MANAGED FUTURES INDEX SERIES, a series of The Frontier Fund 10-Q 2008 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, 2008

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; GRAHAM SERIES; WINTON SERIES; CAMPBELL/GRAHAM 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 Series Class 1 and Class 2 Units;

Currency Series Class 1 and Class 2 Units;

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 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, 2008 (Unaudited) and December 31, 2007	4
	Condensed Schedule of Investments as of March 31, 2008 (Unaudited) and December 31, 2007	7
	Statements of Operations for the Three Months Ended March 31, 2008 and 2007 (Unaudited)	11
	Statements of Changes in Owners’ Capital for the Three Months Ended March 31, 2008 (Unaudited)	14
	Notes to Financial Statements (Unaudited)	19
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	37
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	55
Item 4.	Controls and Procedures	61
PART II – OTHER INFORMATION
Item 1.	Legal Proceedings	63
Item 1A.	Risk Factors	63
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	63
Item 3.	Defaults Upon Senior Securities	63
Item 4.	Submission of Matters to a Vote of Security Holders	63
Item 5.	Other Information	63
Item 6.	Exhibits	63
SIGNATURES		67

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.

2

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, 2008, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

3

PART I. FINANCIAL INFORMATION

ITEM 1. Financial Statements

The Frontier Fund

Statements of Financial Condition

March 31, 2008 and December 31, 2007

	Balanced Series				Winton Series (1)				Campbell/Graham Series
	3/31/2008		12/31/2007		3/31/2008		12/31/2007		3/31/2008		12/31/2007
	(Unaudited)				(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents	$	39,715,808	$	176,009,417	$	25,087,312	$	41,692,931	$	7,332,361	$	35,416,683
U.S Government securities, at market value		120,749,028		—		36,621,720		—		26,053,936		—
Cash held at futures commodity merchants		62,302,057		52,225,010		—		—		16,862,885		12,761,730
Open trade equity		—		1,941		—		—		335,209		—
Swap/option contracts		50,957,321		47,241,455		—		—		—		—
Investments in unconsolidated trading companies		7,076,510		4,238,348		2,877,501		4,637,121		19,309,755		18,353,523
Inter-series receivables		4,834,968		4,535,784		—		—		—		—
Prepaid service fees - Class 1		184,282		357,855		280,359		278,573		156,251		164,924
Interest receivable		382,608		—		116,557		—		82,350		—
Receivable from related parties		—		18,836		100,837		105,754		6,065		—
Other assets		150,349		238,781		90,258		64,709		75,269		69,613
Total Assets		286,352,931	$	284,867,427	$	65,174,544	$	46,779,088	$	70,214,081	$	66,766,473
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Open trade deficit	$	2,794,817	$	—	$	—	$	—	$	—	$	96,655
Pending owner additions		82,750		228,977		471,217		214,912		61,000		156,300
Owner redemptions payable		203,418		278,974		117,463		9,759		138,945		19,506
Incentive fees payable to Managing Owner		2,651,075		1,487,150		1,025,517		327,608		455,392		—
Management fees payable to Managing Owner		139,191		122,882		75,837		64,860		122,253		116,741
Interest fees payable to Managing Owner		381,961		375,955		92,525		66,029		97,709		92,401
Trading fees payable to Managing Owner		170,017		158,231		18,969		16,215		30,870		29,681
Trailing service fees payable		422,041		398,386		31,623		10,242		105,941		98,746
Payables to related parties		246,943		354,403		12,536		8,179		17,119		1,305
Other liabilities		50,669		252,579		—		22,123		—		28,680
Total Liabilities		7,142,882		3,657,537		1,845,687		739,927		1,029,229		640,015
MINORITY INTERESTS		22,945,494		23,625,044		—		—		6,031,381		4,775,554
OWNERS’ CAPITAL
Managing Owner Units - Class 1		193		182		1,246		1,138		—		—
Managing Owner Units - Class 2		3,129,420		2,918,791		259,592		235,392		258,946		244,457
Limited Owner Units - Class 1		207,153,466		210,379,066		52,063,806		35,663,122		57,228,336		55,530,902
Limited Owner Units - Class 2		45,981,476		44,286,807		11,004,213		10,139,509		5,666,189		5,575,545
Total Owners’ Capital		256,264,555		257,584,846		63,328,857		46,039,161		63,153,471		61,350,904
Total Liabilities, Minority Interests and Owners’ Capital	$	286,352,931	$	284,867,427	$	65,174,544	$	46,779,088	$	70,214,081	$	66,766,473
Units Outstanding
Class 1		1,865,097		2,018,003		417,866		313,310		592,207		604,239
Class 1a		59,770		62,032		N/A		N/A		N/A		N/A
Class 2		398,179		410,311		86,114		87,473		55,825		58,085
Class 2a		12,677		13,110		N/A		N/A		N/A		N/A
Net Asset Value per Unit
Class 1	$	107.97	$	101.46	$	124.60	$	113.83	$	96.64	$	91.90
Class 1a	$	96.68	$	90.90		N/A		N/A		N/A		N/A
Class 2	$	120.08	$	112.00	$	130.80	$	118.61	$	106.14	$	100.20
Class 2a	$	102.30	$	95.47		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, 2008 and December 31, 2007

	Currency Series				Graham Series				Long Only Commodity Series
	3/31/2008		12/31/2007		3/31/2008		12/31/2007		3/31/2008		12/31/2007
	(Unaudited)				(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents	$	3,862,676	$	12,715,131	$	1,623,316	$	3,077,061	$	1,649,745	$	4,275,935
U.S Government securities, at market value		10,348,248		—		2,828,433		—		3,588,124		—
Cash held at futures commodity merchants		1,273,999		1,539,788		—		—		—		—
Open trade equity		11,157		34,703		—		—		—		—
Swap/option contracts		1,659,238		822,068		—		—		702,059		768,028
Investments in unconsolidated trading companies		—		—		6,031,381		4,775,554		—		—
Prepaid service fees - Class 1		28,704		33,387		19,847		12,215		6,341		5,101
Interest receivable		32,949		—		8,851		—		11,400		—
Receivable from related parties		—		86,190		138,252		70,739		—		—
Other assets		4,568		933		24,077		19,655		2,273		2,917
Total Assets	$	17,221,539	$	15,232,200	$	10,674,157	$	7,955,224	$	5,959,942	$	5,051,981
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Inter-series payables	$	4,834,968	$	4,535,784	$	—	$	—	$	—	$	—
Pending owner additions		3,667		15,612		14,950		18,400		3,000		—
Owner redemptions payable		6,979		30,627		12,633		—		12,669		5,192
Incentive fees payable to Managing Owner		—		—		225,848		1,063		—		—
Management fees payable to Managing Owner		14,249		10,354		19,362		15,307		6,249		5,441
Interest fees payable to Managing Owner		25,535		22,752		15,255		11,584		2,449		3,016
Trading fees payable to Managing Owner		8,589		8,354		3,872		3,062		2,503		2,175
Trailing service fees payable		12,286		9,645		12,859		10,180		7,900		5,968
Payables to related parties		177		1,652		273		902		575		121
Other liabilities		—		5,414		—		25,743		—		—
Total Liabilities		4,906,450		4,640,194		305,052		86,241		35,345		21,913
OWNERS’ CAPITAL
Managing Owner Units - Class 2		547,838		513,938		50,171		44,700		188,671		170,094
Limited Owner Units - Class 1		11,423,173		9,791,812		8,138,891		6,060,207		5,557,156		4,730,889
Limited Owner Units - Class 2		344,078		286,256		2,180,043		1,764,076		178,770		129,085
Total Owners’ Capital		12,315,089		10,592,006		10,369,105		7,868,983		5,924,597		5,030,068
Total Liabilities, Minority Interests and Owners’ Capital	$	17,221,539	$	15,232,200	$	10,674,157	$	7,955,224	$	5,959,942	$	5,051,981
Units Outstanding
Class 1		107,256		97,273		76,874		63,767		45,447		42,701
Class 2		7,538		7,209		19,039		17,331		2,880		2,601
Net Asset Value per Unit
Class 1	$	106.50	$	100.66	$	105.87	$	95.04	$	122.28	$	110.79
Class 2	$	118.32	$	111.00	$	117.14	$	104.37	$	127.60	$	115.04

The accompanying notes are an integral part of these statements.

5

The Frontier Fund

Statements of Financial Condition

March 31, 2008 and December 31, 2007

	Long/Short Commodity Series				Managed Futures Index Series
	3/31/2008		12/31/2007		3/31/2008		12/31/2007
	(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents	$	11,990,163	$	28,837,629	$	175,332	$	332,995
U.S Government securities, at market value		29,803,183		—		324,548		—
Cash held at futures commodity merchants		—		21,539,642		—		—
Open trade equity		34,481,289		—		—		—
Swap/option contracts		—		—		—		—
Investments in unconsolidated trading companies		—		—		758,238		634,400
Prepaid service fees - Class 1		134,272		150,263		2,250		1,742
Interest receivable		95,002		—		1,019		—
Receivable from related parties		15,317		91,720		901		—
Other assets		5,779		—		1,285		2,110
Total Assets	$	76,525,005	$	50,619,254	$	1,263,573	$	971,247
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Liability to futures commodity merchants	$	25,410,706	$	—			$	—
Open trade deficit		—		11,151,267				—
Pending owner additions		343,079		49,444		71,600		10,000
Owner redemptions payable		3,509		26,075		—		—
Incentive fees payable to Managing Owner		567,125		214,878		—		—
Management fees payable to Managing Owner		95,737		102,236		1,764		1,261
Interest fees payable to Managing Owner		16,811		21,286		506		622
Trading fees payable to Managing Owner		13,677		15,692		441		315
Trailing service fees payable		48,222		37,752		808		680
Payables to related parties		4,726		2,986		—		36
Other liabilities		—		7,654		206		884
Total Liabilities		26,503,592		11,629,270		75,325		13,798
MINORITY INTERESTS		7,076,510		4,238,348		—		—
OWNERS’ CAPITAL
Managing Owner Units - Class 2		405,750		374,050		327,095		294,572
Limited Owner Units - Class 1		38,451,692		31,092,746		810,734		621,740
Limited Owner Units - Class 2		4,087,461		3,284,840		50,419		41,137
Total Owners’ Capital		42,944,903		34,751,636		1,188,248		957,449
Total Liabilities, Minority Interests and Owners’ Capital	$	76,525,005	$	50,619,254	$	1,263,573	$	971,247
Units Outstanding
Class 1		351,966		306,425		7,295		6,181
Class 2		38,645		34,136		3,256		3,215
Net Asset Value per Unit
Class 1	$	109.25	$	101.47	$	111.14	$	100.59
Class 2	$	116.27	$	107.19	$	115.95	$	104.42

The accompanying notes are an integral part of these statements.

