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 September 30, 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   x     No   ¨

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

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

Indicate by check mark whether the registrant is a shell company (as defined in Rule 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 September 30, 2011 (Unaudited) and December 31, 2010	4
	Condensed Schedules of Investments as of September 30, 2011 (Unaudited) and December 31, 2010	10
	Statements of Operations for the three and nine months ended September 30, 2011 and 2010 (Unaudited)	14
	Statements of Changes in Capital for the nine months ended September 30, 2011 (Unaudited)	22
	Statements of Cash Flows for the nine months ended September 30, 2011 and 2010 (Unaudited)	28
	Notes to Financial Statements (Unaudited)	32
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	69
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	100
Item 4.	Controls and Procedures	108
PART II – OTHER INFORMATION
Item 1.	Legal Proceedings	108
Item 1A.	Risk Factors	108
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	108
Item 3.	Defaults Upon Senior Securities	108
Item 4.	Removed and Reserved	108
Item 5.	Other Information	109
Item 6.	Exhibits	109
SIGNATURES		110

2

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 SEPTEMBER 30, 2011, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

PART I. FINANCIAL INFORMATION

ITEM 1. Financial Statements

3

The Frontier Fund

Statements of Financial Condition

September 30, 2011 and December 31, 2010

	Frontier Diversified Series				Frontier Dynamic Series (1)					Frontier Long/Short Commodity Series
	9/30/2011 (Unaudited)		12/31/2010		9/30/2011 (Unaudited)			12/31/2010		9/30/2011 (Unaudited)		12/31/2010
ASSETS
Cash and cash equivalents	$	4,969,463	$	4,647,422	$	—		$	498,048	$	2,682,036	$	1,114,912
U.S. Treasury securities, at fair value		15,855,885		13,620,730		—			2,796,510		6,236,708		6,801,035
Custom time deposits		71,043,746		77,115,708		—			15,832,842		27,944,143		38,505,033
Receivable from futures commission merchants		—		—		—			—		83,085,859		—
Swap contracts, at fair value		5,255,187		11,407,905		—			10,956,772		32,087		—
Investments in unconsolidated trading companies, at fair value		43,467,217		54,940,095		—			—		3,230,407		32,964,448
Prepaid service fees—Class 1		271,595		407,844		—			6,542		145,835		47,889
Interest receivable		72,090		185,893		—			38,166		28,356		92,819
Receivable from related parties		—		90,000		—			—		18,650		—
Other assets		1,612		60		—			12		340		212
Total Assets	$	140,936,795	$	162,415,657	$	—		$	30,128,892	$	123,404,421	$	79,526,348
LIABILITIES & CAPITAL
LIABILITIES
Inter-series payables, at fair value	$	—	$	—	$	—		$	28,320,283	$	—	$	—
Open trade deficit, at fair value		—		—		—			—		27,029,769		—
Pending owner additions		197,093		622,918		—			70,000		62,000		125,967
Owner redemptions payable		167,253		219,042		—			28,323		72,212		161,182
Incentive fees payable to Managing Owner		1,634,813		1,453,102		—			—		515,078		1,600,703
Management fees payable to Managing Owner		169,194		139,758		—			—		289,750		300,038
Interest payable to Managing Owner		47,542		52,961		—			10,064		24,107		21,144
Trading fees payable to Managing Owner		265,520		310,302		—			59,936		69,967		44,699
Trailing service fees payable to Managing Owner		69,324		48,903		—			726		28,733		69,686
Payables to related parties		40,691		57,770		—			6,585		26,277		8,528
Other liabilities		991		14,929		—			53		881		10,961
Total Liabilities		2,592,421		2,919,685		—			28,495,970		28,118,774		2,342,908
CAPITAL
Managing Owner Units—Class 1		27,629		28,484		—			25,282		—		—
Managing Owner Units—Class 1a		—		—		—			—		14,266		32,439
Managing Owner Units—Class 2		1,496,217		1,627,227		—			25,960		497,306		1,309,512
Managing Owner Units—Class 2a		—		—		—			—		221,472		33,324
Limited Owner Units—Class 1		76,568,390		89,993,647		—			1,193,940		8,994,338		31,185,756
Limited Owner Units—Class 1a		—		—		—			—		16,878,318		5,619,870
Limited Owner Units—Class 2		60,252,138		67,846,614		—			387,740		8,775,854		14,275,466
Limited Owner Units—Class 2a		—		—		—			—		9,553,671		3,728,502
Limited Owner Units—Class 3		—		—		—			—		24,463,504		20,998,571
Total Owners’ Capital		138,344,374		159,495,972		—			1,632,922		69,398,729		77,183,440
Non-Controlling Interests		—		—		—			—		25,886,918		—
Total Capital		138,344,374		159,495,972		—			1,632,922		95,285,647		77,183,440
Total Liabilities and Capital	$	140,936,795	$	162,415,657	$	—		$	30,128,892	$	123,404,421	$	79,526,348
Units Outstanding
Class 1		762,397		869,125		—			13,262		65,845		234,956
Class 1a		N/A		N/A		N/A			N/A		138,843		47,917
Class 2		590,195		652,590		—			4,382		57,486		101,687
Class 2a		N/A		N/A		N/A			N/A		77,193		31,044
Class 3		N/A		N/A		N/A			N/A		151,661		137,017
Net Asset Value per Unit
Class 1	$	100.47	$	103.58	$	88.05	(1)	$	91.94	$	136.60	$	132.73
Class 1a		N/A		N/A		N/A			N/A	$	121.67	$	117.96
Class 2	$	104.62	$	106.46	$	91.26	(1)	$	94.40	$	161.31	$	153.26
Class 2a		N/A		N/A		N/A			N/A	$	126.63	$	121.18
Class 3		N/A		N/A		N/A			N/A	$	161.30	$	153.26

(1) The Frontier Dynamic Series ceased trading operations on July 15, 2011 and redeemed all existing Units. The Series remains active. Net asset value per unit represents the liquidation value.

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

4

The Frontier Fund

Statements of Financial Condition

September 30, 2011 and December 31, 2010

	Frontier Masters Series				Balanced Series				Berkeley/Graham/Tiverton Series (1)
	9/30/2011 (Unaudited)		12/31/2010		9/30/2011 (Unaudited)		12/31/2010		9/30/2011 (Unaudited)		12/31/2010
ASSETS
Cash and cash equivalents	$	2,521,885	$	1,207,290	$	8,144,442	$	5,375,950	$	1,727,331	$	1,341,151
U.S. Treasury securities, at fair value		7,948,688		3,543,554		28,765,612		27,253,497		5,717,056		7,024,829
Custom time deposits		35,614,824		20,062,341		128,886,959		154,299,574		25,615,795		39,772,074
Receivable from futures commission merchants		4,986,615		—		67,309,977		85,398,794		—		—
Open trade equity, at fair value		264,892		—		28,106,562		26,090,210		—		—
Swap contracts, at fair value		40,895		26,242,246		31,975,419		49,811,462		29,414		—
Investments in unconsolidated trading companies, at fair value		6,033,265		15,921,658		22,475,355		42,072,378		6,052,803		12,665,871
Investment in Berkeley Quantitative Colorado Fund, LLC, at fair value		—		—		—		—		6,242,018		10,157,099
Inter-series receivables, at fair value		—		—		—		41,137,058		—		—
Prepaid service fees—Class 1		87,944		204,960		—		3		—		16
Interest receivable		36,139		48,362		130,786		371,950		25,993		95,873
Other assets		—		15		19,880		18,859		445		136
Total Assets	$	57,535,147	$	67,230,426	$	315,814,992	$	431,829,735	$	45,410,855	$	71,057,049
LIABILITIES & CAPITAL
LIABILITIES
Pending owner additions	$	130,000	$	146,000	$	—	$	—	$	—	$	—
Owner redemptions payable		11,268		183,222		231,271		112,581		79,948		96,181
Incentive fees payable to Managing Owner		519,999		229,686		2,495,158		2,688,776		29,678		270,557
Management fees payable to Managing Owner		116,639		108,531		21,305		114,145		83,884		152,455
Interest payable to Managing Owner		24,735		13,334		12,410		149,043		74,469		119,500
Trading fees payable to Managing Owner		109,910		131,841		10,796		71,087		18,402		29,714
Trailing service fees payable to Managing Owner		39,223		21,894		8,286		196,325		94,833		148,307
Payables to related parties		13,519		113,911		—		67,515		4,296		10,054
Other liabilities		1,157		6,277		4,477		3,129		723		953
Total Liabilities		966,450		954,696		2,783,703		3,402,601		386,233		827,721
CAPITAL
Managing Owner Units—Class 1		28,260		28,315		—		—		—		—
Managing Owner Units—Class 2		602,058		696,838		2,109,847		2,679,852		8,483		136,528
Managing Owner Units—Class 2a		—		—		159,998		165,380		—		—
Limited Owner Units—Class 1		36,152,622		41,185,360		193,899,554		287,807,510		40,068,730		61,842,996
Limited Owner Units—Class 1a		—		—		3,396,804		5,120,558		—		—
Limited Owner Units—Class 2		19,733,768		24,365,217		61,798,218		74,035,876		4,947,409		8,249,804
Limited Owner Units—Class 2a		—		—		2,724,842		3,396,994		—		—
Limited Owner Units—Class 3a		—		—		2,904,028		3,691,280		—		—
Total Owners’ Capital		56,516,708		66,275,730		266,993,291		376,897,450		45,024,622		70,229,328
Non-Controlling Interests		51,989		—		46,037,998		51,529,684		—		—
Total Capital		56,568,697		66,275,730		313,031,289		428,427,134		45,024,622		70,229,328
Total Liabilities and Capital	$	57,535,147	$	67,230,426	$	315,814,992	$	431,829,735	$	45,410,855	$	71,057,049
Units Outstanding
Class 1		352,076		400,269		1,538,493		2,181,233		405,825		559,848
Class 1a		N/A		N/A		30,857		44,006		N/A		N/A
Class 2		190,061		236,869		410,306		481,110		41,156		63,664
Class 2a		N/A		N/A		22,310		26,653		N/A		N/A
Class 3a		N/A		N/A		22,457		27,616		N/A		N/A
Net Asset Value per Unit
Class 1	$	102.76	$	102.96	$	126.03	$	131.95	$	98.73	$	110.46
Class 1a		N/A		N/A	$	110.08	$	116.36		N/A		N/A
Class 2	$	107.00	$	105.81	$	155.76	$	159.46	$	120.42	$	131.73
Class 2a		N/A		N/A	$	129.31	$	133.66		N/A		N/A
Class 3a		N/A		N/A	$	129.31	$	133.66		N/A		N/A

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

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

5

The Frontier Fund

Statements of Financial Condition

September 30, 2011 and December 31, 2010

	Currency Series				Long Only Commodity Series				Managed Futures Index Series
	9/30/2011 (Unaudited)		12/31/2010		9/30/2011 (Unaudited)		12/31/2010		9/30/2011 (Unaudited)		12/31/2010
ASSETS
Cash and cash equivalents	$	144,313	$	275,485	$	88,159	$	175,096	$	221,582	$	196,091
U.S. Treasury securities, at fair value		396,954		2,009,673		255,133		485,541		551,798		597,700
Custom time deposits		1,778,589		11,378,050		1,143,147		2,748,960		2,472,379		3,383,966
Receivable from futures commission merchants		—		678,208		—		—		—		—
Open trade equity, at fair value		—		27,098		—		—		—		—
Swap Contracts, at fair value		2,042		5,668,768		1,313		790,796		2,839		—
Investments in unconsolidated trading companies, at fair value		2,423,197		—		—		—		828,990		992,837
Interest receivable		1,805		27,428		1,160		6,627		2,509		8,157
Interest receivable from Managing Owner		1,566		—		—		—		—		—
Receivable from related parties		—		—		—		—		—		1,440
Other assets		8		28		85		61		—		3
Total Assets	$	4,748,474	$	20,064,738	$	1,488,997	$	4,207,081	$	4,080,097	$	5,180,194
LIABILITIES & CAPITAL
LIABILITIES
Inter-series payables, at fair value	$	—	$	12,816,775	$	—	$	—	$	—	$	—
Swap Contracts, at fair value		—		—		60,068		—		—		—
Pending owner additions		—		—		—		—		—		1,440
Owner redemptions payable		—		45,220		—		—		—		794
Management fees payable to Managing Owner		—		13,860		2,670		4,634		7,549		10,789
Interest payable to Managing Owner		—		24,379		848		1,760		1,552		2,212
Trading fees payable to Managing Owner		1,917		8,409		690		1,750		1,627		2,154
Trailing service fees payable to Managing Owner		6,749		11,273		947		5,599		631		2,338
Payables to related parties		4,623		5,298		18,737		90		—		—
Other liabilities		320		124		4		17		51		4
Total Liabilities		13,609		12,925,338		83,964		13,850		11,410		19,731
CAPITAL
Managing Owner Units—Class 2		2,603		2,791		35,919		51,212		2,289,497		2,375,149
Limited Owner Units—Class 1		4,617,403		6,381,882		510,371		3,348,953		394,172		1,388,452
Limited Owner Units—Class 2		114,859		754,727		84,213		793,066		1,014,727		1,396,862
Limited Owner Units—Class 3		—		—		774,530		—		370,291		—
Total Owners’ Capital		4,734,865		7,139,400		1,405,033		4,193,231		4,068,687		5,160,463
Non-Controlling Interests		—		—		—		—		—		—
Total Capital		4,734,865		7,139,400		1,405,033		4,193,231		4,068,687		5,160,463
Total Liabilities and Capital	$	4,748,474	$	20,064,738	$	1,488,997	$	4,207,081	$	4,080,097	$	5,180,194
Units Outstanding
Class 1		64,031		80,694		6,317		35,587		3,210		11,770
Class 2		1,320		7,938		1,329		8,141		24,108		29,084
Class 3 (1)		N/A		N/A		8,570		N/A		2,702		N/A
Net Asset Value per Unit
Class 1	$	72.11	$	79.09	$	80.80	$	94.11	$	122.81	$	117.96
Class 2	$	88.97	$	95.43	$	90.38	$	103.71	$	137.06	$	129.69
Class 3 (1)		N/A		N/A	$	90.38		N/A	$	137.06		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.

6

The Frontier Fund

Statements of Financial Condition

September 30, 2011 and December 31, 2010

	Winton Series				Winton/Graham Series
	9/30/2011 (Unaudited)		12/31/2010		9/30/2011 (Unaudited)		12/31/2010
ASSETS
Cash and cash equivalents	$	2,521,430	$	1,808,624	$	1,709,636	$	1,352,481
U.S. Treasury securities, at fair value		8,266,000		8,020,509		5,251,865		7,045,351
Custom time deposits		37,036,569		45,409,259		23,531,463		39,888,265
Receivable from futures commission merchants		—		—		—		11,090,076
Open trade equity, at fair value		—		—		—		1,427,138
Swap Contracts, at fair value		42,528		—		27,020		—
Investments in unconsolidated trading companies, at fair value		3,984,008		6,222,907		4,733,258		3,383,251
Interest receivable		37,582		109,462		23,878		96,154
Other assets		101		117		85		111
Total Assets	$	51,888,218	$	61,570,878	$	35,277,205	$	64,282,827
LIABILITIES & CAPITAL
LIABILITIES
Owner redemptions payable	$	19,049	$	8,782	$	—	$	61,838
Incentive fees payable to Managing Owner		470,431		467,341		181,052		623,629
Management fees payable to Managing Owner		96,894		122,675		88,627		168,136
Interest payable to Managing Owner		85,116		102,270		58,904		97,293
Trading fees payable to Managing Owner		21,022		25,245		14,592		24,127
Trailing service fees payable		79,027		99,085		63,840		103,698
Payables to related parties		19,239		25,385		7,578		12,309
Other liabilities		771		658		640		1,001
Total Liabilities		791,549		851,441		415,233		1,092,031
CAPITAL
Managing Owner Units—Class 2		34,246		230,781		59,656		61,691
Limited Owner Units—Class 1		39,365,083		49,350,981		28,232,072		45,898,246
Limited Owner Units—Class 2		11,697,340		11,137,675		6,570,244		11,550,501
Total Owners’ Capital		51,096,669		60,719,437		34,861,972		57,510,438
Non-Controlling Interests		—		—		—		5,680,358
Total Capital		51,096,669		60,719,437		34,861,972		63,190,796
Total Liabilities and Capital	$	51,888,218	$	61,570,878	$	35,277,205	$	64,282,827
Units Outstanding
Class 1		277,090		365,451		249,162		383,032
Class 2		70,813		73,827		47,599		80,620
Net Asset Value per Unit
Class 1	$	142.07	$	135.04	$	113.31	$	119.83
Class 2	$	165.67	$	153.99	$	139.29	$	144.04

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

7

The Frontier Fund

Condensed Schedules of Investments

September 30, 2011

(Unaudited)

	Frontier Diversified  Series					Frontier Dynamic Series  (3)					Frontier Long/Short Commodity  Series						Frontier Masters  Series
Description	Value		% of Total  Capital (Net Asset Value)			Value		% of Total  Capital (Net Asset Value)			Value			% of Total  Capital (Net Asset Value)			Value			% of Total  Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	15,536,565			16.31	%	$	(166,254	)		-0.29%
Silver @ COMEX Settling 12/1/13 (Number of Contracts: 264)		—		0.00	%		—		0.00	%		(16,793,040	)		-17.62	%		—			0.00%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		(2,602,883	)		-2.73	%		(336,757	)		-0.60%
Copper @ LME Settling 10/1/11 (Number of Contracts: 17)		—		0.00	%		—		0.00	%		(1,062,352	)		-1.11	%		—			0.00%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		(502,841	)		-0.53	%		(53,082	)		-0.09%
Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		1,298,924			1.36	%		10,115			0.02%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%		3,146			0.01%
Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		(738,820	)		-0.78	%		(11,110	)		-0.02%
Light Crude Oil Settling 11/1/11 (Number of Contracts: 1,424)		—		0.00	%		—		0.00	%		(3,994,434	)		-4.19	%		—			0.00%
Light Crude Oil Settling 1/1/12 (Number of Contracts: 659)		—		0.00	%		—		0.00	%		(3,136,884	)		-3.29	%		—			0.00%
Light Crude Oil Settling 11/1/12 (Number of Contracts: 902)		—		0.00	%		—		0.00	%		(19,370,306	)		-20.33	%		—			0.00%
Light Crude Oil Settling 1/1/13 (Number of Contracts: 912)		—		0.00	%		—		0.00	%		(18,652,803	)		-19.58	%		—			0.00%
Light Crude Oil Settling 9/1/13 (Number of Contracts: 968)		—		0.00	%		—		0.00	%		(16,091,640	)		-16.89	%		—			0.00%
Light Crude Oil Settling 11/1/13 (Number of Contracts: 708)		—		0.00	%		—		0.00	%		(11,487,320	)		-12.06	%		—			0.00%
Light Crude Oil Settling 1/1/14 (Number of Contracts: 814)		—		0.00	%		—		0.00	%		(11,345,040	)		-11.91	%		—			0.00%
Heating Oil Settling 1/1/12 (Number of Contracts: 1,268)		—		0.00	%		—		0.00	%		(8,056,297	)		-8.45	%		—			0.00%
NYM RBOB Gas Settling 1/1/12 (Number of Contracts: 672)		—		0.00	%		—		0.00	%		(6,576,192	)		-6.90	%		—			0.00%
NYM RBOB Gas Settling 2/1/12 (Number of Contracts: 443)		—		0.00	%		—		0.00	%		(5,132,320	)		-5.39	%		—			0.00%
NYM RBOB Gas Settling 3/1/12 (Number of Contracts: 148)		—		0.00	%		—		0.00	%		(1,429,987	)		-1.50	%		—			0.00%
NYM RBOB Gas Settling 6/1/12 (Number of Contracts: 746)		—		0.00	%		—		0.00	%		(9,321,270	)		-9.78	%		—			0.00%
Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		(747,400	)		-0.78	%		—			0.00%
ICE Brent Crude Oil Settling 12/1/13 (Number of Contracts: 866)		—		0.00	%		—		0.00	%		(11,011,240	)		-11.56	%		—			0.00%
Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		82,875			0.09	%		18,586			0.03%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%		240			0.00%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%		(37,329	)		-0.07%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%		23			0.00%
Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		(17,506,500	)		-18.37	%		—			0.00%
Various precious metals futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%		—			0.00%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		(6,107,798	)		-6.41	%		(31,013	)		-0.05%
Coffee @ CSCE Settling 9/1/12 (Number of Contracts: 325)		—		0.00	%		—		0.00	%		(4,962,322	)		-5.21	%		—			0.00%
Corn Setttling 12/1/12 (Number of Contracts: 2,076)		—		0.00	%		—		0.00	%		(3,849,833	)		-4.04	%		—			0.00%
Soybeans Settling 11/1/11 (Number of Contracts: 1,375)		—		0.00	%		—		0.00	%		(5,305,045	)		-5.57	%		—			0.00%
Suger #11 Settling 5/1/12 (Number of Contracts: 357)		—		0.00	%		—		0.00	%		(1,355,218	)		-1.42	%		—			0.00%
Wheat Settling 12/1/11 (Number of Contracts: 818)		—		0.00	%		—		0.00	%		(5,367,850	)		-5.63	%		—			0.00%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		(29,985	)		-0.03	%		1,454			0.00%
Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		(24,000	)		-0.03	%		—			0.00%
Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		(3,450	)		0.00	%		—			0.00%
Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	(175,646,706	)		-184.33	%	$	(601,981	)		-1.06%
LONG OPTIONS *	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%	$	—			0.00%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	(1,263,813	)		-1.33	%	$	124,088			0.22%
Silver @ COMEX Settling 12/1/12 (Number of Contracts: 256)		—		0.00	%		—		0.00	%		2,140,846			2.25	%		—			0.00%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		3,293,791			3.46	%		328,684			0.58%
Copper @ LME Settling 10/1/12 (Number of Contracts: 17)		—		0.00	%		—		0.00	%		994,737			1.04	%		—			0.00%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		18,475			0.02	%		17,582			0.03%
Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		(3,018,800	)		-3.17	%		29,531			0.05%
Eurodollar Settling 12/1/17 (Number of Contracts: 1,008)		—		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	%		930,199			0.98	%		161,850			0.29%
Light Crude Oil Settling 12/1/11 (Number of Contracts: 2,044)		—		0.00	%		—		0.00	%		6,937,573			7.28	%		—			0.00%
Light Crude Oil Settling 12/1/12 (Number of Contracts: 1,253)		—		0.00	%		—		0.00	%		26,455,538			27.76	%		—			0.00%
Light Crude Oil Settling 6/1/13 (Number of Contracts: 484)		—		0.00	%		—		0.00	%		8,229,840			8.64	%		—			0.00%
Light Crude Oil Settling 12/1/13 (Number of Contracts: 2,308)		—		0.00	%		—		0.00	%		32,349,840			33.95	%		—			0.00%
Heating Oil Settling 12/1/11 (Number of Contracts: 1,268)		—		0.00	%		—		0.00	%		7,866,062			8.26	%		—			0.00%
NYM RBOB Gas Settling 12/1/11 (Number of Contracts: 2,083)		—		0.00	%		—		0.00	%		17,291,198			18.15	%		—			0.00%
Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		26,965			0.03	%		—			0.00%
ICE Brent Crude Oil Settling 12/1/12 (Number of Contracts: 1,014		—		0.00	%		—		0.00	%		13,613,060			14.29	%		—			0.00%
Various energy futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%		—			0.00%
Various interest rates futures contracts (US)		—		0.00	%		—		0.00	%		—			0.00	%		23,457			0.04%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%		2,340			0.00%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		30,635			0.03	%		4,567			0.01%
Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		2,690,921			2.82	%		—			0.00%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		223,090			0.23	%		150,284			0.27%
Coffee @ CSCE Settling 3/1/12 (Number of Contracts: 57)		—		0.00	%		—		0.00	%		1,275,624			1.34	%		—			0.00%
Coffee @ CSCE Settling 5/1/12 (Number of Contracts: 301)		—		0.00	%		—		0.00	%		4,698,329			4.93	%		—			0.00%
Corn Settling 12/1/11 (Number of Contracts: 705)		—		0.00	%		—		0.00	%		5,794,424			6.08	%		—			0.00%
Corn Settling 3/1/12 (Number of Contracts: 381)		—		0.00	%		—		0.00	%		2,036,542			2.14	%		—			0.00%
Corn Settling 7/1/12 (Number of Contracts: 963)		—		0.00	%		—		0.00	%		6,922,858			7.27	%		—			0.00%
Corn Settling 9/1/12 (Number of Contracts: 504)		—		0.00	%		—		0.00	%		2,937,251			3.08	%		—			0.00%
Soybeans Settling 1/1/12 (Number of Contracts: 1,329)		—		0.00	%		—		0.00	%		5,133,239			5.39	%		—			0.00%
Sugar #11 Settling 3/1/12 (Number of Contracts: 368)		—		0.00	%		—		0.00	%		1,020,495			1.07	%		—			0.00%
Various soft futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%		20,341			0.04%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		37,700			0.04	%		7,712			0.01%
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	%		2,263			0.00%
Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%		(5,826	)		-0.01%
Total Short Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	148,666,617			156.06	%	$	866,873			1.53%
SHORT OPTIONS *	$	—		0.00	%	$	—		0.00	%	$	(49,680	)		-0.05	%	$	—			0.00%
CURRENCY FORWARDS *	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%	$	—			0.00%
Total Open Trade Equity (Deficit)	$	—		0.00	%	$	—		0.00	%	$	(27,029,769	)		-28.32	%	$	264,892			0.47%
SWAPS(1)	$	81,577		0.06	%	$	—		0.00	%	$	32,087			0.03	%	$	40,895			0.07%
Total Return Option Basket Swap (Termination date 6/6/14)		5,173,610		3.74	%		—		0.00	%		—			0.00	%		—			0.00%
Total Swaps	$	5,255,187		3.80	%	$	—		0.00	%	$	32,087			0.03	%	$	40,895			0.07%
U.S. TREASURY SECURITIES FACE VALUE	Fair Value					Fair Value					Fair Value						Fair Value
$36,500,000.00US Treasury Note 3.875% due 02/15/2013 (Cost $38,125,391) (2)	$	7,664,638		5.54	%	$	—		0.00	%	$	3,014,786			3.16	%	$	3,842,347			6.79%
$36,700,000.00US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		8,191,247		5.93	%		—		0.00	%		3,221,922			3.38	%		4,106,341			7.26%
	$	15,855,885		11.47	%	$	—		0.00	%	$	6,236,708			6.54	%	$	7,948,688			14.05%
Additional Disclosure on U.S. Treasury Securities	Face Value					Face Value					Face Value						Face Value
US Treasury Note 3.875% due 02/15/2013 (2)	$	7,303,134				$	—				$	2,872,594					$	3,661,122
US Treasury Note 4.000% due 02/15/2015 (2)		7,343,152					—					2,888,334						3,681,183
	$	14,646,286				$	—				$	5,760,928					$	7,342,305
	Cost					Cost					Cost						Cost
US Treasury Note 3.875% due 02/15/2013 (2)	$	7,628,352				$	—				$	3,000,514					$	3,824,157
US Treasury Note 4.000% due 02/15/2015 (2)		7,606,472					—					2,991,908						3,813,188
	$	15,234,824				$	—				$	5,992,422					$	7,637,345

* 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 upon ownership in the cash management pool.

