UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM 10-Q

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

For the Period Ended March 31, 2011

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

FRONTIER DIVERSIFIED SERIES; FRONTIER DYNAMIC SERIES; FRONTIER LONG/SHORT

COMMODITY SERIES; FRONTIER MASTERS SERIES

BALANCED SERIES; BERKELEY/GRAHAM/TIVERTON SERIES; CURRENCY SERIES; LONG

ONLY COMMODITY SERIES; MANAGED FUTURES INDEX SERIES; WINTON SERIES;

WINTON/GRAHAM 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

1775 Sherman Street, Suite 2500

Denver, Colorado 80203

(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:

Frontier Diversified Series Class 1, Class 2 and Class 3 Units;

Frontier Dynamic Series Class 1, Class 2 and Class 3 Units;

Frontier Long/Short Commodity Series Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a Units;

Frontier Masters Series Class 1, Class 2 and Class 3 Units;

Balanced Series Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a Units;

Berkeley/Graham/Tiverton Series Class 1, Class 2 and Class 3 Units;

Currency Series Class 1, Class 2 and Class 3 Units;

Long Only Commodity Series Class 1, Class 2 and Class 3 Units;

Managed Futures Index Series Class 1, Class 2 and Class 3 Units;

Winton Series Class 1, Class 2 and Class 3 Units;

Winton/Graham Series Class 1, Class 2 and Class 3 Units

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

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

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

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

Indicate by check mark whether the registrant is a shell company (as defined in Rule 1 2b-2 of the Exchange Act).    Yes  ¨    No  x

TABLE OF CONTENTS

PART I – FINANCIAL INFORMATION
Item 1.	Financial Statements
	Statements of Financial Condition as of March 31, 2011 (Unaudited) and December 31, 2010	2
	Condensed Schedule of Investments as of March 31, 2011 (Unaudited) and December 31, 2010	6
	Statements of Operations for the Three months ended March 31, 2011 and 2010 (Unaudited)	12
	Statements of Changes in Capital for the Three months ended March 31, 2011 (Unaudited)	16
	Statements of Cash Flows for the Three months ended March 31, 2011 and 2010 (Unaudited)	22
	Notes to Financial Statements (Unaudited)	26
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	54
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	78
Item 4.	Controls and Procedures	86
PART II – OTHER INFORMATION
Item 1.	Legal Proceedings	86
Item 1A.	Risk Factors	86
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	86
Item 3.	Defaults Upon Senior Securities	86
Item 4.	Removed and Reserved	86
Item 5.	Other Information	87
Item 6.	Exhibits	87
SIGNATURES		88

Special Note About Forward-Looking Statements

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

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

UNLESS EXPRESSLY STATED OTHERWISE, ALL INFORMATION IN THIS REPORT IS AS OF MARCH 31, 2011, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

1

PART I. FINANCIAL INFORMATION

ITEM 1. Financial Statements

The Frontier Fund

Statements of Financial Condition

March 31, 2011 and December 31, 2010

	Frontier Diversified Series				Frontier Dynamic Series				Frontier Long/Short Commodity Series
	3/31/2011 (Unaudited)		12/31/2010		3/31/2011 (Unaudited)		12/31/2010		3/31/2011 (Unaudited)		12/31/2010
ASSETS
Cash and cash equivalents	$	11,389,956	$	4,647,422	$	615,380	$	498,048	$	2,867,328	$	1,114,912
U.S. Treasury securities, at fair value		13,732,126		13,620,730		2,706,253		2,796,510		7,473,752		6,801,035
Custom time deposits		79,139,779		77,115,708		15,596,439		15,832,842		43,072,067		38,505,033
Swap contracts, at fair value		11,385,763		11,407,905		10,484,869		10,956,772		71,652		—
Investments in unconsolidated trading companies, at fair value		60,789,503		54,940,095		—		—		35,171,425		32,964,448
Prepaid service fees - Class 1		360,713		407,844		5,316		6,542		80,050		47,889
Interest receivable		61,348		185,893		12,090		38,166		33,389		92,819
Receivable from related parties		200,000		90,000		—		—		23,916		—
Other assets		—		60		—		12		—		212
Total Assets	$	177,059,188	$	162,415,657	$	29,420,347	$	30,128,892	$	88,793,579	$	79,526,348
LIABILITIES & CAPITAL
LIABILITIES
Inter-series payables, at fair value	$	—	$	—	$	27,756,337	$	28,320,283	$	—	$	—
Pending owner additions		826,118		622,918		10,000		70,000		309,000		125,967
Owner redemptions payable		155,882		219,042		—		28,323		74,287		161,182
Incentive fees payable to Managing Owner		1,686,415		1,453,102		—		—		1,476,219		1,600,703
Management fees payable to Managing Owner		164,498		139,758		—		—		331,894		300,038
Interest payable to Managing Owner		50,581		52,961		9,747		10,064		27,784		21,144
Trading fees payable to Managing Owner		342,653		310,302		60,015		59,936		55,121		44,699
Trailing service fees payable to Managing Owner		81,956		48,903		712		726		72,132		69,686
Payables to related parties		108,979		57,770		6,533		6,585		46,106		8,528
Other liabilities		772		14,929		166		53		653		10,961
Total Liabilities		3,417,854		2,919,685		27,843,510		28,495,970		2,393,196		2,342,908
CAPITAL
Managing Owner Units - Class 1		29,304		28,484		24,672		25,282		—		—
Managing Owner Units - Class 1a		—		—		—		—		36,168		32,439
Managing Owner Units - Class 2		1,881,347		1,627,227		25,443		25,960		1,274,201		1,309,512
Managing Owner Units - Class 2a		—		—		—		—		237,315		33,324
Limited Owner Units - Class 1		99,661,458		89,993,647		1,208,763		1,193,940		28,419,023		31,185,756
Limited Owner Units - Class 1a		—		—		—		—		9,201,832		5,619,870
Limited Owner Units - Class 2		72,069,225		67,846,614		317,959		387,740		15,736,659		14,275,466
Limited Owner Units - Class 2a		—		—		—		—		4,973,476		3,728,502
Limited Owner Units - Class 3		—		—		—		—		26,521,709		20,998,571
Total Owners’ Capital		173,641,334		159,495,972		1,576,837		1,632,922		86,400,383		77,183,440
Non-Controlling Interests		—		—		—		—		—		—
Total Capital		173,641,334		159,495,972		1,576,837		1,632,922		86,400,383		77,183,440
Total Liabilities and Capital	$	177,059,188	$	162,415,657	$	29,420,347	$	30,128,892	$	88,793,579	$	79,526,348
Units Outstanding
Class 1		935,531		869,125		13,748		13,262		191,606		234,956
Class 1a		N/A		N/A		N/A		N/A		70,240		47,917
Class 2		672,282		652,590		3,712		4,382		98,592		101,687
Class 2a		N/A		N/A		N/A		N/A		38,401		31,044
Class 3		N/A		N/A		N/A		N/A		153,724		137,017
Net Asset Value per Unit
Class 1	$	106.56	$	103.58	$	89.72	$	91.94	$	148.32	$	132.73
Class 1a		N/A		N/A		N/A		N/A	$	131.52	$	117.96
Class 2	$	110.00	$	106.46	$	92.52	$	94.40	$	172.54	$	153.26
Class 2a		N/A		N/A		N/A		N/A	$	135.69	$	121.18
Class 3		N/A		N/A		N/A		N/A	$	172.53	$	153.26

The accompanying notes are an integral part of these financial statements.

2

The Frontier Fund

Statements of Financial Condition

March 31, 2011 and December 31, 2010

	Frontier Masters Series				Balanced Series				Berkeley/Graham/Tiverton Series (1)
	3/31/2011 (Unaudited)		12/31/2010		3/31/2011 (Unaudited)		12/31/2010		3/31/2011 (Unaudited)		12/31/2010
ASSETS
Cash and cash equivalents	$	1,920,571	$	1,207,290	$	8,845,183	$	5,375,950	$	1,943,706	$	1,341,151
U.S. Treasury securities, at fair value		6,663,766		3,543,554		25,172,427		27,253,497		6,223,447		7,024,829
Custom time deposits		38,404,028		20,062,341		145,071,512		154,299,574		35,866,422		39,772,074
Receivable from futures commission merchants		5,593,702		—		105,474,811		85,398,794		—		—
Open trade equity, at fair value		630,309		—		17,526,421		26,090,210		—		—
Swap contracts, at fair value		63,887		26,242,246		49,001,937		49,811,462		59,665		—
Investments in unconsolidated trading companies, at fair value		17,417,998		15,921,658		47,012,769		42,072,378		12,941,961		12,665,871
Investment in Berkeley Quantitative Colorado Fund, LLC		—		—		—		—		10,554,770		10,157,099
Inter-series receivables, at fair value		—		—		40,096,422		41,137,058		—		—
Prepaid service fees - Class 1		154,141		204,960		—		3		—		16
Interest receivable		29,770		48,362		112,457		371,950		27,803		95,873
Other assets		—		15		22,475		18,859		1,010		136
Total Assets	$	70,878,172	$	67,230,426	$	438,336,414	$	431,829,735	$	67,618,784	$	71,057,049
LIABILITIES & CAPITAL
LIABILITIES
Pending owner additions	$	140,800	$	146,000	$	—	$	—	$	—	$	—
Owner redemptions payable		—		183,222		85,267		112,581		81,175		96,181
Incentive fees payable to Managing Owner		261,698		229,686		3,454,991		2,688,776		—		270,557
Management fees payable to Managing Owner		146,817		108,531		258,786		114,145		124,681		152,455
Interest payable to Managing Owner		19,277		13,334		18,322		149,043		114,085		119,500
Trading fees payable to Managing Owner		139,566		131,841		165,277		71,087		28,741		29,714
Trailing service fees payable to Managing Owner		33,615		21,894		122,487		196,325		144,353		148,307
Payables to related parties		36,227		113,911		98,836		67,515		9,269		10,054
Other liabilities		2,141		6,277		5,197		3,129		1,293		953
Total Liabilities		780,141		954,696		4,209,163		3,402,601		503,597		827,721
CAPITAL
Managing Owner Units - Class 1		28,355		28,315		—		—		—		—
Managing Owner Units - Class 2		700,854		696,838		2,790,174		2,679,852		135,261		136,528
Managing Owner Units - Class 2a		—		—		171,799		165,380		—		—
Limited Owner Units - Class 1		43,451,952		41,185,360		290,231,831		287,807,510		59,075,866		61,842,996
Limited Owner Units - Class 1a		—		—		4,963,350		5,120,558		—		—
Limited Owner Units - Class 2		25,854,518		24,365,217		73,191,094		74,035,876		7,904,060		8,249,804
Limited Owner Units - Class 2a		—		—		3,498,553		3,396,994		—		—
Limited Owner Units - Class 3a		—		—		3,663,383		3,691,280		—		—
Total Owners’ Capital		70,035,679		66,275,730		378,510,184		376,897,450		67,115,187		70,229,328
Non-Controlling Interests		62,352		—		55,617,067		51,529,684		—		—
Total Capital		70,098,031		66,275,730		434,127,251		428,427,134		67,115,187		70,229,328
Total Liabilities and Capital	$	70,878,172	$	67,230,426	$	438,336,414	$	431,829,735	$	67,618,784	$	71,057,049
Units Outstanding
Class 1		421,689		400,269		2,128,309		2,181,233		543,824		559,848
Class 1a		N/A		N/A		41,366		44,006		N/A		N/A
Class 2		249,545		236,869		457,663		481,110		61,602		63,664
Class 2a		N/A		N/A		26,435		26,653		N/A		N/A
Class 3a		N/A		N/A		26,383		27,616		N/A		N/A
Net Asset Value per Unit
Class 1	$	103.11	$	102.96	$	136.37	$	131.95	$	108.63	$	110.46
Class 1a		N/A		N/A	$	119.99	$	116.36		N/A		N/A
Class 2	$	106.42	$	105.81	$	166.02	$	159.46	$	130.50	$	131.73
Class 2a		N/A		N/A	$	138.84	$	133.66		N/A		N/A
Class 3a		N/A		N/A	$	138.85	$	133.66		N/A		N/A

(1) Formerly the Campbell/Graham/Tiverton Series

The accompanying notes are an integral part of these financial statements.

3

The Frontier Fund

Statements of Financial Condition

March 31, 2011 and December 31, 2010

	Currency Series				Long Only Commodity Series				Managed Futures Index Series
	3/31/2011 (Unaudited)		12/31/2010		3/31/2011 (Unaudited)		12/31/2010		3/31/2011 (Unaudited)		12/31/2010
ASSETS
Cash and cash equivalents	$	513,884	$	275,485	$	225,357	$	175,096	$	164,107	$	196,091
U.S. Treasury securities, at fair value		1,778,610		2,009,673		527,887		485,541		546,853		597,700
Custom time deposits		10,250,327		11,378,050		3,042,274		2,748,960		3,151,578		3,383,966
Receivable from futures commission merchants		1,244,930		678,208		—		—		—		—
Open trade equity, at fair value		21,388		27,098		—		—		—		—
Swap Contracts, at fair value		5,156,486		5,668,768		519,219		790,796		5,243		—
Investments in unconsolidated trading companies, at fair value		—		—		—		—		907,538		992,837
Interest receivable		7,946		27,428		2,358		6,627		2,443		8,157
Receivable from related parties		—		—		—		—		2		1,440
Other assets		222		28		48		61		4		3
Total Assets	$	18,973,793	$	20,064,738	$	4,317,143	$	4,207,081	$	4,777,768	$	5,180,194
LIABILITIES & CAPITAL
LIABILITIES
Inter-series payables, at fair value	$	12,340,084	$	12,816,775	$	—	$	—	$	—	$	—
Pending owner additions		—		—		—		—		—		1,440
Owner redemptions payable		3,622		45,220		—		—		36,526		794
Management fees payable to Managing Owner		13,560		13,860		4,487		4,634		8,848		10,789
Interest payable to Managing Owner		23,406		24,379		1,915		1,760		1,984		2,212
Trading fees payable to Managing Owner		7,951		8,409		1,774		1,750		2,089		2,154
Trailing service fees payable to Managing Owner		9,919		11,273		5,668		5,599		1,557		2,338
Payables to related parties		5,154		5,298		101		90		200,000		—
Other liabilities		265		124		21		17		23		4
Total Liabilities		12,403,961		12,925,338		13,966		13,850		251,027		19,731
CAPITAL
Managing Owner Units - Class 2		2,688		2,791		54,462		51,212		2,076,275		2,375,149
Limited Owner Units - Class 1		5,850,408		6,381,882		3,447,716		3,348,953		867,627		1,388,452
Limited Owner Units - Class 2		716,736		754,727		795,236		793,066		1,226,854		1,396,862
Limited Owner Units - Class 3		—		—		5,763		—		355,985		—
Total Owners’ Capital		6,569,832		7,139,400		4,303,177		4,193,231		4,526,741		5,160,463
Non-Controlling Interests		—		—		—		—		—		—
Total Capital		6,569,832		7,139,400		4,303,177		4,193,231		4,526,741		5,160,463
Total Liabilities and Capital	$	18,973,793	$	20,064,738	$	4,317,143	$	4,207,081	$	4,777,768	$	5,180,194
Units Outstanding
Class 1		77,396		80,694		34,620		35,587		7,713		11,770
Class 2		7,830		7,938		7,704		8,141		26,575		29,084
Class 3 (1)		—		—		52		—		2,864		—
Net Asset Value per Unit
Class 1	$	75.59	$	79.09	$	99.59	$	94.11	$	112.50	$	117.96
Class 2	$	91.88	$	95.43	$	110.29	$	103.71	$	124.29	$	129.69
Class 3 (1)		N/A		N/A	$	110.29		N/A	$	124.29		N/A

(1) Both the Long Only Commodity Series, Class 3 Units and the Managed Futures Index Series, Class 3 Units began trading operations on January 14, 2011

The accompanying notes are an integral part of these financial statements.

4

The Frontier Fund

Statements of Financial Condition

March 31, 2011 and December 31, 2010

	Winton Series				Winton/Graham Series
	3/31/2011 (Unaudited)		12/31/2010		3/31/2011 (Unaudited)		12/31/2010
ASSETS
Cash and cash equivalents	$	2,271,219	$	1,808,624	$	1,765,070	$	1,352,481
U.S. Treasury securities, at fair value		7,531,331		8,020,509		6,064,598		7,045,351
Custom time deposits		43,403,906		45,409,259		34,950,957		39,888,265
Receivable from futures commission merchants		—		—		15,125,359		11,090,076
Open trade equity, at fair value		—		—		585,932		1,427,138
Swap Contracts, at fair value		72,204		—		58,142		—
Investments in unconsolidated trading companies, at fair value		7,892,156		6,222,907		4,274,052		3,383,251
Interest receivable		33,646		109,462		27,094		96,154
Other assets		991		117		920		111
Total Assets	$	61,205,453	$	61,570,878	$	62,852,124	$	64,282,827
LIABILITIES & CAPITAL
LIABILITIES
Owner redemptions payable	$	6,809	$	8,782	$	28,742	$	61,838
Incentive fees payable to Managing Owner		282,928		467,341		70,292		623,629
Management fees payable to Managing Owner		114,732		122,675		152,467		168,136
Interest payable to Managing Owner		102,607		102,270		94,015		97,293
Trading fees payable to Managing Owner		25,344		25,245		23,313		24,127
Trailing service fees payable		98,558		99,085		101,271		103,698
Payables to related parties		26,361		25,385		12,611		12,309
Other liabilities		1,163		658		1,066		1,001
Total Liabilities		658,502		851,441		483,777		1,092,031
CAPITAL
Managing Owner Units - Class 2		234,840		230,781		61,549		61,691
Limited Owner Units - Class 1		49,141,035		49,350,981		44,667,189		45,898,246
Limited Owner Units - Class 2		11,171,076		11,137,675		10,506,684		11,550,501
Total Owners’ Capital		60,546,951		60,719,437		55,235,422		57,510,438
Non-Controlling Interests		—		—		7,132,925		5,680,358
Total Capital		60,546,951		60,719,437		62,368,347		63,190,796
Total Liabilities and Capital	$	61,205,453	$	61,570,878	$	62,852,124	$	64,282,827
Units Outstanding
Class 1		360,264		365,451		376,397		383,032
Class 2		72,790		73,827		73,542		80,620
Net Asset Value per Unit
Class 1	$	136.40	$	135.04	$	118.67	$	119.83
Class 2	$	156.70	$	153.99	$	143.70	$	144.04

The accompanying notes are an integral part of these financial statements.

5

The Frontier Fund

Condensed Schedules of Investments

March 31, 2011

(Unaudited)

		Frontier Diversified Series					Frontier Dynamic Series					Frontier Long/Short Commodity Series					Frontier Masters Series
	Description	Value		% of Owners’ Capital (Net Asset Value)			Value		% of Owners’ Capital (Net Asset Value)			Value		% of Owners’ Capital (Net Asset Value)			Value			% of Owners’ Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	(25,126	)		-0.04	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		(45,792	)		-0.07	%
	Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		86,318			0.12	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—			0.00	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		(35,843	)		-0.05	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—			0.00	%
	Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		14,170			0.02	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		11,220			0.02	%
	Various energy futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		2,443			0.00	%
	Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		(122,660	)		-0.17	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		(581	)		0.00	%
	Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		(14,075	)		-0.02	%
	Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		1,533			0.00	%
	Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		30,840			0.04	%
	Various precious metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		160,835			0.23	%
	Various precious metals futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		2,599			0.00	%
	Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		47,026			0.07	%
	Various soft futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		(487	)		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	%		138,751			0.20	%
	Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		6,179			0.01	%
	Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		49,798			0.07	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		47,061			0.07	%
	Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	354,209			0.50	%
LONG OPTIONS *		$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
SHORT FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	(18,121	)		-0.03	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		(34,008	)		-0.05	%
	Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		83,095			0.12	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—			0.00	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		54,163			0.08	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		8,904			0.01	%
	Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		(4,480	)		-0.01	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—			0.00	%
	Various interest rates futures contracts (US)		—		0.00	%		—		0.00	%		—		0.00	%		—			0.00	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		310			0.00	%
	Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		169,374			0.24	%
	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	%		—		0.00	%		(3,260	)		0.00	%
	Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—			0.00	%
	Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		17,416			0.02	%
	Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		2,720			0.00	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		(13	)		0.00	%
	Total Short Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	276,100			0.38	%
SHORT OPTIONS *		$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
CURRENCY FORWARDS *		$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
	Total Open Trade Equity	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	630,309			0.88	%
SWAPS (1)		$	11,385,763		6.56	%	$	10,484,869		664.93	%	$	71,652		0.08	%	$	63,887			0.09	%
U.S. TREASURY SECURITIES
FACE VALUE		Fair Value					Fair Value					Fair Value					Fair Value
$36,500,000.00	US Treasury Note 3.875% due 02/15/2013 (Cost $38,125,391) (2)	$	6,764,228		3.90	%	$	1,333,057		84.54	%	$	3,681,452		4.26	%	$	3,282,466			4.68	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		6,967,898		4.01	%		1,373,196		87.09	%		3,792,300		4.39	%		3,381,300			4.82	%
		$	13,732,126		7.91	%	$	2,706,253		171.63	%	$	7,473,752		8.65	%	$	6,663,766			9.50	%
Additional Disclosure on U.S. Treasury Securities		Face Value					Face Value					Face Value					Face Value
	US Treasury Note 3.875% due 02/15/2013	$	6,391,429				$	1,259,588				$	3,478,555				$	3,101,558
	US Treasury Note 4.000% due 02/15/2015		6,426,451					1,266,490					3,497,616					3,118,553
		$	12,817,880				$	2,526,078				$	6,976,171				$	6,220,111
		Cost					Cost					Cost					Cost
	US Treasury Note 3.875% due 02/15/2013	$	6,676,048				$	1,315,679				$	3,633,460				$	3,239,675
	US Treasury Note 4.000% due 02/15/2015		6,656,899					1,311,906					3,623,038					3,230,383
		$	13,332,947				$	2,627,585				$	7,256,498				$	6,470,058

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

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

(2) Assets have been allocated to Series based on net assets which include inter-Series investments.

The accompanying notes are an integral part of these financial statements.

6

The Frontier Fund

Condensed Schedules of Investments

March 31, 2011

(Unaudited)

		Balanced Series						Berkeley/Graham/Tiverton Series (3)					Currency Series					Long Only Commodity Series
	Description	Value			% of Owners’ Capital (Net Asset Value)			Value		% of Owners’ Capital (Net Asset Value)			Value		% of Owners’ Capital (Net Asset Value)			Value		% of Owners’ Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	156,611			0.04	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
	Various base metals futures contracts (Europe)		(379,571	)		-0.09	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (U.S.)		465,801			0.11	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		325,307			0.07	%		—		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.)		1,187,465			0.27	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		445,635			0.10	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (U.S.)		(207,712	)		-0.05	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (Canada)		(82,401	)		-0.02	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		(116,874	)		-0.03	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (Far East)		293,743			0.07	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various precious metals futures contracts (U.S.)		336,716			0.08	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various precious metals futures contracts (Europe)		559,335			0.13	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (U.S.)		776,233			0.18	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		(51,655	)		-0.01	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (Far East)		(8,779	)		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.)		2,191,935			0.50	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Canada)		83,701			0.02	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		1,212,863			0.28	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Far East)		165,952			0.04	%		—		0.00	%		—		0.00	%		—		0.00	%
	Total Long Futures Contracts	$	7,354,305			1.69	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
LONG OPTIONS *		$	21,940,699			5.05	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
SHORT FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	(315,687	)		-0.07	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
	Various base metals futures contracts (Europe)		(1,983,661	)		-0.46	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (US)		100,509			0.02	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Canada)		—			0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		221,679			0.05	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Far East)		17,203			0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various energy futures contracts (U.S.)		(129,836	)		-0.03	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		(10,470	)		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (U.S.)		39,266			0.01	%		—		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)		907,857			0.21	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (Far East)		5,863			0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various precious metals futures contracts (U.S.)		(223,021	)		-0.05	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various precious metals futures contracts (Europe)		(128,348	)		-0.03	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (U.S.)		(648,979	)		-0.15	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (Canada)		—			0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		—			0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (U.S.)		20,736			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)		(143,920	)		-0.03	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Far East)		(1,630,533	)		-0.38	%		—		0.00	%		—		0.00	%		—		0.00	%
	Total Short Futures Contracts	$	(3,901,342	)		-0.91	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
SHORT OPTIONS *		$	(7,073,450	)		-1.63	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
CURRENCY FORWARDS *		$	(793,791	)		-0.18	%	$	—		0.00	%	$	21,388		0.33	%	$	—		0.00	%
	Total Open Trade Equity	$	17,526,421			4.02	%	$	—		0.00	%	$	21,388		0.33	%	$	—		0.00	%
SWAPS (1)		$	49,001,937			11.29	%	$	59,665		0.09	%	$	5,156,486		78.49	%	$	519,219		12.07	%
Investment in Berkeley Quantitative Colorado Fund, LLC (Cost of $10,000,000)		$	—			0.00	%	$	10,554,770		15.73	%	$	—		0.00	%	$	—		0.00	%
U.S. TREASURY SECURITIES
FACE VALUE		Fair Value						Fair Value					Fair Value					Fair Value
$36,500,000.00	US Treasury Note 3.875% due 02/15/2013 (Cost $38,125,391) (2)	$	12,399,540			2.86	%	$	3,065,572		4.57	%	$	876,115		13.34	%	$	260,029		6.04	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		12,772,887			2.94	%		3,157,875		4.71	%		902,495		13.74	%		267,858		6.22	%
		$	25,172,427			5.80	%	$	6,223,447		9.28	%	$	1,778,610		27.08	%	$	527,887		12.26	%
Additional Disclosure on U.S. Treasury Securities		Face Value						Face Value					Face Value					Face Value
	US Treasury Note 3.875% due 02/15/2013	$	11,716,160					$	2,896,618				$	827,830				$	245,698
	US Treasury Note 4.000% due 02/15/2015		11,780,358						2,912,490					832,366					247,044
		$	23,496,518					$	5,809,108				$	1,660,196				$	492,742
		Cost						Cost					Cost					Cost
	US Treasury Note 3.875% due 02/15/2013	$	12,237,896					$	3,025,608				$	864,694				$	256,639
	US Treasury Note 4.000% due 02/15/2015		12,202,795						3,016,930					862,214					255,903
		$	24,440,691					$	6,042,538				$	1,726,908				$	512,542

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

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

(2) Assets have been allocated to Series based on net assets which include inter-Series investments.

(3) Formerly the Cambell/Graham/Tiverton Series

The accompanying notes are an integral part of these financial statements.