6

The Frontier Fund

Condensed Schedule of Investments

March 31, 2008

(unaudited)

	Balanced Series					Winton Series				Campbell/Graham 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 (US)	$	(150,161	)	-0.05	%	$	—	0.00	%	$	31,126		0.04	%	$	—		0.00	%
Various currency futures contracts (US)		600,393		0.22	%		—	0.00	%		(3,213	)	0.00	%		—		0.00	%
Various currency futures contracts (Canada)		23,327		0.01	%		—	0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		77,784		0.03	%		—	0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Far East)		(21,306	)	-0.01	%		—	0.00	%				0.00	%		—		0.00	%
Various energy futures contracts (US)		(645,087	)	-0.23	%		—	0.00	%		(130,112	)	-0.19	%		—		0.00	%
Various interest rates futures contracts (US)		697,458		0.25	%		—	0.00	%		(23,601	)	-0.03	%		—		0.00	%
Various interest rates futures contracts (Canada)		119,265		0.04	%		—	0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		(910,778	)	-0.33	%		—	0.00	%		(92,560	)	-0.13	%		—		0.00	%
Various interest rates futures contracts (Far East)		111,668		0.04	%		—	0.00	%		(20,408	)	-0.03	%		—		0.00	%
Various precious metals futures contracts (US)		(303,960	)	-0.11	%		—	0.00	%		(3,200	)	0.00	%		—		0.00	%
Various soft futures contracts (US)		(2,373,932	)	-0.85	%		—	0.00	%		3,375		0.00	%		—		0.00	%
Various soft futures contracts (Europe)		(8,169	)	0.00	%		—	0.00	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Canada)		(7,251	)	0.00	%		—	0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (US)		480,891		0.17	%		—	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)		95		0.00	%		—	0.00	%		(368	)	0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		22,165		0.01	%		—	0.00	%		—		0.00	%		—		0.00	%
Total Long Futures Contracts	$	(2,287,598	)	-0.81	%	$	—	0.00	%	$	(238,961	)	-0.34	%	$	—		0.00	%
LONG CURRENCY FORWARDS	$	1,135,710		0.41	%	$	—	0.00	%	$	187,629		0.27	%	$	(227,793	)	-1.85	%
SHORT FUTURES CONTRACTS
Various base metals futures contracts (US)	$	36,124		0.01	%	$	—	0.00	%	$	68,563		0.10	%	$	—		0.00	%
Various currency futures contracts (US)		195,290		0.07	%		—	0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		82,223		0.03	%		—	0.00	%		(1,441	)	0.00	%				0.00	%
Various currency futures contracts (Far East)		43,712		0.02	%		—	0.00	%		—		0.00	%				0.00	%
Various energy futures contracts (US)		(48,990	)	-0.02	%		—	0.00	%		—		0.00	%				0.00	%
Various interest rates futures contracts (US)		(187,254	)	-0.07	%		—	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)		300,040		0.11	%		—	0.00	%		(10,007	)	-0.01	%		—		0.00	%
Various interest rates futures contracts (Far East)		82,963		0.03	%		—	0.00	%		(6,545	)	-0.01	%		—		0.00	%
Various precious metals futures contracts (US)		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%
Various soft futures contracts (US)		110,828		0.04	%		—	0.00	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (US)		(753,144	)	-0.27	%		—	0.00	%		46,483		0.07	%		—		0.00	%
Various stock index futures contracts (Europe)		(733,654	)	-0.26	%		—	0.00	%		10,819		0.02	%		—		0.00	%
Various stock index futures contracts (Far East)		(55,880	)	-0.02	%		—	0.00	%		347		0.00	%		—		0.00	%
Total Short Futures Contracts	$	(927,742	)	-0.33	%	$	—	0.00	%	$	108,219		0.17	%	$	—		0.00	%
SHORT CURRENCY FORWARDS		(715,187	)	-0.26	%		—	0.00	%		278,322		0.40	%		238,950		1.94	%
Total Open Trade Equity	$	(2,794,817	)	-0.99	%		—	0.00	%	$	335,209		0.50	%	$	11,157		0.09	%
LONG SWAPS / OPTIONS	$	50,957,321		18.25	%	$	—	0.00	%	$	—		0.00	%	$	1,659,238		13.47	%

7

The Frontier Fund

Condensed Schedule of Investments—(Continued)

March 31, 2008

(unaudited)

	Balanced Series				Winton Series				Campbell/Graham 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. GOVERNMENT SECURITIES
FACE VALUE	Fair Value				Fair Value				Fair Value					Fair Value
$37,050,000.00 US Treasury Bill 4.500% due 02/15/2009   (Cost $37,937,174)	$	19,922,053	7.14	%	$	6,042,118	9.54	%	$	4,298,568		6.21	%	$	1,707,329	13.86	%
$35,000,000.00 US Treasury Bill 6.500% due 02/15/2010   (Cost $37,985,938)		20,001,003	7.16	%		6,066,062	9.58	%		4,315,603		6.24	%		1,714,095	13.92	%
$35,000,000.00 US Treasury Bill 4.500% due 02/28/2011   (Cost $37,231,250)		19,800,306	7.09	%		6,005,193	9.48	%		4,272,299		6.18	%		1,696,895	13.78	%
$34,700,000.00 US Treasury Bill 4.625% due 02/29/2012   (Cost $37,302,500)		19,872,205	7.12	%		6,026,999	9.52	%		4,287,812		6.20	%		1,703,057	13.83	%
$36,500,000.00 US Treasury Bill 3.875% due 02/15/2013   (Cost $38,125,391)		20,451,553	7.32	%		6,202,709	9.79	%		4,412,818		6.38	%		1,752,708	14.23	%
$36,700,000.00 US Treasury Bill 4.000% due 02/15/2015   (Cost $38,016,039)		20,701,908	7.41	%		6,278,638	9.91	%		4,466,837		6.46	%		1,774,163	14.41	%
	$	120,749,028	43.24	%	$	36,621,720	57.82	%	$	26,053,936		37.67	%	$	10,348,248	84.03	%
	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 (US)	$	—	0.00	%	$	—	0.00	%	$	69,738		0.14	%	$	—	0.00	%
Various currency futures contracts (US)		—	0.00	%		—	0.00	%		60,263		0.12	%		—	0.00	%
Various currency futures contracts (Canada)		—	0.00	%			0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various energy futures contracts (US)		—	0.00	%		—	0.00	%		(945,590	)	-1.89	%		—	0.00	%
Various interest rates futures contracts (US)		—	0.00	%		—	0.00	%		216,297		0.43	%		—	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 (US)		—	0.00	%		—	0.00	%		(115,400	)	-0.23	%		—	0.00	%
Various soft futures contracts (US)		—	0.00	%		—	0.00	%		(3,575,083	)	-7.15	%		—	0.00	%
Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various soft futures contracts (Canada)		—	0.00	%			0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (US)		—	0.00	%		—	0.00	%		28,710		0.06	%		—	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	%	$	(4,261,065	)	-8.52	%	$	—	0.00	%
LONG CURRENCY FORWARDS	$	—	0.00	%	$	—	0.00	%	$	—		0.00	%	$	—	0.00	%

8

The Frontier Fund

Condensed Schedule of Investments—(Continued)

March 31, 2008

(unaudited)

	Graham Series				Long Only Commodity Series				Long/Short Commodity Series					Managed Futures Index Series
Description	Value		% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value		Value		% of Net Asset Value
SHORT FUTURES CONTRACTS
Various base metals futures contracts (US)	$	—	0.00	%	$	—	0.00	%	$	24,148,440		48.28	%	$	—	0.00	%
Various currency futures contracts (US)		—	0.00	%		—	0.00	%		15,926		0.03	%		—	0.00	%
Various currency futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Far East)		—	0.00	%			0.00	%		—		0.00	%		—	0.00	%
Various energy futures contracts (US)		—	0.00	%		—	0.00	%		1,818,862		3.64	%		—	0.00	%
Various interest rates futures contracts (US)		—	0.00	%		—	0.00	%		(303,922	)	-0.61	%		—	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 (US)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various soft futures contracts (US)		—	0.00	%		—	0.00	%		13,350,898		26.69	%		—	0.00	%
Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (US)		—	0.00	%		—	0.00	%		(287,850	)	-0.58	%		—	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	%	$	38,742,354		77.45	%	$	—	0.00	%
SHORT CURRENCY FORWARDS		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Total Open Trade Equity		—	0.00	%	$	—	0.00	%	$	34,481,289		68.93	%		—	0.00	%
LONG SWAPS / OPTIONS	$	—	0.00	%	$	702,059	11.85	%	$	—		0.00	%	$	—	0.00	%
U.S. GOVERNMENT SECURITIES
FACE VALUE	Fair Value				Fair Value				Fair Value					Fair Value
$37,050,000.00 US Treasury Bill 4.500% due 02/15/2009   (Cost $37,937,174)	$	466,655	4.50	%	$	591,995	9.99	%	$	4,917,146		9.83	%	$	53,546	4.51	%
$35,000,000.00 US Treasury Bill 6.500% due 02/15/2010   (Cost $37,985,938)		468,505	4.52	%		594,341	10.03	%		4,936,632		9.87	%		53,758	4.52	%
$35,000,000.00 US Treasury Bill 4.500% due 02/28/2011   (Cost $37,231,250)		463,804	4.47	%		588,377	9.93	%		4,887,096		9.77	%		53,219	4.48	%
$34,700,000.00 US Treasury Bill 4.625% due 02/29/2012   (Cost $37,302,500)		465,488	4.49	%		590,514	9.97	%		4,904,842		9.81	%		53,412	4.50	%
$36,500,000.00 US Treasury Bill 3.875% due 02/15/2013   (Cost $38,125,391)		479,058	4.62	%		607,729	10.26	%		5,047,837		10.09	%		54,969	4.63	%
$36,700,000.00 US Treasury Bill 4.000% due 02/15/2015   (Cost $38,016,039)		484,923	4.68	%		615,169	10.38	%		5,109,629		10.21	%		55,642	4.68	%
	$	2,828,433	27.28	%	$	3,588,124	60.56	%	$	29,803,183		59.58	%	$	324,548	27.32	%

