1261379--3/15/2006--FRONTIER

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{interest, director, officer}

{investment, property, distribution}

{tax, income, asset}

{loss, insurance, financial}

{operation, international, foreign}

{system, service, information}

{loan, real, estate}

{stock, price, share}

{stock, price, operating}

{cost, contract, operation}

{property, intellectual, protect}

{customer, product, revenue}

{acquisition, growth, future}

{operation, natural, condition}

{control, financial, internal}

{personnel, key, retain}

{condition, economic, financial}

{financial, litigation, operation}

{regulation, change, law}

The commodity interest markets in which the Trading Advisors trade are highly volatile, which could cause substantial losses and may cause you to lose your entire investment. Futures, forward and options trading is volatile and may cause large losses. Options trading can be more volatile and expensive than futures trading and may cause large losses. Futures, forward and options trading is highly leveraged and may cause large losses. Futures, forward and options trading may be illiquid and may cause large losses. Options are volatile and inherently leveraged, and sharp movements in prices could cause the Trust to incur large losses. Exchanges of futures for physicals may adversely affect performance. Cash flow needs may cause positions to be closed which may cause substantial losses. The Trading Companies may enter into swap and similar transactions which may create risks. Over-the-counter transactions are subject to little, if any, regulation and may be subject to the risk of counterparty default. Your investment could be illiquid. New exchange-traded commodity interest contracts, including security futures, are characterized by a higher degree of illiquidity and volatility, which may subject investors in those contracts to increased losses. An investment in the Trust may not diversify an overall portfolio and portfolio risk may be increased. Trading in international markets creates exposure to credit and regulatory risk. International trading activities are subject to foreign exchange risk. International trading may cause exposure to losses resulting from foreign exchanges that are less developed or less reliable than U.S. exchanges. Each Series start-up period entails increased investment risks. The trading on behalf of each Series will be highly leveraged, which means that sharp declines in price could lead to large losses. There are disadvantages to making trading decisions based on technical analysis. There are disadvantages to making trading decisions based on fundamental analysis. The risk management approaches of one or all of the Trading Advisors may not be fully effective, and a Series may incur losses. Increased competition from other trend-following traders could reduce the Trading Advisors profitability. Discretionary decision-making may result in missed opportunities or losses. Speculative position limits and daily price fluctuation limits may force the alteration of trading decisions which may cause a Series to forego profitable trades or strategies. Increases in assets under management of any of the Trading Advisors may affect trading decisions and may cause losses. The use of multiple Trading Advisors may result in offsetting or opposing trading positions and may also require one Trading Advisor to fund the margin requirements of another Trading Advisor. The Trading Advisors trading programs bear some similarities and, therefore, may lessen the benefits to the Balanced Series, the Campbell/Graham Series, the Currency Series and the Long/Short Commodity Series of having multiple Trading Advisors. Each Series other than the Long Only Commodity Series relies on its Trading Advisor(s) for success, and if a Trading Advisor s trading is unsuccessful, the Series may incur losses. The Trading Advisors or their trading strategies may not continually serve the Series which may put such Series at a disadvantage or incur losses for such Series. Each Trading Advisor s past performance record is inconsistent, and the Trading Advisor s trading for a Series could be similarly inconsistent and incur losses. Each Trading Advisor advises other clients and may achieve more favorable results for its other accounts. The Trading Advisors positions may be concentrated from time to time, which may render each Series susceptible to larger losses than if the positions were more diversified. Markets or positions may be correlated and may expose a Series to significant risk of loss. Turnover in each Series portfolio may be high which could result in higher brokerage commissions and transaction fees and expenses. Past performance is not necessarily indicative of future performance. There is no principal protection feature, and you could lose your entire investment. Performance is not correlated to the debt or equity markets, but during certain periods a given Series may perform in a manner very similar to more traditional portfolio holdings, providing few, if any, diversification benefits. The Trust has a limited operating history, and you have limited performance information on which to evaluate an investment in a Series. Each Series is charged substantial fees and expenses regardless of profitability. You may not be able to purchase Class 2 Units unless you have a particular relationship with a