7

The Frontier Fund

Condensed Schedules of Investments

March 31, 2011

(Unaudited)

		Managed Futures Index Series					Winton Series					Winton/Graham Series
				% of Owners’ Capital					% of Owners’ Capital						% of Owners’ Capital
	Description	Value		(Net Asset Value)			Value		(Net Asset Value)			Value			(Net Asset Value)
LONG FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	(25,334	)		-0.04	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		56,510			0.09	%
	Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		66,423			0.11	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		(42,539	)		-0.07	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
	Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		182,875			0.29	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		49,820			0.08	%
	Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		(126,547	)		-0.20	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		(25,270	)		-0.04	%
	Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		(19,421	)		-0.03	%
	Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		17,140			0.03	%
	Various precious metals futures contracts (Europe)		—		0.00	%		—		0.00	%		208,920			0.33	%
	Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		156,798			0.25	%
	Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		(24,237	)		-0.04	%
	Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		87,739			0.14	%
	Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		7,833			0.01	%
	Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		(18,654	)		-0.03	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		6,755			0.01	%
	Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	558,811			0.89	%
LONG OPTIONS *		$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
SHORT FUTURES CONTRACTS *
	Various base metals futures contracts (US)	$	—		0.00	%	$	—		0.00	%	$	(18,127	)		-0.03	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		(32,464	)		-0.05	%
	Various currency futures contracts (US)		—		0.00	%		—		0.00	%		4,994			0.01	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		20,855			0.03	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
	Various energy futures contracts (US)		—		0.00	%		—		0.00	%		(21,977	)		-0.04	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
	Various interest rates futures contracts (US)		—		0.00	%		—		0.00	%		6,453			0.01	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		27,325			0.04	%
	Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		364,645			0.58	%
	Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		(9,731	)		-0.02	%
	Various precious metals futures contracts (US)		—		0.00	%		—		0.00	%		—			0.00	%
	Various soft futures contracts (US)		—		0.00	%		—		0.00	%		(38,009	)		-0.06	%
	Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
	Various stock index futures contracts (US)		—		0.00	%		—		0.00	%		54,998			0.09	%
	Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		2,874			0.00	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		(140,258	)		-0.22	%
	Total Short Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	221,578			0.34	%
CURRENCY FORWARDS *		$	—		0.00	%	$	—		0.00	%	$	(194,457	)		0.72	%
	Total Open Trade Equity	$	—		0.00	%	$	—		0.00	%	$	585,932			1.95	%
SWAPS (1)		$	5,243		0.12	%	$	72,204		0.12	%	$	58,142			0.09	%
U.S. TREASURY SECURITIES
FACE VALUE			Fair Value					Fair Value					Fair Value
$36,500,000.00	US Treasury Note 3.875% due 02/15/2013 (Cost $38,125,391) (2)	$	269,371		5.95	%	$	3,709,815		6.13	%	$	2,987,325			4.79	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		277,482		6.13	%		3,821,516		6.31	%		3,077,273			4.93	%
		$	546,853		12.08	%	$	7,531,331		12.44	%	$	6,064,598			9.72	%
Additional Disclosure on U.S. Treasury Securities		Face Value					Face Value					Face Value
	US Treasury Note 3.875% due 02/15/2013	$	254,525				$	3,505,355				$	2,822,684
	US Treasury Note 4.000% due 02/15/2015		255,920					3,524,562					2,838,151
		$	510,445				$	7,029,917				$	5,660,835
		Cost					Cost					Cost
	US Treasury Note 3.875% due 02/15/2013	$	265,860				$	3,661,452				$	2,948,381
	US Treasury Note 4.000% due 02/15/2015		265,097					3,650,951					2,939,925
		$	530,957				$	7,312,403				$	5,888,306

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

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

(2) Assets have been allocated to Series based on net assets which include inter-Series investments.

The accompanying notes are an integral part of these financial statements.

8

The Frontier Fund

Condensed Schedules of Investments

December 31, 2010

		Frontier Diversified Series					Frontier Dynamic Series					Frontier Long/Short Commodity Series					Frontier Masters Series
	Description	Value		% of Owners’ Capital (Net Asset Value)			Value		% of Owners’ Capital (Net Asset Value)			Value		% of Owners’ Capital (Net Asset Value)			Value		% of Owners’ Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		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	%		—		0.00	%		—		0.00	%
	Various precious metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—		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	%	$	—		0.00	%	$	—		0.00	%
LONG OPTIONS *		$	—		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 base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (US)		—		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	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Total Short Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
SHORT OPTIONS *		$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
CURRENCY FORWARDS *		$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
	Total Open Trade Equity	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
SWAPS (1)		$	11,407,905		7.15	%	$	10,956,772		670.99	%	$	—		0.00	%	$	26,242,246		39.60	%
U.S. TREASURY SECURITIES
FACE VALUE		Fair Value					Fair Value					Fair Value					Fair Value
$36,500,000.00	US Treasury Note 3.875% due 02/15/2013 (Cost $38,125,391) (2)	$	6,706,231		4.20	%	$	1,376,875		84.32	%	$	3,348,522		4.34	%	$	1,744,686		2.63	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		6,914,499		4.34	%		1,419,635		86.94	%		3,452,513		4.47	%		1,798,868		2.71	%
		$	13,620,730		8.54	%	$	2,796,510		171.26	%	$	6,801,035		8.81	%	$	3,543,554		5.34	%
Additional Disclosure on U.S. Treasury Securities		Face Value					Face Value					Face Value					Face Value
	US Treasury Note 3.875% due 02/15/2013	$	6,277,315				$	1,288,813				$	3,134,358				$	1,633,099
	US Treasury Note 4.000% due 02/15/2015		6,311,712					1,295,875					3,151,532					1,642,048
		$	12,589,027				$	2,584,688				$	6,285,890				$	3,275,147
		Cost					Cost					Cost					Cost
	US Treasury Note 3.875% due 02/15/2013	$	6,556,852				$	1,346,206				$	3,273,935				$	1,705,823
	US Treasury Note 4.000% due 02/15/2015		6,538,046					1,342,344					3,264,544					1,700,931
		$	13,094,898				$	2,688,550				$	6,538,479				$	3,406,754

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

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

(2) Assets have been allocated to Series based on net assets which include inter-Series investments.

The accompanying notes are an integral part of these financial statements.

9

The Frontier Fund

Condensed Schedules of Investments December 31, 2010

		Balanced Series						Berkeley/Graham/Tiverton Series (3)					Currency Series						Long Only Commodity Series
	Description	Value			% of Owners’ Capital (Net Asset Value)			Value		% of Owners’ Capital (Net Asset Value)			Value			% of Owners’ Capital (Net Asset Value)			Value		% of Owners’ Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	1,088,633			0.25	%	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%
	Various base metals futures contracts (Europe)		8,015,226			1.87	%		—		0.00	%		—			0.00	%		—		0.00	%
	Copper @ LME Settling 3/16/2011 (Number of Contracts: 215)		6,234,313			1.46	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (U.S.)		1,192,754			0.28	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		54,979			0.01	%		—		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.)		1,008,666			0.24	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		119,345			0.03	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (U.S.)		394,589			0.09	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Canada)		19,156			0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		397,103			0.09	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Far East)		171,547			0.04	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various precious metals futures contracts (U.S.)		1,284,530			0.30	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (U.S.)		4,124,449			0.96	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		178,197			0.04	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (Far East)		12,801			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.)		185,280			0.04	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Canada)		20,301			0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		(347,494	)		-0.08	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Far East)		93,974			0.02	%		—		0.00	%		—			0.00	%		—		0.00	%
	Total Long Futures Contracts	$	24,248,349			5.66	%	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%
LONG OPTIONS *		$	24,855,339			5.80	%	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%
	Copper @ LME Settling 3/1/2011, Call @ 8,400 (Numer of Contracts: 131)		4,299,158			1.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Total Long Options	$	29,154,497			6.80	%	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%
SHORT FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	(2,251,017	)		-0.53	%	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%
	Copper @ Comex Settling 3/1/2011 (Number of Contracts: 265)		(4,448,411	)		-1.04	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various base metals futures contracts (Europe)		(7,195,082	)		-1.68	%		—		0.00	%		—			0.00	%		—		0.00	%
	Copper @ LME Settling 3/16/2011 (Number of Contracts: 204)		(5,109,138	)		-1.19	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (US)		(152,716	)		-0.04	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (Canada)		—			0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		165,269			0.04	%		—		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.)		(351,689	)		-0.08	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		67,860			0.02	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (U.S.)		(44,519	)		-0.01	%		—		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)		(424,601	)		-0.10	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Far East)		(149,997	)		-0.04	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various precious metals futures contracts (U.S.)		(3,226,990	)		-0.75	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various precious metals futures contracts (Europe)		—			0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (U.S.)		(807,600	)		-0.19	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (Canada)		—			0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		(54,735	)		-0.01	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (U.S.)		93,081			0.02	%		—		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)		76,258			0.02	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Far East)		2,893			0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Total Short Futures Contracts	$	(23,811,134	)		-5.56	%	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%
SHORT OPTIONS *		$	(4,788,295	)		-1.12	%	$	—		0.00	%	$	(1,292	)		-0.02	%	$	—		0.00	%
CURRENCY FORWARDS *		$	1,286,793			0.30	%	$	—		0.00	%	$	28,390			0.40	%	$	—		0.00	%
	Total Open Trade Equity	$	26,090,210			6.08	%	$	—		0.00	%	$	27,098			0.38	%	$	—		0.00	%
SWAPS (1)		$	49,811,462			11.63	%	$	—		0.00	%	$	5,668,768			79.40	%	$	790,796		18.86	%
Investment in Berkeley Quantitative Colorado Fund, LLC (Cost of $10,000,000)		$	—			0.00	%	$	10,157,099		14.46	%	$	—			0.00	%	$	—		0.00	%
U.S. TREASURY SECURITIES
FACE VALUE		Fair Value						Fair Value					Fair Value						Fair Value
$36,500,000.00	US Treasury Note 3.875% due 02/15/2013 ( Cost $38,125,391 ) (2)	$	13,418,389			3.13	%	$	3,458,708		4.92	%	$	989,472			13.86	%	$	239,058		5.70	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 ( Cost $38,016,039 ) (2)		13,835,108			3.23	%		3,566,121		5.08	%		1,020,201			14.29	%		246,483		5.88	%
		$	27,253,497			6.36	%	$	7,024,829		10.00	%	$	2,009,673			28.15	%	$	485,541		11.58	%
Additional Disclosure on U.S. Treasury Securities		Face Value						Face Value					Face Value						Face Value
	US Treasury Note 3.875% due 02/15/2013	$	12,560,178					$	3,237,497				$	926,188					$	223,769
	US Treasury Note 4.000% due 02/15/2015		12,629,001						3,255,236					931,263						224,995
		$	25,189,179					$	6,492,733				$	1,857,450					$	448,764
		Cost						Cost					Cost						Cost
	US Treasury Note 3.875% due 02/15/2013	$	13,119,498					$	3,381,666				$	967,432					$	233,733
	US Treasury Note 4.000% due 02/15/2015		13,081,869						3,371,967					964,657						233,063
		$	26,201,367					$	6,753,633				$	1,932,089					$	466,796

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

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

(2) Assets have been allocated to Series based on net assets which include inter-Series investments.

(3) Formerly the Cambell/Graham/Tiverton Series.

The accompanying notes are an integral part of these financial statements.

10

The Frontier Fund

Condensed Schedules of Investments December 31, 2010

	Managed Futures Index Series						Winton Series					Winton/Graham Series
	Description	Value		% of Owners’ Capital (Net Asset Value)			Value		% of Owners’ Capital (Net Asset Value)			Value			% of Owners’ Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	172,560			0.28	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		181,596			0.29	%
	Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		98,545			0.16	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		23,874			0.04	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
	Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		89,785			0.14	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		14,200			0.02	%
	Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		22,017			0.04	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		10,474			0.02	%
	Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		17,866			0.03	%
	Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		200,060			0.32	%
	Various precious metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
	Various soft futures contracts (Far East)		—		0.00	%		—		0.00	%		349,196			0.56	%
	Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		4,650			0.01	%
	Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		(29,609	)		-0.05	%
	Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		11,090			0.02	%
	Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		(173,696	)		-0.28	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		(24,225	)		-0.04	%
	Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	968,383			1.56	%
LONG OPTIONS *		$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
SHORT FUTURES CONTRACTS *
	Various base metals futures contracts (US)	$	—		0.00	%	$	—		0.00	%	$	(18,909	)		-0.03	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		(34,144	)		-0.05	%
	Various currency futures contracts (US)		—		0.00	%		—		0.00	%		(2,458	)		0.00	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		(33,762	)		-0.05	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
	Various energy futures contracts (US)		—		0.00	%		—		0.00	%		2,730			0.00	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
	Various interest rates futures contracts (US)		—		0.00	%		—		0.00	%		(11,891	)		-0.02	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		(4,408	)		-0.01	%
	Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		(114,032	)		-0.18	%
	Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		(28,536	)		-0.05	%
	Various precious metals futures contracts (US)		—		0.00	%		—		0.00	%		—			0.00	%
	Various soft futures contracts (US)		—		0.00	%		—		0.00	%		(21,733	)		-0.03	%
	Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
	Various stock index futures contracts (US)		—		0.00	%		—		0.00	%		9,471			0.02	%
	Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		3,649			0.01	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		3,237			0.01	%
	Total Short Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	(250,786	)		-0.38	%
CURRENCY FORWARDS *		$	—		0.00	%	$	—		0.00	%	$	709,541			1.13	%
	Total Open Trade Equity	$	—		0.00	%	$	—		0.00	%	$	1,427,138			2.31	%
U.S. TREASURY SECURITIES
FACE VALUE		Fair Value					Fair Value					Fair Value
$36,500,000.00	US Treasury Note 3.875% due 02/15/2013 ( Cost $38,125,391 ) (2)	$	294,280		5.70	%	$	3,948,936		6.50	%	$	3,468,812			5.53	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 ( Cost $38,016,039 ) (2)		303,420		5.88	%		4,071,573		6.14	%		3,576,539			5.70	%
		$	597,700		11.58	%	$	8,020,509		12.64	%	$	7,045,351			11.23	%
Additional Disclosure on U.S. Treasury Securities		Face Value					Face Value					Face Value
	US Treasury Note 3.875% due 02/15/2013	$	275,459				$	3,696,370				$	3,246,954
	US Treasury Note 4.000% due 02/15/2015		276,968					3,716,625					3,264,746
		$	552,427				$	7,412,995				$	6,511,700
		Cost					Cost					Cost
	US Treasury Note 3.875% due 02/15/2013	$	287,725				$	3,860,974				$	3,391,545
	US Treasury Note 4.000% due 02/15/2015		286,900					3,849,900					3,381,818
		$	574,625				$	7,710,874				$	6,773,363

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

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

(2) Assets have been allocated to Series based on net assets which include inter-Series investments.

The accompanying notes are an integral part of these financial statements.

11

The Frontier Fund

Statements of Operations

For the Three Months Ended March 31, 2011 and 2010

	Frontier Diversified Series						Frontier Dynamic Series						Frontier Long/Short Commodity Series
	(Unaudited)						(Unaudited)						(Unaudited)
	3/31/2011			3/31/2010			3/31/2011			3/31/2010			3/31/2011			3/31/2010
Investment Income:
Interest - net	$	590,028		$	411,248		$	113,903		$	113,354		$	316,290		$	209,285
Total Income		590,028			411,248			113,903			113,354			316,290			209,285
Expenses:
Incentive Fees		1,719,673			186,224			—			—			1,629,861			78,102
Management Fees		481,720			162,653			—			—			945,859			788,322
Service Fees - Class 1		516,049			238,169			23,990			20,650			273,551			322,150
Trading Fees		978,666			440,692			175,360			166,373			153,893			92,890
Total Expenses		3,696,108			1,027,738			199,350			187,023			3,003,164			1,281,464
Investment income/(loss) - net		(3,106,080	)		(616,490	)		(85,447	)		(73,669	)		(2,686,874	)		(1,072,179	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		—			228,379			—			—			—			(24,029,653	)
Net change in open trade equity		—			(296,899	)		—			—			—			18,487,270
Net unrealized gain/(loss) on swap contracts		(132,267	)		(252,378	)		(493,638	)		(80,656	)		12,237			—
Net unrealized gain/(loss) on U.S. Treasury Securities		(109,445	)		40,511			(21,897	)		17,531			(72,459	)		55,320
Trading commissions		—			(7,379	)		—			—			—			(444,193	)
Net change in inter-series payables		—			102,443			563,946			129,208			—			—
Equity in earnings/(loss) from unconsolidated trading companies		8,240,407			536,753			—			—			12,140,566			2,685,078
Net gain/(loss) on investments		7,998,695			351,430			48,411			66,083			12,080,344			(3,246,178	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	4,892,615		$	(265,060	)	$	(37,036	)	$	(7,586	)	$	9,393,470		$	(4,318,357	)
Less: Operations attributable to non-controlling interests		—			3,341			—			—			—			(2,913,121	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	4,892,615		$	(268,401	)	$	(37,036	)	$	(7,586	)	$	9,393,470		$	(1,405,236	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	2.98		$	(1.31	)	$	(2.22	)	$	(0.82	)	$	15.59		$	(2.61	)
Class 1a		N/A			N/A			N/A			N/A		$	13.56		$	(2.18	)
Class 2	$	3.54		$	(0.91	)	$	(1.88	)	$	(0.43	)	$	19.28		$	(2.00	)
Class 2a		N/A			N/A			N/A			N/A		$	14.51		$	(1.80	)
Class 3		N/A			N/A			N/A			N/A		$	19.27		$	(2.01	)

The accompanying notes are an integral part of these financial statements.

12

The Frontier Fund

Statements of Operations

For the Three Months Ended March 31, 2011 and 2010

	Frontier Masters Series						Balanced Series						Berkeley/Graham/Tiverton Series (1)
	(Unaudited)						(Unaudited)						(Unaudited)
	3/31/2011			3/31/2010			3/31/2011			3/31/2010			3/31/2011			3/31/2010
Investment Income:
Interest - net	$	170,966		$	210,672		$	35,973		$	205,160		$	5,309		$	(1,116	)
Total Income		170,966			210,672			35,973			205,160			5,309			(1,116	)
Expenses:
Incentive Fees		266,535			—			4,270,189			953,481			—			—
Management Fees		907,921			202,282			642,865			357,992			377,970			581,891
Service Fees - Class 1		225,527			109,428			2,219,967			2,103,922			455,038			491,969
Trading Fees		400,110			299,172			486,163			420,281			85,253			92,520
Total Expenses		1,800,093			610,882			7,619,184			3,835,676			918,261			1,166,380
Investment income/(loss) - net		(1,629,127	)		(400,210	)		(7,583,211	)		(3,630,516	)		(912,952	)		(1,167,496	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		(1,391,560	)		—			16,774,640			(2,506,318	)		—			161,369
Net change in open trade equity		630,311			—			(14,766,839	)		(3,314,706	)		—			483,809
Net realized gain/(loss) on swap contracts		2,629,262			—			—			—			—			—
Net unrealized gain/(loss) on swap contracts		(1,600,211	)		439,498			(1,012,456	)		1,238,580			9,684			—
Net unrealized gain/(loss) on U.S. Treasury Securities		(50,690	)		13,931			(208,005	)		203,977			(52,133	)		53,177
Trading commissions		(14,738	)		—			(1,289,786	)		(690,898	)		—			(6,528	)
Net change in inter-series receivables		—			—			(1,040,637	)		222,412			—			—
Net change in inter-series payables		—			(125,024	)		—			—			—			—
Equity in earnings/(loss) from unconsolidated trading companies		1,597,339			519,264			22,430,253			4,581,509			(489,915	)		(1,869,295	)
Net unrealized gain/(loss) on the Berkeley Quantitative Colorado Fund, LLC		—			—			—			—			397,671			—
Net gain/(loss) on investments		1,799,713			847,669			20,887,170			(265,444	)		(134,693	)		(1,177,468	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	170,586		$	447,459		$	13,303,959		$	(3,895,960	)	$	(1,047,645	)	$	(2,344,964	)
Less: Operations attributable to non-controlling interests		(7,648	)		—			7,748			(1,886,626	)		—			177,897
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	178,234		$	447,459		$	13,296,211		$	(2,009,334	)	$	(1,047,645	)	$	(2,522,861	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	0.15		$	0.24		$	4.42		$	(0.73	)	$	(1.83	)	$	(3.40	)
Class 1a		N/A			N/A		$	3.63		$	(0.84	)		N/A			N/A
Class 2	$	0.61		$	0.66		$	6.56		$	0.17		$	(1.23	)	$	(3.07	)
Class 2a		N/A			N/A		$	5.18		$	(0.07	)		N/A			N/A
Class 3a		N/A			N/A		$	5.19		$	(0.06	)		N/A			N/A

(1) Formerly the Campbell/Graham/Tiverton Series

The accompanying notes are an integral part of these financial statements.

13

The Frontier Fund

Statements of Operations

For the Three Months Ended March 31, 2011 and 2010

	Currency Series						Long Only Commodity Series						Managed Futures Index Series
	(Unaudited)						(Unaudited)						(Unaudited)
	3/31/2011			3/31/2010			3/31/2011			3/31/2010			3/31/2011			3/31/2010
Investment Income:
Interest - net	$	29,652		$	37,458		$	21,602		$	23,024		$	23,534		$	10,876
Total Income		29,652			37,458			21,602			23,024			23,534			10,876
Expenses:
Management Fees		39,855			40,076			13,256			14,222			26,049			26,254
Service Fees - Class 1		45,170			58,039			16,500			17,184			4,965			8,781
Trading Fees		23,565			25,893			5,072			5,331			6,146			6,034
Total Expenses		108,590			124,008			34,828			36,737			37,160			41,069
Investment income/(loss) - net		(78,938	)		(86,550	)		(13,226	)		(13,713	)		(13,626	)		(30,193	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		(153,538	)		53,107			—			—			—			—
Net realized gain/(loss) on swap contracts		—			—			257,875			(173,729	)		—			—
Net change in open trade equity		(5,778	)		45,474			—			—			—			—
Net unrealized gain/(loss) on swap contracts		(526,568	)		470,359			821			—			849			—
Net unrealized gain/(loss) on U.S. Treasury Securities		(14,711	)		17,325			(4,310	)		3,896			(4,476	)		2,804
Net change in inter-series payables		476,691			(329,038	)		—			—			—			—
Equity in earnings/(loss) from unconsolidated trading companies		—			—			—			—			(196,273	)		(42,112	)
Net gain/(loss) on investments		(223,904	)		257,227			254,386			(169,833	)		(199,900	)		(39,308	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	(302,842	)	$	170,677		$	241,160		$	(183,546	)	$	(213,526	)	$	(69,501	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(3.50	)	$	1.50		$	5.48		$	(3.39	)	$	(5.46	)	$	(1.00	)
Class 2	$	(3.55	)	$	2.45		$	6.58		$	(3.24	)	$	(5.40	)	$	(0.48	)
Class 3		N/A			N/A		$	6.41			N/A		$	(2.44	)		N/A

The accompanying notes are an integral part of these financial statements.

14

The Frontier Fund

Statements of Operations

For the Three Months Ended March 31, 2011 and 2010

	Winton Series						Winton/Graham Series
	(Unaudited)						(Unaudited)
	3/31/2011			3/31/2010			3/31/2011			3/31/2010
Investment Income:
Interest - net	$	103,733		$	28,507		$	57,929		$	82,233
Total Income		103,733			28,507			57,929			82,233
Expenses:
Incentive Fees		248,590			—			70,874			—
Management Fees		332,638			376,880			445,869			466,582
Service Fees - Class 1		364,021			352,366			335,672			338,601
Trading Fees		73,838			70,214			69,313			70,617
Total Expenses		1,019,087			799,460			921,728			875,800
Investment income/(loss) - net		(915,354	)		(770,953	)		(863,799	)		(793,567	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		—			—			210,826			(3,421,744	)
Net change in open trade equity		—			—			(841,207	)		1,210,211
Net unrealized gain/(loss) on swap contracts		11,718			—			9,432			—
Net unrealized gain/(loss) on U.S. Treasury Securities		(62,094	)		51,806			(50,460	)		50,683
Trading commissions		—			—			(177,430	)		(130,261	)
Equity in earnings/(loss) from unconsolidated trading companies		1,658,168			3,579,444			896,801			1,833,589
Net gain/(loss) on investments		1,607,792			3,631,250			47,962			(457,522	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	692,438		$	2,860,297		$	(815,837	)	$	(1,251,089	)
Less: Operations attributable to non-controlling interests		—			—			(368,433	)		(973,416	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	692,438		$	2,860,297		$	(447,404	)	$	(277,673	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	1.36		$	5.78		$	(1.16	)	$	(0.59	)
Class 2	$	2.71		$	7.41		$	(0.34	)	$	0.26

The accompanying notes are an integral part of these financial statements.

15

The Frontier Fund

Statements of Changes in Capital

For the Three Months Ended March 31, 2011

	Frontier Diversified Series													Frontier Dynamic Series
	(Unaudited)													(Unaudited)
	Class 1		Class 1			Class 2		Class 2						Class 1			Class 1			Class 2			Class 2
	Managing Owner		Limited Owners			Managing Owner		Limited Owners			Total			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Total
Capital (Net Asset Value), December 31, 2010	$	28,484	$	89,993,647		$	1,627,227	$	67,846,614		$	159,495,972		$	25,282		$	1,193,940		$	25,960		$	387,740		$	1,632,922
Sale of Units		—		9,103,565			200,000		6,092,033			15,395,598			—			141,200			—			41,500			182,700
Redemption of Units		—		(2,006,558	)		—		(4,136,293	)		(6,142,851	)		—			(95,858	)		—			(105,891	)		(201,749	)
Net increase/(decrease) in Owners’ Capital resulting from operations		820		2,570,804			54,120		2,266,871			4,892,615			(610	)		(30,519	)		(517	)		(5,390	)		(37,036	)
Capital (Net Asset Value), March 31, 2011	$	29,304	$	99,661,458		$	1,881,347	$	72,069,225		$	173,641,334		$	24,672		$	1,208,763		$	25,443		$	317,959		$	1,576,837
Capital - Units, December 31, 2010		275		868,850			15,285		637,305			1,521,715			275			12,987			275			4,107			17,644
Sale of Units		—		85,317			1,818		55,620			142,755			—			1,522			—			437			1,959
Redemption of Units		—		(18,911	)		—		(37,746	)		(56,657	)		—			(1,036	)		—			(1,107	)		(2,143	)
Capital - Units, March 31, 2011		275		935,256			17,103		655,179			1,607,813			275			13,473			275			3,437			17,460
					(1)					(1)									(1)						(1)
Net asset value per unit at December 31, 2010			$	103.58				$	106.46								$	91.94					$	94.40
Change in net asset value per unit for three months ended March 31, 2011				2.98					3.54									(2.22	)					(1.88	)
Net asset value per unit at March 31, 2011			$	106.56				$	110.00								$	89.72					$	92.52

(1) Values are for both Managing Owners and Limited Owners.

The accompanying notes are an integral part of these financial statements.

16

The Frontier Fund

Statements of Changes in Capital

For the Three Months Ended March 31, 2011

	Frontier Long/Short Commodity Series
	(Unaudited)
	Class 1			Class 2						Class 3			Class 1a		Class 1a			Class 2a		Class 2a
	Limited Owners			Managing Owner			Limited Owners			Limited Owners			Managing Owner		Limited Owners			Managing Owner		Limited Owners			Total
Capital (Net Asset Value), December 31, 2010	$	31,185,756		$	1,309,512		$	14,275,466		$	20,998,571		$	32,439	$	5,619,870		$	33,324	$	3,728,502		$	77,183,440
Sale of Units		27,450			—			—			4,410,545			—		2,913,140			200,000		1,055,739			8,606,874
Redemption of Units		(6,324,314	)		(200,000	)		(323,277	)		(1,575,416	)		—		(66,909	)		—		(293,485	)		(8,783,401	)
Net increase/(decrease) in Owners’ Capital resulting from operations		3,530,131			164,689			1,784,470			2,688,009			3,729		735,731			3,991		482,720			9,393,470
Capital (Net Asset Value), March 31, 2011	$	28,419,023		$	1,274,201		$	15,736,659		$	26,521,709		$	36,168	$	9,201,832		$	237,315	$	4,973,476		$	86,400,383
Capital - Units, December 31, 2010		234,956			8,544			93,143			137,017			275		47,642			275		30,769			552,621
Sale of Units		194			—			—			26,139			—		22,874			1,474		8,135			58,816
Redemption of Units		(43,544	)		(1,159	)		(1,936	)		(9,432	)		—		(551	)		—		(2,252	)		(58,874	)
Capital - Units, March 31, 2011		191,606			7,385			91,207			153,724			275		69,965			1,749		36,652			552,563
									(1)								(1)					(1)
Net asset value per unit at December 31, 2010	$	132.73					$	153.26		$	153.26				$	117.96				$	121.18
Change in net asset value per unit for three months ended March 31, 2011		15.59						19.28			19.27					13.56					14.51
Net asset value per unit at March 31, 2011	$	148.32					$	172.54		$	172.53				$	131.52				$	135.69

(1) Values are for both Managing Owner and Limited Owners

The accompanying notes are an integral part of these financial statements.