9

The Frontier Fund

Condensed Schedule of Investments

December 31, 2007

	Balanced Series					Currency Series				Campbell/Graham Series					Long/Short Commodity Series					Long Only Commodity Series
Description	Value			% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value		Value			% of Net Asset Value		Value		% of Net Asset Value
LONG FUTURES CONTRACTS
Various base metals futures contracts (US)	$	(1,365,548	)	-0.53	%	$	—	0.00	%	$	(46,995	)	-0.08	%	$	78,655		0.23	%	$	—	0.00	%
Various currency futures contracts (US)		(23,181	)	-0.01	%		—	0.00	%		5,213		0.01	%		(29,520	)	-0.08	%		—	0.00	%
Various currency futures contracts (Canada)		16,808		0.01	%			0.00	%		—		0.00	%		—		0.00	%			0.00	%
Various currency futures contracts (Europe)		87,760		0.03	%		—	0.00	%		(8,656	)	-0.01	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Far East)		24,523		0.01	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various energy futures contracts (US)		1,056,350		0.41	%		—	0.00	%		23,239		0.04	%		2,390,287		6.88	%		—	0.00	%
Various interest rates futures contracts (US)		19,323		0.01	%		—	0.00	%		1,922		0.00	%		52,718		0.15	%		—	0.00	%
Various interest rates futures contracts (Canada)		(8,845	)	0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Europe)		123,859		0.05	%		—	0.00	%		4,554		0.01	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Far East)		13,569		0.01	%		—	0.00	%		39,259		0.06	%		—		0.00	%		—	0.00	%
Various precious metals futures contracts (US)		610,450		0.24	%		—	0.00	%		440		0.00	%		68,860		0.20	%		—	0.00	%
Various soft futures contracts (US)		2,125,453		0.83	%		—	0.00	%		(1,859	)	0.00	%		2,321,450		6.68	%		—	0.00	%
Various soft futures contracts (Europe)		(2,648	)	0.00	%		—	0.00	%		(3,802	)	-0.01	%		—		0.00	%		—	0.00	%
Various soft futures contracts (Canada)		2,547		0.00	%		—	0.00	%				0.00	%		—		0.00	%			0.00	%
Various stock index futures contracts (US)		35,587		0.01	%		—	0.00	%		(2,020	)	0.00	%		(61,188	)	-0.18	%		—	0.00	%
Various stock index futures contracts (Canada)		105,241		0.04	%		—	0.00	%				0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Europe)		627,236		0.24	%		—	0.00	%		(6,130	)	-0.01	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Far East)		808		0.00	%		—	0.00	%		(988	)	0.00	%		—		0.00	%		—	0.00	%
Total Long Futures Contracts		3,449,292		1.35	%		—	0.00	%		4,177		0.01	%		4,821,262		13.88	%		—	0.00	%
LONG CURRENCY FORWARDS		(2,100,578	)	-0.82	%		120	0.00	%		107,869		0.18	%		—		0.00	%		—	0.00	%
LONG SWAPS / OPTIONS		47,241,455		18.34	%		822,068	7.76	%		—		0.00	%		—		0.00	%		768,028	15.27	%
SHORT FUTURES CONTRACTS
Various base metals futures contracts (US)		761,622		0.30	%		—	0.00	%		95,072		0.15	%		(2,648,030	)	-7.62	%		—	0.00	%
Various currency futures contracts (US)		(1,054,649	)	-0.41	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Europe)		50,981		0.02	%			0.00	%		(3,312	)	-0.01	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Far East)		(12,008	)					0.00	%		—		0.00	%		—		0.00	%			0.00	%
Various energy futures contracts (US)		(373,088	)	-0.14	%			0.00	%		(28,300	)	-0.05	%		(7,884,832	)	-22.69	%		—	0.00	%
Various interest rates futures contracts (US)		(2,109	)	0.00	%		—	0.00	%		(6,547	)	-0.01	%		4,219		0.01	%		—	0.00	%
Various interest rates futures contracts (Canada)		(35,042	)	-0.01	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Europe)		395,456		0.15	%		—	0.00	%		(9,568	)	-0.02	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Far East)		110,505		0.04	%		—	0.00	%		(1,029	)	0.00	%		—		0.00	%		—	0.00	%
Various precious metals futures contracts (US)		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various soft futures contracts (US)		(406,176	)	-0.16	%		—	0.00	%		—		0.00	%		(5,344,761	)	-15.38	%		—	0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (US)		(774,960	)	-0.30	%		—	0.00	%		7,815		0.01	%		(99,125	)	-0.29	%		—	0.00	%
Various stock index futures contracts (Europe)		(3,046	)	0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Far East)		40,782		0.02	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Total Short Futures Contracts		(1,301,732	)	-0.49	%		—	0.00	%		54,131		0.07	%		(15,972,529	)	-45.97	%		0	0.00	%
SHORT CURRENCY FORWARDS		(45,041	)	-0.02	%		34,583	0.33	%		(262,832	)	-0.43	%		—		0.00	%		—	0.00	%
Total Open Trade Equity	$	47,243,396	(1)	18.38	%	$	856,771	8.09	%	$	(96,655	)	-0.17	%	$	(11,151,267	)(1)	-32.09	%		768,028	15.27	%

(1) The Long/Short Commodity Series consolidates the assets of Frontier Trading Company VII which includes the open trade equity of two traders whose trading results are primarily allocated to the the Balanced Series. The combined open trade deficit of these two traders is ($11,521,659).

This deficit is reflected as a component of Investment in unconsolidated trading companies for the Balanced Series.

10

The Frontier Fund

Statements of Operations

For the Three Months Ended March 31, 2008 and 2007

	Balanced Series (Unaudited)						Winton Series (1) (Unaudited)						Campbell/Graham Series (Unaudited)
	3/31/2008			3/31/2007			3/31/2008			3/31/2007			3/31/2008			3/31/2007
Investment Income:
Interest - net	$	698,149		$	1,721,854		$	136,321		$	25,333		$	164,140		$	437,970
Total Income		698,149			1,721,854			136,321			25,333			164,140			437,970
Expenses:
Incentive Fees		4,136,299			1,490,934			980,800			—			438,930			33,094
Management Fees		387,518			302,876			225,065			14,961			345,761			310,749
Service Fees - Class 1		1,556,428			1,725,781			320,616			19,692			421,368			364,229
Trading Fees		491,692			321,101			56,085			3,738			95,999			92,866
Total Expenses		6,571,937			3,840,692			1,582,566			38,391			1,302,058			800,938
Investment gain/(loss) - net		(5,873,788	)		(2,118,838	)		(1,446,245	)		(13,058	)		(1,137,918	)		(362,968	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		20,967,093			(10,723,625	)		—			—			4,019,578			(311,330	)
Net realized gain/(loss) on swap contracts		—			1,703,250			—			—						—
Net change in open trade equity		(968,752	)		(9,439,201	)		—			—			431,922			(313,477	)
Net unrealized gain/(loss) on swap contracts		3,715,862			(2,191,895	)		—			—			—			—
Net unrealized gain/(loss) on treasuries		2,107,066			—			479,136			—			518,414			—
Trading commissions		(553,285	)		(563,068	)		—			—			(45,655	)		(14,904	)
Net change in inter-series receivables		299,184			476,249			—			—			—			—
Net change in inter-series payables		—			—			—			—			—			325,800
Equity in earnings/(loss) from trading company		2,917,556			(1,113,763	)		5,698,275			(591,344	)		589,302			(5,370,129	)
Net gain/(loss) on investments		28,484,724			(21,852,053	)		6,177,411			(591,344	)		5,513,561			(5,684,040	)
Minority interests		(6,388,858	)		5,987,053			—			—			(1,191,916	)		639,711
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	16,222,078		$	(17,983,838	)	$	4,731,166		$	(604,402	)	$	3,183,727		$	(5,407,297	)
NET INCOME/(LOSS) PER UNIT
Class 1	$	6.51		$	(6.73	)	$	10.77		$	(10.28	)	$	4.74		$	(9.01	)
Class 1a	$	5.78		$	(6.12	)		N/A			N/A			N/A			N/A
Class 2	$	8.08		$	(6.40	)	$	12.19		$	(9.67	)	$	5.94		$	(8.84	)
Class 2a	$	6.83		$	(5.62	)		N/A			N/A			N/A			N/A

The accompanying notes are an integral part of these statements.

11

The Frontier Fund

Statements of Operations

For the Three Months Ended March 31, 2008 and 2007

	Currency Series (Unaudited)						Graham Series (Unaudited)						Long Only Commodity Series (Unaudited)
	3/31/2008			3/31/2007			3/31/2008			3/31/2007			3/31/2008			3/31/2007
Investment Income:
Interest—net	$	41,896		$	128,278		$	22,996		$	65,381		$	31,782		$	131,455
Total Income		41,896			128,278			22,996			65,381			31,782			131,455
Expenses:
Incentive Fees		—			—			189,901			—			—			—
Management Fees		38,639			29,418			53,107			73,055			17,559			43,506
Service Fees - Class 1		78,223			52,769			51,620			40,078			26,147			22,247
Trading Fees		24,823			25,230			10,591			14,272			7,028			17,296
Total Expenses		141,685			107,417			305,219			127,405			50,734			83,049
Investment gain/(loss) - net		(99,789	)		20,861			(282,223	)		(62,024	)		(18,952	)		48,406
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		106,685			(93,956	)		—			—			—			—
Net realized gain/(loss) on swap contracts		822,649			(348,744	)		—			—			493,789			1,430,851
Net change in open trade equity		(873	)		(39,426	)		—			—			—			—
Net unrealized gain/(loss) on treasuries		134,039			—			78,453			—			52,436			—
Net change in inter-series payables		(299,184	)		236,560			—			(76,140	)		—			(1,296,389	)
Equity in earnings/(loss) from trading company		—			—			1,191,916			(639,711	)		—			—
Net gain/(loss) on investments		763,316			(245,566	)		1,270,369			(715,851	)		546,225			134,462
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	663,527		$	(224,705	)	$	988,146		$	(777,875	)	$	527,273		$	182,868
NET INCOME/(LOSS) PER UNIT
Class 1	$	5.84		$	(3.02	)	$	10.83		$	(8.97	)	$	11.49		$	3.42
Class 2	$	7.32		$	(2.44	)	$	12.77		$	(8.96	)	$	12.56		$	3.98

The accompanying notes are an integral part of these statements.

12

The Frontier Fund

Statements of Operations

For the Three Months Ended March 31, 2008 and 2007

	Long/Short Commodity Series (Unaudited)						Managed Futures Index Series (Unaudited)
	3/31/2008			3/31/2007			3/31/2008			3/31/2007
Investment Income:
Interest - net	$	217,770		$	212,997		$	6,351		$	95,406
Total Income		217,770			212,997			6,351			95,406
Expenses:
Incentive Fees		565,583			111,809			—			—
Management Fees		269,678			220,698			4,930			51,082
Service Fees - Class 1		258,770			149,345			3,814			2,594
Trading Fees		40,760			24,784			1,232			12,634
Total Expenses		1,134,791			506,636			9,976			66,310
Investment gain/(loss) - net		(917,021	)		(293,639	)		(3,625	)		29,096
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		(42,224,962	)		772,228			—			(331,200	)
Net realized gain/(loss) on swap contracts		—			—			—			—
Net change in open trade equity		48,814,767			(1,311,100	)		—			(356,012	)
Net unrealized gain/(loss) on treasuries		339,119			—			10,264			—
Trading commissions		(397,375	)		(107,012	)		—			(16,116	)
Net change in inter-series payables		—			—			—			633,920
Equity in earnings/(loss) from trading company		—			—			101,281			—
Net gain/(loss) on investments		6,531,549			(645,884	)		111,545			(69,408	)
Minority interests		(2,917,556	)		1,113,763			—			—
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	2,696,972		$	174,240		$	107,920		$	(40,312	)
NET INCOME/(LOSS) PER UNIT
Class 1	$	7.78		$	0.61		$	10.55		$	(6.69	)
Class 2	$	9.08		$	1.40		$	11.53		$	(6.35	)

The accompanying notes are an integral part of these statements.

