365,708		10,129		11,435
Interest receivable		16,012		83,036		5,703		157,574		5,325		18,659
Receivable from related parties		990		444		6,992		20,000		1,213		63,133
Other assets		2,185		12,627		95		—		273		95
Total Assets	$	28,579,074	$	29,828,596	$	60,883,361	$	51,029,789	$	4,654,989	$	5,037,278
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Payable to cash management pool	$	725,281	$	279,582	$	—	$	—	$	632,012	$	983,248
Open trade deficit		137,696		—		—		—		—		—
Inter-series payables		13,933,947		14,679,460		—		—		—		—
Pending owner additions		52,650		10,000		2,062,469		710,128		14,550		—
Incentive fees payable to Managing Owner		—		—		—		76,168		—		—
Management fees payable to Managing Owner		7,100		2,260		61,911		12,020		4,109		4,167
Interest fees payable to Managing Owner		19,770		4,708		45,287		15,101		1,464		1,493
Trading fees payable to Managing Owner		7,661		2,039		14,382		2,204		1,644		1,665
Trailing service fees payable to Managing Owner		6,762		1,235		11,349		5,634		3,903		3,943
Payables to related parties		68,096		2,527		44,276		5,124		72,863		—
Other liabilities		8,273		—		14,238		8,181		65		289
Total Liabilities		14,967,236		14,981,811		2,253,912		834,560		730,610		994,805
OWNERS’ CAPITAL
Managing Owner Units - Class 2		652,449		687,357		55,245		56,315		103,919		110,092
Limited Owner Units - Class 1		10,900,210		11,900,185		44,529,423		35,760,835		3,156,061		3,254,226
Limited Owner Units - Class 2		2,059,179		2,259,243		14,044,781		14,378,079		664,399		678,155
Total Owners’ Capital		13,611,838		14,846,785		58,629,449		50,195,229		3,924,379		4,042,473
Total Liabilities and Owner’s Capital	$	28,579,074	$	29,828,596	$	60,883,361	$	51,029,789	$	4,654,989	$	5,037,278
Units Outstanding
Class 1		120,269		123,719		393,637		307,804		47,793		46,285
Class 2		26,136		26,959		109,315		109,779		10,932		10,587
Net Asset Value per Unit
Class 1	$	90.63	$	96.19	$	113.12	$	116.18	$	66.04	$	70.31
Class 2	$	103.75	$	109.30	$	128.99	$	131.49	$	70.28	$	74.46

The accompanying notes are an integral part of these statements.

5

The Frontier Fund

Statements of Financial Condition

March 31, 2009 and December 31, 2008

	Long/Short Commodity Series				Managed Futures Index Series
	3/31/2009		12/31/2008		3/31/2009		12/31/2008
	(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents	$	3,015,092	$	—	$	289,028	$	400,351
U.S. Treasury securities, at fair value		10,427,989		10,554,571		132,743		140,111
Custom time deposits		42,377,782		42,008,320		1,642,893		1,630,221
Certificates of deposit		10,982,944		10,923,009		491,137		488,470
Open trade equity		26,590,620		10,753,763		—		—
Investments in unconsolidated trading companies		—		—		1,251,604		770,967
Prepaid service fees - Class 1		182,332		266,272		5,920		8,848
Interest receivable		45,042		159,949		573		2,502
Receivable from related parties		66,806		9,162		—		—
Other assets		211		11,333		1		1,220
Total Assets	$	93,688,818	$	74,686,379	$	3,813,899	$	3,442,690
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Payable to cash management pool	$	—	$	4,856,404	$	—	$	—
Payable to futures commission merchants		14,094,626		1,508,493		—		—
Pending owner additions		427,400		129,636		62,000		30,000
Owner redemptions payable		2,726		—		—		—
Incentive fees payable to Managing Owner		658,601		39,178		—		—
Management fees payable to Managing Owner		109,931		21,889		5,523		5,102
Interest fees payable to Managing Owner		10,559		329		1,357		1,318
Trading fees payable to Managing Owner		16,991		2,699		1,381		1,276
Trailing service fees payable to Managing Owner		31,561		5,319		1,659		1,597
Payables to related parties		14,160		249,809		137		346
Other liabilities		12,262		16,172		281		—
Total Liabilities		15,378,817		6,829,928		72,338		39,639
OWNERS’ CAPITAL
Non-Controlling Interests		16,943,699		10,124,156		—		—
Managing Owner Units - Class 2		975,771		933,708		72,913		77,559
Limited Owner Units - Class 1		48,425,691		46,525,406		2,015,785		2,266,977
Limited Owner Units - Class 2		11,964,840		10,273,181		1,652,863		1,058,515
Total Owners’ Capital		78,310,001		67,856,451		3,741,561		3,403,051
Total Liabilities and Owner’s Capital	$	93,688,818	$	74,686,379	$	3,813,899	$	3,442,690
Units Outstanding
Class 1		465,025		463,448		16,299		17,151
Class 2		113,312		102,552		13,141		8,132
Net Asset Value per Unit
Class 1	$	104.14	$	100.39	$	123.68	$	132.18
Class 2	$	114.20	$	109.28	$	131.33	$	139.70

The accompanying notes are an integral part of these statements.

6

The Frontier Fund

Condensed Schedule of Investments

March 31, 2009

(Unaudited)

	Balanced Series					Winton Series					Campbell/Graham/ Tiverton Series					Currency Series
Description	Value			% of Net Asset Value		Value			% of Net Asset Value		Value			% of Net Asset Value		Value			% of Net Asset Value
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	(1,285,468	)	-0.33	%	$	(49	)	0.00	%	$	2,624		0.00	%	$	—		0.00	%
Various base metals futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		296,424		0.08	%		131,554		0.17	%		120,504		0.14	%		—		0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		6,719		0.00	%		3,936		0.00	%		57,913		0.07	%		—		0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		830		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		1,184,299		0.30	%		(13,260	)	-0.02	%		(2,436	)	0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		298,426		0.08	%		28,149		0.04	%		30,274		0.04	%		—		0.00	%
Various interest rates futures contracts (Canada)		43,842		0.01	%		32,514		0.04	%				0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		541,626		0.14	%		879,204		1.10	%		277,374		0.32	%		—		0.00	%
Various interest rates futures contracts (Far East)		200,036		0.05	%		(100,629	)	-0.13	%		(52,193	)	-0.06	%		—		0.00	%
Various precious metals futures contracts (U.S.)		955,960		0.25	%		(26,310	)	-0.03	%		(16,810	)	-0.02	%		—		0.00	%
Various soft futures contracts (U.S.)		734,308		0.19	%		10,620		0.01	%		(5,310	)	-0.01	%		—		0.00	%
Various soft futures contracts (Europe)		314,357		0.08	%		22,632		0.03	%		16,369		0.02	%		—		0.00	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		215,925		0.05	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		160,582		0.04	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		(93,030	)	-0.02	%		—		0.00	%		(310	)	0.00	%		—		0.00	%
Total Long Futures Contracts	$	3,574,006		0.92	%	$	968,361		1.21	%	$	428,829		0.50	%	$	—		0.00	%
LONG OPTIONS *	$	22,106,423		5.67	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
LONG CURRENCY FORWARDS *	$	344,037		0.09	%	$	—		0.00	%	$	587,882		0.68	%	$	(169,764	)	-1.25	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	(914,208	)	-0.23	%	$	(177,270	)	-0.22	%	$	(113,356	)	-0.13	%	$	—		0.00	%
Various currency futures contracts (US)		24,702		0.01	%		(861,020	)	-1.07	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		(823,366	)	-0.21	%		28,435		0.04	%		20,367		0.02	%		—		0.00	%
Various interest rates futures contracts (U.S.)		(63,219	)	-0.02	%		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		(74,206	)	-0.02	%		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		79,623		0.02	%		(1,148	)	0.00	%		7,059		0.01	%		—		0.00	%
Various precious metals futures contracts (U.S.)		(28,430	)	-0.01	%		—		0.00	%		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		(199,906	)	-0.05	%		(105,738	)	-0.13	%		(83,213	)	-0.10	%		—		0.00	%
Various soft futures contracts (Canada)		—		0.00	%		(141	)	0.00	%		—		0.00	%				0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		(292,800	)	-0.08	%		(46,403	)	-0.07	%		(29,428	)	-0.03	%		—		0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		1,199		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		(95,472	)	-0.02	%		(32,102	)	-0.04	%		(50,628	)	-0.06	%		—		0.00	%
Various stock index futures contracts (Far East)		(194,371	)	-0.05	%		6,340		0.01	%		(16,060	)	-0.02	%		—		0.00	%
Total Short Futures Contracts	$	(2,581,653	)	-0.66	%	$	(1,187,848	)	-1.48	%	$	(265,259	)	-0.31	%	$	—		0.00	%
SHORT OPTIONS *	$	(4,298,556	)	-1.10	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
SHORT CURRENCY FORWARDS *	$	(1,722,804	)	-0.44	%	$	—		0.00	%	$	(1,049,087	)	-1.21	%	$	32,068		0.24	%
Total Open Trade Equity	$	17,421,453		4.47	%	$	(219,487	)	-0.27	%	$	(297,635	)	-0.34	%	$	(137,696	)	-1.01	%
SWAPS (1)	$	52,389,649		13.44	%	$	—		0.00	%	$	—		0.00	%	$	7,874,757		57.85	%

7

The Frontier Fund

Condensed Schedule of Investments—(Continued)

March 31, 2009

(Unaudited)

	Balanced Series				Winton Series				Campbell/Graham/ Tiverton Series				Currency Series
Description	Value		% of Net Asset Value		Value		% of Net Asset Value		Value		% of Net Asset Value		Value		% of Net Asset Value
U.S. TREASURY SECURITIES
FACE VALUE	Fair Value				Fair Value				Fair Value				Fair Value
$36,500,000.00 US Treasury Note 3.875% due 02/15/2013   (Cost $38,125,391)		20,893,569	5.36	%		6,279,229	7.83	%		4,537,836	5.25	%		1,828,479	13.43	%
$36,700,000.00 US Treasury Note 4.000% due 02/15/2015   (Cost $38,016,039)		21,466,249	5.51	%		6,451,339	8.05	%		4,662,215	5.39	%		1,878,596	13.80	%
	$	42,359,818	10.87	%	$	12,730,568	15.88	%	$	9,200,051	10.64	%	$	3,707,075	27.23	%

Certificate of Deposits
FACE VALUE	Fair Value				Fair Value				Fair Value				Fair Value
$85,000,000.00 Certificate of Deposits 2.19% due 09/15/2009   (Cost $85,000,000)	$	34,278,103	8.79	%	$	14,163,068	17.66	%	$	12,936,539	14.97	%	$	3,525,573	25.90	%

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

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

Additional Disclosure on U.S. Government Securities	Face Value		Face Value		Face Value		Face Value
US Treasury Note 3.875% due 02/15/2013		19,098,065		5,801,607		4,111,522		1,652,416
US Treasury Note 4.000% due 02/15/2015		19,202,712		5,833,397		4,134,051		1,661,471
	$	38,300,777	$	11,635,004	$	8,245,573	$	3,313,887
	Cost		Cost		Cost		Cost
US Treasury Note 3.875% due 02/15/2013		19,948,526		6,059,960		4,294,613		1,726,000
US Treasury Note 4.000% due 02/15/2015		19,891,310		6,042,579		4,282,295		1,721,050
	$	39,839,836	$	12,102,539	$	8,576,908	$	3,447,050

The accompanying notes are an integral part of these statements.

8

The Frontier Fund

Condensed Schedule of Investments

March 31, 2009

(Unaudited)

	Winton/Graham Series				Long Only Commodity Series				Long/Short Commodity Series					Managed Futures Index Series
	Value		% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value		Value		% of Net Asset Value
LONG FUTURES CONTRACTS
Various base metals futures contracts (U.S.)	$	—	0.00	%	$	—	0.00	%	$	764,277		0.98	%	$	—	0.00	%
Silver @ Comex Settling 12/1/2009 (Number of Contracts: 1,357)		—	0.00	%		—	0.00	%		13,286,380		16.97	%		—	0.00	%
Various currency futures contracts (U.S.)		—	0.00	%		—	0.00	%		172,888		0.22	%		—	0.00	%
Various currency futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various energy futures contracts (U.S.)		—	0.00	%		—	0.00	%		4,343,989		5.55	%		—	0.00	%
Crude Oil, Light 9/1/2009 ( Number of Contracts: 182)		—	0.00	%		—	0.00	%		910,000		1.16	%		—	0.00	%
Various energy futures contracts (Far East)		—	0.00	%		—	0.00	%		(223	)	0.00	%		—	0.00	%
Various interest rates futures contracts (U.S.)		—	0.00	%		—	0.00	%		36,883		0.05	%		—	0.00	%
Various interest rates futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various precious metals futures contracts (U.S.)		—	0.00	%		—	0.00	%		(20,210	)	-0.03	%		—	0.00	%
Various soft futures contracts (U.S.)		—	0.00	%		—	0.00	%		1,606,509		2.05	%		—	0.00	%
Various soft futures contracts (Far East)		—	0.00	%		—	0.00	%		(348	)	0.00	%		—	0.00	%
Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		6,393		0.01	%		—	0.00	%
Various soft futures contracts (Canada)		—	0.00	%		—	0.00	%		(588	)	0.00	%		—	0.00	%
Various stock index futures contracts (U.S.)		—	0.00	%		—	0.00	%		395,536		0.50	%		—	0.00	%
Various stock index futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Total Long Futures Contracts	$	—	0.00	%	$	—	0.00	%	$	21,501,486		27.46	%	$	—	0.00	%
LONG OPTIONS *	$	—	0.00	%	$	—	0.00	%		18,480		0.02	%	$	—	0.00	%
LONG CURRENCY FORWARDS *	$	—	0.00	%	$	—	0.00	%	$	—		0.00	%	$	—	0.00	%
SHORT FUTURES CONTRACTS
Various base metals futures contracts (U.S.)	$	—	0.00	%	$	—	0.00	%	$	1,870,994		2.39	%	$	—	0.00	%
Various currency futures contracts (U.S.)		—	0.00	%		—	0.00	%		(8,869	)	-0.01	%		—	0.00	%
Various currency futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various energy futures contracts (U.S.)		—	0.00	%		—	0.00	%		2,266,367		2.89	%		—	0.00	%
Various interest rates futures contracts (US)		—	0.00	%		—	0.00	%		(203,063	)	-0.26	%		—	0.00	%
Various interest rates futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various precious metals futures contracts (U.S.)		—	0.00	%		—	0.00	%		930		0.00	%		—	0.00	%
Various soft futures contracts (U.S.)		—	0.00	%		—	0.00	%		(536,201	)	-0.68	%		—	0.00	%
Coffee @ CSCE Settling 5/1/2009 (Number of Contracts: 822)		—	0.00	%		—	0.00	%		1,686,226		2.15	%		—	0.00	%
Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (U.S.)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Total Short Futures Contracts	$	—	0.00	%	$	—	0.00	%	$	5,076,384		6.48	%	$	—	0.00	%
SHORT OPTIONS *	$	—	0.00	%	$	—	0.00	%	$	(5,730	)	-0.01	%	$	—	0.00	%
SHORT CURRENCY FORWARDS *	$	—	0.00	%	$	—	0.00	%	$	—		0.00	%	$	—	0.00	%
Total Open Trade Equity	$	—	0.00	%	$	—	0.00	%	$	26,590,620		33.96	%	$	—	0.00	%
SWAPS (1)	$	—	0.00	%	$	510,257	13.00	%	$	—				$	—	0.00	%

9

The Frontier Fund

Condensed Schedule of Investments—(Continued)

March 31, 2009

(Unaudited)

	Winton/Graham Series				Long Only Commodity Series				Long/Short Commodity Series				Managed Futures Index Series
	Value		% of Net Asset Value		Value		% of Net Asset Value		Value		% of Net Asset Value		Value		% of Net Asset Value
U.S. TREASURY SECURITIES
FACE VALUE	Fair Value				Fair Value				Fair Value				Fair Value
$36,500,000.00 US Treasury Note 3.875% due 02/15/2013 ( Cost $38,125,391)		651,283	1.11	%		608,046	15.49	%		5,143,504	6.57	%		65,474	1.75	%
$36,700,000.00 US Treasury Note 4.000% due 02/15/2015 ( Cost $38,016,039)		669,135	1.14	%		624,712	15.92	%		5,284,485	6.75	%		67,269	1.80	%
	$	1,320,418	2.25	%	$	1,232,758	31.41	%	$	10,427,989	13.32	%	$	132,743	3.55	%
Certificate of Deposits
FACE VALUE	Fair Value				Fair Value				Fair Value				Fair Value
$85,000,000.00 Certificate of Deposits 2.19% due 09/15/2009 (Cost $85,000,000)	$	8,722,351	14.88	%	$	443,222	11.29	%	$	10,982,944	14.02	%	$	491,137	13.13	%

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

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

Additional Disclosure on U.S. Government Securities	Face Value		Face Value		Face Value		Face Value
US Treasury Note 3.875% due 02/15/2013		465,088		569,909		4,750,169		51,223
US Treasury Note 4.000% due 02/15/2015		467,636		573,032		4,776,197		51,504
	$	932,724	$	1,142,941	$	9,526,366	$	102,727
	Cost		Cost		Cost		Cost
US Treasury Note 3.875% due 02/15/2013		485,799		595,288		4,961,700		53,504
US Treasury Note 4.000% due 02/15/2015		484,406		593,581		4,947,469		53,351
	$	970,205	$	1,188,869	$	9,909,169	$	106,855

The accompanying notes are an integral part of these statements.