17

The Frontier Fund

Statements of Changes in Capital

For the Three Months Ended March 31, 2011

	Frontier Masters Series																Balanced Series
	(Unaudited)																(Unaudited)
	Class 1		Class 1			Class 2		Class 2			Non- Contro- lling Inte- rests			Total			Class 1			Class 1a			Class 2					Class 2a					Class 3a
	Mana- ging Owner		Limited Owners			Mana- ging Owner		Limited Owners									Limited Owners			Limited Owners			Mana- ging Owner		Limited Owners			Mana- ging Owner		Limited Owners			Limited Owners			Non- Contro- lling Inte- rests			Total
Capital (Net Asset Value), December 31, 2010	$	28,315	$	41,185,360		$	696,838	$	24,365,217		$	—		$	66,275,730		$	287,807,510		$	5,120,558		$	2,679,852	$	74,035,876		$	165,380	$	3,396,994		$	3,691,280		$	51,529,684		$	428,427,134
Sale of Units		—		2,959,249			—		1,876,986			—			4,836,235			206,632			2,132			—		4,034			—		—			35,771			—			248,569
Redemption of Units		—		(734,268	)		—		(520,252	)		—			(1,254,520	)		(7,477,992	)		(323,854	)		—		(3,892,776	)		—		(30,000	)		(207,424	)		—			(11,932,046	)
Change in control of ownership - Trading Companies		—		—			—		—			—			—			—			—			—		—			—		—			—			—			—
Contributions		—		—			—		—			70,000			70,000			—			—			—		—			—		—			—			12,034,000			12,034,000
Distributions		—		—			—		—			—			—			—			—			—		—			—		—			—			(7,954,365	)		(7,954,365	)
Operations attributable to Non-controlling interests		—		—			—		—			(7,648	)		(7,648	)		—			—			—		—			—		—			—			7,748			7,748
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		40		41,611			4,016		132,567			—			178,234			9,695,681			164,514			110,322		3,043,960			6,419		131,559			143,756			—			13,296,211
Capital (Net Asset Value), March 31, 2011	$	28,355	$	43,451,952		$	700,854	$	25,854,518		$	62,352		$	70,098,031		$	290,231,831		$	4,963,350		$	2,790,174	$	73,191,094		$	171,799	$	3,498,553		$	3,663,383		$	55,617,067		$	434,127,251
Capital - Units, December 31, 2010		275		399,994			6,586		230,283			—			637,138			2,181,233			44,006			16,806		464,304			1,237		25,416			27,616			—			2,760,618
Sale of Units		—		28,501			—		17,556			—			46,057			1,519			18			—		25			—		—			260			—			1,822
Redemption of Units		—		(7,081	)		—		(4,880	)		—			(11,961	)		(54,443	)		(2,658	)		—		(23,472	)		—		(218	)		(1,493	)		—			(82,284	)
Capital - Units, March 31, 2011		275		421,414			6,586		242,959			—			671,234			2,128,309			41,366			16,806		440,857			1,237		25,198			26,383			—			2,680,156
				(1	)				(1	)																(1	)				(1	)
Net asset value per unit at December 31, 2010			$	102.96				$	105.81								$	131.95		$	116.36				$	159.46				$	133.66		$	133.66
Change in net asset value per unit for three months ended March 31, 2011				0.15					0.61									4.42			3.63					6.56					5.18			5.19
Net asset value per unit at March 31, 2011			$	103.11				$	106.42								$	136.37		$	119.99				$	166.02				$	138.84		$	138.85

(1) Values are for both Managing Owner and Limited Owners

The accompanying notes are an integral part of these financial statements.

18

The Frontier Fund

Statements of Changes in Capital

For the Three Months Ended March 31, 2011

	Berkeley/Graham/Tiverton Series (2)												Currency Series
	(Unaudited)												(Unaudited)
	Class 1			Class 2									Class 1			Class 2
	Limited Owners			Managing Owner			Limited Owners			Total			Limited Owners			Managing Owner			Limited Owners			Total
Capital (Net Asset Value), December 31, 2010	$	61,842,996		$	136,528		$	8,249,804		$	70,229,328		$	6,381,882		$	2,791		$	754,727		$	7,139,400
Sale of Units		27,253			—			—			27,253			15,176			—			—			15,176
Redemption of Units		(1,817,995	)		—			(275,754	)		(2,093,749	)		(271,696	)		—			(10,206	)		(281,902	)
Net increase/(decrease) in Owners’ Capital resulting from operations		(976,388	)		(1,267	)		(69,990	)		(1,047,645	)		(274,954	)		(103	)		(27,785	)		(302,842	)
Capital (Net Asset Value), March 31, 2011	$	59,075,866		$	135,261		$	7,904,060		$	67,115,187		$	5,850,408		$	2,688		$	716,736		$	6,569,832
Capital - Units, December 31, 2010		559,848			1,036			62,628			623,512			80,694			29			7,909			88,632
Sale of Units		246			—			—			246			196			—			—			196
Redemption of Units		(16,270	)		—			(2,062	)		(18,332	)		(3,494	)		—			(108	)		(3,602	)
Capital - Units, March 31, 2011		543,824			1,036			60,566			605,426			77,396			29			7,801			85,226
								(1	)											(1	)
Net asset value per unit at December 31, 2010	$	110.46					$	131.73					$	79.09					$	95.43
Change in net asset value per unit for three months ended March 31, 2011		(1.83	)					(1.23	)					(3.50	)					(3.55	)
Net asset value per unit at March 31, 2011	$	108.63					$	130.50					$	75.59					$	91.88

(1) Values are for both Managing Owner and Limited Owners

(2) Formerly the Campbell/Graham/Tiverton Series

The accompanying notes are an integral part of these financial statements.

19

The Frontier Fund

Statements of Changes in Capital

For the Three Months Ended March 31, 2011

	Long Only Commodity Series													Managed Futures Index Series
	(Unaudited)													(Unaudited)
	Class 1			Class 2					Class 3 (2)					Class 1			Class 2						Class 3 (3)
	Limited Owners			Managing Owner		Limited Owners			Limited Owners		Total			Limited Owners			Managing Owner			Limited Owners			Limited Owners			Total
Capital (Net Asset Value), December 31, 2010	$	3,348,953		$	51,212	$	793,066		$	—	$	4,193,231		$	1,388,452		$	2,375,149		$	1,396,862		$	—		$	5,160,463
Sale of Units		268			—		—			5,428		5,696			—			—			—			362,963			362,963
Redemption of Units		(90,970	)		—		(45,940	)		—		(136,910	)		(469,520	)		(200,000	)		(113,639	)		—			(783,159	)
Net increase/(decrease) in Owners’ Capital resulting from operations		189,465			3,250		48,110			335		241,160			(51,305	)		(98,874	)		(56,369	)		(6,978	)		(213,526	)
Capital (Net Asset Value), March 31, 2011	$	3,447,716		$	54,462	$	795,236		$	5,763	$	4,303,177		$	867,627		$	2,076,275		$	1,226,854		$	355,985		$	4,526,741
Capital - Units, December 31, 2010		35,587			494		7,647			—		43,728			11,770			18,314			10,770			—			40,854
Sale of Units		3			—		—			52		55			—			—			—			2,864			2,864
Redemption of Units		(970	)		—		(437	)		—		(1,407	)		(4,057	)		(1,610	)		(899	)		—			(6,566	)
Capital - Units, March 31, 2011		34,620			494		7,210			52		42,376			7,713			16,704			9,871			2,864			37,152
							(1	)													(1	)
Net asset value per unit at December 31, 2010 or start of operations	$	94.11				$	103.71		$	103.88				$	117.96					$	129.69		$	126.73
Change in net asset value per unit for three months ended March 31, 2011		5.48					6.58			6.41					(5.46	)					(5.40	)		(2.44	)
Net asset value per unit at March 31, 2011	$	99.59				$	110.29		$	110.29				$	112.50					$	124.29		$	124.29

(1) Values are for both Managing Owner and Limited Owners

(2) The Long Only Commodity Series, Class 3 Units began trading operations on January 14, 2011

(3) The Managed Futures Index Series, Class 3 Units began trading operations on January 14, 2011

The accompanying notes are an integral part of these financial statements.

20

The Frontier Fund

Statements of Changes in Capital

For the Three Months Ended March 31, 2011

	Winton Series											Winton/Graham Series
	(Unaudited)											(Unaudited)
	Class 1			Class 2								Class 1			Class 2
	Limited Owners			Managing Owner		Limited Owners			Total			Limited Owners			Managing Owner			Limited Owners			Non- Controlling Interests			Total
Capital (Net Asset Value), December 31, 2010	$	49,350,981		$	230,781	$	11,137,675		$	60,719,437		$	45,898,246		$	61,691		$	11,550,501		$	5,680,358		$	63,190,796
Sale of Units		74,523			—		—			74,523			36,256			—			—			—			36,256
Redemption of Units		(779,364	)		—		(160,083	)		(939,447	)		(831,806	)		—			(1,032,062	)		—			(1,863,868	)
Change in control of ownership - Trading Companies		—			—		—			—			—			—			—			—			—
Contributions		—			—		—			—			—			—			—			1,825,000			1,825,000
Distributions		—			—		—			—			—			—			—			(4,000	)		(4,000	)
Operations attributable to Non-controlling interests		—			—		—			—			—			—			—			(368,433	)		(368,433	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		494,895			4,059		193,484			692,438			(435,507	)		(142	)		(11,755	)		—			(447,404	)
Capital (Net Asset Value), March 31, 2011	$	49,141,035		$	234,840	$	11,171,076		$	60,546,951		$	44,667,189		$	61,549		$	10,506,684		$	7,132,925		$	62,368,347
Capital - Units, December 31, 2010		365,451			1,499		72,328			439,278			383,032			428			80,192			—			463,652
Sale of Units		553			—		—			553			307			—			—			—			307
Redemption of Units		(5,740	)		—		(1,037	)		(6,777	)		(6,942	)		—			(7,078	)		—			(14,020	)
Capital - Units, March 31, 2011		360,264			1,499		71,291			433,054			376,397			428			73,114			—			449,939
							(1	)											(1	)
Net asset value per unit at December 31, 2010	$	135.04				$	153.99					$	119.83					$	144.04
Change in net asset value per unit for three months ended March 31, 2011		1.36					2.71						(1.16	)					(0.34	)
Net asset value per unit at March 31, 2011	$	136.40				$	156.70					$	118.67					$	143.70

(1) Values are for both Managing Owner and Limited Owners

The accompanying notes are an integral part of these financial statements.

21

The Frontier Fund

Statements of Cash Flows

For the Three Months Ended March 31, 2011 and 2010

	Frontier Diversified Series						Frontier Dynamic Series						Frontier Long/Short Commodity Series
	(Unaudited)						(Unaudited)						(Unaudited)
	3/31/2011			3/31/2010			3/31/2011			3/31/2010			3/31/2011			3/31/2010
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	4,892,615		$	(265,060	)	$	(37,036	)	$	(7,586	)	$	9,393,470		$	(4,318,357	)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in open trade equity, at fair value		—			(159,905	)		—			—			—			(518,490	)
Net unrealized (gain)/loss on swap contracts		132,267			252,378			493,638			80,656			(12,237	)		—
Net unrealized (gain)/loss on U.S. Treasury securities		109,445			(40,511	)		21,897			(17,531	)		72,459			(55,320	)
Net realized (gain) on U.S. Treasury securities		—			—			—			—			—			—
(Purchases) sales of:
Sales of swap contracts, at fair value		—			—			—			—			—			—
(Purchases) of swap contracts, at fair value		(110,125	)		—			(21,735	)		—			(59,415	)		—
Sales of U.S. Treasury securities, at fair value		—			—			68,360			—			—			1,246,278
(Purchases) of U.S. Treasury securities, at fair value		(220,841	)		(4,122,789	)		—			(77,485	)		(745,176	)		—
Sales of custom time deposits		—			—			236,403			—			—			6,040,952
(Purchases) of custom time deposits		(2,024,071	)		(20,754,322	)		—			(515,042	)		(4,567,034	)		(266,645	)
Increase and/or decrease in:
Receivable from futures commission merchants		—			(1,313,431	)		—			—			—			23,781,708
Change in control of ownership - trading companies		—			49,473			—			—			—			(8,620,657	)
Contributions to trading companies		—			—			—			—			—			—
Distributions from trading companies		—			—			—			—			—			—
Investments in unconsolidated trading companies, at fair value		(5,849,408	)		(9,227,474	)		—			—			(2,206,977	)		(19,445,061	)
Prepaid service fees - Class 1		47,131			(154,636	)		1,226			(2,104	)		(32,161	)		28,311
Interest receivable		124,545			44,806			26,076			25,332			59,430			82,759
Receivable from related parties		(110,000	)		277,762			—			(41	)		(23,916	)		(1,000	)
Other assets		60			(7,684	)		12			(2,320	)		212			(4,752	)
Inter-series payables/receivables, at fair value		—			(102,443	)		(563,946	)		(129,208	)		—			—
Incentive fees payable to Managing Owner		233,313			52,014			—			—			(124,484	)		(223,340	)
Management fees payable to Managing Owner		24,740			819			—			—			31,856			(92,144	)
Interest payable to Managing Owner		(2,380	)		1,601			(317	)		(439	)		6,640			(5,794	)
Trading fees payable to Managing Owner		32,351			(6,496	)		79			(10,504	)		10,422			(9,035	)
Trailing service fees payable to Managing Owner		33,053			581			(14	)		—			2,446			(21,489	)
Payables to related parties		51,209			—			(52	)		—			37,578			54,202
Other liabilities		(14,157	)		(3,924	)		113			(1,271	)		(10,308	)		(2,943	)
Net cash provided by (used in) operating activities		(2,650,253	)		(35,479,241	)		224,704			(657,543	)		1,832,805			(2,350,817	)
Cash Flows from Financing Activities:
Proceeds from sale of units		15,395,598			34,569,617			182,700			262,367			8,606,874			6,181,713
Payment for redemption of units		(6,142,851	)		(459,559	)		(201,749	)		(56,228	)		(8,783,401	)		(6,373,254	)
Pending owner additions		203,200			199,147			(60,000	)		15,000			183,033			9,600
Owner redemptions payable		(63,160	)		—			(28,323	)		—			(86,895	)		(212	)
Net cash provided by (used in) financing activities		9,392,787			34,309,205			(107,372	)		221,139			(80,389	)		(182,153	)
Net Increase (Decrease) in cash and cash equivalents		6,742,534			(1,170,036	)		117,332			(436,404	)		1,752,416			(2,532,970	)
Cash and cash equivalents, beginning of year or period		4,647,422			8,738,002			498,048			2,262,363			1,114,912			6,658,536
Cash and cash equivalents, end of year or period	$	11,389,956		$	7,567,966		$	615,380		$	1,825,959		$	2,867,328		$	4,125,566

The accompanying notes are an integral part of these financial statements.

22

The Frontier Fund

Statements of Cash Flows

For the Three Months Ended March 31, 2011 and 2010

	Frontier Master Series						Balanced Series						Berkeley/Graham/Tiverton Series (1)
	(Unaudited)						(Unaudited)						(Unaudited)
	3/31/2011			3/31/2010			3/31/2011			3/31/2010			3/31/2011			3/31/2010
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	170,586		$	447,459			13,303,959		$	(3,895,960	)	$	(1,047,645	)	$	(2,344,964	)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in open trade equity, at fair value		(630,309	)		—			8,563,789			(2,942,023	)		—			(741,959	)
Net unrealized (gain)/loss on swap contracts		1,600,211			(439,498	)		1,012,456			(1,238,579	)		(9,684	)		—
Net realized (gain)/loss on swap contracts		(2,629,262	)		—			—			—			—			—
Net unrealized (gain)/loss on U.S. Treasury securities		50,690			(13,931	)		208,005			203,977			52,133			(53,177	)
Net realized (gain) on U.S. Treasury securities		—			—			—			—			—			—
(Purchases) sales of:
Sales of swap contracts, at fair value		27,385,221			—			—			—			—			—
(Purchases) of swap contracts, at fair value		(177,811	)		(65,307	)		(202,931	)		—			(49,981	)		—
Sales of U.S. Treasury securities, at fair value		—			—			1,873,065			3,156,144			749,249			1,336,651
(Purchases) of U.S. Treasury securities, at fair value		(3,170,902	)		(2,723,986	)		—			—			3,905,652			—
Sales of custom time deposits		—			—			9,228,062			17,171,715			—			6,212,615
(Purchases) of custom time deposits		(18,341,687	)		(13,623,213	)		—			(974,114	)		—			—
Increase and/or decrease in:
Receivable from futures commission merchants		(5,593,702	)		—			(20,076,017	)		12,771,577			—			(10,960,925	)
Change in control of ownership - trading companies		—			—			—			(2,289,723	)		—			2,366,259
Contributions to trading companies		70,000			—			12,034,000			—			—			700,000
Distributions from trading companies		—			—			(7,954,365	)		—			—			—
Investments in unconsolidated trading companies, at fair value		(1,496,340	)		(2,658,054	)		(4,940,391	)		(17,566,697	)		(276,090	)		3,250,458
Investment in Berkeley Quantitative Colorado Fund LLC		50,819			(56,063	)		3			411,843			(397,671	)		54,105
Inter-series payables/receivables, at fair value		18,592			14,492			259,493			288,588			16			95,208
Prepaid service fees - Class 1		—			178,786			—			(105,710	)		68,070			(44,031	)
Interest receivable		15			(4,146	)		(3,616	)		(4,448	)		—			—
Receivable from related parties		—			125,024			1,040,636			(222,411	)		(874	)		—
Other assets		32,012			10,304			766,215			(642,878	)		—			—
Incentive fees payable to Managing Owner		38,286			(9,382	)		144,641			(96,977	)		(270,557	)		(41,814	)
Management fees payable to Managing Owner		5,943			1,466			(130,721	)		70,935			(27,774	)		(23,083	)
Interest payable to Managing Owner		7,725			(1,672	)		94,190			(87,849	)		(5,415	)		(10,065	)
Trading fees payable to Managing Owner		11,721			517			(73,838	)		179,970			(973	)		(23,563	)
Trailing service fees payable to Managing Owner		(77,684	)		3,000			31,321			(270,000	)		(3,954	)		(52,300	)
Payables to related parties		(4,136	)		(1,911	)		2,068			(5,166	)		(785	)		(56	)
Other liabilities		—			—			—			—			340			—
Net cash provided by (used in) operating activities		(2,680,012	)		(18,816,115	)		15,180,024			3,912,214			2,684,057			(280,641	)
Cash Flows from Financing Activities:
Proceeds from sale of units		4,836,235			18,628,725			248,569			1,912,242			27,253			39,414
Payment for redemption of units		(1,254,520	)		(208,476	)		(11,932,046	)		(11,789,257	)		(2,093,749	)		(2,399,115	)
Pending owner additions		(5,200	)		(1,691,929	)		—			—			—			—
Owner redemptions payable		(183,222	)		—			(27,314	)		(4,084	)		(15,006	)		58,886
Net cash provided by (used in) financing activities		3,393,293			16,728,320			(11,710,791	)		(9,881,099	)		(2,081,502	)		(2,300,815	)
Net Increase (Decrease) in cash and cash equivalents		713,281			(2,087,795	)		3,469,233			(5,968,885	)		602,555			(2,581,456	)
Cash and cash equivalents, beginning of year or period		1,207,290			5,568,831			5,375,950			22,402,584			1,341,151			7,476,636
Cash and cash equivalents, end of year or period	$	1,920,571		$	3,481,036		$	8,845,183		$	16,433,699		$	1,943,706		$	4,895,180

(1) Formerly the Cambell/Graham/Tiverton Series.

The accompanying notes are an integral part of these financial statements.

23

The Frontier Fund

Statements of Cash Flows

For the Three Months Ended March 31, 2011 and 2010

	Currency Series						Long Only Commodity Sereis						Managed Futures Index Series
	(Unaudited)						(Unaudited)						(Unaudited)
	3/31/2011			3/31/2010			3/31/2011			3/31/2010			3/31/2011			3/31/2010
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(302,842	)	$	170,677		$	241,160		$	(183,546	)	$	(213,526	)	$	(69,501	)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in open trade equity, at fair value		5,710			(45,476	)		—			—			—			—
Net unrealized (gain)/loss on swap contracts		526,568			(470,359	)		(821	)		—			—			—
Net realized (gain)/loss on swap contracts		—			—			(257,875	)		173,729			—			—
Net unrealized (gain)/loss on U.S. Treasury securities		14,711			(17,325	)		4,310			(3,896	)		3,627			(2,804	)
Net realized (gain) on U.S. Treasury securities		—			—			—			—			—			—
(Purchases) sales of:
Sales of swap contracts, at fair value		—			—			545,433			311,580			—			—
(Purchases) of swap contracts, at fair value		(14,286	)		—			(15,160	)		(306,023	)		(4,394	)		—
Sales of U.S. Treasury securities, at fair value		216,352			267,465			—			—			—			—
(Purchases) of U.S. Treasury securities, at fair value		—			—			(46,656	)		14,719			46,371			(277,415	)
Sales of custom time deposits		1,127,723			1,285,952			(293,314	)		65,745			232,388			—
(Purchases) of certificates of deposit		—			—			—			—			—			—
Increase and/or decrease in:
Receivable from futures commission merchants		(566,722	)		(303,249	)		—			—			—			—
Investments in unconsolidated trading companies, at fair value		—			—			—			—			85,299			(23,275	)
Prepaid service fees - Class 1		—			2,337			—			1,063			—			2,762
Interest receivable		19,482			24,765			4,269			5,421			5,714			3,244
Receivable from related parties		—			(5	)		—			—			1,438			34
Other assets		(194	)		(912	)		13			(551	)		(1	)		—
Inter-series payables/receivables, at fair value		(476,691	)		329,038			—			—			—			—
Management fees payable to Managing Owner		(300	)		(3,062	)		(147	)		57			(1,941	)		3,298
Interest payable to Managing Owner		(973	)		(2,787	)		155			(24	)		(228	)		(452	)
Trading fees payable to Managing Owner		(458	)		(2,261	)		24			(114	)		(65	)		739
Trailing service fees payable to Managing Owner		(1,354	)		(2,109	)		69			159			(781	)		165
Payables to related parties		(144	)		45,085			11			881			200,000			(7,827	)
Other liabilities		141			(403	)		4			(203	)		19			(92	)
Net cash provided by (used in) operating activities		546,723			1,277,371			181,475			78,997			353,920			(371,124	)
Cash Flows from Financing Activities:
Proceeds from sale of units		15,176			17,133			5,696			233			362,963			2,000,000
Payment for redemption of units		(281,902	)		(1,745,921	)		(136,910	)		(244,689	)		(783,159	)		(100,686	)
Pending owner additions		—			—			—			—			(1,440	)		—
Redemptions payable		(41,598	)		—			—			—			35,732			—
Net cash provided by (used in) financing activities		(308,324	)		(1,728,788	)		(131,214	)		(244,456	)		(385,904	)		1,899,314
Net Increase (Decrease) in cash and cash equivalents		238,399			(451,417	)		50,261			(165,459	)		(31,984	)		1,528,190
Cash and cash equivalents, beginning of year or period		275,485			2,043,698			175,096			691,771			196,091			378,445
Cash and cash equivalents, end of year or period	$	513,884		$	1,592,281		$	225,357		$	526,312		$	164,107		$	1,906,635

The accompanying notes are an integral part of these financial statements.

24

The Frontier Fund

Statements of Cash Flows

For the Three Months Ended March 31, 2011 and 2010

	Winton Series						Winton/Graham Series
	(Unaudited)						(Unaudited)
	3/31/2011			3/31/2010			3/31/2011			3/31/2010
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	692,438		$	2,860,297		$	(815,837	)	$	(457,522	)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in open trade equity, at fair value		—			—			841,206			(1,210,211	)
Net unrealized (gain)/loss on swap contracts		(11,718	)		—			(9,432	)		—
Net unrealized (gain) loss on U.S. Treasury Securities, at fair value		62,094			51,806			50,460			50,683
Net realized gain/(loss) on U.S. Treasury securities, at fair value		—			—			—			—
(Purchases) sale of:
Sales of swap contracts, at fair value		—			—			—			—
(Purchases) of swap contracts, at fair value		(60,486	)		—			(48,710	)		—
Sales of U.S. Treasury securities, at fair value		427,084			216,174			930,293			516,320
(Purchases) of U.S. Treasury securities, at fair value		—			—			—			—
Sales of custom time deposits		2,005,353			1,489,547			4,937,308			2,951,300
(Purchases) of custom time deposits		—			(285,684	)		—			(257,352	)
Increase and/or decrease in:
Receivable from futures commission merchants		—			—			(4,035,283	)		(1,849,465	)
Change in control of ownership of trading companies		—			—			—			1,255,701
Contributions to trading companies		—			—			1,825,000			600,000
Distributions from trading companies		—			—			(4,000	)		—
Investments in unconsolidated trading companies, at fair value		(1,669,249	)		(3,480,844	)		(890,801	)		(1,764,766	)
Prepaid service fees - Class 1		—			—			—			92,508
Interest receivable		75,816			74,677			69,060			71,790
Receivable from related parties		—			—			—			50
Other assets		(874	)		—			(809	)		(2,255	)
Incentive fees payable to Managing Owner		(184,413	)		—			(553,337	)		—
Management fees payable to Managing Owner		(7,943	)		(20,944	)		(15,669	)		(30,529	)
Interest payable to Managing Owner		337			(14,263	)		(3,278	)		(18,826	)
Trading fees payable to Managing Owner		99			(6,455	)		(814	)		(4,962	)
Trailing service fees payable to Managing Owner		(527	)		(14,657	)		(2,427	)		(4,854	)
Payables to related parties		976			(128,235	)		302			36,770
Other liabilities		505			(588	)		65			8,782
Net cash provided by (used in) operating activities		1,329,492			740,831			2,273,297			(16,838	)
Cash Flows from Financing Activities:
Proceeds from sale of units		74,523			63,725			36,256			36,273
Payment for redemption of units		(939,447	)		(1,906,690	)		(1,863,868	)		(1,853,620	)
Pending owner additions		—			—			—			—
Owner redemptions payable		(1,973	)		—			(33,096	)		—
Net cash provided by (used in) financing activities		(866,897	)		(1,842,965	)		(1,860,708	)		(1,817,347	)
Net Increase (Decrease) in cash and cash equivalents		462,595			(1,102,134	)		412,589			(1,834,185	)
Cash and cash equivalents, beginning of year or period		1,808,624			5,821,196			1,352,481			5,982,543
Cash and cash equivalents, end of year or period	$	2,271,219		$	4,719,062		$	1,765,070		$	4,148,358

The accompanying notes are an integral part of these financial statements.

25

The Frontier Fund

Notes to Financial Statements (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, or each, a Series, of units of beneficial interest (the “Units”) pursuant to the requirements of the Delaware Statutory Trust Act, as amended (the “Trust Act”). The assets of each Series are valued and accounted for separately from the assets of other Series. The Trust is not registered as an investment company under the Investment Company Act of 1940, as amended (the “Investment Company Act”). It is managed by its Managing Owner, Equinox Fund Management, LLC.

Purchasers of Units are limited owners of the Trust (“Limited Owners”) with respect to beneficial interests of the Series’ Units purchased. 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. The Managing Owner will make contributions to Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of all Series.

The Trust has been organized to pool assets of investor funds for the purpose of trading in the United States (“U.S.”) and international markets for currencies, interest rates, stock indices, agricultural and energy products, precious and base metals and other commodities. The Trust may also engage in futures contracts, forwards, option contracts and other interest in derivative instruments, including swap contracts (“Swaps”).