(3) The Frontier Dynamic Series ceased trading operations on July 15, 2011 and redeemed all existing Units. The Series remains active.

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

8

The Frontier Fund

Condensed Schedules of Investments

September 30, 2011

(Unaudited)

	Balanced Series						Berkeley/Graham/Tiverton Series (3)					Currency Series					Long Only Commodity Series
				% of Total Capital					% of Total Capital					% of Total Capital						% of Total Capital
Description	Value			(Net Asset Value)			Value		(Net Asset Value)			Value		(Net Asset Value)			Value			(Net Asset Value)
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	(994,760	)		-0.32	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
Aluminum Settling 12/21/11 (Number of Contracts: 243)		(3,197,101	)		-1.02	%		—		0.00	%		—		0.00	%		—			0.00	%
Various base metals futures contracts (Europe)		(26,536,433	)		-8.48	%		—		0.00	%		—		0.00	%		—			0.00	%
Copper @ LME Settling 12/21/11 (Number of Contracts: 409)		(15,406,932	)		-4.92	%		—		0.00	%		—		0.00	%		—			0.00	%
Various currency futures contracts (U.S.)		(104,267	)		-0.03	%		—		0.00	%		—		0.00	%		—			0.00	%
Various currency futures contracts (Europe)		88,404			0.03	%		—		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.)		(2,234,109	)		-0.71	%		—		0.00	%		—		0.00	%		—			0.00	%
Various energy futures contracts (Europe)		(4,842,390	)		-1.55	%		—		0.00	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (U.S.)		232,786			0.07	%		—		0.00	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (Canada)		409,355			0.13	%		—		0.00	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (Europe)		748,378			0.24	%		—		0.00	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (Far East)		(436,256	)		-0.14	%		—		0.00	%		—		0.00	%		—			0.00	%
Various precious metals futures contracts (U.S.)		(832,402	)		-0.27	%		—		0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (U.S.)		(2,441,861	)		-0.78	%		—		0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (Europe)		(41,235	)		-0.01	%		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (U.S.)		(1,723,645	)		-0.55	%		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Canada)		(1,763	)		0.00	%		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Europe)		(500,832	)		-0.16	%		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Far East)		1,592			0.00	%		—		0.00	%		—		0.00	%		—			0.00	%
Total Long Futures Contracts	$	(57,813,471	)		-18.47	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
LONG OPTIONS *	$	31,864,806			10.18	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
Copper @ LME setting 12/1/11, Put @ 8,000 (Number of Contracts: 180)		5,389,065			1.72	%		—		0.00	%		—		0.00	%		—			0.00	%
Copper @ LME setting 12/1/11, Put @ 9,000 (Number of Contracts: 250)		12,837,063			4.10	%		—		0.00	%		—		0.00	%		—			0.00	%
Total Long Options	$	50,090,934			16.00	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	4,417,934			1.41	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
Various base metals futures contracts (Europe)		25,669,349			8.20	%		—		0.00	%		—		0.00	%		—			0.00	%
Copper @ LME Settling 12/21/11 (Number of Contracts: 174)		6,214,360			1.99	%		—		0.00	%		—		0.00	%		—			0.00	%
Copper @ LME Settling 6/20/12 (Number of Contracts: 48)		3,165,900			1.01	%		—		0.00	%		—		0.00	%		—			0.00	%
Various currency futures contracts (US)		65,309			0.02	%		—		0.00	%		—		0.00	%		—			0.00	%
Various currency futures contracts (Europe)		759,397			0.24	%		—		0.00	%		—		0.00	%		—			0.00	%
Various energy futures contracts (U.S.)		2,721,673			0.87	%		—		0.00	%		—		0.00	%		—			0.00	%
Various energy futures contracts (Europe)		4,082,560			1.30	%		—		0.00	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (U.S.)		(195,143	)		-0.06	%		—		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)		167,630			0.54	%		—		0.00	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (Far East)		5,966			0.00	%		—		0.00	%		—		0.00	%		—			0.00	%
Various precious metals futures contracts (U.S.)		379,787			0.12	%		—		0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (U.S.)		2,819,148			0.90	%		—		0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (Europe)		299,895			0.10	%		—		0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (Far East)		113,840			0.04	%		—		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.)		26,809			0.01	%		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Canada)		8,055			0.00	%		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Europe)		26,325			0.01	%		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Far East)		(30,698	)		-0.01	%		—		0.00	%		—		0.00	%		—			0.00	%
Total Short Futures Contracts	$	50,718,096			16.69	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
SHORT OPTIONS *	$	(10,657,211	)		-3.41	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
Copper @ LME setting 12/1/11, Put @ 8,500 (Number of Contracts: 136)		(5,084,428	)		-1.62	%		—		0.00	%		—		0.00	%		—			0.00	%
Total Long Options	$	(15,741,639	)		-5.03	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
CURRENCY FORWARDS *	$	852,642			0.27	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
Total Open Trade Equity	$	28,106,562			9.46	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
SWAPS (1)	$	147,997			0.05	%	$	29,414		0.07	%	$	2,042		0.04	%	$	1,313			0.09	%
Total Return Option Basket Swap (Termination date 11/6/12)		17,859,447			5.71	%		—		0.00	%		—		0.00	%		—			0.00	%
Total Return Option Basket Swap (Termination date 6/6/14)		7,908,750			2.53	%		—		0.00	%		—		0.00	%		—			0.00	%
Total Return Option Basket Swap (Termination date 6/30/16)		6,059,225			1.94	%		—		0.00	%		—		0.00	%		—			0.00	%
Reuters/Jeffries CRB Index (Termination date 2/28/11)		—			0.00	%		—		0.00	%		—		0.00	%		(30,063	)		-2.14	%
Jeffries Commodity Performance Index (Termination date 2/28/11)		—			0.00	%		—		0.00	%		—		0.00	%		(30,005	)		-2.14	%
Total Swaps	$	31,975,419			10.23	%	$	29,414		0.07	%	$	2,042		0.04	%	$	(58,755	)		-4.19	%
Investment in Berkeley Quantitative Colorado Fund, LLC (Cost of $8,487,603)	$	—			0.00	%	$	6,242,018		13.86	%	$	—		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)	$	13,904,975			4.44	%	$	2,763,590		6.14	%	$	191,885		4.05	%	$	123,330			8.78	%
$36,700,000.00  US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		14,860,637			4.75	%		2,953,466		6.56	%		205,069		4.33	%		131,803			9.38	%
	$	28,765,612			9.19	%	$	5,717,056		12.70	%	$	396,954		8.38	%	$	255,133			18.16	%
Additional Disclosure on U.S. Treasury Securities	Face Value						Face Value					Face Value					Face Value
US Treasury Note 3.875% due 02/15/2013 (2)	$	13,249,146					$	2,633,245				$	182,835				$	117,513
US Treasury Note 4.000% due 02/15/2015 (2)		13,321,744						2,647,674					183,837					118,157
	$	26,570,890					$	5,280,919				$	366,672				$	235,670
	Cost						Cost					Cost					Cost
US Treasury Note 3.875% due 02/15/2013 (2)	$	13,839,148					$	2,750,507				$	190,977				$	122,746
US Treasury Note 4.000% due 02/15/2015 (2)		13,799,453						2,742,617					190,429					122,394
	$	27,638,601					$	5,493,124				$	381,406				$	245,140

* Except of 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 upon ownership in the cash management pool.

(3) Formerly the Cambell/Graham/Tiverton Series

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

9

The Frontier Fund

Condensed Schedules of Investments

Sepetmber 30, 2011

(Unaudited)

	Managed Futures  Index Series					Winton Series					Winton/Graham Series
Description	Value		%  of Total Capital (Net Asset Value)			Value		%  of Total Capital (Net Asset Value)			Value		%  of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%
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	%		—		0.00	%
Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%
Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%
Various precious metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%
Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
LONG OPTIONS *	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (US)	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (US)		—		0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%
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 (US)		—		0.00	%		—		0.00	%		—		0.00	%
Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (US)		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%
Various precious metals futures contracts (US)		—		0.00	%		—		0.00	%		—		0.00	%
Various soft futures contracts (US)		—		0.00	%		—		0.00	%		—		0.00	%
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	%		—		0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%
Total Short Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
SHORT OPTIONS *	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
CURRENCY FORWARDS *	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
Total Open Trade Equity	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
SWAPS (1)	$	2,839		0.01	%	$	42,528		0.08	%	$	27,020		0.08	%

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)	$	266,736	6.56	%	$	3,995,734	7.82	%	$	2,538,719	7.28	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		285,062	7.01	%		4,270,266	8.36	%		2,713,146	7.78	%
		$	551,798	13.57	%	$	8,266,000	16.18	%	$	5,251,865	15.06	%
Additional Disclosure on U.S. Treasury Securities		Face Value				Face Value				Face Value
	US Treasury Note 3.875% due 02/15/2013 (2)	$	254,155			$	3,807,275			$	2,418,980
	US Treasury Note 4.000% due 02/15/2015 (2)		255,548				3,828,136				2,432,235
		$	509,703			$	7,635,411			$	4,851,215
		Cost				Cost				Cost
	US Treasury Note 3.875% due 02/15/2013 (2)	$	265,473			$	3,976,817			$	2,526,701
	US Treasury Note 4.000% due 02/15/2015 (2)		264,712				3,965,411				2,519,454
		$	530,185			$	7,942,228			$	5,046,154

* 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 upon ownership in the cash management pool.

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

10

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)
Total Return Option Basket Swap (Termination date 6/6/14)	$	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 (2)	$	6,277,315			$	1,288,813			$	3,134,358			$	1,633,099
	US Treasury Note 4.000% due 02/15/2015 (2)		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 (2)	$	6,556,852			$	1,346,206			$	3,273,935			$	1,705,823
	US Treasury Note 4.000% due 02/15/2015 (2)		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, Not e 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

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)
Option Basket Balanced Series(Termination date 11/6/12)	$	49,811,462			11.63	%	$	—		0.00	%	$	—			0.00	%	$	—		0.00%
Option Basket Currency Series (Termination date 1/26/13)		—			0.00	%		—		0.00	%		5,668,768			79.40	%		—		0.00%
Reuters/Jeffries CRB Index (Termination date 2/28/11)		—			0.00	%		—		0.00	%		—			0.00	%		415,648		9.91%
Jeffries Commodity Performance Index (Termination date 2/28/11)		—			0.00	%		—		0.00	%		—			0.00	%		375,148		8.95%
Total Swaps	$	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
$36,500,000.00US 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%
$36,700,000.00US 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 (2)	$	12,560,178					$	3,237,497				$	926,188					$	223,769
US Treasury Note 4.000% due 02/15/2015 (2)		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 (2)	$	13,119,498					$	3,381,666				$	967,432					$	233,733
US Treasury Note 4.000% due 02/15/2015 (2)		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 upon ownership in the cash management pool.

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

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

12

The Frontier Fund

Condensed Schedules of Investments

December 31, 2010

	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	%	$	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 ) (1)	$	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 ) (1)		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 (1)	$	275,459			$	3,696,370			$	3,246,954
	US Treasury Note 4.000% due 02/15/2015 (1)		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 (1)	$	287,725			$	3,860,974			$	3,391,545
	US Treasury Note 4.000% due 02/15/2015 (1)		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) 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.

13

The Frontier Fund

Statements of Operations

For the Nine Months Ended September 30, 2011 and 2010

	Frontier Diversified						Frontier Dynamic						Frontier Long/Short
	Series						Series (1)						Commodity Series
	(Unaudited)						(Unaudited)						(Unaudited)
	9/30/2011			9/30/2010			9/30/2011			9/30/2010			9/30/2011			9/30/2010
Investment Income:
Interest—net	$	1,789,859		$	1,574,200		$	250,426		$	339,411		$	1,044,384		$	824,875
Total Income		1,789,859			1,574,200			250,426			339,411			1,044,384			824,875
Expenses:
Incentive Fees		4,386,760			2,307,523			—			—			2,744,245			1,337,973
Management Fees		1,469,361			751,117			—			—			2,781,137			2,461,217
Service Fees—Class 1		1,393,776			981,435			51,746			66,679			673,297			899,900
Trading Fees		2,675,921			1,809,334			376,388			509,687			536,554			298,406
Total Expenses		9,925,818			5,849,409			428,134			576,366			6,735,233			4,997,496
Investment income/(loss)—net		(8,135,959	)		(4,275,209	)		(177,708	)		(236,955	)		(5,690,849	)		(4,172,621	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		—			59,525			—			—			2,083,218			(24,029,653	)
Net change in open trade equity/(deficit)		—			(705,094	)		—			—			(603,159	)		18,487,270
Net realized gain/(loss) on swap contracts		(308,941	)		—			(2,151,434	)		—			—			—
Net unrealized gain/(loss) on swap contracts		(4,032,004	)		73,268			1,311,976			412,897			(20,878	)		—
Net unrealized gain/(loss) on U.S. Treasury securities		94,249			509,695			13,534			111,227			57,006			314,203
Trading commissions		—			(13,917	)		—			—			(19,674	)		(444,193	)
Net change in inter-series payables		—			(177,180	)		941,000			(279,178	)		—			—
Change in fair value of investments in unconsolidated trading companies		9,265,359			11,139,010			—			—			10,677,573			9,729,242
Net gain/(loss) on investments		5,018,663			10,885,307			115,076			244,946			12,174,086			4,056,869
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	(3,117,296	)	$	6,610,098		$	(62,632	)	$	7,991		$	6,483,237		$	(115,752	)
Less: Operations attributable to non-controlling interests		—			(157,005	)		—			—			2,188,871			(2,913,121	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(3,117,296	)	$	6,767,103		$	(62,632	)	$	7,991		$	4,294,366		$	2,797,369
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(3.11	)	$	3.89		$	(3.89	)	$	(0.28	)	$	3.87		$	3.78
Class 1a		N/A			N/A			N/A			N/A		$	3.71		$	3.73
Class 2	$	(1.84	)	$	5.26		$	(3.14	)	$	0.93		$	8.05		$	7.22
Class 2a		N/A			N/A			N/A			N/A		$	5.45		$	5.13
Class 3		N/A			N/A			N/A			N/A		$	8.04		$	7.22

(1) The Frontier Dynamic Series ceased trading operations on July 15, 2011 and redeemed all existing Units. The Series remains active.

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

14

The Frontier Fund

Statements of Operations

For the Nine Months Ended September 30, 2011 and 2010

	Frontier Masters Series						Balanced Series						Berkeley/Graham/Tiverton Series (1)
	(Unaudited)						(Unaudited)						(Unaudited)
	9/30/2011			9/30/2010			9/30/2011			9/30/2010			9/30/2011			9/30/2010
Investment Income:
Interest—net	$	753,268		$	775,234		$	364,715		$	356,093		$	72,116		$	3,071
Total Income/(loss)		753,268			775,234			364,715			356,093			72,116			3,071
Expenses:
Incentive Fees		805,663			274,130			11,575,647			10,520,127			29,678			—
Management Fees		1,094,180			767,223			1,922,751			1,607,205			948,867			1,771,056
Service Fees—Class 1		624,864			456,099			5,638,744			6,380,801			1,144,674			1,441,933
Trading Fees		1,095,725			1,117,972			1,280,779			1,324,659			212,756			270,272
Total Expenses		3,620,432			2,615,424			20,417,921			19,832,792			2,335,975			3,483,261
Investment income/(loss)—net		(2,867,164	)		(1,840,190	)		(20,053,206	)		(19,476,699	)		(2,263,859	)		(3,480,190	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(3,255,629	)		—			(10,804,108	)		2,214,079			—			2,536,629
Net change in open trade equity/(deficit)		264,892			—			(4,179,800	)		13,608,273			—			2,115,828
Net realized gain/(loss) on swap contracts		2,070,356			—			6,689,123			—			—			—
Net unrealized gain/(loss) on swap contracts		(1,633,412	)		1,858,000			(21,105,042	)		5,073,412			(15,816	)		—
Net unrealized gain/(loss) on U.S. Treasury securities		38,493			250,954			146,835			1,089,019			26,388			262,708
Trading commissions		(53,453	)		—			(3,747,289	)		(2,836,771	)		—			(62,407	)
Net change in inter-series receivables		—			—			(2,475,914	)		2,031,314			—			—
Net change in inter-series payables		—			(829,341	)		—			—			—			—
Change in fair value of investments in unconsolidated trading companies		5,704,419			4,212,559			43,485,703			30,561,875			(1,181,913	)		496,916
Net realized gain/(loss) on investment in Berkeley Quantitative Colorado Fund, LLC		—			—			—			—			(135,775	)		—
Net unrealized gain/(loss) on investment in Berkeley Quantitative Colorado Fund, LLC		—			—			—			—			(2,266,908	)		—
Net gain/(loss) on investments		3,135,666			5,492,172			8,009,508			51,741,201			(3,574,024	)		5,349,674
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	268,502		$	3,651,982		$	(12,043,698	)	$	32,264,502		$	(5,837,883	)	$	1,869,484
Less: Operations attributable to non-controlling interests		(30,211	)		—			(2,488,602	)		5,259,087			—			1,281,754
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	298,713		$	3,651,982		$	(9,555,096	)	$	27,005,415		$	(5,837,883	)	$	587,730
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(0.20	)	$	4.93		$	(5.92	)	$	8.57		$	(11.73	)	$	0.97
Class 1a		N/A			N/A		$	(6.28	)	$	6.92			N/A			N/A
Class 2	$	1.19		$	6.31		$	(3.70	)	$	13.45		$	(11.31	)	$	3.90
Class 2a		N/A			N/A		$	(4.35	)	$	10.56			N/A			N/A
Class 3a		N/A			N/A		$	(4.35	)	$	10.54			N/A			N/A

(1) Formerly known as the Campbell/Graham/Tiverton Series.

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

15

The Frontier Fund

Statements of Operations

For the Nine Months Ended September 30, 2011 and 2010

	Currency Series						Long Only Commodity Series						Managed Futures Index Series
	(Unaudited)						(Unaudited)						(Unaudited)
	9/30/2011			9/30/2010			9/30/2011			9/30/2010			9/30/2011			9/30/2010
Investment Income:
Interest—net	$	59,690		$	97,266		$	53,130		$	63,350		$	63,942		$	26,488
Total Income		59,690			97,266			53,130			63,350			63,942			26,488
Expenses:
Management Fees		80,701			122,172			33,185			39,424			75,033			88,027
Service Fees—Class 1		121,438			166,131			36,025			48,657			10,405			25,598
Trading Fees		53,198			77,390			11,943			14,996			16,117			19,813
Total Expenses		255,337			365,693			81,153			103,077			101,555			133,438
Investment income/(loss)—net		(195,647	)		(268,427	)		(28,023	)		(39,727	)		(37,613	)		(106,950	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(142,069	)		252,605			—			—			—			—
Net realized gain/(loss) on swap contracts		(8,301,000	)		—			(166,237	)		(47,004	)		—			—
Net change in open trade equity		(27,166	)		43,722			—			—			—			—
Net unrealized gain/(loss) on swap contracts		6,325,318			962,169			(1,152	)		—			(1,793	)		—
Net unrealized gain/(loss) on U.S. Treasury securities		(2,363	)		87,264			2,139			20,877			2,578			6,633
Net change in inter-series payables		1,534,914			(745,615	)		—			—			—			—
Net increase from payments by managing owner		390,589			—			—			—			—			—
Change in fair value of investments in unconsolidated trading companies		(94,181	)		—			—			—			189,743			219,536
Net gain/(loss) on investments		(315,958	)		600,145			(165,250	)		(26,127	)		190,528			226,169
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	(511,605	)	$	331,718		$	(193,273	)	$	(65,854	)	$	152,915		$	119,219
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS PER UNIT
Class 1	$	(6.98	)	$	2.91		$	(13.31	)	$	(0.75	)	$	4.85		$	2.02
Class 2	$	(6.46	)	$	5.55		$	(13.33	)	$	0.54		$	7.37		$	4.04
Class 3		N/A			N/A		$	(13.50	)		N/A		$	10.33			N/A

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

16

The Frontier Fund

Statements of Operations

For the Nine Months Ended September 30, 2011 and 2010

	Winton Series						Winton/Graham Series
	(Unaudited)						(Unaudited)
	9/30/2011			9/30/2010			9/30/2011			9/30/2010
Investment Income:
Interest—net	$	327,662		$	191,277		$	159,301		$	208,357
Total Income		327,662			191,277			159,301			208,357
Expenses:
Incentive Fees		813,809			66,904			298,707			97,195
Management Fees		960,130			1,155,722			1,095,659			1,444,104
Service Fees—Class 1		985,426			1,082,808			828,649			1,021,445
Trading Fees		203,804			216,584			169,014			213,476
Total Expenses		2,963,169			2,522,018			2,392,029			2,776,220
Investment (loss)—net		(2,635,507	)		(2,330,741	)		(2,232,728	)		(2,567,863	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		—			—			798,159			(523,400	)
Net change in open trade equity/(deficit)		—			—			(1,521,787	)		1,421,122
Net unrealized gain/(loss) on swap contracts		(23,610	)		—			(16,478	)		—
Net unrealized gain/(loss) on U.S. Treasury securities		35,180			301,766			18,573			281,246
Trading commissions		—			—			(274,394	)		(435,200	)
Change in fair value of investments in unconsolidated trading companies		5,608,238			8,304,191			838,387			4,339,120
Net gain/(loss) on investments		5,619,808			8,605,957			(157,540	)		5,082,888
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	2,984,301		$	6,275,216		$	(2,390,268	)	$	2,515,025
Less: Operations attributable to non-controlling interests		—			—			(470,719	)		328,811
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	2,984,301		$	6,275,216		$	(1,919,549	)	$	2,186,214
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	7.03		$	12.74		$	(6.52	)	$	3.84
Class 2	$	11.68		$	17.38		$	(4.75	)	$	7.50

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

17

The Frontier Fund

Statements of Operations

For the Three Months Ended September 30, 2011 and 2010

	Frontier Diversified						Frontier Dynamic						Frontier Long/Short
	Series						Series (1)						Commodity Series
	(Unaudited)						(Unaudited)						(Unaudited)
	9/30/2011			9/30/2010			9/30/2011			9/30/2010			9/30/2011			9/30/2010
Investment Income:
Interest—net	$	597,834		$	646,659		$	19,575		$	116,249		$	352,489		$	322,967
Total Income		597,834			646,659			19,575			116,249			352,489			322,967
Expenses:
Incentive Fees		1,467,047			1,267,393			—			—			440,077			671,536
Management Fees		519,364			346,547			—			—			910,662			848,660
Service Fees—Class 1		417,549			413,129			3,829			24,121			177,277			278,215
Trading Fees		808,751			767,690			28,182			173,065			207,381			105,479
Total Expenses		3,212,711			2,794,759			32,011			197,186			1,735,397			1,903,890
Investment income/(loss)—net		(2,614,877	)		(2,148,100	)		(12,436	)		(80,937	)		(1,382,908	)		(1,580,923	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		—			—			—			—			2,083,218			—
Net change in open trade equity/(deficit)		—			—			—			—			(603,159	)		—
Net realized gain/(loss) on swap contracts		—			—			(2,151,434	)		—			—			—
Net unrealized gain/(loss) on swap contracts		(3,643,386	)		471,177			1,453,820			615,909			10,516			—
Net unrealized gain/(loss) on U.S. Treasury securities		75,159			172,284			12,008			30,626			51,230			83,741
Trading commissions		—			—			—			—			(19,674	)		—
Net change in inter-series payables		—			—			661,515			(538,834	)		—			—
Change in fair value of investments in unconsolidated trading companies		4,902,725			6,514,961			—			—			389,142			7,810,165
Net gain/(loss) on investments		1,334,498			7,158,422			(24,091	)		107,701			1,911,273			7,893,906
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	(1,280,379	)	$	5,010,322		$	(36,527	)	$	26,764		$	528,365		$	6,312,983
Less: Operations attributable to non-controlling interests		—			—			—			—			2,188,871			—
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(1,280,379	)	$	5,010,322		$	(36,527	)	$	26,764		$	(1,660,506	)	$	6,312,983
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(1.16	)	$	3.18		$	(2.19	)	$	1.36		$	(3.92	)	$	10.30
Class 1a		N/A			N/A			N/A			N/A		$	(3.09	)	$	9.14
Class 2	$	(0.75	)	$	3.69		$	(2.21	)	$	1.79		$	(3.38	)	$	12.73
Class 2a		N/A			N/A			N/A			N/A		$	(2.65	)	$	9.77
Class 3		N/A			N/A			N/A			N/A		$	(3.38	)	$	12.74

(1) The Frontier Dynamic Series ceased trading operations on July 15, 2011 and redeemed all existing Units. The Series remains active.