10

The Frontier Fund

Condensed Schedule of Investments

December 31, 2008

	Balanced Series					Winton Series					Campbell/Graham/ Tiverton Series					Currency Series
Description	Value			% of Net Asset Value		Value			% of Net Asset Value		Value			% of Net Asset Value		Value			% of Net Asset Value
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	(12,295,591	)	-3.68	%	$	(61,704	)	-0.08	%	$	(16,604	)	-0.02	%	$	—		0.00	%
Various base metals futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		729,987		0.22	%		706,944		0.95	%		16,123		0.02	%		—		0.00	%
Various currency futures contracts (Canada)		6,889		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		38,129		0.01	%		8,268		0.01	%		1,315		0.00	%		—		0.00	%
Various currency futures contracts (Far East)		11,609		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		(742,136	)	-0.22	%		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		(144,841	)	-0.04	%		595,492		0.80	%		(80,680	)	-0.10	%		—		0.00	%
Various interest rates futures contracts (Canada)		25,302		0.01	%		57,298		0.08	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		400,577		0.12	%		1,120,595		1.52	%		152,684		0.20	%		—		0.00	%
Various interest rates futures contracts (Far East)		214,448		0.06	%		210,136		0.29	%		38,094		0.05	%		—		0.00	%
Various precious metals futures contracts (U.S.)		760,620		0.23	%		—		0.00	%		3,340		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		1,450,205		0.43	%		8,930		0.01	%		290		0.00	%		—		0.00	%
Various soft futures contracts (Europe)		155,590		0.05	%		51,098		0.07	%		2,660		0.00	%		—		0.00	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		119,055		0.04	%		935		0.00	%		2,274		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		34,898		0.01	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		133,008		0.03	%		—		0.00	%		—		0.00	%		—		0.00	%
Total Long Futures Contracts	$	(9,102,251	)	-2.73	%	$	2,697,992		3.65	%	$	119,496		0.15	%	$	—		0.00	%
LONG OPTIONS *	$	19,791,432		5.93	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
LONG CURRENCY FORWARDS *	$	119,914		0.04	%	$	—		0.00	%	$	148,701		0.19	%	$	(53,532	)	-0.36	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	15,978,874		4.79	%	$	501,985		0.68	%	$	41,677		0.04	%	$	—		0.00	%
Various currency futures contracts (US)		117,766		0.04	%		(456,100	)	-0.62	%		625		0.00	%		—		0.00	%
Various currency futures contracts (Canada)		(9,283	)	0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		37,430		0.01	%		—		0.00	%		(5,097	)	-0.01	%		—		0.00	%
Various currency futures contracts (Far East)		(36,957	)	-0.01	%		—		0.00	%		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		830,528		0.25	%		109,091		0.15	%		(7,363	)	-0.01	%		—		0.00	%
Various interest rates futures contracts (U.S.)		(340,369	)	-0.10	%		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		(2,139	)	0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		(26,077	)	-0.01	%		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		(58,831	)	-0.02	%		(3,652	)	0.00	%		(1,075	)	0.00	%		—		0.00	%
Various precious metals futures contracts (U.S.)		(172,610	)	-0.05	%		(11,840	)	-0.02	%		(4,930	)	-0.01	%		—		0.00	%
Various soft futures contracts (U.S.)		(841,206	)	-0.25	%		(628,657	)	-0.85	%		(83,229	)	-0.10	%		—		0.00	%
Various soft futures contracts (Canada)		—		0.00	%		(1,171	)	0.00	%		—		0.00	%				0.00	%
Various soft futures contracts (Europe)		(56,202	)	-0.02	%		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		(25,725	)	-0.01	%		(22,255	)	-0.03	%		(290	)	0.00	%		—		0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		(4,155	)	-0.01	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		(24,304	)	-0.01	%		(22,869	)	-0.03	%		(5,296	)	-0.01	%		—		0.00	%
Various stock index futures contracts (Far East)		(18,424	)	-0.01	%		—		0.00	%		(4,799	)	-0.01	%		—		0.00	%
Total Short Futures Contracts	$	15,352,471		4.60	%	$	(539,623	)	-0.73	%	$	(69,777	)	-0.09	%	$	—		0.00	%
SHORT OPTIONS *	$	(3,378,636	)	-1.01	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
SHORT CURRENCY FORWARDS *	$	366,597		0.11	%	$	—		0.00	%	$	(309,946	)	-0.39	%	$	66,342		0.45	%
Total Open Trade Equity	$	23,149,527		6.94	%	$	2,158,369		2.92	%	$	(111,526	)	-0.14	%	$	12,810		0.09	%
SWAPS (1)	$	53,072,356		15.91	%	$	—		0.00	%	$	—		0.00	%	$	9,122,121		62.73	%

11

The Frontier Fund

Condensed Schedule of Investments—(Continued)

December 31, 2008

	Balanced Series				Winton Series				Campbell/Graham/ Tiverton Series				Currency Series
Description	Value		% of Net Asset Value		Value		% of Net Asset Value		Value		% of Net Asset Value		Value		% of Net Asset Value
U.S. TREASURY SECURITIES
FACE VALUE	Fair Value				Fair Value				Fair Value				Fair Value
$36,500,000.00 US Treasury Note 3.875% due 02/15/2013 (Cost $38,125,391)		21,217,648	6.36	%		6,358,802	8.59	%		4,619,723	5.94	%		1,858,412	12.51	%
$36,700,000.00 US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039)		21,824,892	6.54	%		6,540,790	8.84	%		4,751,938	6.11	%		1,911,599	12.88	%
	$	43,042,540	12.90	%	$	12,899,592	17.43	%	$	9,371,661	12.05	%	$	3,770,011	25.39	%
Certificate of Deposits
FACE VALUE	Fair Value				Fair Value				Fair Value				Fair Value
$85,000,000.00 Certificate of Deposits 2.19% due 09/15/2009 (Cost $85,000,000)	$	34,091,481	10.22	%	$	14,085,571	19.03	%	$	12,866,065	16.54	%	$	3,506,438	23.62	%

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

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

Additional Disclosure on U.S. Government Securities	Face Value		Face Value		Face Value		Face Value
US Treasury Note 3.875% due 02/15/2013		19,098,065		5,801,607		4,111,522		1,652,416
US Treasury Note 4.000% due 02/15/2015		19,202,712		5,833,397		4,134,051		1,661,471
	$	38,300,778	$	11,635,004	$	8,245,573	$	3,313,887
	Cost		Cost		Cost		Cost
US Treasury Note 3.875% due 02/15/2013		19,948,526		6,059,960		4,294,613		1,726,000
US Treasury Note 4.000% due 02/15/2015		19,891,310		6,042,579		4,282,295		1,721,050
	$	39,839,836	$	12,102,539	$	8,576,908	$	3,447,050

The accompanying notes are an integral part of these statements.

12

The Frontier Fund

Condensed Schedule of Investments

December 31, 2008

	Winton/Graham Series				Long Only Commodity Series				Long/Short Commodity Series					Managed Futures Index Series
	Value		% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value		Value		% of Net Asset Value
LONG FUTURES CONTRACTS
Various base metals futures contracts (U.S.)	$	—	0.00	%	$	—	0.00	%	$	(5,895,303	)	-10.21	%	$	—	0.00	%
Silver @ Comex Settling 5/1/2009 (Number of Contracts: 647)		—	0.00	%		—	0.00	%		2,997,465		5.19	%		—	0.00	%
Silver @ Comex Settling 7/1/2009 (Number of Contracts: 1,096)		—	0.00	%		—	0.00	%		3,008,100		5.21	%		—	0.00	%
Silver @ Comex Settling 12/1/2009 (Number of Contracts: 736)		—	0.00	%		—	0.00	%		2,138,080		3.70	%		—	0.00	%
Various currency futures contracts (U.S.)		—	0.00	%		—	0.00	%		166,320		0.29	%		—	0.00	%
Various currency futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various energy futures contracts (U.S.)		—	0.00	%		—	0.00	%		(522,392	)	-0.90	%		—	0.00	%
Various energy futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (U.S.)		—	0.00	%		—	0.00	%		(391	)	0.00	%		—	0.00	%
Various interest rates futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various precious metals futures contracts (U.S.)		—	0.00	%		—	0.00	%		342,510		0.59	%		—	0.00	%
Various soft futures contracts (U.S.)		—	0.00	%		—	0.00	%		248,808		0.43	%		—	0.00	%
Sugar #11 Settling 7/1/2009 (Number of Contracts: 459)		—	0.00	%		—	0.00	%		(1,403,438	)	-2.43	%		—	0.00	%
Various soft futures contracts (Far East)		—	0.00	%		—	0.00	%		(35	)	0.00	%		—	0.00	%
Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		100,873		0.18	%		—	0.00	%
Various soft futures contracts (Canada)		—	0.00	%		—	0.00	%		377		0.00	%		—	0.00	%
Various stock index futures contracts (U.S.)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Total Long Futures Contracts	$	—	0.00	%	$	—	0.00	%	$	1,180,974		2.05	%	$	—	0.00	%
LONG OPTIONS *	$	—	0.00	%	$	—	0.00	%		285,120		0.49	%	$	—	0.00	%
LONG CURRENCY FORWARDS *	$	—	0.00	%	$	—	0.00	%	$	—		0.00	%	$	—	0.00	%
SHORT FUTURES CONTRACTS
Various base metals futures contracts (U.S.)	$	—	0.00	%	$	—	0.00	%	$	132,765		0.23	%	$	—	0.00	%
Silver @ Comex Settling 3/1/2009 (Number of Contracts: 2,054)		—	0.00	%		—	0.00	%		10,272,220		17.79	%		—	0.00	%
Silver @ Comex Settling 9/1/2009 (Number of Contracts: 356)		—	0.00	%		—	0.00	%		(1,034,180	)	-1.79	%		—	0.00	%
Various currency futures contracts (U.S.)		—	0.00	%		—	0.00	%		(29,640	)	-0.05	%		—	0.00	%
Various currency futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various energy futures contracts (U.S.)		—	0.00	%		—	0.00	%		(1,329,703	)	-2.30	%		—	0.00	%
Various interest rates futures contracts (US)		—	0.00	%		—	0.00	%		(234	)	0.00	%		—	0.00	%
Various interest rates futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various precious metals futures contracts (U.S.)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various soft futures contracts (U.S.)		—	0.00	%		—	0.00	%		408,296		0.71	%		—	0.00	%
Coffee @ CSCE Settling 3/1/2009 (Number of Contracts 740)		—	0.00	%		—	0.00	%		1,345,875		2.32	%		—	0.00	%
Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (U.S.)		—	0.00	%		—	0.00	%		(12,545	)	-0.02	%		—	0.00	%
Various stock index futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Total Short Futures Contracts	$	—	0.00	%	$	—	0.00	%	$	9,752,854		16.89	%	$	—	0.00	%
SHORT OPTIONS *	$	—	0.00	%	$	—	0.00	%	$	(465,185	)	-0.80	%	$	—	0.00	%
SHORT CURRENCY FORWARDS *	$	—	0.00	%	$	—	0.00	%	$	—		0.00	%	$	—	0.00	%
Total Open Trade Equity	$	—	0.00	%	$	—	0.00	%	$	10,753,763		18.63	%	$	—	0.00	%
SWAPS (1)	$	—	0.00	%	$	836,554	20.69	%	$	—		0.00	%	$	—	0.00	%

13

The Frontier Fund

Condensed Schedule of Investments—(Continued)

December 31, 2008

	Winton/Graham Series				Long Only Commodity Series				Long/Short Commodity Series				Managed Futures Index Series
	Value		% of Net Asset Value		Value		% of Net Asset Value		Value		% of Net Asset Value		Value		% of Net Asset Value
U.S. TREASURY SECURITIES
FACE VALUE	Fair Value				Fair Value				Fair Value				Fair Value
$36,500,000.00 US Treasury Note 3.875% due 02/15/2013 ( Cost $38,125,391 )		702,096	1.40	%		611,888	15.14	%		5,202,833	9.01	%		69,067	2.03	%
$36,700,000.00 US Treasury Note 4.000% due 02/15/2015 ( Cost $38,016,039 )		722,190	1.44	%		629,401	15.57	%		5,351,738	9.27	%		71,044	2.09	%
	$	1,424,286	2.84	%	$	1,241,289	30.71	%	$	10,554,571	18.28	%	$	140,111	4.12	%
Certificate of Deposits
FACE VALUE	Fair Value				Fair Value				Fair Value				Fair Value
$85,000,000.00 Certificate of Deposits 2.19% due 09/15/2009 (Cost $85,000,000)	$	8,675,748	17.28	%	$	440,781	10.90	%	$	10,923,009	18.92	%	$	488,470	14.35	%

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

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

Additional Disclosure on U.S. Government Securities	Face Value		Face Value		Face Value		Face Value
US Treasury Note 3.875% due 02/15/2013		465,088		569,909		4,750,169		51,223
US Treasury Note 4.000% due 02/15/2015		467,636		573,032		4,776,197		51,504
	$	932,724	$	1,142,941	$	9,526,366	$	102,727
	Cost		Cost		Cost		Cost
US Treasury Note 3.875% due 02/15/2013		485,799		595,288		4,961,700		53,504
US Treasury Note 4.000% due 02/15/2015		484,406		593,581		4,947,469		53,351
	$	970,204	$	1,188,869	$	9,909,169	$	106,855

The accompanying notes are an integral part of these statements.