The Trust has eleven (11) separate and distinct Series of Units issued and outstanding: Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series, Berkeley/Graham/Tiverton Series (formerly Campbell/Graham/Tiverton Series), Currency Series, Long Only Commodity Series, Managed Futures Index Series, Winton Series and Winton/Graham Series (each a “Series” and collectively, the “Series”). The Trust may issue additional Series of Units.

The Trust, with respect to each Series:

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

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

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

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

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

26

• maintains each Series of Units in three or six sub-classes—Class 1, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of any Series are charged a service fee of up to three percent (3.0%) annually of the NAV of each Unit purchased, for the benefit of Selling Agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1 a of such Series, is prepaid to Equinox Fund Management, LLC (the “Managing Owner”) by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 or Class 1 a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the NAV at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to Selling Agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series or Class 2a Units of the Frontier Long/Short Commodity Series) sold until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series for administrative purposes. The Managing Owner may also pay Selling Agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such Selling Agents; and

• all payments made to Selling Agents who are members of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and their associated persons that constitute underwriting compensation will be subject to the limitations set forth in Rule 2310(b)(4)(B)(ii) (formerly Rule 281 0(b)(4)(B)(ii)) of the Conduct Rules of FINRA (“Rule 2310”). An investor’s Class 1 Units or Class 2 Units of any Series, or Class 1a Units or Class 2a Units of the Frontier Long/Short Commodity Series or Balanced Series will be classified as Class 3 Units of such Series, or Class 3a Units of the Frontier Long/Short Commodity Series or Balanced Series, as applicable when the Managing Owner determines that the fee limitation set forth in Rule 2310 with respect to such Units has been reached or will be reached. No service fees are paid with respect to Class 3 or Class 3a Units. Units of any Class in a Series may be redeemed, in whole or in part, on a daily basis, at the then current NAV per Unit for such Series on the day of the week after the date the Managing Owner is in receipt of a redemption request for at least one (1) Business Day to be received by the Managing Owner prior to 4:00 PM in New York.

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, separate and distinct records of the cash and equivalents, although pooled for maximizing returns, is maintained in the books and records of each Series.

As of March 31, 2011, each of the Frontier Dynamic Series, Long Only Commodity Series, Managed Futures Index Series and Winton Series have invested a portion of its assets in a singleTrading Company. A single Trading Advisor manages 100% of the assets invested in each such Trading Company, except the Trading Company for the Frontier Dynamic Series and the Long Only Commodity Series which allocates assets only to Swaps. The Currency Series invests a portion of its assets in a single Trading Company, which allocates assets to one Trading Advisor and one Swap. Each of the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series, Berkeley/Graham/Tiverton Series, and Winton/Graham Series have invested a portion of its assets in several different Trading Companies and have multiple Trading Advisors that manage the assets invested in such Trading Companies.

In November, 2010, the Berkeley/Graham/Tiverton Series invested a portion of its assets in Berkeley Quantitative Colorado Fund, LLC, an unaffiliated company, managed by an affiliate of Berkeley Quantitative L.P. Through this investment, Berkeley Quantitative L.P. became a commodity Trading Advisor to the Series.

2. Significant Accounting Policies

The following are the significant accounting policies of the Trust.

Basis of Presentation—The Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) is now FASB’s officially recognized source of authoritative U.S. generally accepted accounting principles (“GAAP”) applicable to all public and non-public non-governmental entities, superseding FASB, American Institute of Certified Public Accountants, Emerging Issues Task Force and related literature. Rules and interpretive releases of the SEC under the authority of federal securities laws are also sources of authoritative GAAP for Securities and Exchange Commission (“SEC”) registrants. All other accounting literature is considered non-authoritative. Existing GAAP prior to the effective date of the ASC was not altered in compilation of the ASC. Citing particular content in the ASC involves specifying the unique numeric path to the content through the Topic, Subtopic, Section and Paragraph structure.

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These financial statements should be read in conjunction with the audited financial statements and notes thereto included in our 2010 Annual Report on Form 10-K as filed with the SEC.

Consolidation—The Series, through investing in the 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 commodities interests and derivative instruments, and have no operating income or expenses, except for trading income and expenses, all of which is allocated to the Series. Trading Companies in which a Series has a controlling and majority equity interest are consolidated by such Series. Investments in Trading Companies in which a Series does not have a controlling and majority interest are accounted for under the equity method, which approximates fair value. The equity interest held by Series of the Trust is shown as investments in unconsolidated trading companies in the statements of financial condition. The income or loss attributable thereto in proportion of investment level is shown in the statements of operations as equity in earnings/(loss) from unconsolidated trading companies.

Investments in Trading Companies in which a Series does not have a controlling or majority interest are carried in the statements of financial condition of such Series using the equity method of accounting, which approximates fair value. Fair value represents the proportionate share of the Series interest in the NAV in a Trading Company.

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

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

The consolidated financial statements of the Frontier Masters Series include the assets, liabilities and earnings of its wholly-owned trading company, Frontier Trading Company XI, LLC as well as the assets, liabilities and earnings of its majority-owned trading company, Frontier Trading Company XXI, LLC.

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

The Berkeley/Graham/Tiverton Series has an investment in the Berkeley Quantitative Colorado Fund, LLC. The Berkeley Quantitative Colorado Fund, LLC is not consolidated into the financial statements of the Berkeley/Graham/Tiverton Series because the Trust has no control or transparency over the operations of the Trading Company. This investment is shown on the statements of financial condition as investment in Berkeley Quantitative Colorado Fund, LLC and any changes in fair value shown are shown on the statements of operations as net unrealized gain/(loss) on the Berkeley Quantitative Colorado Fund, 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 Long Only Commodity Series include the assets, liabilities and earnings of its wholly- owned trading company, Frontier Trading Company VIII, LLC.

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

Use of Estimates—The preparation of financial statements in conformity with GAAP may require the Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. The valuation of swap contracts requires significant estimates as well as the valuation of certain other investments. Please refer to Note 3 for discussion of valuation methodology.

Cash and Cash Equivalents—Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits held at banks with maturities of three months or less.

Interest Income—Aggregate interest income from all sources, including assets held at Futures Commission Merchants (“FCM”), up to two percentage points of the aggregate percentage yield (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Berkeley/Graham/Tiverton Series, Currency Series, Winton Series and Winton/Graham Series. For the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series (Class 1a, Class 2a and Class 3a only), Long Only Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner. All interest not paid to the Managing Owner is interest income to the Series.

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U.S. Treasury Securities, custom time deposits and certain demand deposits are pooled for purposes of maximizing returns on these assets to investors of all Series. Interest income from pooled cash management assets is recognized on the accrual basis and allocated daily to each Series based upon its daily proportion of ownership of the pool. Interest income from demand deposits segregated by Series is allocated to the respective Series in proportion to their daily NAV.

U.S. Treasury Securities—U.S. Treasury Securities are allocated to all Series based on each Series’ percentage ownership in the pooled cash management assets as of the reporting date. They are reported at fair value as Level 1 inputs under ASC 820, Fair Value Measurements and Disclosures (“ASC 820”). The Trust values U.S. Treasury Securities at fair value and records the daily change in value in the statements of operations as net unrealized gain/(loss) on U.S. Treasury securities. Accrued interest is reported on the statements of financial condition as interest receivable.

Custom Time Deposits—Custom time deposits are structured deposit agreements with U.S. Bank National Association that earn a guaranteed fixed interest rate between 2.17% and 3.75% , mature nine months from the deposit date and are subject to automatic six-month rollovers through October 2013. Interest is paid monthly or at least every nine months. Unscheduled withdrawals will be subject to certain penalties and other costs of up to 1.0% of the amount deposited if withdrawn within the first nine months from the deposit date. Custom time deposits were purchased on September 15, 2009, October 21, 2008 and October 30, 2008. The withdrawal fee is set at 0.225% for the period from nine months to one year subsequent to the deposit date and decreases by .05% increments for each year thereafter through the maturity date. Custom time deposits are allocated to each Series based on their percentage ownership in the pooled cash management assets as of the reporting date. The Trust values the custom time deposits at face value plus accrued interest as it is considered a deposit account under paragraph 7.44 of the Investment Company Audit Guide, and accordingly, this deposit is not subject to ASC 820.

Credit Default Swaps—The Trust invests in credit default swaps for the purpose of transferring part of the risk of concentration of deposits with U.S. Bank National Association to other major financial institutions. See Note 4. Credit Default Swaps are allocated to each Series based on their percentage ownership in the pooled cash management assets as of the reporting date. Credit Default Swaps are reported at fair value based upon daily valuations provided by a third party pricing service and records the daily change in value in the statements of operations as net unrealized gain/(loss) on swap contracts.

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

Investment Transactions—Futures, options on futures, forward and swap contracts are recorded on a trade date basis and realized gains or losses are recognized when contracts are settled. Unrealized gains or losses on open contracts (the difference between contract trade price and market price) are reported in the statements of financial condition as a net unrealized gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with FASB ASC 210, Balance Sheet (“ASC 210”).

Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations. Fair value of exchange-traded contracts is based upon exchange settlement prices. Fair value of non-exchange-traded contracts is based on third party quoted dealer values on the interbank market. For U.S. Treasury securities, interest is recognized in the period earned and the instruments are marked-to-market daily based on third party information. Custom time deposits are valued at face value plus accrued interest and the interest income is recognized in the period earned. Transaction costs are recognized as incurred and reflected separately in the statements of operations.

Allocation of Earnings—Each Series of the Trust maintains three or six classes of Units—Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a). All classes have identical voting, dividend, liquidation and other rights and the same terms and conditions, except that fees charged to a Class or Series differ as described below. Revenues, expenses (other than expenses attributable to a specific class), and realized and unrealized trading gains and losses of each Series are allocated daily to Class 1, Class 1a, Class 2, Class 2a, Class 3 and Class 3a Units based on each Class’ respective owners’ capital balances.

Each Series allocates funds to an affiliated Trading Company, or Companies, of the Trust. Each Trading Company allocates all of its daily trading gains or losses to the Series in proportion to each Series’ ownership interest in the Trading Company, adjusted on a daily basis. As of March 31, 2011, the value of all open contracts and cash held at clearing brokers is similarly allocated to the Series in proportion to each Series’ funds allocated to the Trading Company, or Companies.

Inter-Series Receivables/Payables—The Balanced Series, for the purposes of diversification of investments and trading advisors through the other Series’ access to trading companies in which the Balanced Series does not have a direct interest, has advanced funds to the Currency Series and the Frontier Dynamic Series. The amount of the funds advanced by the Balanced Series to each of the Currency Series and the Frontier Dynamic Series participates on a pari passu basis with Class 2 Units of such investee 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 statements of operations. The Balanced Series is subject to the same allocations of income and fees as the

29

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 advances in affiliated Series. The Managing Owner monitors such allocations so that aggregate fees of the investee Series on the Balanced Series advances do not exceed the allowable fees of the Balanced Series as provided in the Trust’s Prospectus. Interest is not credited to the Balanced Series on the capital allocated to its inter-series advances to avoid the duplication of interest charged or received.

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 statements 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 net realized gain/loss on investments.

Investments and Swaps—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 realized and unrealized gains/(losses) on investments in the statements of operations. Certain Series of the Trust strategically invest a portion or all of their assets in total return Swaps, selected at the discretion of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more underlying 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 of 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. The valuation of swap contracts requires significant estimates. Swap contracts utilizing Level 2 inputs 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. Swap Contracts are reported at fair value based upon daily valuations provided by a third party pricing service and corroborated by weekly counterparty settlement values. The third party pricing service utilizes a Black Scholes pricing model with input adjustments factoring in volatility and liquidity of the instruments. All valuation processes are monitored by the valuation committee of the Managing Owner.

Income Taxes—The Trust applies the provisions of ASC 740 Income Taxes (“ASC 740”), which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This interpretation also provides guidance on derecognition, classification, interest and penalties, accounting in interim periods and disclosure. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trust’s financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Trust’s level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The Managing Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust for the years ended December 31, 2010, December 31, 2009 and December 31, 2008. The 2008 through 2010 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

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

Fees and Expenses—All management fees, incentive fees, service fees and trading fees of the Trust are paid to the Managing Owner. It is the responsibility of the Managing Owner to pay all Trading Advisor management and incentive fees, Selling Agent Service fees and all other operating expenses and continuing offering costs of the Trust.

Service Fees—The Trust maintains each Series of Units in three or six sub-classes—Class 1, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of any Series are charged a service fee of up to three percent (3.0%) annually of the NAV of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 or Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the NAV at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to Selling Agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series or Class 2a Units of the Frontier Long/Short Commodity Series) sold until such Class 2 or Class 2a Units which are subject to

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the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series for administrative purposes. The Managing Owner may also pay Selling Agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such Selling Agents.

These service fees are part of the offering costs of the Trust, which include registration and filing fees, legal and blue sky expenses, accounting and audit, printing, marketing support and other offering costs which are born by the Managing Owner. With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Class 1 and Class 1a Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed for such payment by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk of the downside and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months.

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

Recently Adopted Accounting Pronouncements—In January 2010, FASB issued Accounting Standards update No. 2010-06 (“ASU 2010-06”) for improving disclosure about fair value measurements. ASU 2010-06 adds new disclosure requirements about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2009 except for disclosures about purchases, sales, issuances and settlements in the roll forward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. As this update is disclosure related, adoption of ASU 2010-06 on January 1, 2011 did not have a material impact on the Trust’s financial condition or results of operations.

Reclassification—Certain amounts in the 2010 financial statements have been reclassified to conform to the 2011 presentation. None of the reclassifications had an impact of the NAV of any of the Series.

Subsequent Events—The Trust follows the provisions of FASB ASC 855, Subsequent Events, which establishes general standards of accounting for and disclosure of events that occur after the balance sheet date but before financial statements are issued.

3. Fair Value Measurements

In connection with the valuation of investments the Series apply ASC 820. ASC 820 provides clarification that when a quoted price in an active market for the identical asset or liability is not available, a reporting entity is required to measure fair value using certain techniques. ASC 820 also clarifies that when estimating the fair value of an asset or liability, a reporting entity is not required to include a separate input or adjustment to other inputs relating to the existence of a restriction that prevents the transfer of an asset or liability. ASC 820 also clarifies that both a quoted price in an active market for the identical asset or liability at the measurement date and the quoted price for the identical asset or liability when traded as an asset in an active market when no adjustments to the quoted price of the asset are required are Level 1 fair value measurements.

Level 1 Inputs

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

Level 2 Inputs

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

Level 3 Inputs

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

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

Trading Securities. These instruments include U.S. Treasury securities and open trade equity positions (futures contracts and currency forwards) that are actively traded on public markets with quoted pricing for corroboration. U.S. Treasury securities, futures contracts, and currency forwards are reported at fair value using Level 1 inputs. Trading securities instruments further include open trade equity positions (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 Series of the Trust 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 of 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. The valuation of swap contracts require significant estimates. 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. Swap contacts utilizing Level 2 inputs 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 daily valuations provided by a third party pricing service and corroborated by weekly counterparty settlement values. The third party pricing service utilizing a Black Scholes pricing model with input adjustments factoring in volatility and liquidity of the instruments. These Swap Contracts were previously reported at fair value based upon returns/values that were provided on less than a daily frequency from the swap counterparty, requiring additional internal financial modeling to develop pricing.

Investment in Unconsolidated Trading Companies. This investment represents the fair value of the allocation of cash, futures, forwards , options and swaps to each respective Series relative to its trading allocations from unconsolidated Trading Companies. The Trust, under the same management as the Trading Companies, has access to the underlying positions of the Trading Companies. As such, the Series report investments in unconsolidated Trading Companies at fair value using the corresponding inputs of the underlying securities of the Trading Companies which results in the Series reporting the corresponding Level determination from the inputs of the Trading Company.

Investment in Berkeley Quantitative Colorado Fund, LLC. Investment in Berkeley Quantitative Colorado Fund, LLC is valued based on the daily net asset value as reported by the managing member of the Berkeley Quantitative Colorado Fund, LLC. The reported net asset value represents fair value based on observable data such as ongoing redemption and/or subscription activity, which is reported as a Level 2 input.

Inter-Series Receivables and Payables. The Balanced Series, for the purposes of diversification of investments and trading advisors through the other Series’ access to Trading Companies in which the Balanced Series does not have a direct interest, advances funds to the Currency Series and Frontier Dynamic Series. Inter-Series receivables and payables are reported at fair value using Level 1 inputs.

The following table summarizes the instruments that comprise the Trust’s financial asset portfolio, by Series, measured at fair value on a recurring basis as of March 31, 2011 and December 31, 2010, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

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March 31, 2011	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Total Fair Value
Frontier Diversified Series
Swap Contracts		—		—		11,385,763		11,385,763
Investment in Unconsolidated Trading Companies		44,694,568		3,538,505		12,556,430		60,789,503
U.S. Treasury Securities		13,732,126		—		—		13,732,126
Frontier Dynamic Series
Swap Contracts		—		—		10,484,869		10,484,869
U.S. Treasury Securities		2,706,253		—		—		2,706,253
Inter-Series Payables		27,756,337		—		—		27,756,337
Frontier Long/Short Commodity Series
Swap Contracts		—		—		71,652		71,652
Investment in Unconsolidated Trading Companies		33,632,578		456,191		1,082,655		35,171,425
U.S. Treasury Securities		7,473,752		—		—		7,473,752
Frontier Masters Series
Open Trade Equity		630,309		—		—		630,309
Swap Contracts		—		—		63,887		63,887
Investment in Unconsolidated Trading Companies		16,103,831		1,314,167		—		17,417,998
U.S. Treasury Securities		6,663,766		—		—		6,663,766
Balanced Series
Open Trade Equity		2,659,172		14,867,249		—		17,526,421
Swap Contracts		—		—		49,001,937		49,001,937
Investment in Unconsolidated Trading Companies		46,619,201		393,568		—		47,012,769
U.S. Treasury Securities		25,172,427		—		—		25,172,427
Inter-Series Receivables		40,096,422		—		—		40,096,422
Berkeley/Graham/Tiverton Series
Swap Contracts		—		—		59,665		59,665
Investment in Unconsolidated Trading Companies		10,896,807		2,045,154		—		12,941,961
Investment in Berkeley Quantitative Colorado Fund, LLC		—		10,554,770		—		10,554,770
U.S. Treasury Securities		6,223,447		—		—		6,223,447
Currency Series
Open Trade Equity		21,388		—		—		21,388
Swap Contracts		—		—		5,156,486		5,156,486
U.S. Treasury Securities		1,778,610		—		—		1,778,610
Inter-Series Payables		12,340,084		—		—		12,340,084
Long Only Commodity Series
Swap Contracts		—		514,158		5,061		519,219
U.S. Treasury Securities		527,887		—		—		527,887
Managed Futures Index Series
Swap Contracts		—		—		5,243		5,243
Investment in Unconsolidated Trading Companies		907,538		—		—		907,538
U.S. Treasury Securities		546,853		—		—		546,853
Winton Series
Swap Contracts		—		—		72,204		72,204
Investment in Unconsolidated Trading Companies		7,891,505		651		—		7,892,156
U.S. Treasury Securities		7,531,331		—		—		7,531,331
Winton/Graham Series
Open Trade Equity		585,932		—		—		585,932
Swap Contracts		—		—		58,142		58,142
Investment in Unconsolidated Trading Companies		4,273,699		353		—		4,274,052
U.S. Treasury Securities		6,064,598		—		—		6,064,598

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December 31, 2010	Level 1 Inputs		Level 2 Inputs			Level 3 Inputs		Total Fair Value
Frontier Diversified Series
Swap Contracts		—		—			11,407,905		11,407,905
Investment in Unconsolidated Trading Companies		36,804,536		5,737,148			12,398,412		54,940,095
U.S. Treasury Securities		13,620,730		—			—		13,620,730
Frontier Dynamic Series
Swap Contracts		—		—			10,956,772		10,956,772
U.S. Treasury Securities		2,796,510		—			—		2,796,510
Inter-Series Payables		28,320,283		—			—		28,320,283
Frontier Long/Short Commodity Series
Investment in Unconsolidated Trading Companies		31,804,854		596,889			562,705		32,964,448
U.S. Treasury Securities		6,801,035		—			—		6,801,035
Frontier Masters Series
Swap Contracts		—		—			26,242,246		26,242,246
Investment in Unconsolidated Trading Companies		13,705,024		2,216,634			—		15,921,658
U.S. Treasury Securities		3,543,554		—			—		3,543,554
Balanced Series
Open Trade Equity		1,724,008		24,366,202			—		26,090,210
Swap Contracts		—		—			49,811,462		49,811,462
Investment in Unconsolidated Trading Companies		41,577,810		494,568			—		42,072,378
U.S. Treasury Securities		27,253,497		—			—		27,253,497
Inter-Series Receivables		41,137,058		—			—		41,137,058
Campbell/Graham/Tiverton Series
Investment in Unconsolidated Trading Companies		9,244,073		3,421,798			—		12,665,871
Investment in Berkeley Quantitative Colorado Fund, LLC		—		10,157,099			—		10,157,099
U.S. Treasury Securities		7,024,829		—			—		7,024,829
Currency Series
Open Trade Equity		28,390		(1,292	)		—		27,098
Swap Contracts		—		—			5,668,768		5,668,768
U.S. Treasury Securities		2,009,673		—			—		2,009,673
Inter-Series Payables		12,816,775		—			—		12,816,775
Long Only Commodity Series
Swap Contracts		—		790,796			—		790,796
U.S. Treasury Securities		485,541		—			—		485,541
Managed Futures Index Series
Investment in Unconsolidated Trading Companies		992,837		—			—		992,837
U.S. Treasury Securities		597,700		—			—		597,700
Winton Series
Investment in Unconsolidated Trading Companies		6,224,743		(1,836	)		—		6,222,907
U.S. Treasury Securities		8,020,509		—			—		8,020,509
Winton/Graham Series
Open Trade Equity		1,427,138		—			—		1,427,138
Investment in Unconsolidated Trading Companies		3,384,249		(998	)		—		3,383,251
U.S. Treasury Securities		7,045,351		—			—		7,045,351

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The changes in Level 3 assets measured at fair value on a recurring basis are summarized in the following tables. Swap Contract asset gains and losses (realized/unrealized) included in earnings are classified in “realized and unrealized gain (loss) on investments – net unrealized gain/(loss) on swap contracts” on the consolidated statement of operations. During the three months ended March 31, 2011, all identified Level 3 assets are components of the Frontier Diversified Series, Frontier Dynamic Series, Frontier Masters Series, Balanced Series and the Currency Series.

	Frontier Diversified Series For The Three Months Ended March 31, 2011			Frontier Dynamic Series For The Three Months Ended March 31, 2011			Frontier Long/Short Commodity Series For The Three Months Ended March 31, 2011			Frontier Masters Series For The Three Months Ended March 31, 2011
Balance of recurring Level 3 assets as of January 1, 2011	$	23,806,317		$	10,956,772		$	562,705		$	26,242,246
Total gains or losses (realized/unrealized):
Included in earnings-realized		—			—			—			2,629,262
Included in earnings-unrealized		(132,267	)		(493,638	)		12,237			(1,600,211	)
Purchases of investments		45,928			13,076			78,248			142,819
Proceeds from sales of investments		—			—			—			(27,385,221	)
Other investment activity		64,197			8,659			(18,833	)		34,992
Net change in unrealized gain/loss in investment of unconsolidated trading companies		158,018			—			519,950			—
Transfers in and/or out of Level 3		—			—			—			—
Balance of recurring Level 3 assets as of March 31, 2011	$	23,942,193		$	10,484,869		$	1,154,307		$	63,887
	Balanced Series For The Three Months Ended March 31, 2011			Berkeley/Graham/ Tiverton Series For The Three Months Ended March 31, 2011			Currency Series For The Three Months Ended March 31, 2011			Long Only Commodity Series For The Three Months Ended March 31, 2011
Balance of recurring Level 3 assets as of January 1, 2011	$	49,811,462		$	—		$	5,668,768		$	—
Total gains or losses (realized/unrealized):
Included in earnings-realized		—			—			—			—
Included in earnings-unrealized		(1,012,456	)		9,684			(526,568	)		821
Purchases of investments		217,290			71,712			23,489			4,639
Proceeds from sales of investments		—			—			—			—
Other investment activity		(14,359	)		(21,731	)		(9,203	)		(399	)
Transfers in and/or out of Level 3		—			—			—			—
Balance of recurring Level 3 assets as of March 31, 2011	$	49,001,937		$	59,665		$	5,156,486		$	5,061
	Managed Futures Index Series For The Three Months Ended March 31, 2011			Winton Series For The Three Months Ended March 31, 2011			Winton/Graham Series For The Three Months Ended March 31, 2011
Balance of recurring Level 3 assets as of January 1, 2011	$	—		$	—		$	—
Total gains or losses (realized/unrealized):
Included in earnings-realized		—			—			—
Included in earnings-unrealized		849			11,718			9,432
Purchases of investments		3,811			83,357			64,011
Proceeds from sales of investments		—			—			—
Other investment activity		583			(22,871	)		(15,301	)
Transfers in and/or out of Level 3		—			—			—
Balance of recurring Level 3 assets as of March 31, 2011	$	5,243		$	72,204		$	58,142

35

	Frontier Diversified Series For The Year Ended December 31, 2010		Frontier Dynamic Series For The Year Ended December 31, 2010		Frontier Long/Short Commodity Series For The Year Ended December 31, 2010
Balance of recurring Level 3 assets as of January 1, 2010	$	11,091,045	$	10,027,253	$	—
Total gains or losses (realized/unrealized):
Included in earnings-realized		—		—		—
Included in earnings-unrealized		416,156		929,519		—
Purchases, sales, issuances, and settlements, net		2,441,110		—		—
Net change in investment of unconsolidated trading companies		9,858,006		—		562,870
Transfers in and/or out of Level 3		—		—		—
Balance of recurring Level 3 assets as of December 31, 2010	$	23,806,317	$	10,956,772	$	562,870
	Frontier Masters Series For The Year Ended December 31, 2010		Balanced Series For The Year Ended December 31, 2010		Currency Series For The Year Ended December 31, 2010
Balance of recurring Level 3 assets as of January 1, 2010	$	15,972,156	$	41,020,535	$	4,992,959
Total gains or losses (realized/unrealized):
Included in earnings-realized		—		—		—
Included in earnings-unrealized		3,474,611		8,790,927		675,809
Purchases, sales, issuances, and settlements, net		6,795,479		—		—
Transfers in and/or out of Level 3		—		—		—
Balance of recurring Level 3 assets as of December 31, 2010	$	26,242,246	$	49,811,462	$	5,668,768

36

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. Total return 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 total return 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 invests in Credit Default Swaps (“CDS”) with highly-rated counterparties as part of its portfolio. CDSs are ordinary over-the-counter investment instruments designed to hedge counterparty risk and generally pay upon the happening of a credit default of a counterparty. The CDS are allocated to each Series based on their percentage ownership in the pooled cash management assets at U.S. Bank N.A. as of the reporting date. Approximately 22% of the Trust’s U.S. Bank N.A. exposure is risk-hedged in this manner with BNP Paribas through March 20, 2012, and 14% with Societe Generale expiring from December 20, 2011 through March 20, 2012.

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, Currency Series, Frontier Diversified Series and Frontier Masters Series, the Swaps serve to diversify the investment holdings of each Series and to provide access to programs and advisors that would not be otherwise available to the Series, and are not used for hedging purposes.

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of March 31, 2011, approximately 7.9% of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain Swaps.

The Balanced Series, Currency Series, Frontier Diversified Series and the Frontier Dynamic 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 (the “RJ/CRB Index”), and the Jefferies Commodity Performance Index (the “JCPI”). Specifically, the Trading Company, which will hold the assets allocable to the Long Only Commodity Series, will enter into Swaps linked to the RJ/CRB Index and the JCPI at the direction of the Managing Owner.