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

18

The Frontier Fund

Statements of Operations

For the Three Months Ended September 30, 2011 and 2010

	Frontier Masters
	Series						Balanced Series						Berkeley/Graham/Tiverton Series (1)
	(Unaudited)						(Unaudited)						(Unaudited)
	9/30/2011			9/30/2010			9/30/2011			9/30/2010			9/30/2011			9/30/2010
Investment Income:
Interest—net	$	288,132		$	296,656		$	163,059		$	68,974		$	54,940		$	2,477
Total Income/(loss)		288,132			296,656			163,059			68,974			54,940			2,477
Expenses:
Incentive Fees		534,851			251,849			2,903,887			4,587,441			29,678			—
Management Fees		355,001			323,238			664,399			708,595			258,162			595,454
Service Fees—Class 1		193,356			194,727			1,525,660			2,108,525			313,464			466,266
Trading Fees		332,882			436,490			369,151			452,155			58,000			87,185
Total Expenses		1,416,090			1,206,304			5,463,097			7,856,716			659,304			1,148,905
Investment income/(loss)—net		(1,127,958	)		(909,648	)		(5,300,038	)		(7,787,742	)		(604,364	)		(1,146,428	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(1,510,267	)		—			(9,216,280	)		1,328,223			—			1,458,228
Net change in open trade equity/(deficit)		437,801			—			20,476,468			13,136,854			—			2,312,451
Net unrealized gain/(loss) on swap contracts		3,403			1,678,264			(12,258,290	)		3,777,564			5,635			—
Net unrealized gain/(loss) on U.S. Treasury securities		26,009			79,808			136,214			265,923			28,912			65,319
Trading commissions		(19,115	)		—			(1,211,996	)		(1,137,704	)		—			(30,991	)
Net change in inter-series receivables		—			—			(1,673,189	)		1,604,697			—			—
Net change in inter-series payables		—			(826,991	)		—			—			—			—
Change in fair value of investments in unconsolidated trading companies		4,319,388			3,670,520			7,391,498			12,676,981			253,191			1,741,382
Net realized gain/(loss) on investment in Berkeley Quantitative Colorado Fund, LLC		—			—			—			—			—			—
Net unrealized gain/(loss) on investment in Berkeley Quantitative Colorado Fund, LLC		—			—			—			—			(601,629	)		—
Net gain/(loss) on investments		3,257,219			4,601,601			3,644,425			31,652,538			(313,891	)		5,546,389
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	2,129,261		$	3,691,953		$	(1,655,613	)	$	23,864,796		$	(918,255	)	$	4,399,961
Less: Operations attributable to non-controlling interests		(10,821	)		—			7,682,227			5,049,405			—			1,045,155
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	2,140,082		$	3,691,953		$	(9,337,840	)	$	18,815,391		$	(918,255	)	$	3,354,806
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	3.75		$	5.73		$	(4.43	)	$	6.22		$	(2.80	)	$	4.84
Class 1a		N/A			N/A		$	(4.31	)	$	5.25			N/A			N/A
Class 2	$	4.37		$	6.29		$	(4.26	)	$	8.56		$	(1.60	)	$	6.63
Class 2a		N/A			N/A		$	(4.04	)	$	6.90			N/A			N/A
Class 3a		N/A			N/A		$	(4.05	)	$	6.87			N/A			N/A

(1) Formerly known as the Campbell/Graham/Tiverton Series.

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

19

The Frontier Fund

Statements of Operations

For the Three Months Ended September 30, 2011 and 2010

							Long Only						Managed Futures
	Currency Series						Commodity Series						Index Series
	(Unaudited)						(Unaudited)						(Unaudited)
	9/30/2011			9/30/2010			9/30/2011			9/30/2010			9/30/2011			9/30/2010
Investment Income:
Interest—net	$	5,231		$	29,500		$	13,511		$	19,768		$	18,960		$	11,074
Total Income		5,231			29,500			13,511			19,768			18,960			11,074
Expenses:
Management Fees		1,673			41,317			8,545			12,434			24,397			31,077
Service Fees—Class 1		35,747			52,636			5,962			15,600			1,945			8,259
Trading Fees		7,548			25,650			2,766			4,735			4,790			6,860
Total Expenses		44,968			119,603			17,273			32,769			31,132			46,196
Investment income/(loss)—net		(39,737	)		(90,103	)		(3,762	)		(13,001	)		(12,172	)		(35,122	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		27,976			(40,159	)		—			—			—			—
Net realized gain/(loss) on swap contracts		(8,301,000	)		—			(234,909	)		384,577			—			—
Net change in open trade equity		(2,759	)		29,630			—			—			—			—
Net unrealized gain/(loss) on swap contracts		6,832,263			409,049			547			—			331			—
Net unrealized gain/(loss) on U.S. Treasury securities		(2,689	)		22,056			2,268			5,199			1,977			2,088
Net change in inter-series payables		1,011,674			(238,872	)		—			—			—			—
Net increase from payments by Managing Owner		390,589			—			—			—			—			—
Change in fair value of investments in unconsolidated trading companies		(94,181	)		—			—			—			665,343			27,078
Net gain/(loss) on investments		(138,127	)		181,704			(232,094	)		389,776			667,651			29,166
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	(177,864	)	$	91,601		$	(235,856	)	$	376,775		$	655,479		$	(5,956	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS PER UNIT
Class 1	$	(2.63	)	$	0.89		$	(13.08	)	$	7.63		$	18.86		$	(0.45	)
Class 2	$	(2.57	)	$	1.78		$	(14.10	)	$	8.79		$	21.63		$	0.14
Class 3		N/A			N/A		$	(14.10	)		N/A		$	21.64			N/A

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

20

The Frontier Fund

Statements of Operations

For the Three Months Ended September 30, 2011 and 2010

	Winton Series						Winton/Graham Series
	(Unaudited)						(Unaudited)
	9/30/2011			9/30/2010			9/30/2011			9/30/2010
Investment Income:
Interest—net	$	118,397		$	98,828		$	64,449		$	69,885
Total Income		118,397			98,828			64,449			69,885
Expenses:
Incentive Fee		565,219			66,904			227,833			97,195
Management Fees		309,397			381,662			283,356			488,971
Service Fees—Class 1		300,670			361,796			223,405			336,344
Trading Fees		63,844			72,608			45,550			70,396
Total Expenses		1,239,130			882,970			780,144			992,906
Investment (loss)—net		(1,120,733	)		(784,142	)		(715,695	)		(923,021	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		—			—			—			(184,898	)
Net change in open trade equity/(deficit)		—			—			—			2,653,269
Net unrealized gain/(loss) on swap contracts		4,232			—			3,771			—
Net unrealized gain/(loss) on U.S. Treasury securities		29,362			80,813			21,809			73,311
Trading commissions		—			—			—			(134,492	)
Change in fair value of investments in unconsolidated trading companies		4,843,717			2,345,578			614,410			1,299,044
Net gain/(loss) on investments		4,877,311			2,426,391			639,990			3,706,234
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	3,756,578		$	1,642,249		$	(75,705	)	$	2,783,213
Less: Operations attributable to non-controlling interests		—			—			—			1,083,498
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	3,756,578		$	1,642,249		$	(75,705	)	$	1,699,715
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	9.94		$	3.43		$	(0.54	)	$	3.20
Class 2	$	12.75		$	4.98		$	0.39		$	4.82

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

21

The Frontier Fund

Statements of Changes in Capital

For the Nine Months Ended September 30, 2011

	Frontier Diversified Series															Frontier Dynamic Series (2)
	(Unaudited)															(Unaudited)
	Class 1			Class 1			Class 2			Class 2						Class 1			Class 1			Class 2			Class 2
	Managing			Limited			Managing			Limited						Managing			Limited			Managing			Limited
	Owner			Owners			Owner			Owners			Total			Owner			Owners			Owner			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		—			23,978,069			200,000			16,023,278			40,201,347			—			165,200			—			41,500			206,700
Redemption of Units		—			(35,264,462	)		(300,000	)		(22,671,187	)		(58,235,649	)		(24,214	)		(1,307,577	)		(25,098	)		(420,101	)		(1,776,990	)
Net increase/(decrease) in Owners’ Capital resulting from operations		(855	)		(2,138,864	)		(31,010	)		(946,567	)		(3,117,296	)		(1,068	)		(51,563	)		(862	)		(9,139	)		(62,632	)
Capital (Net Asset Value), September 30, 2011	$	27,629		$	76,568,390		$	1,496,217		$	60,252,138		$	138,344,374		$	—		$	—		$	—		$	—		$	—
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		—			229,862			1,818			148,796			380,476			—			1,791			—			436			2,227
Redemption of Units		—			(336,590	)		(2,802	)		(210,207	)		(549,599	)		(275	)		(14,778	)		(275	)		(4,543	)		(19,871	)
Capital—Units, September 30, 2011		275			762,122			14,301			575,894			1,352,592			—			—			—			—			—
					(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
Change in net asset value per unit for three months ended June 30, 2011					(4.93	)					(4.63	)								0.52						0.95
Net asset value per unit at June 30, 2011				$	101.63					$	105.37								$	90.24					$	93.47
Change in net asset value per unit for three months ended September 30, 2011					(1.16	)					(0.75	)								(2.19	)					(2.21	)
Net asset value per unit at September 30, 2011				$	100.47					$	104.62								$	88.05	(2)				$	91.26	(2)

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

(2) The Frontier Dynamic Series ceased trading operations on July 15, 2011 and redeemed all existing Units. The Series remains active. Net asset value per unit represents the liquidation value.

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

22

The Frontier Fund

Statements of Changes in Capital

For the Nine Months Ended September 30, 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			Non-Controlling Interests			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		66,006			—			—			14,835,942			—			12,213,295			200,000			6,349,536			—			33,664,779
Redemption of Units		(24,776,644	)		(920,000	)		(6,690,987	)		(12,499,333	)		(20,000	)		(479,047	)		—			(357,845	)		—			(45,743,856	)
Change in control of ownership—Trading Companies		—			—			—			—			—			—			—			—			28,341,047			28,341,047
Contributions		—			—			—			—			—			—			—			—			—			—
Distributions		—			—			—			—			—			—			—			—			(4,643,000	)		(4,643,000	)
Operations attributable to Non-controlling interests		—			—			—			—			—			—			—			—			2,188,871			2,188,871
Net increase/(decrease) in Owners’
Capital resulting from operations		2,519,220			107,794			1,191,375			1,128,324			1,827			(475,800	)		(11,852	)		(166,522	)		—			4,294,366
Capital (Net Asset Value), September 30, 2011	$	8,994,338		$	497,306		$	8,775,854		$	24,463,504		$	14,266		$	16,878,318		$	221,472		$	9,553,671		$	25,886,918		$	95,285,647
Capital—Units, December 31, 2010		234,956			8,544			93,143			137,017			275			47,642			275			30,769			—			552,621
Sale of Units		458			—			—			87,377			—			94,801			1,474			47,414			—			231,524
Redemption of Units		(169,569	)		(5,461	)		(38,740	)		(72,733	)		(158	)		(3,717	)		—			(2,739	)		—			(293,117	)
Capital—Units, September 30, 2011		65,845			3,083			54,403			151,661			117			138,726			1,749			75,444			—			491,028
								(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
Change in net asset value per unit for three months ended June 30, 2011		(7.80	)					(7.85	)		(7.85	)					(6.76	)					(6.41	)
Net asset value per unit at June 30, 2011	$	140.52					$	164.69		$	164.68					$	124.76					$	129.28
Change in net asset value per unit for three months ended September 30, 2011		(3.92	)					(3.38	)		(3.38	)					(3.09	)					(2.65	)
Net asset value per unit at September 30, 2011	$	136.60					$	161.31		$	161.30					$	121.67					$	126.63

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

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

23

The Frontier Fund

Statements of Changes in Capital

For the Nine Months Ended September 30, 2011

	Frontier Masters Series																		Balanced Series
							(Unaudited)												(Unaudited)
	Class 1			Class 1			Class 2			Class 2									Class 1			Class 1a			Class 2						Class 2a						Class 3a
	Managing Owner			Limited Owners			Managing Owner			Limited Owners			Non-Controlling Interests			Total			Limited Owners			Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Limited Owners			Non-Controlling Interests			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		—			7,568,257			—			2,872,037			—			10,440,294			545,789			4,879			—			12,565			—			—			340,885			—			904,118
Redemption of Units		—			(12,661,340	)		(100,000	)		(7,736,689	)		—			(20,498,029	)		(86,531,717	)		(1,568,235	)		(530,000	)		(11,016,131	)		—			(574,437	)		(1,032,661	)		—			(101,253,181	)
Change in control of ownership—Trading Companies		—			—			—			—			—			—			—			—			—			—			—			—			—			17,035,844			17,035,844
Contributions		—			—			—			—			111,000			111,000			—			—			—			—			—			—			—			103,510,000			103,510,000
Distributions		—			—			—			—			(28,800	)		(28,800	)		—			—			—			—			—			—			—			(123,548,928	)		(123,548,928	)
Operations attributable to Non-controlling interests		—			—			—			—			(30,211	)		(30,211	)		—			—			—			—			—			—			—			(2,488,602	)		(2,488,602	)
Net increase/(decrease) in Owners’
Capital resulting from operations attributable to controlling interests		(55	)		60,345			5,220			233,203			—			298,713			(7,922,028	)		(160,398	)		(40,005	)		(1,234,092	)		(5,382	)		(97,715	)		(95,476	)		—			(9,555,096	)
Capital (Net Asset Value), September 30, 2011	$	28,260		$	36,152,622		$	602,058		$	19,733,768		$	51,989		$	56,568,697		$	193,899,554		$	3,396,804		$	2,109,847		$	61,798,218		$	159,998		$	2,724,842		$	2,904,028		$	46,037,998		$	313,031,289
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		—			73,377			—			26,870			—			100,247			4,129			41			—			78			—			—			2,518			—			6,766
Redemption of Units		—			(121,570	)		(959	)		(72,719	)		—			(195,248	)		(646,869	)		(13,190	)		(3,260	)		(67,622	)		—			(4,343	)		(7,677	)		—			(742,961	)
Capital—Units, September 30, 2011		275			351,801			5,627			184,434			—			542,137			1,538,493			30,857			13,546			396,760			1,237			21,073			22,457			—			2,024,423
					(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
Change in net asset value per unit for three months ended June 30, 2011					(4.10	)					(3.79	)								(5.91	)		(5.60	)					(6.00	)					(5.49	)		(5.49	)
Net asset value per unit at June 30, 2011				$	99.01					$	102.63								$	130.46		$	114.39					$	160.02					$	133.35		$	133.36
Change in net asset value per unit for three months ended September 30, 2011					3.75						4.37									(4.43	)		(4.31	)					(4.26	)					(4.04	)		(4.05	)
Net asset value per unit at September 30, 2011				$	102.76					$	107.00								$	126.03		$	110.08					$	155.76					$	129.31		$	129.31

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

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

24

The Frontier Fund

Statements of Changes in Capital

For the Nine Months Ended September 30, 2011

	Berkeley/Graham/Tiverton Series (2)												Currency Series
	Class 1			(Unaudited) Class 2									Class 1			(Unaudited) Class 2
	Limited			Managing			Limited						Limited			Managing			Limited
	Owners			Owner			Owners			Total			Owners			Owner			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		61,898			—			—			61,898			44,970			—			—			44,970
Redemption of Units		(16,524,448	)		(120,000	)		(2,784,273	)		(19,428,721	)		(1,314,813	)		—			(623,087	)		(1,937,900	)
Net increase/(decrease) in Owners’
Capital resulting from operations		(5,311,716	)		(8,045	)		(518,122	)		(5,837,883	)		(494,636	)		(188	)		(16,781	)		(511,605	)
Capital (Net Asset Value), September 30, 2011	$	40,068,730		$	8,483		$	4,947,409		$	45,024,622		$	4,617,403		$	2,603		$	114,859		$	4,734,865
Capital—Units, December 31, 2010		559,848			1,036			62,628			623,512			80,694			29			7,909			88,632
Sale of Units		582			—			—			582			596			—			—			596
Redemption of Units		(154,605	)		(966	)		(21,542	)		(177,113	)		(17,259	)		—			(6,618	)		(23,877	)
Capital—Units, September 30, 2011		405,825			70			41,086			446,981			64,031			29			1,291			65,351
								(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
Change in net asset value per unit for three months ended June 30, 2011		(7.82	)					(8.48	)					(0.85	)					(0.34	)
Net asset value per unit at June 30, 2011	$	100.81					$	122.02					$	74.74					$	91.54
Change in net asset value per unit for three months ended September 30, 2011		(2.08	)					(1.60	)					(2.63	)					(2.57	)
Net asset value per unit at September 30, 2011	$	98.73					$	120.42					$	72.11					$	88.97

(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.

25

The Frontier Fund

Statements of Changes in Capital

For the Nine Months Ended September 30, 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		835			—			—			1,613,778			1,614,613			—			—			—			371,833			371,833
Redemption of Units		(2,780,202	)		(10,000	)		(724,019	)		(695,317	)		(4,209,538	)		(966,065	)		(200,000	)		(419,609	)		(30,850	)		(1,616,524	)
Net increase/(decrease) in Owners’
Capital resulting from operations		(59,215	)		(5,293	)		15,166			(143,931	)		(193,273	)		(28,215	)		114,348			37,474			29,308			152,915
Capital (Net Asset Value), September 30, 2011	$	510,371		$	35,919		$	84,213		$	774,530		$	1,405,033		$	394,172		$	2,289,497		$	1,014,727		$	370,291		$	4,068,687
Capital—Units, December 31, 2010		35,587			494			7,647			—			43,728			11,770			18,314			10,770			—			40,854
Sale of Units		9			—			—			15,310			15,319			—			—			—			2,935			2,935
Redemption of Units		(29,279	)		(97	)		(6,715	)		(6,740	)		(42,831	)		(8,560	)		(1,610	)		(3,366	)		(233	)		(13,769	)
Capital—Units, September 30, 2011		6,317			397			932			8,570			16,216			3,210			16,704			7,404			2,702			30,020
								(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
Change in net asset value per unit for three months ended June 30, 2011		(5.71	)					(5.81	)		(5.81	)					(8.55	)					(8.86	)		(8.87	)
Net asset value per unit at June 30, 2011	$	93.88					$	104.48		$	104.48					$	103.95					$	115.43		$	115.42
Change in net asset value per unit for three months ended September 30, 2011		(13.08	)					(14.10	)		(14.10	)					18.86						21.63			21.64
Net asset value per unit at September 30, 2011	$	80.80					$	90.38		$	90.38					$	122.81					$	137.06		$	137.06

(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.

26

The Frontier Fund

Statements of Changes in Capital

For the Nine Months Ended September 30, 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		200,048			—			—			200,048			91,371			—			—			—			91,371
Redemption of Units		(12,338,804	)		(200,000	)		(268,313	)		(12,807,117	)		(16,009,137	)		—			(4,811,151	)		—			(20,820,288	)
Change in control of ownership—Trading Companies		—			—			—			—			—			—			—			(5,222,639	)		(5,222,639	)
Contributions		—			—			—			—			—			—			—			3,981,000			3,981,000
Distributions		—			—			—			—			—			—			—			(3,968,000	)		(3,968,000	)
Operations attributable to Non-controlling interests		—			—			—			—			—			—			—			(470,719	)		(470,719	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		2,152,858			3,465			827,978			2,984,301			(1,748,408	)		(2,035	)		(169,106	)		—			(1,919,549	)
Capital (Net Asset Value), September 30, 2011	$	39,365,083		$	34,246		$	11,697,340		$	51,096,669		$	28,232,072		$	59,656		$	6,570,244		$	—		$	34,861,972
Capital—Units, December 31, 2010		365,451			1,499			72,328			439,278			383,032			428			80,192			—			463,652
Sale of Units		1,467			—			—			1,467			780			—			—			—			780
Redemption of Units		(89,828	)		(1,292	)		(1,722	)		(92,842	)		(134,650	)		—			(33,021	)		—			(167,671	)
Capital—Units, September 30, 2011		277,090			207			70,606			347,903			249,162			428			47,171			—			296,761
								(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
Change in net asset value per unit for three months ended June 30, 2011		(4.27	)					(3.78	)					(4.82	)					(4.80	)
Net asset value per unit at June 30, 2011	$	132.13					$	152.92					$	113.85					$	138.90
Change in net asset value per unit for three months ended September 30, 2011		9.94						12.75						(0.54	)					0.39
Net asset value per unit at September 30, 2011	$	142.07					$	165.67					$	113.31					$	139.29

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

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

27

The Frontier Fund

Statements of Cash Flows

For the Nine Months Ended September 30, 2011 and 2010

	Frontier Diversified Series						Frontier Dynamic Series (1)						Frontier Long/Short Commodity Series
	(Unaudited)						(Unaudited)						(Unaudited)
	9/30/2011			9/30/2010			9/30/2011			9/30/2010			9/30/2011			9/30/2010
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(3,117,296	)	$	6,610,098		$	(62,632	)	$	7,991		$	6,483,237		$	(115,752	)
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/(deficit), at fair value		—			—			—			—			27,029,769			(518,490	)
Net change in ownership allocation of U.S. Treasury Securities		(2,140,906	)		(6,671,556	)		2,810,044			(3,782	)		621,333			184,817
Net change in custom time deposits		(2,405,528	)		(43,393,308	)		11,120,141			(2,186,442	)		(602,239	)		(5,380,497	)
Net change in ownership allocation of credit default swaps		(75,299	)		—			7,075			—			25,283			—
Net realized (gain) on swap contracts		308,941			(73,268	)		2,151,434			—			—			—
Net unrealized (gain)/loss on swap contracts		4,032,004			—			(1,311,976	)		(412,897	)		20,878			—
Net unrealized (gain)/loss on U.S. Treasury securities		(94,249	)		(509,695	)		(13,534	)		(111,227	)		(57,006	)		(314,203	)
(Purchases) sales of:
Sales of swap contracts		1,933,000			58,891			10,123,315			—			—			—
(Purchases) of swap contracts		(45,928	)		(2,500,000	)		(13,076	)		—			(78,248	)		—
Sales of custom time deposits		8,477,490			—			4,712,701			—			11,163,129			—
Increase and/or decrease in:
Receivable from futures commission merchants		—			—			—			—			(83,085,859	)		23,781,708
Change in control of ownership—trading companies		—			172,237			—			—			28,341,047			(8,620,657	)
Distributions from trading companies		—			(15,232	)		—			—			(4,643,000	)		—
Investments in unconsolidated trading companies, at fair value		11,472,878			(30,774,265	)		—			—			29,734,041			(11,981,859	)
Receivable from unconsolidated trading company		—			(1,326,538	)		—			—			—			—
Prepaid service fees—Class 1		136,249			(142,220	)		6,542			(10,700	)		(97,946	)		35,869
Interest receivable		113,803			31,482			38,166			25,281			64,463			76,961
Receivable from related parties		90,000			279,820			—			(14	)		(18,650	)		(56,021	)
Other assets		(1,552	)		(4,725	)		12			(1,004	)		(128	)		(1,831	)
Inter-series payables/receivables, at fair value		—			(10,962,073	)		(28,320,283	)		279,178			—			—
Incentive fees payable to Managing Owner		181,711			1,159,869			—			—			(1,085,625	)		345,563
Management fees payable to Managing Owner		29,436			67,650			—			—			(10,288	)		20,403
Interest payable to Managing Owner		(5,419	)		19,759			(10,064	)		1,628			2,963			10,534
Trading fees payable to Managing Owner		(44,782	)		100,823			(59,936	)		5,113			25,268			5,763
Trailing service fees payable to Managing Owner		20,421			12,618			(726	)		308			(40,953	)		(11,658	)
Payables to related parties		(17,079	)		1,701			(6,585	)		52,021			17,749			(35,524	)
Other liabilities		(13,938	)		62,253			(53	)		2,615			(10,080	)		(2,847	)
Net cash provided by (used in) operating activities		18,833,957			(87,795,679	)		1,170,565			(2,351,931	)		13,799,138			(2,577,721	)
Cash Flows from Financing Activities:
Proceeds from sale of units		40,201,347			88,265,985			206,700			938,709			33,664,779			11,995,937
Payment for redemption of units		(58,235,649	)		(2,314,582	)		(1,776,990	)		(183,519	)		(45,743,856	)		(14,235,143	)
Pending owner additions		(425,825	)		(376,899	)		(70,000	)		—			(63,967	)		72,000
Owner redemptions payable		(51,789	)		127,477			(28,323	)		107,343			(88,970	)		53,432
Net cash provided by (used in) financing activities		(18,511,916	)		85,701,981			(1,668,613	)		862,533			(12,232,014	)		(2,113,774	)
Net Increase (Decrease) in cash and cash equivalents		322,041			(2,093,698	)		(498,048	)		(1,489,398	)		1,567,124			(4,691,495	)
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	$	4,969,463		$	6,644,304		$	—		$	772,965		$	2,682,036		$	1,967,041

(1) The Frontier Dynamic Series ceased trading operations on July 15, 2011 and redeemed all existing Units. The Series remains active.

