MANAGED FUTURES INDEX SERIES, a series of The Frontier Fund 10-Q 2008 Q2 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 June 30, 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; WINTON/GRAHAM SERIES; WINTON SERIES;

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

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

(Exact Name of Registrant as specified in its Charter)

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

c/o Equinox Fund Management, LLC

1660 Lincoln Street, Suite 100

Denver, Colorado 80264

(Address of Principal Executive Offices)

(303) 837-0600

(Registrant’s Telephone Number)

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

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

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

Winton Series Class 1 and Class 2 Units;

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

Currency Series Class 1 and Class 2 Units;

Winton/Graham Series Class 1 and Class 2 Units;

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

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

Managed Futures Index Series Class 1 and Class 2 Units

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

Indicate by check mark whether the registrant 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, June 30, 2008 (Unaudited) and December 31, 2007	4
	Condensed Schedule of Investments as of June 30, 2008 (Unaudited) and December 31, 2007	7
	Statements of Operations for the Three and Six Months Ended June 30, 2008 and 2007 (Unaudited)	10
	Statements of Changes in Owners’ Capital for the Six Months Ended June 30, 2008 (Unaudited)	16
	Notes to Financial Statements (Unaudited)	21
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	41
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	67
Item 4.	Controls and Procedures	75
PART II – OTHER INFORMATION
Item 1.	Legal Proceedings	76
Item 1A.	Risk Factors	76
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	76
Item 3.	Defaults Upon Senior Securities	76
Item 4.	Submission of Matters to a Vote of Security Holders	76
Item 5.	Other Information	76
Item 6.	Exhibits	76
SIGNATURES		80

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

2

UNDER ITEM 1A AND ELSEWHERE IN THIS REPORT, AND UNKNOWN, THAT COULD CAUSE THE TRUST’S ACTUAL RESULTS, PERFORMANCE, PROSPECTS OR OPPORTUNITIES TO DIFFER MATERIALLY FROM THOSE EXPRESSED IN, OR IMPLIED BY, THESE FORWARD-LOOKING STATEMENTS.

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

UNLESS EXPRESSLY STATED OTHERWISE, ALL INFORMATION IN THIS REPORT IS AS OF JUNE 30, 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

June 30, 2008 and December 31, 2007

	Balanced Series				Winton Series				Campbell/Graham/Tiverton Series (1)
	6/30/2008		12/31/2007		6/30/2008		12/31/2007		6/30/2008		12/31/2007
	(Unaudited)				(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents	$	51,199,070	$	176,009,417	$	36,590,099	$	41,692,931	$	31,473,925	$	35,416,683
U.S. Government securities, at market value		116,743,969		—		35,564,414		—		25,126,996		—
Cash held at futures commodity merchants		39,154,037		52,225,010		11,807,862		—		7,880,067		12,761,730
Open trade equity		6,390,501		1,941		4,202,649		—		795,195		—
Swap contracts		41,337,114		47,241,455		—		—		—		—
Investments in unconsolidated trading companies		18,654,180		4,238,348		—		4,637,121		3,504,428		18,353,523
Inter-series receivables		4,753,128		4,535,784		—		—		—		—
Prepaid service fees - Class 1		169,996		357,855		444,844		278,573		129,130		164,924
Interest receivable		1,896,685		—		534,411		—		360,000		—
Receivable from related parties		229,810		18,836		—		105,754		56,600		—
Other assets		136,830		238,781		37,400		64,709		27,611		69,613
Total Assets		280,665,320	$	284,867,427	$	89,181,679	$	46,779,088	$	69,353,952	$	66,766,473
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Open trade deficit	$	—	$	—	$	—	$	—	$	—	$	96,655
Pending owner additions		728,083		228,977		—		214,912		267,749		156,300
Owner redemptions payable		345,903		278,974		21,816		9,759		396,498		19,506
Incentive fees payable to Managing Owner		3,629,078		1,487,150		736,304		327,608		596,540		—
Management fees payable to Managing Owner		125,504		122,882		102,741		64,860		172,691		116,741
Interest fees payable to Managing Owner		385,613		375,955		114,354		66,029		98,154		92,401
Trading fees payable to Managing Owner		169,061		158,231		25,686		16,215		38,454		29,681
Trailing service fees payable		426,729		398,386		49,427		10,242		104,989		98,746
Payables to related parties		1,302,382		354,403		531,440		8,179		407,189		1,305
Other liabilities		90,270		252,579		13,403		22,123		12,218		28,680
Total Liabilities		7,202,623		3,657,537		1,595,171		739,927		2,094,482		640,015
MINORITY INTERESTS		3,797,984		23,625,044		11,497,571		—		1,328,031		4,775,554
OWNERS’ CAPITAL
Managing Owner Units - Class 1		—		—		1,277		1,138		—		—
Managing Owner Units - Class 1a		207		182		—		—		—		—
Managing Owner Units - Class 2		3,282,274		2,840,146		268,006		235,392		270,980		244,457
Managing Owner Units - Class 2a		90,792		78,645		—		—		—		—
Limited Owner Units - Class 1		212,318,379		204,740,748		64,477,658		35,663,122		59,797,752		55,530,902
Limited Owner Units - Class 1a		6,043,913		5,638,318		—		—		—		—
Limited Owner Units - Class 2		46,699,748		43,113,896		11,341,996		10,139,509		5,862,707		5,575,545
Limited Owner Units - Class 2a		1,229,400		1,172,911		—		—		—		—
Total Owners’ Capital		269,664,713		257,584,846		76,088,937		46,039,161		65,931,439		61,350,904
Total Liabilities, Minority Interests and Owners’ Capital	$	280,665,320	$	284,867,427	$	89,181,679	$	46,779,088	$	69,353,952	$	66,766,473
Units Outstanding
Class 1		1,838,708		2,018,003		505,019		313,310		595,794		604,239
Class 1a		58,461		62,032		N/A		N/A		N/A		N/A
Class 2		386,162		410,311		85,974		87,473		55,224		58,085
Class 2a		11,979		13,110		N/A		N/A		N/A		N/A
Net Asset Value per Unit
Class 1	$	115.47	$	101.46	$	127.68	$	113.83	$	100.37	$	91.90
Class 1a	$	103.39	$	90.90		N/A		N/A		N/A		N/A
Class 2	$	129.43	$	112.00	$	135.04	$	118.61	$	111.07	$	100.20
Class 2a	$	110.21	$	95.47		N/A		N/A		N/A		N/A

(1) The Campbell/Graham Series was renamed the Campbell/Graham/Tiverton Series on May 27, 2008

The accompanying notes are an integral part of these statements.

4

The Frontier Fund

Statements of Financial Condition

June 30, 2008 and December 31, 2007

	Currency Series				Winton/Graham Series (1)				Long Only Commodity Series
	6/30/2008		12/31/2007		6/30/2008		12/31/2007		6/30/2008		12/31/2007
	(Unaudited)				(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents	$	5,658,911	$	12,715,131	$	16,136,277	$	3,077,061	$	2,811,431	$	4,275,935
U.S. Government securities, at market value		10,050,726		—		2,706,118		—		3,479,139		—
Cash held at futures commodity merchants		893,116		1,539,788		—		—		3,435		—
Open trade equity		4,845		34,703		—		—		—		—
Swap contracts		1,295,725		822,068		—		—		1,309,922		768,028
Investments in unconsolidated trading companies		—		—		1,328,031		4,775,554		—		—
Prepaid service fees - Class 1		34,526		33,387		77,302		12,215		11,875		5,101
Interest receivable		172,078		—		43,624		—		62,860		—
Receivable from related parties		4,877		86,190		1,694,822		70,739		22,355		—
Other assets		169		933		—		19,655		1,113		2,917
Total Assets	$	18,114,973	$	15,232,200	$	21,986,174	$	7,955,224	$	7,702,130	$	5,051,981
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Inter-series payables	$	4,753,128	$	4,535,784	$	—	$	—	$	—	$	—
Pending owner additions		147,030		15,612		—		18,400		58,925		—
Owner redemptions payable		—		30,627		1,016,139		—		—		5,192
Incentive fees payable to Managing Owner		—		—		261,204		1,063		—		—
Management fees payable to Managing Owner		13,617		10,354		28,690		15,307		7,271		5,441
Interest fees payable to Managing Owner		26,649		22,752		25,572		11,584		2,450		3,016
Trading fees payable to Managing Owner		9,330		8,354		5,738		3,062		2,909		2,175
Trailing service fees payable		12,405		9,645		14,353		10,180		8,542		5,968
Payables to related parties		64,400		1,652		9,939		902		46,578		121
Other liabilities		3,504		5,414		12,377		25,743		—		—
Total Liabilities		5,030,063		4,640,194		1,374,012		86,241		126,675		21,913
OWNERS’ CAPITAL
Managing Owner Units - Class 2		538,565		513,938		53,416		44,700		222,469		170,094
Limited Owner Units - Class 1		12,196,894		9,791,812		15,923,517		6,060,207		7,087,223		4,730,889
Limited Owner Units - Class 2		349,451		286,256		4,635,229		1,764,076		265,763		129,085
Total Owners’ Capital		13,084,910		10,592,006		20,612,162		7,868,983		7,575,455		5,030,068
Total Liabilities, Minority Interests and Owners’ Capital	$	18,114,973	$	15,232,200	$	21,986,174	$	7,955,224	$	7,702,130	$	5,051,981
Units Outstanding
Class 1		117,367		97,273		142,327		63,767		49,400		42,701
Class 2		7,635		7,209		37,595		17,331		3,245		2,601
Net Asset Value per Unit
Class 1	$	103.92	$	100.66	$	111.88	$	95.04	$	143.47	$	110.79
Class 2	$	116.31	$	111.00	$	124.72	$	104.37	$	150.46	$	115.04

(1) The Graham Series was renamed the Winton/Graham Series on May 27, 2008

The accompanying notes are an integral part of these statements.

5

The Frontier Fund

Statements of Financial Condition

June 30, 2008 and December 31, 2007

	Long/Short Commodity Series				Managed Futures Index Series
	6/30/2008		12/31/2007		6/30/2008		12/31/2007
	(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents	$	26,481,086	$	28,837,629	$	1,111,533	$	332,995
U.S. Government securities, at market value		28,992,828		—		309,209		—
Cash held at futures commodity merchants		1,210,671		21,539,642		—		—
Open trade equity		5,037,191		—		—		—
Swap contracts		—		—		—
Investments in unconsolidated trading companies		—		—		293,556		634,400
Prepaid service fees - Class 1		255,587		150,263		5,986		1,742
Interest receivable		533,688		—		711		—
Receivable from related parties		328,488		91,720		5,520		—
Other assets		2,633		—		697		2,110
Total Assets	$	62,842,172	$	50,619,254	$	1,727,212	$	971,247
LIABILITIES & OWNERS’ CAPITAL
LIABILITIES
Liability to futures commodity merchants	$	—	$	—	$	—	$	—
Open trade deficit		—		11,151,267		—		—
Pending owner additions		777,055		49,444		10,330		10,000
Owner redemptions payable		81,216		26,075		—		—
Incentive fees payable to Managing Owner		680,635		214,878		—		—
Management fees payable to Managing Owner		133,157		102,236		2,607		1,261
Interest fees payable to Managing Owner		17,922		21,286		572		622
Trading fees payable to Managing Owner		19,023		15,692		652		315
Trailing service fees payable		57,669		37,752		1,223		680
Payables to related parties		30,898		2,986		69		36
Other liabilities		15,826		7,654		312		884
Total Liabilities		1,813,401		11,629,270		15,765		13,798
MINORITY INTERESTS		7,156,609		4,238,348		—		—
OWNERS’ CAPITAL
Managing Owner Units - Class 2		421,170		374,050		325,717		294,572
Limited Owner Units - Class 1		48,364,193		31,092,746		1,307,579		621,740
Limited Owner Units - Class 2		5,086,799		3,284,840		78,151		41,137
Total Owners’ Capital		53,872,162		34,751,636		1,711,447		957,449
Total Liabilities, Minority Interests and Owners’ Capital	$	62,842,172	$	50,619,254	$	1,727,212	$	971,247
Units Outstanding
Class 1		429,668		306,425		11,874		6,181
Class 2		45,638		34,136		3,498		3,215
Net Asset Value per Unit
Class 1	$	112.56	$	101.47	$	110.12	$	100.59
Class 2	$	120.69	$	107.19	$	115.46	$	104.42

The accompanying notes are an integral part of these statements.

6

The Frontier Fund

Condensed Schedule of Investments

June 30, 2008

(Unaudited)