37

The Trust has invested in the following Swaps as of March 31, 2011:

	Frontier Diversified Series
	Credit Default Swap		Credit Default Swap		Credit Default Swap		Option Basket
Counterparty		BNP Paribas		Societe Generale		Societe Generale		Company D
Notional Amount		$92,848		$21,406		$17,398		$7,945,464
Termination Date		3/20/2012		3/20/2012		12/20/2011		6/6/2014
Investee Returns		Total Returns		Total Returns		Total Returns		Total Returns
Realized Gain/(Loss)	$	—	$	—	$	—	$	—
Unrealized Gain/(Loss)	$	21,211	$	315	$	—	$	(153,793	)
Fair Value as of 3/31/2011	$	92,848	$	21,406	$	17,398	$	11,254,111
	Frontier Dynamic Series
	Credit Default Swap		Credit Default Swap		Credit Default Swap		Option Basket
Counterparty		BNP Paribas		Societe Generale		Societe Generale		Company E
Notional Amount		$18,298		$4,219		$3,428		$25,947,437
Termination Date		3/20/2012		3/20/2012		12/20/2011		6/6/2014
Investee Returns		Total Returns		Total Returns		Total Returns		Total Returns
Realized Gain/(Loss)	$	—	$	—	$	—	$	—
Unrealized Gain/(Loss)	$	4,149	$	62	$	—	$	(497,849	)
Fair Value as of 3/31/2011	$	18,298	$	4,219	$	3,428	$	10,458,924
	Frontier Long/Short Commodity Series
	Credit Default Swap		Credit Default Swap		Credit Default Swap
Counterparty		BNP Paribas		Societe Generale		Societe Generale
Notional Amount		$50,533		$11,650		$9,469
Termination Date		3/20/2012		3/20/2012		12/20/2011
Investee Returns		Total Returns		Total Returns		Total Returns
Realized Gain/(Loss)	$	—	$	—	$	—
Unrealized Gain/(Loss)	$	12,058	$	179	$	—
Fair Value as of 3/31/2011	$	50,533	$	11,650	$	9,469
	Frontier Masters Series
	Credit Default Swap		Credit Default Swap		Credit Default Swap
Counterparty		BNP Paribas		Societe Generale		Societe Generale
Notional Amount		$45,056		$10,388		$8,443
Termination Date		3/20/2012		3/20/2012		12/20/2011
Investee Returns		Total Returns		Total Returns		Total Returns
Realized Gain/(Loss)	$	—	$	—	$	—
Unrealized Gain/(Loss)	$	10,217	$	152	$	—
Fair Value as of 3/31/2011	$	45,056	$	10,388	$	8,443
	Balanced Series
	Credit Default Swap		Credit Default Swap		Credit Default Swap		Option Basket
Counterparty		BNP Paribas		Societe Generale		Societe Generale		Company A
Notional Amount		$170,200		$39,239		$31,893		$16,782,654
Termination Date		3/20/2012		3/20/2012		12/20/2011		11/6/2012
Investee Returns		Total Returns		Total Returns		Total Returns		Total Returns
Realized Gain/(Loss)	$	—	$	—	$	—	$	—
Unrealized Gain/(Loss)	$	37,839	$	562	$	—	$	(1,050,857	)
Fair Value as of 3/31/2011	$	170,200	$	39,239	$	31,893	$	48,760,605
	Berkeley/Graham/Tiverton Series
	Credit Default Swap		Credit Default Swap		Credit Default Swap
Counterparty		BNP Paribas		Societe Generale		Societe Generale
Notional Amount		$42,079		$9,701		$7,885
Termination Date		3/20/2012		3/20/2012		12/20/2011
Investee Returns		Total Returns		Total Returns		Total Returns
Realized Gain/(Loss)	$	—	$	—	$	—
Unrealized Gain/(Loss)	$	9,542	$	142	$	—
Fair Value as of 3/31/2011	$	42,079	$	9,701	$	7,885

38

	Currency Series
	Credit Default Swap		Credit Default Swap		Credit Default Swap		Option Basket
Counterparty		BNP Paribas		Societe Generale		Societe Generale		Company B
Notional Amount		$12,026		$2,773		$2,253		$10,865,309
Termination Date		3/20/2012		3/20/2012		12/20/2011		1/26/2013
Investee Returns		Total Returns		Total Returns		Total Returns		Total Returns
Realized Gain/(Loss)	$	—	$	—	$	—	$	—
Unrealized Gain/(Loss)	$	2,727	$	40	$	—	$	(529,335	)
Fair Value as of 3/31/2011	$	12,026	$	2,773	$	2,253	$	5,139,434
	Long Only Commodity Series
	Credit Default Swap		Credit Default Swap		Credit Default Swap		Reuters/Jefferies CRB Index			Jefferies Commodity Performance Index
Counterparty		BNP Paribas		Societe Generale		Societe Generale		Company C			Company C
Notional Amount		$3,569		$823		$669		$2,060,000		$	2,060,000
Termination Date		3/20/2012		3/20/2012		12/20/2011		2/29/2012			2/29/2012
Investee Returns		Total Returns		Total Returns		Total Returns		Total Returns			Total Returns
Realized Gain/(Loss)	$	—	$	—	$	—	$	158,641		$	99,234
Unrealized Gain/(Loss)	$	809	$	12	$	—	$	—		$	—
Fair Value as of 3/31/2011	$	3,569	$	823	$	669	$	243,795		$	270,363
	Managed Futures Index Series
	Credit Default Swap		Credit Default Swap		Credit Default Swap
Counterparty		BNP Paribas		Societe Generale		Societe Generale
Notional Amount		$3,697		$852		$694
Termination Date		3/20/2012		3/20/2012		12/20/2011
Investee Returns		Total Returns		Total Returns		Total Returns
Realized Gain/(Loss)	$	—	$	—	$	—
Unrealized Gain/(Loss)	$	837	$	12	$	—
Fair Value as of 3/31/2011	$	3,697	$	852	$	694
	Winton Series
	Credit Default Swap		Credit Default Swap		Credit Default Swap
Counterparty		BNP Paribas		Societe Generale		Societe Generale
Notional Amount		$50,922		$11,740		$9,542
Termination Date		3/20/2012		3/20/2012		12/20/2011
Investee Returns		Total Returns		Total Returns		Total Returns
Realized Gain/(Loss)	$	—	$	—	$	—
Unrealized Gain/(Loss)	$	11,547	$	171	$	—
Fair Value as of 3/31/2011	$	50,922	$	11,740	$	9,542
	Winton/Graham Series
	Credit Default Swap		Credit Default Swap		Credit Default Swap
Counterparty		BNP Paribas		Societe Generale		Societe Generale
Notional Amount		$41,005		$9,454		$7,683
Termination Date		3/20/2012		3/20/2012		12/20/2011
Investee Returns		Total Returns		Total Returns		Total Returns
Realized Gain/(Loss)	$	—	$	—	$	—
Unrealized Gain/(Loss)	$	9,294	$	138	$	—
Fair Value as of 3/31/2011	$	41,005	$	9,454	$	7,683

39

The Trust has invested in the following Swaps as of December 31, 2010:

	Option Basket Frontier Diversified Series	Option Basket Frontier Dynamic Series	Option Basket Frontier Masters Series	Option Basket Balanced Series
Series:	Diversified	Dynamic	Masters	Balanced
Counterparty	Company D	Company E	Company F	Company A
Notional Amount	$15,569,595	$27,048,602	$26,242,246	$68,460,196
Termination Date	6/6/2014	6/6/2014	6/6/2014	11/6/2012
Investee Returns	Total Returns	Total Returns	Total Returns	Total Returns
Realized Gain/(Loss)	$0	$0	$0	$0
Unrealized Gain/(Loss)	$416,156	$929,519	$3,474,611	$8,790,927
Fair Value as of 12/31/2010	$11,407,905	$10,956,772	$26,242,246	$49,811,462
	Option Basket Currency Series	Reuters/Jefferies CRB Index	Jefferies Commodity Performance Index
Series:	Currency	Long/Only	Long/Only
Counterparty	Company B	Company C	Company C
Notional Amount	$11,567,063	$2,040,000	$2,040,000
Termination Date	1/26/2013	2/28/2011	2/28/2011
Investee Returns	Total Returns	Total Returns	Total Returns
Realized Gain/(Loss)	$0	$190,556	$319,106
Unrealized Gain/(Loss)	$675,809	$0	$0
Fair Value as of 12/31/2010	$5,668,768	$415,648	$375,148

5. Investments in Unconsolidated Trading Companies

Investments in unconsolidated trading companies represent cash and open trade equity invested in the Trading Companies by each Series and cumulative trading profits or losses allocated to each 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, which bears no relationship to the amount of cash invested by a Series in the Trading Company. The Trading Companies are valued using the equity method of accounting, which approximates fair value.

The following table summarizes the Balanced Series, Winton Series, Berkeley/Graham/Tiverton Series, Winton/Graham Series, Frontier Long/Short Commodity Series, Managed Futures Index Series, Frontier Diversified Series, and Frontier Masters Series investments in unconsolidated Trading Companies as of March 31, 2011 and December 31, 2010.

40

	As of March 31, 2011					As of December 31, 2010
	Percentage of Series Net Assets Invested in Trading Co.			Fair Value		Percentage of Series Net Assets Invested in Trading Co.			Fair Value
Trading Company
Balanced Series —
Frontier Trading Companies II, VII, and XIV		10.83	%	$	47,012,769		9.82	%	$	42,072,378
Winton Series —
Frontier Trading Company II		13.03	%	$	7,892,156		10.25	%	$	6,222,907
Berkeley/Graham/Tiverton Series —
Frontier Trading Companies V, VI and XV		19.28	%	$	12,941,961		18.04	%	$	12,665,871
Winton/Graham Series —
Frontier Trading Company II		6.85	%	$	4,274,052		5.35	%	$	3,383,251
Frontier Long/Short Commodity Series —
Frontier Trading Companies I and VII		40.71	%	$	35,171,425		42.71	%	$	32,964,448
Managed Futures Index Series —
Frontier Trading Company IX		20.05	%	$	907,538		19.24	%	$	992,837
Frontier Diversified Series —
Frontier Trading Companies I, II, V, VI, VII, IX, XIV, XV and XXI		35.01	%	$	60,789,503		34.45	%	$	54,940,095
Frontier Masters Series —
Frontier Trading Companies II, XIV and XV		24.85	%	$	17,417,998		24.02	%	$	15,921,658

41

The following tables summarize the Balanced Series, Winton Series, Berkeley/Graham/Tiverton Series, Winton/Graham Series, Frontier Long/Short Commodity Series, Managed Futures Index Series, Frontier Diversified Series and Frontier Masters Series equity in earnings from Trading Companies for the three months ended March 31, 2011 and 2010.

	Three Months Ended March 31, 2011												Three Months Ended March 31, 2010
	Trading Commissions			Realized Gain/(Loss)			Change in Unrealized Gain/(Loss)			Net Income (Loss)			Trading Commissions			Realized Gain/ (Loss)			Change in Unrealized Gain/(Loss)			Net Income (Loss)
Trading Company
Balanced Series —
Frontier Trading Company II LLC	$	(11,377	)	$	2,371,909		$	(832,415	)	$	1,528,117		$	(16,240	)	$	548,815		$	1,792,632			2,325,207
Frontier Trading Company VI LLC		—			—			—			—			(1,391	)		34,402			103,106			136,117
Frontier Trading Company VII, LLC		(410,313	)		(31,670,535	)		51,792,175			19,711,327			(939,573	)		3,999,869			(1,214,636	)		1,845,660
Frontier Trading Company XIV, LLC		(30,271	)		935,337			285,743			1,190,809			(19,921	)		(1,654,972	)		1,949,418			274,525
Total	$	(451,961	)	$	(28,363,289	)	$	51,245,503		$	22,430,253		$	(977,125	)	$	2,928,114		$	2,630,520		$	4,581,509
Winton Series —
Frontier Trading Company II LLC	$	(12,369	)	$	2,578,557		$	(908,020	)	$	1,658,168		$	(22,493	)	$	822,527		$	2,779,410		$	3,579,444
Berkeley/Graham/Tiverton Series —
Frontier Trading Company V LLC	$	(72,210	)	$	86,416		$	(344,056	)	$	(329,850	)	$	(55,971	)	$	(1,504,714	)	$	479,857		$	(1,080,828	)
Frontier Trading Company VI LLC		(1,331	)		259,550			(127,648	)		130,571			(21,105	)		(1,829,237	)		523,687			(1,326,655	)
Frontier Trading Company XV, LLC		(15,872	)		1,330,183			(1,604,947	)		(290,636	)		(29,361	)		1,620,250			(1,052,701	)		538,188
Total	$	(89,413	)	$	1,676,149		$	(2,076,651	)	$	(489,915	)	$	(106,437	)	$	(1,713,701	)	$	(49,157	)	$	(1,869,295	)
Winton/Graham Series —
Frontier Trading Company II LLC	$	(6,703	)	$	1,397,178		$	(493,674	)	$	896,801		$	(11,430	)	$	415,871		$	1,429,148		$	1,833,589
Frontier Long/Short Commodity Series —
Frontier Trading Company I LLC	$	(6,983	)	$	505,526		$	(241,372	)	$	257,171		$	(7,281	)	$	(98,340	)	$	150,816		$	45,195
Frontier Trading Companies VII, LLC		(160,486	)		(4,708,661	)		16,752,542			11,883,395			(206,138	)		(7,302,413	)		10,148,434			2,639,883
Total	$	(167,469	)	$	(4,203,135	)	$	16,511,170		$	12,140,566		$	(213,419	)	$	(7,400,753	)	$	10,299,250		$	2,685,078
Managed Futures Index Series —
Frontier Trading Company IX, LLC	$	(3,840	)	$	73,061		$	(265,494	)	$	(196,273	)	$	(4,443	)	$	(197,046	)	$	159,377		$	(42,112	)
Frontier Diversified Series —
Frontier Trading Company I LLC	$	(337,157	)	$	1,508,585		$	(323,778	)	$	847,650		$	(47,394	)	$	(408,216	)	$	(29,209	)	$	(484,819	)
Frontier Trading Company II LLC		(4,828	)		1,005,677			(357,374	)		643,475			(3,274	)		112,394			472,581			581,701
Frontier Trading Company V LLC		(8,340	)		9,575			(39,818	)		(38,583	)		(3,109	)		(3,451	)		113,972			107,412
Frontier Trading Company VI LLC		(985	)		192,259			(95,556	)		95,718			(2,698	)		(187,306	)		106,599			(83,405	)
Frontier Trading Company VII, LLC		(145,703	)		(10,971,719	)		17,972,558			6,855,136			(160,104	)		805,428			(116,023	)		529,301
Frontier Trading Company IX, LLC		(4,146	)		79,224			(264,110	)		(189,032	)		(2,580	)		(127,624	)		(43,862	)		(174,066	)
Frontier Trading Company XIV, LLC		(12,526	)		386,957			121,710			496,141			(9,837	)		(837,101	)		647,939			(198,999	)
Frontier Trading Company XV, LLC		(25,078	)		2,108,998			(2,546,370	)		(462,450	)		(13,309	)		735,469			(462,532	)		259,628
Frontier Trading Company XXI, LLC		(146	)		(13,779	)		6,277			(7,648	)		—			—			—			—
Total	$	(538,909	)	$	(5,694,223	)	$	14,473,539		$	8,240,407		$	(242,305	)	$	89,593		$	689,465		$	536,753
Frontier Masters Series —
Frontier Trading Company II LLC	$	(3,774	)	$	786,194		$	(279,545	)	$	502,875		$	(3,682	)	$	130,796		$	492,077		$	619,191
Frontier Trading Company XIV, LLC		(32,438	)		1,000,632			314,362		$	1,282,556			(15,970	)		(1,374,664	)		1,039,716			(350,918	)
Frontier Trading Company XV, LLC		(10,198	)		857,776			(1,035,670	)	$	(188,092	)		(12,872	)		713,735			(449,872	)		250,991
Total	$	(46,410	)	$	2,644,602		$	(1,000,853	)	$	1,597,339		$	(32,524	)	$	(530,133	)	$	1,081,921		$	519,264

42

The statements of financial condition as of March 31, 2011 and December 31, 2010 and the Condensed Statement of Income for the three months ended March 31, 2011 and 2010 for the unconsolidated Trading Companies are as follows:

	Frontier Trading Company II LLC			Frontier Trading Company VII LLC			Frontier Trading Company XIV LLC
Statements of Financial Condition - March 31, 2011
Cash held at futures commission merchants	$	21,454,507		$	1,928,036		$	25,982,710
Open trade equity		3,455,347			69,740,395			1,046,107
Total assets	$	24,909,854		$	71,668,431		$	27,028,817
Members’ equity	$	24,909,854		$	71,668,431		$	27,028,817
Condensed Statement of Income - For the Three Months Ended March 31, 2011
Interest income	$	1,081		$	2,411		$	(7,862	)
Net realized gain on investments, less commissions		8,100,464			(48,067,417	)		2,249,050
Change in open trade equity		(2,871,029	)		86,517,275			722,262
Net income	$	5,230,516		$	38,452,269		$	2,963,450
	Frontier Trading Company II LLC			Frontier Trading Company VII LLC			Frontier Trading Company IX LLC
Statements of Financial Condition - December 31, 2010
Cash held at futures commission merchants	$	13,321,102		$	83,823,713		$	4,340,260
Open trade equity/(deficit)		6,357,985			(15,607,877	)		1,531,050
Total assets	$	19,679,087		$	68,215,836		$	5,871,310
Members’ equity	$	19,679,087		$	68,215,836		$	5,871,310
Condensed Statement of Income - For the Three Months Ended March 31, 2010
Interest income	$	7,102		$	29,449		$	16,310
Net realized gain on investments, less commissions		26,213,064			34,934,736			888,565
Change in open trade equity		5,967,280			4,988,429			1,492,816
Net income	$	32,187,446		$	39,952,614		$	2,397,691

43

The Frontier Fund

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, the Managing Owner agreed with certain regulatory bodies to maintain a 1% interest specifically in the Balanced Series Class 1 a Units and Balanced Series Class 2a Units, aggregated, and each of the Long Only Commodity Series, Frontier Long/Short Commodity Series, Managed Futures Index Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series. The 1% interest in these specific Series is included in computing the Minimum Purchase Commitment in aggregate capital. In addition to the General Units the Managing Owner receives in respect of its Minimum Purchase Commitment, the Managing Owner may purchase Limited Units in any Series as a Limited Owner. Principals of the Managing Owner or affiliates are allowed to own beneficial interests in the Trust, as well. All Units purchased by the Managing Owner are held for investment purposes only and not for resale. The Managing Owner may make purchases or redemptions at any time on the same terms as any Limited Owner. The Trust has and will continue to have certain relationships with the Managing Owner and its affiliates.

The Balanced Series has advanced funds to the Currency Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series for the purpose of investing in the respective Trading Company for such Series on behalf of the Balanced Series.

The following table summarizes the Balanced Series advances to and reductions from the Currency Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series of the Trust for the three months ending March 31, 2011 and the twelve months ending December 31, 2010.

Balanced Series

Summary by Quarter

For the Three Months Ended March 31, 2011

	Currency Series			Frontier Dynamic Series			Total
Inter-series receivables January 1, 2011	$	12,816,775		$	28,320,283		$	41,137,058
Additions during period		—			—			—
Reduction during period		—			—			—
Earnings on inter-series receivables		(476,691	)		(563,946	)		(1,040,637	)
Inter-series receivables March 31, 2011	$	12,340,084	(1)	$	27,756,337	(1)	$	40,096,421

44

Balanced Series

Summary by Quarter

For the Year Ended December 31, 2010

	Currency Series			Frontier Diversified Series			Frontier Dynamic Series			Frontier Masters Series			Total
Inter-series receivables January 1, 2010	$	12,266,758		$	10,962,073		$	27,676,116		$	18,184,135		$	69,089,082
Additions during period		—			—			—			—			—
Reduction during period		—			—			—			—			—
Earnings on inter-series receivables		329,038			(102,443	)		(129,208	)		125,024			222,411
Inter-series receivables March 31, 2010	$	12,595,796		$	10,859,630		$	27,546,908		$	18,309,159		$	69,311,493
Additions during period		—			—			—			—			—
Reduction during period		—			(11,139,253	)		—			—			(11,139,253	)
Earnings on inter-series receivables		177,705			279,623			(130,449	)		(122,674	)		204,205
Inter-series receivables June 30, 2010	$	12,773,501		$	—		$	27,416,459		$	18,186,485		$	58,376,445
Additions during period		—			—			—			—			—
Reduction during period		—			—			—			(19,013,476	)		(19,013,476	)
Earnings on inter-series receivables		238,872			—			538,835			826,991			1,604,698
Inter-series receivables September 30, 2010	$	13,012,373		$	—		$	27,955,294		$	—		$	40,967,667
Additions during period		—			—			—			—			—
Reduction during period		—			—			—			—			—
Earnings on inter-series receivables		(195,598	)		—			364,989			—			169,391
Inter-series receivables December 31, 2010	$	12,816,775		$	—		$	28,320,283		$	—		$	41,137,058

(1) Balanced Series Inter-series receivables are corresponding Inter-series payables on the Statements of Financial Condition for the investee Series.

Expenses

Management Fees-Each Series of Units pays to the Managing Owner a monthly management fee equal to a certain percentage of such Series’ assets attributable to such Series (including notional 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, Frontier Long/Short Commodity Series Class 1 a and Class 2a, Managed Futures Index Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series, 2.5% for the Winton/Graham Series and Berkeley/Graham/Tiverton Series, and 3.5% for the Frontier Long/Short Commodity Series Class 1 and Class 2. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) for such Series.

Trading Fees-In connection with each Series’ trading activities, the Frontier Long/Short Commodity Series (Classes 1, 2 and 3), Balanced Series, Currency Series, Berkeley/Graham/Tiverton Series, Long/Only Commodity Series, Managed Futures Index Series, Winton Series and Winton/Graham Series pays to the Managing Owner a trading fee, or FCM Fee, up to 0.75% of such Series’ NAV, calculated daily. The Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series (Classes 1a and 2a) and Frontier Masters Series pays to the Managing Owner a trading fee, or FCM Fee, up to 2.25% and a custodial/due diligence fee of 0.12% of such Series’ NAV, calculated daily.

Incentive Fees-Some Series pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated by such Series, monthly or quarterly. Because the Balanced Series, Winton/Graham Series, Berkeley/Graham/Tiverton Series, Currency Series and Frontier Long/Short Commodity Series may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Balanced Series or the Frontier 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 is 25% for the Balanced Series and the Frontier Diversified Series and 20% for the Winton Series, Currency Series, Winton/Graham Series, Berkeley/Graham/Tiverton Series, Frontier Long/Short Commodity Series, Frontier Dynamic Series and Frontier Masters 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.

45

Service Fees-In addition, with respect to Class 1 and Class 1a Units of each Series, as applicable, the Series pays monthly or quarterly to the Managing Owner a service fee at an annualized rate, as described in more detail above, which the Managing Owner pays to selling agents of the Trust.

The following table summarizes fees earned by the Managing Owner for the three months ended March 31, 2011 and 2010.

Series: Three Months Ended March 31, 2011	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified	$	481,720	$	978,666	$	1,719,673	$	516,049
Frontier Dynamic		—		175,360		—		23,990
Frontier Long/Short Commodity		945,859		153,893		1,629,861		273,551
Frontier Masters		907,921		400,110		266,535		225,527
Balanced		642,865		486,163		4,270,189		2,219,967
Berkeley/Graham/Tiverton		377,970		85,253		—		455,038
Currency		39,855		23,565		—		45,170
Long Only Commodity		13,256		5,072		—		16,500
Managed Futures Index		26,049		6,146		—		4,965
Winton		332,638		73,838		248,590		364,021
Winton/Graham		445,869		69,313		70,784		335,672
Series: Three Months Ended March 31, 2010	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified	$	162,653	$	440,692	$	186,224	$	238,169
Frontier Dynamic		—		166,373		—		20,650
Frontier Long/Short Commodity		788,322		92,890		78,102		322,150
Frontier Masters		202,282		299,172		—		109,428
Balanced		357,992		420,281		953,481		2,103,922
Berkeley/Graham/Tiverton		581,891		92,520		—		491,969
Currency		40,076		25,893		—		58,039
Long Only Commodity		14,222		5,331		—		17,184
Managed Futures Index		26,254		6,034		—		8,781
Winton		376,880		70,214		—		352,366
Winton/Graham		466,582		70,617		—		338,601

46

The following table summarizes fees payable to the Managing Owner as of March 31, 2011.

Series:	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified	$	164,498	$	342,653	$	1,686,415	$	81,956
Frontier Dynamic		—		60,015		—		712
Frontier Long/Short Commodity		331,894		55,121		1,476,219		72,132
Frontier Masters		146,817		139,566		261,698		33,615
Balanced		258,786		165,277		3,454,991		122,487
Berkeley/Graham/Tiverton		124,681		28,741		—		144,353
Currency		13,560		7,951		—		9,919
Long Only Commodity		4,487		1,774		—		5,668
Managed Futures Index		8,848		2,089		—		1,557
Winton		114,732		25,344		282,928		98,558
Winton/Graham		152,467		23,313		70,292		101,271

The following table summarizes fees payable to the Managing Owner as of December 31, 2010.

Series:	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified	$	139,758	$	310,302	$	1,453,102	$	48,903
Frontier Dynamic		—		59,936		—		726
Frontier Long/Short Commodity		300,038		44,699		1,600,703		69,686
Frontier Masters		108,531		131,841		229,686		21,894
Balanced		114,145		71,087		2,688,776		196,325
Berkeley/Graham/Tiverton		152,455		29,714		270,557		148,307
Currency		13,860		8,409		—		11,273
Long Only Commodity		4,634		1,750		—		5,599
Managed Futures Index		10,789		2,154		—		2,338
Winton		122,675		25,245		467,341		99,085
Winton/Graham		168,136		24,127		623,629		103,698

With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed therefore by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. For the three months ended March 31, 2011, amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees were $333 for the Winton/Graham Series and $2 for the Managed Futures Index Series. For the three months ended March 31, 2011, amounts paid or owing the Managing Owner for the difference in monthly service fees from prepaid initial service fees were $5,423 for the Balanced Series, $6,591 for the Frontier Long/Short Commodity Series, $17,312 for the Frontier Diversified Series, $174 for the Currency Series, $1,382 for the Berkeley/Graham/Tiverton Series, $12 for the Long Only Commodity Series, $1,105 for the Winton Series, $79 for the Frontier Dynamic Series and $8,818 for the Frontier Masters 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, Berkeley/Graham/Tiverton Series, Currency Series and Winton/Graham Series. For the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series and Managed Futures Index Series 20% of the total interest allocated to each Series is paid to the Managing Owner. During the three months ended March 31, 2011, and 2010 the Trust paid $2,663,321 and $2,450,329, respectively, of such interest income to the Managing Owner. Such expenses are not included in the statements of operations of the Series.

The Managing Owner pays to The Bornhoft Group Corporation, an affiliate of the Trust, a monthly fee of 0.25% (annualized) of the NAV of the Trust, for services in connection with the daily valuation of each Series and Class. For these services the Managing Owner paid The Bornhoft Group Corporation $561,139 and $458,095, respectively, for the three months ended March 31, 2011 and 2010. Additionally, The Bornhoft Group Corporation 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 $27,200 and $63,694, respectively, for the three months ended March 31, 2011 and 2010 for these expenses. Such expenses are not included in the statements of operations of the Series.

47

Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $1,010,051 and $824,571, respectively, for the three months ended March 31, 2011 and 2010. Such expenses are not included in the statements of operations of the Series.

Bornhoft Group Securities Corporation, a 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.

48

7. Financial Highlights

The following information presents the financial highlights of the Trust for the three months ended March 31, 2011 and 2010. This data has been derived from information presented in the financial statements.