13

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2008 (Unaudited)

	Balanced Series
	Class 1					Class 1a					Class 2					Class 2a
	Managing Owner		Limited Owners			Managing Owner		Limited Owners			Managing Owner		Limited Owners			Managing Owner		Limited Owners
Owners’ Capital, January 1, 2008	$	—	$	204,740,748		$	182	$	5,638,318		$	2,840,146	$	43,113,896		$	78,645	$	1,172,911
Sale of Units		—		2,749,637			—		125,553			—		547,393			—		8,900
Redemption of Units		—		(18,629,627	)		—		(339,417	)		—		(1,955,823	)		—		(48,985	)
Net increase in Owners’ Capital resulting from operations		—		12,514,160			11		354,094			204,999		3,063,469			5,630		79,715
Owners’ Capital, March 31, 2008	$	—	$	201,374,918		$	193	$	5,778,548		$	3,045,145	$	44,768,935		$	84,275	$	1,212,541
Owners’ Capital - Units, January 1, 2008		—		2,018,003			2		62,030			25,359		384,952			824		12,286
Sale of Units		—		26,224			—		1,356			—		4,733			—		87
Redemption of Units		—		(179,130	)		—		(3,618	)		—		(16,865	)		—		(520	)
Owners’ Capital - Units, March 31, 2008		—		1,865,097			2		59,768			25,359		372,820			824		11,853
Net asset value per unit at January 1, 2008			$	101.46				$	90.90				$	112.00				$	95.47
Change in net asset value per unit for three months ended March 31, 2008				6.51					5.78					8.08					6.83
Net asset value per unit at March 31, 2008			$	107.97				$	96.68				$	120.08				$	102.30

The accompanying notes are an integral part of these statements.

14

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2008 (Unaudited)

	Winton Series										Campbell/Graham Series
	Class 1					Class 2					Class 1					Class 2
	Managing Owner		Limited Owners			Managing Owner		Limited Owners			Managing Owner		Limited Owners			Managing Owner		Limited Owners
Owners’ Capital, January 1, 2008	$	1,138	$	35,663,122		$	235,392	$	10,139,509		$	—	$	55,530,902		$	244,457	$	5,575,545
Sale of Units		—		13,491,585			—		—			—		2,515,788			—		189,658
Redemption of Units		—		(756,130	)		—		(176,925	)		—		(3,670,393	)		—		(416,213	)
Net increase in Owners’ Capital resulting from operations		108		3,665,229			24,200		1,041,629			—		2,852,039			14,489		317,199
Owners’ Capital, March 31, 2008	$	1,246	$	52,063,806		$	259,592	$	11,004,213		$	—	$	57,228,336		$	258,946	$	5,666,189
Owners’ Capital - Units, January 1, 2008		10		313,300			1,985		85,488			—		604,239			2,439		55,646
Sale of Units		—		110,754			—		—			—		26,934			—		1,848
Redemption of Units		—		(6,198	)		—		(1,359	)		—		(38,966	)		—		(4,108	)
Owners’ Capital - Units, March 31, 2008		10		417,856			1,985		84,129			—		592,207			2,439		53,386
Net asset value per unit at January 1, 2008			$	113.83				$	118.61				$	91.90				$	100.20
Change in net asset value per unit for three months ended March 31, 2008				10.77					12.19					4.74					5.94
Net asset value per unit at March 31, 2008			$	124.60				$	130.80				$	96.64				$	106.14

The accompanying notes are an integral part of these statements.

15

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2008 (Unaudited)

	Currency Series										Graham Series
	Class 1					Class 2					Class 1					Class 2
	Managing Owner		Limited Owners			Managing Owner		Limited Owners			Managing Owner		Limited Owners			Managing Owner		Limited Owners
Owners’ Capital, January 1, 2008	$	—	$	9,791,812		$	513,938	$	286,256		$	—	$	6,060,207		$	44,700	$	1,764,076
Sale of Units		—		1,374,313			—		39,750			—		1,553,747			—		214,181
Redemption of Units		—		(351,972	)		—		(2,535	)		—		(236,473	)		—		(19,479	)
Net increase in Owners’ Capital resulting from operations		—		609,020			33,900		20,607			—		761,410			5,471		221,265
Owners’ Capital, March 31, 2008	$	—	$	11,423,173		$	547,838	$	344,078		$	—	$	8,138,891		$	50,171	$	2,180,043
Owner’s Capital - Units, January 1, 2008		—		97,273			4,630		2,579			—		63,767			428		16,903
Sale of Units		—		13,435			—		352			—		15,477			—		1,890
Redemption of Units		—		(3,452	)		—		(23	)		—		(2,370	)		—		(182	)
Owners’ Capital - Units, March 31, 2008		—		107,256			4,630		2,908			—		76,874			428		18,611
Net asset value per unit at January 1, 2008			$	100.66				$	111.00				$	95.04				$	104.37
Change in net asset value per unit for three months ended March 31, 2008				5.84					7.32					10.83					12.77
Net asset value per unit at March 31, 2008			$	106.50				$	118.32				$	105.87				$	117.14

The accompanying notes are an integral part of these statements.

16

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2008 (Unaudited)

	Long Only Commodity Series									Long/Short Commodity Series
	Class 1					Class 2				Class 1					Class 2
	Managing Owner		Limited Owners			Managing Owner		Limited Owners		Managing Owner		Limited Owners			Managing Owner		Limited Owners
Owners’ Capital, January 1, 2008	$	—	$	4,730,889		$	170,094	$	129,085	$	—	$	31,092,746		$	374,050	$	3,284,840
Sale of Units		—		438,726			—		35,000		—		6,441,792			—		648,631
Redemption of Units		—		(106,470	)		—		—		—		(1,474,228	)		—		(119,900	)
Net increase in Owners’ Capital resulting from operations		—		494,011			18,577		14,685		—		2,391,382			31,700		273,890
Owners’ Capital, March 31, 2008	$	—	$	5,557,156		$	188,671	$	178,770	$	—	$	38,451,692		$	405,750	$	4,087,461
Owners’ Capital - Units, January 1, 2008		—		42,701			1,479		1,122		—		306,425			3,490		30,646
Sale of Units		—		3,611			—		279		—		59,259			—		5,546
Redemption of Units		—		(865	)		—		—		—		(13,718	)		—		(1,037	)
Owners’ Capital - Units, March 31, 2008		—		45,447			1,479		1,401		—		351,966			3,490		35,155
Net asset value per unit at January 1, 2008			$	110.79				$	115.04			$	101.47				$	107.19
Change in net asset value per unit for three months ended March 31, 2008				11.49					12.56				7.78					9.08
Net asset value per unit at March 31, 2008			$	122.28				$	127.60			$	109.25				$	116.27

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, 2008 (Unaudited)

	Managed Futures Index Series
	Class 1					Class 2
	Managing Owner		Limited Owners			Managing Owner		Limited Owners
Owners’ Capital, January 1, 2008	$	—	$	621,740		$	294,572	$	41,137
Sale of Units		—		208,304			—		15,000
Redemption of Units		—		(90,316	)		—		(10,109	)
Net increase in Owners’ Capital resulting from operations		—		71,006			32,523		4,391
Owners’ Capital, March 31, 2008	$	—	$	810,734		$	327,095	$	50,419
Owners’ Capital - Units, January 1, 2008		—		6,181			2,821		394
Sale of Units		—		1,899			—		125
Redemption of Units		—		(785	)		—		(84	)
Owners’ Capital - Units, March 31, 2008		—		7,295			2,821		435
Net asset value per unit at January 1, 2008			$	100.59				$	104.42
Change in net asset value per unit for three months ended March 31, 2008				10.55					11.53
Net asset value per unit at March 31, 2008			$	111.14				$	115.95

The accompanying notes are an integral part of these statements.

18

The Frontier Fund

Notes to Financial Statements

As of March 31, 2008 (Unaudited)

1. Organization

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

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

As of March 31, 2008, the Trust had eight separate Series of Units issued and outstanding: the Balanced Series, Winton Series (formerly the Beach Series), Campbell/Graham Series, Currency Series, Graham Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series. The Units of each Series are separated into two classes of Units, except the Balanced Series which has four classes of Units. Previously, the Trust had offered an additional Series of Units called the Dunn Series, but such Series of Units is no longer being offered by the Trust.

19

The Frontier Fund

Notes to Financial Statements—(Continued)

The Trust, with respect to each Series:

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

• allocates funds to a subsidiary limited liability company or companies (each a “Trading Company”). Each Trading Company has one-year renewable contracts with its own independent commodity trading advisor(s) (“Trading Advisors,” 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, segregate its assets from any other Trading Company and maintain separate, distinct records for each Series, and account for its assets separately from the other Series and the other Trust assets;

• calculates the net assets, or the Net Asset Value, of the Units in such Series separately from the other Series;

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

• aggregates all cash and equivalents for purposes of maximizing returns at an equal rate for all Series.

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

During 2007, the Trust registered an additional 1,000,000 Balanced Series-2 Units, 1,000,000 Long/Short Commodity Series-1 Units and 200,000 Long/Short Commodity-2 Units on a Registration Statement on Form S-1/A pursuant to Rule 462(b) (File No. 333-140240).

20

The Frontier Fund

Notes to Financial Statements—(Continued)

As of March 31, 2008, the total Units outstanding of each Series of the Trust was 2,335,723 with respect to the Balanced Series, 503,980 with respect to the Winton Series, 648,032 with respect to the Campbell/Graham Series, 114,794 with respect to the Currency Series, 95,913 with respect to the Graham Series, 48,327 with respect to the Long Only Commodity Series, 390,611 with respect to the Long/Short Commodity Series and 10,551 with respect to the Managed Futures Index Series.

As of March 31, 2008, the Trust, with respect to the Graham Series, Winton Series, Campbell/Graham 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 remainder of each Series’ assets are maintained at the Trust level for cash management.

As of March 31, 2008, a portion of the assets of each of the Winton Series, Currency Series, Graham Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series have been invested in several different Trading Companies. Each Trading Company (except the Trading Company or Trading Companies, as applicable, for the Balanced Series, Campbell/Graham Series, Currency Series, Long Only Commodity Series and Long/Short Commodity Series) will have its own Trading Advisor that will manage 100% of the assets invested in such Trading Company and make that Trading Company’s trading decisions.

The Balanced Series, in order to make investments in the Campbell/Graham Series, Currency Series, Graham Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series may advance funds to such Series, for the purpose of investing in the respective Trading Company or Trading Companies for such Series on behalf of the Balanced Series.

The Trading Advisors were selected based upon the Managing Owner’s evaluation of each Trading Advisor’s past performance, trading portfolios and strategies, as well as how each Trading Advisor’s performance, portfolio and strategies complement and differ from those of the other Trading Advisors. As of March 31, 2008, none of the Trading Advisors or any of their principals had any beneficial interest in the Trust, but they are all free to acquire such beneficial interest.

The Managing Owner became registered with the CFTC as a commodity pool operator (“CPO”) as of August 6, 2003, and has been a member of the National Futures Association (the “NFA”) in such capacity since that date. The Managing Owner’s main business office is located at 1660 Lincoln Street, Suite 100, Denver, Colorado 80264, telephone (303) 837-0600. A description of the Managing Owner’s responsibilities to the Trust is contained in a Prospectus filed by the Trust on November 9, 2007 pursuant to Rule 424(b)(3) of the Securities Act (File No. 333-140240), which is referred to herein as the “Prospectus,” under the section captioned “Duties of the Managing Owner,” and such description is incorporated herein by reference from the Prospectus.

21

The Frontier Fund

Notes to Financial Statements—(Continued)

2. Significant Accounting Policies

The preparation of financial statements in conformity with accounting principles generally accepted in the United States (“GAAP”) requires the Managing Owner to adopt accounting policies and make estimates and assumptions that affect amounts reported in the Trust’s financial statements. The Trust’s critical accounting policies and related estimates and judgments underlying the financial statements are identified below.