	Balanced Series					Winton Series					Campbell/Graham/ Tiverton Series					Currency Series
Description	Value			% of Net Asset Value		Value			% of Net Asset Value		Value			% of Net Asset Value		Value		% of Net Asset Value
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	(93,568	)	-0.03	%	$	52,423		0.07	%	$	10,582		0.02	%	$	—	0.00	%
Various base metals futures contracts (Far East)		(1,911	)	0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		248,044		0.09	%		310,193		0.41	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Canada)		7,560		0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Europe)		2,772		0.00	%		(2,627	)	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Far East)		20,246		0.01	%		224,297		0.29	%		—		0.00	%		—	0.00	%
Various energy futures contracts (U.S.)		1,325,945		0.48	%		441,976		0.58	%		74,220		0.11	%		—	0.00	%
Various interest rates futures contracts (U.S.)		547,405		0.20	%		149,813		0.20	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Canada)		(56,764	)	-0.02	%		(10,606	)	-0.01	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Europe)		(3,630	)	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Far East)		13,858		0.01	%		2,144		0.00	%		—		0.00	%		—	0.00	%
Various precious metals futures contracts (U.S.)		316,710		0.12	%		96,830		0.13	%		(120	)	0.00	%		—	0.00	%
Various soft futures contracts (U.S.)		930,063		0.34	%		741,858		0.97	%		20,882		0.03	%		—	0.00	%
Various soft futures contracts (Europe)		177,424		0.07	%		134,653		0.18	%		45,415		0.07	%		—	0.00	%
Various soft futures contracts (Canada)		—		0.00	%		694		0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (U.S.)		(407,878	)	-0.15	%		(39,439	)	-0.05	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		(18,432	)	-0.02	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Europe)		(98,394	)	-0.04	%		—		0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Far East)		(112,295	)	-0.04	%		—		0.00	%		—		0.00	%		—	0.00	%
Total Long Futures Contracts	$	2,815,587		1.04	%	$	2,083,777		2.75	%	$	150,978		0.23	%	$	—	0.00	%
LONG OPTIONS *	$	3,405,726		1.26	%	$	—		0.00	%	$	—		0.00	%	$	—	0.00	%
LONG CURRENCY FORWARDS *	$	2,448,253		0.91	%	$	22,142		0.03	%	$	2,064,387		3.13	%	$	4,845	0.04	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)		(744,117	)	-0.28	%	$	106,348		0.14	%	$	52,105		0.08	%	$	—	0.00	%
Various currency futures contracts (US)		(26,512	)	-0.01	%		(15,575	)	-0.02	%		(7,635	)	-0.01	%		—	0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Europe)		15,591		0.01	%		35,271		0.05	%		(933	)	0.00	%		—	0.00	%
Various currency futures contracts (Far East)		—		0.00	%		36,274		0.05	%		—		0.00	%		—	0.00	%
Various energy futures contracts (U.S.)		(198,346	)	-0.07	%		—		0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (U.S.)		(378,336	)	-0.14	%		57,205		0.08	%		(17,516	)	-0.03	%		—	0.00	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Europe)		868,848		0.32	%		778,895		1.02	%		(6,205	)	-0.01	%		—	0.00	%
Various interest rates futures contracts (Far East)		308,457		0.11	%		(35,067	)	-0.05	%		(26,687	)	-0.04	%		—	0.00	%
Various precious metals futures contracts (U.S.)		(20,000	)	-0.01	%		—		0.00	%		—		0.00	%		—	0.00	%
Various soft futures contracts (U.S.)		(192,544	)	-0.07	%		6,197		0.01	%		(30,834	)	-0.05	%		—	0.00	%
Various soft futures contracts (Europe)		(5,598	)	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (U.S.)		650,508		0.24	%		427,605		0.56	%		67,443		0.10	%		—	0.00	%
Various stock index futures contracts (Canada)		52,827		0.02	%		—		0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Europe)		1,567,755		0.58	%		562,722		0.74	%		164,829		0.25	%		—	0.00	%
Various stock index futures contracts (Far East)		463,510		0.18	%		136,855		0.18	%		24,239		0.04	%		—	0.00	%
Total Short Futures Contracts	$	2,362,043		0.88	%	$	2,096,730		2.76	%	$	218,806		0.33	%	$	—	0.00	%
SHORT OPTIONS *	$	(2,292,893	)	-0.85	%	$	—		0.00	%	$	—		0.00	%	$	—	0.00	%
SHORT CURRENCY FORWARDS *	$	(2,348,215	)	-0.87	%	$	—		0.00	%	$	(1,638,976	)	-2.49	%	$	—	0.00	%
Total Open Trade Equity	$	6,390,501		2.37	%	$	4,202,649		5.54	%	$	795,195		1.20	%	$	4,845	0.04	%
																��
SWAPS (1)	$	41,337,114		15.33	%	$	—		0.00	%	$	—		0.00	%	$	1,295,725	9.90	%
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)	$	19,668,328		7.29	%	$	5,991,680		7.87	%	$	4,233,246		6.42	%	$	1,693,286	12.94	%
$35,000,000.00 US Treasury Bill 6.500% due 02/15/2010   (Cost $37,985,938)		19,499,192		7.23	%		5,940,156		7.81	%		4,196,843		6.37	%		1,678,725	12.82	%
$35,000,000.00 US Treasury Bill 4.500% due 02/28/2011   (Cost $37,231,250)		19,104,053		7.08	%		5,819,782		7.65	%		4,111,797		6.24	%		1,644,707	12.57	%
$34,700,000.00 US Treasury Bill 4.625% due 02/29/2012   (Cost $37,302,500)		19,116,310		7.09	%		5,823,516		7.65	%		4,114,435		6.24	%		1,645,762	12.58	%
$36,500,000.00 US Treasury Bill 3.875% due 02/15/2013   (Cost $38,125,391)		19,594,336		7.27	%		5,969,140		7.84	%		4,217,321		6.40	%		1,686,916	12.89	%
$36,700,000.00 US Treasury Bill 4.000% due 02/15/2015   (Cost $38,016,039)		19,761,750		7.33	%		6,020,140		7.91	%		4,253,354		6.45	%		1,701,329	13.00	%
	$	116,743,969		43.29	%	$	35,564,414		46.73	%	$	25,126,996		38.12	%	$	10,050,725	76.80	%

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

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

7

	Winton/Graham Series				Long Only Commodity Series				Long/Short Commodity Series					Managed Futures Index Series
	Value		% of Net Asset Value		Value		% of Net Asset Value		Value			% of Net Asset Value		Value		% of Net Asset Value
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	—	0.00	%	$	—	0.00	%	$	40,065		0.07	%	$	—	0.00	%
Various currency futures contracts (U.S.)		—	0.00	%		—	0.00	%		(64,580	)	-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 (U.S.)		—	0.00	%		—	0.00	%		12,689,192		23.55	%		—	0.00	%
Various interest rates futures contracts (U.S.)		—	0.00	%		—	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)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various precious metals futures contracts (U.S.)		—	0.00	%		—	0.00	%		85,360		0.16	%		—	0.00	%
Various soft futures contracts (U.S.)		—	0.00	%		—	0.00	%		13,586,393		25.22	%		—	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 (U.S.)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Total Long Futures Contracts	$	—	0.00	%	$	—	0.00	%	$	26,336,430		48.88	%	$	—	0.00	%
LONG OPTIONS *	$	—	0.00	%	$	—	0.00	%		252,911		0.47	%	$	—	0.00	%
LONG CURRENCY FORWARDS *	$	—	0.00	%	$	—	0.00	%	$	—		0.00	%	$	—	0.00	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	—	0.00	%	$	—	0.00	%	$	—		0.00	%	$	—	0.00	%
Various currency futures contracts (U.S.)		—	0.00	%		—	0.00	%		(27,600	)	-0.05	%		—	0.00	%
Various currency futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various currency futures contracts (Far East)		—	0.00	%			0.00	%		—		0.00	%		—	0.00	%
Various energy futures contracts (U.S.)		—	0.00	%		—	0.00	%		(9,247,680	)	-17.17	%		—	0.00	%
Various interest rates futures contracts (US)		—	0.00	%		—	0.00	%		(176,000	)	-0.33	%		—	0.00	%
Various interest rates futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various interest rates futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various precious metals futures contracts (U.S.)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various soft futures contracts (U.S.)		—	0.00	%		—	0.00	%		(12,060,002	)	-22.39	%		—	0.00	%
Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
Various stock index futures contracts (U.S.)		—	0.00	%		—	0.00	%		178,213		0.33	%		—	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	%	$	(21,333,069	)	-39.61	%	$	—	0.00	%
SHORT OPTIONS *	$	—	0.00	%	$	—	0.00	%	$	(219,081	)	-0.41	%	$	—	0.00	%
SHORT CURRENCY FORWARDS *	$	—	0.00	%	$	—	0.00	%	$	—		0.00	%	$	—	0.00	%
Total Open Trade Equity	$	—	0.00	%	$	—	0.00	%	$	5,037,191		9.33	%	$	—	0.00	%
SWAPS (1)	$	—	0.00	%	$	1,309,922	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 )	$	455,911	2.21	%	$	586,145	7.74	%	$	4,884,539		9.07	%	$	52,094	3.04	%
$35,000,000.00 US Treasury Bill 6.500% due 02/15/2010   ( Cost $37,985,938 )		451,990	2.19	%		581,104	7.67	%		4,842,535		8.99	%		51,646	3.02	%
$35,000,000.00 US Treasury Bill 4.500% due 02/28/2011   ( Cost $37,231,250 )		442,831	2.15	%		569,328	7.52	%		4,744,404		8.81	%		50,599	2.96	%
$34,700,000.00 US Treasury Bill 4.625% due 02/29/2012   ( Cost $37,302,500 )		443,115	2.15	%		569,694	7.52	%		4,747,448		8.81	%		50,632	2.96	%
$36,500,000.00 US Treasury Bill 3.875% due 02/15/2013   ( Cost $38,125,391 )		454,196	2.20	%		583,940	7.71	%		4,866,162		9.03	%		51,898	3.03	%
$36,700,000.00 US Treasury Bill 4.000% due 02/15/2015   ( Cost $38,016,039 )		458,075	2.22	%		588,928	7.77	%		4,907,740		9.11	%		52,340	3.06	%
	$	2,706,118	13.12	%	$	3,479,139	45.93	%	$	28,992,828		53.82	%	$	309,209	18.07	%

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

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

8

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 (U.S.)	$	(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 (U.S.)		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 (U.S.)		610,450		0.24	%		—	0.00	%		440		0.00	%		68,860		0.20	%		—	0.00	%
Various soft futures contracts (U.S.)		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 (U.S.)		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 (U.S.)		761,622		0.30	%		—	0.00	%		95,072		0.15	%		(2,648,030	)	-7.62	%		—	0.00	%
Various currency futures contracts (U.S.)		(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	%			0.00	%
Various energy futures contracts (U.S.)		(373,088	)	-0.14	%			0.00	%		(28,300	)	-0.05	%		(7,884,832	)	-22.69	%		—	0.00	%
Various interest rates futures contracts (U.S.)		(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 (U.S.)		—		0.00	%		—	0.00	%		—		0.00	%		—		0.00	%		—	0.00	%
Various soft futures contracts (U.S.)		(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 (U.S.)		(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 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.

9

The Frontier Fund

Statements of Operations

For the Three Months Ended June 30, 2008 and 2007

	Balanced Series (Unaudited)						Winton Series (Unaudited)						Campbell/Graham/Tiverton Series (1) (Unaudited)
	6/30/2008			6/30/2007			6/30/2008			6/30/2007			6/30/2008			6/30/2007
Investment Income:
Interest - net	$	136,293		$	1,793,704		$	49,907		$	120,310		$	22,394		$	417,669
Total Income		136,293			1,793,704			49,907			120,310			22,394			417,669
Expenses:
Incentive Fees		3,482,273			3,248,851			786,738			228,956			596,841			985,655
Management Fees		387,054			346,784			279,479			84,474			438,993			352,456
Service Fees - Class 1		1,548,086			1,792,641			451,025			78,666			426,797			391,345
Trading Fees		494,243			366,640			69,736			21,079			97,676			91,123
Total Expenses		5,911,656			5,754,916			1,586,978			413,175			1,560,307			1,820,579
Investment gain/(loss) - net		(5,775,363	)		(3,961,212	)		(1,537,071	)		(292,865	)		(1,537,913	)		(1,402,910	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		2,265,141			38,088,527			2,403,600			—			3,560,416			1,804,293
Net realized gain/(loss) on swap contracts		(1,429,946	)		(28,552	)		—			—			—			—
Net change in open trade equity		16,109,922			5,987,632			2,739,856			—			459,995			70,964
Net unrealized gain/(loss) on swap contracts		7,083,314			978,893			—			—			—			—
Net unrealized gain/(loss) on treasuries		(3,228,984	)		—			(864,259	)		—			(808,139	)		—
Trading commissions		(357,641	)		(577,511	)		(45,447	)		—			(32,589	)		(12,016	)
Net change in inter-series receivables		(81,840	)		(19,757	)		—			—			—			—
Net change in inter-series payables		—			—			—			—			—			—
Equity in earnings/(loss) from trading companies		6,628,955			(703,866	)		1,228,977			2,002,258			2,062,584			11,926,925
Net gain/(loss) on investments		26,988,921			43,725,366			5,462,727			2,002,258			5,242,267			13,790,166
Minority interests		(3,314,109	)		(14,022,222	)		(1,829,908	)		—			(1,201,878	)		(1,863,241	)
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	17,899,449		$	25,741,932		$	2,095,748		$	1,709,393		$	2,502,476		$	10,524,015
NET INCOME/(LOSS) PER UNIT
Class 1	$	7.50		$	9.22		$	3.08		$	11.01		$	3.73		$	16.83
Class 1a	$	6.71		$	8.16			N/A			N/A			N/A			N/A
Class 2	$	9.35		$	10.83		$	4.24		$	12.03		$	4.93		$	18.76
Class 2a	$	7.91		$	9.12			N/A			N/A			N/A			N/A

(1) The Campbell/Graham Series was renamed the Campbell/Graham/Tiverton Series on May 27, 2008

The accompanying notes are an integral part of these statements.

10

The Frontier Fund

Statements of Operations

For the Three Months Ended June 30, 2008 and 2007

	Currency Series (Unaudited)						Winton/Graham Series (1) (Unaudited)						Long Only Commodity Series (Unaudited)
	6/30/2008			6/30/2007			6/30/2008			6/30/2007			6/30/2008			6/30/2007
Investment Income:
Interest - net	$	11,758		$	105,559		$	4,749		$	49,773		$	27,595		$	247,243
Total Income		11,758			105,559			4,749			49,773			27,595			247,243
Expenses:
Incentive Fees		—			—			280,229			144,237			—			—
Management Fees		43,847			24,171			71,899			64,719			21,823			79,544
Service Fees - Class 1		87,176			57,634			78,976			38,611			31,385			21,286
Trading Fees		27,150			22,848			14,373			10,098			8,723			31,992
Total Expenses		158,173			104,653			445,477			257,665			61,931			132,822
Investment gain/(loss) - net		(146,415	)		906			(440,728	)		(207,892	)		(34,336	)		114,421
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		(85,368	)		27,573			—			—			—			—
Net realized gain/(loss) on swap contracts		82,997			1,134,796			—			—			1,177,281			(657,921	)
Net change in open trade equity		(6,312	)		7,459			—			—			—			—
Net unrealized gain/(loss) on treasuries		(221,961	)		—			(104,596	)		—			(79,513	)		—
Net change in inter-series payables		81,840			(603,954	)		—			—			—			466,773
Equity in earnings/(loss) from trading companies		—			—			1,397,090			1,863,241			—			—
Net gain/(loss) on investments		(148,804	)		565,874			1,292,494			1,863,241			1,097,768			(191,148	)
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	(295,219	)	$	566,780		$	851,766		$	1,655,349		$	1,063,432		$	(76,727	)
NET INCOME/(LOSS) PER UNIT
Class 1	$	(2.58	)	$	7.15		$	6.01		$	19.72		$	21.19		$	(1.59	)
Class 2	$	(2.01	)	$	8.56		$	7.58		$	21.94		$	22.86		$	(1.12	)

(1) The Graham Series was renamed the Winton/Graham Series on May 27, 2008

The accompanying notes are an integral part of these statements.