	Frontier Diversified Series						Frontier Dynamic Series						Frontier Long/Short Commodity Series
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 3			Class 1a			Class 2a
Per unit operating performance (1)
Net asset value, December 31, 2010	$	103.58		$	106.46		$	91.94		$	94.40		$	132.73		$	153.26		$	153.26		$	117.96		$	121.18
Net operating results:
Interest income		0.37			0.39			6.47			6.66			0.55			0.63			0.63			0.49			0.50
Expenses		(2.59	)		(2.08	)		(11.72	)		(10.25	)		(5.71	)		(5.46	)		(5.46	)		(5.09	)		(4.31	)
Net gain/(loss) on investments, net of non-controlling interests		5.20			5.23			3.03			1.71			20.75			24.11			24.10			18.16			18.32
Net income/(loss)		2.98			3.54			(2.22	)		(1.88	)		15.59			19.28			19.27			13.56			14.51
Net asset value, March 31, 2011	$	106.56		$	110.00		$	89.72		$	92.52		$	148.32		$	172.54		$	172.53		$	131.52		$	135.69
Ratios to average net assets (3)
Net investment gain/(loss)		-8.44	%		-6.25	%		-23.07	%		-15.34	%		-14.66	%		-11.82	%		-11.82	%		-14.66	%		-11.82	%
Expenses before incentive fees		5.71	%		3.52	%		51.50	%		43.76	%		8.23	%		5.38	%		5.38	%		8.23	%		5.38	%
Expenses after incentive fees		9.86	%		7.67	%		51.50	%		43.76	%		16.21	%		13.36	%		13.36	%		16.21	%		13.36	%
Total return before incentive fees (2)		3.71	%		4.22	%		-2.47	%		-1.61	%		13.04	%		13.62	%		13.82	%		12.37	%		12.96	%
Total return after incentive fees (2)		2.69	%		3.20	%		-2.47	%		-1.61	%		11.07	%		11.66	%		11.85	%		10.40	%		10.99	%
	Frontier Masters Series						Balanced Series															Berkeley/Graham/ Tiverton Series (5)
	Class 1			Class 2			Class 1			Class 1a			Class 2			Class 2a			Class 3a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2010	$	102.96		$	105.81		$	131.95		$	116.36		$	159.46		$	133.66		$	133.66		$	110.46		$	131.73
Net operating results:
Interest income		0.26			0.27			0.01			0.01			0.02			0.01			0.01			0.01			0.01
Expenses		(2.93	)		(2.45	)		(2.92	)		(2.57	)		(2.32	)		(1.94	)		(1.94	)		(1.56	)		(0.88	)
Net gain/(loss) on investments, net of non-controlling interests		2.82			2.79			7.33			6.19			8.86			7.11			7.12			(0.28	)		(0.36	)
Net income/(loss)		0.15			0.61			4.42			3.63			6.56			5.18			5.19			(1.83	)		(1.23	)
Net asset value, March 31, 2011	$	103.11		$	106.42		$	136.37		$	119.99		$	166.02		$	138.84		$	138.85		$	108.63		$	130.50
Ratios to average net assets (3)
Net investment gain/(loss)		-10.43	%		-8.28	%		-8.64	%		-8.64	%		-5.64	%		-5.64	%		-5.64	%		-5.66	%		-2.66	%
Expenses before incentive fees		9.87	%		7.71	%		4.19	%		4.19	%		1.19	%		1.19	%		1.19	%		5.69	%		2.69	%
Expenses after incentive fees		11.44	%		9.29	%		8.68	%		8.68	%		5.68	%		5.68	%		5.68	%		5.69	%		2.69	%
Total return before incentive fees (2)		0.49	%		0.91	%		4.39	%		4.32	%		5.14	%		4.84	%		4.92	%		-1.59	%		-0.86	%
Total return after incentive fees (2)		0.10	%		0.52	%		3.29	%		3.21	%		4.03	%		3.74	%		3.81	%		-1.59	%		-0.86	%
	Currency Series						Long Only Series (4)									Managed Futures Index Series (4)
	Class 1			Class 2			Class 1			Class 2			Class 3			Class 1			Class 2			Class 3
Per unit operating performance (1)
Net asset value, December 31, 2010	$	79.09		$	95.43		$	94.11		$	103.71		$	103.88		$	117.96		$	129.69		$	126.73
Net operating results:
Interest income		0.34			0.41			0.49			0.54			0.55			0.54			0.60			0.60
Expenses		(1.29	)		(0.87	)		(0.89	)		(0.46	)		(0.46	)		(1.32	)		(0.82	)		(0.82	)
Net gain/(loss) on investments, net of non-controlling interests		(2.55	)		(3.09	)		5.88			6.50			6.33			(4.70	)		(5.17	)		(2.22	)
Net income/(loss)		(3.50	)		(3.55	)		5.48			6.58			6.41			(5.46	)		(5.40	)		(2.44	)
Net asset value, March 31, 2011	$	75.59		$	91.88		$	99.59		$	110.29		$	110.29		$	112.50		$	124.29		$	124.29
Ratios to average net assets (3)
Net investment gain/(loss)		-5.00	%		-2.00	%		-1.68	%		0.32	%		0.37	%		-2.69	%		-0.69	%		-0.81	%
Expenses before incentive fees		6.76	%		3.76	%		3.78	%		1.78	%		2.08	%		4.58	%		2.58	%		3.02	%
Expenses after incentive fees		6.76	%		3.76	%		3.78	%		1.78	%		2.08	%		4.58	%		2.58	%		3.02	%
Total return before incentive fees (2)		-4.50	%		-3.78	%		5.66	%		6.21	%		6.05	%		-5.09	%		-4.21	%		-1.89	%
Total return after incentive fees (2)		-4.50	%		-3.78	%		5.66	%		6.21	%		6.05	%		-5.09	%		-4.21	%		-1.89	%
	Winton Series						Winton/Graham Series
	Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2010	$	135.04		$	153.99		$	119.83		$	144.04
Net operating results:
Interest income		0.23			0.27			0.12			0.15
Expenses		(2.47	)		(1.68	)		(2.12	)		(1.49	)
Net gain/(loss) on investments, net of non-controlling interests		3.59			4.12			0.84			1.00
Net income/(loss)		1.36			2.71			(1.16	)		(0.34	)
Net asset value, March 31, 2011	$	136.40		$	156.70		$	118.67		$	143.70
Ratios to average net assets (3)
Net investment gain/(loss)		-6.69	%		-3.69	%		-6.78	%		-3.78	%
Expenses before incentive fees		5.72	%		2.72	%		6.68	%		3.69	%
Expenses after incentive fees		7.38	%		4.38	%		7.19	%		4.19	%
Total return before incentive fees (2)		1.42	%		2.14	%		-0.83	%		0.02	%
Total return after incentive fees (2)		1.01	%		1.73	%		-0.96	%		-0.11	%

(1) Interest income and expenses per unit are calculated by dividing these amounts by the 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 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

(4) Long Only Series Class 3 and Managed Futures Index Series Class 3 began trading operations on January 13, 2011.

(5) Formerly the Cambell/Graham/Tiverton Series.

49

	Frontier Diversified Series						Frontier Dynamic Series						Frontier Long/Short Commodity Series
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 3			Class 1a			Class 2a
Per unit operating performance (1)
Net asset value, December 31, 2009	$	96.80		$	97.77		$	91.43		$	92.25		$	113.77		$	127.49		$	127.49		$	101.49		$	102.48
Net operating results:
Interest income		0.56			0.57			10.01			10.12			0.35			0.39			0.39			0.31			0.31
Expenses		(1.59	)		(1.09	)		(17.33	)		(14.85	)		(2.39	)		(1.78	)		(1.78	)		(2.13	)		(1.42	)
Net gain/(loss) on investments, net of non-controlling interests		(0.28	)		(0.39	)		6.50			4.30			(0.57	)		(0.61	)		(0.62	)		(0.36	)		(0.69	)
Net income/(loss)		(1.31	)		(0.91	)		(0.82	)		(0.43	)		(2.61	)		(2.00	)		(2.01	)		(2.18	)		(1.80	)
Net asset value, March 31, 2010	$	95.49		$	96.86		$	90.61		$	91.82		$	111.16		$	125.49		$	125.48		$	99.31		$	100.68
Ratios to average net assets (3)
Net investment gain/(loss)		-4.41	%		-2.22	%		-32.76	%		-20.93	%		-7.52	%		-4.54	%		-4.54	%		-7.52	%		-4.54	%
Expenses before incentive fees		5.73	%		3.54	%		77.49	%		65.66	%		8.32	%		5.34	%		5.34	%		8.32	%		5.34	%
Expenses after incentive fees		6.82	%		4.63	%		77.49	%		65.66	%		8.79	%		5.81	%		5.81	%		8.79	%		5.81	%
Total return before incentive fees (2)		0.01	%		-0.35	%		-0.95	%		-0.26	%		-2.58	%		-1.54	%		0.13	%		-1.00	%		-0.20	%
Total return after incentive fees (2)		-0.26	%		-0.62	%		-0.95	%		-0.26	%		-2.70	%		-1.66	%		0.01	%		-1.12	%		-0.32	%
	Frontier Masters Series						Balanced Series															Campbell/ Graham/Tiverton Series
	Class 1			Class 2			Class 1			Class 1a			Class 2			Class 2a			Class 3a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2009	$	94.46		$	95.37		$	118.54		$	105.50		$	139.01		$	117.60		$	117.60		$	104.65		$	121.10
Net operating results:
Interest income		0.58			0.59			0.07			0.06			0.08			0.06			0.06			(0.00	)		(0.00	)
Expenses		(1.95	)		(1.40	)		(1.40	)		(1.25	)		(0.65	)		(0.55	)		(0.55	)		(1.65	)		(1.04	)
Net gain/(loss) on investments, net of non-controlling interests		1.61			1.47			0.60			0.35			0.74			0.43			0.42			(1.75	)		(2.03	)
Net income/(loss)		0.24			0.66			(0.73	)		(0.84	)		0.17			(0.07	)		(0.07	)		(3.40	)		(3.07	)
Net asset value, March 31, 2010	$	94.70		$	96.03		$	117.81		$	104.66		$	139.18		$	117.53		$	117.53		$	101.25		$	118.03
Ratios to average net assets (3)
Net investment gain/(loss)		-5.96	%		-3.51	%		-4.71	%		-4.71	%		-1.71	%		-1.71	%		-1.71	%		-6.62	%		-3.62	%
Expenses before incentive fees		8.50	%		6.05	%		3.87	%		3.87	%		0.87	%		0.87	%		0.87	%		6.61	%		3.61	%
Expenses after incentive fees		8.50	%		6.05	%		4.94	%		4.94	%		1.94	%		1.94	%		1.94	%		6.61	%		3.61	%
Total return before incentive fees (2)		0.88	%		1.86	%		-0.43	%		-0.96	%		0.25	%		0.08	%		1.77	%		-3.41	%		-2.78	%
Total return after incentive fees (2)		0.88	%		1.86	%		-0.69	%		-1.22	%		-0.01	%		-0.18	%		1.50	%		-3.41	%		-2.78	%
	Currency Series						Long Only Commodity Series						Managed Futures Index Series						Winton Series						Winton/Graham Series
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2009	$	78.00		$	91.34		$	83.59		$	90.30		$	112.54		$	121.28		$	117.57		$	130.10		$	110.06		$	128.39
Net operating results:
Interest income		0.32			0.38			0.42			0.46			0.25			0.27			0.06			0.06			0.15			0.18
Expenses		(1.15	)		(0.67	)		(0.76	)		(0.39	)		(1.29	)		(0.79	)		(1.79	)		(1.01	)		(1.77	)		(1.16	)
Net gain/(loss) on investments, net of non-controlling interests		2.33			2.74			(3.05	)		(3.31	)		0.04			0.04			7.51			8.36			1.03			1.24
Net income/(loss)		1.50			2.45			(3.39	)		(3.24	)		(1.00	)		(0.48	)		5.78			7.41			(0.59	)		0.26
Net asset value, March 31, 2010	$	79.50		$	93.79		$	80.20		$	87.06		$	111.54		$	120.80		$	123.35		$	137.51		$	109.47		$	128.65
Ratios to average net assets (3)
Net investment gain/(loss)		-4.28	%		-1.28	%		-1.68	%		0.32	%		-3.75	%		-1.75	%		-5.94	%		-2.94	%		-6.20	%		-3.20	%
Expenses before incentive fees		5.97	%		2.97	%		3.81	%		1.80	%		4.65	%		2.64	%		6.14	%		3.14	%		6.77	%		3.77	%
Expenses after incentive fees		5.97	%		2.97	%		3.81	%		1.80	%		4.65	%		2.64	%		6.14	%		3.14	%		6.77	%		3.77	%
Total return before incentive fees (2)		1.89	%		1.89	%		-4.31	%		-3.67	%		-0.89	%		-1.69	%		4.84	%		5.50	%		-0.65	%		0.18	%
Total return after incentive fees (2)		1.89	%		1.89	%		-4.31	%		-3.67	%		-0.89	%		-1.69	%		4.84	%		5.50	%		-0.65	%		0.18	%

(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. Derivative Instruments and Hedging Activities

The Series’ primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Series do not enter into or hold positions for hedging purposes as defined under ASC 815. The detail of the fair value of the Series’ derivatives by instrument types as of March 31, 2011 and 2010 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trust’s positions in swap contracts. This activity was performed by affiliated Trading Companies and does not include activity of unaffiliated trading Company investments.

The following table summarizes the monthly average of futures contracts bought and sold for each respective Series of the Trust.

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The following tables summarize the trading revenues for the three month period ending March 31, 2011 and 2010 approximately by sector:

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended March 31, 2011⁽¹⁾

Type of contract	Frontier Masters Series			Balanced Series			Currency Series
Metals	$	(5,630	)	$	1,608,035		$	—
Currencies		(316,989	)		13,164,312			(153,538	)
Energies		(317,873	)		636,692			—
Agriculturals		(432,091	)		2,637,992			—
Interest rates		15,631			(2,502,489	)		—
Stock indices		(334,608	)		1,230,098			—
Realized trading income/(loss)(2)	$	(1,391,560	)	$	16,774,640		$	(153,538	)
Type of contract	Winton/Graham Series
Metals	$	696,848
Currencies		(436,956	)
Energies		521,500
Agriculturals		693,321
Interest rates		(812,372	)
Stock indices		(451,515	)
Realized trading income/(loss)(2)	$	210,826

Net Change in Open Trade Equity from Futures, Forwards and Options

for the Three Months Ended March 31, 2011⁽¹⁾

Type of contract	Frontier Masters Series			Balanced Series			Currency Series
Metals	$	71,235		$	(2,273,274	)	$	—
Currencies		384			(9,266,331	)		(5,778	)
Energies		23,360			591,534			—
Agriculturals		43,275			(2,103,406	)		—
Interest rates		(212,850	)		(562,730	)		—
Stock indices		704,907			(1,152,632	)		—
Change in unrealized trading income/(loss)(3)	$	630,311		$	(14,766,839	)	$	(5,778	)
Type of contract	Winton/Graham Series
Metals	$	(294,519	)
Currencies		(945,878	)
Energies		104,003
Agriculturals		(237,561	)
Interest rates		317,143
Stock indices		215,605
Change in unrealized trading income/(loss)(3)	$	(841,207	)

(1) The Frontier Diversified Series, Berkeley/Graham/Tiverton Series (formerly known as Campbell/Graham/Tiverton Series), Managed Futures Index Series and Winton Series participate in trading activities through equity in earnings/(loss) from trading companies. The Dynamic Series and Long Only Commodity Series participates in trading activities through realized gain/(loss) on swap contracts. The Frontier Diversified Series, Balanced Series and Long/Short Series participate in trading activities through equity in earnings (loss) from the aforementioned deconsolidated trading companies.

(2) In the Statements of Operations under Net realized gain (loss) on futures and forwards.

(3) In the Statements of Operations under Net change in open trade equity.

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Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended March 31, 2010⁽¹⁾

Type of contract	Frontier Diversified Series			Frontier Long/Short Series			Balanced Series
Metals	$	258,000		$	334,220		$	374,458
Currencies		166,672			619,216			(1,298,920	)
Energies		(49,028	)		(32,272,413	)		(1,598,523	)
Agriculturals		(329,169	)		6,407,717			762,699
Interest rates		189,130			(497,654	)		856,573
Stock indices		(7,226	)		1,379,261			(1,602,605	)
Realized trading income/(loss)(2)	$	228,379		$	(24,029,653	)	$	(2,506,318	)
Type of contract	Campbell/Graham/ Tiverton Series			Currency Series			Winton/Graham Series
Metals	$	(835,404	)	$	—		$	(113,313	)
Currencies		(120,581	)		53,107			(331,781	)
Energies		(235,518	)		—			(428,330	)
Agriculturals		159,729			—			(805,010	)
Interest rates		1,647,114			—			285,564
Stock indices		(453,971	)		—			(2,028,874	)
Realized trading income/(loss)(2)	$	161,369		$	53,107		$	(3,421,744	)

Net Change in Open Trade Equity from Futures, Forwards and Options

for the Three Months Ended March 31, 2010⁽¹⁾

Type of contract	Frontier Diversified Series			Frontier Long/Short Series			Balanced Series
Metals	$	51,877		$	282,667		$	(4,830,625	)
Currencies		(702,063	)		(69,820	)		993,140
Energies		279,557			24,029,704			1,109,173
Agriculturals		17,063			(5,585,339	)		(2,100,138	)
Interest rates		(31,191	)		(201,571	)		3,153,317
Stock indices		87,858			31,629			(1,639,573	)
Change in unrealized trading income/(loss)(2)	$	(296,899	)	$	18,487,270		$	(3,314,706	)
Type of contract	Campbell/Graham/ Tiverton Series			Currency Series			Winton/Graham Series
Metals	$	82,658		$	—		$	(476,149	)
Currencies		(114,470	)		45,474			871,782
Energies		44,851			—			291,161
Agriculturals		(8,737	)		—			18,075
Interest rates		798,468			—			369,020
Stock indices		(318,961	)		—			136,322
Change in unrealized trading income/(loss)(2)	$	483,809		$	45,474		$	1,210,211

(1) The Frontier Diversified Series, Frontier Masters Series and Managed Futures Index Series participate in trading activities through equity in earnings/(loss) from trading companies. The Long Only Commodity Series participates in trading activities through realized gain/(loss) on swap contracts. Campbell/Graham/Tiverton Series deconsolidated Frontier Trading Company V LLC as of April 23, 2009, and thereafter participates in trading activities through equity in earnings/(loss) from trading companies. Winton Series deconsolidated Frontier Trading Company II LLC as of May 28, 2009, and thereafter participates in trading activities through equity in earnings/(loss) from Frontier Trading Company II LLC.

(2) In the Statements of Operations under Net change in open trade equity.

52

9. Trading Activities and Related Risks

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

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

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

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

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

10. Indemnifications

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

53

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 unaudited consolidated financial statements and notes thereto included in this quarterly report and our 2010 Annual Report on Form 10-K for the year ended December 31, 2010.

Overview

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

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

As of March 31, 2011 the Trust had eleven separate Series of Units issued and outstanding: the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series, Berkeley/Graham/Tiverton Series, Currency Series, Long Only Commodity Series, Managed Futures Index Series, Winton Series and Winton/Graham Series. Each Series of Units has between three and six separate classes issued and/or outstanding—Class 1, Class 2, Class 3, Class 1a, Class 2a, and Class 3a.

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 Trust’s financial position and results of operations. The financial statements have been prepared in accordance with generally accepted accounting principles (“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 2010 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 other significant accounting policies are described in detail in Note 2 of the financial statements.

Investment Transactions and Valuation

The Managing Owner has evaluated the nature and type of transactions processed and estimates that it makes in preparing the Trust’s financial statements and related disclosures and has adopted Accounting Standard Codification ( “ASC”) 820, Fair Value Measurements and Disclosure, and implemented the framework for measuring fair value for assets and liabilities.

The Trust utilizes valuation techniques that are consistent with the market approach per the requirement of ASC 820 for the valuation of futures (exchange traded) contracts, forward (non-exchange traded) contracts, option contracts, swap contracts and other non-cash assets. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. The Trust applies the valuation techniques in a consistent manner for each asset or liability. The Trust records all investments at fair value in its Statements of Financial Condition, with changes in fair value reported as a component of net gain/(loss) on investments in the Statements of Operations.

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

54

In addition, the Trust monitors counterparty credit risk and incorporates any identified risk factors when assigning input levels to underlying financial assets or liabilities. In that regard ASC 820 establishes a fair value hierarchy for valuation inputs that gives the highest priority to quoted prices in active markets for identical financial assets and the lowest priority to unobservable inputs. A full disclosure of the fair value hierarchy is presented in Note 3 of the financial statements—Fair Value Measurements.

Liquidity and Capital Resources

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

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

A portion of each Trading Company’s assets is used as margin to maintain that Trading Company’s forward currency contract positions, and another portion is deposited in cash in segregated accounts in the name of each Trading Company maintained for each Trading Company at the clearing brokers in accordance with CFTC segregation requirements. At March 31, 2011, cash deposited at the clearing brokers was $105,474,811 for the Balanced Series, $1,244,930 for the Currency Series, $15,125,359 for the Winton/Graham Series and $5,593,702 for the Frontier Masters Series. At December 31, 2010, cash deposited at the clearing brokers was $85,398,794 for the Balanced Series, $678,208 for the Currency Series, and $11,090,076 for the Winton/Graham 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 month. Currently, with the Federal Funds target rate at 0.00% to 0.25%, this amount is estimated to be 0.00%. 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 or any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the U.S. government, and certain cash items such as money market funds, certificates of deposit (under nine months) and time deposits. Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Berkeley/Graham/Tiverton Series, Currency Series, and Winton/Graham Series. For the Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series, Frontier 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 forwards 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 there under. Approximately 2% to 6% of the Trust’s assets are expected to be deposited with over-the-counter counterparties in order to initiate and maintain forward and swap contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held in either U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparties. The remaining approximately 74% to 88% of the Trust’s assets will normally be invested in cash equivalents and short-term investments, such as money market funds and time deposits and held by the clearing broker, the over-the-counter counterparties and by U.S. federally chartered banks. As of March 31, 2011, total cash and cash equivalents and custom time deposits held at banking institutions were $90,529,735 for the Frontier Diversified Series, $16,211,819 for the Frontier Dynamic Series, $45,939,395 for the Frontier Long/Short Commodity Series, $40,324,599 for the Frontier Masters Series, $153,916,695 for the Balanced Series, $37,810,128 for the Berkeley/Graham/Tiverton Series, $10,764,211 for the Currency Series, $3,267,631 for the Long Only Commodity Series, $3,315,685 for the Managed Futures Index Series, $45,675,125, for the Winton Series, and $36,716,027 for the Winton/Graham Series. As of December 31, 2010, total cash and cash equivalents and custom time deposits held at banking institutions were $81,763,130 for the Frontier Diversified Series, $16,330,890 for the Frontier Dynamic Series, $39,619,945 for the Frontier Long/Short Commodity Series, $21,269,631 for the Frontier Masters Series, $159,675,524 for the Balanced Series, $41,113,225 for the Campbell/Graham/Tiverton Series, $11,653,535 for the Currency Series, $2,924,056 for the Long Only Commodity Series, $3,580,057 for the Managed Futures Index Series, $47,217,883, for the Winton Series, and $41,240,746 for the Winton/Graham Series.

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Off-Balance Sheet Risk

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

In addition to market risk, trading futures, forward and swap contracts entails credit risk which is the risk that a counterparty will not be able to meet its obligations to a Trading Company. The counterparty for futures contracts traded in the 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.

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

Tabular Disclosure of Contractual Obligations

The business of the Trust is the speculative trading of commodity interests. The majority of the Trust’s futures and forward positions, which may be categorized as “purchase obligations” under Item 303 of Regulation S-K, are short-term. That is, they are held for less than one year. Because the Trust does not enter into other long-term debt obligations, capital lease obligations, operating lease obligations or other long-term liabilities that would otherwise be reflected on the Trust’s Statement of Financial Condition, a table of contractual obligations has not been presented.

Results of Operations

Three Months Ended March 31, 2011 Compared to Three Months Ended March 31, 2010.

Market Conditions for Three Months Ended March 31, 2011

Market conditions for 2011 are discussed after the Sector and Major CTA attribution charts included in the Series performance discussion, below.

Market Conditions for Three Months Ended March 31, 2010

January 2010

Interest Rates

The Federal Open Market Committee (FOMC) decided in January to maintain the target range for the federal funds rate at 0% to 0.25%. The FOMC anticipates that economic conditions, including low rates of resource utilization, subdued inflation trends, and stable inflation expectations, are likely to warrant exceptionally low levels of the federal funds rate for an extended period. U.S. and European interest rate futures, across the curve, climbed steadily during January to finish higher.

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Currencies

The U.S. Dollar index continued to strengthen during January, finishing up 2.0% for the month. The Euro and the British Pound weakened against the U.S. Dollar, down 3.2% and 1.2%, respectively. The Japanese Yen strengthened against the U.S. Dollar, up 3.1%. The Canadian Dollar and the Australian Dollar weakened against their U.S. counterpart finishing lower by 1.6% and 1.5%, respectively.

Stock Indices

Most of the major U.S. and European stock indices reversed their upward trend to finish lower for January. The Dow Jones Industrial Average (DJIA), the S&P 500 Index and the NASDAQ Composite Index weakened by 3.5%, 3.7% and 5.4%, respectively, for the month. In Europe, FTSE index futures dropped 4.9%, CAC-40 futures finished lower by 6.3% and DAX index futures were down 6.9% for the month.

Energy

Most energy futures weakened in January. Crude oil futures finished lower by 8.9% settling at $73/bbl. Gasoline, heating oil and natural gas futures also dropped, down 7.6%, 9.8% and 7.2%, respectively for the month.

Metals

Gold futures continued to drop during the month, finishing lower by 1.3% at $1,084/oz. Silver futures also weakened, down 3.9% in January. Platinum and palladium futures strengthened during the month, finishing up 2.4% and 0.9%, respectively. Copper reversed its upward trend since September 2009 to finish lower by 8.9% for the month.

Agriculturals

The soybean complex dropped sharply in January. Soybean oil, soybeans and soybean meal dropped 11.4%, 12.9% and 10.6% respectively. Corn and wheat futures also dropped, down 14.0% and 12.5% in January. Cotton futures reversed its upward trend since September 2009 to finish lower by 8.7%. Sugar futures continued to climb, up 10.9% for January.

February 2010

Interest Rates

Global markets were jolted by events from the East and the West during February, both of which point towards a tightening of deflationary pressures on a large part of the world’s economy. The ongoing fiscal crisis in Greece dominated the markets until mid month. European Union leaders declared that the European Union (“EU”) member states would do whatever was required to preserve the Euro. Chinese monetary authorities announced mid month a surprise further tightening of monetary policy to prevent overheating and cool asset inflation. For the second time in a month, Chinese banks’ reserve requirements were increased to restrain their loan growth, which has fueled a potential new bubble. Being one of the largest economies in the world, behind the U.S. and Japan, China’s requirement on bank reserves could have a constraining effect on the market. U.S. and European interest rate futures, across the curve, finished slightly up for the month.

Currencies

The U.S. dollar index continued to strengthen during February, finishing up 1.1% for the month. The difficulties facing Greece and other European borrowers with large budget deficits put downward pressure on the Euro. The Euro continued to weaken against the U.S. Dollar, down 1.7% for the month. The Japanese Yen strengthened against the U.S. Dollar, up 1.5%. The Canadian Dollar and the Australian Dollar also strengthened against their U.S. counterpart, finishing higher by 1.8% and 1.3%, respectively, in February. The British Pound weakened against the U.S. Dollar, down 4.6% for the month.