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

28

The Frontier Fund

Statements of Cash Flows

For the Nine Months Ended September 30, 2011 and 2010

	Frontier Master Series						Balanced Series						Berkeley/Graham/Tiverton Series (1)
	(Unaudited)						(Unaudited)						(Unaudited)
	9/30/2011			9/30/2010			9/30/2011			9/30/2010			9/30/2011			9/30/2010
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	268,502		$	3,651,982		$	(12,043,698	)	$	32,264,502		$	(5,837,883	)	$	1,869,484
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		(264,892	)		—			(2,016,352	)		(17,020,411	)		—			—
Net change in ownership allocation of U.S. Treasury Securities		(4,366,641	)		789,695			(1,365,280	)		2,075,127			1,334,161			(2,373,979	)
Net change in custom time deposits		(21,058,138	)		1,355,884			(3,282,545	)		(11,056,695	)		516,637			2,132,816
Net change in ownership allocation of credit default swaps		(45,202	)		—			37,475			—			26,482			4,911,161
Net change in ownership allocation of total return swaps		—			—			(7,185,226	)		—			—			—
Net unrealized (gain)/loss on swap contracts		1,633,412			(1,858,000	)		21,105,042			(5,073,412	)		15,816			—
Net realized (gain)/loss on swap contracts		(2,070,356	)		—			(6,689,123	)		—			—			—
Net unrealized (gain)/loss on U.S. Treasury securities		(38,493	)		(250,954	)		(146,835	)		(1,089,019	)		(26,388	)		—
Net realized (gain) on U.S. Treasury securities		—			—			—			—			—			(262,708	)
Investments in unconsolidated trading companies, at fair value		9,888,393			(9,479,097	)		19,597,023			(13,831,840	)		6,613,068			3,795,086
Net realized (gain)/loss on investment in Berkeley Quantitative Colorado Fund, LLC		—			—			—			—			135,775			—
Net unrealized (gain)/loss on investment in Berkeley Quantitative Colorado Fund, LLC		—			—			—			—			2,266,908			—
(Purchases) sales of:
Sales of swap contracts		26,826,316			—			19,954,983			—			—			—
(Purchases) of swap contracts		(142,819	)		(14,327,080	)		(10,340,605	)		—			(71,712	)		—
Sales of custom time deposits		5,505,655			—			28,695,160			—			—			—
(Purchases) of custom time deposits		—			—			—			—			13,639,642			—
Sale of Berkeley Quantitative Colorado Fund, LLC		—			—			—			—			1,512,397			—
Increase and/or decrease in:
Receivable from futures commission merchants		(4,986,615	)		—			18,088,817			(10,476,493	)		—			(9,488,128	)
Change in control of ownership—trading companies		—			—			17,035,844			(12,569,510	)		—			(4,603,732	)
Contributions to trading companies		111,000			—			103,510,000			22,987,641			—			6,639,948
Distributions from trading companies		(28,800	)		—			(123,548,928	)		(1,782	)		—			—
Inter-series payables/receivables, at fair value		—			(18,184,135	)		42,090,555			28,121,415			—			—
Prepaid service fees—Class 1		117,016			(114,454	)		3			362,436			16			64,913
Interest receivable		12,223			29,192			241,164			(1,084,177	)		69,880			97,938
Receivable from related parties		—			179,715			—			265,994			—			200
Other assets		15			(3,378	)		(1,021	)		—			(308	)		(2,933	)
Incentive fees payable to Managing Owner		290,313			253,990			(193,618	)		2,646,053			(240,879	)		—
Management fees payable to Managing Owner		8,108			64,642			(92,840	)		(80,383	)		(68,571	)		19,975
Interest payable to Managing Owner		11,401			5,687			(136,633	)		(25,007	)		(45,031	)		13,375
Trading fees payable to Managing Owner		(21,931	)		47,633			(60,291	)		(99,619	)		(11,312	)		(2,143	)
Trailing service fees payable to Managing Owner		17,329			5,016			(188,039	)		123,317			(53,474	)		6,689
Payables to related parties		(100,392	)		128			(67,515	)		(268,094	)		(5,758	)		(245,529	)
Other liabilities		(5,120	)		8,474			1,348			(4,316	)		(230	)		(57	)
Net cash provided by (used in) operating activities		11,560,284			(37,825,060	)		102,998,865			16,165,727			19,769,236			2,572,376
Cash Flows from Financing Activities:
Proceeds from sale of units		10,440,294			37,778,488			904,118			3,797,335			61,898			94,551
Payment for redemption of units		(20,498,029	)		(2,614,461	)		(101,253,181	)		(34,836,803	)		(19,428,721	)		(8,088,467	)
Pending owner additions		(16,000	)		(1,968,317	)		—			—			—			—
Owner redemptions payable		(171,954	)		12,496			118,690			(467,993	)		(16,233	)		2,936
Net cash provided by (used in) financing activities		(10,245,689	)		33,208,206			(100,230,373	)		(31,507,461	)		(19,383,056	)		(7,990,980	)
Net Increase (Decrease) in cash and cash equivalents		1,314,595			(4,616,854	)		2,768,492			(15,341,734	)		386,180			(5,418,604	)
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	$	2,521,885		$	951,977		$	8,144,442		$	7,060,850		$	1,727,331		$	2,058,032

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

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

29

The Frontier Fund

Statements of Cash Flows

For the Nine Months Ended September 30, 2011 and 2010

	Currency Series						Long Only Commodity Series						Managed Futures Index Series
	(Unaudited)						(Unaudited)						(Unaudited)
	9/30/2011			9/30/2010			9/30/2011			9/30/2010			9/30/2011			9/30/2010
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(511,605	)	$	331,718		$	(193,273	)	$	(65,854	)	$	152,915		$	119,219
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		27,098			67,903			—			—			—			—
Net change in ownership allocation of U.S. Treasury Securities		1,610,356			516,035			232,547			104,383			48,480			(192,071	)
Net change in custom time deposits		5,762,963			937,126			970,060			136,241			175,701			(1,366,493	)
Net change in ownership allocation of credit default swaps		15,532			—			6,175			—			(821	)		—
Net unrealized (gain)/loss on swap contracts		(6,325,318	)		(962,169	)		1,152			—			1,793			—
Net realized (gain)/loss on swap contracts		8,301,000			—			166,237			47,004			—			—
Net unrealized (gain)/loss on U.S. Treasury securities		2,363			(87,264	)		(2,139	)		(20,877	)		(2,578	)		(6,633	)
Net increase from payments by managing owner		(390,589	)		—			—			—			—			—
(Purchases) sales of:
Sales of swap contracts		5,043,086			—			1,313,361			328,752			—			—
(Purchases) of swap contracts		(23,489	)		—			(637,374	)		(472,314	)		(3,811	)		—
Sales of custom time deposits		3,836,498			—			635,753			—			735,886			—
Increase and/or decrease in:
Receivable from futures commission merchants		678,208			(215,211	)		—			—			—			—
Investments in unconsolidated trading companies, at fair value		(2,423,197	)		—			—			—			163,847			(316,120	)
Prepaid service fees—Class 1		—			2,852			—			1,065			—			3,350
Interest receivable		25,623			25,592			5,467			5,753			5,648			3,618
Receivable from related parties		(1,566	)		—			—			—			1,440			96
Other assets		20			(762	)		—			(195	)		3			(162	)
Inter-series payables/receivables, at fair value		(13,770,271	)		745,615			(24	)		—			—			—
Management fees payable to Managing Owner		(13,860	)		(604	)		(1,964	)		(881	)		(3,240	)		3,086
Interest payable to Managing Owner		(24,379	)		(288	)		(912	)		(234	)		(660	)		669
Trading fees payable to Managing Owner		(6,492	)		(741	)		(1,060	)		(327	)		(527	)		583
Trailing service fees payable to Managing Owner		(4,524	)		(1,870	)		(4,652	)		(201	)		(1,707	)		574
Payables to related parties		(675	)		(9,953	)		18,647			(138	)		—			(14,235	)
Other liabilities		196			178			(13	)		(122	)		47			(173	)
Net cash provided by (used in) operating activities		1,806,978			1,348,157			2,507,988			62,055			1,272,416			(1,764,692	)
Cash Flows from Financing Activities:
Proceeds from sale of units		44,970			50,013			1,614,613			690			371,833			2,000,000
Payment for redemption of units		(1,937,900	)		(2,874,039	)		(4,209,538	)		(586,325	)		(1,616,524	)		(377,699	)
Pending owner additions		—			—			—			—			(1,440	)		—
Redemptions payable		(45,220	)		—			—			—			(794	)		4,333
Net cash provided by (used in) financing activities		(1,938,150	)		(2,824,026	)		(2,594,925	)		(585,635	)		(1,246,925	)		1,626,634
Net Increase (Decrease) in cash and cash equivalents		(131,172	)		(1,475,869	)		(86,937	)		(523,580	)		25,491			(138,058	)
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	$	144,313		$	567,829		$	88,159		$	168,191		$	221,582		$	240,387

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

30

The Frontier Fund

Statements of Cash Flows

For the Nine Months Ended September 30, 2011 and 2010

	Winton Series						Winton/Graham Series
	(Unaudited)						(Unaudited)
	9/30/2011			9/30/2010			9/30/2011			9/30/2010
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	2,984,301		$	6,275,216		$	(2,390,268	)	$	2,515,025
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		—			—			1,427,138			(1,421,121	)
Net change in ownership allocation of U.S. Treasury Securities		(210,311	)		462,412			1,812,059			1,027,844
Net change in custom time deposits		(3,962,979	)		(3,544,289	)		2,870,360			(60,974	)
Net change in ownership allocation of credit default swaps		17,219			—			20,513			—
Net unrealized (gain)/loss on swap contracts		23,610			—			16,478			—
Net unrealized (gain) loss on U.S. Treasury Securities, at fair value		(35,180	)		(301,766	)		(18,573	)		(281,246	)
(Purchases) sale of:
Sales of swap contracts		—			—			—			—
(Purchases) of swap contracts		(83,357	)		—			(64,011	)		—
Sales of custom time deposits		12,335,669			—			13,486,442			—
Increase and/or decrease in:
Receivable from futures commission merchants		—			—			11,090,076			550,098
Change in control of ownership of trading companies		—			—			(5,222,639	)		1,200,839
Contributions to trading companies		—			—			3,981,000			4,133,129
Distributions from trading companies		—			—			(3,968,000	)		(5,000,000	)
Investments in unconsolidated trading companies, at fair value		2,238,899			(1,740,784	)		(1,350,007	)		(1,389,089	)
Prepaid service fees—Class 1		—			—			—			75,908
Interest receivable		71,880			74,299			72,276			102,222
Receivable from related parties		—			—			—			470
Other assets		16			(1,907	)		26			(2,813	)
Incentive fees payable to Managing Owner		3,090			38,045			(442,577	)		26,439
Management fees payable to Managing Owner		(25,781	)		258			(79,509	)		12,989
Interest payable to Managing Owner		(17,154	)		5,382			(38,389	)		(992	)
Trading fees payable to Managing Owner		(4,223	)		104			(9,535	)		523
Trailing service fees payable to Managing Owner		(20,058	)		4,555			(39,858	)		15,796
Payables to related parties		(6,146	)		(172,099	)		(4,731	)		(3,559	)
Other liabilities		113			(432	)		(361	)		(560	)
Net cash provided by (used in) operating activities		13,309,608			1,098,994			21,147,910			1,500,928
Cash Flows from Financing Activities:
Proceeds from sale of units		200,048			203,365			91,371			107,736
Payment for redemption of units		(12,807,117	)		(5,287,441	)		(20,820,288	)		(5,457,584	)
Pending owner additions		—			—			—			—
Owner redemptions payable		10,267			5,000			(61,838	)		30,798
Net cash provided by (used in) financing activities		(12,596,802	)		(5,079,076	)		(20,790,755	)		(5,319,050	)
Net Increase (Decrease) in cash and cash equivalents		712,806			(3,980,082	)		357,155			(3,818,122	)
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	$	2,521,430		$	1,841,114		$	1,709,636		$	2,164,421

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

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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 (closed to outside investors effective July 15, 2011 and existing outside investors liquidated as of July 15, 2011), 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);

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• 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. 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 or Class 3a Units of such 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 September 30, 2011, each of the Long Only Commodity Series, Managed Futures Index Series and Winton Series has invested a portion of its assets in a single Trading Company. A single Trading Advisor manages 100% of the assets invested in each such Trading Company, except the Trading Company for 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.

During July, 2011, Currency Series liquidated its interest in an option basket and realized a decrease in fair value greater than had previously been recorded as unrealized loss. The Managing Owner determined to make a one time administrative adjustment by payment to the Currency Series of $390,589 to reimburse the effect of the loss on the investors in the series, exclusive of the inter-series payables’ interests, recorded in the Statements of Operations as Net increase from payments by managing owner.

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

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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.

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

Included in the financial statements of the Frontier Long/Short Commodity Series are the assets and liabilities of its majority owned trading company; Frontier Trading Company VII, LLC, as well as the earnings of Trading Company VII, LLC and from September 28, 2011 through September 30, 2011.

The financial statements of the Frontier Masters Series include the assets, liabilities and earnings of its majority-owned trading company, Frontier Trading Company XXI, LLC which began trading operations on March 1, 2011.

The financial statements of the Balanced Series include the assets and liabilities of its wholly-owned trading company, Frontier Trading Company XII, LLC, as well as the earnings of Trading Company XII from July 18, 2011 through September 30, 2011. The financial statements of the Balanced Series also include the assets, liabilities and earnings of its majority-owned Trading Companies; Frontier Trading Company I, LLC, Frontier Trading Company IX, LLC, Frontier Trading Company XV, LLC and Frontier Trading Company XVII, LLC. Trading Company XVII, LLC began trading operations on July 5, 2011. Also included in the financial statements of the Balanced Series are the assets and liabilities of its majority owned Trading Company; Frontier Trading Company XIV, LLC, as well as the earnings of Trading Company XIV, LLC from June 20, 2011 through September 30, 2011.

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 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 investment in Berkeley Quantitative Colorado Fund, LLC.

The financial statements of the Currency Series include the earnings of Frontier Trading Company III, LLC through July 15, 2011, at which time the investments in Trading Company III, LLC were liquidated.

The 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 financial statements of the Winton/Graham Series include the earnings of Frontier Trading Company V, LLC through June 17, 2011.

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.

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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.

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 of the 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. Custom time deposits were purchased on September 15, 2009, October 21, 2008 and October 30, 2008. 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. 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 7.50 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 mitigating 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. The Series record the daily change in fair 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

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basis. As of September 30, 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 did not have a direct interest, 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 participated on a pari passu basis with Class 2 Units of such investee Series. The Balanced Series and investee Series reflected the changes in values of these investments as “net change in inter-series receivables/payables” in the statements of operations. The Balanced Series was subject to the same allocations of income and fees as the Limited Owners of such Series. As a result of fees charged by the investee Series, fees were not charged by the Balanced Series on the capital allocated to advances in affiliated Series. The Managing Owner monitored such allocations so that aggregate fees of the investee Series on the Balanced Series advances did not exceed the allowable fees of the Balanced Series as provided in the Trust’s Prospectus. Interest was not credited to the Balanced Series on the capital allocated to its inter-series advances to avoid the duplication of interest charged or received. These investments were liquidated during the third quarter of 2011.

Payments by the Managing Owner — The Trust may make discretionary payments to a Series related to a variety of factors, including investment losses to reimburse the effect of a loss on a portfolio investment which has been caused by a situation outside the Trust’s, or it’s affiliates’, direct control. Such payments will be made on a discretionary basis and will be disclosed in the statement of operations as a net increase from payments by managing owner. These payments are in accordance with the Trust agreement on a discretionary basis as determined by the Managing Owner.

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 are 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 a weekly indicative value that is calculated by management using bid/ask prices from the counterparty. This fair value is corroborated by a daily range of valuations provided by a third party pricing service. 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 year ended December 31, 2010. 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

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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.

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 statement of financial condition, results of operations or cash flows.

Recently Issued Accounting Pronouncements—In May 2011, the FASB issued ASU No. 2011-04 which provides guidance pertaining to fair value measurement that included a common definition of fair value and information to assist reporting entities to measure and disclose fair value with regards to U.S. GAAP and International Financial Reporting Standards (“IFRS”) convergence issues. This guidance becomes effective for interim and annual periods beginning on or after December 15, 2011, with early adoption prohibited. We are currently evaluating the impact that this accounting guidance may have on the Trust’s statement of financial condition, results of operations or cash flows.

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. Refer to Note 11.

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.

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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.

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. Each Series also owns a portion of the Credit Default Swaps (“CDS”) based upon ownership percentages of the cash management pool. 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 requires 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 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 a weekly indicative value that is calculated by management using bid/ask prices from the counterparty. This fair value is corroborated by a daily range of valuations provided by a third party pricing service. 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.

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 the 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, advanced funds to the Currency Series and Frontier Dynamic Series. As of September 30, 2011, all inter-Series receivables and payables have been settled. Inter-Series receivables and payables were 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 September 30, 2011 and December 31, 2010, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

38

									Total
September 30, 2011	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Fair Value
Frontier Diversified Series
Swap Contracts	$	—		$	—		$	5,255,187	$	5,255,187
Investment in Unconsolidated Trading Companies		29,436,461			8,856,977			5,173,779		43,467,217
U.S. Treasury Securities		15,855,885			—			—		15,855,885
Frontier Long/Short Commodity Series
Open Trade Deficit		(26,980,089	)		(49,680	)		—		(27,029,769	)
Swap Contracts		—			—			32,087		32,087
Investment in Unconsolidated Trading Companies		2,281,037			34,403			914,966		3,230,407
U.S. Treasury Securities		6,236,708			—			—		6,236,708
Frontier Masters Series
Open Trade Equity		264,892			—			—		264,892
Swap Contracts		—			—			40,895		40,895
Investment in Unconsolidated Trading Companies		3,204,971			2,828,294			—		6,033,265
U.S. Treasury Securities		7,948,688			—			—		7,948,688
Balanced Series
Open Trade Equity (Deficit)		(6,242,733	)		34,349,295			—		28,106,562
Swap Contracts		—			—			31,975,419		31,975,419
Investment in Unconsolidated Trading Companies		22,498,521			(23,166	)		—		22,475,355
U.S. Treasury Securities		28,765,612			—			—		28,765,612
Berkeley/Graham/Tiverton Series
Swap Contracts		—			—			29,414		29,414
Investment in Unconsolidated Trading Companies		1,993,699			4,059,104			—		6,052,803
Investment in Berkeley Quantitative Colorado Fund, LLC		—			6,242,018			—		6,242,018
U.S. Treasury Securities		5,717,056			—			—		5,717,056
Currency Series
Swap Contracts		—			—			2,042		2,042
U.S. Treasury Securities		396,954			—			—		396,954
Investment in Unconsolidated Trading Companies		—			—			2,423,197		2,423,197
Long Only Commodity Series
Swap Contracts		—			(60,068	)		1,313		(58,755	)
U.S. Treasury Securities		255,133			—			—		255,133
Managed Futures Index Series
Swap Contracts		—			—			2,839		2,839
Investment in Unconsolidated Trading Companies		828,990			—			—		828,990
U.S. Treasury Securities		551,798			—			—		551,798
Winton Series
Swap Contracts		—			—			42,528		42,528
Investment in Unconsolidated Trading Companies		3,989,937			(5,929	)		—		3,984,008
U.S. Treasury Securities		8,266,000			—			—		8,266,000
Winton/Graham Series
Swap Contracts		—			—			27,020		27,020
Investment in Unconsolidated Trading Companies		4,736,020			(2,762	)		—		4,733,258
U.S. Treasury Securities		5,251,865			—			—		5,251,865

39

								Total
December 31, 2010	Level 1 Inputs		Level 2 Inputs			Level 3 Inputs		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

40

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 nine months ended September 30, 2011, and for the year ended December 31, 2010, 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			Frontier Dynamic Series			Frontier Long/Short Commodity Series			Frontier Masters Series
	For The Nine Months Ended September 30, 2011			For The Nine Months Ended September 30, 2011			For The Nine Months Ended September 30, 2011			For The Nine Months Ended September 30, 2011
Balance of recurring Level 3 assets as of
January 1, 2011	$	23,806,317		$	10,956,772		$	562,870		$	26,242,246
Total gains or losses (realized/unrealized):
Included in earnings-realized		(308,941	)		(2,151,434	)		—			2,070,356
Included in earnings-unrealized		(4,032,004	)		1,311,976			(20,878	)		(1,633,412	)
Purchases of investments		45,928			13,076			78,248			142,819
Sales of investments		(1,933,000	)		(10,123,315	)		—			(26,826,316	)
Change in ownership allocation of credit default swaps		75,299			(7,075	)		(25,283	)		45,202
Change in unrealized in investment of unconsolidated trading companies		1,880,981			—			280,943			—
Realized gain/(loss) in investment of unconsolidated trading companies		(5,190,077	)					(811,868	)
Proceeds from sales of investments of unconsolidated trading companies		(3,915,538	)		—			883,021			—
Transfers in and/or out of Level 3		—			—			—			—
Balance of recurring Level 3 assets as of September 30, 2011	$	10,428,966		$	—		$	947,053		$	40,895

	Balanced Series			Berkeley/Graham/Tiverton Series			Currency Series			Long Only Commodity Series
	For The Nine Months Ended September 30, 2011			For The Nine Months Ended September 30, 2011			For The Nine Months Ended September 30, 2011			For The Nine Months Ended September 30, 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		6,689,123			—			(8,301,000	)		—
Included in earnings-unrealized		(21,105,042	)		(15,816	)		6,325,318			(1,152	)
Purchases of investments		10,340,605			71,712			23,489			8,640
Sales of investments		(19,954,983	)		—			(5,043,086	)		—
Change in ownership allocation of credit default swaps		(37,475	)		(26,482	)		(15,532	)		(6,175	)
Change in ownership allocation of total return swaps		7,185,226			—			—			—
Change in inter-series recievable		(953,497	)		—			953,497			—
Net increase from payments by managing owner		—			—			390,589			—
Change in unrealized in investment of unconsolidated trading companies		—			—			15,550			—
Realized gain/(loss) in investment of unconsolidated trading companies		—			—			(54,188	)		—
Proceeds from sales of investments of unconsolidated trading companies		—			—			2,461,834			—
Transfers in and/or out of Level 3		—			—			—			—
Balance of recurring Level 3 assets as of September 30, 2011	$	31,975,419		$	29,414		$	2,425,239		$	1,313

	Managed Futures Index Series			Winton Series			Winton/Graham Series
	For The Nine Months Ended September 30, 2011			For The Nine Months Ended September 30, 2011			For The Nine Months Ended September 30, 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		(1,793	)		(23,610	)		(16,478	)
Purchases of investments		3,811			83,357			64,011
Sales of investments		—			—			—
Change in ownership allocation of credit default swaps		821			(17,219	)		(20,513	)
Transfers in and/or out of Level 3		—			—			—
Balance of recurring Level 3 assets as of September 30, 2011	$	2,839		$	42,528		$	27,020

41

	Frontier Diversified Series		Frontier Dynamic Series		Frontier Long/Short Commodity Series
	For The Year Ended December 31, 2010		For The Year Ended December 31, 2010		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		Balanced Series		Currency Series
	For The Year Ended December 31, 2010		For The Year Ended December 31, 2010		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

42

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 over-the-counter investment instruments designed to mitigate 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 National Association as of the reporting date. Approximately 23% of the Trust’s U.S. Bank National Association exposure is risk-hedged in this manner with BNP Paribas through March 20, 2012, and 15% 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, and Frontier Diversified 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 September 30, 2011, approximately 5.0% of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain Swaps.

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

The Trust has invested in the following Swaps as of September 30, 2011:

43

	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	$	51,002		$	16,545		$	14,030		$	6,754,314
Termination Date		3/20/2012			3/20/2012			12/20/2011			6/6/2014
Investee Returns		On Default			On Default			On Default			Total Returns
Realized Gain/(Loss)	$	—		$	—		$	—		$	(308,941	)
Unrealized Gain/(Loss)	$	(28,449	)	$	(6,382	)	$	(4,819	)	$	(3,992,354	)
Fair Value as of 9/30/2011	$	51,002		$	16,545		$	14,030		$	5,173,610

	Frontier Long/Short Commodity Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale			Societe Generale
Notional Amount	$	20,061		$	6,508		$	5,519
Termination Date		3/20/2012			3/20/2012			12/20/2011
Investee Returns		On Default			On Default			On Default
Realized Gain/(Loss)	$	—		$	—		$	—
Unrealized Gain/(Loss)	$	(13,504	)	$	(4,130	)	$	(3,244	)
Fair Value as of 9/30/2011	$	20,060		$	6,508		$	5,519

	Frontier Masters Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale			Societe Generale
Notional Amount	$	25,568		$	8,294		$	7,033
Termination Date		3/20/2012			3/20/2012			12/20/2011
Investee Returns		On Default			On Default			On Default
Realized Gain/(Loss)	$	—		$	—		$	—
Unrealized Gain/(Loss)	$	(16,142	)	$	(3,753	)	$	(2,938	)
Fair Value as of 9/30/2011	$	25,568		$	8,294		$	7,033

	Balanced Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap			Option Basket			Option Basket			Option Basket
Counterparty		BNP Paribas			Societe Generale			Societe Generale			Company A			Company E			DeutscheBank
Notional Amount	$	92,528		$	30,016		$	25,453		$	14,379,733		$	28,814,563		$	20,238,986
Termination Date		3/20/2012			3/20/2012			12/20/2011			11/6/2012			6/6/2014			6/30/2016
Investee Returns		On Default			On Default			On Default			Total Returns			Total Returns			Total Returns
Realized Gain/(Loss)	$	—		$	—		$	—		$	6,689,123		$	—		$	—
Unrealized Gain/(Loss)	$	(47,672	)	$	(12,157	)	$	(8,136	)	$	(18,631,737	)	$	(2,214,565	)	$	(190,775	)
Fair Value as of 9/30/2011	$	92,528$			30,016		$	25,453		$	17,859,447		$	7,908,750		$	6,059,225

	Berkeley/Graham/Tiverton Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale			Societe Generale
Notional Amount	$	18,390		$	5,966		$	5,059
Termination Date		3/20/2012			3/20/2012			12/20/2011
Investee Returns		On Default			On Default			On Default
Realized Gain/(Loss)	$	—		$	—		$	—
Unrealized Gain/(Loss)	$	(11,419	)	$	(2,386	)	$	(2,011	)
Fair Value as of 9/30/2011	$	18,389		$	5,966		$	5,059

44

	Currency Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale			Societe Generale
Notional Amount	$	1,277		$	414		$	351
Termination Date		3/20/2012			3/20/2012			12/20/2011
Investee Returns		On Default			On Default			On Default
Realized Gain/(Loss)	$	—		$	—		$	—
Unrealized Gain/(Loss)	$	(3,761	)	$	(992	)	$	(1,161	)
Fair Value as of 9/30/2011	$	1,277		$	414		$	351

	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	$	821		$	266		$	226		$	1,000,000		$	1,000,000
Termination Date		3/20/2012			3/20/2012			12/20/2011			2/29/2012			2/29/2012
Investee Returns		On Default			On Default			On Default			Total Returns			Total Returns
Realized Gain/(Loss)	$	—		$	—		$	—		$	(46,913	)	$	(119,324	)
Unrealized Gain/(Loss)	$	(796	)	$	(185	)	$	(171	)	$	—		$	—
Fair Value as of 9/30/2011	$	821		$	266		$	226		$	(30,063	)	$	(30,005	)

	Managed Futures Index Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale			Societe Generale
Notional Amount	$	1,775		$	576		$	488
Termination Date		3/20/2012			3/20/2012			12/20/2011
Investee Returns		On Default			On Default			On Default
Realized Gain/(Loss)	$	—		$	—		$	—
Unrealized Gain/(Loss)	$	(1,257	)	$	(287	)	$	(249	)
Fair Value as of 9/30/2011	$	1,775		$	576		$	488

	Winton Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale			Societe Generale
Notional Amount	$	26,588		$	8,625		$	7,314
Termination Date		3/20/2012			3/20/2012			12/20/2011
Investee Returns		On Default			On Default			On Default
Realized Gain/(Loss)	$	—		$	—		$	—
Unrealized Gain/(Loss)	$	(16,892	)	$	(3,752	)	$	(2,966	)
Fair Value as of 9/30/2011	$	26,589		$	8,625		$	7,314
	Winton/Graham Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale			Societe Generale
Notional Amount	$	16,893		$	5,480		$	4,647
Termination Date		3/20/2012			3/20/2012			12/20/2011
Investee Returns		On Default			On Default			On Default
Realized Gain/(Loss)	$	—		$	—		$	—
Unrealized Gain/(Loss)	$	(12,003	)	$	(2,488	)	$	(1,987	)
Fair Value as of 9/30/2011	$	16,893		$	5,480		$	4,647

45

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:		Frontier Diversified Series		Frontier Dynamic Series		Frontier Masters Series		Balanced Series
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 Series		Long/Only Commodity Series		Long/Only Commodity Series
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, Currency 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 September 30, 2011 and December 31, 2010.