11

The Frontier Fund

Statements of Operations

For the Three Months Ended June 30, 2008 and 2007

	Long/Short Commodity Series (Unaudited)						Managed Futures Index Series (Unaudited)
	6/30/2008			6/30/2007			6/30/2008			6/30/2007
Investment Income:
Interest - net	$	201,383		$	268,564		$	5,777		$	57,326
Total Income		201,383			268,564			5,777			57,326
Expenses:
Incentive Fees		677,557			90,202			—			—
Management Fees		363,261			229,884			7,410			28,285
Service Fees - Class 1		321,374			193,922			5,690			2,915
Trading Fees		49,355			33,411			1,851			7,069
Total Expenses		1,411,547			547,419			14,951			38,269
Investment gain/(loss) - net		(1,210,164	)		(278,855	)		(9,174	)		19,057
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		31,672,790			1,015,649			—			(21,898	)
Net realized gain/(loss) on swap contracts		—			—			—			—
Net change in open trade equity		(23,236,752	)		(1,547,542	)		—			131,035
Net unrealized gain/(loss) on treasuries		(554,901	)		—			(17,621	)		—
Trading commissions		(70,204	)		(216,768	)		—			(6,013	)
Net change in inter-series payables		—			—			—			(143,062	)
Equity in earnings/(loss) from trading companies		—			—			22,548			73,373
Net gain/(loss) on investments		7,810,933			(748,661	)		4,927			33,435
Minority interests		(4,994,259	)		703,866			—			—
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	1,606,510		$	(323,650	)	$	(4,247	)	$	52,492
NET INCOME/(LOSS) PER UNIT
Class 1	$	3.31		$	(1.05	)	$	(1.02	)	$	7.33
Class 2	$	4.42		$	(0.31	)	$	(0.49	)	$	8.00

The accompanying notes are an integral part of these statements.

12

The Frontier Fund

Statements of Operations

For the Six Months Ended June 30, 2008 and 2007

	Balanced Series (Unaudited)						Winton Series (Unaudited)						Campbell/Graham/Tiverton Series (1) (Unaudited)
	6/30/2008			6/30/2007			6/30/2008			6/30/2007			6/30/2008			6/30/2007
Investment Income:
Interest - net	$	834,442		$	3,515,558		$	186,228		$	145,643		$	186,534		$	855,639
Total Income		834,442			3,515,558			186,228			145,643			186,534			855,639
Expenses:
Incentive Fees		7,618,572			4,739,785			1,767,538			228,956			1,035,771			1,018,749
Management Fees		774,572			649,660			504,544			99,435			784,754			663,205
Service Fees - Class 1		3,104,514			3,518,422			771,641			98,358			848,165			755,574
Trading Fees		985,935			687,741			125,821			24,817			193,675			183,989
Total Expenses		12,483,593			9,595,608			3,169,544			451,566			2,862,365			2,621,517
Investment gain/(loss) - net		(11,649,151	)		(6,080,050	)		(2,983,316	)		(305,923	)		(2,675,831	)		(1,765,878	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		23,232,234			27,364,902			2,403,600			—			7,579,994			1,492,963
Net realized gain/(loss) on swap contracts		(1,429,946	)		(28,552	)		—			—			—			—
Net change in open trade equity		15,141,170			(3,451,569	)		2,739,856			—			891,917			(242,513	)
Net unrealized gain/(loss) on swap contracts		10,799,176			490,248			—			—			—			—
Net unrealized gain/(loss) on treasuries		(1,121,918	)		—			(385,123	)		—			(289,725	)		—
Trading commissions		(910,926	)		(1,140,579	)		(45,447	)		—			(78,244	)		(26,920	)
Net change in inter-series receivables		217,344			456,492			—			—			—			—
Net change in inter-series payables		—			—			—			—			—			325,800
Equity in earnings/(loss) from trading companies		9,546,511			(1,817,629	)		6,927,252			1,410,914			2,651,886			6,556,796
Net gain/(loss) on investments		55,473,645			21,873,313			11,640,138			1,410,914			10,755,828			8,106,126
Minority interests		(9,702,967	)		(8,035,169	)		(1,829,908	)		—			(2,393,794	)		(1,223,530	)
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	34,121,527		$	7,758,094		$	6,826,914		$	1,104,991		$	5,686,203		$	5,116,718
NET INCOME/(LOSS) PER UNIT
Class 1	$	14.01		$	2.49		$	13.85		$	0.73		$	8.47		$	7.82
Class 1a	$	12.49		$	2.04			N/A			N/A			N/A			N/A
Class 2	$	17.43		$	4.43		$	16.43		$	2.36		$	10.87		$	9.92
Class 2a	$	14.74		$	3.50			N/A			N/A			N/A			N/A

(1) The Campbell/Graham Series was renamed the Campbell/Graham/Tiverton Series on May 27, 2008

The accompanying notes are an integral part of these statements.

13

The Frontier Fund

Statements of Operations

For the Six Months Ended June 30, 2008 and 2007

	Currency Series (Unaudited)						Winton/Graham Series (Unaudited)						Long Only Commodity Series (Unaudited)
	6/30/2008			6/30/2007			6/30/2008			6/30/2007			6/30/2008			6/30/2007
Investment Income:
Interest - net	$	53,654		$	233,837		$	27,745		$	115,154		$	59,377		$	378,698
Total Income		53,654			233,837			27,745			115,154			59,377			378,698
Expenses:
Incentive Fees		—			—			470,130			144,237			—			—
Management Fees		82,486			53,589			125,006			137,774			39,382			123,050
Service Fees - Class 1		165,399			110,403			130,596			78,689			57,532			43,533
Trading Fees		51,973			48,078			24,964			24,370			15,751			49,288
Total Expenses		299,858			212,070			750,696			385,070			112,665			215,871
Investment gain/(loss) - net		(246,204	)		21,767			(722,951	)		(269,916	)		(53,288	)		162,827
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		21,317			(66,383	)		—			—			—			—
Net realized gain/(loss) on swap contracts		905,646			786,052			—			—			1,671,070			772,930
Net change in open trade equity		(7,185	)		(31,967	)		—			—			—			—
Net unrealized gain/(loss) on treasuries		(87,922	)		—			(26,143	)		—			(27,077	)		—
Net change in inter-series payables		(217,344	)		(367,394	)		—			(76,140	)		—			(829,616	)
Equity in earnings/(loss) from trading companies					—			2,589,006			1,223,530						—
Net gain/(loss) on investments		614,512			320,308			2,562,863			1,147,390			1,643,993			(56,686	)
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	368,308		$	342,075		$	1,839,912		$	877,474		$	1,590,705		$	106,141
NET INCOME/(LOSS) PER UNIT
Class 1	$	3.26		$	4.13		$	16.84		$	10.75		$	32.68		$	1.83
Class 2	$	5.31		$	6.12		$	20.35		$	12.98		$	35.42		$	2.86

(1) The Graham Series was renamed the Winton/Graham Series on May 27, 2008

The accompanying notes are an integral part of these statements.

14

The Frontier Fund

Statements of Operations

For the Six Months Ended June 30, 2008 and 2007

	Long/Short Commodity Series (Unaudited)						Managed Futures Index Series (Unaudited)
	6/30/2008			6/30/2007			6/30/2008			6/30/2007
Investment Income:
Interest - net	$	419,153		$	481,561		$	12,128		$	152,732
Total Income		419,153			481,561			12,128			152,732
Expenses:
Incentive Fees		1,243,140			202,011			—			—
Management Fees		632,939			450,582			12,340			79,367
Service Fees - Class 1		580,144			343,267			9,504			5,509
Trading Fees		90,115			58,195			3,083			19,703
Total Expenses		2,546,338			1,054,055			24,927			104,579
Investment gain/(loss) - net		(2,127,185	)		(572,494	)		(12,799	)		48,153
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures and forwards		(10,552,172	)		1,787,877			—			(353,098	)
Net change in open trade equity		25,578,015			(2,858,642	)		—			(224,977	)
Net unrealized gain/(loss) on treasuries		(215,782	)		—			(7,357	)		—
Trading commissions		(467,579	)		(323,780	)		—			(22,129	)
Net change in inter-series payables		—			—			—			490,858
Equity in earnings/(loss) from trading companies		—			—			123,829			73,373
Net gain/(loss) on investments		14,342,482			(1,394,545	)		116,472			(35,973	)
Minority interests		(7,911,815	)		1,817,629			—			—
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	4,303,482		$	(149,410	)	$	103,673		$	12,180
NET INCOME/(LOSS) PER UNIT
Class 1	$	11.09		$	(0.44	)	$	9.53		$	0.64
Class 2	$	13.50		$	1.09		$	11.04		$	1.65

The accompanying notes are an integral part of these statements.

15

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Six Months Ended June 30, 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		—		11,529,557			—		281,049			—		2,038,937			—		18,900
Redemption of Units		—		(30,168,611	)		—		(625,626	)		—		(4,985,466	)		—		(130,400	)
Net increase in Owners’ Capital resulting from operations		—		26,216,685			25		750,172			442,128		6,532,381			12,147		167,989
Owners’ Capital, June 30, 2008	$	—	$	212,318,379		$	207	$	6,043,913		$	3,282,274	$	46,699,748		$	90,792	$	1,229,400
Owners’ Capital - Units, January 1, 2008		—		2,018,003			2		62,030			25,359		384,952			824		12,286
Sale of Units		—		105,548			—		2,958			—		16,926			—		180
Redemption of Units		—		(284,843	)		—		(6,529	)		—		(41,075	)		—		(1,311	)
Owners’ Capital - Units, June 30, 2008		—		1,838,708			2		58,459			25,359		360,803			824		11,155
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
Change in net asset value per unit for three months ended June 30, 2008				7.50					6.71					9.35					7.91
Net asset value per unit at June 30, 2008			$	115.47				$	103.39				$	129.43				$	110.21

The accompanying notes are an integral part of these statements.

16

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Six Months Ended June 30, 2008 (Unaudited)

	Winton Series										Campbell/Graham/Tiverton Series (1)
	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		—		25,294,191			—		—			—		5,497,799			—		481,613
Redemption of Units		—		(1,876,404	)		—		(194,925	)		—		(6,307,796	)		—		(777,284	)
Net increase in Owners’ Capital resulting from operations		139		5,396,749			32,614		1,397,412			—		5,076,847			26,523		582,833
Owners’ Capital, June 30, 2008	$	1,277	$	64,477,658		$	268,006	$	11,341,996		$	—	$	59,797,752		$	270,980	$	5,862,707
Owners’ Capital - Units, January 1, 2008		10		313,300			1,985		85,488			—		604,239			2,439		55,646
Sale of Units		—		206,889			—		—			—		57,924			—		4,601
Redemption of Units		—		(15,180	)		—		(1,499	)		—		(66,369	)		—		(7,462	)
Owners’ Capital - Units, June 30, 2008		10		505,009			1,985		83,989			—		595,794			2,439		52,785
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
Change in net asset value per unit for three months ended June 30, 2008				3.08					4.24					3.73					4.93
Net asset value per unit at June 30, 2008			$	127.68				$	135.04				$	100.37				$	111.07

(1) The Campbell/Graham Series was renamed the Campbell/Graham/Tiverton Series on May 27, 2008

The accompanying notes are an integral part of these statements.

17

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Six Months Ended June 30, 2008 (Unaudited)

	Currency Series										Winton/Graham Series (1)
	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		—		2,845,725			—		54,750			—		9,004,795			—		2,497,364
Redemption of Units		—		(769,516	)		—		(6,364	)		—		(564,089	)		—		(34,803	)
Net increase in Owners’ Capital resulting from operations		—		328,873			24,627		14,809			—		1,422,604			8,716		408,592
Owners’ Capital, June 30, 2008	$	—	$	12,196,894		$	538,565	$	349,451		$	—	$	15,923,517		$	53,416	$	4,635,229
Owner’s Capital - Units, January 1, 2008		—		97,273			4,630		2,579			—		63,767			428		16,903
Sale of Units		—		27,570			—		481			—		83,994			—		20,571
Redemption of Units		—		(7,476	)		—		(55	)		—		(5,434	)		—		(307	)
Owners’ Capital - Units, June 30, 2008		—		117,367			4,630		3,005			—		142,327			428		37,167
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
Change in net asset value per unit for three months ended June 30, 2008				(2.58	)				(2.01	)				6.01					7.58
Net asset value per unit at June 30, 2008			$	103.92				$	116.31				$	111.88				$	124.72

(1) The Graham Series was renamed the Winton/Graham Series on May 27, 2008

The accompanying notes are an integral part of these statements.

18

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Six Months Ended June 30, 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		—		1,290,287			—		108,500			—		16,083,793			—		1,488,431
Redemption of Units		—		(426,102	)		—		(18,003	)		—		(2,616,688	)		—		(138,492	)
Net increase in Owners’ Capital resulting from operations		—		1,492,149			52,375		46,181			—		3,804,342			47,120		452,020
Owners’ Capital, June 30, 2008	$	—	$	7,087,223		$	222,469	$	265,763		$	—	$	48,364,193		$	421,170	$	5,086,799
Owners’ Capital - Units, January 1, 2008		—		42,701			1,479		1,122			—		306,425			3,490		30,646
Sale of Units		—		9,967			—		774			—		147,399			—		12,694
Redemption of Units		—		(3,268	)		—		(130	)		—		(24,156	)		—		(1,192	)
Owners’ Capital - Units, June 30, 2008		—		49,400			1,479		1,766			—		429,668			3,490		42,148
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
Change in net asset value per unit for three months ended June 30, 2008			$	21.19				$	22.86				$	3.31				$	4.42
Net asset value per unit at June 30, 2008			$	143.47				$	150.46				$	112.56				$	120.69

The accompanying notes are an integral part of these statements.

19

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Six Months Ended June 30, 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		—		708,950			—		44,800
Redemption of Units		—		(90,387	)		—		(13,038	)
Net increase in Owners’ Capital resulting from operations		—		67,276			31,145		5,252
Owners’ Capital, June 30, 2008	$	—	$	1,307,579		$	325,717	$	78,151
Owners’ Capital - Units, January 1, 2008		—		6,181			2,821		394
Sale of Units		—		6,479			—		393
Redemption of Units		—		(786	)		—		(110	)
Owners’ Capital - Units, June 30, 2008		—		11,874			2,821		677
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
Change in net asset value per unit for three months ended June 30, 2007				(1.02	)				(0.49	)
Net asset value per unit at June 30, 2008			$	110.12				$	115.46

The accompanying notes are an integral part of these statements.

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The Frontier Fund

Notes to Financial Statements

As of June 30, 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 June 30, 2008, the Trust had eight separate Series of Units issued and outstanding: the Balanced Series, Winton Series, Campbell/Graham/Tiverton Series (formerly the Campbell/Graham Series), Currency Series, Winton/Graham Series (formerly the 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.

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.

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As of June 30, 2008, the total Units outstanding of each Series of the Trust was 2,295,310 with respect to the Balanced Series, 590,993 with respect to the Winton Series, 651,018 with respect to the Campbell/Graham/Tiverton Series, 125,002 with respect to the Currency Series, 179,922 with respect to the Winton/Graham Series, 52,645 with respect to the Long Only Commodity Series, 475,306 with respect to the Long/Short Commodity Series and 15,372 with respect to the Managed Futures Index Series.

As of June 30, 2008, the Trust, with respect to the Winton/Graham Series, Winton Series, Campbell/Graham/Tiverton Series, Currency Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series offered Units in two separate Classes – Class 1 and Class 2. The Trust, with respect to the Balanced Series, offered Units in four separate Classes – Class 1, Class 2, Class 1a and Class 2a. It is expected that between 10% and 30% of each Series’ assets normally will be invested in one or more Trading Companies to be committed as margin for trading positions, but from time to time these percentages may be substantially more or less. The remainders of each Series’ assets are maintained at the Trust level for cash management.