Selling Agent or if Class 2 Units are not available for purchase. The Trust may incur higher fees and expenses upon renewing existing or entering into new contractual relationships. The incentive fees could be an incentive to the Trading Advisors to make riskier investments. The interest rate floor may create financial risk. You have limited rights, and you cannot prevent the Trust from taking actions which could cause losses. You may not be able to establish a basis for liability against a Trading Advisor, a Clearing Broker or the Swap Counterparty. An unanticipated number of redemption requests during a short period of time could have an adverse effect on the Net Asset Value of a Series. Reserves for contingent liabilities may be established upon redemption, and the Trust may withhold a portion of your redemption amount. Conflicts of interest exist in the structure and operation of the Trust. The failure or bankruptcy of one of its Futures Clearing Brokers could result in a substantial loss of one or more Series assets. You will not be able to review any Series holdings on a daily basis, and you may suffer unanticipated losses. The Trust could terminate before you achieve your investment objective causing potential loss of your investment or upsetting your investment portfolio. The Trust is not a regulated investment company and thus is subject to different protections than a regulated investment company. Litigation could result in substantial additional expenses. Dilution could occur as a result of the initial service fee and/or on-going service fee. The Managing Owner is leanly staffed and relies heavily on its key personnel to manage the Trust s trading activities, and the loss of such personnel could adversely affect the Trust. The Managing Owner places significant reliance on the Trading Advisors and their key personnel and the loss of such personnel could adversely affect a Series. The Managing Owner may terminate, replace and/or add Trading Advisors in its sole discretion which may disrupt trading, adversely affecting the Net Asset Value of a Series. The Managing Owner s allocation of the Trust s assets among Trading Advisors may result in less than optimal performance by the Trust. Third parties may infringe or otherwise violate a Trading Advisor s intellectual property rights or assert that a Trading Advisor has infringed or otherwise violated their intellectual property rights, which may result in significant costs and diverted attention. The success of each Series depends on the ability of the personnel of its Trading Advisor(s) to accurately implement their trading systems, and any failure to do so could subject a Series to losses on such transactions. A Series may experience substantial losses on transactions if the computer or communications systems of its Trading Advisor(s) fail. Each Trading Advisor depends on the reliable performance of the computer or communications systems of third parties, such as brokers and futures exchanges, and may experience substantial losses on transactions if they fail. If a Trading Advisor, or third parties on which a Trading Advisor depends, fail to upgrade computer and communications systems, the Trust s financial condition could be harmed. The occurrence of a terrorist attack, or the outbreak, continuation or expansion of war or other hostilities, pandemics or natural disasters could disrupt trading activity and materially affect profitability. If any of the Trading Advisors are unable to attract and retain qualified employees, its ability to conduct trading activities may be adversely affected. Regulation of the commodity interest markets is extensive and constantly changing; future regulatory developments are impossible to predict, but may significantly and adversely affect the Trust. Your tax liability may exceed distributions to you. You could owe taxes on your share of the Trust s ordinary income despite overall losses. You may be taxed on gains that the Trust never realizes. Partnership treatment is not assured, and if the Trust is not treated as a Partnership, you could suffer adverse tax consequences. There is the possibility of a tax audit which could result in additional taxes to you. The investment of Benefit Plan Investors may be limited or prohibited if any or all of the Series are deemed to hold plan assets or if the Trading Advisors have pre-existing fiduciary relationships with certain investing Benefit Plan Investors. Foreign investors may face exchange rate risk and local tax consequences. Government regulations may change and adversely affect the Trust. Failure of the Trust s other counterparties may result in losses to the Trust. CFTC registrations could be terminated which could adversely affect the Trust or a Series. The Trust and the Managing Owner have been represented by unified counsel, and you will not benefit from further review of your investment by independent counsel. Although the foregoing risk factors are not a complete explanation of all the risks involved in purchasing interests in a fund that invests in the highly speculative, highly leveraged trading of futures, forwards and options, the foregoing risk factors are a complete explanation of all material risks involved in purchasing Units in the Trust. You should read this entire Form 10-K and the Prospectus before determining to subscribe for Units.

Full 10-K form ▸

1261379--3/15/2006--FRONTIER_FUND