46

	As of September 30, 2011					As of December 31, 2010
	Percentage of Series Net Assets Invested in Trading Companies			Fair Value		Percentage of Series Net Assets Invested in Trading Companies			Fair Value
Series
Balanced Series —
Frontier Trading Companies II and VII		7.18	%	$	22,475,355		9.82	%	$	42,072,378
Winton Series —
Frontier Trading Company II		7.80	%	$	3,984,008		10.25	%	$	6,222,907
Currency Series —
Frontier Trading Company XVII		51.18	%	$	2,423,197		10.25	%	$	6,222,907
Berkeley/Graham/Tiverton Series —
Frontier Trading Companies V and XV		13.44	%	$	6,052,803		18.04	%	$	12,665,871
Winton/Graham Series —
Frontier Trading Companies II and V		13.58	%	$	4,733,258		5.35	%	$	3,383,251
Frontier Long/Short Commodity Series —
Frontier Trading Company I		3.39	%	$	3,230,407		42.71	%	$	32,964,448
Managed Futures Index Series —
Frontier Trading Company IX		20.37	%	$	828,990		19.24	%	$	992,837
Frontier Diversified Series —
Frontier Trading Companies I, II, V, VII, IX, XIV, XV and XXI		31.42	%	$	43,467,217		34.45	%	$	54,940,095
Frontier Masters Series —
Frontier Trading Companies II, XIV and XV		10.67	%	$	6,033,265		24.02	%	$	15,921,658

47

The following tables summarize the Balanced Series, Winton Series, Currency 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 and nine months ended September 30, 2011 and 2010.

48

	Three Months Ended September 30, 2011												Three Months Ended September 30, 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	$	(11,627	)	$	4,606,141		$	718,073		$	5,312,587		$	(13,906	)	$	365,389		$	1,424,510			1,775,993
Frontier Trading Company VI LLC		—			—			—			—			(6,644	)		312,813			497,249			803,418
Frontier Trading Company VII, LLC		(260,016	)		(1,089,579	)		3,428,506			2,078,911			(518,177	)		(3,750,539	)		12,228,821			7,960,105
Frontier Trading Company XIV, LLC		—			—			—			—			(48,361	)		869,732			1,274,540			2,095,911
Frontier Trading Company XVI, LLC		—			—			—			—			(3,932	)		(12,257	)		114,538			98,349
Frontier Trading Company XIX, LLC		—			—			—			—			(1,078	)		10,689			(66,406	)		(56,795	)
Total	$	(271,643	)	$	3,516,562		$	4,146,579		$	7,391,498		$	(592,098	)	$	(2,204,173	)	$	15,473,252		$	12,676,981
Winton Series—
Frontier Trading Company II LLC	$	(10,085	)	$	4,069,347		$	784,455		$	4,843,717		$	(18,978	)	$	325,482		$	2,039,074		$	2,345,578
Currency Series—
Frontier Trading Company XVII LLC	$	—		$	—		$	(94,181	) $		(94,181	)	$	—		$	—		$	—		$	—
Berkeley/Graham/Tiverton Series—
Frontier Trading Company V LLC	$	(62,442	)	$	(1,352,633	)	$	332,016		$	(1,083,059	)	$	(56,766	)	$	(78,266	)	$	1,120,568		$	985,536
Frontier Trading Company VI LLC		—			—			—			—			—			—			—			—
Frontier Trading Company XV, LLC		(14,644	)		(1,026,550	)		2,377,444			1,336,250			(25,956	)		365,772			416,030			755,846
Total	$	(77,086	)	$	(2,379,183	)	$	2,709,460		$	253,191		$	(82,722	)	$	287,506		$	1,536,598		$	1,741,382
Winton/Graham Series—
Frontier Trading Company II LLC	$	(3,773	)	$	1,525,312		$	296,182		$	1,817,721		$	(10,241	)	$	269,429		$	1,039,856		$	1,299,044
Frontier Trading Company V LLC		(70,441	)		(1,488,064	)		355,194			(1,203,311	)		—			—			—			—
	$	(74,214	)	$	37,248		$	651,376		$	614,410		$	(10,241	)	$	269,429		$	1,039,856		$	1,299,044
Frontier Long/Short Commodity Series—
Frontier Trading Company I LLC	$	(18,529	)	$	446,041		$	678,770		$	1,106,282		$	(5,216	)	$	(311,680	)	$	434,736		$	117,840
Frontier Trading Companies VII, LLC		(94,202	)		11,480,590			(12,103,528	)		(717,140	)		(412,540	)		(2,393,858	)		10,498,723			7,692,325
Total	$	(112,731	)	$	11,926,631		$	(11,424,758	)	$	389,142		$	(417,756	)	$	(2,705,538	)	$	10,933,459		$	7,810,165
Managed Futures Index Series—
Frontier Trading Company IX, LLC	$	(2,457	)	$	528,426		$	139,374		$	665,343		$	(5,197	)	$	(66,179	)	$	98,454		$	27,078
Frontier Diversified Series—
Frontier Trading Company I LLC	$	(260,794	)	$	(5,009,199	)	$	(866,940	)	$	(6,136,933	)	$	(208,524	)	$	(206,982	)	$	2,244,769		$	1,829,263
Frontier Trading Company II LLC		(5,441	)		2,176,643			288,217			2,459,419			(3,554	)		136,977			340,437			473,860
Frontier Trading Company V LLC		(9,413	)		(204,203	)		50,001			(163,615	)		(5,555	)		(7,654	)		111,170			97,961
Frontier Trading Company VI LLC		—			—			—			—			(1,998	)		94,325			149,410			241,737
Frontier Trading Company VII, LLC		(102,309	)		(98,484	)		1,273,306			1,072,513			(120,593	)		(222,884	)		2,113,748			1,770,271
Frontier Trading Company IX, LLC		(6,033	)		1,241,223			405,403			1,640,593			(4,580	)		(58,188	)		88,195			25,427
Frontier Trading Company XIII, LLC		—			—			—			—			(5,529	)		(205,958	)		375,284			163,797
Frontier Trading Company XIV, LLC		(52,585	)		3,042,833			190,468			3,180,716			(26,551	)		695,481			640,747			1,309,677
Frontier Trading Company XV, LLC		(31,636	)		(2,277,417	)		5,169,906			2,860,853			(20,573	)		288,460			335,081			602,968
Frontier Trading Company XXI, LLC		(189	)		(14,976	)		4,344			(10,821	)		—			—			—			—
Total	$	(468,400	)	$	(1,143,580	)	$	6,514,705		$	4,902,725		$	(397,457	)	$	513,577		$	6,398,841		$	6,514,961
Frontier Masters Series—
Frontier Trading Company II LLC	$	(2,570	)	$	1,003,704		$	194,611		$	1,195,745		$	(5,631	)	$	517,595		$	331,655		$	843,619
Frontier Trading Company XIV, LLC		(36,324	)		1,954,026			270,966		$	2,188,668			(50,837	)		1,303,353			1,096,332			2,348,848
Frontier Trading Company XV, LLC		(10,235	)		(717,523	)		1,662,733		$	934,975			(17,333	)		236,777			258,609			478,053
Total	$	(49,129	)	$	2,240,207		$	2,128,310		$	4,319,388		$	(73,801	)	$	2,057,725		$	1,686,596		$	3,670,520

49

	Nine Months Ended September 30, 2011												Nine Months Ended September 30, 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	$	(32,907	)	$	7,421,284		$	(1,495,919	)	$	5,892,458		$	(47,551	)	$	3,936,801		$	1,864,733			5,753,983
Frontier Trading Company VI LLC		—			—			—			—			(13,352	)		542,949			454,812			984,409
Frontier Trading Company VII, LLC		(908,254	)		3,534,286			33,194,115			35,820,147			(2,107,332	)		4,780,762			19,800,480			22,473,910
Frontier Trading Company XIV, LLC		(83,595	)		2,045,925			(189,232	)		1,773,098			(98,788	)		(1,702,864	)		3,144,777			1,343,125
Frontier Trading Company XVI, LLC		—			—			—			—			(3,985	)		(13,787	)		114,194			96,422
Frontier Trading Company XIX, LLC		—			—			—			—			(1,753	)		(2,055	)		(86,166	)		(89,974	)
Total	$	(1,024,756	)	$	13,001,495		$	31,508,964		$	43,485,703		$	(2,272,761	)	$	7,541,806		$	25,292,830		$	30,561,875
Winton Series—
Frontier Trading Company II LLC	$	(32,669	)	$	7,149,687		$	(1,508,780	)	$	5,608,238		$	(66,752	)	$	5,538,109		$	2,832,834		$	8,304,191
Currency Series—
Frontier Trading Company II LLC	$	—		$	—		$	(94,181	)	$	(94,181	)	$	—		$	—		$	—		$	—
Berkeley/Graham/Tiverton Series—
Frontier Trading Company V LLC	$	(180,284	)	$	(1,297,538	)	$	(397,302	)	$	(1,875,124	)	$	(184,699	)	$	(279,376	)	$	566,761		$	102,686
Frontier Trading Company VI LLC		(1,451	)		259,429			(127,648	)		130,330			(21,105	)		(1,829,237	)		523,687			(1,326,655	)
Frontier Trading Company XV, LLC		(53,403	)		87,930			528,354			562,881			(80,962	)		1,729,581			72,266			1,720,885
Total	$	(235,138	)	$	(950,179	)	$	3,404		$	(1,181,913	)	$	(286,766	)	$	(379,032	)	$	1,162,714		$	496,916
Winton/Graham Series—
Frontier Trading Company II LLC	$	(15,117	)	$	3,224,822		$	(728,888	)	$	2,480,817		$	(34,497	)	$	2,912,138		$	1,461,479		$	4,339,120
Frontier Trading Company V LLC		(77,367	)		(1,796,950	)		231,887			(1,642,430	)		—			—			—			—
	$	(92,484	)	$	1,427,872		$	(497,001	)	$	838,387		$	(34,497	)	$	2,912,138		$	1,461,479		$	4,339,120
Frontier Long/Short Commodity Series—
Frontier Trading Company I LLC	$	(38,668	)	$	924,491		$	(234,820	)	$	651,003		$	(17,601	)	$	(452,812	)	$	351,359		$	(119,054	)
Frontier Trading Companies VII, LLC		(351,809	)		73,665,834			(63,287,455	)		10,026,570			(1,120,922	)		(11,940,206	)		22,909,424			9,848,296
Total	$	(390,477	)	$	74,590,325		$	(63,522,275	)	$	10,677,573		$	(1,138,523	)	$	(12,393,018	)	$	23,260,783		$	9,729,242
Managed Futures Index Series—
Frontier Trading Company IX, LLC	$	(9,202	)	$	307,484		$	(108,539	)	$	189,743		$	(16,296	)	$	(101,236	)	$	337,068		$	219,536
Frontier Diversified Series—
Frontier Trading Company I LLC	$	(897,614	)	$	(7,744,476	)	$	(2,676,647	)	$	(11,318,737	)	$	(370,967	)	$	276,019		$	2,109,283		$	2,014,335
Frontier Trading Company II LLC		(14,487	)		3,368,474			(661,284	)		2,692,703			(10,889	)		957,393			500,707			1,447,211
Frontier Trading Company V LLC		(23,822	)		(209,318	)		(49,320	)		(282,460	)		(15,657	)		111,753			130,028			226,124
Frontier Trading Company VI LLC		(1,073	)		192,170			(95,556	)		95,541			(6,297	)		(34,375	)		212,833			172,161
Frontier Trading Company VII, LLC		(327,082	)		(21,067	)		12,668,099			12,319,950			(426,730	)		1,428,705			3,879,164			4,881,139
Frontier Trading Company IX, LLC		(14,896	)		876,952			47,909			909,965			(12,979	)		(43,452	)		121,947			65,516
Frontier Trading Company XIII, LLC		—			—			—			—			(6,553	)		(170,793	)		532,671			355,325
Frontier Trading Company XIV, LLC		(90,654	)		3,796,286			(160,106	)		3,545,526			(48,092	)		(492,660	)		1,257,354			716,602
Frontier Trading Company XV, LLC		(96,902	)		(514,956	)		1,944,940			1,333,082			(52,694	)		854,713			458,578			1,260,597
Frontier Trading Company XXI, LLC		(529	)		(32,296	)		2,614			(30,211	)		—			—			—			—
Total	$	(1,467,059	)	$	(288,231	)	$	11,020,649		$	9,265,359		$	(950,858	)	$	2,887,303		$	9,202,565		$	11,139,010
Frontier Masters Series—
Frontier Trading Company II LLC	$	(9,236	)	$	1,956,691		$	(449,243	)	$	1,498,212		$	(13,849	)	$	1,431,686		$	457,711		$	1,875,548
Frontier Trading Company XIV, LLC		(117,075	)		3,793,892			32,591		$	3,709,408			(87,862	)		(718,109	)		2,067,893			1,261,922
Frontier Trading Company XV, LLC		(34,342	)		3,540			527,601		$	496,799			(44,638	)		824,714			295,013			1,075,089
Total	$	(160,653	)	$	5,754,123		$	110,949		$	5,704,419		$	(146,349	)	$	1,538,291		$	2,820,617		$	4,212,559

50

The statements of financial condition as of September 30, 2011 and December 31, 2010 and the Condensed Statement of Income for the three and nine months ended September 30, 2011 and 2010 for the unconsolidated Trading Companies are as follows:

51

	Frontier Trading Company II LLC			Frontier Trading Company V LLC
Statements of Financial Condition—September 2011
Cash held at futures commission merchants	$	13,144,853		$	6,298,040
Open trade equity		1,412,778			395,924
Total assets	$	14,557,631		$	6,693,964
Members’ equity	$	14,557,631		$	6,693,964
Condensed Statement of Income—For the Three Months Ended September 30, 2011
Interest income	$	5,054		$	937
Net realized gain/(loss) on investments, less commissions		13,347,654			(3,187,196	)
Change in open trade equity		2,281,537			737,210
Net income/(loss)	$	15,634,245		$	(2,449,049	)
Condensed Statement of Income—For the Nine Months Ended September 30, 2011
Interest income	$	5,863		$	5,066
Net realized gain/(loss) on investments, less commissions		23,016,544			(3,296,188	)
Change in open trade equity		(4,844,114	)		(1,031,129	)
Net income/(loss)	$	18,178,293		$	(4,322,251	)

	Frontier Trading Company II LLC		Frontier Trading Company VII LLC			Frontier Trading Company XIV 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 September 30, 2010
Interest income	$	2,994	$	1,480		$	(1,042	)
Net realized gain/(loss) on investments, less commissions		1,562,559		(7,418,589	)		2,744,028
Change in open trade equity		5,175,532		24,841,293			3,013,501
Net income	$	6,741,085	$	17,424,184		$	5,756,487
Condensed Statement of Income—For the Nine Months Ended September 30, 2010
Interest income	$	5,130	$	3,543		$	(10,231	)
Net realized gain/(loss) on investments, less commissions		14,602,588		(16,253,599	)		(4,234,133	)
Change in open trade equity		7,117,464		50,383,490			5,744,032
Net income	$	21,725,182	$	34,133,434		$	1,499,668

52

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 had 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. All of these investments have been liquidated as of September 30, 2011.

On July 18, 2011, the Balanced Series reduced its inter-series advance to the Dynamic Series in exchange for ownership in a total return swap contract in the amount of $27,379,284 which approximated fair value in accordance with the Trust’s valuation policies at the date of transfer.

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 nine months ended September 30, 2011 and the year ended December 31, 2010.

53

Balanced Series

Summary by Quarter

For the Nine Months Ended September 30, 2011

				Frontier
	Currency Series			Dynamic Series			Total
Inter-series receivables January 1, 2011	$	12,816,775		$	28,320,283		$	41,137,058
Additions during period		—			—			—
Reduction during period		—			—			—
Net change in 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
Additions during period		—			—			—
Reduction during period		—			—			—
Net change in inter-series receivables		(46,549	)		284,461			237,912
Inter-series receivables June 30, 2011	$	12,293,535	(1)	$	28,040,798	(1)	$	40,334,333
Additions during period		—			—			—
Reduction during period		(11,281,861	)		(27,379,283	)		(38,661,144	)
Net change in inter-series receivables		(1,011,674	)		(661,515	)		(1,673,189	)
Inter-series receivables September 30, 2011	$	—	(1)	$	—	(1)	$	—

54

Balanced Series

Summary by Quarter

For the Year Ended December 31, 2010

				Frontier			Frontier			Frontier
	Currency Series			Diversified Series			Dynamic Series			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		—			—			—			—			—
Net change in 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	)
Net change in 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	)
Net change in 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		—			—			—			—			—
Net change in 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

55

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.

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 September 30, 2011 and 2010.

Series: Three Months Ended September 30, 2011	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified Series	$	519,364	$	808,751	$	1,467,047	$	417,549
Frontier Dynamic Series		—		28,182		—		3,829
Frontier Long/Short Commodity Series		910,662		207,381		440,077		177,277
Frontier Masters Series		355,001		332,882		534,851		193,356
Balanced Series		664,399		369,151		2,903,887		1,525,660
Berkeley/Graham/Tiverton Series		258,162		58,000		29,678		313,464
Currency Series		1,673		7,548		—		35,747
Long Only Commodity Series		8,545		2,766		—		5,962
Managed Futures Index Series		24,397		4,790		—		1,945
Winton Series		309,397		63,844		565,219		300,670
Winton/Graham Series		283,356		45,550		227,833		223,405

Series: Three Months Ended September 30, 2010	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified Series	$	346,547	$	767,690	$	1,267,393	$	413,129
Frontier Dynamic Series		—		173,065		—		24,121
Frontier Long/Short Commodity Series		848,660		105,479		671,536		278,215
Frontier Masters Series		323,238		436,490		251,849		194,727
Balanced Series		708,595		452,155		4,587,441		2,108,525
Berkeley/Graham/Tiverton Series		595,454		87,185		—		466,266
Currency Series		41,317		25,650		—		52,636
Long Only Commodity Series		12,434		4,735		—		15,600
Managed Futures Index Series		31,077		6,860		—		8,259
Winton Series		381,662		72,608		66,904		361,796
Winton/Graham Series		488,971		70,396		97,195		336,344

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The following table summarizes fees earned by the Managing Owner for the nine months ended September 30, 2011 and 2010.

Series: Nine Months Ended September 30, 2011	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified Series	$	1,469,361	$	2,675,921	$	4,386,760	$	1,393,776
Frontier Dynamic Series		—		376,388		—		51,746
Frontier Long/Short Commodity Series		2,781,137		536,554		2,744,245		673,297
Frontier Masters Series		1,094,180		1,095,725		805,663		624,864
Balanced Series		1,922,751		1,280,779		11,575,647		5,638,744
Berkeley/Graham/Tiverton Series		948,867		212,756		29,678		1,144,674
Currency Series		80,701		53,198		—		121,438
Long Only Commodity Series		33,185		11,943		—		36,025
Managed Futures Index Series		75,033		16,117		—		10,405
Winton Series		960,130		203,804		813,809		985,426
Winton/Graham Series		1,095,659		169,014		298,707		828,649

Series: Nine Months Ended September 30, 2011	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified Series	$	751,117	$	1,809,334	$	2,307,523	$	981,435
Frontier Dynamic Series		—		509,687		—		66,679
Frontier Long/Short Commodity Series		2,461,217		298,406		1,337,973		899,900
Frontier Masters Series		767,223		1,117,972		274,130		456,099
Balanced Series		1,607,205		1,324,659,		10,520,127		6,380,801
Berkeley/Graham/Tiverton Series		1,771,056		270,272		—		1,441,933
Currency Series		122,172		77,390		—		166,131
Long Only Commodity Series		39,424		14,996		—		48,657
Managed Futures Index Series		88,027		19,813		—		25,598
Winton Series		1,155,722		216,584		66,904		1,082,808
Winton/Graham Series		1,444,104		213,476		97,195		1,021,445

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The following table summarizes fees payable to the Managing Owner as of September 30, 2011.

Series:	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified Series	$	169,194	$	265,520	$	1,634,813	$	69,324
Frontier Dynamic Series		—		—		—		—
Frontier Long/Short Commodity Series		289,750		69,967		515,078		28,733
Frontier Masters Series		116,639		109,910		519,999		39,223
Balanced Series		21,305		10,796		2,495,158		8,286
Berkeley/Graham/Tiverton Series		83,884		18,402		29,678		94,833
Currency Series		—		1,917		—		6,749
Long Only Commodity Series		2,670		690		—		947
Managed Futures Index Series		7,549		1,627		—		631
Winton Series		96,894		21,022		470,431		79,027
Winton/Graham Series		88,627		14,592		181,052		63,840

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 Series	$	139,758	$	310,302	$	1,453,102	$	48,903
Frontier Dynamic Series		—		59,936		—		726
Frontier Long/Short Commodity Series		300,038		44,699		1,600,703		69,686
Frontier Masters Series		108,531		131,841		229,686		21,894
Balanced Series		114,145		71,087		2,688,776		196,325
Berkeley/Graham/Tiverton Series		152,455		29,714		270,557		148,307
Currency Series		13,860		8,409		—		11,273
Long Only Commodity Series		4,634		1,750		—		5,599
Managed Futures Index Series		10,789		2,154		—		2,338
Winton Series		122,675		25,245		467,341		99,085
Winton/Graham Series		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 nine months ended September 30, 2011, amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees were $2,752 for the Frontier Dynamic Series, $17 for the Long/Only Commodity Series and $9 for the Managed Futures Index Series. For the nine months ended September 30, 2011, amounts paid or owing the Managing Owner for the difference in monthly service fees from prepaid initial service fees were $27,761 for the Balanced Series, $17,533 for the Frontier Long/Short Commodity Series, $22,103 for the Frontier Diversified Series, $530 for the Currency Series, $5,509 for the Berkeley/Graham/Tiverton Series, $3,742 for the Winton/Graham Series, $7,838 for the Winton Series and $11,973 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 nine months ended September 30, 2011, and 2010 the Trust paid $7,197,876 and $7,573,585, 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. The amount paid under this agreement was $429,634 and $514,050, respectively for the three months ended September 30, 2011 and 2010 and $1,483,875 and $1,472,121, respectively for the nine months ended September 30, 2011 and 2010.

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Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $773,341 and $925,290, respectively, for the three months ended September 30, 2011 and 2010 and $2,670,975 and $2,649,818, respectively, for the nine months ended September 30, 2011 and 2010.

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.

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7. Financial Highlights

The following information presents the financial highlights of the Trust for the three and nine months ended September 30, 2011 and 2010. This data has been derived from information presented in the financial statements.