14

The Frontier Fund

Statements of Operations

For the Three Months Ended March 31, 2009 and 2008

	Balanced Series (Unaudited)						Winton Series (Unaudited)						Campbell/Graham/ Tiverton Series (Unaudited)
	3/31/2009			3/31/2008			3/31/2009			3/31/2008			3/31/2009			3/31/2008
Investment Income:
Interest - net	$	99,001		$	698,149		$	204,074		$	136,321		$	144,150		$	164,140
Total Income		99,001			698,149			204,074			136,321			144,150			164,140
Expenses:
Incentive Fees		2,116,645			4,136,299			(21,347	)		980,800			(2,140	)		438,930
Management Fees		396,634			387,518			390,305			225,065			565,467			345,761
Service Fees - Class 1		2,071,543			1,556,428			450,660			320,616			525,404			421,368
Trading Fees		542,600			491,692			97,591			56,085			113,272			95,999
Total Expenses		5,127,422			6,571,937			917,209			1,582,566			1,202,003			1,302,058
Investment gain/(loss) - net		(5,028,421	)		(5,873,788	)		(713,135	)		(1,446,245	)		(1,057,853	)		(1,137,918	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		12,416,600			20,967,093			1,156,575			—			(647,824	)		4,019,578
Net change in open trade equity		(12,470,529	)		(968,752	)		(2,377,832	)		—			(186,103	)		431,922
Net unrealized gain/(loss) on option/swap contracts		(682,685	)		3,715,862			—			—			—			—
Net unrealized gain on U.S. Treasury securities		(615,021	)		2,107,066			(150,984	)		479,136			(156,440	)		518,414
Trading commissions		(256,770	)		(553,285	)		(21,271	)		—			(73,854	)		(45,655	)
Net change in inter-series receivables		(745,512	)		299,184			—			—			—			—
Equity in earnings/(loss) from trading company		6,910,179			2,917,556			—			5,698,275			(517,237	)		589,302
Net gain/(loss) on investments		4,556,262			28,484,724			(1,393,512	)		6,177,411			(1,581,458	)		5,513,561
Non-controlling interests in earnings		719,247			(6,388,858	)		554,904			—			555,054			(1,191,916	)
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	247,088		$	16,222,078		$	(1,551,743	)	$	4,731,166		$	(2,084,257	)	$	3,183,727
NET INCOME/(LOSS) PER UNIT
Class 1	$	0.04		$	6.51		$	(2.98	)	$	10.77		$	(2.91	)	$	4.74
Class 1a	$	(0.23	)	$	5.78			N/A			N/A			N/A			N/A
Class 2	$	1.10		$	8.08		$	(2.18	)	$	12.19		$	(2.37	)	$	5.94
Class 2a	$	0.65		$	6.83			N/A			N/A			N/A			N/A

The accompanying notes are an integral part of these statements.

15

The Frontier Fund

Statements of Operations

For the Three Months Ended March 31, 2009 and 2008

	Currency Series (Unaudited)						Winton/Graham Series (Unaudited)						Long Only Commodity Series (Unaudited)
	3/31/2009			3/31/2008			3/31/2009			3/31/2008			3/31/2009			3/31/2008
Investment Income:
Interest - net	$	18,768		$	41,896		$	99,515		$	22,996		$	18,837		$	509,099
Total Income		18,768			41,896			99,515			22,996			18,837			31,782
Expenses:
Incentive Fees		—			—			(5,804	)		189,901			—			—
Management Fees		42,024			38,639			277,272			53,107			11,995			17,559
Service Fees - Class 1		84,714			78,223			298,184			51,620			15,386			26,147
Trading Fees		44,207			24,823			55,514			10,591			4,851			7,028
Total Expenses		170,945			141,685			625,166			305,219			32,232			50,734
Investment gain/(loss) - net		(152,177	)		(99,789	)		(525,651	)		(282,223	)		(13,395	)		(18,952	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		35,441			106,685			—			—			—			—
Net realized gain/(loss) on option / swap contracts		—			822,649			—			—			(226,246	)		493,789
Net change in open trade equity		(150,507	)		(873	)		—			—			—			—
Net unrealized gain/(loss) on swap contracts		(1,247,364	)		—			—			—			—			—
Net unrealized gain on U.S. Treasury securities		(57,479	)		134,039			(100,294	)		78,453			(6,742	)		52,436
Net change in inter-series payables		745,512			(299,184	)
Equity in earnings/(loss) from trading company		—			—			(824,616	)		1,191,916			—			—
Net gain/(loss) on investments		(674,397	)		763,316			(924,910	)		1,270,369			(232,988	)		546,225
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	(826,574	)	$	663,527		$	(1,450,561	)	$	988,146		$	(246,383	)	$	527,273
NET INCOME/(LOSS) PER UNIT
Class 1	$	(5.56	)	$	5.84		$	(3.06	)	$	10.83		$	(4.27	)	$	11.49
Class 2	$	(5.55	)	$	7.32		$	(2.50	)	$	12.77		$	(4.18	)	$	12.56

The accompanying notes are an integral part of these statements.

16

The Frontier Fund

Statements of Operations

For the Three Months Ended March 31, 2009 and 2008

	Long/Short Commodity Series (Unaudited)						Managed Futures Index Series (Unaudited)
	3/31/2009			3/31/2008			3/31/2009			3/31/2008
Investment Income:
Interest - net	$	367,274		$	217,770		$	14,579		$	6,351
Total Income		367,274			217,770			14,579			6,351
Expenses:
Incentive Fees		675,735			565,583			—			—
Management Fees		612,333			269,678			16,985			4,930
Service Fees - Class 1		350,260			258,770			10,412			3,814
Trading Fees		88,283			40,760			4,246			1,232
Total Expenses		1,726,611			1,134,791			31,643			9,976
Investment gain/(loss) - net		(1,359,337	)		(917,021	)		(17,064	)		(3,625	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		(4,491,202	)		(42,224,962	)		—			—
Net change in open trade equity		15,790,632			48,814,767			—			—
Net unrealized gain on U.S. Treasury securities		(111,792	)		339,119			(6,689	)		10,264
Trading commissions		(388,487	)		(397,375	)		—			—
Equity in earnings/(loss) from trading company		—			—			(202,010	)		101,281
Net gain/(loss) on investments		10,799,151			6,531,549			(208,699	)		111,545
Non-controlling interests in earnings		(7,195,521	)		(2,917,556	)		—			—
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	2,244,293		$	2,696,972		$	(225,763	)	$	107,920
NET INCOME/(LOSS) PER UNIT
Class 1	$	3.75		$	7.78		$	(8.50	)	$	10.55
Class 2	$	4.92		$	9.08		$	(8.37	)	$	11.53

The accompanying notes are an integral part of these statements.

17

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2009 (Unaudited)

	Balanced Series
	Class 1					Class 1a					Class 2					Class 2a					Non- Controlling Interests			Total
	Managing Owner		Limited Owners			Managing Owner		Limited Owners			Managing Owner		Limited Owners			Managing Owner		Limited Owners
Owners’ Capital, January 1, 2009	$	—	$	256,550,829		$	224	$	8,135,941		$	3,612,130	$	63,497,532		$	120,378	$	1,765,973		$	9,330,079		$	343,013,086
Sale of Units		—		39,926,756			—		1,900,154			460,000		12,624,112			20,000		443,000			—			55,374,022
Redemption of Units		—		(8,463,922	)		—		(233,504	)		—		(2,664,595	)		—		(24,423	)		—			(11,386,444	)
Contributions		—		—			—		—			—		—			—		—			4,911,226			4,911,226
Distributions		—		—			—		—			—		—			—		—			(1,895,274	)		(1,895,274	)
Net increase/(decrease) in Owners’ Capital resulting from operations		—		(179,636	)		—		(32,612	)		23,795		430,080			447		5,014			(719,247	)		(472,159	)
Owners’ Capital, March 31, 2009	$	—	$	287,834,027		$	224	$	9,769,979		$	4,095,925	$	73,887,129		$	140,825	$	2,189,564		$	11,626,784		$	389,544,457
Owners’ Capital - Units, January 1, 2009		—		2,049,590			2		72,584			25,359		445,784			992		14,560			—			2,608,871
Sale of Units		—		316,278			—		16,812			3,176		87,513			163		3,597			—			427,539
Redemption of Units		—		(67,066	)		—		(2,057	)		—		(18,555	)		—		(202	)		—			(87,880	)
Owners’ Capital - Units, March 31, 2009		—		2,298,802			2		87,339			28,535		514,742			1,155		17,955			—			2,948,530
Net asset value per unit at January 1, 2009			$	125.17				$	112.09				$	142.44				$	121.30
Change in net asset value per unit for three months ended March 31, 2008				0.04					(0.23	)				1.10					0.65
Net asset value per unit at March 31, 2009			$	125.21				$	111.86				$	143.54				$	121.95

The accompanying notes are an integral part of these statements.

18

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2009 (Unaudited)

	Winton Series																		Campbell/Graham/Tiverton Series (1)
	Class 1						Class 2												Class 1					Class 2
	Managing Owner			Limited Owners			Managing Owner			Limited Owners			Non- Controlling Interests			Total			Managing Owner		Limited Owners			Managing Owner			Limited Owners			Non- Controlling Interests			Total
Owners’ Capital, January 1, 2009	$	1,304		$	62,282,355		$	277,935		$	11,465,432		$	11,355,645		$	85,382,671		$	—	$	69,957,155		$	302,878		$	7,504,896		$	2,391,227		$	80,156,156
Sale of Units		—			79,311			—			—			—			79,311			—		5,956,208			—			2,622,444			—			8,578,652
Redemption of Units		—			(2,061,117	)		—			(115,823	)		—			(2,176,940	)		—		(1,699,409	)		—			(578,007	)		—			(2,277,416	)
Contributions		—			—			—			—			1,100,000			1,100,000			—		—			—			—			3,300,000			3,300,000
Distributions		—			—			—			—			(2,100,320	)		(2,100,320	)		—		—			—			—			(1,000,574	)		(1,000,574	)
Net increase/(decrease) in Owners’ Capital resulting from operations		(30	)		(1,370,088	)		(4,324	)		(177,301	)		(554,904	)		(2,106,647	)		—		(1,890,793	)		(5,802	)		(187,662	)		(555,054	)		(2,639,311	)
Owners’ Capital, March 31, 2009	$	1,274		$	58,930,461		$	273,611		$	11,172,308		$	9,800,421		$	80,178,075		$	—	$	72,323,161		$	297,076		$	9,361,671		$	4,135,599		$	86,117,507
Owners’ Capital - Units, January 1, 2009		10			477,595			1,985			81,870			—			561,460			—		632,847			2,439			60,454			—			695,740
Sale of Units		—			607			—			—			—			607			—		54,504			—			21,110			—			75,614
Redemption of Units		—			(15,763	)		—			(832	)		—			(16,595	)		—		(15,413	)		—			(4,681	)		—			(20,094	)
Owners’ Capital - Units, March 31, 2009		10			462,439			1,985			81,038			—			545,472			—		671,938			2,439			76,883			—			751,260
Net asset value per unit at January 1, 2009				$	130.41					$	140.04										$	110.54					$	124.14
Change in net asset value per unit for three months ended March 31, 2008					(2.98	)					(2.18	)										(2.91	)					(2.37	)
Net asset value per unit at March 31, 2009				$	127.43					$	137.86										$	107.63					$	121.77

The accompanying notes are an integral part of these statements.

19

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2009 (Unaudited)

	Currency Series														Winton/Graham Series (1)
	Class 1					Class 2									Class 1					Class 2
	Managing Owner		Limited Owners			Managing Owner			Limited Owners			Total			Managing Owner		Limited Owners			Managing Owner			Limited Owners			Total
Owners’ Capital, January 1, 2009	$	—	$	11,900,185		$	687,357		$	2,259,243		$	14,846,785		$	—	$	35,760,835		$	56,315		$	14,378,079		$	50,195,229
Sale of Units		—		299,089			—			37,000			336,089			—		11,305,029			—			360,401			11,665,430
Redemption of Units		—		(619,586	)		—			(124,876	)		(744,462	)		—		(1,361,605	)		—			(419,044	)		(1,780,649	)
Net increase/(decrease) in Owners’ Capital resulting from operations		—		(679,478	)		(34,908	)		(112,188	)		(826,574	)		—		(1,174,836	)		(1,070	)		(274,655	)		(1,450,561	)
Owners’ Capital, March 31, 2009	$	—	$	10,900,210		$	652,449		$	2,059,179		$	13,611,838		$	—	$	44,529,423		$	55,245		$	14,044,781		$	58,629,449
Owners’ Capital - Units, January 1, 2009		—		123,719			6,289			20,670			150,678			—		307,804			428			109,351			417,583
Sale of Units		—		3,220			—			349			3,569			—		97,707			—			2,732			100,439
Redemption of Units		—		(6,670	)		—			(1,172	)		(7,842	)		—		(11,874	)		—			(3,196	)		(15,070	)
Owners’ Capital - Units, March 31, 2009		—		120,269			6,289			19,847			146,405			—		393,637			428			108,887			502,952
Net asset value per unit at January 1, 2009			$	96.19					$	109.30							$	116.18					$	131.49
Change in net asset value per unit for three months ended March 31, 2008				(5.56	)					(5.55	)							(3.06	)					(2.50	)
Net asset value per unit at March 31, 2009			$	90.63					$	103.75							$	113.12					$	128.99

The accompanying notes are an integral part of these statements.

20

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2009 (Unaudited)

	Long Only Commodity Series														Frontier Long/Short Commodity Series
	Class 1					Class 2						Total			Class 1					Class 2					Non- Controlling Interests			Total
	Managing Owner		Limited Owners			Managing Owner			Limited Owners						Managing Owner		Limited Owners			Managing Owner		Limited Owners
Owners’ Capital, January 1, 2009	$	—	$	3,254,226		$	110,092		$	678,155		$	4,042,473		$	—	$	46,525,406		$	933,708	$	10,273,181		$	10,124,156		$	67,856,451
Sale of Units		—		312,915			—			69,800			382,715			—		3,407,247			—		1,726,240			—			5,133,487
Redemption of Units		—		(209,374	)		—			(45,052	)		(254,426	)		—		(3,226,448	)		—		(517,325	)		—			(3,743,773	)
Contributions		—		—			—			—			—			—		—			—		—			—			—
Distributions		—		—			—			—			—			—		—			—		—			(375,978	)		(375,978	)
Net increase/(decrease) in Owners’ Capital resulting from operations		—		(201,706	)		(6,173	)		(38,504	)		(246,383	)		—		1,719,486			42,063		482,744			7,195,521			9,439,814
Owners’ Capital, March 31, 2009	$	—	$	3,156,061		$	103,919		$	664,399		$	3,924,379		$	—	$	48,425,691		$	975,771	$	11,964,840		$	16,943,699		$	78,310,001
Owners’ Capital - Units, January 1, 2009		—		46,285			1,479			9,108			56,872			—		463,448			8,544		94,008			—			566,000
Sale of Units		—		4,762			—			998			5,760			—		32,962			—		15,328			—			48,290
Redemption of Units		—		(3,254	)		—			(653	)		(3,907	)		—		(31,385	)		—		(4,568	)		—			(35,953	)
Owners’ Capital - Units, March 31, 2009		—		47,793			1,479			9,453			58,725			—		465,025			8,544		104,768			—			578,337
Net asset value per unit at January 1, 2009			$	70.31					$	74.46							$	100.39				$	109.28
Change in net asset value per unit for three months ended March 31, 2008				(4.27	)					(4.18	)							3.75					4.92
Net asset value per unit at March 31, 2009			$	66.04					$	70.28							$	104.14				$	114.20

The accompanying notes are an integral part of these statements.

21

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2009 (Unaudited)

	Managed Futures Index Series
	Class 1					Class 2
	Managing Owner		Limited Owners			Managing Owner			Limited Owners			Total
Owners’ Capital, January 1, 2009	$	—	$	2,266,977		$	77,559		$	1,058,515		$	3,403,051
Sale of Units		—		368,574			—			678,638			1,047,212
Redemption of Units		—		(482,939	)		—			—			(482,939	)
Net increase/(decrease) in Owners’ Capital resulting from operations		—		(136,827	)		(4,646	)		(84,290	)		(225,763	)
Owners’ Capital, March 31, 2009	$	—	$	2,015,785		$	72,913		$	1,652,863		$	3,741,561
Owners’ Capital - Units, January 1, 2009		—		17,151			555			7,577			25,283
Sale of Units		—		2,910			—			5,009			7,919
Redemption of Units		—		(3,762	)		—			—			(3,762	)
Owners’ Capital - Units, March 31, 2009		—		16,299			555			12,586			29,440
Net asset value per unit at January 1, 2009 or start of operations			$	132.18					$	139.70
Change in net asset value per unit for three months ended March 31, 2008				(8.50	)					(8.37	)
Net asset value per unit at March 31, 2009			$	123.68					$	131.33

The accompanying notes are an integral part of these statements.

22

The Frontier Fund

Notes to Financial Statements

As of March 31, 2009 (Unaudited)

1. Organization

The Frontier Fund (the “Trust”), was formed as a Delaware statutory trust on August 8, 2003, with separate Series of Units. Its term will expire on December 31, 2053 (unless terminated earlier in certain circumstances). The Trust is a multi-advisor commodity pool as described in Commodity Futures Trading Commission, or CFTC Regulation § 4.10(d)(2).