Investment Transactions and Valuation

The Managing Owner has evaluated the nature and types of estimates that it makes in preparing the Trust’s financial statements and related disclosures and has determined that the valuation of investments that are not traded on a U.S. or internationally recognized futures exchange involves a critical accounting policy. The market values of futures (exchange traded) contracts, currencies and forward (non-exchange traded) contracts are verified by the Managing Owner, which obtains valuation data from third party data providers and compares those prices with data received from the Trust’s clearing brokers and currency traders. All values are final and conclusive as to all unitholders.

If actual results vary from estimates used, such variances are not anticipated to have a material impact on the financial statements and related disclosures.

The Trust records all investments at fair value in its financial statements, with changes in fair value reported as a component of realized and unrealized gain/(loss) on investments in the Statements of Operations. Generally, fair values are based on quoted market prices; however, in certain circumstances, significant judgments and estimates are involved in determining fair value in the absence of an active market closing price.

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.

Allocation of Trading Profits or Losses

Each Series of the Trust offers two classes of Units – Class 1 and Class 2 (except for the Balanced Series, which has 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 and Class 1a Units of each Series, as applicable, 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, as applicable, based on each Classes’ relative owners’ capital balances.

Each Series allocates funds to a subsidiary Trading Company, or Trading Companies, of the Trust. Each Trading Company allocates all of its 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, 2008, the value of all open contracts and cash held at clearing brokers is similarly allocated to the Series in proportion to the Series’ respective funds allocated to the Trading Companies.

22

The Frontier Fund

Notes to Financial Statements—(Continued)

Consolidation

The Series, through investing in Trading Companies, authorize certain Trading Advisors to place trades and manage assets at pre-determined investment levels. The Trading Companies were organized by the Managing Owner for the purpose of investing in securities and derivative instruments for the accounts of the respective Series, 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 accounted for under the equity method and are carried in the Statement of Financial Condition of such Series at fair value based on the interest of each Series in such Trading Company. Fair value represents the accumulated profit or loss associated with the Series investment in the Trading Company(s).

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 II LLC, Frontier Trading Company IV LLC, Frontier Trading Company VI LLC and Frontier Trading Company IX, 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 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.

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.

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.

Investments and Swaps

Transactions are recorded on a trade date basis and all investments are recorded at fair value in the financial statements, with changes in fair value reported as a component of realized and unrealized Gain / (Loss) 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, 2008 all investments in futures and forward contracts were based on quoted market prices. The valuation of investments in Swaps involves estimates. See Note 3.

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 each Series’ daily net asset value (“NAV”) per Unit based on such uncertain information. The Managing Owner’s good faith estimate of each

23

The Frontier Fund

Notes to Financial Statements—(Continued)

Series’ NAV per Unit 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 Series, Currency Series, 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 such investee 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 allocations of income and fees on the same basis as the Limited Owners of such Series. To avoid duplication of fees, 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 Prospectus.

Swaps are marked to market daily primarily using quotations from counterparties. The value of the contracts is separately disclosed in the Statements of Financial Condition. The unrealized appreciation (depreciation) related to the change in valuation of the notional amount of the Swap is combined with the amount due to (owed by) the Series at termination or settlement. The net change in this amount during the period is included on the Statements of Operations. The Series also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain/(loss) on the Statement of Operations.

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 Net Asset Value.

Income Taxes

On July 13, 2006, the Financial Accounting Standards Board (“FASB”) released FASB Interpretation No. 48Accounting 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 tax returns to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The adoption of FIN 48 was effective for the Trust on January 1, 2007, and did not impact the Trust’s financial position or results of operations.

Recent Accounting Pronouncements

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“SFAS 157”). SFAS 157, among other things, defines fair value, establishes a framework for measuring fair value and enhances disclosures about fair value measurements required under other accounting pronouncements. This statement emphasizes that fair value is a market-based measurement and should be determined based on assumptions that a market participant would use when pricing an asset or liability. This statement clarifies that market participant assumptions should include assumptions about risk as well as the effect of a restriction on the sale or use of an asset. Additionally, this statement establishes a fair value hierarchy that provides the highest priority to quoted prices in active markets and the lowest priority to unobservable data. This statement was effective for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. The adoption of SFAS 157 on January 1, 2008 did not have a material effect on the Trust’s financial statements. (See Note 3 — Fair Value Measurements).

24

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Notes to Financial Statements—(Continued)

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

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

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 is effective on January 1, 2009 and is not expected to have a significant impact on the Trust’s financial statements.

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

Reclassification

Certain amounts in the financial statements have been reclassified to conform with 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 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 that the reporting entity has the ability to access at the measurement date.

25

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 asset, 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 Instruments.These instruments include U.S. Treasury Notes 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 Notes, Futures Contracts, and Currency Forwards are reported at fair value using Level 1 inputs. Trading Instruments further include Open Trade Equity (Trading Options) 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/Option Contracts.Certain Swap/Option Contracts are reported utilizing Level 2 inputs. These Swap/Option 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/Option Contracts are reported utilizing Level 3 Inputs. These Swap/Option Contracts are reported at fair value based upon returns/values that are provided on less than a daily frequency from the swap counterparty, require additional internal financial modeling to develop pricing, and these swaps may not be corroborated against independent valuation/rate of return information published and available on a daily recurring frequency.

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

March 31, 2008	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Balanced Series
Open Trade Equity	$	(2,582,948	)	$	(211,869	)	$	—	$	(2,794,817	)
Swap/Option Contracts		—			—			50,957,321		50,957,321
U.S. Treasury Notes		120,749,028			—			—		120,749,028
Winton Series
U.S. Treasury Notes		36,621,720			—			—		36,621,720
Campbell/Graham Series
Open Trade Equity		335,209			—			—		335,209
U.S. Treasury Notes		26,053,936			—			—		26,053,936
Currency Series
Open Trade Equity		11,157			—			—		11,157
Swap/Option Contracts		—			1,659,238			—		1,659,238
U.S. Treasury Notes’		10,348,248			—			—		10,348,248

26

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Notes to Financial Statements—(Continued)

March 31, 2008	Level 1 Inputs		Level 2 Inputs			Level 3 Inputs		Total Fair Value
Graham Series
U.S. Treasury Notes		2,828,433		—			—		2,828,433
Long Only Series
Swap/Option Contracts		—		702,059			—		702,059
U.S. Treasury Notes		3,588,124		—			—		3,588,124
Long Short Series
Open Trade Equity		34,346,656		134,633			—		34,481,289
U.S. Treasury Notes		29,803,183		—			—		29,803,183
Managed Futures Index Series
U.S. Treasury Notes		324,548		—			—		324,548
Frontier Funds Total
Open Trade Equity	$	32,110,074	$	(77,236	)	$	—	$	32,032,838
Swap/Option Contracts		—		2,361,297			50,957,321		53,318,618
U.S. Treasury Notes		230,317,220		—			—		230,317,220
Total Financial Assets	$	262,427,294	$	2,284,061		$	50,957,321	$	315,668,676

The changes in Level 3 assets measured at fair value on a recurring basis are summarized in the following tables. Swap/Option 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.

	Swap/Option Contracts
Balance of recurring Level 3 assets as of January 1, 2008	$	47,241,459
Total gains or losses (realized/unrealized):
Included in earnings-realized		—
included in earnings-unrealized		3,715,862
Included in other comprehensive income		—
Purchases, sales, issuances, and settlements, net		—
Transfers in and/or out of Level 3		—
Balance or recurring Level 3 assets as of March 31, 2008	$	50,957,321

There are no assets recorded at fair value on a nonrecurring basis.

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, Campbell/Graham 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, 2008, approximately 12% of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain Swaps.

The Balanced Series, Campbell/Graham 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

27

The Frontier Fund

Notes to Financial Statements—(Continued)

Trading Company of these Series nor any advisor referenced by any such Swap is a Trading Advisor to these Series.

The Long Only Commodity Series, through the Trading Company in which the assets of the Long Only Commodity Series have been allocated, have entered into various Swaps with one or more swap counterparties. The Swaps enable the Long Only Commodity Series to earn returns similar to returns (less the fees and expenses of the Long Only Commodities Series, including the expenses associated with the Swaps) of the Reuters/Jefferies CRB Index, or the RJ/CRB Index, and the Jefferies Commodity Performance Index, or 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, 2008:

	Option Basket Balanced Series	Campbell Fund, LTD.	FX Concepts Global Currency Program	Reuters/Jefferies CRB Index	Jefferies Commodity Performance Index
Series:	Balanced	Campbell/ Graham	Currency	Long Only	Long Only
Counterparty	Company A	Company A	Company B	Company C	Company C
Notional Amount	$69,601,073	$15,000,000	$11,500,000	$3,000,000	$3,000,000
Termination Date	November 6, 2012	October 9, 2009	February 4, 2009	February 27, 2009	February 27, 2009
Counterparty Fee—% annualized	3.44%	0.2%	0.05%	0.5%	1.0%
Investee Returns	Total Return	Total Return	Total Return	Total Return	Total Return
Realized Gain / (Loss)	$            —	$            —	$   822,649	$208,438	$285,351
Unrealized Gain / (Loss)	$  3,496,302	$     219,560	$          —	$       —	$       —
Fair Value 03/31/2008	$35,825,697	$15,131,624	$1,659,238	$310,576	$391,483

28

The Frontier Fund

Notes to Financial Statements—(Continued)

5. Investments in Unconsolidated Trading Companies

The following table summarizes the Balanced Series, Winton Series, Campbell/Graham Series, Graham Series and Managed Futures Index Series investments in unconsolidated Trading Companies as of March 31, 2008, and December 31, 2007. 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, 2008				As of December 31, 2007
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 VII, LLC	2.76	%	$	7,076,510	1.65	%	$	4,238,348
Winton Series -
Frontier Trading Company II LLC	4.54	%	$	2,877,501	10.07	%	$	4,637,121
Campbell/Graham Series
Frontier Trading Company VI LLC	30.58	%	$	19,309,755	29.92	%	$	18,353,523
Graham Series -
Frontier Trading Company V LLC	58.16	%	$	6,031,381	60.69	%	$	4,775,554
Managed Futures Index Series-
Frontier Trading Company IX, LLC	63.81	%	$	758,238	66.26	%	$	634,400

(1) Not meaningful. (Accumulated negative trading results and fees have exceeded investment)

29

The Frontier Fund

Notes to Financial Statements—(Continued)

The following tables summarize the Balanced Series, Winton Series, Campbell/Graham Series, Graham Series and Managed Futures Index Series equity in earnings from Trading Companies for the three months ended March 31, 2008, and 2007.