	Frontier Diversified Series						Frontier Dynamic Series (6)(7)						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, June 30, 2011	$	101.63		$	105.37		$	90.24		$	93.47		$	140.52		$	164.69		$	164.68		$	124.76		$	129.28
Net operating results:
Interest income		0.44			0.45			0.37			0.07			0.71			0.83			0.83			0.63			0.65
Expenses		(2.60	)		(2.12	)		(0.83	)		(0.11	)		(4.03	)		(3.67	)		(3.66	)		(3.57	)		(2.87	)
Net gain/(loss) on investments, net of non-controlling interests		1.00			0.92			(1.73	)		(2.17	)		(0.60	)		(0.54	)		(0.55	)		(0.15	)		(0.43	)
Net income/(loss)		(1.16	)		(0.75	)		(2.19	)		(2.21	)		(3.92	)		(3.38	)		(3.38	)		(3.09	)		(2.65	)
Net asset value, September 30, 2011	$	100.47		$	104.62		$	88.05		$	91.26		$	136.60		$	161.31		$	161.30		$	121.67		$	126.63
Ratios to average net assets (3)
Net investment gain/(loss)		-8.61	%		-6.41	%		-44.59	%		-16.05	%		-9.16	%		-6.65	%		-6.65	%		-9.16	%		-6.65	%
Expenses before incentive fees		6.08	%		3.87	%		81.10	%		52.57	%		8.67	%		6.16	%		6.16	%		8.67	%		6.16	%
Expenses after incentive fees		10.35	%		8.15	%		81.10	%		52.57	%		11.10	%		8.59	%		8.59	%		11.10	%		8.59	%
Total return before incentive fees (2)		-0.06	%		0.39	%		-8.85	%		-0.78	%		-1.02	%		-0.58	%		-1.53	%		-2.64	%		-2.62	%
Total return after incentive fees (2)		-1.14	%		-0.69	%		-8.85	%		-0.78	%		-1.63	%		-1.19	%		-2.14	%		-3.26	%		-3.24	%

	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, June 30, 2011	$	99.01		$	102.63		$	130.46		$	114.39		$	160.02		$	133.35		$	133.36		$	100.81		$	122.02
Net operating results:
Interest income		0.53			0.55			0.08			0.07			0.09			0.08			0.08			0.12			0.14
Expenses		(2.79	)		(2.32	)		(2.77	)		(2.42	)		(2.24	)		(1.86	)		(1.86	)		(1.50	)		(0.90	)
Net gain/(loss) on investments, net of non-controlling interests		6.01			6.14			(1.74	)		(1.96	)		(2.11	)		(2.26	)		(2.27	)		(0.70	)		(0.84	)
Net income/(loss)		3.75			4.37			(4.43	)		(4.31	)		(4.26	)		(4.04	)		(4.05	)		(2.08	)		(1.60	)
Net asset value, September 30, 2011	$	102.76		$	107.00		$	126.03		$	110.08		$	155.76		$	129.31		$	129.31		$	98.73		$	120.42
Ratios to average net assets (3)
Net investment gain/(loss)		-8.76	%		-6.62	%		-8.50	%		-8.50	%		-5.50	%		-5.50	%		-5.50	%		-5.48	%		-2.48	%
Expenses before incentive fees		7.01	%		4.87	%		4.51	%		4.51	%		1.50	%		1.50	%		1.50	%		5.69	%		2.69	%
Expenses after incentive fees		10.80	%		8.66	%		8.73	%		8.73	%		5.73	%		5.73	%		5.73	%		5.95	%		2.95	%
Total return before incentive fees (2)		4.61	%		5.06	%		-2.55	%		-2.86	%		-1.77	%		-2.20	%		-2.30	%		-1.99	%		-1.26	%
Total return after incentive fees (2)		3.66	%		4.10	%		-3.62	%		-3.92	%		-2.83	%		-3.27	%		-3.37	%		-2.05	%		-1.32	%

	Currency Series (7)						Long Only Commodity 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, June 30, 2011	$	74.74		$	91.54		$	93.88		$	104.48		$	104.48		$	103.95		$	115.43		$	115.42
Net operating results:
Interest income		0.07			0.09			0.56			0.63			0.62			0.56			0.63			0.63
Expenses		(0.67	)		(0.16	)		(0.94	)		(0.53	)		(0.52	)		(1.44	)		(0.96	)		(0.96	)
Net gain/(loss) on investments, net of non-controlling interests		(2.03	)		(2.50	)		(12.70	)		(14.20	)		(14.20	)		19.74			21.96			21.97
Net income/(loss)		(2.63	)		(2.57	)		(13.08	)		(14.10	)		(14.10	)		18.86			21.63			21.64
Net asset value, September 30, 2011	$	72.11		$	88.97		$	80.80		$	90.38		$	90.38		$	122.81		$	137.06		$	137.06
Ratios to average net assets (3)
Net investment gain/(loss)		-3.30	%		-0.30	%		-1.60	%		0.39	%		0.39	%		-3.06	%		-1.06	%		-1.06	%
Expenses before incentive fees		3.69	%		0.69	%		3.99	%		2.01	%		2.01	%		5.03	%		3.03	%		3.03	%
Expenses after incentive fees		3.69	%		0.69	%		3.99	%		2.01	%		2.01	%		5.03	%		3.03	%		3.03	%
Total return before incentive fees (2)		-3.69	%		-0.60	%		-8.27	%		-9.71	%		-14.06	%		16.98	%		17.17	%		17.23	%
Total return after incentive fees (2)		-3.69	%		-0.60	%		-8.27	%		-9.71	%		-14.06	%		16.98	%		17.17	%		17.23	%

	Winton Series						Winton/Graham Series
	Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, June 30, 2011	$	132.13		$	152.92		$	113.85		$	138.90
Net operating results:
Interest income		0.32			0.38			0.21			0.25
Expenses		(3.63	)		(2.98	)		(2.66	)		(2.17	)
Net gain/(loss) on investments, net of non-controlling interests		13.25			15.35			1.91			2.31
Net income/(loss)		9.94			12.75			(0.54	)		0.39
Net asset value, September 30, 2011	$	142.07		$	165.67		$	113.31		$	139.29
Ratios to average net assets (3)
Net investment gain/(loss)		-9.34	%		-6.34	%		-8.35	%		-5.35	%
Expenses before incentive fees		5.89	%		2.89	%		6.58	%		3.58	%
Expenses after incentive fees		10.25	%		7.25	%		9.05	%		6.05	%
Total return before incentive fees (2)		8.27	%		8.93	%		0.27	%		1.03	%
Total return after incentive fees (2)		7.17	%		7.83	%		-0.35	%		0.40	%

(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 non-controlling 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.

(6) The Frontier Dynamic Series ceased trading operations on July 15, 2011 and redeemed all existing Units. The Series remains active. Net asset value per unit represents the liquidation value.

(7) For the three months ended September 30, 2011, 8.10% of the Currency Series’ Class 1 total return and 1.31% of the Currency Series’ Class 2 total return consists of a discretionary voluntary reimbursement by the managing owner for a realized investment loss. Excluding this item, total return would have been (11.79%) for Currency Series Class 1 and (1.90%) for Currency Series Class 2.

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	Frontier Diversified Series						Frontier Dynamic Series (6)(7)						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		1.22			1.26			11.50			11.68			1.96			2.29			2.29			1.74			1.80
Expenses		(7.53	)		(6.02	)		(21.09	)		(17.56	)		(14.30	)		(13.27	)		(13.28	)		(12.69	)		(10.45	)
Net gain/(loss) on investments, net of non-controlling interests		3.20			2.92			5.71			2.74			16.21			19.03			19.03			14.66			14.10
Net income/(loss)		(3.11	)		(1.84	)		(3.89	)		(3.14	)		3.87			8.05			8.04			3.71			5.45
Net asset value, September 30, 2011	$	100.47		$	104.62		$	88.05		$	91.26		$	136.60		$	161.31		$	161.30		$	121.67		$	126.63
Ratios to average net assets (3)
Net investment gain/(loss)		-8.12	%		-5.92	%		-19.61	%		-11.83	%		-11.39	%		-8.69	%		-8.69	%		-11.39	%		-8.69	%
Expenses before incentive fees		5.84	%		3.64	%		43.12	%		35.33	%		8.45	%		5.75	%		5.75	%		8.45	%		5.75	%
Expenses after incentive fees		9.69	%		7.50	%		43.12	%		35.33	%		13.20	%		10.50	%		10.50	%		13.20	%		10.50	%
Total return before incentive fees (2)		0.36	%		1.43	%		-4.25	%		-1.34	%		15.11	%		13.11	%		8.34	%		-0.56	%		0.90	%
Total return after incentive fees (2)		-2.52	%		-1.45	%		-4.25	%		-1.34	%		11.56	%		9.55	%		4.79	%		-4.11	%		-2.65	%

	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		1.25			1.29			0.15			0.13			0.18			0.15			0.15			0.13			0.16
Expenses		(6.62	)		(5.13	)		(8.93	)		(7.85	)		(7.25	)		(6.05	)		(6.06	)		(4.59	)		(2.65	)
Net gain/(loss) on investments, net of non-controlling interests		5.17			5.03			2.86			1.44			3.37			1.55			1.56			(7.27	)		(8.82	)
Net income/(loss)		(0.20	)		1.19			(5.92	)		(6.28	)		(3.70	)		(4.35	)		(4.35	)		(11.73	)		(11.31	)
Net asset value, September 30, 2011	$	102.76		$	107.00		$	126.03		$	110.08		$	155.76		$	129.31		$	129.31		$	98.73		$	120.42
Ratios to average net assets (3)
Net investment gain/(loss)		-6.96	%		-4.81	%		-8.84	%		-8.84	%		-5.84	%		-5.84	%		-5.84	%		-5.59	%		-2.59	%
Expenses before incentive fees		6.85	%		4.70	%		4.30	%		4.30	%		1.30	%		1.30	%		1.30	%		5.69	%		2.69	%
Expenses after incentive fees		8.57	%		6.42	%		8.99	%		8.99	%		5.99	%		5.99	%		5.99	%		5.76	%		2.76	%
Total return before incentive fees (2)		1.45	%		2.31	%		0.30	%		-0.24	%		1.73	%		0.51	%		0.71	%		-10.35	%		-7.86	%
Total return after incentive fees (2)		0.16	%		1.01	%		-3.21	%		-3.75	%		-1.78	%		-3.00	%		-2.80	%		-10.40	%		-7.91	%

	Currency Series						Long Only Commodity 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		0.76			0.93			1.55			1.72			1.68			1.67			1.85			1.85
Expenses		(3.39	)		(2.08	)		(2.75	)		(1.46	)		(1.42	)		(4.09	)		(2.63	)		(2.63	)
Net gain/(loss) on investments, net of non-controlling interests		(4.35	)		(5.31	)		(12.11	)		(13.59	)		(13.76	)		7.27			8.15			11.11
Net income/(loss)		(6.98	)		(6.46	)		(13.31	)		(13.33	)		(13.50	)		4.85			7.37			10.33
Net asset value, September 30, 2011	$	72.11		$	88.97		$	80.80		$	90.38		$	90.38		$	122.81		$	137.06		$	137.06
Ratios to average net assets (3)
Net investment gain/(loss)		-4.66	%		-1.67	%		-1.67	%		0.33	%		0.34	%		-2.83	%		-0.83	%		-0.88	%
Expenses before incentive fees		6.00	%		3.01	%		3.84	%		1.84	%		1.93	%		4.79	%		2.79	%		2.93	%
Expenses after incentive fees		6.00	%		3.01	%		3.84	%		1.84	%		1.93	%		4.79	%		2.79	%		2.93	%
Total return before incentive fees (2)		-9.13	%		-3.14	%		-2.45	%		2.05	%		-37.82	%		-4.05	%		4.60	%		8.10	%
Total return after incentive fees (2)		-9.13	%		-3.14	%		-2.45	%		2.05	%		-37.82	%		-4.05	%		4.60	%		8.10	%

	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		0.81			0.94			0.41			0.50
Expenses		(7.97	)		(5.65	)		(6.70	)		(4.91	)
Net gain/(loss) on investments, net of non-controlling interests		14.19			16.39			(0.23	)		(0.34	)
Net income/(loss)		7.03			11.68			(6.52	)		(4.75	)
Net asset value, September 30, 2011	$	142.07		$	165.67		$	113.31		$	139.29
Ratios to average net assets (3)
Net investment gain/(loss)		-6.98	%		-3.98	%		-7.10	%		-4.10	%
Expenses before incentive fees		5.81	%		2.81	%		6.69	%		3.70	%
Expenses after incentive fees		7.77	%		4.77	%		7.57	%		4.57	%
Total return before incentive fees (2)		6.37	%		8.73	%		-4.08	%		-1.29	%
Total return after incentive fees (2)		4.90	%		7.26	%		-4.73	%		-1.95	%

(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 non-controlling 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.

(6) The Frontier Dynamic Series ceased trading operations on July 15, 2011 and redeemed all existing Units. The Series remains active. Net asset value per unit represents the liquidation value.

(7) For the nine months ended September 30, 2011, 6.97% of the Currency Series’ Class 1 total return and 2.40% of the Currency Series’ Class 2 total return consists of a discretionary voluntary reimbursement by the managing owner for a realized investment loss. Excluding this item, total return would have been (16.11%) for Currency Series Class 1 and (5.54%) for Currency Series Class 2.

61

	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, June 30, 2010	$	97.51		$	99.34		$	89.79		$	91.39		$	107.25		$	121.98		$	121.97		$	96.08		$	97.84
Net operating results:
Interest income		0.48			0.49			6.18			6.30			0.54			0.62			0.62			0.49			0.50
Expenses		(2.29	)		(1.79	)		(10.84	)		(9.38	)		(3.54	)		(3.12	)		(3.12	)		(3.18	)		(2.50	)
Net gain/(loss) on investments, net of non-controlling interests		4.99			4.99			6.02			4.87			13.30			15.23			15.24			11.83			11.77
Net income/(loss)		3.18			3.69			1.36			1.79			10.30			12.73			12.74			9.14			9.77
Net asset value, September 30, 2010	$	100.69		$	103.03		$	91.15		$	93.18		$	117.55		$	134.71		$	134.71		$	105.22		$	107.61
Ratios to average net assets (3)
Net investment gain/(loss)		-7.40	%		-5.22	%		-20.67	%		-13.38	%		-10.85	%		-7.92	%		-7.92	%		-10.85	%		-7.92	%
Expenses before incentive fees		5.54	%		3.35	%		48.03	%		40.74	%		8.73	%		5.80	%		5.80	%		8.73	%		5.80	%
Expenses after incentive fees		9.35	%		7.16	%		48.03	%		40.74	%		12.81	%		9.88	%		9.88	%		12.81	%		9.88	%
Total return before incentive fees (2)		4.52	%		5.07	%		1.48	%		1.97	%		10.10	%		11.16	%		11.76	%		10.62	%		11.65	%
Total return after incentive fees (2)		3.56	%		4.11	%		1.48	%		1.97	%		9.07	%		10.14	%		10.73	%		9.59	%		10.62	%

	Frontier Masters Series						Balanced Series															Berkeley/Graham/Tiverton Series (4)
	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, June 30, 2010	$	93.66		$	95.39		$	120.89		$	107.17		$	143.90		$	121.26		$	121.27		$	100.78		$	118.37
Net operating results:
Interest income		0.51			0.52			0.02			0.02			0.03			0.02			0.02			0.00			0.00
Expenses		(2.28	)		(1.76	)		(2.84	)		(2.51	)		(2.30	)		(1.94	)		(1.94	)		(1.74	)		(1.16	)
Net gain/(loss) on investments, net of non-controlling interests		7.50			7.53			9.04			7.74			10.83			8.82			8.79			6.58			7.79
Net income/(loss)		5.73			6.29			6.22			5.25			8.56			6.90			6.87			4.84			6.63
Net asset value, September 30, 2010	$	99.39		$	101.68		$	127.11		$	112.42		$	152.46		$	128.16		$	128.14		$	105.62		$	125.00
Ratios to average net assets (3)
Net investment gain/(loss)		-7.46	%		-5.17	%		-9.27	%		-9.27	%		-6.27	%		-6.27	%		-6.27	%		-6.87	%		-3.87	%
Expenses before incentive fees		7.79	%		5.50	%		4.28	%		4.28	%		1.28	%		1.28	%		1.28	%		6.89	%		3.88	%
Expenses after incentive fees		9.61	%		7.32	%		9.35	%		9.35	%		6.35	%		6.35	%		6.35	%		6.89	%		3.88	%
Total return before incentive fees (2)		7.01	%		7.49	%		6.37	%		5.49	%		7.07	%		6.93	%		7.23	%		4.74	%		5.38	%
Total return after incentive fees (2)		6.55	%		7.03	%		5.09	%		4.22	%		5.79	%		5.65	%		5.95	%		4.74	%		5.38	%

	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, June 30, 2010	$	80.02		$	95.11		$	75.21		$	82.05		$	115.01		$	125.18		$	126.88		$	142.50		$	110.70		$	131.07
Net operating results:
Interest income		0.31			0.37			0.40			0.44			0.23			0.25			0.21			0.24			0.14			0.16
Expenses		(1.31	)		(0.83	)		(0.75	)		(0.38	)		(1.34	)		(0.85	)		(2.06	)		(1.26	)		(2.11	)		(1.52	)
Net gain/(loss) on investments, net of non-controlling interests		1.89			2.24			7.98			8.73			0.66			0.74			5.28			6.00			5.17			6.18
Net income/(loss)		0.89			1.78			7.63			8.79			(0.45	)		0.14			3.43			4.98			3.20			4.82
Net asset value, September 30, 2010	$	80.91		$	96.89		$	82.84		$	90.84		$	114.56		$	125.32		$	130.31		$	147.48		$	113.90		$	135.89
Ratios to average net assets (3)
Net investment gain/(loss)		-4.92	%		-1.92	%		-1.73	%		0.27	%		-3.95	%		-1.95	%		-5.87	%		-2.87	%		-7.14	%		-4.14	%
Expenses before incentive fees		6.43	%		3.43	%		3.78	%		1.78	%		4.75	%		2.75	%		6.09	%		3.09	%		6.95	%		3.95	%
Expenses after incentive fees		6.43	%		3.43	%		3.78	%		1.78	%		4.75	%		2.75	%		6.55	%		3.54	%		7.64	%		4.63	%
Total return before incentive fees (2)		1.10	%		1.86	%		9.74	%		10.21	%		-0.54	%		0.08	%		2.79	%		3.58	%		3.03	%		3.85	%
Total return after incentive fees (2)		1.10	%		1.86	%		9.74	%		10.21	%		-0.54	%		0.08	%		2.67	%		3.46	%		2.85	%		3.67	%

(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

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

62

	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		1.49			1.52			2.89			2.93			1.37			1.56			1.56			1.23			1.25
Expenses		(6.19	)		(4.70	)		(10.51	)		(4.41	)		(9.27	)		(7.73	)		(7.74	)		(8.28	)		(6.20	)
Net gain/(loss) on investments, net of non-controlling interests		8.59			8.44			7.34			2.41			11.68			13.39			13.40			10.78			10.08
Net income/(loss)		3.89			5.26			(0.28	)		0.93			3.78			7.22			7.22			3.73			5.13
Net asset value, September 30, 2010	$	100.69		$	103.03		$	91.15		$	93.18		$	117.55		$	134.71		$	134.71		$	105.22		$	107.61
Ratios to average net assets (3)
Net investment gain/(loss)		-6.50	%		-4.31	%		-11.30	%		-2.15	%		-9.54	%		-6.58	%		-6.58	%		-9.54	%		-6.58	%
Expenses before incentive fees		5.54	%		3.35	%		15.59	%		6.45	%		8.51	%		5.55	%		5.55	%		8.51	%		5.55	%
Expenses after incentive fees		8.56	%		6.37	%		15.59	%		6.45	%		11.20	%		8.24	%		8.24	%		11.20	%		8.24	%
Total return before incentive fees (2)		8.35	%		9.65	%		0.34	%		0.05	%		3.77	%		7.40	%		12.11	%		10.71	%		11.33	%
Total return after incentive fees (2)		6.09	%		7.39	%		0.34	%		0.05	%		1.75	%		5.39	%		10.10	%		8.70	%		9.31	%

	Frontier Masters Series						Balanced Series															Berkeley/Graham/Tiverton Series (4)
	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		1.42			1.44			0.12			0.10			0.14			0.12			0.12			0.00			0.00
Expenses		(5.61	)		(4.02	)		(7.06	)		(6.24	)		(5.21	)		(4.39	)		(4.43	)		(5.10	)		(3.31	)
Net gain/(loss) on investments, net of non-controlling interests		9.12			8.89			15.51			13.06			18.52			14.83			14.85			6.07			7.21
Net income/(loss)		4.93			6.31			8.57			6.92			13.45			10.56			10.54			0.97			3.90
Net asset value, September 30, 2010	$	99.39		$	101.68		$	127.11		$	112.42		$	152.46		$	128.16		$	128.14		$	105.62		$	125.00
Ratios to average net assets (3)
Net investment gain/(loss)		-5.96	%		-3.61	%		-7.80	%		-7.80	%		-4.80	%		-4.80	%		-4.80	%		-6.74	%		-3.74	%
Expenses before incentive fees		7.27	%		4.92	%		4.08	%		4.08	%		1.07	%		1.07	%		1.07	%		6.74	%		3.74	%
Expenses after incentive fees		7.99	%		5.63	%		7.93	%		7.93	%		4.93	%		4.93	%		4.93	%		6.74	%		3.74	%
Total return before incentive fees (2)		8.41	%		6.89	%		9.85	%		7.00	%		11.97	%		11.54	%		15.24	%		0.59	%		2.37	%
Total return after incentive fees (2)		7.87	%		6.36	%		6.97	%		4.12	%		9.09	%		8.66	%		12.36	%		0.59	%		2.37	%

	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		0.61			0.73			1.23			1.33			0.56			0.60			0.40			0.45			0.39			0.47
Expenses		(3.04	)		(1.51	)		(2.24	)		(1.15	)		(3.94	)		(2.46	)		(5.77	)		(3.37	)		(5.77	)		(3.92	)
Net gain/(loss) on investments, net of non-controlling interests		5.34			6.33			0.26			0.36			5.40			5.90			18.11			20.30			9.22			10.95
Net income/(loss)		2.91			5.55			(0.75	)		0.54			2.02			4.04			12.74			17.38			3.84			7.50
Net asset value, September 30, 2010	$	80.91		$	96.89		$	82.84		$	90.84		$	114.56		$	125.32		$	130.31		$	147.48		$	113.90		$	135.89
Ratios to average net assets (3)
Net investment gain/(loss)		-4.08	%		-1.08	%		-1.71	%		0.29	%		-4.04	%		-2.04	%		-5.85	%		-2.84	%		-6.60	%		-3.59	%
Expenses before incentive fees		5.10	%		2.10	%		3.78	%		1.78	%		4.70	%		2.70	%		6.13	%		3.13	%		6.85	%		3.85	%
Expenses after incentive fees		5.10	%		2.10	%		3.78	%		1.78	%		4.70	%		2.70	%		6.28	%		3.28	%		7.08	%		4.08	%
Total return before incentive fees (2)		3.82	%		0.93	%		-1.73	%		-1.17	%		1.74	%		2.47	%		10.43	%		12.57	%		3.46	%		5.89	%
Total return after incentive fees (2)		3.82	%		0.93	%		-1.73	%		-1.17	%		1.74	%		2.47	%		10.32	%		12.45	%		3.29	%		5.72	%

(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

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

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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 September 30, 2011 and 2010 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to each Series’ position in swap contracts. This activity was performed by affiliated Trading Companies and does not include activity of unaffiliated trading Company investments.

The following tables summarize the monthly averages of futures contracts bought and sold for each respective Series of the Trust:

For The Three Months Ended September 30, 2011

Monthly average contracts	Bought		Sold
Frontier Long/Short Commodity Series		149,200		104,200
Frontier Masters Series		6,800		2,900
Balanced Series		12,200		4,600
Currency Series		3,800		1,500

For The Nine Months Ended September 30, 2011

Monthly average contracts	Bought		Sold
Frontier Long/Short Commodity Series		149,200		104,200
Frontier Masters Series		15,200		5,800
Balanced Series		24,300		11,600
Currency Series		7,000		3,500
Winton/Graham Series		17,900		6,800

For The Three Months Ended September 30, 2010

Monthly average contracts	Bought		Sold
Balanced Series		88,000		61,400
Campbell/Graham/Tiverton Series		7,500		300
Currency Series		900		7,600
Winton/Graham Series		12,900		3,300

For The Nine Months Ended September 30, 2010

Monthly average contracts	Bought		Sold
Frontier Diversified Series		7,000		1,300
Frontier Long/Short Commodity Series		168,700		115,000
Balanced Series		41,100		43,700
Campbell/Graham/Tiverton Series		9,200		3,700
Currency Series		2,000		22,500
Winton/Graham Series		27,000		4,800

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The following tables summarize the trading revenues for the three and nine month period ended September 30, 2011 and September 30, 2010 approximately by sector:

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended September 30, 2011⁽¹⁾

Type of contract	Frontier Long/Short Commodity Series			Frontier Masters Series			Balanced Series
Metals	$	(13,546,767	)	$	(188,629	)	$	(8,988,918	)
Currencies		708,553			(1,085,512	)		(28,712,306	)
Energies		9,678,380			(428,493	)		(3,855,272	)
Agriculturals		3,865,415			(330,073	)		(7,938,422	)
Interest rates		1,218,775			676,484			37,723,387
Stock indices		158,862			(154,044	)		2,555,251
Realized trading income/(loss)(2)	$	2,083,218		$	(1,510,267	)	$	(9,216,280	)

Type of contract	Currency Series
Metals	$	—
Currencies		27,976
Energies		—
Agriculturals		—
Interest rates		—
Stock indices		—
Realized trading income/(loss)(2)	$	27,976

Realized Trading Revenue from Futures, Forwards and Options

for the Nine Months Ended September 30, 2011⁽¹⁾

Type of contract	Frontier Long/Short Commodity Series			Frontier Masters Series			Balanced Series
Metals	$	(13,546,767	)	$	156,659		$	(9,080,153	)
Currencies		708,553			(1,389,109	)		(22,398,216	)
Energies		9,678,380			(1,492,202	)		(5,236,069	)
Agriculturals		3,865,415			(1,039,562	)		(10,521,887	)
Interest rates		1,218,775			1,167,949			42,189,800
Stock indices		158,862			(659,364	)		(5,757,583	)
Realized trading income/(loss)(2)	$	2,083,218		$	(3,255,629	)	$	(10,804,108	)

Type of contract	Currency Series			Winton/Graham Series
Metals	$	—		$	1,144,332
Currencies		(142,069	)		110,745
Energies		—			91,930
Agriculturals		—			1,912
Interest rates		—			391,518
Stock indices		—			(942,278	)
Realized trading income/(loss)(2)	$	(142,069	)	$	798,159

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

for the Three Months Ended September 30, 2011 ⁽¹⁾

Type of contract	Frontier Long/Short Commodity Series			Frontier Masters Series			Balanced Series
Metals	$	15,878,273		$	165,475		$	19,876,345
Currencies		(555,810	)		(30,570	)		(6,530,704	)
Energies		(13,233,592	)		120,574			600,800
Agriculturals		(467,268	)		(133,312	)		4,161,214
Interest rates		(1,797,937	)		121,316			2,733,205
Stock indices		(426,825	)		194,318			(364,392	)
Change in unrealized trading income/(loss)(3)	$	(603,159	)	$	437,801		$	20,476,468

Type of contract	Currency Series
Metals	$	—
Currencies		(2,759	)
Energies		—
Agriculturals		—
Interest rates		—
Stock indices		—
Change in unrealized trading income/(loss)(3)	$	(2,759	)

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

for the Nine Months Ended September 30, 2011 ⁽¹⁾

Type of contract	Frontier Long/Short Commodity Series			Frontier Masters Series			Balanced Series
Metals	$	15,878,273		$	(50,223	)	$	22,091,608
Currencies		(555,810	)		609,296			(22,590,346	)
Energies		(13,233,592	)		51,126			2,644,424
Agriculturals		(467,268	)		(31,548	)		(4,261,859	)
Interest rates		(1,797,937	)		(1,224,258	)		1,374,509
Stock indices		(426,825	)		910,499			(3,438,136	)
Change in unrealized trading income/(loss)(3)	$	(603,159	)	$	264,892		$	(4,179,800	)

Type of contract	Currency Series			Winton/Graham Series
Metals	$	—		$	(619,217	)
Currencies		(27,166	)		(571,607	)
Energies		—			12,279
Agriculturals		—			(371,424	)
Interest rates		—			(285,680	)
Stock indices		—			313,862
Change in unrealized trading income/(loss)(3)	$	(27,166	)	$	(1,521,787	)

(1) The Frontier Diversified Series, Berkeley/Graham/Tiverton Series (formerly known as Campbell/Graham/Tiverton Series), Currency Series, Winton/Graham Series, Frontier Long/Short Commodity Series, Managed Futures Index Series and Winton 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. The Balanced Series consolidated Frontier Trading Company XIV, LLC since June 20, 2011. The Frontier Long/Short Series consolidated Frontier Trading Company VII, LLC since September 28, 2011.