The Trust offers eight (8) separate and distinct Series: Balanced Series, Winton Series, Currency Series, Winton/Graham Series, Campbell/ Graham/Tiverton Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series (each, a “Series” and collectively, the “Series”). The Trust may issue additional Series of Units. The Units of each Series are separated into two sub-classes of Units (except for the Balanced Series which are separated into four sub-classes of Units). The Trust, with respect to each Series:

• engages in the speculative trading of a diversified portfolio of futures, forward (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts) may, from time to time, engage in cash and spot transactions;

• allocates funds to a subsidiary limited liability trading company or companies (“Trading Company”). Except as otherwise described in these notes each Trading Company has one-year renewable contracts with its own independent commodity trading advisor(s), or each, a Trading Advisor, that will manage all or a portion of such Trading Company’s assets, make the trading decisions for the assets of each Series vested in such Trading Company. Each Trading Company will segregate its assets from any other Trading Company;

• maintains separate, distinct records for each Series, and accounts for the assets of each Series separately from the other Series and the other Trust assets;

• calculates the Net Asset Value (“NAV”) of its Units separately from the other Series;

• has an investment objective of increasing the value of each Series’ Units over the long term (capital appreciation), while controlling risk and volatility; further, to offer exposure to the investment programs of individual Trading Advisors and to specific instruments (currencies); and

• offers each Series of Units in two sub-classes—Class 1 and Class 2 (except for the Balanced Series, which has four sub-classes—Class 1, Class 1a, Class 2 and Class 2a). Investors who purchase Class 1 or Class 1a Units of any Series are charged a service fee of up to three percent (3.0%) annually of the NAV of each Unit purchased, for the benefit of Selling Agents selling such Class 1 or Class 1a Units. Equinox Fund Management, LLC (the “Managing Owner”), prepays the initial service fee which is amortized monthly at an annual rate of three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series; provided, however, that investors who redeem all or a portion of their Class 1 or Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the NAV at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. Investors who purchase Class 2 or Class 2a Units of any Series are charged no initial or ongoing service fee. However, the Managing Owner may pay the Selling Agents an on-going service fee for certain administrative services. Any such payments by the Managing Owner will not be subject to reimbursement by the Limited Owners.

• Units of any Class in a Series may be redeemed, in whole or in part, on a daily basis, at the then current NAV per Unit for such Series on the day of the week after the date the Managing Owner is in receipt of a redemption request for at least one (1) Business Day to be received by the Managing Owner prior to 4:00 PM in New York. Redemption of Class 1 Units of any Series, which have been held by the Unit

23

The Frontier Fund

Notes to Financial Statements—(Continued)

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

As of March 31, 2009, the total Units outstanding of each Series of the Trust was 2,948,530 with respect to the Balanced Series, 545,472 with respect to the Winton Series, 751,260 with respect to the Campbell/Graham/Tiverton Series, 146,405 with respect to the Currency Series, 502,952 with respect to the Winton/Graham Series, 58,725 with respect to the Long Only Commodity Series, 578,337 with respect to the Long/Short Commodity Series and 29,440 with respect to the Managed Futures Index Series.

As of March 31, 2009, the Trust, with respect to the Winton/Graham Series, Winton Series, Campbell/Graham/Tiverton Series, Currency Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series offered Units in two separate Classes—Class 1 and Class 2. The Trust, with respect to the Balanced Series, offered Units in four separate Classes—Class 1, Class 2, Class 1a and Class 2a. It is expected that between 10% and 30% of each Series’ assets normally will be invested in one or more Trading Companies to be committed as margin for trading positions, but from time to time these percentages may be substantially more or less. The remainders of each Series’ assets are maintained at the Trust level for cash management.

2. Significant Accounting Policies

The following are the significant accounting policies of the Trust.

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

Consolidation—The Series, through investing in subsidiary limited liability Trading Company or Companies), authorize certain Trading Advisors to place trades and manage assets at pre-determined investment levels. The Trading Companies were organized by the Managing Owner for the purpose of investing in securities and derivative instruments, and have no operating income or expenses, except for trading income and expenses, all of which is allocated to the Series. Trading Companies in which a Series has a majority equity interest are consolidated by such Series. Investments in Trading Companies in which a Series does not have a controlling or majority interest are carried in the statement of financial condition of such Series at fair value. Fair value represents the proportionate share of the equity of a Series in a Trading Company.

The consolidated financial statements of the Balanced Series include the assets, liabilities and earnings of its wholly-owned and majority owned Trading Companies, Frontier Trading Company I LLC, Frontier Trading Company VI LLC and Frontier Trading Company IX, LLC.

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

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

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

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

24

The Frontier Fund

Notes to Financial Statements—(Continued)

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

Cash and Cash Equivalents—Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with banks and cash managers with maturities of three months or less. The Trust maintains deposits with high quality financial institutions in amounts that are in excess of federally insured limits; however, the Trust does not believe it is exposed to any significant credit risk. Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Campbell/Graham/Tiverton Series, Currency Series and Winton/Graham Series. For the Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series, Long/Short Commodity Series and the Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner. Any excess is accrued as income allocated to all Series in proportion to their daily NAV.

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

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

Payable to Cash Management Pool—Each of the Series has invested monies into pooled cash management assets from which purchases were made for certificates of deposit, custom time deposits and U.S. Treasury securities. Each Series ownership in these investments is based on its percentage ownership in the pooled cash management assets on the date of their purchase. Because these investments were fixed, subsequent withdrawals of cash from these pooled cash management assets by some Series has resulted in a negative cash position or a “Payable to Cash Management Pool.” These payables will be settled with either additional investments in the cash management pool by the Series with the deficiency of cash or when the underlying investments are liquidated, or both.

Receivable From Futures Commission Merchants—The Trust deposits assets with a broker subject to CFTC Commission regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such broker. The Trust earns interest income on its assets deposited with the broker.

Use of Estimates—The preparation of financial statements in conformity with generally accepted accounting principles requires the Managing Owner to make estimates and assumptions that affect the reported amounts of

25

The Frontier Fund

Notes to Financial Statements—(Continued)

assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.

Revenue recognition—Futures, options on futures, forward and swap contracts are recorded on a trade date basis and realized gains or losses are recognized when contracts are liquidated. Unrealized gains or losses on open contracts (the difference between contract trade price and market price) are reported in the statement of financial condition as a net unrealized gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with the Financial Accounting Standards Board Interpretation No. 39—”Offsetting of Amounts Related to Certain Contracts.” Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations. Fair value of exchange-traded contracts is based upon exchange settlement prices. Fair value of non-exchange-traded contracts is based on third party quoted dealer values on the Interbank market. For U.S Treasury Securities, interest is recognized in the period earned and the instruments are marked-to-market daily based on third party information. Certificates of Deposit and Custom Time Deposits are valued at cost and the interest income is recognized in the period earned. Transaction costs are recognized as occurred and reflected separately in the Statement of Operations.

Allocation of Earnings—Each Series of the Trust offers two classes of Units—Class 1 and Class 2 (except for the Balanced Series, which offers four classes of Units—Class 1, Class 1a, Class 2 and Class 2a). All classes have identical voting, dividend, liquidation and other rights and the same terms and conditions, except that Class 1 or Class 1a Units of each Series bear certain expenses related to the servicing of such Units. Revenues, expenses (other than expenses attributable to a specific class), and realized and unrealized trading profits and losses of each Series are allocated daily to Class 1, Class 1a, Class 2 and Class 2a Units based on each Class’ relative owners’ capital balance. U.S. Treasuries, Certificates of Deposit and Custom Time Deposits are allocated to each Series based on their percentage ownership in the cash management pool on the date of the asset purchase.

Each Series allocates funds to a subsidiary Trading Company, or Companies, of the Trust. Each Trading Company allocates all of its daily trading profits or losses to the Series in proportion to each Series’ ownership interest in the Trading Company, adjusted on a daily basis. As of December 31, 2008, the value of all open contracts and cash held at clearing brokers is similarly allocated to the Series in proportion to each Series’ funds allocated to the Trading Company, or Companies.

Inter-Series Receivables/Payables—The Balanced Series, in order to make investments in the Campbell/Graham/Tiverton Series, Currency Series, Winton/Graham Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, advances funds to such Series, for the purpose of investing in the respective Trading Company or Trading Companies for such Series on behalf of the Balanced Series. The Balanced Series and investee Series reflect the changes in values of these investments as “Net change in inter-series receivables/payables” in the Statement of Operations.

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

Investments and Swaps—The Trust records investment transactions on trade date and all investments are recorded at fair value in its financial statements, with changes in fair value reported as a component of realized

26

The Frontier Fund

Notes to Financial Statements—(Continued)

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

The Managing Owner may make judgments that can frequently require estimates about matters that are inherently uncertain. The Managing Owner provides a good faith estimate of the daily NAV for each Series based on such uncertain information. The Managing Owner’s good faith estimates of each Series’ NAV is published daily by the Trust and is used for subscriptions, redemptions and exchanges of all Trust Units, and such Unit transactions are final and not subject to subsequent adjustment unless the estimate of NAV varies from the actual NAV by more than one percent (1.0%) of the actual NAV as described within the Prospectus.

The Balanced Series, in order to make investments from time to time in the Campbell/Graham/Tiverton Series, Currency Series, Winton/Graham Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, advances funds to such Series for the purpose of investing in the respective Trading Company or Trading Companies for such Series on behalf of the Balanced Series. The amount of the funds advanced by the Balanced Series to each of the Campbell/Graham/Tiverton Series, Currency Series, Winton/Graham Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series participates on apari passu basis with the Class 2 Units of such investee Series. The Balanced Series reflects the change in value of these investments as “Net change in inter-series receivables” in the Statement of Operations. The Balanced Series is subject to the same allocations of income and fees as the Limited Owners of such Series. As a result of fees charged by the investee Series, fees are not charged by the Balanced Series on the capital allocated to investments in affiliated Series, and the Managing Owner monitors such allocations so that aggregate fees of the investee Series on the Balanced Series investments do not exceed the allowable fees of the Balanced Series as provided in the Trust’s Prospectus.

Income Taxes—The Trust applies the provisions of FASB Interpretation No. 48,Accounting for Uncertainty in Income Taxes (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trust’s financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Trust’s level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The Managing Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust for the years ended December 31, 2008 and 2007. The 2005 through 2008 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

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

Fees and Expenses—All management fees, incentive fees, and service fees of the Trust are paid to the Managing Owner. Additionally, the trading fees are paid to the Managing Owner. It is the responsibility of the Managing Owner to pay all Trading Advisor management and incentive fees, as well as all other operating expenses and continuing offering costs of the Trust. Incentive fees are recorded on the books of the relevant Series from estimates and are subsequently trued up to actual before being paid to the Trading Advisors. Any

27

The Frontier Fund

Notes to Financial Statements—(Continued)

differences are then recorded on the Series books in the subsequent month. Therefore, in a period in which no incentive fees are earned, a negative incentive fee expense is sometimes reported, which is the result of an adjustment of a prior period.

Service Fees—Each Series pays monthly to the Managing Owner a service fee at an annualized rate of up to 3.0% (2.0% for the Long Only Commodity Series and the Managed Futures Index Series) of the NAV of Class 1 of the Series, accrued daily, which the Managing Owner pays to selling agents of the Trust. These service fees are part of the offering costs of the Trust, which include registration and filing fees, legal and blue sky expenses, accounting and audit, printing, marketing support and other offering costs which are born by the Managing Owner.

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

Pending Owner Additions—Funds received for new subscriptions and for additions to existing owner interests are recorded as capital additions at the NAV per unit of the second business day following receipt.

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

Recently Adopted Accounting Pronouncements—In December 2007, the FASB issued Statement of Financial Accounting Standards No. 160, Noncontrolling Interest in Consolidated Financial Statements, an amendment of ARB Statement No. 51 (“SFAS 160”), to establish accounting and reporting standards for the non-controlling interest in a subsidiary and for the deconsolidation of a subsidiary. SFAS 160 clarifies that a non-controlling interest in a subsidiary, which is sometimes referred to as minority interest, is an ownership interest in the consolidated entity that should be reported as a component of equity in the consolidated financial statements. Among other requirements, SFAS 160 requires consolidated net income to be reported at amounts that include the amounts attributable to both the parent and the non-controlling interest. It also requires disclosure, on the face of the consolidated income statement, of the amounts of consolidated net income attributable to the parent and to the non-controlling interest. SFAS 160 became effective on January 1, 2009.

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

28

The Frontier Fund

Notes to Financial Statements—(Continued)

fiscal years and interim periods beginning after November 15, 2008, or the Trust’s first quarter ending March 31, 2009. As this pronouncement is only disclosure-related, it did not have an impact on the financial position and results of operations. Disclosures required by SFAS No. 61 have already been included in the financial statements of this document.

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

Recently Issued Accounting Pronouncements—In April 2009, the FASB issued FSP FAS 157-4, “Determining Fair Value When Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions that are Not Orderly” (“FSP FAS 157-4”). Under FSP FAS 157-4, if an entity determines that there has been a significant decrease in the volume and level of activity for the asset or the liability in relation to the normal market activity for the asset or liability (or similar assets or liabilities), then transactions or quoted prices may not accurately reflect fair value. In addition, if there is evidence that the transaction for the asset or liability is not orderly, the entity shall place little, if any weight on that transaction price as an indicator of fair value. FSP FAS 157-4 is effective for periods ending after June 15, 2009, with early adoption permitted for periods ending after March 15, 2009. The Company has elected to adopt FSP FAS 115-4 effective for the quarter ending June 30, 2009. The Company is currently evaluating the impact that the adoption of this Statement will have on its financial position and results of operations.

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

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

3. Fair Value Measurements

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

Level 1 Inputs

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

29

The Frontier Fund

Notes to Financial Statements—(Continued)

Level 2 Inputs

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

Level 3 Inputs

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

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

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

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

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

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

30

The Frontier Fund

Notes to Financial Statements—(Continued)

The following table summarizes the instruments that comprise the Trust’s financial asset portfolio, by Series, measured at fair value on a recurring basis as of March 31, 2009, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value: The Trust, under the same management as the Trading Companies, has the benefit of full look through to the assets underlying the positions listed in the following table as “Investment in Unconsolidated Trading Companies”, and as such maintains this line item as the same Level 1 input as all of the underlying positions on the financial statements of the Trading Companies.

March 31, 2009	Level 1 Inputs			Level 2 Inputs		Level 3 Inputs		Total Fair Value
Balanced Series
Open Trade Equity	$	(386,414	)	$	17,807,867	$	—	$	17,421,453
Swap Contracts		—			—		52,389,649		52,389,649
Investment in Unconsolidated Trading Companies		24,753,544							24,753,544
U.S. Treasury Securities		42,359,818			—		—		42,359,818
Certificate of Deposits					34,278,103				34,278,103
Winton Series
Open Trade Equity		(219,487	)		—		—		(219,487	)
U.S. Treasury Securities		12,730,568			—		—		12,730,568
Certificate of Deposits					14,163,068				14,163,068
Campbell/Graham/Tiverton Series
Open Trade Equity		(297,635	)		—		—		(297,635	)
Investment in Unconsolidated Trading Companies		10,375,180							10,375,180
U.S. Treasury Securities		9,200,051			—		—		9,200,051
Certificate of Deposits					12,936,539				12,936,539
Currency Series
Open Trade Equity		(137,696	)						(137,696	)
Swap Contracts		—			—		7,874,757		7,874,757
U.S. Treasury Securities		3,707,075			—		—		3,707,075
Certificate of Deposits					3,525,573				3,525,573
Winton/Graham Series
Investment in Unconsolidated Trading Companies		6,126,175							6,126,175
U.S. Treasury Securities		1,320,418			—		—		1,320,418
Certificate of Deposits					8,722,351				8,722,351
Long Only Commodity Series
Swap Contracts		—			510,257		—		510,257
U.S. Treasury Securities		1,232,758			—		—		1,232,758
Certificate of Deposits					443,222				443,222
Long/Short Commodity Series
Open Trade Equity		26,577,870			12,750		—		26,590,620
U.S. Treasury Securities		10,427,989			—		—		10,427,989
Certificate of Deposits					10,982,944				10,982,944
Managed Futures Index Series
Investment in Unconsolidated Trading Companies		1,251,604							1,251,604
U.S. Treasury Securities		132,743			—		—		132,743
Certificate of Deposits					491,137				491,137

31

The Frontier Fund

Notes to Financial Statements—(Continued)

The changes in Level 3 assets measured at fair value on a recurring basis are summarized in the following tables. Swap Contract asset gains and losses (realized/unrealized) included in earnings are classified in “realized and unrealized gain (loss) on investments – net unrealized gain/(loss) on swap contracts” on the consolidated statement of operations. During the three months ended March 31, 2009 all identified Level 3 assets are components of both the Balanced Series and the Currency Series.