As of June 30, 2008, a portion of the assets of each of the Winton Series, Currency Series, Winton/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/Tiverton 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/Tiverton Series, Currency Series, Winton/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 June 30, 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.

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.

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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 June 30, 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.

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. All capital of the Trading Companies is provided by the Series and there are no other investors in the Trading Companies. Trading Companies in which a Series has a controlling or 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 VI LLC and Frontier Trading Company IX LLC.

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

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

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

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

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.

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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 June 30, 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 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/Tiverton Series, Currency Series, Winton/Graham Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, advances funds to such Series for the purpose of investing in the respective Trading Company or Trading Companies for such Series on behalf of the Balanced Series. The amount of the funds advanced by the Balanced Series to each of 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.

Unrealized Gains/Losses on U.S. Government Securities

Unrealized gains/losses on the daily mark-to-market of U.S. Government securities are 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.

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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).

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. The Trust’s adoption of SFAS 159 on January 1, 2008 did not have a material impact on the Trust’s Financial Statements.

In April 2007, the FASB issued Interpretation No. 39-1,Amendment of FASB Interpretation No. 39(“FIN 39-1”). FIN 39-1 defines “right of setoff” and specifies what conditions must be met for a derivative contract to qualify for this right of setoff. It also addresses the applicability of a right of setoff to derivative instruments and clarifies the circumstances in which it is appropriate to offset amounts recognized for those instruments in the 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 March 2008, the FASB issued Statement of Financial Accounting Standards No. 161,Disclosure about Derivative Instruments and Hedging Activities, an Amendment of FASB Statement No. 133 (“SFAS No. 161”). SFAS No. 161 is intended to improve transparency in financial reporting by requiring enhanced disclosures of an entity’s derivative instruments and hedging activities and their effects on the entity’s financial position, financial performance, and cash flows. SFAS No. 161 applies to all derivative instruments within the scope of SFAS No. 133. It also applies to non-derivative hedging instruments and all hedged items designated and qualifying as hedges under SFAS No. 133. SFAS No. 161 amends the current qualitative and quantitative disclosure requirements for derivative instruments and hedging activities set forth in SFAS No. 133 and generally increases the level of desegregations that will be required in an entity’s financial statements. SFAS No. 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk related contingent features in derivative agreements. SFAS No. 161 is effective prospectively for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. The Trust is currently evaluating the provisions of SFAS 161 and its potential effect on its Financial Statements.

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Reclassification

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

3. Fair Value Measurements

Effective January 1, 2008, the Trust adopted the provisions of SFAS No. 157, “Fair Value Measurements,” for financial assets or liabilities. 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 or liabilities and the lowest priority to unobservable inputs. The fair value hierarchy is as follows:

Level 1 Inputs

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

Level 2 Inputs

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

Level 3 Inputs

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

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

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

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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 June 30, 2008, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

June 30, 2008	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Total Fair Value
Balanced Series
Open Trade Equity	$	5,277,668	$	1,112,833	$	—	$	6,390,501
Swap Contracts		—		—		41,337,114		41,337,114
U.S. Treasury Notes		116,743,969		—		—		116,743,969
Winton Series
Open Trade Equity		4,202,649		—		—		4,202,649
U.S. Treasury Notes		35,564,414		—		—		35,564,414
Campbell/Graham/Tiverton Series
Open Trade Equity		795,195		—		—		795,195
U.S. Treasury Notes		25,126,996		—		—		25,126,996
Currency Series
Open Trade Equity		4,845				—		4,845
Swap Contracts		—		1,295,725		—		1,295,725
U.S. Treasury Notes		10,050,727		—		—		10,050,727
Winton/Graham Series
U.S. Treasury Notes		2,706,118		—		—		2,706,118
Long Only Series
Swap Contracts		—		1,309,922		—		1,309,922
U.S. Treasury Notes		3,479,139		—		—		3,479,139
Long Short Series
Open Trade Equity		5,003,361		33,830		—		5,037,191
U.S. Treasury Notes		28,992,828		—		—		28,992,828
Managed Futures Index Series
U.S. Treasury Notes		309,209		—		—		309,209

The changes in Level 3 assets measured at fair value on a recurring basis are summarized in the following tables. Swap Contract asset gains and losses (realized/unrealized) included in earnings are classified in “realized and unrealized gain (loss) on investments – net unrealized gain/(loss) on swap contracts” on the consolidated statement of operations. During the six months ended June 30, 2008, all identified Level 3 assets are components of the Balanced Series.

	Swap 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 of recurring Level 3 assets as of March 31, 2008	$	50,957,321
Total gains or losses (realized/unrealized):
Included in earnings-realized		(1,429,947	)
Included in earnings-unrealized		7,083,314
Included in other comprehensive income		—
Purchases, sales, issuances, and settlements, net		(15,273,574	)
Transfers in and/or out of Level 3		—
Balance of recurring Level 3 assets as of June 30, 2008	$	41,337,114

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

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4. Swaps

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

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

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of 2008, approximately 8% of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain Swaps.

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

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 June 30, 2008:

	Option Basket Balanced Series		FX Concepts Global Currency Program		Reuters/Jefferies CRB Index		Jefferies Commodity Performance Index
Series:	Balanced		Currency		Long Only		Long Only
Counterparty		Company A		Company B		Company C		Company C
Notional Amount		$89,886,858		$14,700,000		$3,350,000		$3,350,000
Termination Date		November 6, 2012		February 4, 2009		February 27, 2009		February 27, 2009
Counterparty Fee—% annualized		3.44%		0.05%		0.5%		1.0%
Investee Returns	Total Return		Total Return		Total Return		Total Return
Realized Gain / (Loss)	$	—	$	905,646	$	804,614	$	866,456
Unrealized Gain / (Loss)	$	9,007,719	$	—	$	—	$	—
Fair Value 06/30/2008	$	41,337,114	$	1,295,725	$	654,304	$	655,618

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5. Investments in Unconsolidated Trading Companies

The following table summarizes the Balanced Series, Winton Series, Campbell/Graham/Tiverton Series, Winton/Graham Series and Managed Futures Index Series investments in unconsolidated Trading Companies as of June 30, 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 June 30, 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 II, LLC and Frontier Trading Company VII, LLC	6.92	%	$	18,654,180	1.65	%	$	4,238,348
Winton Series -
Frontier Trading Company II, LLC	—		$	—	10.07	%	$	4,637,121
Campbell/Graham/Tiverton Series -
Frontier Trading Company I, LLC and Frontier Trading Co. VI, LLC	5.32	%	$	3,504,428	29.92	%	$	18,353,523
Winton/Graham Series -
Frontier Trading Company V, LLC	6.44	%	$	1,328,031	60.69	%	$	4,775,554
Managed Futures Index Series -
Frontier Trading Company IX, LLC	17.15	%	$	293,556	66.26	%	$	634,400

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The following tables summarize the Balanced Series, Winton Series, Campbell/Graham/Tiverton Series, Winton/Graham Series and Managed Futures Index Series equity in earnings from Trading Companies for the six months ended June 30, 2008, and 2007.

	Six Months Ended June 30, 2008										Six Months Ended June 30, 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 II, LLC	$	(15,823	)	$	786,718		$	863,801	$	1,634,696		—			—		—			—
Balanced Series -
Frontier Trading Company VII, LLC	$	(284,608	)	$	(4,678,036	)	$	12,874,459	$	7,911,815	$	(208,211	)	$	952,137	$	(2,561,555	)	$	(1,817,629	)
Total	$	(300,431	)	$	(3,891,318	)	$	13,738,260	$	9,546,511	$	(208,211	)	$	952,137	$	(2,561,555	)	$	(1,817,629	)
Winton Series -
Frontier Trading Company II, LLC	$	(38,401	)	$	6,765,536		$	200,117	$	6,927,252	$	(32,659	)	$	1,875,080	$	(431,507	)	$	1,410,914
Campbell/Graham/Tiverton Series -
Frontier Trading Company I, LLC	$	(3,011	)	$	133,058		$	383,215	$	513,262		—			—		—			—
Frontier Trading Company VI, LLC	$	(17,851	)	$	(321,975	)	$	2,478,450	$	2,138,624	$	(139,281	)	$	7,591,885	$	(895,808	)	$	6,556,796
Total	$	(20,862	)	$	(188,917	)	$	2,861,665	$	2,651,886	$	(139,281	)	$	7,591,885	$	(895,808	)	$	6,556,796
Winton/Graham Series -
Frontier Trading Company V, LLC	$	(23,247	)	$	2,077,006		$	535,247	$	2,589,006	$	(26,920	)	$	1,492,963	$	(242,513	)	$	1,223,530
Managed Futures Index Series -
Frontier Trading Company IX, LLC	$	(2,157	)	$	124,294		$	1,692	$	123,829	$	(708	)	$	45,827	$	28,254		$	73,373

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The following tables summarize the Balanced Series, Winton Series, Campbell/Graham/Tiverton Series, Winton/Graham Series and Managed Futures Index Series equity in earnings from Trading Companies for the three months ended June 30, 2008, and 2007.

	Three Months Ended June 30, 2008											Three Months Ended June 30, 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 II, LLC	$	(15,823	)	$	786,718		$	863,801		$	1,634,696		—			—		—			—
Balanced Series -
Frontier Trading Company VII, LLC	$	(15,493	)	$	27,798,431		$	(22,788,679	)	$	4,994,259	$	(143,885	)	$	639,201	$	(1,199,182	)	$	(703,866	)
Total	$	(31,316	)	$	28,585,149		$	(21,924,878	)	$	6,628,955	$	(143,885	)	$	639,201	$	(1,199,182	)	$	(703,866	)
Winton Series -
Frontier Trading Company II, LLC	$	(3,462	)	$	(60,385	)	$	1,292,824		$	1,228,977	$	(23,896	)	$	2,280,722	$	(254,568	)	$	2,002,258
Campbell/Graham/Tiverton Series -
Frontier Trading Company I, LLC	$	(3,011	)	$	133,058		$	383,215		$	513,262		—			—		—			—
Frontier Trading Company VI, LLC	$	(8,421	)	$	(747,817	)	$	2,305,560		$	1,549,322	$	(74,984	)	$	10,629,086	$	1,372,823		$	11,926,925
Total	$	(11,432	)	$	(614,759	)	$	2,688,775		$	2,062,584	$	(74,984	)	$	10,629,086	$	1,372,823		$	11,926,925
Winton/Graham Series -
Frontier Trading Company V, LLC	$	(10,847	)	$	998,180		$	409,757		$	1,397,090	$	(12,016	)	$	1,804,293	$	70,964		$	1,863,241
Managed Futures Index Series -
Frontier Trading Company IX, LLC	$	(1,183	)	$	11,040		$	12,691		$	22,548	$	(708	)	$	45,827	$	28,254		$	73,373

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The statements of financial condition as of June 30, 2008, and December 31, 2007, for the unconsolidated Trading Companies are as follows:

Statements of Financial Condition – June 30, 2008			Frontier Trading Company V LLC			Frontier Trading Company VI LLC			Frontier Trading Company IX LLC
Cash held at futures commodities merchants			$	7,880,067		$	12,206,010		$	1,571,749
Open trade equity Swaps				795,195 —			2,879,343 —			211,888 —
Total assets			$	8,675,262		$	15,085,353		$	1,783,637
Members’ equity			$	8,675,262		$	15,085,353		$	1,783,637
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

32

The statements of income for the six and three months ended June 30, 2008 for the unconsolidated Trading Companies are as follows:

Statements of Income – For the Six Months Ended June 30, 2008	Frontier Trading Company V LLC		Frontier Trading Company VI LLC		Frontier Trading Company IX LLC
Interest income	$	217,847	$	228,578	$	49,372
Net realized gain (loss) on investments, less commissions		7,501,751		2,655,328		1,125,749
Change in open trade equity		891,918		4,360,377		161,567
Net income (loss)	$	8,611,516		7,244,283	$	1,336,688
Statements of Income – For the Three Months Ended June 30, 2008	Frontier Trading Company V LLC		Frontier Trading Company VI LLC		Frontier Trading Company IX LLC
Interest income	$	95,060	$	89,168	$	21,186
Net realized gain (loss) on investments, less commissions		3,527,828		1,535,984		(89,528	)
Change in open trade equity		459,997		3,577,897		224,835
Net income (loss)	$	4,082,885	$	5,203,049	$	156,493

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/Tiverton Series, Currency Series, Winton/Graham Series, Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, advances funds to such Series, for the purpose of investing in the respective Trading Company or Trading

33

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 and six month periods ending June 30, 2008.

	Three Months Ending June 30, 2008
Name of Series	Amount of Investment April 1, 2008		Additions During Period		Reductions During Period		Amount of Investment June 30, 2008	Earnings in Investments in Inter-Series Receivables Net P/L for the Period		Amount of Dividends or Interest	Value June 30, 2008
Currency Series	$	4,834,968	$	0	$	0	4,834,968	(81,840	)	—	4,753,128
							4,834,968	(81,840	)	—	4,753,128
	Six Months Ending June 30, 2008
Name of Series	Amount of Investment January 1, 2008		Additions During Period		Reductions During Period		Amount of Investment June 30, 2008	Earnings in Investments in Inter-Series Receivables Net P/L for the Period		Amount of Dividends or Interest	Value June 30, 2008
Currency Series	$	4,535,784	$	0	$	0	4,535,784	217,344		—	4,753,128
							4,535,784	217,344		—	4,753,128

The amounts reported on the Statements of Financial Condition for receivable from related parties and payables to related parties are primarily the result of exchanges of Units between Series during the month of June 2008 and for which funds are transferred and these balances are settled in the subsequent month.

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

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

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

34

The following table summarizes fees paid or payable to the Managing Owner for the six months ended June 30, 2008.

Series:	Management Fee		Trading (FCM) Fee		Incentive Fee		Service Fee
Balanced	$	774,572	$	985,935	$	7,618,572	$	3,104,514
Winton		504,544		125,821		1,767,538		771,641
Campbell/Graham/Tiverton		784,754		193,675		1,035,771		848,165
Currency		82,486		51,973		—		165,399
Winton/Graham		125,006		24,964		470,130		130,596
Long Only Commodity		39,382		15,751		—		57,532
Long/Short Commodity		632,939		90,115		1,243,140		580,144
Managed Futures Index		12,340		3,083		—		9,504

The following table summarizes fees payable to the Managing Owner as of June 30, 2008.