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

(3) Amounts recorded 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 September 30, 2010 ⁽¹⁾

Type of contract	Frontier Diversified Series		Frontier Long/Short Commodity Series		Balanced Series
Metals	$	—	$	—	$	1,826,578
Currencies		—		—		(879,563	)
Energies		—		—		(57,684	)
Agriculturals		—		—		(2,799,191	)
Interest rates		—		—		3,352,486
Stock indices		—		—		(114,403	)
Realized trading income/(loss)(2)	$	—	$	—	$	1,328,223

Type of contract	Campbell/Graham/ Tiverton Series			Currency Series			Winton/Graham Series
Metals	$	(20,516	)	$	—		$	(2,144,350	)
Currencies		(222,962	)		(40,159	)		799,427
Energies		175,842			—			(2,896,534	)
Agriculturals		805,625			—			458,966
Interest rates		1,596,763			—			4,417,972
Stock indices		(876,524	)		—			(820,379	)
Realized trading income/(loss)(2)	$	1,458,228		$	(40,159	)	$	(184,898	)

Realized Trading Revenue from Futures, Forwards and Options

for the Nine Months Ended September 30, 2010 ⁽¹⁾

Type of contract	Frontier Diversified Series			Frontier Long/Short Commodity Series			Balanced Series
Metals	$	906,825		$	334,220		$	6,029,404
Currencies		224,610			619,216			(2,538,024	)
Energies		(725,644	)		(32,272,413	)		(1,713,891	)
Agriculturals		(1,060,508	)		6,407,717			(5,896,681	)
Interest rates		1,444,587			(497,654	)		8,164,682
Stock indices		(730,345	)		1,379,261			(1,831,411	)
Realized trading income/(loss)(2)	$	59,525		$	(24,029,653	)	$	2,214,079

Type of contract	Campbell/Graham/ Tiverton Series			Currency Series		Winton/Graham Series
Metals	$	(925,921	)	$	—	$	(2,420,250	)
Currencies		(655,992	)		252,605		1,267,073
Energies		(237,740	)		—		(4,164,199	)
Agriculturals		1,023,799			—		(340,462	)
Interest rates		5,138,272			—		8,619,172
Stock indices		(1,805,789	)		—		(3,484,734	)
Realized trading income/(loss)(2)	$	2,536,629		$	252,605	$	(523,400	)

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

for the Three Months Ended September 30, 2010 ⁽¹⁾

Type of contract	Frontier Diversified Series		Frontier Long/Short Commodity Series		Balanced Series
Metals	$	—	$	—	$	3,968,524
Currencies		—		—		(1,051,243	)
Energies		—		—		1,545,326
Agriculturals		—		—		3,905,423
Interest rates		—		—		2,179,192
Stock indices		—		—		2,589,632
Unrealized trading income/(loss)(3)	$	—	$	—	$	13,136,854

Type of contract	Campbell/Graham/ Tiverton Series			Currency Series		Winton/Graham Series
Metals	$	(566,954	)	$	—	$	18,081
Currencies		243,759			29,630		227,696
Energies		530,812			—		685,325
Agriculturals		563,214			—		556,392
Interest rates		876,598			—		816,553
Stock indices		665,022			—		349,222
Unrealized trading income/(loss)(3)	$	2,312,451		$	29,630	$	2,653,269

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

for the Nine Months Ended September 30, 2010 ⁽¹⁾

Type of contract	Frontier Diversified Series			Frontier Long/Short Commodity Series			Balanced Series
Metals	$	(1,808,138	)	$	282,667		$	1,915,145
Currencies		842,676			(69,820	)		(1,361,164	)
Energies		(4,250	)		24,029,704			2,220,363
Agriculturals		(390,911	)		(5,585,339	)		3,707,526
Interest rates		883,518			(201,571	)		7,511,701
Stock indices		(227,989	)		31,629			(385,298	)
Unrealized trading income/(loss)(3)	$	(705,094	)	$	18,487,270		$	13,608,273

Type of contract	Campbell/Graham/ Tiverton Series			Currency Series		Winton/Graham Series
Metals	$	(1,051,250	)	$	—	$	(656,657	)
Currencies		373,048			43,722		1,327,174
Energies		540,959			—		297,169
Agriculturals		4,876			—		23,651
Interest rates		1,237,112			—		484,966
Stock indices		1,011,083			—		(55,181	)
Unrealized trading income/(loss)(3)	$	2,115,828		$	43,722	$	1,421,122

(1) The Frontier Diversified Series, Frontier Masters Series, Campbell/Graham/Tiverton Series, Managed Futures Index Series and Winton Series participate in trading activities through equity in earnings/(loss) from trading companies. The Frontier Dynamic Series and Long Only Commodity Series participates in trading activities through realized gain/(loss) on swap contracts. Frontier Long/Short Commodity Series deconsolidated Frontier Trading Company VII, LLC as of January 31, 2010. The Frontier Diversified Series deconsolidated Beach Horizon Trading Company—Horizon Program, LLC as of June 21, 2010. The Balanced Series deconsolidated Cantab Trading Company—Aristarchus Program, LLC as of September 1, 2010, QIM Trading Company—Global Program, LLC as of September 29, 2010, Tiverton Trading Company—Discretionary Program, LLC as of June 2, 2010, Winton Trading Company—Diversified Program, LLC as of July 22, 2010, Frontier Trading Company XIV, LLC as of January 25, 2010 and Frontier Trading Company VI, LLC as of March 19, 2010. The Campbell/Graham/Tiverton Series consolidated Frontier Trading Company VI, LLC on March 19, 2010 and thereafter. The Frontier Long/Short Commodity 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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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.

11. Subsequent Events

None.

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.

69

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 Series 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 September 30, 2011 the Trust had eleven separate Series of Units issued and outstanding: the Frontier Diversified Series, Frontier Dynamic Series (all of whose Units have been redeemed as of September 30, 2011, but the Series remains open), 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.

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.

70

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 September 30, 2011, cash deposited at the clearing brokers was $67,309,977 for the Balanced Series, $83,085,859 for the Frontier Long/Short Commodity Series and $4,986,615 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 September 30, 2011, total cash and cash equivalents and custom time deposits held at banking institutions were $76,013,209 for the Frontier Diversified Series, $0 for the Frontier Dynamic Series, $30,626,179 for the Frontier Long/Short Commodity Series, $38,136,709for the Frontier Masters Series, $137,031,401 for the Balanced Series, $27,343,126 for the Berkeley/Graham/Tiverton Series, $1,922,902 for the Currency Series, $1,231,306 for the Long Only Commodity Series, $2,693,961 for the Managed Futures Index Series, $39,557,999, for the Winton Series, and $25,241,099 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.

During the second and third quarters of 2011, the Trust experienced redemptions in excess of subscriptions due primarily to seven of the eleven Series being closed to new investments and to the termination of a selling agent relationship. The Managing Owner does not expect any impact on the investment mix of any Series due to the high level of liquidity maintained in the Trust.

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

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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 September 30, 2011 Compared to Three Months Ended September 30, 2010.

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

Frontier Diversified Series

The Frontier Diversified Series – Class 1 NAV lost 1.1% and gained 3.3%, respectively, for the three months ended September 30, 2011 and 2010, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV lost 0.7% and gained 3.7%, respectively for the three months ended September 30, 2011 and 2010, net of fees and expenses.

For the three months ended September 30, 2011, the Frontier Diversified Series recorded net gain on investments of $1,334,498, net income of $597,834, and total expenses of $3,212,711, resulting in a net decrease in Owners’ capital from operations of $1,280,379. For the three months ended September 30, 2010, the Frontier Diversified Series recorded net gain on investments of $7,158,422, net income of $646,659, and total expenses of $2,794,759, resulting in a net increase in Owners’ capital from operations of $5,010,322.

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Please see additional discussion under “Nine Months Ended September 30, 2011 Compared to Nine Months Ended September 30, 2010 – Frontier Diversified Series.”

Frontier Dynamic Series

The Frontier Dynamic Series ceased trading operations on July 15, 2011, has redeemed all Units, but remains open.

The Frontier Dynamic Series – Class 1 NAV lost 8.9% and 1.5%, respectively, for the period ended September 30, 2011 and 2010, net of fees and expenses; the Frontier Dynamic Series – Class 2 NAV lost 0.8% and 2.0%, respectively for the period ended September 30, 2011 and 2010, net of fees and expenses.

For the period ended September 30, 2011, the Frontier Dynamic Series recorded net loss on investments of $24,091, net income of $19,575, and total expenses of $32,011, resulting in a net decrease in Owners’ capital from operations of $36,527. For the three months ended September 30, 2010, the Frontier Dynamic Series recorded net gain on investments of $107,701, net income of $116,249, and total expenses of $197,186, resulting in a net increase in Owners’ capital from operations of $26,764.

Please see additional discussion under “Nine Months Ended September 30, 2011 Compared to Nine Months Ended September 30, 2010 – Frontier Dynamic Series.”

Frontier Long/Short Commodity Series

The Frontier Long/Short Commodity Series – Class 1 NAV lost 1.6% and gained 9.6%, respectively, for the three months ended September 30, 2011 and 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 NAV lost 1.2% and gained 10.4%, respectively, for the three months ended September 30, 2011 and 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV lost 2.1% and gained 10.4%, respectively for the three month period ended September 30, 2011 and 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1a NAV lost 3.3% and gained 9.5%, respectively, for the three month period ended September 30, 2011 and 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV lost 3.2% and gained 10.0%, respectively, for the three month period ended September 30, 2011 and 2010, net of fees and expenses.

For the three months ended September 30, 2011, the Frontier Long/Short Commodity Series recorded net gain on investments of $1,911,273, net income of $352,489, and total expenses of $1,735,397, resulting in a net decrease in Owners’ capital from operations of $1,660,506, after non-controlling interests of ($2,188,871). For the three months ended September 30, 2010, the Frontier Long/Short Commodity Series recorded net gain on investments of $7,893,906, net income of $322,967, and total expenses of $1,903,890, resulting in a net increase in Owners’ capital from operations of $6,312,983.

Please see additional discussion under “Nine Months Ended September 30, 2011 Compared to Nine Months Ended September 30, 2010 – Frontier Long/Short Commodity Series.”

Frontier Masters Series

The Frontier Masters Series – Class 1 NAV gained 3.7% and 6.1%, respectively, for the three months ended September 30, 2011 and 2010, net of fees and expenses; the Frontier Masters Series – Class 2 NAV gained 4.1% and 6.6%, respectively for the three months ended September 30, 2011 and 2010, net of fees and expenses.

For the three months ended September 30, 2011, the Frontier Masters Series recorded net gain on investments of $3,257,219, net income of $288,132, and total expenses of $1,416,090, resulting in a net increase in Owners’ capital from operations of $2,140,082, after non-controlling interests of $10,821. For the three months ended September 30, 2010, the Frontier Masters Series recorded net gain on investments of $4,601,601, net income of $296,656, and total expenses of $1,206,304, resulting in a net increase in Owners’ capital from operations of $3,691,953.

Please see additional discussion under “Nine Months Ended September 30, 2011 Compared to Nine Months Ended September 30, 2010 – Frontier Masters Series.”

Balanced Series

The Balanced Series – Class 1 NAV lost 3.6% and gained 5.1%, respectively, for the three months ended September 30, 2011 and 2010, net of fees and expenses; the Balanced Series – Class 1a NAV lost 3.9% and gained 4.9%, respectively, for the three months ended

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September 30, 2011 and 2010, net of fees and expenses; the Balanced Series – Class 2 NAV lost 2.8% and gained 5.9%, respectively, for the three months ended September 30, 2011 and 2010, net of fees and expenses; the Balanced Series – Class 2a NAV lost 3.3% and gained 5.7%, respectively, for the three months ended September 30, 2011 and 2010, net of fees and expenses; the Balanced Series – Class 3a NAV lost 3.4% and gained 5.7% for the three months ended September 30, 2011 and 2010, respectively, net of fees and expenses.

For the three months ended September 30, 2010, the Balanced Series recorded net gain on investments of $3,644,425, net income of $163,059, and total expenses of $5,463,097, resulting in a net decrease in Owners’ capital from operations of $9,337,840 after non-controlling interests of ($7,682,227). For the three months ended September 30, 2010, the Balanced Series recorded net gain on investments of $31,652,538, net income of $68,974, and total expenses of $7,856,716, resulting in a net increase in Owners’ capital from operations of $18,815,391 after non-controlling interests of ($5,049,405).

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

Please see additional discussion under “Nine Months Ended September 30, 2011 Compared to Nine Months Ended September 30, 2010 – Balanced Series.”

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

The Berkeley/Graham/Tiverton Series – Class 1 NAV lost 2.1% and gained 4.8%, respectively, for the three months ended September 30, 2011 and 2010, net of fees and expenses; the Campbell/Graham/Tiverton Series – Class 2 NAV lost 1.3% and gained 5.6%, respectively for the three months ended September 30, 2011 and 2010, net of fees and expenses.

For the three months ended September 30, 2010, the Berkeley/Graham/Tiverton Series recorded net loss on investments of $313,891, net income of $54,940, and total expenses of $659,304, resulting in a net decrease in Owners’ capital from operations of $918,255. For the three months ended September 30, 2010, the Berkeley/Graham/Tiverton Series recorded net gain on investments of $5,546,389, net income of $2,477, and total expenses of $1,148,905, resulting in a net increase in Owners’ capital from operations of $3,354,806 after non-controlling interests of ($1,045,155).

Please see additional discussion under “Nine Months Ended September 30, 2011 Compared to Nine Months Ended September 30, 2010 – Berkeley/Graham/Tiverton Series.”

Currency Series

The Currency Series – Class 1 NAV lost 3.7% and gained 1.1% , respectively, for the three months ended September 30, 2011 and 2010, net of fees and expenses; the Currency Series – Class 2 NAV lost 0.6% and gained 1.9%, respectively for the three months ended September 30, 2011 and 2010, net of fees and expenses.

During July, 2011, Currency Series liquidated its interest in an option basket and realized a decrease in fair value greater than had previously been recorded as unrealized loss. The Managing Owner determined to make a one time administrative adjustment by payment to the Currency Series of $390,589 to reimburse the effect of the loss on the investors in the series, exclusive of the inter-series payables’ interests, recorded in the Statements of Operations as Net increase from payments by managing owner.

For the three months ended September 30, 2010, the Currency Series recorded net loss on investments of $138,127, net income of $5,231, and total expenses of $44,968, resulting in a net decrease in Owners’ capital from operations of $177,864. For the three months ended September 30, 2010, the Currency Series recorded net gain on investments of $181,704, net income of $29,500, and total expenses of $119,603, resulting in a net increase in Owners’ capital from operations of $91,601.

All commodity interest positions of the Currency Series during 2010 were within the Currencies sector.

Please see additional discussion under “Nine Months Ended September 30, 2011 Compared to Nine Months Ended September 30, 2010 – Currency Series.”

Long Only Commodity Series

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The Long Only Commodity Series – Class 1 NAV lost 8.3% and gained 10.1%, respectively, for the three months ended September 30, 2011and 2010, net of fees and expenses; the Long Only Commodity Series – Class 2 NAV lost 9.7% and gained 10.7% respectively, for the three months ended September 30, 2011 and 2010, net of fees and expenses; the Long Only Commodity Series – Class 3 NAV lost 14.1% for the three months ended September 30, 2011, net of fees and expenses.

For the three months ended September 30, 2010, the Long Only Commodity Series recorded net loss on investments of $232,094, net income of $13,511, and total expenses of $17,273, resulting in a net decrease in Owners’ capital from operations of $235,856. For the three months ended September 30, 2010, the Long Only Commodity Series recorded net gain on investments of $389,776, net income of $19,768, and total expenses of $32,769, resulting in a net increase in Owners’ capital from operations of $376,775.

Please see additional discussion under “Nine Months Ended September 30, 2011 Compared to Nine Months Ended September 30, 2010 – Long Only Commodity Series.”

Managed Futures Index Series

The Managed Futures Index Series – Class 1 NAV gained 17.0% and lost 0.4%, respectively, for the three months ended September 30, 2011 and 2010, respectively, net of fees and expenses; the Managed Futures Index Series – Class 2 NAV gained 17.2% and gained 0.1%, respectively, for the three months ended September 30, 2011 and 2010, net of fees and expenses; the Managed Futures Index Series – Class 3 NAV gained 17.2% for the three months ended September 30, 2011, net of fees and expenses.

For the three months ended September 30, 2010, the Managed Futures Index Series recorded a net gain on investments of $667,651, net income of $18,960, and total expenses of $31,132, resulting in a net increase in Owners’ capital from operations of $655,479. For the three months ended September 30, 2010, the Managed Futures Index Series recorded a net gain on investments of $29,166, net income of $11,074, and total expenses of $46,196, resulting in a net decrease in Owners’ capital from operations of $5,956.

Please see additional discussion under “Nine Months Ended September 30, 2011 Compared to Nine Months Ended September 30, 2010 – Managed Futures Index Series.”

Winton Series

The Winton Series – Class 1 NAV gained 7.2% and 2.7%, respectively, for the three months ended September 30, 2011 and 2010, net of fees and expenses; the Winton Series – Class 2 NAV gained 7.8% and 3.5%, respectively, for the three months ended September 30, 2011 and 2010, net of fees and expenses.

For the three months ended September 30, 2010, the Winton Series recorded net gain on investments of $4,877,311, net income of $118,397, and total expenses of $1,239,130, resulting in a net increase in Owners’ capital from operations of $3,756,578. For the three months ended September 30, 2010, the Winton Series recorded net gain on investments of $2,426,391, net income of $98,828, and total expenses of $882,970, resulting in a net increase in Owners’ capital from operations of $1,642,249.

Please see additional discussion under “Nine Months Ended September 30, 2011 Compared to Nine Months Ended September 30, 2010 – Winton Series.”

Winton/Graham Series

The Winton/Graham Series – Class 1 NAV lost 0.4% and gained 2.9%, respectively, for the three months ended September 30, 2011 and 2010 net of fees and expenses; the Winton/Graham Series – Class 2 NAV lost 0.4% and gained 3.7%, respectively for the three months ended September 30, 2011 and 2010, net of fees and expenses.

For the three months ended September 30, 2010, the Winton/Graham Series recorded net gain on investments of $639,990, net income of $64,449, and total expenses of $780,144, resulting in a net decrease in Owners’ capital from operations of $75,705. For the three months ended September 30, 2010, the Winton/Graham Series recorded net gain on investments of $3,706,234, net income of $69,885, and total expenses of $992,906, resulting in a net increase in Owners’ capital from operations of $1,699,715 after non-controlling interests of ($1,083,498).

Please see additional discussion under “Nine Months Ended September 30, 2011 Compared to Nine Months Ended September 30, 2010 – Winton/Graham Series.”

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Market Conditions for Nine Months Ended September 30, 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 Nine Months Ended September 30, 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.

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.

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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%.

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%.

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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.

April 2010

Interest Rates

Recent U.S. data suggests that economic activity has continued to strengthen and that the labor market is improving. Growth in household spending has picked up recently but remains constrained by high unemployment, modest income growth, lower housing wealth, and tight credit. In Europe, the ongoing fiscal crisis in Greece continued to put pressure on the Euro zone. The concern increased that Greece’s debt troubles would spread throughout Europe, possibly putting a dent in the global economic recovery. U.S. and German interest rate futures, across the curve, finished the month higher because of a flight to quality.

Currencies

The U.S. Dollar index continued to climb during April, finishing up 1.0% for the month. The Euro continued to weaken against the U.S. Dollar, down 1.9% for the month. The Japanese Yen also weakened against the U.S. Dollar, down 0.4%. The British Pound and the Australian Dollar strengthened against the U.S. Dollar, finishing higher by 0.6% and 0.8%, respectively, in April.

Stock Indices

Most of the major U.S. stock indices finished higher in April. The DJIA, the S&P 500 Index and the NASDAQ Composite Index strengthened by 1.4%, 1.5% and 2.6%, respectively, for the month. In Europe, the uncertainty around Greece and other debt-troubled countries contributed to European stock indices finishing lower in April. FTSE index futures fell 3.1%, CAC-40 futures finished lower by 5.1% and DAX index futures finished down 1.0%.

Energy

Crude oil futures for June delivery finished higher by 2.3% settling at $86.15/bbl. Gasoline and heating oil futures also strengthened, up 4.3% and 5.7%, respectively, for the month. Natural gas continued to drop in April, finishing down 1.1%.

Metals

Uncertainty over the Euro contributed to the increase in gold prices in April, as investors turned to precious metals as an alternative vehicle to currencies. Gold futures for June delivery finished up 5.9% at $1,180/oz. Silver, platinum and palladium futures strengthened as well, finishing up 6.2%, 6.0% and 15.8%, respectively, for the month.

Agriculturals

Corn and wheat futures strengthened in April, finishing up 5.3% and 8.4%, respectively, for the month. Sugar futures continued to drop, finishing down by 8.2%. Cocoa and cotton strengthened in April, up 7.9% and 2.8%, respectively.

May 2010

Interest Rates

U.S. and German interest rate futures, across the curve, finished higher in May. In Europe, there is a concern that the ongoing debt crisis in Greece may spread to Hungary. Government officials in Hungary raised concerns about the nation suffering the type of debt problems that led to a massive bailout for Greece. The potential losses on the Hungarian debt will likely be shouldered by European banks that are already strained due to the Greek debt crisis. The Federal Reserve reestablished U.S. Dollar liquidity swap facilities with Bank of England, the European Central Bank, the Swiss National Bank, Bank of Canada, and the Bank of Japan in May, as a response to the re-emerging strains in short term funding markets in Europe.

Currencies

The U.S. Dollar index continued to climb during May, finishing up 5.8% for the month. The Euro remained under severe pressure during the month, battered by continued concerns over the state of sovereign debt. The Euro and the British Pound weakened against the U.S. Dollar, down 7.4% and 4.8% for the month. The Australian and Canadian Dollars also weakened against their U.S. counterpart, down 8.5% and 2.6%, respectively. The Japanese Yen strengthened against the U.S. Dollar, up 2.8% for the month.

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Stock Indices

Renewed worries about the euro zone sent investors scurrying toward safer assets. Most of the major U.S. and European stock indices finished lower in May. The DJIA, the S&P 500 Index and the NASDAQ Composite Index dropped by 7.9%, 8.2% and 8.3%, respectively, for the month. In Europe, FTSE index futures fell 5.2%, CAC-40 futures finished lower by 4.7% and DAX index futures finished down 2.2%.

Energy

Fresh doubts about the prospects for economic recovery in the U.S., the world’s biggest oil consumer, contributed to the drop in crude oil futures prices in May. Crude oil futures for July delivery finished lower by 16.3% settling at $74.44/bbl for the month. Gasoline and heating oil futures also weakened, down 15.6% and 14.3%, respectively. Natural gas strengthened in May, up 7.2%.

Metals

Uncertainty over the Euro contributed to the increase in gold prices in May, as investors turned to gold as an alternative vehicle to currencies. Gold futures for August delivery finished up 2.8% at $1,218/oz for the month. Silver, platinum and palladium futures weakened, finishing down 1.2%, 11.2%, and 16.8%, respectively, in May.

Agriculturals

Rough rice, corn and wheat futures weakened in May, finishing down 7.7%, 4.3% and 9.0%, respectively, for the month. Lumber dropped considerably in May, finishing down 26.2%. Lumber’s downturn began in late April shortly before the expiration of a federal tax break for U.S. home buyers. That tax break ended April 30 and lumber investors believed that its expiration would slow demand for newly built homes.

June 2010

Interest Rates

U.S. and German interest rate futures, across the curve, finished higher in June. Even if the worst of the recent financial-market turmoil tied to Europe’s sovereign-debt crisis appears to have passed, there are still reasons to be concerned. The International Monetary Fund (“IMF”) said in an update of its World Economic Outlook that downside risks to the global economy had risen sharply and that “the new forecasts hinge on implementation of policies to rebuild confidence and stability, particularly in the euro area.” Since May 2010, the European Central Bank has purchased nearly $76 billion in government debt of Greece and other vulnerable countries. The government-debt purchase program has been controversial in Europe, particularly in Germany, where the practice fuels fears of a loss of central-bank independence and increases in the money supply, which could lead to inflation.

Currencies

The U.S. Dollar index dropped slightly in June, down 0.7% for the month. The Euro weakened against the U.S. Dollar, down 0.6% for the month. The Australian and Canadian Dollars also weakened against their U.S. counterpart, down 0.6% and 1.8%, respectively. The British Pound, the Swiss Franc and the Japanese Yen strengthened against the U.S. Dollar, up 2.8%, 7.2% and 3.2% for the month.

Stock Indices

Most of the major U.S. and European stock indices finished lower in June. The DJIA, the S&P 500 Index and the NASDAQ Composite Index dropped by 3.6%, 5.4% and-6.5%, respectively, for the month. In Europe, FTSE index futures fell 6.2%, CAC-40 futures finished lower by 3.1% and DAX index futures finished down 1.1%.

Energy

Crude oil futures for August delivery finished up 0.6%, settling at $75.63/bbl for the month. Gasoline and natural gas futures also strengthened, up 1.5% and 4.7%, respectively. Heating oil futures dropped in June, down 0.5%.