	Balanced Series			Currency Series
Swap Contracts	For The Three Months Ended March 31, 2009			For The Three Months Ended March 31, 2009
Balance of recurring Level 3 assets as of January 1, 2009	$	53,072,334		$	9,122,121
Total gains or losses (realized/unrealized):
Included in earnings-realized		—			—
Included in earnings-unrealized		(682,685	)		(1,247,364	)
Purchases, sales, issuances, and settlements, net		—			—
Transfers in and/or out of Level 3		—			—
Balance of recurring Level 3 assets as of March 31, 2009	$	52,389,649		$	7,874,757

4. Swaps

In addition to authorizing Trading Advisors to manage pre-determined investment levels of futures and forward contracts, certain Series of the Trust will strategically invest a portion or all of their assets in total return Swaps, selected at the direction of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical Swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount or value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities.

Each Series’ investment in Swaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements. For the Balanced Series and Currency Series the Swaps serve to diversify the investment holdings of each Series and to provide access to programs and advisors that would not be otherwise available to the Series, and are not used for hedging purposes.

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of March 31, 2009, approximately 8.5% of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain Swaps.

The Balanced Series and Currency Series strategically invest assets in one or more Swaps linked to certain underlying investments or indices at the direction of the Managing Owner. The Trading Company in which the assets of these Series will be invested will not own any of the investments or indices referenced by any Swap entered into by these Series. In addition, neither the swap counterparty to the Trading Company of these Series nor any advisor referenced by any such Swap is a Trading Advisor to these Series.

32

The Frontier Fund

Notes to Financial Statements—(Continued)

The Long Only Commodity Series, through the Trading Company in which the assets of the Long Only Commodity Series have been allocated, have entered into various Swaps with one or more swap counterparties. The Swaps enable the Long Only Commodity Series to earn returns similar to returns (less the fees and expenses of the Long Only Commodities Series, including the expenses associated with the Swaps) of the Reuters/Jefferies CRB Index (the “RJ/CRB Index”), and the Jefferies Commodity Performance Index (the “JCPI”). Specifically, the Trading Company, which will hold the assets allocable to the Long Only Commodity Series, will enter into Swaps linked to the RJ/CRB Index and the JCPI at the direction of the Managing Owner.

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

	Option Basket Balanced Series			Option Basket Currency Series			Reuters/Jefferies CRB Index			Jefferies Commodity Performance Index
Series:	Balanced			Currency			Long Only			Long Only
Counterparty		Company A			Company B			Company C			Company C
Notional Amount		$79,158,706			$25,874,757			$1,900,000			$1,900,000
Termination Date		November 6, 2012			July 26, 2013			February 26, 2010			February 26, 2010
Investee Returns	Total Return			Total Return			Total Return			Total Return
Realized Gain/(Loss) on Option/Swap Contracts	$	—		$	—		$	(78,910	)	$	(147,336	)
Unrealized Gain/(Loss) on Option/Swap Contracts	$	(682,685	)	$	(1,247,364	)	$	—		$	—
Fair value of Swap Contracts at 03/31/2009	$	52,389,649		$	7,874,757		$	268,505		$	241,752

5. Investments in Unconsolidated Trading Companies

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

	As of March 31, 2009				As of December 31, 2008
Trading Company	Percentage of Series Net Assets Invested in Trading Co.		Fair Value		Percentage of Series Net Assets Invested in Trading Co.		Fair Value
Balanced Series -
Frontier Trading Company II, LLC and Frontier Trading Company VII, LLC	6.43	%	$	25,053,544	5.85	%	$	19,528,370
Campbell/Graham/Tiverton Series -
Frontier Trading Company I, LLC and Frontier Trading Company VI, LLC	12.35	%	$	10,675,180	11.01	%	$	8,559,112
Winton/Graham Series -
Frontier Trading Company II, LLC and Frontier Trading Company V, LLC	10.45	%	$	6,126,175	8.65	%	$	4,342,658
Managed Futures Index Series -
Frontier Trading Company IX, LLC	33.45	%	$	1,251,604	22.66	%	$	770,967

33

The Frontier Fund

Notes to Financial Statements—(Continued)

The following tables summarize the Balanced Series, Winton Series, Campbell/Graham/Tiverton Series, Winton/Graham Series and Managed Futures Index Series equity in earnings from Trading Companies for the three months ended March 31, 2009, and 2008.

	Three Months Ended March 31, 2009												Three Months Ended March 31, 2008
Trading Company	Trading Commissions			Realized Gain (Loss)			Change in Unrealized Gain (Loss)			Net Income (Loss)			Trading Commissions			Realized Gain (Loss)			Change in Unrealized Gain (Loss)			Net Income (Loss)
Balanced Series - Frontier Trading Company II, LLC	$	(5,363	)	$	320,736		$	(600,715	)	$	(285,342	)		—			—			—			—
Balanced Series - Frontier Trading Company VII, LLC	$	(247,289	)	$	(4,416,913	)	$	11,859,723		$	7,195,521		$	(269,115	)	$	(32,476,467	)	$	35,663,138		$	2,917,556
Total	$	(252,652	)	$	(4,096,177	)	$	11,259,008		$	6,910,179		$	(269,115	)	$	(32,476,467	)	$	35,663,138		$	2,917,556
Winton Series - Frontier Trading Company II, LLC		—			—			—			—		$	(34,939	)	$	6,825,921		$	(1,092,707	)	$	5,698,275
Campbell/Graham/Tiverton Series -
Frontier Trading Company I, LLC	$	(14,679	)	$	3,050,980		$	(3,444,303	)	$	(408,002	)		—			—			—			—
Frontier Trading Company VI, LLC	$	(5,323	)	$	249,100		$	(353,012	)	$	(109,235	)	$	(9,430	)	$	425,842		$	172,890		$	589,302
Total	$	(20,002	)	$	3,300,080		$	(3,797,315	)	$	(517,237	)	$	(9,430	)	$	(425,842	)		(172,890	)	$	589,302
Winton/Graham Series-     Frontier Trading Company II, LLC	$	(3,949	)	$	120,938		$	(386,551	)	$	(269,562	)		—			—			—			—
Frontier Trading Company V, LLC	$	(33,767	)	$	(411,214	)	$	(110,073	)	$	(555,054	)	$	(12,400	)	$	1,078,826		$	125,490		$	1,191,916
Total	$	(37,716	)	$	(290,276	)	$	(496,624	)	$	(824,616	)	$	(12,400	)	$	1,078,826		$	125,490		$	1,191,916
Managed Futures Index Series-     Frontier Trading Company IX, LLC	$	(1,732	)	$	(118,203	)	$	(82,075	)	$	(202,010	)	$	(974	)	$	113,254		($	10,999	)	$	101,281

34

The Frontier Fund

Notes to Financial Statements—(Continued)

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

Statements of Financial Condition - March 31, 2009	Frontier Trading Company V LLC			Frontier Trading Company VI LLC			Frontier Trading Company IX LLC
Cash held at futures commodities merchants	$	7,845,707		$	9,817,013		$	1,691,344
Open trade equity		(297,635	)		(306,931	)		(43,997	)
Total assets	$	7,548,072		$	9,510,082		$	1,647,347
Members’ equity	$	7,548,072		$	9,510,082		$	1,647,347

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

The statements of income for the three months ended March 31, 2009 and 2008 for the unconsolidated Trading Companies are as follows:

Statements of Income - For the Three Months Ended March 31, 2009	Frontier Trading Company V LLC			Frontier Trading Company VI LLC			Frontier Trading Company IX LLC
Interest income	$	1,781		$	8,663		$	2,563
Net realized gain (loss) on investments, less commissions		(721,678	)		491,120			(348,820	)
Change in open trade equity		(186,103	)		(416,822	)		(247,416	)
Net income (loss)	$	(906,000	)	$	82,961		$	(593,673	)

Statements of Income - For the Three Months Ended March 31, 2008	Frontier Trading Company II LLC			Frontier Trading Company V LLC		Frontier Trading Company VI LLC		Frontier Trading Company IX LLC
Interest income	$	115,555		$	122,787	$	139,410	$	28,186
Net realized gain (loss) on investments, less commissions		12,564,303			3,973,923		1,119,344		1,215,277
Change in open trade equity		(1,715,097	)		431,921		782,480		(63,268	)
Net income (loss)	$	10,964,761		$	4,528,631	$	2,041,234	$	1,180,195

6. Transactions with Affiliates

The Managing Owner contributes funds to the Trust in order to have a 1% interest in the aggregate capital, profits and losses of all Series and in return will receive units designated as general units in the Series in which the Managing Owner invests such funds. The general units may only be purchased by the Managing Owner and may be subject to no advisory fees or advisory fees at reduced rates. Otherwise, the general units hold the same rights as the limited units. The Managing Owner is required to maintain at least a 1% interest (“Minimum

35

The Frontier Fund

Notes to Financial Statements—(Continued)

Purchase Commitment”) in the aggregate capital, profits and losses of all Series so long as it is acting as the Managing Owner of the Trust. Such contribution was made by the Managing Owner before trading commenced for the Trust and will be maintained throughout the existence of the Trust, and the Managing Owner will make such purchases as are necessary to effect this requirement. Additionally, during 2006, the Managing Owner agreed with certain regulatory bodies to maintain a 1% interest specifically in the Balanced Series Class 1a Units and Balanced Series Class 2a Units, aggregated, and each of the Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series. The 1% interest in these specific Series is included in computing the Minimum Purchase Commitment in aggregate capital. In addition to the General Units the Managing Owner receives in respect of its Minimum Purchase Commitment, the Managing Owner may purchase Limited Units in any Series as a Limited Owner. Principals of the Managing Owner or affiliates are allowed to own beneficial interests in the Trust as well. All Units purchased by the Managing Owner are held for investment purposes only and not for resale. The Managing Owner may make purchases or redemptions at any time on the same terms as any Limited Owner. The Trust has and will continue to have certain relationships with the Managing Owner and its affiliates.

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

The following table summarizes the Balanced Series advances to and reductions from the Currency Series of the Trust for the three months ending March 31, 2009.

Balanced Series

Summary by Quarter

2009

Inter-series receivables January 1, 2009	$	14,679,460
Additions during period		—
Reduction during period		—
Net change in Inter-series receivables		(745,512	)
Inter-series receivables March 31, 2009	$	13,933,948

Each Series of Units pays to the Managing Owner a monthly management fee equal to a certain percentage of such Series’ assets, calculated on a daily basis. The annual rate of the management fee is 0.5% for the Balanced Series, 2.0% for the Winton Series, Currency Series, Long Only Commodity Series and the Managed Futures Index Series, 2.5% for the Winton/Graham Series and Campbell/Graham/Tiverton Series, and 3.5% for the Long/Short Commodity Series. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) for such Series.

In connection with each Series’ trading activities, each Series of Units pays to the Managing Owner a Trading Fee of up to 0.75% of such Series’ Net Asset Value annually.

Some Series pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated by such Series, monthly or quarterly. Because the Balanced Series, Winton/Graham Series, Campbell/Graham/Tiverton Series, Currency Series and Long/Short Commodity Series may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Balanced Series or the Long/Short Commodity Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each

36

The Frontier Fund

Notes to Financial Statements—(Continued)

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

In addition, with respect to Class 1 of each Series, the Series pays monthly to the Managing Owner a service fee at an annualized rate of up to 3.0% (2% for the Long Only Commodity Series and Managed Futures Index Series) of NAV, which the Managing Owner pays to selling agents of the Trust.

The following table summarizes fees earned by the Managing Owner for the three months ended March 31, 2009.

Series:	Management Fee		Trading Fee		Incentive Fee			Service Fee
Balanced	$	396,634	$	542,600	$	2,116,645		$	2,071,543
Winton		390,305		97,591		(21,347	)		450,660
Campbell/Graham/Tiverton		565,467		113,272		(2,140	)		525,404
Currency		42,024		44,207		—			84,714
Winton/Graham		277,272		55,514		(5,804	)		298,184
Long Only Commodity		11,995		4,851		—			15,386
Long/Short Commodity		612,333		88,283		675,735			350,260
Managed Futures Index		16,985		4,246		—			10,412

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

Series:	Management Fee		Trading Fee		Incentive Fee		Service Fee
Balanced	$	70,626	$	99,014	$	2,242,873	$	217,551
Winton		61,901		16,226		—		50,246
Campbell/Graham/Tiverton		90,965		20,194		—		63,483
Currency		7,100		7,661		—		6,762
Winton/Graham		61,911		14,382		—		11,349
Long Only Commodity		4,109		1,644		—		3,903
Long/Short Commodity		109,931		16,991		658,601		31,561
Managed Futures Index		5,523		1,381		—		1,659

With respect to the service fees, the initial service fee (for the first 12 months) relating to a sale of the Units is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale. Since the Managing Owner is prepaying the initial service fee for the first year and is being reimbursed for such payment by the Series monthly in arrears based upon a corresponding percentage of net asset value, it bears the risk and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof which may result from variations in net asset value over the following 12 months. For the three months ended March 31, 2009, due to variations in net asset values, amounts paid or payable to the Managing Owner for the difference in monthly service fees from the prepaid initial service fees was $34,353 for the Balanced Series, $10,377 for the Winton/Graham Series, $10,585 for the Campbell/Graham/Tiverton Series, $800 for the Managed Futures Index Series and $49,359 for the Winton Series. For the three months ended March 31, 2009, amounts received or receivable from the Managing Owner for the difference in monthly service fees from prepaid initial service fees was $2,083 for the Currency Series, $3,257 from the Long Only Commodity Series and $11,384 from the Long/Short Commodity Series.

37

The Frontier Fund

Notes to Financial Statements—(Continued)

Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Campbell/Graham/Tiverton Series, Currency Series and Winton/Graham Series. In addition, if interest rates fall below 0.75% (calculated daily based on each Series’ Net Asset Value), the Managing Owner will be paid the difference between the Trust’s annualized interest income allocated to the foregoing Series and 0.75%. For the Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner. During the three months ended March 31, 2009, the Trust paid $2,627,597 of such interest income to the Managing Owner.

The Managing Owner pays to The Bornhoft Group Corporation, an affiliate of the Trust, a monthly fee of 0.25% (annualized) of the net asset value of the Trust, for services in connection with the daily valuation of each Series and Class. The amount paid under this agreement was $396,399 for the three months ended March 31, 2009. Additionally, The Bornhoft Group Corporation provides office space to the Managing Owner, prorates office expenses, and advances certain direct expenses on behalf of the Managing Owner. Under this agreement, the Managing Owner reimbursed The Bornhoft Group Corporation $151,011 for the three months ended March 31, 2009.

Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $713,519 for the three months ended March 31, 2009.

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

7. Financial Highlights

The following information presents the financial highlights of the Fund for the three months ended March 31, 2009 and 2008. This data has been derived from information presented in the financial statements.