Series:	Management Fee		Trading (FCM) Fee		Incentive Fee		Service Fee
Balanced	$	125,504	$	169,061	$	3,629,078	$	426,729
Winton		102,741		25,686		736,304		49,427
Campbell/Graham/Tiverton		172,691		38,454		596,540		104,989
Currency		13,617		9,330		—		12,405
Winton/Graham		28,690		5,738		261,204		14,353
Long Only Commodity		7,271		2,909		—		8,542
Long/Short Commodity		133,157		19,023		680,635		57,669
Managed Futures Index		2,607		652		—		1,223

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 six months ended June 30, 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 $33,202 for the Balanced Series, $16,752 for the Campbell/Graham/ Tiverton Series, $2,706 for the Currency Series, $11,414 for the Winton/Graham Series, $1,982 for the Long Only Commodity Series, $18,207 for the Long/Short Commodity Series and $46,446 for the Winton Series. For the six months ended June 30, 2008, amounts received or receivable from the Managing Owner for the difference in monthly service fees from prepaid initial service fees was $618 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/Tiverton Series, Currency Series and Winton/Graham Series. For the Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner. During the six months ended June 30, 2008, the Trust paid $3,765,630 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

35

Class. The amount paid under this agreement was $567,984 for the six months ended June 30, 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 $216,829 for the six months ended June 30, 2008.

Solon Capital, LLC, an affiliate of the Trust, provides product development, product research, strategy and related administrative services on behalf of the Managing Owner. For these services, the Managing Owner paid Solon Capital, LLC, $1,016,660 for the six months ended June 30, 2008.

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

36

7. Financial Highlights

The following information presents the financial highlights of the Fund for the six months ended June 30, 2008 and 2007. This data has been derived from information presented in the financial statements.

	Balanced												Winton
	Class 1			Class 1a			Class 2			Class 2a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2008	$	101.46		$	90.90		$	112.00		$	95.47		$	113.83		$	118.61
Net operating results:
Interest income		0.35			0.31			0.39			0.33			0.36			0.38
Expenses		(5.54	)		(4.95	)		(4.38	)		(3.73	)		(6.52	)		(4.90	)
Net gain/(loss) on investments, net of minority interests		19.20			17.13			21.42			18.14			20.00			20.95
Net income		14.01			12.49			17.43			14.74			13.85			16.43
Net asset value, June 30, 2008	$	115.47		$	103.39		$	129.43		$	110.21		$	127.68		$	135.04
Ratios to average net assets (3)
Net investment gain/(loss)		-9.72	%		-9.72	%		-6.71	%		-6.71	%		-10.06	%		-7.06	%
Expenses before incentive fees		4.40	%		4.40	%		1.38	%		1.38	%		5.01	%		2.01	%
Expenses after incentive fees		10.38	%		10.38	%		7.37	%		7.37	%		10.65	%		7.66	%
Total return before incentive fees (2)		16.05	%		15.58	%		17.65	%		16.67	%		13.25	%		15.70	%
Total return after incentive fees (2)		13.07	%		12.60	%		14.67	%		13.69	%		10.44	%		12.88	%

	Campbell/Graham/Tiverton						Currency						Winton/Graham
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2008	$	91.90		$	100.20		$	100.66		$	111.00		$	95.04		$	104.37
Net operating results:
Interest income		0.28			0.31			0.47			0.52			0.25			0.28
Expenses		(4.48	)		(3.36	)		(2.72	)		(1.30	)		(7.18	)		(6.27	)
Net gain/(loss) on investments, net of minority interests		12.67			13.92			5.51			6.09			23.76			26.34
Net income		8.47			10.87			3.26			5.31			16.84			20.35
Net asset value, June 30, 2008	$	100.37		$	111.07		$	103.92		$	116.31		$	111.88		$	124.72
Ratios to average net assets (3)
Net investment gain/(loss)		-8.86	%		-5.86	%		-4.37	%		-1.36	%		-13.28	%		-10.38	%
Expenses before incentive fees		6.14	%		3.14	%		5.27	%		2.27	%		5.52	%		2.63	%
Expenses after incentive fees		9.46	%		6.46	%		5.27	%		2.27	%		13.76	%		10.87	%
Total return before incentive fees (2)		10.62	%		12.01	%		2.98	%		4.61	%		19.82	%		21.58	%
Total return after incentive fees (2)		8.96	%		10.35	%		2.98	%		4.61	%		15.71	%		17.48	%

	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		1.22			1.27			1.05			1.12			0.99			1.04
Expenses		(2.39	)		(1.18	)		(6.57	)		(5.26	)		(2.34	)		(1.32	)
Net gain/(loss) on investments, net of minority interests		33.85			35.33			16.60			17.64			10.88			11.32
Net income		32.68			35.42			11.09			13.50			9.53			11.04
Net asset value, June 30, 2008	$	143.47		$	150.46		$	112.56		$	120.69		$	110.12		$	115.46
Ratios to average net assets (3)
Net investment gain/(loss)		-1.86	%		0.14	%		-10.15	%		-7.16	%		-2.49	%		-0.50	%
Expenses before incentive fees		3.80	%		1.80	%		6.34	%		3.35	%		4.32	%		2.32	%
Expenses after incentive fees		3.80	%		1.80	%		12.09	%		9.10	%		4.32	%		2.32	%
Total return before incentive fees (2)		25.85	%		26.68	%		12.66	%		13.99	%		7.04	%		9.70	%
Total return after incentive fees (2)		25.85	%		26.68	%		9.79	%		11.12	%		7.04	%		9.70	%

(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

37

	Balanced												Winton
	Class 1			Class 1a			Class 2			Class 2a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2007	$	106.66		$	95.97		$	114.24		$	97.88		$	105.65		$	106.81
Net operating results:
Interest income		1.29			1.10			1.39			1.05			0.85			0.87
Expenses		(3.79	)		(3.24	)		(2.40	)		(1.81	)		2.97			(2.10	)
Net gain/(loss) on investments, net of minority interests		4.99			4.18			5.44			4.26			(3.09	)		3.59
Net income		2.49			2.04			4.43			3.50			0.73			2.36
Net asset value, June 30, 2007	$	109.15		$	98.01		$	118.67		$	101.38		$	106.38		$	109.17
Ratios to average net assets (3)
Net investment gain/(loss)		-4.79	%		-4.79	%		-1.79	%		-1.79	%		-6.75	%		-3.84	%
Expenses before incentive fees		3.93	%		3.93	%		0.94	%		0.94	%		5.21	%		2.30	%
Expenses after incentive fees		7.25	%		7.25	%		4.25	%		4.25	%		9.45	%		6.54	%
Total return before incentive fees (2)		4.11	%		4.67	%		5.40	%		7.56	%		9.59	%		16.89	%
Total return after incentive fees (2)		2.46	%		3.02	%		3.74	%		5.90	%		7.48	%		14.78	%

	Campbell/Graham/Tiverton						Currency						Winton/Graham
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2007	$	96.27		$	101.86		$	101.16		$	108.23		$	84.70		$	90.25
Net operating results:
Interest income		1.38			1.72			2.80			1.70			1.39			1.61
Expenses		(4.41	)		(3.75	)		(2.62	)		(0.74	)		(5.01	)		(4.28	)
Net gain/(loss) on investments, net of minority interests		10.85			11.95			3.95			5.16			14.37			15.65
Net income		7.82			9.92			4.13			6.12			10.75			12.98
Net asset value, June 30, 2007	$	104.09		$	111.78		$	105.29		$	114.35		$	95.45		$	103.23
Ratios to average net assets (3)
Net investment gain/(loss)		-6.50	%		-3.50	%		0.39	%		3.38	%		-8.33	%		-5.32	%
Expenses before incentive fees		5.93	%		2.94	%		5.59	%		2.60	%		7.52	%		4.51	%
Expenses after incentive fees		9.47	%		6.47	%		5.59	%		2.60	%		11.54	%		8.53	%
Total return before incentive fees (2)		10.55	%		11.06	%		4.24	%		6.40	%		13.57	%		15.81	%
Total return after incentive fees (2)		8.78	%		9.30	%		4.24	%		6.40	%		11.57	%		13.81	%

	Long Only Commodity						Long/Short Commodity						Managed Futures Index
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, January 1, 2007	$	95.45		$	97.13		$	100.42		$	102.93		$	96.75		$	98.43
Net operating results:
Interest income		8.23			7.40			1.68			1.90			22.18			20.44
Expenses		(4.73	)		(3.37	)		(3.81	)		(2.80	)		(15.28	)		(13.26	)
Net gain/(loss) on investments, net of minority interests		(1.67	)		(1.17	)		1.69			1.99			(6.26	)		(5.53	)
Net income		1.83			2.86			(0.44	)		1.09			0.64			1.65
Net asset value, June 30, 2007	$	97.28		$	99.99		$	99.98		$	104.02		$	97.39		$	100.08
Ratios to average net assets (3)
Net investment gain/(loss)		7.12	%		9.12	%		-4.77	%		-1.79	%		15.48	%		17.48	%
Expenses before incentive fees		9.61	%		7.62	%		6.95	%		3.96	%		34.26	%		32.27	%
Expenses after incentive fees		9.61	%		7.62	%		8.52	%		5.54	%		34.26	%		32.27	%
Total return before incentive fees (2)		2.37	%		1.45	%		0.00	%		1.96	%		1.67	%		4.74	%
Total return after incentive fees (2)		2.37	%		1.45	%		-0.78	%		1.18	%		1.67	%		4.74	%

(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

38

The following information presents the financial highlights of the Fund for the three months ended June 30, 2008 and 2007. This data has been derived from information presented in the financial statements.

	Balanced												Winton
	Class 1			Class 1a			Class 2			Class 2a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, April 1, 2008	$	107.97		$	96.68		$	120.08		$	102.30		$	124.60		$	130.80
Net operating results:
Interest income		0.06			0.05			0.06			0.06			0.09			0.09
Expenses		(2.68	)		(2.40	)		(2.08	)		(1.78	)		(2.89	)		(2.07	)
Net gain/(loss) on investments, net of minority interests		10.12			9.06			11.36			9.64			5.88			6.22
Net income		7.50			6.71			9.35			7.91			3.08			4.24
Net asset value, June 30, 2008	$	115.47		$	103.39		$	129.43		$	110.21		$	127.68		$	135.04
Ratios to average net assets (3)
Net investment gain/(loss)		-9.60	%		-9.60	%		-6.60	%		-6.60	%		-9.07	%		-6.08	%
Expenses before incentive fees		4.38	%		4.38	%		1.38	%		1.38	%		4.95	%		1.95	%
Expenses after incentive fees		9.81	%		9.81	%		6.81	%		6.81	%		9.35	%		6.36	%
Total return before incentive fees (2)		8.17	%		8.11	%		8.96	%		8.74	%		3.96	%		4.34	%
Total return after incentive fees (2)		6.81	%		6.75	%		7.60	%		7.39	%		2.87	%		3.24	%

	Campbell/Graham/Tiverton						Currency						Winton/Graham
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, April 1, 2008	$	96.64		$	106.14		$	106.50		$	118.32		$	105.87		$	117.14
Net operating results:
Interest income		0.03			0.04			0.10			0.11			0.04			0.04
Expenses		(2.45	)		(1.91	)		(1.37	)		(0.66	)		(3.76	)		(3.29	)
Net gain/(loss) on investments, net of minority interests		6.15			6.80			(1.31	)		(1.46	)		9.74			10.83
Net income		3.73			4.93			(2.58	)		(2.01	)		6.01			7.58
Net asset value, June 30, 2008	$	100.37		$	111.07		$	103.92		$	116.31		$	111.88		$	124.72
Ratios to average net assets (3)
Net investment gain/(loss)		-10.07	%		-7.07	%		-4.89	%		-1.89	%		-13.81	%		-10.83	%
Expenses before incentive fees		6.42	%		3.42	%		5.27	%		2.27	%		5.56	%		2.58	%
Expenses after incentive fees		10.22	%		7.22	%		5.27	%		2.27	%		13.95	%		10.97	%
Total return before incentive fees (2)		4.85	%		5.61	%		-2.40	%		-1.72	%		8.31	%		8.98	%
Total return after incentive fees (2)		3.90	%		4.66	%		-2.40	%		-1.72	%		6.22	%		6.89	%

	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, April 1, 2008	$	122.28		$	127.60		$	109.25		$	116.27		$	111.14		$	115.95
Net operating results:
Interest income		0.55			0.57			0.46			0.49			0.41			0.43
Expenses		(1.27	)		(0.63	)		(3.31	)		(2.66	)		(1.19	)		(0.69	)
Net gain/(loss) on investments, net of minority interests		21.91			22.92			6.16			6.59			(0.24	)		(0.23	)
Net income		21.19			22.86			3.31			4.42			(1.02	)		(0.49	)
Net asset value, June 30, 2008	$	143.47		$	150.46		$	112.56		$	120.69		$	110.12		$	115.46
Ratios to average net assets (3)
Net investment gain/(loss)		-2.17	%		-0.18	%		-10.42	%		-7.43	%		-2.90	%		-0.91	%
Expenses before incentive fees		3.83	%		1.83	%		6.44	%		3.45	%		4.42	%		2.43	%
Expenses after incentive fees		3.83	%		1.83	%		12.10	%		9.11	%		4.42	%		2.43	%
Total return before incentive fees (2)		15.84	%		16.36	%		4.69	%		5.34	%		-0.33	%		-0.14	%
Total return after incentive fees (2)		15.84	%		16.36	%		3.28	%		3.93	%		-0.33	%		-0.14	%

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

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

(3) Annualized

39

	Balanced												Winton
	Class 1			Class 1a			Class 2			Class 2a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, April 1, 2007	$	99.93		$	89.85		$	107.84		$	92.26		$	95.37		$	97.14
Net operating results:
Interest income		0.65			0.59			0.71			0.61			0.23			0.71
Expenses		(2.23	)		(2.01	)		(1.56	)		(1.35	)		(0.88	)		(1.97	)
Net gain/(loss) on investments, net of minority interests		10.80			9.58			11.68			9.86			11.66			13.29
Net income		9.22			8.16			10.83			9.12			11.01			12.03
Net asset value, June 30, 2007	$	109.15		$	98.01		$	118.67		$	101.38		$	106.38		$	109.17
Ratios to average net assets (3)
Net investment gain/(loss)		-5.98	%		-5.98	%		-2.98	%		-7.71	%		-7.71	%		-4.77	%
Expenses before incentive fees		3.98	%		3.98	%		0.98	%		5.29	%		5.29	%		2.35	%
Expenses after incentive fees		8.44	%		8.44	%		5.45	%		10.39	%		10.39	%		7.45	%
Total return before incentive fees (2)		9.80	%		9.65	%		10.58	%		10.78	%		10.78	%		10.72	%
Total return after incentive fees (2)		8.68	%		8.53	%		9.47	%		9.51	%		9.51	%		9.45	%