	Three Months Ended March 31, 2008											Three Months Ended March 31, 2007
Trading Company	Trading Commissions			Realized Gain (Loss)			Change in Unrealized Gain (Loss)			Net Income (Loss)		Trading Commissions			Realized Loss			Change in Unrealized Gain (Loss)			Net Income (Loss)
Balanced Series –     Frontier Trading Company VII, LLC	$	(269,115	)	$	(32,476,467	)	$	35,663,138		$	2,917,556	$	(64,326	)	$	312,936		$	(1,362,373	)$		(1,113,763	)
Winton Series -     Frontier Trading Company II LLC	$	(34,939	)	$	6,825,921		$	(1,092,707	)	$	5,698,275	$	(8,763	)	$	(405,642	)	$	(176,939	)	$	(591,344	)
Campbell/Graham Series -     Frontier Trading Company VI LLC	$	(9,430	)	$	425,842		$	172,890		$	589,302	$	(64,297	)	$	(3,037,201	)	$	(2,268,631	)	$	(5,370,129	)
Graham Series -     Frontier Trading Company V LLC	$	(12,400	)	$	1,078,826		$	125,490		$	1,191,916	$	(14,904	)	$	(311,330	)	$	(313,477	)	$	(639,711	)
Managed Futures Index Series -     Frontier Trading Company IX, LLC	$	(974	)	$	113,254		$	(10,999	)	$	101,281		—			—			—			—

30

The Frontier Fund

Notes to Financial Statements—(Continued)

The statements of financial condition as of March 31, 2008, and December 31, 2007, for the unconsolidated Trading Companies are as follows:

Statements of Financial Condition – March 31, 2008	Frontier Trading Company II LLC			Frontier Trading Company V LLC		Frontier Trading Company VI LLC			Frontier Trading Company IX, LLC
Cash held at futures commodities merchants	$	13,536,000		$	16,862,886	$	17,315,971		$	3,753,090
Open trade equity / (deficit)		(744,250	)		335,209		(698,695	)		(12,954	)
Swaps		—			—		15,131,624			—
Total Assets	$	12,791,750		$	17,198,094	$	31,748,900		$	3,740,136
Members’ equity	$	12,791,750		$	17,198,094	$	31,748,900		$	3,740,136

Statements of Financial Condition – December 31, 2007	Frontier Trading Company II LLC		Frontier Trading Company V LLC			Frontier Trading Company VI LLC			Frontier Trading Company IX, LLC
Cash held at futures commodities merchants	$	9,924,146	$	12,761,730		$	13,863,217		$	2,576,122
Open trade equity		970,867		(96,656	)		(1,481,122	)		50,316
Swaps		—		—			14,912,063			—
Total Assets	$	10,895,013	$	12,665,074		$	27,294,158		$	2,626,438
Members’ equity	$	10,895,013	$	12,665,074		$	27,294,158		$	2,626,438

The statements of income for the three months ended March 31, 2008 and 2007, for the unconsolidated Trading Companies are as follows:

Statements of Income – For the Three Months Ended March 31, 2008	Frontier Trading Company II LLC			Frontier Trading Company IV 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

Statements of Income – For the Three Months Ended March 31, 2007	Frontier Trading Company II LLC			Frontier Trading Company IV LLC			Frontier Trading Company V LLC			Frontier Trading Company VI LLC			Frontier Trading Company IX, LLC
Interest income	$	112,330		$	18,907		$	171,853		$	220,337		$	—
Net realized gain (loss) on investments, less commissions		(2,391,621	)		(757,685	)		(2,598,985	)		(2,302,521	)		—
Change in open trade equity		(295,481	)		(225,356	)		(1,163,058	)		(3,405,367	)		—
Net income (loss)	$	(2,574,772	)	$	(964,134	)	$	(3,590,190	)	$	(5,487,551	)	$	—

31

The Frontier Fund

Notes to Financial Statements—(Continued)

6. Transactions with Affiliates

The Managing Owner contributes funds to the Trust in order to have a 1% interest in the aggregate capital, profits and losses of all Series and in return will receive units designated as general units in the Series in which the Managing Owner invests such funds. The general units may only be purchased by the Managing Owner and may be subject to no advisory fees or advisory fees at reduced rates. Otherwise, the general units hold the same rights as the limited units. The Managing Owner is required to maintain at least a 1% interest (“Minimum Purchase Commitment”) in the aggregate capital, profits and losses of all Series so long as it is acting as the Managing Owner of the Trust. Such contribution was made by the Managing Owner before trading commenced for the Trust and will be maintained throughout the existence of the Trust, and the Managing Owner will make such purchases as are necessary to effect this requirement. Additionally, 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. All Units purchased by the Managing Owner are held for investment purposes only and not for resale.

The Trust has and will continue to have certain relationships with the Managing Owner and its affiliates. However, there have been no direct financial transactions between the Trust and the Directors or Officers of the Managing Owner.

The Balanced Series, in order to make investments in the Campbell/Graham Series, Currency Series, 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. 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.

The following table summarizes the Balanced Series advances to and reductions from other Series of the Trust for the three month period ending March 31, 2008.

	Three Months Ending March 31, 2008
Name of Series	Amount of Investment January 1, 2008		Additions During Period		Reductions During Period		Amount of Investment March 31, 2008	Earnings in Investments in Inter-Series Receivables Net P/L for the Period	Amount of Dividends or Interest	Value March 31, 2008
Currency Series	$	4,535,784	$	0	$	0	4,535,784	299,184	—	4,834,968
							4,535,784	299,184	—	4,834,968

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

32

The Frontier Fund

Notes to Financial Statements—(Continued)

Futures Index Series, 2.5% for the Graham Series and Campbell/Graham 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.

Each Series pays to the Managing Owner a monthly trading fee, currently equal to 1/12^th of 0.50% of such Series’ Net Asset Value, calculated daily.

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 as described in the Prospectus. Because the Balanced Series, Campbell/Graham Series and Long/Short Commodity Series 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, Campbell/Graham Series or the Long/Short Commodity Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee percentage is 25% for the Balanced, 20% for the Winton Series, Currency Series, Graham Series, Campbell/Graham 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), which the Managing Owner pays to selling agents of the Trust.

The following table summarizes fees paid or payable to the Managing Owner for the three months ended March 31, 2008.

Series:	Management Fee		Trading (FCM) Fee		Incentive Fee		Service Fee
Balanced	$	387,518	$	491,692	$	4,136,299	$	1,556,428
Winton		225,065		56,085		980,800		320,616
Campbell/Graham		345,761		95,999		438,930		421,368
Currency		38,639		24,823		—		78,223
Graham		53,107		10,591		189,901		51,620
Long Only Commodity		17,559		7,028		—		26,147
Long/Short Commodity		269,678		40,760		565,583		258,770
Managed Futures Index		4,930		1,232		—		3,814

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

Series:	Management Fee		Trading (FCM) Fee		Incentive Fee		Service Fee
Balanced	$	139,191	$	170,017	$	2,651,075	$	422,041
Winton		75,837		18,969		1,025,517		31,623
Campbell/Graham		122,253		30,870		455,392		105,941
Currency		14,249		8,589		—		12,286
Graham		19,362		3,872		225,848		12,859
Long Only Commodity		6,249		2,503		—		7,900
Long/Short Commodity		95,737		13,677		567,125		48,222
Managed Futures Index		1,764		441		—		808

33

The Frontier Fund

Notes to Financial Statements—(Continued)

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 therefor 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, 2008, 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 $25,228 for the Balanced Series, $11,993 for the Campbell Graham Series, $2,792 for the Currency Series, $1,522 for the Graham Series, $1,658 for the Long Only Commodity Series and $36,964 for the Winton Series. For the three months ended March 31, 2008, amounts received or receivable from the Managing Owner for the difference in monthly service fees from prepaid initial service fees was $757 for the Managed Futures Index Series.

Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Campbell/Graham Series, Currency Series and 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. During the three months ended March 31, 2008, the Trust paid $1,813,166 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 $272,667 for the three months ended March 31, 2008. 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 $111,273 for the three months ended March 31, 2008.

Solon Capital, LLC, an affiliate of the Trust, serves as wholesaler of the Trust by marketing to broker/dealer organizations. For these services, the Managing Owner paid Solon Capital, LLC, $490,800 for the three months ended March 31, 2008.

34

7. Financial Highlights

The following information presents the financial highlights of the Fund for the three months ended March 31, 2008 and 2007. This data has been derived from information presented in the financial statements.

	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	%
	Long Only						Long/Short						Managed Futures Index
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, 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

35

	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, 2007	$	106.66		$	95.97		$	114.24		$	97.88		$	105.65		$	106.81
Net operating results:
Interest income		0.64			0.58			0.69			0.59			0.69			0.71
Expenses		(1.57	)		(1.41	)		(0.85	)		(0.72	)		(1.21	)		(0.51	)
Net gain/(loss) on investments, net of minority interests		(5.80	)		(5.29	)		(6.24	)		(5.49	)		(9.76	)		(9.87	)
Net income		(6.73	)		(6.12	)		(6.40	)		(5.62	)		(10.28	)		(9.67	)
Net asset value, March 31, 2007	$	99.93		$	89.85		$	107.84		$	92.26		$	95.37		$	97.14
Ratios to average net assets (3)
Net investment gain/(loss)		-3.57	%		-3.57	%		-0.56	%		-0.56	%		-2.08	%		0.75	%
Expenses before incentive fees		3.90	%		3.90	%		0.89	%		0.89	%		4.94	%		2.12	%
Expenses after incentive fees		6.03	%		6.03	%		3.02	%		3.02	%		4.83	%		2.00	%
Total return before incentive fees (2)		-5.97	%		-6.24	%		-5.36	%		-5.88	%		-18.33	%		-12.24	%
Total return after incentive fees (2)		-6.50	%		-6.77	%		-5.89	%		-6.41	%		-18.30	%		-12.21	%
	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, 2007	$	96.27		$	101.86		$	101.16		$	108.23		$	84.70		$	90.25
Net operating results:
Interest income		0.65			0.70			0.70			0.75			0.61			0.66
Expenses		(1.34	)		(0.69	)		(1.04	)		(0.31	)		(1.43	)		(0.88	)
Net gain/(loss) on investments, net of minority interests		(8.32	)		(8.85	)		(2.68	)		(2.88	)		(8.15	)		(8.74	)
Net income		(9.01	)		(8.84	)		(3.02	) #		(2.44	)		(8.97	)		(8.96	)
Net asset value, March 31, 2007	$	87.26		$	93.02		$	98.14		$	105.79		$	75.73		$	81.29
Ratios to average net assets (3)
Net investment gain/(loss)		-3.00	%		0.01	%		-1.37	%		1.64	%		-4.04	%		-1.01	%
Expenses before incentive fees		5.58	%		2.58	%		4.23	%		1.22	%		7.06	%		4.03	%
Expenses after incentive fees		5.80	%		2.79	%		4.19	%		1.18	%		7.06	%		4.03	%
Total return before incentive fees (2)		-9.72	%		-4.47	%		-3.03	%		-0.12	%		-10.84	%		-5.94	%
Total return after incentive fees (2)		-9.78	%		-4.52	%		-3.02	%		-0.11	%		-10.84	%		-5.94	%
	Long Only						Long/Short						Managed Futures Index
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2007	$	95.45		$	97.13		$	100.42		$	102.93		$	96.75		$	98.43
Net operating results:
Interest income		0.85			0.88			0.94			0.96			0.88			0.90
Expenses		(0.86	)		(0.41	)		(2.32	)		(1.62	)		(1.06	)		(0.60	)
Net gain/(loss) on investments, net of minority interests		3.43			3.51			1.99			2.06			(6.51	)		(6.65	)
Net income		3.42			3.98			0.61			1.40			(6.69	)		(6.35	)
Net asset value, March 31, 2007	$	98.87		$	101.11		$	101.03		$	104.33		$	90.06		$	92.08
Ratios to average net assets (3)
Net investment gain/(loss)		-0.04	%		1.96	%		-5.55	%		-2.55	%		-0.75	%		1.25	%
Expenses before incentive fees		3.68	%		1.68	%		7.34	%		4.34	%		4.51	%		2.51	%
Expenses after incentive fees		3.68	%		1.68	%		9.31	%		6.32	%		4.51	%		2.51	%
Total return before incentive fees (2)		3.97	%		0.05	%		1.18	%		1.84	%		-7.07	%		-0.04	%
Total return after incentive fees (2)		3.97	%		0.05	%		0.69	%		1.35	%		-7.07	%		-0.04	%

(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. 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 Swaps 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 contracts and Swaps 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 U.S. 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.