	Balanced												Winton
	Class 1			Class 1a			Class 2			Class 2a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2008	$	125.17		$	112.09		$	142.44		$	121.30		$	130.41		$	140.04
Net operating results:
Interest income		0.04			0.03			0.04			0.03			0.37			0.39
Expenses		(2.02	)		(1.81	)		(1.24	)		(1.06	)		(1.79	)		(0.90	)
Net gain/(loss) on investments, net of minority interests		2.02			1.55			2.30			1.67			(1.55	)		(1.67	)
Net income		0.04			(0.23	)		1.10			0.65			(2.98	)		(2.18	)
Net asset value, March 31, 2009	$	125.21		$	111.86		$	143.54		$	121.95		$	127.43		$	137.86
Ratios to average net assets (3)
Net investment gain/(loss)		-6.38	%		-6.38	%		-3.38	%		-3.38	%		-4.46	%		-1.47	%
Expenses before incentive fees		4.07	%		4.07	%		1.07	%		1.07	%		5.72	%		2.72	%
Expenses after incentive fees		6.49	%		6.49	%		3.49	%		3.49	%		5.60	%		2.60	%
Total return before incentive fees (2)		0.53	%		0.23	%		1.22	%		0.86	%		-2.28	%		-1.59	%
Total return after incentive fees (2)		-0.07	%		-0.37	%		0.63	%		0.26	%		-2.25	%		-1.56	%

38

The Frontier Fund

Notes to Financial Statements—(Continued)

	Campbell/Graham/Tiverton						Currency						Winton/Graham
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2008	$	110.54		$	124.14		$	96.19		$	109.30		$	116.18		$	131.49
Net operating results:
Interest income		0.20			0.22			0.12			0.14			0.21			0.24
Expenses		(1.75	)		(1.05	)		(1.25	)		(0.64	)		(1.54	)		(0.78	)
Net gain/(loss) on investments, net of minority interests		(1.36	)		(1.54	)		(4.43	)		(5.05	)		(1.73	)		(1.96	)
Net income		(2.91	)		(2.37	)		(5.56	)		(5.55	)		(3.06	)		(2.50	)
Net asset value, March 31, 2009	$	107.63		$	121.77		$	90.63		$	103.75		$	113.12		$	128.99
Ratios to average net assets (3)
Net investment gain/(loss)		-5.71	%		-2.71	%		-4.92	%		-1.92	%		-4.67	%		-1.68	%
Expenses before incentive fees		6.46	%		3.46	%		5.45	%		2.45	%		5.45	%		2.46	%
Expenses after incentive fees		6.44	%		3.44	%		5.45	%		2.45	%		5.41	%		2.42	%
Total return before incentive fees (2)		-2.66	%		-2.24	%		-5.94	%		-5.22	%		-2.92	%		-1.91	%
Total return after incentive fees (2)		-2.66	%		-2.24	%		-5.94	%		-5.22	%		-2.91	%		-1.90	%
	Long Only Commodity						Long/Short Commodity						Managed Futures Index
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2008	$	70.31		$	74.46		$	100.39		$	109.28		$	132.18		$	139.70
Net operating results:
Interest income		0.32			0.34			0.64			0.69			0.53			0.56
Expenses		(0.61	)		(0.30	)		(3.14	)		(2.60	)		(1.41	)		(0.82	)
Net gain/(loss) on investments, net of minority interests		(3.98	)		(4.22	)		6.26			6.83			(7.62	)		(8.11	)
Net income		(4.27	)		(4.18	)		3.75			4.92			(8.50	)		(8.37	)
Net asset value, March 31, 2009	$	66.04		$	70.28		$	104.14		$	114.20		$	123.68		$	131.33
Ratios to average net assets (3)
Net investment gain/(loss)		-1.78	%		0.21	%		-9.89	%		-6.89	%		-2.77	%		-0.77	%
Expenses before incentive fees		3.74	%		1.75	%		7.78	%		4.78	%		4.46	%		2.46	%
Expenses after incentive fees		3.74	%		1.75	%		12.39	%		9.40	%		4.46	%		2.46	%
Total return before incentive fees (2)		-6.43	%		-5.76	%		4.76	%		5.51	%		-6.49	%		-6.36	%
Total return after incentive fees (2)		-6.43	%		-5.76	%		3.63	%		4.38	%		-6.49	%		-6.36	%

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

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

(3) Annualized

39

The Frontier Fund

Notes to Financial Statements—(Continued)

	Balanced Series												Winton Series
	Class 1			Class 1a			Class 2			Class 2a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2008	$	101.46		$	90.90		$	112.00		$	95.47		$	113.83		$	118.61
Net operating results:
Interest income		0.29			0.26			0.32			0.27			0.31			0.32
Expenses		(2.85	)		(2.55	)		(2.29	)		(1.95	)		(3.73	)		(2.95	)
Net gain/(loss) on investments, net of minority interests		9.07			8.07			10.05			8.51			14.19			14.82
Net income		6.51			5.78			8.08			6.83			10.77			12.19
Net asset value, March 31, 2008	$	107.97		$	96.68		$	120.08		$	102.30		$	124.60		$	130.80
Ratios to average net assets (3)
Net investment gain/(loss)		-9.85	%		-9.85	%		-6.82	%		-6.82	%		-11.36	%		-8.37	%
Expenses before incentive fees		4.42	%		4.42	%		1.39	%		1.39	%		5.08	%		2.09	%
Expenses after incentive fees		10.96	%		10.96	%		7.93	%		7.93	%		12.38	%		9.39	%
Total return before incentive fees (2)		7.89	%		7.49	%		8.69	%		7.96	%		10.35	%		11.54	%
Total return after incentive fees (2)		6.26	%		5.86	%		7.06	%		6.33	%		8.53	%		9.72	%
	Campbell/Graham Series						Currency						Graham Series
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2008	$	91.90		$	100.20		$	100.66		$	111.00		$	95.04		$	104.37
Net operating results:
Interest income		0.25			0.27			0.38			0.42			0.24			0.27
Expenses		(2.04	)		(1.46	)		(1.35	)		(0.64	)		(3.36	)		(2.94	)
Net gain/(loss) on investments, net of minority interests		6.53			7.13			6.81			7.54			13.95			15.44
Net income		4.74			5.94			5.84			7.32			10.83			12.77
Net asset value, March 31, 2008	$	96.64		$	106.14		$	106.50		$	118.32		$	105.87		$	117.14
Ratios to average net assets (3)
Net investment gain/(loss)		-7.63	%		-4.63	%		-3.78	%		-0.77	%		-12.53	%		-9.76	%
Expenses before incentive fees		5.86	%		2.85	%		5.28	%		2.26	%		5.47	%		2.69	%
Expenses after incentive fees		8.69	%		5.69	%		5.28	%		2.26	%		13.50	%		10.73	%
Total return before incentive fees (2)		5.78	%		6.41	%		5.85	%		6.53	%		12.19	%		13.29	%
Total return after incentive fees (2)		5.07	%		5.71	%		5.85	%		6.53	%		10.19	%		11.28	%

40

The Frontier Fund

Notes to Financial Statements—(Continued)

	Long Only Commodity						Long/Short Commodity						Managed Futures Index
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2008	$	110.79		$	115.04		$	101.47		$	107.19		$	100.59		$	104.42
Net operating results:
Interest income		0.68			0.71			0.61			0.64			0.62			0.64
Expenses		(1.12	)		(0.55	)		(3.25	)		(2.59	)		(1.15	)		(0.62	)
Net gain/(loss) on investments, net of minority interests		11.93			12.40			10.42			11.03			11.08			11.51
Net income		11.49			12.56			7.78			9.08			10.55			11.53
Net asset value, March 31, 2008	$	122.28		$	127.60		$	109.25		$	116.27		$	111.14		$	115.95
Ratios to average net assets (3)
Net investment gain/(loss)		-1.48	%		0.52	%		-9.82	%		-6.83	%		-1.93	%		0.07	%
Expenses before incentive fees		3.77	%		1.77	%		6.22	%		3.22	%		4.18	%		2.18	%
Expenses after incentive fees		3.77	%		1.77	%		12.08	%		9.08	%		4.18	%		2.18	%
Total return before incentive fees (2)		9.42	%		9.79	%		8.37	%		8.99	%		9.28	%		10.01	%
Total return after incentive fees (2)		9.42	%		9.79	%		6.91	%		7.53	%		9.28	%		10.01	%

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

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

(3) Annualized

8. Trading Activities and Related Risks

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

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

41

The Frontier Fund

Notes to Financial Statements—(Continued)

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

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

The Managing Owner has established procedures to actively monitor and minimize market and credit risks. The Limited Owners bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

9. Indemnifications

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

10. Subsequent Events

None.

42

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

Introduction

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

Overview

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

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

As of March 31, 2009 the Trust had eight separate Series of Units issued and outstanding: the Balanced Series, Winton Series, Campbell/Graham/Tiverton Series, Currency Series, Winton/Graham Series, Long Only Commodity Series, Long/Short Commodity Series and the Managed Futures Index Series. Each Series of Units had two separate sub-classes issued and outstanding—Class 1 and Class 2 (except for the Balanced Series, which has four sub-classes– Class 1, Class 1a, Class 2 and Class 2a).

Critical Accounting Policies and Estimates

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

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

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

Allocation of Trading Profits or Losses—Each Series of the Trust offers two classes of Units – Class 1 and Class 2. All classes have identical voting, dividend, liquidation and other rights and the same terms and conditions, except that Class 1 Units of each Series bear certain expenses related to the servicing of such Units. Revenues, expenses (other than expenses attributable to a specific class), and realized and unrealized trading profits and losses of each Series are allocated daily to Class 1 and Class 2 Units based on each Class’ relative owners’ capital balance.

Each Series allocates funds to a Trading Company, or Trading Companies, which allocate all of their daily trading profits or losses to the Series in proportion to each Series’ funds allocated to the Trading Company, adjusted on a daily basis. As of March 31, 2009, the value of all open contracts and cash held at clearing brokers is similarly allocated to the Series in proportion to each Series’ funds allocated to the Trading Company, or Trading Companies.

Interest Income—Interest income from all sources, including assets held at clearing brokers and cash and cash equivalents held at banks, is aggregated and allocated across all Series in proportion to their daily NAV.

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

Investment Transactions and Valuation

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

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

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

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

43

Custom Time Deposits and Certificates of Deposit

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

Liquidity and Capital Resources

The Trust will raise additional capital only through the sale of Units offered pursuant to the continuing offering, and does not intend to raise any capital through borrowing. Due to the nature of the Trust’s business, it makes no capital expenditures and has no capital assets that are not operating capital or assets.

The Managing Owner is responsible for the payment of all of the ordinary expenses associated with the organization of the Trust and the offering of each Series of Units, except for the initial and ongoing service fee, if any, and no Series will be required to reimburse these expenses. As a result, 100% of each Series’ offering proceeds are initially available for that Series’ trading activities.

A portion of each Trading Company’s assets is used as margin to maintain that Trading Company’s forward currency contract positions, and another portion is deposited in cash in segregated accounts in the name of each Trading Company maintained for each Trading Company at the clearing brokers in accordance with CFTC segregation requirements. At March 31, 2009, cash deposited at the clearing brokers was $50,135,999 for the Balanced Series, $7,845,707 for the Campbell/Graham/Tiverton Series, $706,648 for the Currency Series, 26,590,620 for the Long/Short Commodity Series and $9,304,919 for the Winton Series. The clearing brokers are expected to credit each Trading Company with approximately 80%-100% of the interest earned on its average net assets on deposit with the clearing brokers each week. Currently, this amount is estimated to be 0.20%. In an attempt to increase interest income earned, the Managing Owner also may invest the non-margin assets in U.S. government securities which include any security issued or guaranteed as to principal or interest by the United States, or by a person controlled by or supervised by and acting as an instrumentality of the government of the United States pursuant to authority granted by Congress or any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the U.S. government, and certain cash items such as money market funds, certificates of deposit (under nine months) and time deposits. Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Campbell/Graham/Tiverton Series, Currency Series, and Winton/Graham Series. For the Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner.

Approximately 10% to 20% of the Trust’s assets are expected to be committed as required margin for futures contracts and forward and options trading and held by the respective broker, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury bills in segregated accounts with the futures broker pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 2% to 6% of the Trust’s assets are expected to be deposited with over-the-counter counterparties in order to initiate and maintain forward and swap contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held in either U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparties. The remaining approximately 74% to 88% of the Trust’s assets will normally be invested in cash equivalents and short-term investments, such as money market funds, certificates of deposit (under nine months) and time deposits and held by the clearing broker, the over-the-counter counterparties and by U.S. Federally chartered banks. As of March 31, 2009, total cash and cash equivalents (including payables to cash management pool), custom time deposits and certificate of deposits held at banking institutions were $194,815,546 for the Balanced Series, $58,522,810 for the Winton Series, $59,668,820 for the Campbell/Graham/Tiverton Series, $15,520,214 for the Currency Series, $52,960,748 for the Winton/Graham Series, $2,263,022 for the Long Only Commodity Series, $56,375,818 for the Long/Short Commodity Series and $2,423,058 for the Managed Futures Index Series.

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Off-Balance Sheet Risk

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

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

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

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

Results of Operations

Three Months Ended March 31, 2009 Compared to Three Months Ended March 31, 2008

Market Conditions for Three Months Ended March 31, 2009

January 2009

Interest Rates

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

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Currencies

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

Stock Indices

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

Energy

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

Metals

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

Agriculturals

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

February 2009

Interest Rates

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

Currencies

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

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Stock Indices

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

Energy

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

Metals

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

Agriculturals

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

March 2009

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

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Metals

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

Agriculturals

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

Market Conditions for Three Months Ended March 31, 2008

January 2008

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

Metals

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

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Commodities

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

February 2008

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

Metals

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

Commodities

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

March 2008

Interest Rates

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

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Currencies

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

Stock Indices

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

Energy

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

Metals

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

Commodities

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

Balanced Series

2009

The Balanced Series – Class 1 Net Asset Value neither gained nor lost for the three months ended March 31, 2009, net of fees and expenses; the Balanced Series – Class 1a Net Asset Value lost 0.2% for the three months ended March 31, 2009, net of fees and expenses; the Balanced Series – Class 2 Net Asset Value gained 0.8% for the three months ended March 31, 2009, net of fees and expenses; the Balanced Series – Class 2a Net Asset Value gained 0.5% for the three months ended March 31, 2009, net of fees and expenses.

For the three months ended March 31, 2009, the Balanced Series recorded net gain on investments of $4,556,262, net interest of $99,001, and total expenses of $5,127,422, resulting in a net increase in Owners’ capital from operations of $247,088 after minority interests of $ 719,247. The Net Asset Value per Unit, Class 1, increased from

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$125.17 at December 31, 2008, to $125.21 at March 31, 2009. For Class 1a, the Net Asset Value per Unit decreased from $112.09 at December 31, 2008, to $111.86 at March 31, 2009. The Net Asset Value per Unit, Class 2, increased from $142.44 at December 31, 2008, to $143.54 March 31, 2009. For Class 2a, the Net Asset Value per Unit increased from $121.30 at December 31, 2008, to $121.95 at March 31, 2009. Total Class 1 subscriptions and redemptions for the three months were $39,926,756 and $8,463,922, respectively. Total Class 1a subscriptions and redemptions for the three month period were $1,900,154 and $233,504, respectively. Total Class 2 subscriptions and redemptions for the three months were $13,084,122 and $2,664,595, respectively. Total Class 2a subscriptions and redemptions for the three month period were $463,000 and $24,423, respectively. Ending capital at March 31, 2009, was $287,834,027 for Class 1, $9,770,203 for Class 1a, $77,983,054 for Class 2 and $2,330,389 for Class 2a. At December 31, 2008, ending capital was $256,550,829 for Class 1, $8,136,165 for Class 1a, $67,109,662 for Class 2 and $1,886,351 for Class 2a.

The Balanced Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Three Months Ended March 31, 2009, for additional information regarding these sectors.

Sector Attribution for the Balanced Series

2008

The Balanced Series – Class 1 Net Asset Value gained 6.4% for the three months ended March 31, 2008, net of fees and expenses; the Balanced Series – Class 1a Net Asset Value gained 6.4% for the three months ended March 31, 2008, net of fees and expenses; the Balanced Series – Class 2 Net Asset Value gained 7.2% for the three months ended March 31, 2008, net of fees and expenses; the Balanced Series – Class 2a Net Asset Value gained 7.2% for the three months ended March 31, 2008, net of fees and expenses.