	Campbell/Graham/Tiverton						Currency						Winton/Graham
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, April 1, 2007	$	87.26		$	93.02		$	98.14		$	105.79		$	75.73		$	81.29
Net operating results:
Interest income		0.67			0.72			1.33			1.44			0.60			0.65
Expenses		(3.01	)		(2.45	)		(1.36	)		(0.64	)		(3.28	)		(2.84	)
Net gain/(loss) on investments, net of minority interests		19.17			20.49			7.18			7.76			22.40			24.13
Net income		16.83			18.76			7.15			8.56			19.72			21.94
Net asset value, June 30, 2007	$	104.09		$	111.78		$	105.29		$	114.35		$	95.45		$	103.23
Ratios to average net assets (3)
Net investment gain/(loss)		-9.78	%		-6.79	%		-0.10	%		2.89	%		-12.49	%		-9.49	%
Expenses before incentive fees		5.97	%		2.98	%		5.31	%		2.32	%		7.19	%		4.19	%
Expenses after incentive fees		12.59	%		9.59	%		5.31	%		2.32	%		15.28	%		12.28	%
Total return before incentive fees (2)		19.20	%		19.69	%		6.80	%		10.49	%		24.93	%		25.75	%
Total return after incentive fees (2)		17.55	%		18.04	%		6.80	%		10.49	%		22.91	%		23.73	%

	Long Only Commodity						Long/Short Commodity						Managed Futures Index
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, April 1, 2007	$	98.87		$	101.11		$	101.03		$	104.33		$	90.06		$	92.08
Net operating results:
Interest income		5.39			5.53			0.95			0.98			8.12			8.34
Expenses		(2.92	)		(2.49	)		(2.00	)		(1.29	)		(5.47	)		(5.15	)
Net gain/(loss) on investments, net of minority interests		(4.06	)		(4.16	)		0.00			(0.00	)		4.68			4.81
Net income		(1.59	)		(1.12	)		(1.05	)		(0.31	)		7.33			8.00
Net asset value, June 30, 2007	$	97.28		$	99.99		$	99.98		$	104.02		$	97.39		$	100.08
Ratios to average net assets (3)
Net investment gain/(loss)		10.15	%		12.16	%		-4.17	%		-1.19	%		11.40	%		13.40	%
Expenses before incentive fees		11.99	%		9.99	%		6.66	%		3.68	%		23.56	%		21.56	%
Expenses after incentive fees		11.99	%		9.99	%		7.92	%		4.94	%		23.56	%		21.56	%
Total return before incentive fees (2)		-1.74	%		-1.11	%		-0.91	%		0.14	%		7.88	%		8.78	%
Total return after incentive fees (2)		-1.74	%		-1.11	%		-1.22	%		-0.18	%		7.88	%		8.78	%

(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.

40

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 Item 2, Management’s Discussion and Analysis of Financial Condition and Results of Operations, Off-Balance Sheet Risk.

9. Subsequent Events

On August 5, 2008, the Balanced Series advanced an additional $11,000,000 to the Currency Series for the purpose of investing in the respective Trading Company for the Currency Series. The Balanced Series advances to the Currency Series participate on a pari passu basis with the Class 2 Units of the Currency Series. The Balanced Series reflect the change in value of the investments as “Net change in inter-series receivables” in the Statement of Operations.

The Currency Series liquidated its total return Swap on the FX Concepts Global Currency Program as of July 31, 2008. Effective August 8, 2008, the Currency Series invested $12,000,000 in total return swap linked to certain underlying investments as directed by the Managing Owner.

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

Introduction

The following discussion and tables should be read in conjunction with our consolidated financial statements and notes thereto included in this quarterly report and our 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.

41

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 June 30, 2008, cash deposited at the clearing brokers was $39,154,037 for the Balanced Series, $11,807,862 for the Winton Series, $7,880,067 for the Campbell/Graham/Tiverton Series, $893,116 for the Currency Series, $3,435 for the Long Only Commodity Series and $1,210,671 for the Long/Short Commodity Series. The clearing brokers are expected to credit each Trading Company with approximately 80%-100% of the interest earned on its average net assets on deposit with the clearing brokers each week. 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 equivalent such as money market funds, certificates of deposit (under nine months) and time deposits. Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Campbell/Graham/Tiverton Series, Currency Series and Winton/Graham Series. For the Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series, Long/Short Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner.

Approximately 10% to 20% of the Trust’s assets are expected to be committed as required margin for futures contracts and forward and options trading and held by the respective broker, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury bills in segregated accounts with the futures broker pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 2% to 6% of the Trust’s assets are expected to be deposited with over-the-counter counterparties in order to initiate and maintain 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 $51,199,070 for the Balanced Series, $36,590,099 for the Winton Series, $31,473,925 for the Campbell/Graham/Tiverton Series, $5,658,911 for the Currency Series, $16,136,277 for the Winton/Graham Series, $2,811,431 for the Long Only Commodity Series, $26,481,086 for the Long/Short Commodity Series and $1,111,533 for the Managed Futures Index Series.

Results of Operations

Three Months Ended June 30, 2008 Compared to Three Months Ended June 30, 2007

Balanced Series

The Balanced Series – Class 1 Net Asset Value gained 6.9% and 9.2%, respectively, for the three months ended June 30, 2008 and 2007, net of fees and expenses; the Balanced Series – Class 1a Net Asset Value gained 6.9% and 9.1%, respectively, for the three months ended June 30, 2008 and 2008, net of fees and expenses; the Balanced Series – Class 2 Net Asset Value gained 7.8% and 10.0%, respectively, for the three months ended June 30, 2008 and 2007, net of fees and expenses; the Balanced Series – Class 2a Net Asset Value gained 7.7% and 9.9%, respectively, for the three months ended June 30, 2008 and 2007, net of fees and expenses.

For the three months ended June 30, 2008, the Balanced Series recorded net gain on investments of $ 26,988,921, net interest of $136,293, and total expenses of $5,911,656, resulting in a net increase in Owners’ capital from

42

operations of $17,899,499 after minority interests of ($3,314,109). For the three months ended June 30, 2007 the Balanced Series recorded net gain on investments of $43,725,366, net interest of $1,793,704, and total expenses of $5,754,916, resulting in a net increase in Owners’ capital from operations of $25,741,932 after minority interests of ($14,022,222).

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.

Please see additional discussion under “Six Months Ended June 30, 2008 Compared to six Months Ended June 30, 2007 – Balanced Series.”

Winton Series

The Winton Series – Class 1 Net Asset Value gained 2.5% and 11.5%, respectively, for the three months ended June 30, 2008 and 2007, net of fees and expenses; the Winton Series – Class 2 Net Asset Value gained 3.2% and 12.4%, respectively, for the three months ended June 30, 2008 and 2007, net of fees and expenses.

For the three months ended June 30, 2008, the Winton Series recorded net gain on investments of $5,462,727, net interest of $49,907, and total expenses of $1,586,978, resulting in a net increase in Owners’ capital from operations of $2,095,748 after minority interests of ($1,829,908). For the three months ended June 30, 2007, the Winton Series recorded net gain on investments of $2,002,258, net interest of $120,310, and total expenses of $413,175, resulting in a net increase in Owners’ capital from operations of $1,709,393.

Please see additional discussion under “Six Months Ended June 30, 2008 Compared to six Months Ended June 30, 2007 – Winton Series.”

Campbell/Graham/Tiverton Series

The Campbell/Graham/Tiverton Series – Class 1 Net Asset Value gained 3.9% and 19.3%, respectively, for the three months ended June 30, 2008 and 2007, net of fees and expenses; the Campbell/Graham/Tiverton Series – Class 2 Net Asset Value gained 4.6% and 20.2%, respectively for the three months ended June 30, 2008 and 2007, net of fees and expenses.

For the three months ended June 30, 2008, the Campbell/Graham/Tiverton Series recorded net gain on investments of $ 5,242,267, net interest of $22,394, and total expenses of $1,560,307, resulting in a net increase in Owners’ capital from operations of $2,502,476 after minority interests of ($ 1,201,878). For the three months ended June 30, 2007, the Campbell/Graham Series recorded net gain on investments of $13,790,166, net interest of $417,669, and total expenses of $1,820,579, resulting in a net increase in Owners’ capital from operations of $10,524,015 after minority interests of ($1,863,241).

The Campbell/Graham/Tiverton Series was previously designated as the “Campbell/Graham Series,” and trading for the Series was directed only by Campbell and Graham. In May 2008, the Campbell/Graham Series was renamed the “Campbell/Graham/Tiverton Series” as Tiverton was added as a Trading Advisor to the Series. Please see additional discussion under “Six Months Ended June 30, 2008 Compared to six Months Ended June 30, 2007 – Campbell/Graham/Tiverton Series.”

Currency Series

The Currency Series – Class 1 Net Asset Value lost 2.4% and gained 7.3%,respectively, for the three months ended June 30, 2008 and 2007, net of fees and expenses; the Currency Series – Class 2 Net Asset Value lost 1.7% and gained 8.1%, respectively for the three months ended June 30, 2008 and 2007, net of fees and expenses.

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For the three months ended June 30, 2008, the Currency Series recorded net loss on investments of ($148,804), net interest of $11,758, and total expenses of $158,173, resulting in a net decrease in Owners’ capital from operations of ($295,219). For the three months ended June 30, 2007, the Currency Series recorded net gain on investments of $565,874, net interest of $105,559, and total expenses of $104,653, resulting in a net increase in Owners’ capital from operations of $566,780.

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

Please see additional discussion under “Six Months Ended June 30, 2008 Compared to six Months Ended June 30, 2007 – Currency Series.”

Winton/Graham Series

The Winton/Graham Series – Class 1 Net Asset Value gained 5.7% and 26.0%,respectively, for the three months ended June 30, 2008 and 2007, net of fees and expenses; the Winton/Graham Series – Class 2 Net Asset Value gained 6.5% and 27.0%, respectively for the three months ended June 30, 2008 and 2007, net of fees and expenses.

For the three months ended June 30, 2008, the Winton/Graham Series recorded net gain on investments of $1,292,494, net interest of $4,749, and total expenses of $445,477, resulting in a net increase in Owners’ capital from operations of $851,766. For the three months ended June 30, 2007, the Graham Series recorded net gain on investments of $1,863,241, net interest of $49,773, and total expenses of $257,665, resulting in a net increase in Owners’ capital from operations of $1,655,349.

The Winton/Graham Series was previously designated as the “Graham Series,” and trading for the Series was directed only by Graham. In May 2008, the Graham Series was renamed the “Winton/Graham Series” as Winton was added as a Trading Advisor to the Series. Please see additional discussion under “Six Months Ended June 30, 2008 Compared to six Months Ended June 30, 2007 – Winton/Graham Series.”

Long Only Commodity Series

The Long Only Commodity Series – Class 1 Net Asset Value gained 17.3% and lost 1.6%, respectively, for the three months ended June 30, 2008 and 2007, net of fees and expenses; the Long Only Commodity Series – Class 2 Net Asset Value gained 17.9% and lost 1.1% respectively, for the three months ended June 30, 2008 and 2007, net of fees and expenses.

For the three months ended June 30, 2008, the Long Only Commodity Series recorded net gain on investments of $1,097,768, net interest of $27,595, and total expenses of $61,931, resulting in a net increase in Owners’ capital from operations of $1,063,432. For the three months ended June 30, 2007, the Long Only Commodity Series recorded net loss on investments of $191,148, net interest of $247,243, and total expenses of $132,822, resulting in a net decrease in Owners’ capital from operations of $76,727.

Please see additional discussion under “Six Months Ended June 30, 2008 Compared to six Months Ended June 30, 2007 – Long Only Commodity Series.”

Long/Short Commodity Series

The Long/Short Commodity Series – Class 1 Net Asset Value gained 3.0% and lost 1.0%, respectively, for the three months ended June 30, 2008 and 2007, net of fees and expenses; the Long/Short Commodity Series – Class 2 Net Asset Value gained 3.8% and lost 0.3%, respectively, for the three months ended June 30, 2008 and 2007, net of fees and expenses.

For the three months ended June 30, 2008, the Long/Short Commodity Series recorded net gain on investments of $7,810,933, net interest of $201,383, and total expenses of $1,411,547, resulting in a net increase in Owners’ capital from operations of $1,606,510 after minority interests of ($4,994,259). For the three months ended June 30, 2007, the Long/Short Commodity Series recorded net loss on investments of $748,661, net interest of $268,564, and total expenses of $547,419, resulting in a net decrease in Owners’ capital from operations of $323,650 after minority interests of $703,866.

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Please see additional discussion under “Six Months Ended June 30, 2008 Compared to six Months Ended June 30, 2007 – Long/Short Commodity Series.”

Managed Futures Index Series

The Managed Futures Index Series – Class 1 Net Asset Value lost 0.9% and gained 8.1%, respectively, for the three months ended June 30, 2008 and 2007, net of fees and expenses; the Managed Futures Index Series – Class 2 Net Asset Value lost 0.4% and gained 8.7%, respectively, for the three months ended June 30, 2008 and 2007, net of fees and expenses.

For the three months ended June 30, 2008 the Managed Futures Index Series recorded a net gain on investments of $4,927, net interest of $5,777, and total expenses of $14,951, resulting in a net decrease in Owners’ capital from operations of ($4,247). For the three months ended June 30, 2007, the Managed Futures Index Series recorded a net gain on investments of $33,435, net interest of $57,326, and total expenses of $38,269, resulting in a net increase in Owners’ capital from operations of $52,492.

Please see additional discussion under “Six Months Ended June 30, 2008 Compared to six Months Ended June 30, 2007 – Managed Futures Index Series.”

Six Months Ended June 30, 2008 Compared to Six Months Ended June 30, 2007

Market Conditions for Six Months Ended June 30, 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%.

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Metals

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

Commodities

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

February 2008

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

Metals

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

Commodities

Soybean futures prices 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%.

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March 2008

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

Metals

The combination of a declining U.S. dollar, low interest rates and surging inflation 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.

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April 2008

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

Metals

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

Agriculturals

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

May 2008

Interest Rates

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

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Currencies

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

Stock Indices

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

Energy

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

Metals

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

Agriculturals

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

June 2008

Interest Rates

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

Currencies

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

Stock Indices

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

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Energy

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

Metals

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

Agriculturals

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

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Market Conditions for Six Months Ended June 30, 2007

January 2007

Interest Rates

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

Currencies

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

Stock Indices

Stock markets continued the upward trend that began 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 12,657.0 and finishing the month up 1.3% at 12,621.7. In Europe, futures on the German DAX finished the month up just over 3% while French CAC-40 futures were up 0.6%. Japanese Nikkei 225 futures finished the month higher by nearly 1%.

Energy

The petroleum markets went into a tailspin the first half of the month and finished lower despite a sharp recovery in the second half of January. After being down nearly 18% in the middle of the month, crude oil finished the month lower by 6.8% at $58.14. Heating oil was little changed, but gasoline blendstock lost 6.5%. Colder weather swept though 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 U.S. Dollar moved steadily downward against most major currencies in February, with the sole exception being the British Pound, which was only slightly lower. The Japanese Yen was up 1.8% and the Euro increased 1.5% against the U.S. Dollar. The Canadian Dollar climbed 0.6% against the U.S. Dollar and fell 0.9% against the Euro.

Stock Indices

The big story of the month was the 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

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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.