To manage the counterparty credit risk associated with all cash management and trading counterparties with whom the Trust does business, 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. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies.See Item 2, Management’s Discussion Andanalysis of Financial Condition and Results of Operations, Off-Balance Sheet Risk.

9. Subsequent Events

The Winton Series became fully subscribed for all authorized units as of April 29, 2008. No additional subscriptions can be accepted until additional units are registered.

On April 15, 2008, the Winton Series’ assets invested in Trading Company II, LLC surpassed the assets of the Balanced Series invested in Trading Company II, LLC. This will result in the Winton Series replacing the Balanced Series as the consolidating entity of Trading Company II, LLC for financial results after this date.

36

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 the consolidated financial statements and notes thereto included in this quarterly report and the 2007 Annual Report on Form 10-K for the year ended December 31, 2007.

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 which 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 futures commission merchants in accordance with CFTC segregation requirements. At March 31, 2008, cash deposited at the clearing brokers was $62,302,057 for the Balanced Series, $16,862,885 for the Campbell/Graham Series, $1,273,999 for the Currency Series and a liability to futures commission merchants of $25,410,706 for the Long/Short Commodity Series (which is exceeded by open trade equity at the futures commission merchants). 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. 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 U.S., or by a person controlled by or supervised by and acting as an instrumentality of the government of the U.S. pursuant to authority granted by Congress of the U.S. 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 equivalents 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 Series, Currency Series and 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 forwards and Swaps. 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 may be held either in 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 futures commodity merchants, the over-the-counter counterparties and by U.S. Federally chartered banks. Including cash held at US Bank, total cash and cash equivalents held at these institutions were $39,715,808 for the Balanced Series, $25,087,312 for the Winton Series, $7,332,361 for the Campbell/Graham Series, $3,862,676 for the Currency Series, $1,623,316 for the Graham Series, $1,649,745 for the Long Only Commodity Series, $11,990,163 for the Long/Short Commodity Series and $175,332 for the Managed Futures Index Series.

37

Results of Operations

Three Months Ended March 31, 2008 Compared to Three Months Ended March 31, 2007

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.

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.

38

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. U.S. interest rate futures across the entire curve declined after the rate cut, to finish mixed for the month. European interest rate futures across the entire curve dropped precipitously during the latter part of March and finished lower for the month.

Currencies

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

39

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.

Market Conditions for Three Months Ended March 31, 2007

January 2007

Interest Rates

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

Currencies

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

Stock Indices

Stock markets continued the upward trend that began last June. The S&P 500 finished the month up 1.4% and the NASDAQ Composite was higher by 2%. The blue-chip Dow Jones Industrial Index continued to set new all-time highs during January, culminating with an intraday high of 12,657 and finishing the month up 1.3% at 12,621. In Europe, futures on the German DAX finished the month up just over 3% while French CAC-40 futures were up 0.6%. Japanese Nikkei 225 futures finished the month higher by nearly 1%.

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Energy

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

Metals

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

Commodities

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

February 2007

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

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Metals

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

Commodities

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

March 2007

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

Metals

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

Commodities

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

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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.

During 2007, the Balanced Series, through Frontier Trading Company I LLC, engaged in a fund option transaction, whereby the Balanced Series obtains exposure to the performance of additional commodity 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

2007

The Balanced Series – Class 1 Net Asset Value lost 6.3% for the three months ended March 31, 2007, net of fees and expenses; the Balanced Series – Class 1a Net Asset Value lost 6.4% for the three months ended March 31, 2007, net of fees and expenses; the Balanced Series – Class 2 Net Asset Value lost 5.6% for the three months ended March 31, 2007, net of fees and expenses; the Balanced Series – Class 2a Net Asset Value lost 5.7% for the three months ended March 31, 2007, net of fees and expenses.

For the three months ended March 31, 2007, the Balanced Series recorded net loss on investments of $21,852,053, net interest of $1,721,854, and total expenses of $3,840,692, resulting in a net decrease in Owners’ capital from operations of $17,983,838 after minority interests of $5,987,053. The Net Asset Value per Unit, Class 1, decreased

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from $106.66 at December 31, 2006, to $99.93 at March 31, 2007. For Class 1a, the Net Asset Value per Unit decreased from $95.97 at December 31, 2006, to $89.85 at March 31, 2007. The Net Asset Value per Unit, Class 2, decreased from $114.24 at December 31, 2006, to $107.84 at March 31, 2007. For Class 2a, the Net Asset Value per Unit decreased from $97.88 at December 31, 2006, to $92.26 at March 31, 2007. Total Class 1 subscriptions and redemptions for the three months were $18,470,547 and $7,863,599, respectively. Total Class 1a subscriptions and redemptions for the three month period were $1,198,422 and $347,304, respectively. Total Class 2 subscriptions and redemptions for the three months were $4,076,749 and $1,436,719, respectively. Total Class 2a subscriptions and redemptions for the three month period were $493,000 and $0, respectively. Ending capital at March 31, 2007, was $220,458,981 for Class 1, $4,752,263 for Class 1a, $48,301,155 for Class 2 and $1,101,831 for Class 2a. At December 31, 2006, ending capital was $224,559,900 for Class 1, $4,203,865 for Class 1a, $48,581,401 for Class 2 and $661,806 for Class 2a.

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

Sector Attribution for the Balanced Series

Winton Series (Formerly the Beach 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

2007

The Winton Series – Class 1 Net Asset Value lost 9.7% for the three months ended March 31, 2007, net of fees and expenses; the Winton Series – Class 2 Net Asset Value lost 9.1% for the three months ended March 31, 2007, net of fees and expenses.

For the three months ended March 31, 2007, the Winton Series recorded net loss on investments of $591,344, net interest of $24,323, and total expenses of $37,381, resulting in a net decrease in Owners’ capital from operations of $604,402. The Net Asset Value per Unit, Class 1, decreased from $105.65 at December 31, 2006, to $95.37 as of March 31, 2007. The Net Asset Value per Unit, Class 2, decreased from $106.81 at December 31, 2006, to $97.14 as of March 31, 2007. Total Class 1 subscriptions for the three months were $6,597,846 and redemptions were $6,000. Total Class 2 subscriptions and redemptions for the three month period were $1,628,036, and $43,326, respectively. Ending capital at March 31, 2007, was $6,436,414 for Class 1 and $1,783,385 for Class 2. Ending capital at December 31, 2006, was $356,924 for Class 1 and $290,721 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 2007. 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 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.

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Sector Attribution for the Campbell/Graham Series

2007

The Campbell/Graham Series – Class 1 Net Asset Value lost 9.4% for the three months ended March 31, 2007, net of fees and expenses; the Campbell/Graham Series – Class 2 Net Asset Value lost 8.7% for the three months ended March 31, 2007, net of fees and expenses.

For the three months ended March 31, 2007, the Campbell/Graham Series recorded net loss on investments of $5,684,040, net interest of $437,970, and total expenses of $800,938, resulting in a net decrease in Owners’ capital from operations of $5,407,297 after minority interests of $639,711. The Net Asset Value per Unit, Class 1, decreased from $96.27 at December 31, 2006, to $87.26 as of March 31, 2007. The Net Asset Value per Unit, Class 2, decreased from $101.86 at December 31, 2006, to $93.02 as of March 31, 2007. Total Class 1 subscriptions for the three months ended March 31, 2007, were $4,348,954 and redemptions were $1,355,482. Total Class 2 subscriptions and redemptions for the three months ended March 31, 2007, were $316,813, and $213,058, respectively. Ending capital at December 31, 2006, was $47,077,062 for Class 1 and $6,806,349 for Class 2.

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

Sector Attribution for the Campbell/Graham Series

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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.

2007

The Currency Series – Class 1 Net Asset Value lost 3.0% for the three months ended March 31, 2007, net of fees and expenses; the Currency Series – Class 2 Net Asset Value lost 2.3% for the three months ended March 31, 2007, net of fees and expenses.

For the three months ended March 31, 2007, the Currency Series recorded net loss on investments of $245,566, net interest of $126,578, and total expenses of $105,717, resulting in a net decrease in Owners’ capital from operations of $224,705. The Net Asset Value per Unit, Class 1, decreased from $101.16 at December 31, 2006, to $98.14 as of March 31, 2007. The Net Asset Value per Unit, Class 2, decreased from $108.23 at December 31, 2006, to $105.79 as of March 31, 2007. Total Class 1 subscriptions and redemptions for the three months ending March 31, 2007, were $500,047, and $64,052, respectively. Total Class 2 subscriptions and redemptions for the three months ending March 31, 2007, were $36,500 and $15,981, respectively. Ending capital at March 31, 2007, was $7,114,985 for Class 1 and $503,451 for Class 2. Ending capital at December 31, 2006, was $6,891,891 for Class 1 and $494,736 for Class 2.

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

Graham Series

2008

The 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 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.

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The 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 Graham Series

2007

The Graham Series – Class 1 Net Asset Value lost 10.6% for the three months ended March 31, 2007, net of fees and expenses; the Graham Series – Class 2 Net Asset Value lost 9.9% for the three months ended March 31, 2007, net of fees and expenses.

For the three months ended March 31, 2007, the Graham Series recorded net loss on investments of $715,851, net interest of $65,381, and total expenses of $127,405, resulting in a net decrease in Owners’ capital from operations of $777,875. The Net Asset Value per Unit, Class 1, decreased from $84.70 at December 31, 2006, to $75.73 as of March 31, 2007. The Net Asset Value per Unit, Class 2, decreased from $90.25 at December 31, 2006, to $81.29 as of March 31, 2007. Total Class 1 subscriptions and redemptions for the three months were $97,572 and $768,017, respectively. There were no Class 2 subscriptions for the three months ended March 31, 2007. Class 2 redemptions were $49,291 for the three month period. Ending capital at March 31, 2007, was $4,743,880 for Class 1 and $1,799,341 for Class 2. Ending capital at December 31, 2006, was $5,991,337 for Class 1 and $2,049,495 for Class 2.

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

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Sector Attribution for the Graham Series

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.

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.

2007

The Long Only Commodity Series – Class 1 Net Asset Value gained 3.6% for the three months ended March 31, 2007, net of fees and expenses; the Long Only Commodity Series – Class 2 Net Asset Value gained 4.1% for the three months ended March 31, 2007, net of fees and expenses.