For the three months ended March 31, 2008, the Balanced Series recorded net gain on investments of $28,484,724, net interest of $698,149, and total expenses of $6,571,937, resulting in a net increase in Owners’ capital from operations of $16,222,078 after minority interests of ($6,388,858). The Net Asset Value per Unit, Class 1, increased from $101.46 at December 31, 2007, to $107.97 at March 31, 2008. For Class 1a, the Net Asset Value per Unit increased from $90.90 at December 31, 2007, to $96.68 at March 31, 2008. The Net Asset Value per Unit, Class 2, increased from $112.00 at December 31, 2007, to $120.08 at March 31, 2008. For Class 2a, the Net Asset Value per Unit increased from $95.47 at December 31, 2007, to $102.30 at March 31, 2008. Total Class 1 subscriptions and redemptions for the three months were $2,749,637 and $18,629,627, respectively. Total Class 1a subscriptions and redemptions for the three month period were $125,553 and $339,417, respectively. Total Class 2 subscriptions and redemptions for the three months were $547,393 and $1,955,823, respectively. Total Class 2a subscriptions and redemptions for the three month period were $8,900 and $48,985, respectively. Ending capital at March 31, 2008, was $201,374,918 for Class 1, $5,778,741 for Class 1a, $47,814,080 for Class 2 and $1,296,816 for Class 2a. At December 31, 2007, ending capital was $204,740,748 for Class 1, $5,638,500 for Class 1a, $45,954,042 for Class 2 and $1,251,556 for Class 2a.

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During 2008, the Balanced Series, through Frontier Trading Company I LLC, engaged in a fund option transaction, whereby the Balanced Series obtained exposure to the performance of additional commodity funds held by a counterparty to the option, for the purpose of further diversification among trading advisors and styles. The Trust does not have transparency to the underlying investments of these commodity funds, so the returns from this program cannot be characterized.

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

Sector Attribution for the Balanced Series

Winton Series

2009

The Winton Series – Class 1 Net Asset Value lost 2.3% for the three months ended March 31, 2009, net of fees and expenses; the Winton Series – Class 2 Net Asset Value lost 1.6% for the three months ended March 31, 2009, net of fees and expenses.

For the three months ended March 31, 2009, the Winton Series recorded net loss on investments of $1,393,512, net interest of $204,074, and total expenses of $917,209, resulting in a net decrease in Owners’ capital from operations of $1,551,743 after minority interests of 554,904. The Net Asset Value per Unit, Class 1, decreased from $130.41 at December 31, 2008, to $127.43 as of March 31, 2009. The Net Asset Value per Unit, Class 2, decreased from $140.04 at December 31, 2008, to $137.86 as of March 31, 2009. Total Class 1 subscriptions for the three months were $79,311 and redemptions were $2,061,117. Total Class 2 subscriptions and redemptions for the three month period were $0, and $115,823, respectively. Ending capital at March 31, 2009, was $58,931,735 for Class 1 and $11,445,919 for Class 2. Ending capital at December 31, 2008, was $62,283,659 for Class 1 and $11,743,367 for Class 2.

The Winton Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Three Months Ended March 31, 2009, for additional information regarding these sectors.

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Sector Attribution for the Winton Series

2008

The Winton Series – Class 1 Net Asset Value gained 9.5% for the three months ended March 31, 2008, net of fees and expenses; the Winton Series – Class 2 Net Asset Value gained 10.3% for the three months ended March 31, 2008, net of fees and expenses.

For the three months ended March 31, 2008, the Winton Series recorded net gain on investments of $6,177,411, net interest of $136,321, and total expenses of $1,582,566, resulting in a net increase in Owners’ capital from operations of $4,731,166. The Net Asset Value per Unit, Class 1, increased from $113.83 at December 31, 2007, to $124.60 as of March 31, 2008. The Net Asset Value per Unit, Class 2, increased from $118.61 at December 31, 2007, to $130.80 as of March 31, 2008. Total Class 1 subscriptions for the three months were $13,491,585 and redemptions were $756,130. Total Class 2 subscriptions and redemptions for the three month period were $0, and $176,925, respectively. Ending capital at March 31, 2008, was $52,065,052 for Class 1 and $11,263,805 for Class 2. Ending capital at December 31, 2007, was $35,664,260 for Class 1 and $10,374,901 for Class 2.

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

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Sector Attribution for the Winton Series

Campbell/Graham/Tiverton Series

2009

The Campbell/Graham/Tiverton Series – Class 1 Net Asset Value lost 2.6% for the three months ended March 31, 2009, net of fees and expenses; the Campbell/Graham/Tiverton Series – Class 2 Net Asset Value lost 1.9% for the three months ended March 31, 2009, net of fees and expenses.

For the three months ended March 31, 2009, the Campbell/Graham/Tiverton Series recorded net loss on investments of $1,581,458, net interest of $144,150, and total expenses of $1,202,003, resulting in a net decrease in Owners’ capital from operations of $2,084,257 after minority interests of $555,054. The Net Asset Value per Unit, Class 1, decreased from $110.540 at December 31, 2008, to $107.63 as of March 31, 2009. The Net Asset Value per Unit, Class 2, decreased from $124.14 at December 31, 2008, to $121.77 as of March 31, 2009. Total Class 1 subscriptions for the three months ended March 31, 2009, were $5,956,208 and redemptions were $1,699,409. Total Class 2 subscriptions and redemptions for the three months ended March 31, 2009, were $2,622,444, and $578,007, respectively. Ending capital at March 31, 2009, was $72,323,161 for Class 1 and $9,658,747 for Class 2. Ending capital at December 31, 2008, was $69,957,155 for Class 1 and $7,807,774 for Class 2.

The Campbell/Graham/Tiverton Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Three Months Ended March 31, 2009, for additional information regarding these sectors.

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Sector Attribution for the Campbell/Graham/Tiverton Series

2008

The Campbell/Graham Series – Class 1 Net Asset Value gained 5.2% for the three months ended March 31, 2008, net of fees and expenses; the Campbell/Graham Series – Class 2 Net Asset Value gained 5.9% for the three months ended March 31, 2008, net of fees and expenses.

For the three months ended March 31, 2008, the Campbell/Graham Series recorded net gain on investments of $5,513,561, net interest of $164,140, and total expenses of $1,302,058, resulting in a net increase in Owners’ capital from operations of $3,183,727 after minority interests of ($1,191,916). The Net Asset Value per Unit, Class 1, increased from $91.90 at December 31, 2007, to $96.64 as of March 31, 2008. The Net Asset Value per Unit, Class 2, increased from $100.20 at December 31, 2007, to $106.14 as of March 31, 2008. Total Class 1 subscriptions for the three months ended March 31, 2008, were $2,515,788 and redemptions were $3,670,393. Total Class 2 subscriptions and redemptions for the three months ended March 31, 2008, were $189,658, and $416,213, respectively. Ending capital at March 31, 2008, was $57,228,336 for Class 1 and $5,925,135 for Class 2. Ending capital at December 31, 2007, was $55,530,902 for Class 1 and $5,820,002 for Class 2.

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

Sector Attribution for the Campbell/Graham Series

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Currency Series

2009

The Currency Series – Class 1 Net Asset Value lost 5.8% for the three months ended March 31, 2009, net of fees and expenses; the Currency Series – Class 2 Net Asset Value lost 5.1% for the three months ended March 31, 2009, net of fees and expenses.

For the three months ended March 31, 2009, the Currency Series recorded net loss on investments of $674,397, net interest of $18,768, and total expenses of $170,945, resulting in a net decrease in Owners’ capital from operations of $826,574. The Net Asset Value per Unit, Class 1, decreased from $96.19 at December 31, 2008, to $90.63 as of March 31, 2009. The Net Asset Value per Unit, Class 2, decreased from $109.30 at December 31, 2008, to $103.75 as of March 31, 2009. Total Class 1 subscriptions and redemptions for the three months ending March 31, 2009 were $299,089, and $619,586, respectively. Total Class 2 subscriptions and redemptions for the three months ending March 31, 2009, were $37,000 and $124,876, respectively. Ending capital at March 31, 2009, was $10,900,210 for Class 1 and $2,711,628 for Class 2. Ending capital at December 31, 2008, was $11,900,185 for Class 1 and $2,946,600 for Class 2.

The Currency Series may have both long and short exposure to the Currencies sector only. See comments above underMarket Conditions for Three Months Ended March 31, 2009, for additional information regarding these sectors.

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

2008

The Currency Series – Class 1 Net Asset Value gained 5.8% for the three months ended March 31, 2008, net of fees and expenses; the Currency Series – Class 2 Net Asset Value gained 6.6% for the three months ended March 31, 2008, net of fees and expenses.

For the three months ended March 31, 2008, the Currency Series recorded net gain on investments of $763,317, net interest of $41,896, and total expenses of $141,686, resulting in a net increase in Owners’ capital from operations of $663,527. The Net Asset Value per Unit, Class 1, increased from $100.66 at December 31, 2007, to $106.50 as of March 31, 2008. The Net Asset Value per Unit, Class 2, increased from $111.00 at December 31, 2007, to $118.32 as of March 31, 2008. Total Class 1 subscriptions and redemptions for the three months ending March 31, 2008 were $1,374,313, and $351,972, respectively. Total Class 2 subscriptions and redemptions for the three months ending March 31, 2008, were $39,750 and $2,535, respectively. Ending capital at March 31, 2008, was $11,423,173 for Class 1 and $891,916 for Class 2. Ending capital at December 31, 2007, was $9,791,812 for Class 1 and $800,194 for Class 2.

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

Winton/Graham Series

2009

The Winton/Graham Series – Class 1 Net Asset Value lost 2.6% for the three months ended March 31, 2009, net of fees and expenses; the Winton/Graham Series – Class 2 Net Asset Value lost 1.9% for the three months ended March 31, 2009, net of fees and expenses.

For the three months ended March 31, 2009, the Winton/Graham Series recorded net loss on investments of $924,910, net interest of $99,515, and total expenses of $625,166, resulting in a net decrease in Owners’ capital from operations of $1,450,561. The Net Asset Value per Unit, Class 1, decreased from $ 116.18 at December 31, 2008, to $113.12 as of March 31, 2009. The Net Asset Value per Unit, Class 2, decreased from $131.49 at December 31, 2008, to $128.99 as of March 31, 2009. Total Class 1 subscriptions and redemptions for the three months were $11,305,029 and $1,361,605, respectively. Total Class 2 subscriptions and redemptions for the three months were $360,401 and $419,044, respectively. Ending capital at March 31, 2009, was $44,529,423 for Class 1 and $14,100,026 for Class 2. Ending capital at December 31, 2008, was $35,760,835 for Class 1 and $14,434,394 for Class 2.

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The Winton/Graham Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Three Months Ended March 31, 2009, for additional information regarding these sectors.

Sector Attribution for the Winton/Graham Series

2008

The Winton/Graham Series – Class 1 Net Asset Value gained 11.4% for the three months ended March 31, 2008, net of fees and expenses; the Graham Series – Class 2 Net Asset Value gained 12.2% for the three months ended March 31, 2008, net of fees and expenses.

For the three months ended March 31, 2008, the Winton/Graham Series recorded net gain on investments of $1,270,369, net interest of $22,996, and total expenses of $305,219, resulting in a net increase in Owners’ capital from operations of $988,146. The Net Asset Value per Unit, Class 1, increased from $95.04 at December 31, 2007, to $105.87 as of March 31, 2008. The Net Asset Value per Unit, Class 2, increased from $104.37 at December 31, 2007, to $117.14 as of March 31, 2008. Total Class 1 subscriptions and redemptions for the three months were $1,553,747 and $236,473, respectively. Total Class 2 subscriptions and redemptions for the three months ended March 31, 2008 were $214,181 and $19,479, respectively. Ending capital at March 31, 2008, was $8,138,891 for Class 1 and $2,230,214 for Class 2. Ending capital at December 31, 2007, was $6,060,207 for Class 1 and $1,808,776 for Class 2.

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

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Sector Attribution for the Winton/Graham Series

Long Only Commodity Series

2009

The Long Only Commodity Series – Class 1 Net Asset Value lost 6.1% for the three months ended March 31, 2009, net of fees and expenses; the Long Only Commodity Series – Class 2 Net Asset Value lost 5.6% for the three months ended March 31, 2009, net of fees and expenses.

For the three months ended March 31, 2009, the Long Only Commodity Series recorded net loss on investments of $232,988, net interest of $18,837, and total expenses of $32,232, resulting in a net decrease in Owners’ capital from operations of $246,383. The Net Asset Value per Unit, Class 1, decreased from $70.31 at December 31, 2008 to $66.04 as of March 31, 2009. The Net Asset Value per Unit, Class 2, decreased from $74.46 at December 31, 2008, to $70.28 as of March 31, 2009. Total Class 1 subscriptions and redemptions for the three months were $312,915 and $209,374, respectively. Total Class 2 subscriptions and redemptions for the three months were $69,800 and $45,052, respectively. Ending capital at March 31, 2009, was $3,156,061 for Class 1 and $768,318 for Class 2. Ending capital at December 31, 2008, was $3,254,226 for Class 1 and $788,247 for Class 2.

The Long Only Commodity Series may have long-only exposure in the Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Three Months Ended March 31, 2009, for additional information regarding these sectors.

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

2008

The Long Only Commodity Series – Class 1 Net Asset Value gained 10.4% for the three months ended March 31, 2008, net of fees and expenses; the Long Only Commodity Series – Class 2 Net Asset Value gained 10.9% for the three months ended March 31, 2008, net of fees and expenses.

For the three months ended March 31, 2008, the Long Only Commodity Series recorded net gain on investments of $546,225, net interest of $31,782, and total expenses of $50,734, resulting in a net increase in Owners’ capital from operations of $527,273. The Net Asset Value per Unit, Class 1, increased from $110.79 at December 31, 2007 to $122.28 as of March 31, 2008. The Net Asset Value per Unit, Class 2, increased from $115.04 at December 31, 2007, to $127.60 as of March 31, 2008. Total Class 1 subscriptions and redemptions for the three months were $438,726 and $106,470, respectively. Total Class 2 subscriptions and redemptions for the three months were $35,000 and $0, respectively. Ending capital at March 31, 2008, was $5,557,156 for Class 1 and $367,441 for Class 2. Ending capital at December 31, 2007, was $4,730,889 for Class 1 and $299,179 for Class 2.

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

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

Long/Short Commodity Series

2009

The Long/Short Commodity Series – Class 1 Net Asset Value gained 3.7% for the three months ended March 31, 2009, net of fees and expenses; the Long/Short Commodity Series – Class 2 Net Asset Value gained 4.5% for the three months ended March 31, 2009, net of fees and expenses.

For the three months ended March 31, 2009, the Long/Short Commodity Series recorded net gain on investments of $10,799,151, net interest of $367,274, and total expenses of $1,726,611, resulting in a net increase in Owners’ capital from operations of $2,244,293 after minority interests of ($7,195,521). The Net Asset Value per Unit, Class 1, increased from $100.39 at December 31, 2008, to $104.14 as of March 31, 2009. The Net Asset Value per Unit, Class 2, increased from $109.28 at December 31, 2008, to $114.20 as of March 31, 2009. Total Class 1 subscriptions and redemptions for the three months were $3,407,247 and $3,226,448, respectively. Total Class 2 subscriptions and redemptions for the three months were $1,726,240 and $517,325, respectively. Ending capital at March 31, 2009, was $48,425,691 for Class 1 and $12,940,611 for Class 2. Ending capital at December 31, 2008, was $46,525,406 for Class 1 and $11,206,889 for Class 2.

The Long/Short Commodity Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors, although the majority of the exposure will typically be in the Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Three Months Ended March 31, 2009, for additional information regarding these sectors.

Sector Attribution for the Long/Short Commodity Series

2008

The Long/Short Commodity Series – Class 1 Net Asset Value gained 7.7% for the three months ended March 31, 2008, net of fees and expenses; the Long/Short Commodity Series – Class 2 Net Asset Value gained 8.5% for the three months ended March 31, 2008, net of fees and expenses.

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For the three months ended March 31, 2008, the Long/Short Commodity Series recorded net gain on investments of $6,531,549, net interest of $217,770, and total expenses of $1,134,791, resulting in a net decrease in Owners’ capital from operations of $2,696,972 after minority interests of ($2,917,556). The Net Asset Value per Unit, Class 1, increased from $101.47 at December 31, 2007, to $109.25 as of March 31, 2008. The Net Asset Value per Unit, Class 2, increased from $107.19 at December 31, 2007, to $116.27 as of March 31, 2008. Total Class 1 subscriptions and redemptions for the three months were $6,441,792 and $1,474,228, respectively. Total Class 2 subscriptions and redemptions for the three months were $648,631 and $119,900, respectively. Ending capital at March 31, 2008, was $38,451,692 for Class 1 and $4,493,211 for Class 2. Ending capital at December 31, 2007, was $31,092,746 for Class 1 and $3,658,890 for Class 2.