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 U.S. 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 U.S. Dollar. The Canadian Dollar climbed 1.4% against the U.S. Dollar and 0.4% against the Euro.

Stock Indices

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

Energy

After a lackluster first half of March, the energy complex rallied strongly on fears of increased Middle East instability when Iran took prisoner fifteen British sailors and Marines. Crude oil finished the month higher by 4.5% at $65.87/bbl. Heating oil was up 5.7% and gasoline blendstock continued an upward trend, gaining 9.0% by the end of March. While remaining range-bound, natural gas also 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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April 2007

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

Metals

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

Commodities

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

May 2007

Interest Rates

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

Currencies

After flirting with all-time lows in April, the U.S. Dollar Index recovered slightly in May, gaining 1% during the month. The Japanese Yen continued to fall, down an additional 1.8% against the U.S. Dollar, and the Euro fell 1.4%, driving the Euro/Yen cross rate to another new record high, up 0.4%. While the Australian Dollar was little changed, the Canadian Dollar continued its meteoric rise, climbing nearly 4% against the U.S. Dollar for the second month in a row and 5.3% against the Euro.

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Stock Indices

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

Energy

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

Metals

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

Commodities

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

June 2007

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

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Metals

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

Commodities

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

Balanced Series

2008

The Balanced Series – Class 1 Net Asset Value gained 13.8% for the six months ended June 30, 2008, net of fees and expenses; the Balanced Series – Class 1a Net Asset Value gained 13.7% for the six months ended June 30, 2008, net of fees and expenses; the Balanced Series – Class 2 Net Asset Value gained 15.6% for the six months ended June 30, 2008, net of fees and expenses; the Balanced Series – Class 2a Net Asset Value gained 15.4% for the six months ended June 30, 2008, net of fees and expenses.

For the six months ended June 30, 2008, the Balanced Series recorded net gain on investments of $ 55,473,645, net interest of $834,442, and total expenses of $12,483,593, resulting in a net increase in Owners’ capital from operations of $ 34,121,527 after minority interests of ($ 9,702,967). The Net Asset Value per Unit, Class 1, increased from $101.46 at December 31, 2007, to $115.47 at June 30, 2008. For Class 1a, the Net Asset Value per Unit increased from $90.90 at December 31, 2007, to $103.39 at June 30, 2008. The Net Asset Value per Unit, Class 2, increased from $112.00 at December 31, 2007, to $129.43 June 30, 2008. For Class 2a, the Net Asset Value per Unit increased from $95.47 at December 31, 2007, to $110.21 at June 30, 2008. Total Class 1 subscriptions and redemptions for the six months were $11,529,557 and $30,168,611, respectively. Total Class 1a subscriptions and redemptions for the six month period were $281,049 and $625,626, respectively. Total Class 2 subscriptions and redemptions for the six months were $2,038,937 and $4,985,466, respectively. Total Class 2a subscriptions and redemptions for the six month period were $18,900 and $130,400, respectively. Ending capital at June 30, 2008, was $212,318,379 for Class 1, $6,044,120 for Class 1a, $49,982,022 for Class 2 and $1,320,192 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.

The Balanced Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Six Months Ended June 30, 2008, for additional information regarding these sectors.

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Sector Attribution for the Balanced Series

2007

The Balanced Series – Class 1 Net Asset Value gained 2.3% for the six months ended June 30, 2007, net of fees and expenses; the Balanced Series – Class 1a Net Asset Value gained 2.1% for the six months ended June 30, 2007, net of fees and expenses; the Balanced Series – Class 2 Net Asset Value gained 3.9% for the six months ended June 30, 2007, net of fees and expenses; the Balanced Series – Class 2a Net Asset Value gained 3.6% for the six months ended June 30, 2007, net of fees and expenses.

For the six months ended June 30, 2007, the Balanced Series recorded net gain on investments of $21,873,313, net interest of $3,515,558, and total expenses of $9,595,608, resulting in a net increase in Owners’ capital from operations of $7,758,094 after minority interests of ($8,035,169). The Net Asset Value per Unit, Class 1, increased from $106.66 at December 31, 2006, to $109.15 at June 30, 2007. For Class 1a, the Net Asset Value per Unit increased from $95.97 at December 31, 2006, to $98.01 at June 30, 2007. The Net Asset Value per Unit, Class 2, increased from $114.24 at December 31, 2006, to $118.67 June 30, 2007. For Class 2a, the Net Asset Value per Unit increased from $97.88 at December 31, 2006, to $101.38 at June 30, 2007. Total Class 1 subscriptions and redemptions for the six months were $33,844,393 and $22,948,693, respectively. Total Class 1a subscriptions and redemptions for the six month period were $1,914,242 and $640,665, respectively. Total Class 2 subscriptions and redemptions for the six months were $7,979,095 and $5,446,332, respectively. Total Class 2a subscriptions and redemptions for the six month period were $682,760 and $0, respectively. Ending capital at June 30, 2007, was $241,128,267 for Class 1, $5,624,646 for Class 1a, $52,990,324 for Class 2 and $1,406,629 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 may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Six Months Ended June 30, 2007, for additional information regarding these sectors.

Sector Attribution for the Balanced Series

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Winton Series

2008

The Winton Series – Class 1 Net Asset Value gained 12.2% for the six months ended June 30, 2008, net of fees and expenses; the Winton Series – Class 2 Net Asset Value gained 13.9% for the six months ended June 30, 2008, net of fees and expenses.

For the six months ended June 30, 2008, the Winton Series recorded net gain on investments of $11,640,138, net interest of $186,228, and total expenses of $3,169,544, resulting in a net increase in Owners’ capital from operations of $6,826,914 after minority interests of ($1,829,908). The Net Asset Value per Unit, Class 1, increased from $113.83 at December 31, 2007, to $127.68 as of June 30, 2008. The Net Asset Value per Unit, Class 2, increased from $118.61 at December 31, 2007, to $135.04 as of June 30, 2008. Total Class 1 subscriptions for the six months were $25,294,191 and redemptions were $1,876,404. Total Class 2 subscriptions and redemptions for the six month period were $0, and $194,925, respectively. Ending capital at June 30, 2008, was $64,478,935 for Class 1 and $11,610,002 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 may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Six Months Ended June 30, 2008, for additional information regarding these sectors.

Sector Attribution for the Winton Series

2007

The Winton Series – Class 1 Net Asset Value gained 0.7% for the six months ended June 30, 2007, net of fees and expenses; the Winton Series – Class 2 Net Asset Value gained 2.2% for the six months ended June 30, 2007, net of fees and expenses.

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For the six months ended June 30, 2007, the Winton Series recorded net gain on investments of $1,410,914, net interest of $145,643, and total expenses of $451,566, resulting in a net increase in Owners’ capital from operations of $1,104,991. The Net Asset Value per Unit, Class 1, increased from $105.65 at December 31, 2006, to $106.38 as of June 30, 2007. The Net Asset Value per Unit, Class 2, increased from $106.81 at December 31, 2006, to $109.17 as of June 30, 2007. Total Class 1 subscriptions for the six months were $15,051,609 and redemptions were $161,472. Total Class 2 subscriptions and redemptions for the six month period were $8,633,253, and $44,242, respectively. Ending capital at June 30, 2007, was $15,753,839 for Class 1 and $9,477,945 for Class 2. Ending capital at December 31, 2006, was $356,924 for Class 1 and $290,721 for Class 2.

The Winton Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Six Months Ended June 30, 2007, for additional information regarding these sectors.

Sector Attribution for the Winton Series

Campbell/Graham/Tiverton Series

2008

The Campbell/Graham/Tiverton Series – Class 1 Net Asset Value gained 9.2% for the six months ended June 30, 2008, net of fees and expenses; the Campbell/Graham/Tiverton Series – Class 2 Net Asset Value gained 10.8% for the six months ended June 30, 2008, net of fees and expenses.

For the six months ended June 30, 2008, the Campbell/Graham/Tiverton Series recorded net gain on investments of $ 10,755,828, net interest of $186,534, and total expenses of $ 2,862,365, resulting in a net increase in Owners’ capital from operations of $5,686,203 after minority interests of ($2,393,794). The Net Asset Value per Unit, Class 1, increased from $91.90 at December 31, 2007, to $100.37 as of June 30, 2008. The Net Asset Value per Unit, Class 2, increased from $100.20 at December 31, 2007, to $111.07 as of June 30, 2008. Total Class 1 subscriptions for the six months ended June 30, 2008, were $5,497,799 and redemptions were $6,307,796. Total Class 2 subscriptions and redemptions for the six months ended June 30, 2008, were $481,613, and $777,284, respectively. Ending capital at June 30, 2008, was $59,797,752 for Class 1 and $6,133,687 for Class 2. Ending capital at December 31, 2007, was $55,530,902 for Class 1 and $5,820,002 for Class 2.

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The Campbell/Graham/Tiverton Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Six Months Ended June 30, 2007, for additional information regarding these sectors.

Sector Attribution for the Campbell/Graham/Tiverton Series

2007

The Campbell/Graham/Tiverton Series – Class 1 Net Asset Value gained 8.1% for the six months ended June 30, 2007, net of fees and expenses; the Campbell/Graham/Tiverton Series – Class 2 Net Asset Value gained 9.7% for the six months ended June 30, 2007, net of fees and expenses.

For the six months ended June 30, 2007, the Campbell/Graham/Tiverton Series recorded net gain on investments of $8,106,126, net interest of $855,639, and total expenses of $2,621,517, resulting in a net increase in Owners’ capital from operations of $5,116,718 after minority interests of ($1,223,530). The Net Asset Value per Unit, Class 1, increased from $96.27 at December 31, 2006, to $104.09 as of June 30, 2007. The Net Asset Value per Unit, Class 2, increased from $101.86 at December 31, 2006, to $111.78 as of June 30, 2007. Total Class 1 subscriptions for the six months ended June 30, 2007, were $7,294,646 and redemptions were $3,529,345. Total Class 2 subscriptions and redemptions for the six months ended June 30, 2007, were $703,818, and $2,803,929, respectively. Ending capital at June 30, 2007, was $57,050,061 for Class 1 and $5,925,328 for Class 2. Ending capital at December 31, 2006, was $48,843,314 for Class 1 and $7,350,167 for Class 2.

The Campbell/Graham/Tiverton Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Six Months Ended June 30, 2007, for additional information regarding these sectors.

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Sector Attribution for the Campbell/Graham/Tiverton Series

Currency Series

2008

The Currency Series – Class 1 Net Asset Value gained 3.2% for the six months ended June 30, 2008, net of fees and expenses; the Currency Series – Class 2 Net Asset Value gained 4.8% for the six months ended June 30, 2008, net of fees and expenses.

For the six months ended June 30, 2008, the Currency Series recorded net gain on investments of $614,512, net interest of $53,654, and total expenses of $299,858, resulting in a net increase in Owners’ capital from operations of $368,308. The Net Asset Value per Unit, Class 1, increased from $100.66 at December 31, 2007, to $103.92 as of June 30, 2008. The Net Asset Value per Unit, Class 2, increased from $111.00 at December 31, 2007, to $116.31 as of June 30, 2008. Total Class 1 subscriptions and redemptions for the six months ending June 30, 2008 were $2,845,725, and $769,516, respectively. Total Class 2 subscriptions and redemptions for the six months ending June 30, 2008, were $54,750 and $6,364, respectively. Ending capital at June 30, 2008, was $12,196,894 for Class 1 and $888,016 for Class 2. Ending capital at December 31, 2007, was $9,791,812 for Class 1 and $800,194 for Class 2.

The Currency Series may have both long and short exposure to the Currencies sector only. See comments above underMarket Conditions for Six Months Ended June 30, 2008, for additional information regarding these sectors.

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

2007

The Currency Series – Class 1 Net Asset Value gained 4.1% for the six months ended June 30, 2007, net of fees and expenses; the Currency Series – Class 2 Net Asset Value gained 5.7% for the six months ended June 30, 2007, net of fees and expenses.

For the six months ended June 30, 2007, the Currency Series recorded net gain on investments of $320,308, net interest of $233,837, and total expenses of $212,070, resulting in a net increase in Owners’ capital from operations of $342,075. The Net Asset Value per Unit, Class 1, increased from $101.16 at December 31, 2006, to $105.29 as of June 30, 2007. The Net Asset Value per Unit, Class 2, increased from $108.23 at December 31, 2006, to $114.35 as of June 30, 2007. Total Class 1 subscriptions and redemptions for the three months ending June 30, 2007 were $1,823,315, and $155,616, respectively. Total Class 2 subscriptions and redemptions for the six months ending June 30, 2007, were $1,074,500 and $283,430, respectively. Ending capital at June 30, 2007, was $8,872,959 for Class 1 and $1,314,512 for Class 2. Ending capital at December 31, 2006, was $6,891,891 for Class 1 and $494,736 for Class 2.

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The Currency Series may have both long and short exposure to the Currencies sector only. See comments above underMarket Conditions for Six Months Ended June 30, 2007, for additional information regarding these sectors.

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

Winton/Graham Series

2008

The Winton/Graham Series – Class 1 Net Asset Value gained 17.7% for the six months ended June 30, 2008, net of fees and expenses; the Winton/Graham Series – Class 2 Net Asset Value gained 19.5% for the six months ended June 30, 2008, net of fees and expenses.

For the six months ended June 30, 2008, the Winton/Graham Series recorded net gain on investments of $2,562,863, net interest of $27,745, and total expenses of $750,696, resulting in a net increase in Owners’ capital from operations of $1,839,912. The Net Asset Value per Unit, Class 1, increased from $ 95.04 at December 31, 2007, to $111.88 as of June 30, 2008. The Net Asset Value per Unit, Class 2, increased from $104.37 at December 31, 2007, to $124.72 as of June 30, 2008. Total Class 1 subscriptions and redemptions for the six months were $9,004,795 and $564,089, respectively. Total Class 2 subscriptions and redemptions for the six months were $2,497,364 and $34,803, respectively. Ending capital at June 30, 2008, was $15,923,517 for Class 1 and $4,688,645 for Class 2. Ending capital at December 31, 2007, was $6,060,207 for Class 1 and $1,808,776 for Class 2.

The Winton/Graham Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Six Months Ended June 30, 2008, for additional information regarding these sectors.

Sector Attribution for the Winton/Graham Series

2007

The Winton/Graham Series – Class 1 Net Asset Value gained 12.7% for the six months ended June 30, 2007, net of fees and expenses; the Winton/Graham Series – Class 2 Net Asset Value gained 14.4% for the six months ended June 30, 2007, net of fees and expenses.