Stock Indices

Most of the major U.S. and European stock indices finished higher in February. The DJIA, the S&P 500 Index and the NASDAQ Composite Index strengthened by 2.6%, 2.9% and 4.2%, respectively, for the month. In Europe, FTSE index futures finished higher by 4.8%, CAC-40 futures finished up by 0.4% and DAX index futures strengthened by 0.8%.

Energy

Most energy futures strengthened in February. Crude oil futures finished higher by 8.6% settling at $79.66/bbl. Gasoline and heating oil futures also strengthened, up 8.2% and 6.0%, respectively, for the month. Natural gas futures finished the month lower by 6.0%.

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Metals

The recent crises in the Euro zone and increasing inflation expectations have been contributing to the rise in precious metal prices in February. Gold futures finished up 3.2% at $1,119/oz in February. Silver futures strengthened by 1.9%. Platinum, palladium and copper futures also strengthened during the month, finishing up 2.3%, 5.0% and 7.1%, respectively.

Agriculturals

The soybean complex finished higher in February. Corn and wheat futures also strengthened, up 5.8% and 6.3% for the month. Sugar futures reversed its upward trend, finishing lower by 17.5%. Cocoa futures also weakened during the month, down 9.7%. Cotton rallied during the February, finishing up 16.7%.

March 2010

Interest Rates

Some degree of optimism about the U.S. economy has resurfaced. Recent U.S. data suggests that economic activity has continued to strengthen and that the labor market is stabilizing. Household spending is expanding at a moderate rate, yet constrained by high unemployment, modest income growth, lower housing wealth, and tight credit. Business spending on equipment and software has risen significantly. However, employers remain reluctant to add to payrolls. To provide support to mortgage lending and housing markets the Federal Reserve has been purchasing $1.25 trillion of agency mortgage-backed securities and about $175 billion of agency debt over the last year. These purchases are coming to an end, as the last transactions were executed in March. The ongoing fiscal crisis in Greece continued to put pressure on Greek government bonds in March. Disagreement among Euro-zone countries over the implementation of the aid program contributed to the sharp yield increase on the 10-year Greek government bond. Some economists say the sharp rise in borrowing costs is contributing to a spiral that could eventually force Greece to a default. U.S. interest rate futures, across the curve, finished down for the month. European interest rate futures finished the month higher.

Currencies

The U.S. Dollar index continued to strengthen during March, finishing up 0.9% for the month. The Euro and the British Pound continued to weaken against the U.S. Dollar, down 0.9% and 0.4%, respectively, for the month. The Japanese Yen weakened as well against the U.S. Dollar, down 4.8%. The Canadian Dollar and the Australian Dollar continued to strengthen against their U.S. counterpart, finishing higher by 3.6% and 2.4%, respectively, in March.

Stock Indices

Most of the major U.S. and European stock indices finished higher in March. The DJIA, the S&P 500 Index and the NASDAQ Composite Index strengthened by 5.1%, 5.9% and 7.1%, respectively, for the month. In Europe, FTSE index futures finished higher by 6.3%, CAC-40 futures finished up by 7.2% and DAX index futures strengthened by 9.8%.

Energy

Most energy futures strengthened in March. Crude oil futures finished higher by 4.7% settling at $83.76/bbl. Gasoline and heating oil futures also strengthened, up 5.2% and 6.4%, respectively, for the month. Natural gas plummeted in March, finishing lower by 20.7%.

Metals

Gold futures finished slightly down in March, 0.5% at $1,114/oz. Silver futures strengthened by 6.1%. Platinum, palladium and copper futures also strengthened during the month, finishing up 6.6%, 10.7% and 8.2%, respectively.

Agriculturals

Rough rice, corn and wheat futures weakened significantly in March, down 11.2%, 13.2% and 11.3%, respectively, for the month. Sugar futures dropped significantly, finishing lower by 29.7%. Live cattle and feeder cattle futures, that have been on an upward trend since December last year, continued to strengthen, up 3.5% and 9.2%, respectively, for March.

Frontier Diversified Series

2011

The Frontier Diversified Series – Class 1 NAV gained 2.9% for the three months ended March 31, 2011, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV gained 3.3% for the three months ended March 31, 2011, net of fees and expenses.

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For the three months ended March 31, 2011 the Frontier Diversified Series recorded a net gain on investments of $7,998,695, net income of $590,028, and total expenses of $3,696,108, resulting in a net increase in Owners’ capital from operations of $4,892,615. The NAV per Unit, Class 1, increased from $103.58 at December 31, 2010, to $106.56 as of March 31, 2011. The NAV per Unit, Class 2, increased from $106.46 at December 31, 2010, to $110.00 as of March 31, 2011. Total Class 1 subscriptions and redemptions for the period were $9,103,565 and $2,006,558, respectively. Total Class 2 subscriptions and redemptions for the period were $6,292,033 and $4,136,293, respectively. Ending capital at March 31, 2011, was $99,690,762 for Class 1 and $73,950,572 for Class 2. Ending capital at December 31, 2010, was $90,022,131 for Class 1 and $69,473,841 for Class 2.

The Frontier Diversified Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors.

Frontier Diversified Series

Four of the six sectors traded in the Frontier Diversified Series were profitable in the first quarter, with Agriculturals and Energies being the most profitable sectors. Metals and Stock Indices were also profitable. Currencies and Interest Rates were the least profitable sectors during the quarter, contributing negative performance to the fund.

In terms of major CTA performance, three of the seven major CTAs in the Frontier Diversified Series were profitable during the first quarter. Cantab, QIM and Winton provided positive performance. Graham, Quantmetrics, Tiverton and Transtrend provided negative performance during the quarter.

2010

The Frontier Diversified Series – Class 1 NAV lost 1.4% for the three months ended March 31, 2010, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV lost 0.9% for the three months ended March 31, 2010, net of fees and expenses.

For the period ended March 31, 2010 the Frontier Diversified Series recorded a net gain on investments of $351,430, net income of $411,248, and total expenses of $1,027,738, resulting in a net decrease in Owners’ capital from operations of $268,401 after non-controlling interests of ($3,341). The NAV per Unit, Class 1, decreased from $96.80 at December 31, 2009, to $95.49 as of March 31, 2010. The NAV per Unit, Class 2, decreased from $97.77 at December 31, 2009, to $96.86 as of March 31, 2010. Total Class 1 subscriptions and redemptions for the period were $21,396,967 and $308,919, respectively. Total Class 2 subscriptions and redemptions for the period were $13,172,650 and $150,640, respectively. Ending capital at March 31, 2010, was $53,936,031 for Class 1 and $36,221,745 for Class 2. Ending capital at December 31, 2009, was $32,960,540 for Class 1 and $23,355,579 for Class 2.

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The Frontier Diversified Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Three Months Ended March 31, 2010, for additional information regarding these sectors.

Sector Attribution for the Frontier Diversified Series

Frontier Dynamic Series

2011

The Frontier Dynamic Series – Class 1 NAV lost 2.4% for the three months ended March 31, 2011, net of fees and expenses; the Frontier Dynamic Series – Class 2 NAV lost 2.0% for the three months ended March 31, 2011, net of fees and expenses.

For the three months ended March 31, 2011 the Frontier Dynamic Series recorded a net gain on investments of $48,411, net income of $113,903, and total expenses of $199,350, resulting in a net decrease in Owners’ capital from operations of $37,036. The NAV per Unit, Class 1, decreased from $91.94 at December 31, 2010, to $89.72 as of March 31, 2011. The NAV per Unit, Class 2, decreased from $94.40 at December 31, 2010, to $92.52 as of March 31, 2011. Total Class 1 subscriptions and redemptions for the period were $141,200 and $95,858, respectively. Total Class 2 subscriptions and redemptions for the period were $41,500 and $105,891, respectively. Ending capital at March 31, 2011, was $1,233,435 for Class 1 and $343,402 for Class 2. Ending capital at December 31, 2010, was $1,219,222 for Class 1 and $413,700 for Class 2.

The Frontier Dynamic Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors.

The Dynamic Series invests in an option market basket of which the underlying investments are not transparent to the Trust. Therefore there are no Sector or major CTA Attribution charts for the Dynamic Series. The investments underlying the option market basket are managed dynamically with monthly allocations and withdrawals from numerous reference funds managed by independent commodity trading advisors. A number of advisors may be removed entirely and a number of others added on a monthly basis. Therefore there is no index or benchmark against which the performance may be compared.

Frontier Dynamic Series

2010

The Frontier Dynamic Series – Class 1 NAV lost 0.9% for the three months ended March 31, 2010, net of fees and expenses; the Frontier Dynamic Series – Class 2 NAV lost 0.5% for the three months ended March 31, 2010, net of fees and expenses.

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For the period ended March 31, 2010 the Frontier Dynamic Series recorded a net gain on investments of $66,083, net income of $113,354, and total expenses of $187,023, resulting in a net decrease in Owners’ capital from operations of $7,586. The NAV per Unit, Class 1, decreased from $91.43 at December 31, 2009, to $90.61 as of March 31, 2010. The NAV per Unit, Class 2, decreased from $92.25 at December 31, 2009, to $91.82 as of March 31, 2010. Total Class 1 subscriptions and redemptions for the period were $180,700 and $56,228, respectively. Total Class 2 subscriptions for the period were $81,667. There were no redemptions. Ending capital at March 31, 2010, was $723,986 for Class 1 and $371,484 for Class 2. Ending capital at December 31, 2009, was $606,255 for Class 1 and $290,662 for Class 2.

The Frontier Dynamic Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Three Months Ended March 31, 2010, for additional information regarding these sectors.

The Dynamic Series invests in an option market basket of which the underlying investments are not transparent to the Trust. Therefore there are no Sector Attribution charts for the Dynamic Series.

Frontier Long/Short Commodity Series

2011

The Frontier Long/Short Commodity Series – Class 1 NAV gained 11.7% for the three months ended March 31, 2011, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 NAV gained 12.6% for the three months ended March 31, 2011, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV gained 12.6% for the three months ended March 31, 2011, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1a NAV gained 11.5% for the three months ended March 31, 2011, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV gained 12.0% for the three months ended March 31, 2011, net of fees and expenses.

For the three months ended March 31, 2011, the Frontier Long/Short Commodity Series recorded net gain on investments of $12,080,344, net income of $316,290, and total expenses of $3,003,164, resulting in a net increase in Owners’ capital from operations of $9,393,470. The NAV per Unit, Class 1, increased from $132.73 at December 31, 2010, to $148.32 as of March 31, 2011. The NAV per Unit, Class 2, increased from $153.26 at December 31, 2010, to $172.54 as of March 31, 2011. The NAV per Unit, Class 3, increased from $153.26 at December 31, 2010, to $172.53 as of March 31, 2011. The NAV per Unit, Class 1a, increased from $117.96 at December 31, 2010, to $131.52 as of March 31, 2011. The NAV per Unit, Class 2a, increased from $121.18 at December 31, 2010, to $135.69 as of March 31, 2011. Total Class 1 subscriptions and redemptions for the period were $27,450 and $6,324,314, respectively. Total Class 2 redemptions for the period were $523,277. There were no subscriptions. Total Class 3 subscriptions and redemptions for the period were $4,410,545 and $1,575,416, respectively. Total Class 1a subscriptions and redemptions for the period were $2,913,140 and $66,909, respectively. Total Class 2a subscriptions and redemptions for the period were $1,255,739 and $293,485, respectively. Ending capital at March 31, 2011, was $28,419,023 for Class 1, $17,010,860 for Class 2, $26,521,709 for Class 3, $9,238,000 for Class 1a and $5,210,791 for Class 2a. Ending capital at December 31, 2010, was $31,185,756 for Class 1, $15,584,978 for Class 2, $20,998,571 for Class 3, $5,652,309 for Class 1a and $3,761,826 for Class 2a.

The Frontier 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.

Frontier Long/Short Commodity Series

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Four of the seven sectors traded in the Frontier Long/Short Commodity Series were profitable in the first quarter, with Energies and Softs being the most profitable. Base Metals and Precious Metals were also profitable. Grains, Meats and Financials were the least profitable sectors during the quarter, with all three sectors contributing negative performance to the fund.

In terms of major CTA performance, five of the six major CTAs in the Frontier Long/Short Commodity Series were profitable during the first quarter, with Global Advisors providing the most positive performance. Beach Horizon, Red Oak, Rosetta and Strategic Ag were also positive for the quarter. Mesirow provided negative performance during the quarter.

Frontier Long/Short Commodity Series

2010

The Frontier Long/Short Commodity Series – Class 1 NAV lost 2.3% for the three months ended March 31, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 NAV lost 1.6% for the three months ended March 31, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV lost 1.6% for the three months ended March 31, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1 a NAV lost 2.1% for the three months ended March 31, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV lost 1.8% for the three months ended March 31, 2010, net of fees and expenses.

For the three months ended March 31, 2010, the Frontier Long/Short Commodity Series recorded net loss on investments of $3,246,178, net income of $209,285, and total expenses of $1,281,464, resulting in a net decrease in Owners’ capital from operations of $1,405,236 after non-controlling interests of $2,913,121. The NAV per Unit, Class 1, decreased from $113.77 at December 31, 2009, to $111.16 as of March 31, 2010. The NAV per Unit, Class 2, decreased from $127.49 at December 31, 2009, to $125.49 as of March 31, 2010. The NAV per Unit, Class 3, decreased from $127.49 at December 31, 2009, to $125.48 as of March 31, 2010. The NAV per Unit, Class 1a, decreased from $101.49 at December 31, 2009, to $99.31 as of March 31, 2010. The NAV per Unit, Class 2a, decreased from $102.48 at December 31, 2009, to $100.68 as of March 31, 2010. Total Class 1 subscriptions and redemptions for the three months were $33,460 and $5,735,673, respectively. Total Class 2 redemptions for the three months were $390,579. There were no subscriptions. Total Class 3 subscriptions and redemptions for the three months were $4,961,732 and $239,501, respectively. Total Class 1a subscriptions and redemptions for the three months were $697,792 and $7,501, respectively. Total Class 2a subscriptions for the three months were $488,729. There were no redemptions. Ending capital at March 31, 2010, was $38,910,666 for Class 1, $14,354,404 for Class 2, $10,863,008 for Class 3, $1,767,509 for Class 1a and $1,361,568 for Class 2a. Ending capital at December 31, 2009, was $45,759,225 for Class 1, $14,986,103 for Class 2, $6,140,056 for Class 3, $1,092,016 for Class 1a and $876,532 for Class 2a.

The Frontier 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 under Market Conditions for Three Months Ended March 31, 2010, for additional information regarding these sectors.

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Sector Attribution for the Frontier Long/Short Commodity Series

Frontier Masters Series

2011

The Frontier Masters Series – Class 1 NAV gained 0.1% for the three months ended March 31, 2011, net of fees and expenses; the Frontier Masters Series – Class 2 NAV gained 0.6% for the three months ended March 31, 2011, net of fees and expenses.

For the three months ended March 31, 2011 the Frontier Masters Series recorded a net gain on investments of $1,799,713, net income of $170,966, and total expenses of $1,800,093, resulting in a net increase in Owners’ capital from operations of $178,234 after non-controlling interests of $7,648. The NAV per Unit, Class 1, increased from $102.96 at December 31, 2010, to $103.11 as of March 31, 2011. The NAV per Unit, Class 2, increased from $105.81 at December 31, 2010, to $106.42 as of March 31, 2011. Total Class 1 subscriptions and redemptions for the period were $2,959,249 and $734,268, respectively. Total Class 2 subscriptions and redemptions for the period were $1,876,986 and $520,252, respectively. Ending capital at March 31, 2011, was $43,480,307 for Class 1 and $26,555,372 for Class 2. Ending capital at December 31, 2010, was $41,213,675 for Class 1 and $25,062,055 for Class 2.

The Frontier Masters Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors.

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Frontier Masters Series

Three of the six sectors traded in the Frontier Masters Series were profitable in the first quarter, with Energies being the most profitable sector. Currencies and Stock Indices were also positive for the quarter. Metals, Agriculturals and Interest Rates were the least profitable sectors during the quarter, with all three sectors contributing negative performance to the fund.

In terms of major CTA performance, two of the four major CTAs in the Frontier Masters Series were profitable during the first quarter, with Cantab and Winton providing positive performance. Tiverton and Transtrend provided negative performance during the quarter.

2010

The Frontier Masters Series – Class 1 NAV gained 0.3% for the three months ended March 31, 2010, net of fees and expenses; the Frontier Masters Series – Class 2 NAV gained 0.7% for the period ended March 31, 2010, net of fees and expenses.

For the period ended March 31, 2010 the Frontier Masters Series recorded a net gain on investments of $847,669, net income of $210,672, and total expenses of $610,882, resulting in a net increase in Owners’ capital from operations of $447,459. The NAV per Unit, Class 1, increased from $94.46 at December 31, 2009, to $94.70 as of March 31, 2010. The NAV per Unit, Class 2, increased from $95.37 at December 31, 2009, to $96.03 as of March 31, 2010. Total Class 1 subscriptions and redemptions for the period were $7,376,112 and $21,328, respectively. Total Class 2 subscriptions and redemptions for the period were $11,252,613 and $187,148, respectively. Ending capital at March 31, 2010, was $11,118,740 for Class 1 and $19,917,415 for Class 2. Ending capital at December 31, 2009, was $14,723,330 for Class 1 and $8,563,857 for Class 2.

The Frontier Masters Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Three Months Ended March 31, 2010, for additional information regarding these sectors.

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Sector Attribution for the Frontier Masters Series

Balanced Series

Balanced Series

2011

The Balanced Series – Class 1 NAV gained 3.3% for the three months ended March 31, 2011, net of fees and expenses; the Balanced Series – Class 1a NAV gained 3.1% for the three months ended March 31, 2011, net of fees and expenses; the Balanced Series – Class 2 NAV gained 4.1% for the three months ended March 31, 2011, net of fees and expenses; the Balanced Series – Class 2a NAV gained 3.9% for the three months ended March 31, 2011, net of fees and expenses; the Balanced Series – Class 3a NAV gained 3.9% for the three months ended March 31, 2011, net of fees and expenses.

For the three months ended March 31, 2011, the Balanced Series recorded net gain on investments of $20,887,170, net income of $35,973, and total expenses of $7,619,184, resulting in a net increase in Owners’ capital from operations of $13,296,211 after non- controlling interests of ($7,748). The NAV per Unit, Class 1, increased from $131.95 at December 31, 2010, to $136.37 at March 31, 2011. For Class 1a, the NAV per Unit increased from $116.36 at December 31, 2010, to $119.99 at March 31, 2011. The NAV per Unit, Class 2, increased from $159.46 at December 31, 2010, to $166.02 at March 31, 2011. For Class 2a, the NAV per Unit increased from $133.66 at December 31, 2010, to $138.84 at March 31, 2011. For Class 3a, the NAV per Unit increased from $133.66 at December 31, 2010, to $138.85 at March 31, 2011. Total Class 1 subscriptions and redemptions for the period were $206,632 and $7,477,992, respectively. Total Class 1a subscriptions and redemptions for the period were $2,132 and $323,854, respectively. Total Class 2 subscriptions and redemptions for the period were $4,034 and $3,892,776, respectively. Total Class 2a redemptions for the period were $30,000. There were no subscriptions. Total Class 3a subscriptions and redemptions for the period were $35,771 and $207,424, respectively. Ending capital at March 31, 2011, was $290,231,831 for Class 1, $4,963,350 for Class 1a, $75,981,268 for Class 2, $3,670,352 for Class 2a and $3,663,383 for Class 3a. At December 31, 2010, ending capital was $287,807,510 for Class 1, $5,120,558 for Class 1a, $76,715,728 for Class 2, $3,562,374 for Class 2a, and $3,691,280 for Class 3a.

The Balanced Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors.

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Balanced Series

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Four of the six sectors traded in the Balanced Series were profitable in the first quarter, with Agriculturals and Energies being the most profitable sectors. Metals and Stock Indices were also profitable. Currencies and Interest Rates were the least profitable sectors during the quarter, contributing negative performance to the fund.

In terms of major CTA performance, two of the five major CTAs in the Balanced Series were profitable during the first quarter. QIM and Winton provided positive performance. Quantmetrics, Tiverton and Transtrend provided negative performance during the quarter.

2010

The Balanced Series – Class 1 NAV lost 0.6% for the three months ended March 31, 2010, net of fees and expenses; the Balanced Series – Class 1a NAV lost 0.8% for the three months ended March 31, 2010, net of fees and expenses; the Balanced Series – Class 2 NAV gained 0.1% for the three months ended March 31, 2010, net of fees and expenses; the Balanced Series – Class 2a NAV lost 0.1% for the three months ended March 31, 2010, net of fees and expenses; the Balanced Series – Class 3a NAV lost 0.1% for the three months ended March 31, 2010, net of fees and expenses.

For the three months ended March 31, 2010, the Balanced Series recorded net loss on investments of $265,444, net income of $205,160, and total expenses of $3,835,676, resulting in a net decrease in Owners’ capital from operations of $2,009,334 after non- controlling interests of $ 1,886,626. The NAV per Unit, Class 1, decreased from $118.54 at December 31, 2009, to $117.81 at March 31, 2010. For Class 1 a, the NAV per Unit decreased from $105.50 at December 31, 2009, to $104.66 at March 31, 2010. The NAV per Unit, Class 2, increased from $139.01 at December 31, 2009, to $139.18 at March 31, 2010. For Class 2a, the NAV per Unit decreased from $117.60 at December 31, 2009, to $117.53 at March 31, 2010. For Class 3a, the NAV per Unit decreased from $117.60 at December 31, 2009, to $117.54 at March 31, 2010. Total Class 1 subscriptions and redemptions for the three months were $176,783 and $6,482,776, respectively. Total Class 1a subscriptions and redemptions for the three month period were $15,991 and $2,214,384, respectively. Total Class 2 subscriptions and redemptions for the three months were $7,265 and $2,928,030, respectively. Total Class 2a redemptions for the three month period were $76,758. There were no subscriptions. Total Class 3a subscriptions and redemptions for the period were $1,712,203 and $87,309, respectively. Ending capital at March 31, 2010, was $277,807,329 for Class 1, $6,847,698 for Class 1a, $74,442,173 for Class 2, $3,216,036 for Class 2a and $2,816,314 for Class 3a. At December 31, 2009, ending capital was $286,024,307 for Class 1, $9,150,114 for Class 1a, $77,372,166 for Class 2, $3,298,566 for Class 2a, and $1,170,746 for Class 3a.

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 under Market Conditions for Three Months Ended March 31, 2010, for additional information regarding these sectors.

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Sector Attribution for the Frontier Balanced Series

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Berkeley/Graham/Tiverton Series (formerly the Campbell/Graham/Tiverton Series)

2011

The Berkeley/Graham/Tiverton Series – Class 1 NAV lost 1.7% for the three months ended March 31, 2011, net of fees and expenses; the Berkeley/Graham/Tiverton Series – Class 2 NAV lost 0.9% for the three months ended March 31, 2011, net of fees and expenses.

For the three months ended March 31, 2011, the Berkeley/Graham/Tiverton Series recorded net loss on investments of $134,693, net income of $5,309, and total expenses of $918,261, resulting in a net decrease in Owners’ capital from operations of $1,047,645. The NAV per Unit, Class 1, decreased from $110.46 at December 31, 2010, to $108.63 as of March 31, 2011. The NAV per Unit, Class 2, decreased from $131.73 at December 31, 2010, to $130.50 as of March 31, 2011. Total Class 1 subscriptions and redemptions for the period were $27,253 and $1,817,995, respectively. Total Class 2 redemptions for the period were $275,754. There were no subscriptions. Ending capital at March 31, 2011, was $59,075,866 for Class 1 and $8,039,321 for Class 2. Ending capital at December 31, 2010, was $61,842,996 for Class 1 and $8,386,332 for Class 2.

The Berkeley/Graham/Tiverton Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors.

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Berkeley/Graham/Tiverton Series

Two of the six sectors traded in the Berkeley/Graham/Tiverton Series were profitable in the first quarter, with Energies and Agriculturals being profitable sectors. Metals, Currencies, Interest Rates and Stock Indices were the least profitable sectors during the quarter, with all four sectors contributing negative performance to the fund.

In terms of major CTA performance, two of the four CTAs in the Berkeley/Graham/Tiverton Series were profitable during the first quarter. Berkeley and Campbell provided positive performance while Graham and Tiverton provided negative performance during the quarter.

2010

The Berkeley/Graham/Tiverton Series – Class 1 NAV lost 3.2% for the three months ended March 31, 2010, net of fees and expenses; the Berkeley/Graham/Tiverton Series – Class 2 NAV lost 2.5% for the three months ended March 31, 2010, net of fees and expenses.

For the three months ended March 31, 2010, the Berkeley/Graham/Tiverton Series recorded net loss on investments of $1,177,468, net income of ($1,116), and total expenses of $1,166,380, resulting in a net decrease in Owners’ capital from operations of $2,522,861 after non-controlling interests of ($177,897). The NAV per Unit, Class 1, decreased from $104.65 at December 31, 2009, to $101.25 as of March 31, 2010. The NAV per Unit, Class 2, decreased from $121.10 at December 31, 2009, to $118.03 as of March 31, 2010. Total Class 1 subscriptions and redemptions for the three months ended March 31, 2010, were $39,414 and $1,659,964, respectively. Total Class 2 redemptions for the three months ended March 31, 2010, were $739,151. There were no subscriptions. Ending capital at March 31, 2010, was $65,562,540 for Class 1 and $8,917,258 for Class 2. Ending capital at December 31, 2009, was $69,447,366 for Class 1 and $9,914,994 for Class 2.

The Berkeley/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 under Market Conditions for Three Months Ended March 31, 2010, for additional information regarding these sectors.

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Sector Attribution for the Berkeley/Graham/Tiverton Series

Currency Series

2011

The Currency Series – Class 1 NAV lost 4.4% for the three months ended March 31, 2011, net of fees and expenses; the Currency Series – Class 2 NAV lost 3.7% for the three months ended March 31, 2011, net of fees and expenses.

For the three months ended March 31, 2011, the Currency Series recorded net loss on investments of $223,904, net income of $29,652, and total expenses of $108,590, resulting in a net decrease in Owners’ capital from operations of $302,842. The NAV per Unit, Class 1, decreased from $79.09 at December 31, 2010, to $75.59 as of March 31, 2011. The NAV per Unit, Class 2, decreased from $95.43 at December 31, 2010, to $91.88 as of March 31, 2011. Total Class 1 subscriptions and redemptions for the period were $15,176, and $271,696, respectively. Total Class 2 redemptions for the period were $10,206. There were no subscriptions. Ending capital at March 31, 2011, was $5,850,408 for Class 1 and $719,424 for Class 2. Ending capital at December 31, 2010, was $6,381,882 for Class 1 and $757,518 for Class 2.

The Currency Series may have both long and short exposure to the Currencies sector only.

Currency Series

In terms of major CTA performance, one of the three major CTAs in the Currency Series was profitable during the first quarter. Harmonic finished positive for the quarter while C-View and FX Concepts were negative for the quarter.

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

2010

The Currency Series – Class 1 NAV gained 1.9% for the three months ended March 31, 2010, net of fees and expenses; the Currency Series – Class 2 NAV gained 2.7% for the three months ended March 31, 2010, net of fees and expenses.

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For the three months ended March 31, 2010, the Currency Series recorded net gain on investments of $257,227, net income of $37,458, and total expenses of $124,008, resulting in a net increase in Owners’ capital from operations of $170,677. The NAV per Unit, Class 1, increased from $78.00 at December 31, 2009, to $79.50 as of March 31, 2010. The NAV per Unit, Class 2, increased from $91.34 at December 31, 2009, to $93.79 as of March 31, 2010. Total Class 1 subscriptions and redemptions for the three months ending March 31, 2010 were $17,133, and $307,455, respectively. Total Class 2 redemptions for the three months ending March 31, 2010, was $1,438,466. There were no subscriptions. Ending capital at March 31, 2010, was $7,792,672 for Class 1 and $857,345 for Class 2. Ending capital at December 31, 2009, was $7,934,382 for Class 1 and $2,273,746 for Class 2.