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

Sector Attribution for the Long/Short Commodity Series

Managed Futures Index Series

2009

The Managed Futures Index Series – Class 1 Net Asset Value lost 6.4% for the three months ended March 31, 2009, net of fees and expenses; the Managed Futures Index Series – Class 2 Net Asset Value lost 6.0% for the three months ended March 31, 2009, net of fees and expenses.

For the three months ended March 31, 2009 the Managed Futures Index Series recorded a net loss on investments of $208,699, net interest of $14,579, and total expenses of $31,643, resulting in a net decrease in Owners’ capital from operations of $225,763. The Net Asset Value per Unit, Class 1, decreased from $132.18 at December 31, 2008, to $123.68 as of March 31, 2009. The Net Asset Value per Unit, Class 2, decreased from $139.70 at December 31, 2008, to $131.33 as of March 31, 2009. Total Class 1 subscriptions and redemptions for the three months were $368,574 and $482,939, respectively. Total Class 2 subscriptions and redemptions for the three months were $678,638. There were no redemptions. Ending capital at March 31, 2009, was $2,015,785 for Class 1 and $1,725,776 for Class 2. Ending capital at December 31, 2008, was $2,266,977 for Class 1 and $1,136,074 for Class 2.

The Managed Futures Index Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Three Months Ended March 31, 2009, for additional information regarding these sectors.

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Sector Attribution for the Managed Futures Index Series

2008

The Managed Futures Index Series – Class 1 Net Asset Value gained 10.5% for the three months ended March 31, 2008, net of fees and expenses; the Managed Futures Index Series – Class 2 Net Asset Value gained 11.0% for the three months ended March 31, 2008, net of fees and expenses.

For the three months ended March 31, 2008 the Managed Futures Index Series recorded a net gain on investments of $111,545, net interest of $6,351, and total expenses of $9,976, resulting in a net increase in Owners’ capital from operations of $107,920. The Net Asset Value per Unit, Class 1, increased from $100.59 at December 31, 2007, to $111.14 as of March 31, 2008. The Net Asset Value per Unit, Class 2, increased from $104.42 at December 31, 2007, to $115.95 as of March 31, 2008. Total Class 1 subscriptions and redemptions for the three months were $208,304 and $90,316, respectively. Total Class 2 subscriptions and redemptions for the three months ended March 31, 2008 were $15,000 and $10,109, respectively. Ending capital at March 31, 2008, was $810,734 for Class 1 and $377,514 for Class 2. Ending capital at December 31, 2007, was $621,740 for Class 1 and $335,709 for Class 2.

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

Sector Attribution for the Managed Futures Index Series

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Contractual Obligations

None.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

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

Market movements result in frequent changes in the fair market value of each Trading Company’s open positions and, consequently, in each Series of the Trust’s earnings and cash flow. The Trading Companies’ and consequently

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the Series’ market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the open positions and the liquidity of the markets in which trades are made.

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

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

Quantitative Market Risk

Trading Risk

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

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

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

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

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

Value at Risk by Market Sectors

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

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Balanced Series: (1), (2)

	March 31, 2009				December 31, 2008
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	4,581,506	1.2	%	$	2,002,489	0.6	%
Currencies	$	3,999,799	1.1	%	$	3,124,541	0.9	%
Stock Indices	$	12,180,816	3.2	%	$	5,250,263	1.6	%
Metals	$	693,228	0.2	%	$	355,150	0.1	%
Agriculturals/Softs	$	3,075,379	0.8	%	$	1,553,216	0.5	%
Energy	$	1,372,444	0.4	%	$	624,306	0.2	%
Total:	$	25,903,172	6.9	%	$	12,909,965	3.9	%
Winton Series:
	March 31, 2009				December 31, 2008
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,325,026	1.9	%	$	1,076,982	1.5	%
Currencies	$	1,133,357	1.6	%	$	1,360,405	1.8	%
Stock Indices	$	233,263	0.3	%	$	67,599	0.1	%
Metals	$	113,728	0.2	%	$	69,327	0.1	%
Agriculturals/Softs	$	475,814	0.7	%	$	532,693	0.7	%
Energy	$	30,066	0.0	%	$	72,478	0.1	%
Total:	$	3,311,254	4.7	%	$	3,179,484	4.3	%

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Currency Series: (3)

	March 31, 2009				December 31, 2008
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—	0	%	$	—	0	%
Currencies	$	211,330	1.6	%	$	181,098	1.2	%
Stock Indices	$	—	0	%	$	—	0	%
Metals	$	—	0	%	$	—	0	%
Agriculturals/Softs	$	—	0	%	$	—	0	%
Energy	$	—	0	%	$	—	0	%
Total:	$	211,330	1.6	%	$	181,098	1.2	%

Winton/Graham Series:

	March 31, 2009				December 31, 2008
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,260,156	2.1	%	$	451,517	0.9	%
Currencies	$	935,986	1.6	%	$	433,230	0.9	%
Stock Indices	$	454,351	0.8	%	$	54,758	0.1	%
Metals	$	83,717	0.1	%	$	43,737	0.1	%
Agriculturals/Softs	$	326,159	0.6	%	$	185,563	0.4	%
Energy	$	53,369	0.1	%	$	38,493	0.1	%
Total:	$	3,113,738	5.3	%	$	1,207,298	2.5	%

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Campbell/Graham/Tiverton Series:

	March 31, 2009				December 31, 2008
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,842,578	2.2	%	$	828,192	1.1	%
Currencies	$	1,283,719	1.6	%	$	1,067,847	1.4	%
Stock Indices	$	2,235,105	2.7	%	$	915,299	1.2	%
Metals	$	100,846	0.1	%	$	68,164	0.1	%
Agriculturals/Softs	$	337,020	0.4	%	$	199,871	0.3	%
Energy	$	231,890	0.3	%	$	88,512	0.1	%
Total:	$	6,031,158	7.3	%	$	3,167,885	4.2	%

Long Only Commodity Series:

	March 31, 2009				December 31, 2008
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—	0.0	%	$	—	0.0	%
Currencies	$	—	0.0	%	$	—	0.0	%
Stock Indices	$	—	0.0	%	$	—	0.0	%
Metals	$	91,200	2.3	%	$	105,600	2.6	%
Agriculturals/Softs	$	129,200	3.3	%	$	149,600	3.7	%
Energy	$	159,600	4.1	%	$	184,800	4.6	%
Total:	$	380,000	9.7	%	$	440,000	10.9	%

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Long/Short Commodity Series:

	March 31, 2009				December 31, 2008
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	637,401	1.0	%	$	190,975	0.3	%
Currencies	$	263,969	0.4	%	$	215,085	0.4	%
Stock Indices	$	172,037	0.3	%	$	99,892	0.2	%
Metals	$	1,134,996	1.8	%	$	1,217,781	2.1	%
Agriculturals/Softs	$	2,631,568	4.3	%	$	2,210,340	3.8	%
Energy	$	966,012	1.6	%	$	1,094,515	1.9	%
Total:	$	5,805,983	9.4	%	$	5,028,588	8.7	%

Managed Futures Index Series:

	March 31, 2009				December 31, 2008
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	104,018	2.8	%	$	87,004	2.6	%
Currencies	$	92,494	2.5	%	$	85,655	2.5	%
Stock Indices	$	34,899	0.9	%	$	14,610	0.4	%
Metals	$	10,386	0.3	%	$	—	0.0	%
Agriculturals/Softs	$	28,561	0.8	%	$	17,047	0.5	%
Energy	$	12,982	0.3	%	$	—	0.0	%
Total:	$	283,340	7.6	%	$	204,316	6.0	%

(1) As of March 31, 2009 and December 31, 2008, a portion of the assets of the Balanced Series was invested in the Currency Series. The Balanced Series effective ownership in this Series as of March 31, 2009 and December 31, 2008 was 50.6% and 49.7%, respectively. Including its investment in this Series, total value at risk for the Balanced Series would be $26,010,073, or 6.9% of capitalization as of March 31, 2009 and $13,000,001, or 3.9% of capitalization as of December 31, 2008.

(2) As of March 31, 2009 and December 31, 2008, a portion of the assets of the Balanced Series was invested in an Option basket of futures contracts with a notional value of $79,158,706 and $101,715,457, respectively. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

(3) As of March 31, 2009 and December 31, 2008, a portion of the assets of the Currency Series was invested in an Option basket of futures contracts with a notional value of $25,874,757 and $25,015,994, respectively. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

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

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

Non-Trading Risk

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

Qualitative Market Risk

The following are the primary trading risk exposures of the Series of the Trust as of March 31, 2009, by market sector.

Interest rates

Interest rate risk is one of the principal market exposures of each Series. Interest rate movements directly affect the price of interest rate futures positions held and indirectly the value of a Trading Company’s stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact profitability. The primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. However, the Trading Companies also may take futures positions on the government debt of smaller nations. The Managing Owner anticipates that G-7 interest rates will remain the primary market exposure of each Trading Company and accordingly of each Series for the foreseeable future. The changes in interest rates which are expected to have the most effect on the Series are changes in long-term, as opposed to short-term rates. Most of the speculative positions to be held by the Trading Companies will be in medium- to long-term instruments. Consequently, even a material change in short-term rates is expected to have little effect on the Series if the medium- to long-term rates remain steady. Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Campbell/Graham/Tiverton Series, Currency Series and Winton/Graham Series. For the Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner. In addition, if interest rates fall below 0.75%, the Managing Owner is paid the difference between the Trust’s annualized interest income that is allocated to each of such Series and 0.75%. Interest income above what is paid to the Managing Owner is retained by the Series.

Currencies

Exchange rate risk is a significant market exposure of each Series of the Trust in general and the Currency Series in particular. For each Series of the Trust in general, and the Currency Series in particular, currency exposure is to exchange rate fluctuations, primarily fluctuations that disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Trading Advisors on behalf of a Series trade in a large number of currencies, including cross-rates, which are positions between two currencies other than the U.S. Dollar. The Managing Owner does not anticipate that the risk profile of the Series’ currency sector will change significantly in the future.

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Stock Indices

For each Series (other than the Currency Series), its primary equity exposure is equity price risk in the G-7 countries as well as other smaller jurisdictions. Each Series of the Trust (other than the Currency Series) is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices.

Metals

For each Series (other than the Currency Series), its metals market exposure is fluctuations in the price of both precious metals, including gold and silver, as well as base metals including aluminum, copper, nickel and zinc. Some metals, such as gold, are used as surrogate stores of value, in place of hard currency, and thus have an associated currency or interest rate risk associated with them relative to their price in a specific currency. Other metals, such as silver, platinum, copper and steel, have substantial industrial applications, and may be subject to forces affecting industrial production and demand.

Agriculturals/Softs

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

Energy

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

Other Trading Risks

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

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

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

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

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

ITEM 4. CONTROLS AND PROCEDURES

Evaluation of disclosure controls and procedures

Under the supervision and with the participation of the management of the Managing Owner, including its Chief Executive Officer and Chief Financial Officer, the Trust evaluated the effectiveness of the design and operation of the disclosure controls and procedures (as defined in Rule 13(a)-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), for the Trust and each Series as of March 31, 2009 (the “Evaluation Date”). Any control system, no matter how well designed and operated, can provide only reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected. Based upon our evaluation, the Chief Executive Officer and Chief Financial Officer of the Managing Owner concluded that, as of the Evaluation Date, the disclosure controls and procedures for the Trust and each Series were effective to provide reasonable assurance that they are timely alerted to the material information relating to the Trust and each Series required to be included in the Trust’s periodic SEC filings.

Changes in Internal Control Over Financial Reporting

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

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Scope of Exhibit 31 Certifications

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

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PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS.

None

ITEM 1A. RISK FACTORS.

There have been no material changes to the risk factors relating to The Frontier Fund from those previously disclosed in the Trust’s Annual Report on Form 10-K for its fiscal year ended December 31, 2008, under the caption “Item 1A. Risk Factors.”

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

The following table provides information regarding the sale of unregistered Units by the Registrant for the three months ended March 31, 2009. The number of Units listed below for each transaction is the aggregate number of Units in the particular Series of the Trust purchased in such transaction. The consideration listed below for each transaction is, except as otherwise noted, the aggregate amount of cash paid for the Units purchased. For each transaction reported below, the price per Unit was Net Asset Value per Unit at the time of the transaction and the Managing Owner of the Trust was the purchaser of the Units. No underwriting discount or sales commission was paid or received with respect to any of the transactions reported below. The Registrant claims an exemption from registration of each of the transactions listed below under Section 4(2) of the Securities Act, as a sale by an issuer not involving a public offering.

SERIES	DATE	UNITS	CONSIDERATION
BALANCED SERIES – 2	MARCH 12, 2009	3,175.75246	$	460,000
BALANCED SERIES – 2A	MARCH 12, 2009	162.3875	$	20,000

ITEM 3. DEFAULTS UPON SENIOR SECURITIES.

None

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

None

ITEM 5. OTHER INFORMATION.

None

ITEM 6. EXHIBITS.

Exhibits (numbered in accordance with Item 601 of Regulation S-K)

1.1	Form of Selling Agent Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents****
1.2	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents**
1.3	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents***

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1.4	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents***
1.6	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents****
1.7	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents****
4.1	Declaration of Trust and Amended and Restated Trust Agreement of the Registrant (annexed to the Prospectus as Exhibit A)****
4.2	Form of Subscription Agreement (annexed to the Prospectus as Exhibit B)****
4.3	Form of Exchange Request (annexed to the Prospectus as Exhibit C)****
4.4	Form of Request for Redemption (annexed to the Prospectus as Exhibit D)****
4.5	Form of Request for Additional Subscription (annexed to the Prospectus as Exhibit E)****
4.6	Form of Application for Transfer of Ownership / Re-registration Form (annexed to the Prospectus as Exhibit F)****
4.7	Form of Privacy Notice (annexed to the Prospectus as Exhibit G)****
10.1	Form of Amended and Restated Escrow Agreement among the Registrant, Equinox Fund Management, LLC, Bornhoft Group Securities Corporation and the U.S. Bank National Association, Denver Colorado***
10.2	Form of Brokerage Agreement between each Trading Company and UBS Securities, LLC*
10.21	Form of Brokerage Agreement between each Trading Company and Banc of America Futures Incorporated*
10.22	Form of Brokerage Agreement between the Managing Owner, acting as agent on behalf of certain Trading Companies, and Deutsche Bank AG London**
10.23	Form of Brokerage Agreement between each Trading Company and Man Financial Inc.***
10.24	Form of Amendment Agreement between the Managing Owner, acting as agent on behalf of certain Trading Companies, and Deutsche Bank AG London***
10.25	Form of Brokerage Agreement between each Trading Company and Fimat USA, LLC+
10.3	Form of Advisory Agreement among the Registrant, the Trading Company, Equinox Fund Management, LLC, and each Trading Advisor****
10.31	Form of International Swaps and Derivatives Association Master Agreement, including all Schedules thereto and the Credit Support Annex thereto entered into for the Long Only Commodity Series of the Registrant***
10.32	Form of License Agreement among Jefferies Financial Products, LLC, Reuters America LLC, the Registrant and Equinox Fund Management, LLC***
10.33	Form of License Agreement among Jefferies Financial Products, the Registrant and Equinox Fund Management, LLC***

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

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

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

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

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

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

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

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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: May 8, 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

76

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: May 8, 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

77

SIGNATURES

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

		Winton/Graham Series,
		a Series of The Frontier Fund
		(Registrant)
Date: May 8, 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

78

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: May 8, 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

79

SIGNATURES

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

		Campbell/Graham/Tiverton Series,
		a Series of The Frontier Fund
		(Registrant)
Date: May 8, 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

80

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: May 8, 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

81

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: May 8, 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

82

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: May 8, 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

83

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: May 8, 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

84