For the six months ended June 30, 2007, the Winton/Graham Series recorded net gain on investments of $1,147,390, net interest of $115,154, and total expenses of $385,070, resulting in a net increase in Owners’ capital from operations of $877,474. The Net Asset Value per Unit, Class 1, increased from $84.70 at December 31, 2006, to $95.45 as of June 30, 2007. The Net Asset Value per Unit, Class 2, increased from $90.25 at December 31, 2006, to $103.23 as of June 30, 2007. Total Class 1 subscriptions and redemptions for the six months were $224,427 and $1,297,109, respectively. There were no Class 2 subscriptions for the six months ended June 30, 2007. Class 2

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redemptions were $551,191 for the six month period. Ending capital at June 30, 2007, was $5,525,371 for Class 1 and $1,769,062 for Class 2. Ending capital at December 31, 2006, was $5,991,337 for Class 1 and $2,049,495 for Class 2.

The Winton/Graham Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Six Months Ended June 30, 2007, for additional information regarding these sectors.

Sector Attribution for the Winton/Graham Series

Long Only Commodity Series

2008

The Long Only Commodity Series – Class 1 Net Asset Value gained 29.5% for the six months ended June 30, 2008, net of fees and expenses; the Long Only Commodity Series – Class 2 Net Asset Value gained 30.8% for the six months ended June 30, 2008, net of fees and expenses.

For the six months ended June 30, 2008, the Long Only Commodity Series recorded net gain on investments of $1,643,993, net interest of $59,377, and total expenses of $112,665, resulting in a net increase in Owners’ capital from operations of $1,590,705. The Net Asset Value per Unit, Class 1, increased from $110.79 at December 31, 2007 to $143.47 as of June 30, 2008. The Net Asset Value per Unit, Class 2, increased from $115.04 at December 31, 2007, to $150.46 as of June 30, 2008. Total Class 1 subscriptions and redemptions for the six months were $1,290,287 and $426,102, respectively. Total Class 2 subscriptions and redemptions for the six months were $108,500 and $18,003, respectively. Ending capital at June 30, 2008, was $7,087,223 for Class 1 and $488,232 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 may have long-only exposure in the Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Six Months Ended June 30, 2008, for additional information regarding these sectors.

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

2007

The Long Only Commodity Series – Class 1 Net Asset Value gained 1.9% for the six months ended June 30, 2007, net of fees and expenses; the Long Only Commodity Series – Class 2 Net Asset Value gained 2.9% for the six months ended June 30, 2007, net of fees and expenses.

For the six months ended June 30, 2007, the Long Only Commodity Series recorded net loss on investments of $56,686, net interest of $378,698, and total expenses of $215,871, resulting in a net increase in Owners’ capital from

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operations of $106,141. The Net Asset Value per Unit, Class 1, increased from $95.45 at December 31, 2006 to $97.28 as of June 30, 2007. The Net Asset Value per Unit, Class 2, increased from $97.13 at December 31, 2006, to $99.99 as of June 30, 2007. Total Class 1 subscriptions and redemptions for the six months were $882,020 and $1,120,823, respectively. Total Class 2 subscriptions and redemptions for the six months were $123,883 and $35,288, respectively. Ending capital at June 30, 2007, was $4,186,383 for Class 1 and $206,415 for Class 2. Ending capital at December 31, 2006, was $4,321,464 for Class 1 and $115,401 for Class 2.

The Long Only Commodity Series may have long-only exposure in the Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Six Months Ended June 30, 2007, for additional information regarding these sectors.

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

Long/Short Commodity Series

2008

The Long/Short Commodity Series – Class 1 Net Asset Value gained 10.9% for the six months ended June 30, 2008, net of fees and expenses; the Long/Short Commodity Series – Class 2 Net Asset Value gained 12.6% for the six months ended June 30, 2008, net of fees and expenses.

For the six months ended June 30, 2008, the Long/Short Commodity Series recorded net gain on investments of $14,342,482, net interest of $419,153, and total expenses of $2,546,338, resulting in a net increase in Owners’ capital from operations of $4,303,482 after minority interests of ($7,911,815). The Net Asset Value per Unit, Class 1, increased from $101.47 at December 31, 2007, to $112.56 as of June 30, 2008. The Net Asset Value per Unit, Class 2, increased from $107.19 at December 31, 2007, to $120.69 as of June 30, 2008. Total Class 1 subscriptions and redemptions for the six months were $16,083,793 and $2,616,688, respectively. Total Class 2 subscriptions and redemptions for the six months were $1,488,431 and $138,492, respectively. Ending capital at June 30, 2008, was $48,364,193 for Class 1 and $5,507,969 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 may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors, although the majority of the exposure will typically be in the Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Six Months Ended June 30, 2008, for additional information regarding these sectors.

Sector Attribution for the Long/Short Commodity Series

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2007

The Long/Short Commodity Series – Class 1 Net Asset Value lost 0.4% for the six months ended June 30, 2007, net of fees and expenses; the Long/Short Commodity Series – Class 2 Net Asset Value gained 1.1% for the six months ended June 30, 2007, net of fees and expenses.

For the six months ended June 30, 2007, the Long/Short Commodity Series recorded net loss on investments of $1,394,545, net interest of $481,561, and total expenses of $1,054,055, resulting in a net decrease in Owners’ capital from operations of $149,410 after minority interests of $1,817,629. The Net Asset Value per Unit, Class 1, decreased from $100.42 at December 31, 2006, to $99.98 as of June 30, 2007. The Net Asset Value per Unit, Class 2, increased from $102.93 at December 31, 2006, to $104.02 as of June 30, 2007. Total Class 1 subscriptions and redemptions for the six months were $10,995,825 and $1,813,495, respectively. Total Class 2 subscriptions and redemptions for the six months were $460,183 and $364,162, respectively. Ending capital at June 30, 2007, was $28,479,912 for Class 1 and $2,825,106 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 may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors, although the majority of the exposure will typically be in the Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Six Months Ended June 30, 2007, for additional information regarding these sectors.

Sector Attribution for the Long/Short Commodity Series

Managed Futures Index Series

2008

The Managed Futures Index Series – Class 1 Net Asset Value gained 9.5% for the six months ended June 30, 2008, net of fees and expenses; the Managed Futures Index Series – Class 2 Net Asset Value gained 10.6% for the six months ended June 30, 2008, net of fees and expenses.

For the six months ended June 30, 2008 the Managed Futures Index Series recorded a net gain on investments of $116,472, net interest of $12,128, and total expenses of $24,927, resulting in a net increase in Owners’ capital from operations of $103,673. The Net Asset Value per Unit, Class 1, increased from $100.59 at December 31, 2007, to $110.12 as of June 30, 2008. The Net Asset Value per Unit, Class 2, increased from $104.42 at December 31, 2007, to $115.46 as of June 30, 2008. Total Class 1 subscriptions and redemptions for the six months were $708,950 and $90,387, respectively. Total Class 2 subscriptions and redemptions for the six months were $44,800 and $13,038, respectively. Ending capital at June 30, 2008, was $1,307,579 for Class 1 and $403,868 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 may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Six Months Ended June 30, 2008, for additional information regarding these sectors.

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Sector Attribution for the Managed Futures Index Series

2007

The Managed Futures Index Series – Class 1 Net Asset Value gained 0.7% for the six months ended June 30, 2007, net of fees and expenses; the Managed Futures Index Series – Class 2 Net Asset Value gained 1.7% for the six months ended June 30, 2007, net of fees and expenses.

For the six months ended June 30, 2007 the Managed Futures Index Series recorded a net loss on investments of $35,973, net interest of $152,732, and total expenses of $104,579, resulting in a net increase in Owners’ capital from operations of $12,180. The Net Asset Value per Unit, Class 1, increased from $96.75 at December 31, 2006, to $97.39 as of June 30, 2007. The Net Asset Value per Unit, Class 2, increased from $98.43 at December 31, 2006, to $100.08 as of June 30, 2007. Total Class 1 subscriptions and redemptions for the six months were $199,685 and $78,743, respectively. Total Class 2 subscriptions for the six months ended June 30, 2007 were $30,000. There were no redemptions. Ending capital at June 30, 2007, was $630,260 for Class 1 and $85,591 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 may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Six Months Ended June 30, 2007, for additional information regarding these sectors.

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 June 30, 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.

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.

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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 8, Notes to Financial Statements as of June 30, 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 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.

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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 each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of June 30, 2008 and December 31, 2007. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

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Balanced Series:

	June 30, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	2,234,534	0.8	%	$	4,141,800	1.6	%
Currencies	$	3,224,893	1.2	%	$	12,550,205	4.9	%
Stock Indices	$	12,069,728	4.5	%	$	16,386,874	6.4	%
Metals	$	2,485,947	0.9	%	$	2,218,094	0.9	%
Agriculturals/Softs	$	1,774,590	0.7	%	$	5,268,753	2.0	%
Energy	$	2,069,331	0.8	%	$	2,427,354	0.9	%
Total:	$	23,859,023	8.9	%	$	42,993,080	16.7	%

Winton Series:

	June 30, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	441,712	0.6	%	$	926,827	2.0	%
Currencies	$	265,016	0.3	%	$	912,891	2.0	%
Stock Indices	$	842,670	1.1	%	$	396,460	0.9	%
Metals	$	50,406	0.1	%	$	321,324	0.7	%
Agriculturals/Softs	$	334,787	0.4	%	$	458,927	1.0	%
Energy	$	600,164	0.8	%	$	285,114	0.6	%
Total:	$	2,534,755	3.3	%	$	3,301,543	7.2	%

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Currency Series:

	June 30, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	0	0	%	$	0	0	%
Currencies	$	2,004,187	15.3	%	$	1,416,836	13.4	%
Stock Indices	$	0	0	%	$	0	0	%
Metals	$	0	0	%	$	0	0	%
Agriculturals/Softs	$	0	0	%	$	0	0	%
Energy	$	0	0	%	$	0	0	%
Total:	$	2,004,187	15.3	%	$	1,416,836	13.4	%

Winton/Graham Series:

	June 30, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	112,504	0.5	%	$	12,456	0.2	%
Currencies	$	844,403	4.1	%	$	528,103	6.7	%
Stock Indices	$	391,024	1.9	%	$	41,051	0.5	%
Metals	$	14,296	0.1	%	$	19,450	0.2	%
Agriculturals/Softs	$	134,697	0.7	%	$	12,621	0.2	%
Energy	$	217,206	1.1	%	$	15,508	0.2	%
Total:	$	1,714,130	8.4	%	$	629,189	8.0	%

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Campbell/Graham/Tiverton Series:

	June 30, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	360,398	0.5	%	$	1,069,340	1.7	%
Currencies	$	3,238,019	4.9	%	$	6,743,483	11.0	%
Stock Indices	$	1,705,560	2.6	%	$	2,393,573	3.9	%
Metals	$	18,693	0.0	%	$	528,218	0.9	%
Agriculturals/Softs	$	205,886	0.3	%	$	54,560	0.1	%
Energy	$	480,061	0.7	%	$	364,034	0.6	%
Total:	$	6,008,617	9.0	%	$	11,153,208	18.2	%

Long Only Commodity Series:

	June 30, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates		—	0.0	%		—	0.0	%
Currencies		—	0.0	%		—	0.0	%
Stock Indices		—	0.0	%		—	0.0	%
Metals	$	160,800	2.1	%	$	120,000	2.4	%
Agriculturals/Softs	$	227,800	3.0	%	$	170,000	3.4	%
Energy	$	281,400	3.7	%	$	210,000	4.2	%
Total:	$	670,000	8.8	%	$	500,000	10.0	%

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Long/Short Commodity Series:

	June 30, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	144,005	0.3	%	$	64,368	0.2	%
Currencies	$	12,430	0.0	%	$	31,556	0.1	%
Stock Indices	$	221,455	0.4	%	$	65,182	0.2	%
Metals	$	207,249	0.4	%	$	182,014	0.5	%
Agriculturals/Softs	$	998,415	1.9	%	$	1,147,408	3.3	%
Energy	$	1,024,508	1.9	%	$	362,885	1.0	%
Total:	$	2,608,062	4.9	%	$	1,853,413	5.3	%

Managed Futures Index Series:

	June 30, 2008				December 31, 2007
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION		VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	7,332	0.4	%	$	15,078	1.6	%
Currencies	$	69,521	4.1	%	$	32,901	3.4	%
Stock Indices	$	51,263	3.0	%	$	4,399	0.5	%
Metals	$	5,974	0.3	%	$	6,421	0.7	%
Agriculturals/Softs	$	12,179	0.7	%	$	6,504	0.7	%
Energy	$	12,931	0.8	%	$	7,777	0.8	%
Total:	$	159,200	9.3	%	$	73,080	7.7	%

(1) As of June 30, 2008, the Balanced Series was invested in the Currency Series. The Balanced Series effective ownership in this Series as of June 30, 2008, was 26.6%. Including its investment in this Series, total value at risk for the Balanced Series would be $24,393,059, or 9.0% of capitalization as of June 30, 2008.

(2) As of June 30, 2008, the Balanced Series was invested in a Swap with a notional value of $89,886,858. 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

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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 June 30, 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 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/Tiverton Series, Currency Series and Winton/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.

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Metals

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

Agriculturals/Softs

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

Energy

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

Other Trading Risks

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

The Trading Companies’ trading is subject to execution risks. Market conditions may make it impossible for the Trading Advisors to execute a buy or sell order at the desired price, or to close out an open position. Daily price fluctuation limits are established by the exchanges and approved by the 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

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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 June 30, 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.

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

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

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10.4	Form of Cash Management Agreement between Equinox Fund Management, LLC and Merrill Lynch**
10.41	Form of Cash Management Agreement between Equinox Fund Management, LLC and STW Fixed Income Management Ltd.***
10.5	Form of single-member limited liability company operating agreement governing each Trading Company***
31.1	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 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)

78

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)
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 or the second post-effective amendment to Registration Statement No. 333-140240 and incorporated by reference herein.

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

79

SIGNATURES

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

	The Frontier Fund
	(Registrant)
Date: August 12, 2008	By:	/s/ Brent Bales
		Brent Bales
		Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

80

SIGNATURES

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

	Balanced Series,
	a Series of The Frontier Fund
	(Registrant)
Date: August 12, 2008	By:	/s/ Brent Bales
		Brent Bales
		Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

81

SIGNATURES

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

	Winton/Graham Series,
	a Series of The Frontier Fund
	(Registrant)
Date: August 12, 2008	By:	/s/ Brent Bales
		Brent Bales
		Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

82

SIGNATURES

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

	Winton Series,
	a Series of The Frontier Fund
	(Registrant)
Date: August 12, 2008	By:	/s/ Brent Bales
		Brent Bales
		Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

83

SIGNATURES

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

	Campbell/Graham/Tiverton Series,
	a Series of The Frontier Fund
	(Registrant)
Date: August 12, 2008	By:	/s/ Brent Bales
		Brent Bales
		Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

84

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: August 12, 2008	By:	/s/ Brent Bales
		Brent Bales
		Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

85

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: August 12, 2008	By:	/s/ Brent Bales
		Brent Bales
		Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

86

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: August 12, 2008	By:	/s/ Brent Bales
		Brent Bales
		Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

87

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: August 12, 2008	By:	/s/ Brent Bales
		Brent Bales
		Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

88