For the three months ended March 31, 2007, the Long Only Commodity Series recorded net gain on investments of $134,462, net interest of $131,455, and total expenses of $83,049, resulting in a net increase in Owners’ capital from operations of $182,868. The Net Asset Value per Unit, Class 1, increased from $95.45 at December 31, 2006 to $98.87 as of March 31, 2007. The Net Asset Value per Unit, Class 2, increased from $97.13 at December 31, 2006, to $101.11 as of March 31, 2007. Total Class 1 subscriptions and redemptions for the three months were $486,168 and $330,626, respectively. Total Class 2 subscriptions and redemptions for the three months were $121,253 and $13,225, respectively. Ending capital at March 31, 2007, was $4,655,030 for Class 1 and $228,273 for Class 2. Ending capital at December 31, 2006, was $4,321,464 for Class 1 and $115,401 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 2007.

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

Long/Short Commodity Series

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.

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

2007

The Long/Short Commodity Series – Class 1 Net Asset Value gained 0.6% for the three months ended March 31, 2007, net of fees and expenses; the Long/Short Commodity Series – Class 2 Net Asset Value gained 1.4% for the three months ended March 31, 2007, net of fees and expenses.

For the three months ended March 31, 2007, the Long/Short Commodity Series recorded net loss on investments of $645,884, net interest of $212,997, and total expenses of $506,636, resulting in a net increase in Owners’ capital

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from operations of $174,240 after minority interests of $1,113,763. The Net Asset Value per Unit, Class 1, increased from $100.42 at December 31, 2006, to $101.03 as of March 31, 2007. The Net Asset Value per Unit, Class 2, increased from $102.93 at December 31, 2006, to $104.33 as of March 31, 2007. Total Class 1 subscriptions and redemptions for the three months were $3,774,775 and $678,841, respectively. Total Class 2 subscriptions and redemptions for the three months were $89,700 and $43,213, respectively. Ending capital at March 31, 2007, was $22,712,398 for Class 1 and $2,780,340 for Class 2. Ending capital at December 31, 2006, was $19,478,595 for Class 1 and $2,697,482 for Class 2.

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

Sector Attribution for the Long/Short Commodity Series

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.

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Sector Attribution for the Managed Futures Index Series

2007

The Managed Futures Index Series – Class 1 Net Asset Value lost 6.9% for the three months ended March 31, 2007, net of fees and expenses; the Managed Futures Index Series – Class 2 Net Asset Value lost 6.5% for the three months ended March 31, 2007, net of fees and expenses.

For the three months ended March 31, 2007, the Managed Futures Index Series recorded a net loss on investments of $69,408, net interest of $95,406, and total expenses of $66,310, resulting in a net decrease in Owners’ capital from operations of $40,312. The Net Asset Value per Unit, Class 1, decreased from $96.75 at December 31, 2006, to $90.06 as of March 31, 2007. The Net Asset Value per Unit, Class 2, decreased from $98.43 at December 31, 2006, to $92.08 as of March 31, 2007. Total Class 1 subscriptions and redemptions for the three months were $150,788 and $63,312, respectively. There were no Class 2 subscriptions or redemptions for the three months ended March 31, 2007. Ending capital at March 31, 2007, was $550,629 for Class 1 and $49,264 for Class 2. Ending capital at December 31, 2006, was $500,070 for Class 1 and $52,659 for Class 2.

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

Sector Attribution for the Managed Futures Index Series

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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 2007 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 affiliated 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 subsidiary Trading Company, or Trading Companies, of the Trust. Each Trading Company allocates all of its 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, 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.

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.

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 Swaps 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.

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In addition to market risk, trading futures and forward contracts and Swaps 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 U.S. 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.

To manage the counterparty credit risk associated with all cash management and trading counterparties with whom the Trust does business, 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. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. See Part I, Item 1, Notes to Financial Statements as of March 31, 2008, Off-Balance Sheet Risk.

Contractual Obligations

None.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

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

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

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

The Trading Companies’ and consequently the Series’ primary market risk exposures as well as the strategies used and to be used by the Trading Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Trust’s and the Managing Owner’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Trading Companies and consequently the Trust. There can be no assurance that the Trading

55

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 initial margin requirements have been used by the Trust as the measure of its value at risk. Initial 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 initial 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.

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 the each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of March 31, 2008. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

Balanced Series: (1), (2)

MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	2,713,233	1.1	%
Currencies	$	12,599,581	4.9	%
Stocks / Stock Indices	$	8,490,880	3.3	%
Metals	$	1,260,452	0.5	%
Agriculturals/Softs	$	2,743,854	1.1	%
Energy	$	2,251,911	0.9	%
Total:	$	30,059,911	11.8	%

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Winton Series:

MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	239,681	0.4	%
Currencies	$	940,193	1.5	%
Stocks / Stock Indices	$	301,004	0.5	%
Metals	$	312,664	0.5	%
Agriculturals/Softs	$	698,721	1.1	%
Energy	$	578,932	0.9	%
Total:	$	3,071,195	4.9	%

Currency Series:

MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	0	0	%
Currencies	$	1,715,625	13.9	%
Stocks / Stock Indices	$	0	0	%
Metals	$	0	0	%
Agriculturals/Softs	$	0	0	%
Energy	$	0	0	%
Total:	$	1,715,625	13.9	%

Graham Series:

MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	39,721	0.4	%
Currencies	$	1,287,008	12.4	%
Stocks / Stock Indices	$	92,593	0.9	%
Metals	$	12,653	0.1	%
Agriculturals/Softs	$	3,665	0.0	%
Energy	$	96,449	0.9	%
Total:	$	1,532,089	14.7	%

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Campbell/Graham Series:

MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	892,456	1.4	%
Currencies	$	7,430,536	11.8	%
Stocks / Stock Indices	$	1,993,840	3.2	%
Metals	$	326,736	0.5	%
Agriculturals/Softs	$	8,485	0.0	%
Energy	$	470,133	0.7	%
Total:	$	11,122,186	17.6	%

Long Only Commodity Series:

MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates		—	—
Currencies		—	—
Stocks / Stock Indices		—	—
Metals	$	144,000	2.4	%
Agriculturals/Softs	$	204,000	3.4	%
Energy	$	252,000	4.3	%
Total:	$	600,000	10.1	%

Long/Short Commodity Series:

MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	23,655	0.1	%
Currencies	$	48,087	0.1	%
Stocks / Stock Indices	$	161,893	0.4	%
Metals	$	415,148	1.0	%
Agriculturals/Softs	$	1,614,795	3.8	%
Energy	$	609,677	1.4	%
Total:	$	2,873,255	6.8	%

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Managed Futures Index Series:

MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	247,197	1.9	%
Currencies	$	761,780	5.8	%
Stocks / Stock Indices	$	53,835	0.4	%
Metals	$	69,844	0.5	%
Agriculturals/Softs	$	166,788	1.3	%
Energy	$	175,038	1.3	%
Total:	$	1,474,482	11.2	%

(1) As of March 31, 2008, the Balanced Series was invested in the Currency Series. The Balanced Series effective ownership in this Series as of March 31, 2008, was 28.2%. Including its investment in this Series, total value at risk for the Balanced Series would be $30,543,582, or 11.9% of capitalization as of March 31, 2008.

(2) As of March 31, 2008, the Balanced Series was invested in a Swap with a notional value of $69,601,073. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

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

The face value of the market sector instruments held on behalf of the Series is typically many times the applicable maintenance margin requirement, which generally ranges between approximately 1% and 10% of 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 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, 2008, 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 U.S. and the other G-8 countries. However, the Trading Companies also may take futures positions on the

59

government debt of smaller nations. The Managing Owner anticipates that G-8 interest rates will remain the primary market exposure of each Trading Company and accordingly 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. The first two percent (2.0%) of interest income per annum earned by the Trust for the Balanced Series (Class 1 and Class 2 only), Winton Series, Campbell Graham Series, Currency Series and Graham 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 income interest and 0.75%. Interest income above 2.0% per these Series is retained by the Series. Interest income earned by the Trust for the Balanced Series (Class 1a and 2a), Long Only Commodity Series, Long/Short Commodity Series and the Managed Futures Index Series is allocated twenty percent (20.0%) being paid to the Managing Owner and eighty percent (80.0%) retained by these Series.

Currencies

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

Stock Indices

For each Series (other than the Currency Series), its primary equity exposure is equity price risk in the G-8 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.

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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 Commodity Futures Trading Commission. When the market price of a contract reaches its daily price fluctuation limit, no trades can be executed at prices outside the limit. The holder of a contract may therefore be locked into an adverse price movement for several days or more and lose considerably more than the initial margin put up to establish the position. Thinly traded or illiquid markets also can make it difficult or impossible to execute trades.

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

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

However, because certain of the Trading Advisors’ strategies involve some discretionary aspects in addition to their technical factors, certain of the Trading Advisors may occasionally use discretion in investing the assets of a Series. For example, the Trading Advisors often use discretion in selecting contracts and markets to be followed. In exercising such discretion, such Trading Advisor may take positions opposite to those recommended by the Trading Advisor’s trading system or signals. Discretionary decision making may also result in a Trading Advisor failing to capitalize on certain price trends or making unprofitable trades in a situation where another trader relying solely on a 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.

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 of its disclosure controls and procedures (as defined in Rule 13(a)-15(e) under the Securities Exchange Act of 1934) as of March 31, 2008 (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 such evaluation, the Chief Executive Officer and Chief Financial Officer of the Managing Owner concluded that, as of the Evaluation Date, disclosure controls and procedures were effective to provide reasonable assurance that they are timely alerted to the material information relating to the Trust required to be included in the Trust’s periodic SEC filings.

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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 Trust’s internal controls or financial reporting.

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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, 2007, under the caption “Item 1A. Risk Factors.”

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

None

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***
1.4	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents***
1.5	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents****
1.6	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents****
4.1	Declaration of Trust and Amended and Restated Trust Agreement of the Registrant (annexed to the Prospectus as Exhibit A)****
4.2	Form of Subscription Agreement (annexed to the Prospectus as Exhibit B)****
4.3	Form of Exchange Request (annexed to the Prospectus as Exhibit C)****

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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***
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***
10.4	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.***

64

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 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.2	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.3	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.4	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.5	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.6	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.7	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.8	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.9	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.10	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.11	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.12	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.13	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.14	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.15	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.16	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.17	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.18	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)

65

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.

** 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 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.

66

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 14, 2008	By:	/s/ Brent Bales
		Brent Bales
		Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

67

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 14, 2008	By:	/s/ Brent Bales
		Brent Bales
		Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

68

SIGNATURES

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

	Graham Series,
	a Series of The Frontier Fund
	(Registrant)
Date: May 14, 2008	By:	/s/ Brent Bales
		Brent Bales
		Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

69

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 14, 2008	By:	/s/ Brent Bales
		Brent Bales
		Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

70

SIGNATURES

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

	Campbell/Graham Series,
	a Series of The Frontier Fund
	(Registrant)
Date: May 14, 2008	By:	/s/ Brent Bales
		Brent Bales
		Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

71

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 14, 2008	By:	/s/ Brent Bales
		Brent Bales
		Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

72

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 14, 2008	By:	/s/ Brent Bales
		Brent Bales
		Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

73

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 14, 2008	By:	/s/ Brent Bales
		Brent Bales
		Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

74

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 14, 2008	By:	/s/ Brent Bales
		Brent Bales
		Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

75