The Currency Series may have both long and short exposure to the Currencies sector only. See comments above under Market Conditions for Three Months Ended March 31, 2010, for additional information regarding these sectors.

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

Long Only Commodity Series

2011

The Long Only Commodity Series – Class 1 NAV gained 5.8% for the three months ended March 31, 2011, net of fees and expenses; the Long Only Commodity Series – Class 2 NAV gained 6.3% for the three months ended March 31, 2011, net of fees and expenses; the Long Only Commodity Series – Class 3 NAV gained 6.2% from the start of trading operations on January 13, 2011 through March 31, 2011, net of fees and expenses.

For the three months ended March 31, 2011, the Long Only Commodity Series recorded net gain on investments of $254,386, net income of $21,602, and total expenses of $34,828, resulting in a net increase in Owners’ capital from operations of $241,160. The NAV per Unit, Class 1, increased from $94.11 at December 31, 2010 to $99.59 as of March 31, 2011. The NAV per Unit, Class 2, increased from $103.71 at December 31, 2010, to $110.29 as of March 31, 2011. The NAV per Unit, Class 3, increased from $103.88 at the beginning of trading operations on January 14, 2011, to $110.29 as of March 31, 2011. Total Class 1 subscriptions and redemptions for the period were $268 and $90,970, respectively. Total Class 2 redemptions for the period were $45,940. There were no subscriptions. Total Class 3 subscriptions for the period were $5,428. There were no redemptions. Ending capital at March 31, 2011, was $3,447,716 for Class 1, $849,698 for Class 2 and $5,763 for Class 3. Ending capital at December 31, 2010, was $3,348,953 for Class 1 and $844,278 for Class 2.

The Long Only Commodity Series may have long-only exposure in the Energies, Metals, and Commodities sectors. The Long Only Commodity Series invests approximately equally in the Jefferies Commodity Performance Index and the Thomson Reuters/Jefferies CRB Index. There are no Sector or major CTA Attribution charts for the Long Only Commodity Series.

The Jefferies Commodity Performance Index is a broadly-diversified, long-only, passive, rules-based index that uses proprietary composition, rebalancing and rollover methodology for calculating the Index. For the period from January 1, through March 31, 2011 the index increased 5.16%. The Thomson Reuters/Jefferies CRB Index is designed to provide timely and accurate representation of a long-only, broadly diversified investment in commodities through a transparent and disciplined calculation methodology. For the period from January 1, through March 31, 2011 the index increased 8.04%. The average of the two indexes for the quarter was 6.60%. Both indexes are propriety to Jefferies & Company, Inc., and may be viewed at jefferies.com.

2010

The Long Only Commodity Series – Class 1 NAV lost 4.1% for the three months ended March 31, 2010, net of fees and expenses; the Long Only Commodity Series – Class 2 NAV lost 3.6% for the three months ended March 31, 2010, net of fees and expenses.

For the three months ended March 31, 2010, the Long Only Commodity Series recorded net loss on investments of $169,833, net income of $23,024, and total expenses of $36,737, resulting in a net increase in Owners’ capital from operations of $183,546. The NAV per Unit, Class 1, decreased from $83.59 at December 31, 2009 to $80.20 as of March 31, 2010. The NAV per Unit, Class 2, decreased from $90.30 at December 31, 2009, to $87.06 as of March 31, 2010. Total Class 1 subscriptions and redemptions for the three months were $233 and $222,156, respectively. Total Class redemptions for the three months were $22,533. There were no subscriptions. Ending capital at March 31, 2010, was $3,339,646 for Class 1 and $449,339 for Class 2. Ending capital at December 31, 2009, was $3,711,581 for Class 1 and $954,744 for Class 2.

The Long Only Commodity Series may have long-only exposure in the Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Three Months Ended March 31, 2010, for additional information regarding these sectors.

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

Managed Futures Index Series

2011

The Managed Futures Index Series – Class 1 NAV lost 4.6% for the three months ended March 31, 2011, net of fees and expenses; the Managed Futures Index Series – Class 2 NAV lost 4.2% for the three months ended March 31, 2011, net of fees and expenses; the Managed Futures Index Series – Class 3 NAV lost 1.9% from the start of trading operations on January 13, 2011 through March 31, 2011, net of fees and expenses.

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For the three months ended March 31, 2011 the Managed Futures Index Series recorded a net loss on investments of $199,900, net income of $23,534, and total expenses of $37,160, resulting in a net decrease in Owners’ capital from operations of $213,526. The NAV per Unit, Class 1, decreased from $117.96 at December 31, 2010, to $112.50 as of March 31, 2011. The NAV per Unit, Class 2, decreased from $129.69 at December 31, 2010, to $124.29 as of March 31, 2011. The NAV per Unit, Class 3, decreased from $126.73 at the start of trading operations on January 14, 2011, to $124.29 as of March 31, 2011. Total Class 1 redemptions for the period were $469,520. There were no subscriptions. Total Class 2 redemptions for the period were $313,639. There were no subscriptions. Total Class 3 subscriptions for the period were $362,963. There were no redemptions. Ending capital at March 31, 2011, was $867,627 for Class 1, $3,303,129 for Class 2 and $355,985 for Class 3. Ending capital at December 31, 2010, was $1,388,452 for Class 1 and $3,772,011 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.

Managed Futures Index Series

Two of the six sectors traded in the Managed Futures Index Series were profitable in the first quarter. Energies and Agriculturals were profitable while Metals, Currencies, Interest Rates and Stock Indices were the least profitable sectors during the quarter, contributing negative performance to the fund.

2010

The Managed Futures Index Series – Class 1 NAV lost 0.9% for the three months ended March 31, 2010, net of fees and expenses; the Managed Futures Index Series – Class 2 NAV lost 0.4% for the three months ended March 31, 2010, net of fees and expenses.

For the three months ended March 31, 2010 the Managed Futures Index Series recorded a net loss on investments of $39,308, net income of $10,876, and total expenses of $41,069, resulting in a net decrease in Owners’ capital from operations of $69,501. The NAV per Unit, Class 1, decreased from $112.54 at December 31, 2009, to $111.54 as of March 31, 2010. The NAV per Unit, Class 2, decreased from $121.28 at December 31, 2009, to $120.80 as of March 31, 2010. Total Class 1 redemptions for the three months were $80,973. There were no subscriptions. Total Class 2 subscriptions and redemptions for the three months were $2,000,000 and $19,713, respectively. Ending capital at March 31, 2010, was $1,734,680 for Class 1 and $3,868,342 for Class 2. Ending capital at December 31, 2009, was $1,831,435 for Class 1 and $1,941,774 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 under Market Conditions for Three Months Ended March 31, 2010, for additional information regarding these sectors.

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Sector Attribution for the Managed Futures Index Series

Winton Series

2011

The Winton Series – Class 1 NAV gained 1.0% for the three months ended March 31, 2011, net of fees and expenses; the Winton Series – Class 2 NAV gained 1.8% for the three months ended March 31, 2011, net of fees and expenses.

For the three months ended March 31, 2011, the Winton Series recorded net gain on investments of $1,607,792, net income of $103,733, and total expenses of $1,019,087, resulting in a net increase in Owners’ capital from operations of $692,438. The NAV per Unit, Class 1, increased from $135.04 at December 31, 2010, to $136.40 as of March 31, 2011. The NAV per Unit, Class 2, increased from $153.99 at December 31, 2010, to $156.70 as of March 31, 2011. Total Class 1 subscriptions for the period were $74,523 and redemptions were $779,364. Total Class 2 redemptions for the period were $160,083. There were no subscriptions. Ending capital at March 31, 2011, was $49,141,035 for Class 1 and $11,405,916 for Class 2. Ending capital at December 31, 2010, was $49,350,981 for Class 1 and $11,368,456 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.

Winton Series

Four of the six sectors traded in the Winton Series were profitable in the first quarter, with Energies being the most profitable. Metals, Agriculturals and Stock Indices were also profitable. Currencies and Interest Rates were the least profitable sectors during the quarter, contributing negative performance to the fund.

2010

The Winton Series – Class 1 NAV gained 4.9% for the three months ended March 31, 2010, net of fees and expenses; the Winton Series – Class 2 NAV gained 5.7% for the three months ended March 31, 2010, net of fees and expenses.

For the three months ended March 31, 2010, the Winton Series recorded net gain on investments of $3,631,250, net income of $28,507, and total expenses of $799,460, resulting in a net increase in Owners’ capital from operations of $2,860,297. The NAV per Unit, Class 1, increased from $117.57 at December 31, 2009, to $123.35 as of March 31, 2010. The NAV per Unit, Class 2, increased

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from $130.10 at December 31, 2009, to $137.51 as of March 31, 2010. Total Class 1 subscriptions for the three months were $63,725 and redemptions were $1,626,579. Total Class 2 redemptions for the three month period were $280,111. There were no subscriptions. Ending capital at March 31, 2010, was $48,940,862 for Class 1 and $10,478,649 for Class 2. Ending capital at December 31, 2009, was $48,198,317 for Class 1 and $10,203,862 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 under Market Conditions for Three Months Ended March 31, 2010, for additional information regarding these sectors.

Sector Attribution for the Winton Series

Winton/Graham Series

2011

The Winton/Graham Series – Class 1 NAV lost 1.0% for the three months ended March 31, 2011, net of fees and expenses; the Winton/Graham Series – Class 2 NAV lost 0.2% for the three months ended March 31, 2011, net of fees and expenses.

For the three months ended March 31, 2011, the Winton/Graham Series recorded net gain on investments of $47,962, net income of $57,929, and total expenses of $921,728, resulting in a net decrease in Owners’ capital from operations of $447,404, after non-controlling interest of $368,433. The NAV per Unit, Class 1, decreased from $119.83 at December 31, 2010, to $118.67 as of March 31, 2011. The NAV per Unit, Class 2, decreased from $144.04 at December 31, 2010, to $143.70 as of March 31, 2011. Total Class 1 subscriptions and redemptions for the period were $36,256 and $831,806, respectively. Total Class 2 redemptions for the period were $1,032,062. There were no subscriptions. Ending capital at March 31, 2011, was $44,667,189 for Class 1 and $10,568,233 for Class 2. Ending capital at December 31, 2010, was $45,898,246 for Class 1 and $11,612,192 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.

Winton/Graham Series

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Three of the six sectors traded in the Winton/Graham Series were profitable in the first quarter, with Energies being the most profitable sector. Metals and Agriculturals were also positive. Currencies, Interest Rates and Stock Indices were the least profitable sectors during the quarter, with all three sectors contributing negative performance to the fund.

In terms of major CTA performance, Winton provided positive performance while Graham provided negative performance for the quarter.

2010

The Winton/Graham Series – Class 1 NAV lost 0.5% for the three months ended March 31, 2010, net of fees and expenses; the Winton/Graham Series – Class 2 NAV gained 0.2% for the three months ended March 31, 2010, net of fees and expenses.

For the three months ended March 31, 2010, the Winton/Graham Series recorded net loss on investments of $457,522, net income of $82,233, and total expenses of $875,800, resulting in a net decrease in Owners’ capital from operations of $277,673, after non-controlling interest of $973,416. The NAV per Unit, Class 1, decreased from $ 110.06 at December 31, 2009, to $109.47 as of March 31, 2010. The NAV per Unit, Class 2, increased from $128.39 at December 31, 2009, to $128.65 as of March 31, 2010. Total Class 1 subscriptions and redemptions for the three months were $36,273 and $1,572,406, respectively. Total Class 2 redemptions for the three months were $281,214. There were no subscriptions. Ending capital at March 31, 2010, was $46,333,536 for Class 1 and $12,262,317 for Class 2. Ending capital at December 31, 2009, was $48,168,395 for Class 1 and $12,522,478 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 under Market Conditions for Three Months Ended March 31, 2010, for additional information regarding these sectors.

Sector Attribution for the Winton/Graham Series

Contractual Obligations

None.

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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-term or long-term. Investors must be prepared to lose all or substantially all of their investment in a Series.

Quantitative Market Risk

Trading Risk

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

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

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

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

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

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Value at Risk by Market Sectors

The following table presents the trading value at risk associated with each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of March 31, 2011 and December 31, 2010. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

Frontier Diversified Series: (1)

MARKET SECTOR	March 31, 2011					December 31, 2010
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	3,111,497		1.8	%	$	2,922,054		1.8	%
Currencies	$	3,213,685		1.9	%	$	2,240,613		1.4	%
Stock Indices	$	5,953,218		3.4	%	$	6,404,181		4.0	%
Metals	$	2,663,541		1.5	%	$	1,371,891		0.9	%
Agriculturals/Softs	$	1,477,391		0.9	%	$	5,305,078		3.3	%
Energy	$	968,642		0.6	%	$	7,868,442		4.9	%
Total:	$	17,387,974		10.1	%	$	26,112,259		16.3	%

79

Frontier Dynamic Series: (2)

MARKET SECTOR	March 31, 2011					December 31, 2010
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—		0	%	$	—		0	%
Currencies	$	—		0	%	$	—		0	%
Stock Indices	$	—		0	%	$	—		0	%
Metals	$	—		0	%	$	—		0	%
Agriculturals/Softs	$	—		0	%	$	—		0	%
Energy	$	—		0	%	$	—		0	%
Total:	$	—		0	%	$	—		0	%

Frontier Long/Short Commodity Series:

MARKET SECTOR	March 31, 2011					December 31, 2010
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	405,585		0.5	%	$	322,364		0.4	%
Currencies	$	756,263		0.9	%	$	242,199		0.3	%
Stock Indices	$	684,927		0.8	%	$	411,536		0.5	%
Metals	$	392,693		0.5	%	$	329,861		0.4	%
Agriculturals/Softs	$	1,190,201		1.4	%	$	3,206,941		4.2	%
Energy	$	398,298		0.5	%	$	4,762,766		6.2	%
Total:	$	3,827,967		4.6	%	$	9,275,667		12.0	%

Frontier Masters Series: (3)

MARKET SECTOR	March 31, 2011					December 31, 2010
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,807,724		6.2	%	$	835,668		1.3	%
Currencies	$	2,066,373		7.0	%	$	424,749		0.6	%
Stock Indices	$	1,540,928		5.3	%	$	756,786		1.1	%
Metals	$	1,708,482		5.8	%	$	277,901		0.4	%
Agriculturals/Softs	$	514,656		1.8	%	$	251,661		0.4	%
Energy	$	468,353		1.6	%	$	203,123		0.3	%
Total:	$	8,106,516		27.7	%	$	2,749,888		4.1	%

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Balanced Series: (4), (5)

MARKET SECTOR	March 31, 2011					December 31, 2010
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	8,248,099		2.2	%	$	8,353,253		2.2	%
Currencies	$	8,232,784		2.2	%	$	6,381,910		1.7	%
Stock Indices	$	16,402,298		4.3	%	$	18,517,071		4.9	%
Metals	$	6,742,734		1.8	%	$	3,908,168		1.0	%
Agriculturals/Softs	$	4,090,784		1.1	%	$	15,220,938		4.0	%
Energy	$	2,684,292		0.7	%	$	22,499,117		6.0	%
Total:	$	46,400,991		12.3	%	$	74,880,457		19.8	%

Berkeley/Graham/Tiverton Series:

MARKET SECTOR	March 31, 2011					December 31, 2010
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,358,768		2.0	%	$	718,098		1.0	%
Currencies	$	2,542,882		3.8	%	$	1,434,603		2.0	%
Stock Indices	$	542,067		0.8	%	$	1,023,873		1.5	%
Metals	$	988,410		1.5	%	$	206,109		0.3	%
Agriculturals/Softs	$	267,919		0.4	%	$	327,581		0.5	%
Energy	$	100,429		0.1	%	$	233,916		0.3	%
Total:	$	5,800,475		8.6	%	$	3,944,180		5.6	%

Currency Series: (6)

MARKET SECTOR	March 31, 2011					December 31, 2010
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—		0	%	$	—		0	%
Currencies	$	732,829		3.9	%	$	381,279		1.9	%
Stock Indices	$	—		0	%	$	—		0	%
Metals	$	—		0	%	$	—		0	%
Agriculturals/Softs	$	—		0	%	$	—		0	%
Energy	$	—		0	%	$	—		0	%
Total:	$	732,829		3.9	%	$	381,279		1.9	%

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Long Only Commodity Series:

MARKET SECTOR	March 31, 2011					December 31, 2010
	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	$	98,880		2.3	%	$	97,920		2.3	%
Agriculturals/Softs	$	140,080		3.3	%	$	138,720		3.3	%
Energy	$	173,040		4.0	%	$	171,360		4.1	%
Total:	$	412,000		9.6	%	$	408,000		9.7	%

Managed Futures Index Series:

MARKET SECTOR	March 31, 2011					December 31, 2010
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	123,450		2.7	%	$	144,635		2.8	%
Currencies	$	272,465		6.0	%	$	338,036		6.6	%
Stock Indices	$	80,702		1.8	%	$	105,228		2.0	%
Metals	$	43,493		1.0	%	$	37,502		0.7	%
Agriculturals/Softs	$	84,086		1.9	%	$	94,797		1.8	%
Energy	$	46,972		1.0	%	$	44,273		0.9	%
Total:	$	651,168		14.4	%	$	764,471		14.8	%

Winton Series:

MARKET SECTOR	March 31, 2011					December 31, 2010
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	730,751		1.2	%	$	732,649		1.2	%
Currencies	$	1,488,471		2.5	%	$	1,247,838		2.1	%
Stock Indices	$	639,719		1.1	%	$	950,979		1.6	%
Metals	$	238,641		0.4	%	$	274,568		0.5	%
Agriculturals/Softs	$	388,970		0.6	%	$	675,764		1.1	%
Energy	$	205,251		0.3	%	$	259,374		0.4	%
Total:	$	3,691,803		6.1	%	$	4,141,172		6.9	%

82

Winton/Graham Series:

MARKET SECTOR	March 31, 2011					December 31, 2010
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	2,214,875		4.0	%	$	1,277,380		2.2	%
Currencies	$	4,045,690		7.3	%	$	2,303,772		4.0	%
Stock Indices	$	1,043,781		1.9	%	$	1,627,973		2.8	%
Metals	$	251,001		0.5	%	$	322,999		0.6	%
Agriculturals/Softs	$	521,704		0.9	%	$	721,077		1.3	%
Energy	$	281,609		0.5	%	$	418,361		0.7	%
Total:	$	8,358,660		15.1	%	$	6,671,562		11.6	%

(1) As of March 31, 2011and December 31, 2010, a portion of the assets of the Frontier Diversified Series was invested in an Option basket of futures contracts with a notional value of $7,945,464 and $15,569,595, respectively. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

(2) As of March 31, 2011and December 31, 2010, a portion of the assets of the Frontier Dynamic Series was invested in an Option basket of futures contracts with a notional value of $25,947,437 and $27,048,602, respectively. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

(3) As of December 31, 2010, a portion of the assets of the Frontier Masters Series was invested in an Option basket of futures contracts with a notional value of $26,242,246. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

(4) As of March 31, 2011and December 31, 2010, a portion of the assets of the Balanced Series was invested in the Currency Series and Frontier Dynamic Series. The Balanced Series effective ownership in these Series as of March 31, 2011 was 65.3% and 94.6%, respectively. As of December 31, 2010 the Balanced Series effective ownership was 64.2% and 94.5%, respectively. Including its investment in this Series, total value at risk for the Balanced Series would be $46,879,214, or 12.4% of capitalization as of March 31, 2011 and $78,125,333, or 20.7% of capitalization as of December 31, 2010.

(5) As of March 31, 2011and December 31, 2010, a portion of the assets of the Balanced Series was invested in an Option basket of futures contracts with a notional value of $16,782,654 and $68,460,196, respectively. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

(6) As of March 31, 2011and December 31, 2010, a portion of the assets of the Currency Series was invested in an Option basket of futures contracts with a notional value of $10,865,309 and $11,567,063, respectively. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

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

The face value of the market sector instruments held on behalf of the Series is typically many times the applicable maintenance margin requirement, which generally ranges between approximately 1% and 10% of contract face value, as well as many times the capitalization of the Series. The magnitude of each Series’ open positions creates a risk of ruin 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 table above, as well as the past performance of the Series, gives no indication of this risk of ruin.

Non-Trading Risk

The Series have non-trading market risk on their foreign cash balances not needed for margin. However, these balances, as well as the market risk they represent, are immaterial. The Series also have non-trading market risk as a result of investing a portion of their available assets in U.S. government securities which include any security issued or guaranteed as to principal or interest by the 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 items such as money market funds, certificates of deposit (under nine months) and time deposits. The market risk represented by these investments is also immaterial.

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Qualitative Market Risk

The following are the primary trading risk exposures of the Series of the Trust as of March 31, 2011, 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-7 countries. However, the Trading Companies also may take futures positions on the government debt of smaller nations. The Managing Owner anticipates that G-7 interest rates will remain the primary market exposure of each Trading Company and accordingly of each Series for the foreseeable future. The changes in interest rates which are expected to have the most effect on the Series are changes in long-term, as opposed to short-term rates. Most of the speculative positions to be held by the Trading Companies will be in medium- to long-term instruments. Consequently, even a material change in short-term rates is expected to have little effect on the Series if the medium- to long-term rates remain steady. Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Berkeley/Graham/Tiverton Series, Currency Series and Winton/Graham Series. For the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters, Series, Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner. In addition, if interest rates fall below 0.75%, the Managing Owner is paid the difference between the Trust’s annualized interest income that is allocated to each of such Series and 0.75%. Interest income above what is paid to the Managing Owner is retained by the Series.

Currencies

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

Stock Indices

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

Metals

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

Agriculturals/Softs

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

Energy

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

Other Trading Risks

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

84

The Trading Companies’ trading is subject to execution risks. Market conditions may make it impossible for the Trading Advisors to execute a buy or sell order at the desired price, or to close out an open position. Daily price fluctuation limits are established by the exchanges and approved by the CFTC. When the market price of a contract reaches its daily price fluctuation limit, no trades can be executed at prices outside the limit. The holder of a contract may therefore be locked into an adverse price movement for several days or more and lose considerably more than the initial margin put up to establish the position. Thinly traded or illiquid markets also can make it difficult or impossible to execute trades. The Trading Advisor’s positions are subject to speculative limits. The CFTC and domestic exchanges have established speculative position limits on the maximum futures position which any person, or group of persons acting in concert, may hold or control in particular futures contracts or options on futures contracts traded on U.S. commodity exchanges. Under current regulations, other accounts of the Trading Advisors are combined with the positions held by them on behalf of the applicable Trading Company for position limit purposes. This trading could preclude additional trading in these commodities by the Trading Advisors for the accounts of the Series.

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

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

85

ITEM 4. CONTROLS AND PROCEDURES

Evaluation of disclosure controls and procedures

Under the supervision and with the participation of the management of the Managing Owner, including its Chief Executive Officer and Chief Financial Officer, the Trust evaluated the effectiveness of the design and operation of the disclosure controls and procedures (as defined in Rule 13(a)-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), for the Trust and each Series as of March 31, 2011 (the “Evaluation Date”). Any control system, no matter how well designed and operated, can provide only reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected. Based upon our evaluation, the Chief Executive Officer and Chief Financial Officer of the Managing Owner concluded that, as of the Evaluation Date, the disclosure controls and procedures for the Trust and each Series were effective to provide reasonable assurance that they are timely alerted to the material information relating to the Trust and each Series required to be included in the Trust’s periodic SEC filings.

Changes in Internal Control Over Financial Reporting

There were no changes in the Trust’s internal control over financial reporting during the year ended March 31, 2011, that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.

Scope of Exhibit 31 Certifications

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

PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS.

None

ITEM 1A. RISK FACTORS.

The section entitled “Risk Factors” beginning on page 21 of Amendment No. 1 to the Registration Statement on Form S-1 (File No. 333-164629) is incorporated by reference into this section.

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

The following table provides information regarding the sale of unregistered Units by the Registrant for the three months ended March 31, 2011. The number of Units listed below for each transaction is the aggregate number of Units in the particular Series of the Trust purchased in such transaction. The consideration listed below for each transaction is, except as otherwise noted, the aggregate amount of cash paid for the Units purchased. For each transaction reported below, the price per Unit was NAV per Unit at the time of the transaction and the Managing Owner of the Trust was the purchaser of the Units. No underwriting discount or sales commission was paid or received with respect to any of the transactions reported below. The Registrant claims an exemption from registration of each of the transactions listed below under Section 4(2) of the Securities Act, as a sale by an issuer not involving a public offering.

SERIES	DATE		UNITS		CONSIDERATION
Frontier Diversified Series - 2		March 31, 2011		1,818.1942	$	200,000
Frontier Long/Short Commodity Series - 2		March 31, 2011		1,473.9209	$	200,000

One hundred percent of the offering proceeds from the sale of Units are initially available for the Series’ trading activities.

ITEM 3. DEFAULTS UPON SENIOR SECURITIES.

None

ITEM 4. REMOVED AND RESERVED.

86

ITEM 5. OTHER INFORMATION.

None

ITEM 6. EXHIBITS.

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

4.1	Declaration of Trust and Amended and Restated Trust Agreement of the Registrant (annexed to the prospectus as Exhibit A) ****
31.1	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 1 3a-14(a) and 15(d)-14(a) of the Securities Exchange Act of 1934 (furnished herewith)
31.2	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 1 3a-14(a) and 1 5(d)-14(a) of the Securities Exchange Act of 1934 (furnished herewith)
32.1	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.2	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.3	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.4	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.5	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.6	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.7	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.8	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.9	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.10	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.11	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.12	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 and incorporated by reference from exhibit 4.1 from Post-Effective Amendment One to the Registration Statement on Form S-1 filed March 22, 2010.

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.

	The Frontier Fund (Registrant)
Date: May 12, 2011	By:	/S/    ROBERT J. ENCK
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

88

SIGNATURES

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

	Balanced Series, a Series of The Frontier Fund (Registrant)
Date: May 12, 2011	By:	/S/    ROBERT J. ENCK
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

89

SIGNATURES

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

	Winton/Graham Series, a Series of The Frontier Fund (Registrant)
Date: May 12, 2011	By:	/S/    ROBERT J. ENCK
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

90

SIGNATURES

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

	Winton Series, a Series of The Frontier Fund (Registrant)
Date: May 12, 2011	By:	/S/    ROBERT J. ENCK
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

91

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.

	Berkeley/Graham/Tiverton Series, a Series of The Frontier Fund (Registrant)
Date: May 12, 2011	By:	/S/    ROBERT J. ENCK
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

92

SIGNATURES

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

	Currency Series, a Series of The Frontier Fund (Registrant)
Date: May 12, 2011	By:	/S/    ROBERT J. ENCK
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

93

SIGNATURES

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

	Long Only Commodity Series, a Series of The Frontier Fund (Registrant)
Date: May 12, 2011	By:	/S/    ROBERT J. ENCK
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

94

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.

	Frontier Long/Short Commodity Series, a Series of The Frontier Fund (Registrant)
Date: May 12, 2011	By:	/S/    ROBERT J. ENCK
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

95

SIGNATURES

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

	Managed Futures Index Series, a Series of The Frontier Fund (Registrant)
Date: May 12, 2011	By:	/S/    ROBERT J. ENCK
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

96

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.

	Frontier Diversified Series, a Series of The Frontier Fund (Registrant)
Date: May 12, 2011	By:	/S/    ROBERT J. ENCK
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

97

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.

	Frontier Dynamic Series, a Series of The Frontier Fund (Registrant)
Date: May 12, 2011	By:	/S/    ROBERT J. ENCK
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

98

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.

	Frontier Masters Series, a Series of The Frontier Fund (Registrant)
Date: May 12, 2011	By:	/S/    ROBERT J. ENCK
		Robert J. Enck President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

99