Metals

Gold futures for August delivery strengthened, up 2.5%, finishing at $1246/oz for the month. Silver futures also strengthened, finishing up 1.3%. Platinum and palladium futures weakened, finishing down 1.2% and 4.1%, respectively, in June.

Agriculturals

Rough rice futures continued its downward path, finishing lower by 17.0% in June. Since mid-December 2009, rough rice futures have dropped nearly 41%. Coffee futures saw a mid-June surge to sharply higher levels, up 22.1% for the month. Lumber continued to drop in June, finishing down 11.6%.

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July 2010

Interest Rates

U.S. interest rate futures, across the curve, continued climbing to finish higher in July. Demand in all areas of the bond market is strong and it seems to be signaling economic fear despite the stock market’s summer rally. Economic data is showing that the one-year-old recovery from the worst recession in decades is losing momentum. The unemployment rate remains painfully high. Since February 2009 the jobless rate has climbed from 8.1% to 9.5% and the private industry has shed two million jobs. Employers still don’t seem confident enough to add new workers. A record 6.7 million Americans have now been out of work for at least six months and, 18 months after the $862 billion stimulus bill passed in 2009, there are still five job seekers for every job opening. In less than two years, federal spending has increased dramatically and the national debt has skyrocketed from $9.3 trillion to $13.3 trillion.

Currencies

The U.S. Dollar index continued to drop in July, down 5.2% for the month. The Euro strengthened against the U.S. Dollar, up 6.7% for the month. The British Pound, the Swiss Franc and the Japanese Yen also strengthened against the U.S Dollar, up 5.0%, 3.5% and 2.3%, respectively, for the month. The Australian and Canadian Dollars also gained against their U.S. counterpart, up 7.6% and 3.3%, respectively.

Stock Indices

Most of the major U.S. and European stock indices finished higher in July. DJIA, the S&P 500 Index and the NASDAQ Composite Index gained 7.1%, 6.9% and 6.9%, respectively, for the month. In Europe, FTSE index futures finished up 9.2%, CAC-40 futures finished up 7.6% and DAX index futures gained 4.4%.

Energy

Crude oil futures for September delivery finished up 3.7%, settling at $78.95/bbl for the month. Gasoline, heating oil and natural gas futures also strengthened, up 3.4%, 2.2% and 5.8%, respectively.

Metals

Gold and silver futures dropped in July, finishing lower by 5.3% and 3.8%, respectively. Platinum, palladium and copper futures strengthened, up 2.6%, 12.5%, 12.2%, respectively, for the month.

Agriculturals

Wheat futures surged to sharply higher levels in July, up 37.7% for the month, which would suggests a world in panic over supplies of the grain. Although there has been no significant surge in export demand for U.S. wheat, the worst Russian drought in 130 years could cut into supplies from the world’s third largest exporter. Rough rice futures reversed its downward path, finishing up 9.0% in July. Corn and the soybean complex finished higher in July.

August 2010

Interest Rates

U.S. and European interest rate futures, across the curve, continued climbing to finish higher in August. Recent U.S. data suggests that economic activity has slowed down and that the one-year-old recovery from the worst recession in decades is losing momentum. The unemployment rate remains painfully high and employers still do not seem confident enough to add new workers.

Currencies

The U.S. Dollar index finished higher by 2.0% in August. The Euro and The British Pound weakened against the U.S. Dollar, down 2.9% and 2.2%, respectively, for the month. The Japanese Yen and the Swiss Franc strengthened against the U.S. Dollar, up 2.7% and 2.6%, respectively, for the month. The Australian and Canadian Dollars weakened against their U.S. counterpart, down 1.5% and 3.4%, respectively in August.

Stock Indices

Most of the major U.S. and European stock indices finished lower in August. The DJIA, the S&P 500 Index and the NASDAQ Composite Index weakened by 4.3%, 4.7% and 6.2%, respectively, for the month. In Europe, FTSE index futures finished down 0.8%, CAC-40 futures weakened by 4.5% and DAX index futures finished lower by 4.2%.

Energy

Crude oil futures for October delivery finished down 9.4%, settling at $71.92/bbl for the month. Gasoline, heating oil and natural gas futures also weakened, down 8.2%, 5.8% and 22.6%, respectively in August.

Metals

Gold and silver futures strengthened in August, finishing up 5.6% and 7.6%, respectively. Platinum futures weakened, down 3.4% for August. Palladium futures finished the month nearly unchanged.

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Agriculturals

Corn continued to climb in August, up 8.0% for the month. Cotton futures also strengthened, finishing the month up 9.4%. Cocoa futures weakened, finishing down 12.3%.

September 2010

Interest Rates

Short and mid-term U.S. interest rate futures continued climbing to finish higher in September, while long-term U.S. interest rates finished lower. Recent U.S. data indicates that the pace of the economic recovery has slowed in recent months. Household spending remains constrained by high unemployment, modest income growth, lower housing wealth, and tight credit. In Europe, German interest rate futures, across the curve, finished the month down.

Currencies

The U.S. Dollar index dropped by 5.4% in September. The Euro and The British Pound strengthened against the U.S. Dollar, finishing up 7.5% and 2.4%, respectively, for the month. The Australian and Canadian Dollars also strengthened against their U.S. counterpart, up 8.6% and 3.5%, respectively in September.

Stock Indices

Most of the major U.S. and European stock indices finished higher in September. The DJIA, the S&P 500 Index and the NASDAQ Composite Index strengthened by 7.7%, 8.8% and 12.0%, respectively, for the month. In Europe, FTSE index futures finished up 6.5%, CAC-40 futures strengthened by 7.0& and DAX index futures finished up 5.5%.

Energy

Crude oil futures for November delivery finished up 8.7%, settling at $79.97/bbl for the month. Gasoline and heating oil futures also strengthened, finishing at 9.4% and 12.5%, respectively, in September. Natural gas futures continued to weaken, down 6.7% in September.

Metals

Most precious metals futures strengthened in September. Gold and silver futures finished up 4.7% and 12.3%, respectively. Platinum, palladium and copper futures also finished up, 8.5%, 13.8% and 8.4%, respectively.

Agriculturals

Rough rice and corn futures continued their climb since July this year, up 10.8% and 12.9%, respectively, in September. Cotton futures climbed as well fueled by increased demand from China and expected poor harvests that will keep the global supply tight, up 18.2% for the month. Sugar futures have also seen dramatic increase in prices during the last few months, up 21.5% for September.

Nine Months Ended September 30, 2011 Compared to Nine Months Ended September 30, 2010.

Frontier Diversified Series

2011

The Frontier Diversified Series – Class 1 NAV lost 2.5% for the nine months ended September 30, 2011, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV lost 1.5% for the nine months ended September 30, 2011, net of fees and expenses.

For the nine months ended September 30, 2011 the Frontier Diversified Series recorded a net gain on investments of $5,018,663, net income of $1,789,859, and total expenses of $9,925,818, resulting in a net decrease in Owners’ capital from operations of $3,117,296. The NAV per Unit, Class 1, decreased from $103.58 at December 31, 2010, to $100.47 as of September 30, 2011. The NAV per Unit, Class 2, decreased from $106.46 at December 31, 2010, to $104.62 as of September 30, 2011. Total Class 1 subscriptions and redemptions for the period were $23,978,069 and $35,264,462, respectively. Total Class 2 subscriptions and redemptions for the period were $16,223,278 and $22,971,187, respectively. Ending capital at September 30, 2011, was $76,596,019 for Class 1 and $61,748,355 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.

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Frontier Diversified Series

Two of the six sectors traded in the Diversified Series were profitable in the third quarter. The Metals and Interest Rates sectors were profitable while the Energies, Currencies, Agriculturals and Stock Indices sectors were negative for the quarter.

In terms of major CTA performance, five of the seven major CTAs in the Diversified Series were profitable during the second quarter. QIM, Cantab, Tiverton, Quantmetrics and Winton were positive while Transtrend and Graham were negative for the quarter.

2010

The Frontier Diversified Series – Class 1 NAV gained 4.0% for the nine months ended September 30, 2010, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV gained 5.4% for the nine months ended September 30, 2010, net of fees and expenses. For the nine months ended September 30, 2010 the Frontier Diversified Series recorded a net gain on investments of $10,885,307, net interest of $1,574,200, and total expenses of $5,849,409, resulting in a net increase in Owners’ capital from operations of $6,767,103 after non-controlling interests of $157,005. The NAV per Unit, Class 1, increased from $96.80 at December 31, 2009, to $100.69 as of September 30, 2010. The NAV per Unit, Class 2, increased from $97.77 at December 31, 2009, to $103.03 as of September 30, 2010. Total Class 1 subscriptions and redemptions for the period were $48,657,844 and $1,309,369, respectively. Total Class 2 subscriptions and redemptions for the period were $39,608,141 and $1,005,213, respectively. Ending capital at September 30, 2010, was $83,963,365 for Class 1 and $65,071,260 for Class 2. Ending capital at December 31, 2009, was $32,960,540 for Class 1 and $23,355,579 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. See comments above under Market Conditions for Nine Months Ended September 30, 2010, for additional information regarding these sectors.

Sector Attribution for the Frontier Diversified Series

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Frontier Dynamic Series

2011

The Frontier Dynamic Series ceased trading operations on July 15, 2011, has redeemed all Units, but remains open.

The Frontier Dynamic Series – Class 1 NAV lost 4.2% for the period months ended September 30, 2011, net of fees and expenses; the Frontier Dynamic Series – Class 2 NAV lost 1.3% for the period ended September 30, 2011, net of fees and expenses.

For the period ended September 30, 2011 the Frontier Dynamic Series recorded a net gain on investments of $115,076, net income of $250,426, and total expenses of $428,134, resulting in a net decrease in Owners’ capital from operations of $62,632. The NAV per Unit, Class 1, decreased from $91.94 at December 31, 2010, to $88.05 as September 30, 2011. The NAV per Unit, Class 2, decreased from $94.40 at December 31, 2010, to $91.26 as of September 30, 2011. Total Class 1 subscriptions and redemptions for the period were $165,200 and $1,331,791, respectively. Total Class 2 subscriptions and redemptions for the period were $41,500 and $445,199, respectively. Ending capital at September 30, 2011, was $0 for Class 1 and $0 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 Frontier Dynamic Series invests in an option market basket of which the underlying investments are not transparent to the Trust. Therefore there is no Sector or major CTA Attribution charts for the Frontier Dynamic Series. The investments underlying the option basket are managed dynamically by an independent third party 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 0.3% for the nine months ended September 30, 2010, net of fees and expenses; the Frontier Dynamic Series – Class 2 NAV gained 1.0% for the nine months ended September 30, 2010, net of fees and expenses.

For the nine months ended September 30, 2010 the Frontier Dynamic Series recorded a net gain on investments of $244,946, net interest of $339,411, and total expenses of $576,366, resulting in a net increase in Owners’ capital from operations of $7,991. The NAV per Unit, Class 1, decreased from $91.43 at December 31, 2009, to $91.15 as of September 30, 2010. The NAV per Unit, Class 2, increased from $92.25 at December 31, 2009, to $93.18 as of September 30, 2010. Total Class 1 subscriptions and redemptions for the period were $830,542 and $164,115, respectively. Total Class 2 subscriptions and redemptions for the period were $108,167 and $19,404, respectively. Ending capital at September 30, 2010, was $1,276,016 for Class 1 and $384,082 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 Nine Months Ended September 30, 2010, for additional information regarding these sectors.

The Frontier 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 Frontier Dynamic Series.

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Frontier Long/Short Commodity Series

2011

The Frontier Long/Short Commodity Series – Class 1 NAV gained 11.6% for the nine months ended September 30, 2011, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 NAV gained 9.6% for the nine months ended September 30, 2011, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV gained 4.8% for the nine months ended September 30, 2011, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1a NAV gained 4.1% for the nine months ended September 30, 2011, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV gained 2.7% for the nine months ended September 30, 2011, net of fees and expenses.

For the nine months ended September 30, 2011, the Frontier Long/Short Commodity Series recorded net gain on investments of $12,174,086, net income of $1,044,384, and total expenses of $6,735,233, resulting in a net increase in Owners’ capital from operations of $4,294,366 after non-controlling interests of ($2,188,871). The NAV per Unit, Class 1, increased from $132.73 at December 31, 2010, to $136.60 as of September 30, 2011. The NAV per Unit, Class 2, increased from $153.26 at December 31, 2010, to $161.31 as of September 30, 2011. The NAV per Unit, Class 3, increased from $153.26 at December 31, 2010, to $161.30 as of September 30, 2011. The NAV per Unit, Class 1a, increased from $117.96 at December 31, 2010, to $121.67 as of September 30, 2011. The NAV per Unit, Class 2a, increased from $121.18 at December 31, 2010, to $126.63 as of September 30, 2011. Total Class 1 subscriptions and redemptions for the period were $66,006 and $24,776,644, respectively. Total Class 2 redemptions for the period were $7,610,987. There were no subscriptions. Total Class 3 subscriptions and redemptions for the period were $14,835,942 and $12,499,333, respectively. Total Class 1a subscriptions and redemptions for the period were $12,213,295 and $499,047, respectively. Total Class 2a subscriptions and redemptions for the period were $6,549,536 and $357,845, respectively. Ending capital at September 30, 2011, was $8,994,338 for Class 1, $9,273,160 for Class 2, $24,463,504 for Class 3, $16,892,584 for Class 1a and $9,775,143 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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85

Four of the seven sectors traded in the Frontier Long/Short Commodity Series were profitable in the third quarter. Precious Metals, Base Metals, Softs and Financials were positive while Grains, Energies and Meats were negative during the quarter.

In terms of major CTA performance, two of the six major CTAs in the Frontier Long/Short Commodity Series were profitable during the second quarter. Beach Horizon and Mesirow were positive while Global Advisors, Red Oak, Rosetta and Strategic Ag were negative for the quarter.

Frontier Long/Short Commodity Series

2010

The Frontier Long/Short Commodity Series – Class 1 NAV gained 3.3% for the nine months ended September 30, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 NAV gained 5.7% for the nine months ended September 30, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV gained 5.7% for the nine months ended September 30, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1 a NAV gained 3.7% for the nine months ended September 30, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV gained 5.0% for the nine months ended September 30, 2010, net of fees and expenses.

For the nine months ended September 30, 2010, the Frontier Long/Short Commodity Series recorded net gain on investments of $4,056,869, net interest of $824,875, and total expenses of $4,997,496, resulting in a net decrease in Owners’ capital from operations of $2,797,369 after non-controlling interests of $2,913,121. The NAV per Unit, Class 1, increased from $113.77 at December 31, 2009, to $117.55 as of September 30, 2010. The NAV per Unit, Class 2, increased from $127.49 at December 31, 2009, to $134.71 as of September 30, 2010. The NAV per Unit, Class 3, increased from $127.49 at December 31, 2009, to $134.71 as of September 30, 2010. The NAV per Unit, Class 1a, increased from $101.49 at December 31, 2009, to $105.22 as of September 30, 2010. The NAV per Unit, Class 2a, increased from $102.48 at December 31, 2009, to $107.61 as of September 30, 2010. Total Class 1 subscriptions and redemptions for the nine months were $90,657 and $11,418,605, respectively. Total Class 2 redemptions for the nine months were $1,300,178. There were no subscriptions. Total Class 3 subscriptions and redemptions for the nine months were $8,134,168 and $1,231,045, respectively. Total Class 1a subscriptions and redemptions for the nine months were $2,368,157 and $138,666, respectively. Total Class 2a subscriptions and redemptions for the nine months were $1,402,955 and $146,649, respectively. Ending capital at September 30, 2010, was $35,105,589 for Class 1, $14,443,274 for Class 2, $14,069,003 for Class 3, $3,516,239 for Class 1a and $2,277,990 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 Nine Months Ended September 30, 2010, for additional information regarding these sectors.

Sector Attribution for the Frontier Long/Short Commodity Series

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Frontier Masters Series

2011

The Frontier Masters Series – Class 1 NAV lost 0.2% for the nine months ended September 30, 2011, net of fees and expenses; the Frontier Masters Series – Class 2 NAV gained 1.0% for the nine months ended September 30, 2011, net of fees and expenses.

For the nine months ended September 30, 2011 the Frontier Masters Series recorded a net gain on investments of $3,135,666, net income of $753,268, and total expenses of $3,620,432, resulting in a net increase in Owners’ capital from operations of $298,713 after non-controlling interests of $30,211. The NAV per Unit, Class 1, decreased from $102.96 at December 31, 2010, to $102.76 as of September 30, 2011. The NAV per Unit, Class 2, increased from $105.81 at December 31, 2010, to $107.00 as of September 30, 2011. Total Class 1 subscriptions and redemptions for the period were $7,568,257 and $12,661,340, respectively. Total Class 2 subscriptions and redemptions for the period were $2,872,037 and $7,836,689, respectively. Ending capital at September 30, 2011, was $36,180,882 for Class 1 and $20,335,826 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

Two of the six sectors traded in the Frontier Masters Series were profitable in the third quarter. Metals and Interest Rates were positive while Currencies, Energies, Agriculturals and Stock Indices were negative for the quarter.

In terms of major CTA performance, three of the four major CTAs in the Frontier Masters Series were profitable during the second quarter. Cantab, Tiverton and Winton were positive while Transtrend was negative for the quarter.

2010

The Frontier Masters Series – Class 1 NAV gained 5.2% for the nine months ended September 30, 2010, net of fees and expenses; the Frontier Masters Series – Class 2 NAV gained 6.6% for the nine months ended September 30, 2010, net of fees and expenses.

For the period ended September 30, 2010 the Frontier Masters Series recorded a net gain on investments of $5,492,172, net interest of $775,234, and total expenses of $2,615,424, resulting in a net increase in Owners’ capital from operations of $3,651,982. The NAV per Unit, Class 1, increased from $94.46 at December 31, 2009, to $99.39 as of September 30, 2010. The NAV per Unit, Class 2, increased from $95.37 at December 31, 2009, to $101.68 as of September 30, 2010. Total Class 1 subscriptions and redemptions for the period were $22,545,994 and $1,334,087, respectively. Total Class 2 subscriptions and redemptions for the period were $15,232,494 and $1,280,374, respectively. Ending capital at September 30, 2010, was $37,972,946 for Class 1 and $24,130,250 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 Nine Months Ended September 30, 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 lost 3.2% for the nine months ended September 30, 2011, net of fees and expenses; the Balanced Series – Class 1a NAV lost 3.8% for the nine months ended September 30, 2011, net of fees and expenses; the Balanced Series – Class 2 NAV lost 1.8% for the nine months ended September 30, 2011, net of fees and expenses; the Balanced Series – Class 2a NAV lost 3.0% for the nine months ended September 30, 2011, net of fees and expenses; the Balanced Series – Class 3a NAV lost 2.8% for the nine months ended September 30, 2011, net of fees and expenses.

For the nine months ended September 30, 2011, the Balanced Series recorded net gain on investments of $8,009,508, net income of $364,715, and total expenses of $20,417,921, resulting in a net decrease in Owners’ capital from operations of $9,555,096 after non- controlling interests of $2,488,602. The NAV per Unit, Class 1, decreased from $131.95 at December 31, 2010, to $126.03 at September 30, 2011. For Class 1a, the NAV per Unit decreased from $116.36 at December 31, 2010, to $110.08 at September 30, 2011. The NAV per Unit, Class 2, decreased from $159.46 at December 31, 2010, to $155.76 at September 30, 2011. For Class 2a, the NAV per Unit decreased from $133.66 at December 31, 2010, to $129.31 at September 30, 2011. For Class 3a, the NAV per Unit decreased from $133.66 at December 31, 2010, to $129.31 at September 30, 2011. Total Class 1 subscriptions and redemptions for the period were $545,789 and $86,531,717, respectively. Total Class 1a subscriptions and redemptions for the period were $4,879 and $1,568,235, respectively. Total Class 2 subscriptions and redemptions for the period were $12,565 and $11,546,131, respectively. Total Class 2a redemptions for the period were $574,437. There were no subscriptions. Total Class 3a subscriptions and redemptions for the period were $340,885 and $1,032,661, respectively. Ending capital at September 30, 2011, was $193,899,554 for Class 1, $3,396,804 for Class 1a, $63,908,065 for Class 2, $2,884,840 for Class 2a and $2,904,028 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

90

Two of the six sectors traded in the Balanced Series were profitable in the third quarter. The Metals and Interest Rates sectors were profitable while the Energies, Currencies, Agriculturals and Stock Indices sectors were negative for the quarter.

In terms of major CTA performance, four of the five major CTAs in the Balanced Series were profitable during the third quarter. QIM, Cantab, Tiverton and Winton were positive while Transtrend was negative for the quarter.

Effective July 2011, Cantab Capital Partners has been designated as a major CTA to the Balanced Series. QuantMetrics Capital Management, that previously was a major CTA to the Series, has been designated as a non-major CTA to the Series.

2010

The Balanced Series – Class 1 NAV gained 7.2% for the nine months ended September 30, 2010, net of fees and expenses; the Balanced Series – Class 1a NAV gained 6.6% for the nine months ended September 30, 2010, net of fees and expenses; the Balanced Series – Class 2 NAV gained 9.7% for the nine months ended September 30, 2010, net of fees and expenses; the Balanced Series – Class 2a NAV gained 9.0% for the nine months ended September 30, 2010, net of fees and expenses; the Balanced Series – Class 3a NAV gained 9.0% for the nine months ended September 30, 2010, net of fees and expenses.

For the nine months ended September 30, 2010, the Balanced Series recorded net gain on investments of $51,741,201, net interest of $356,093, and total expenses of $19,832,792, resulting in a net increase in Owners’ capital from operations of $27,005,415 after non- controlling interests of ($5,259,087). The NAV per Unit, Class 1, increased from $118.54 at December 31, 2009, to $127.11 at September 30, 2010. For Class 1a, the NAV per Unit increased from $105.50 at December 31, 2009, to $112.42 at September 30, 2010. The NAV per Unit, Class 2, increased from $139.01 at December 31, 2009, to $152.46 at September 30, 2010. For Class 2a, the NAV per Unit increased from $117.60 at December 31, 2009, to $128.16 at September 30, 2010. For Class 3a, the NAV per Unit increased from $117.60 at December 31, 2009, to $128.14 at September 30, 2010. Total Class 1 subscriptions and redemptions for the nine months were $535,394 and $21,007,752, respectively. Total Class 1a subscriptions and redemptions for the nine month period were $23,736 and $4,291,430, respectively. Total Class 2 subscriptions and redemptions for the nine months were $14,425 and $8,446,555, respectively. Total Class 2a redemptions for the nine month period were $163,315. There were no subscriptions. Total Class 3a subscriptions and redemptions for the period were $3,223,780 and $927,751, respectively. Ending capital at September 30, 2010, was $284,880,380 for Class 1, $5,161,977 for Class 1a, $75,721,624 for Class 2, $3,415,786 for Class 2a and $3,802,079 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 Nine Months Ended September 30, 2010, for additional information regarding these sectors.

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 10.4% for the nine months ended September 30, 2011, net of fees and expenses; the Berkeley/Graham/Tiverton Series – Class 2 NAV lost 7.9% for the nine months ended September 30, 2011, net of fees and expenses.

For the nine months ended September 30, 2011, the Berkeley/Graham/Tiverton Series recorded net loss on investments of $3,574,024, net income of $72,116, and total expenses of $2,335,975, resulting in a net decrease in Owners’ capital from operations of $5,837,883. The NAV per Unit, Class 1, decreased from $110.46 at December 31, 2010, to $98.73 as of September 30, 2011. The NAV per Unit, Class 2, decreased from $131.73 at December 31, 2010, to $120.42 as of September 30, 2011. Total Class 1 subscriptions and redemptions for the period were $61,898 and $16,524,448, respectively. Total Class 2 redemptions for the period were $2,904,273. There were no subscriptions. Ending capital at September 30, 2011, was $40,068,730 for Class 1 and $4,955,892 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 third quarter. Metals and Interest Rates were positive while Energies, Currencies, Agriculturals and Stock Indices were negative for the quarter.

In terms of major CTA performance, Tiverton was positive while Berkeley and Graham were negative for the quarter.

2010

The Berkeley/Graham/Tiverton Series – Class 1 NAV gained 0.9% for the nine months ended September 30, 2010, net of fees and expenses; the Campbell/Graham/Tiverton Series – Class 2 NAV gained 3.2% for the nine months ended September 30, 2010, net of fees and expenses.

For the nine months ended September 30, 2010, the Berkeley/Graham/Tiverton Series recorded net gain on investments of $5,349,674, net interest of $3,071, and total expenses of $3,483,261, resulting in a net increase in Owners’ capital from operations of $587,730 after non-controlling interests of ($1,281,754). The NAV per Unit, Class 1, increased from $104.65 at December 31, 2009, to $105.62 as of September 30, 2010. The NAV per Unit, Class 2, increased from $121.10 at December 31, 2009, to $125.00 as of September 30, 2010. Total Class 1 subscriptions and redemptions for the nine months ended September 30, 2010, were $94,551 and $6,200,049, respectively. Total Class 2 redemptions for the nine months ended September 30, 2010, were $1,888,418. There were no subscriptions. Ending capital at September 30, 2010, was $63,723,401 for Class 1 and $8,232,773 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 Nine Months Ended September 30, 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 9.1% for the nine months ended September 30, 2011, net of fees and expenses; the Currency Series – Class 2 NAV lost 3.1% for the nine months ended September 30, 2011, net of fees and expenses.

For the nine months ended September 30, 2011, the Currency Series recorded net loss on investments of $315,958, net income of $59,690, and total expenses of $255,337, resulting in a net decrease in Owners’ capital from operations of $511,605. The NAV per Unit, Class 1, decreased from $79.09 at December 31, 2010, to $72.11 as of September 30, 2011. The NAV per Unit, Class 2, decreased from $95.43 at December 31, 2010, to $88.97 as of September 30, 2011. Total Class 1 subscriptions and redemptions for the period were $44,970 and $1,314,813, respectively. Total Class 2 redemptions for the period were $623,087. There were no subscriptions. Ending capital at September 30, 2011, was $4,617,403 for Class 1 and $117,462 for Class 2. Ending capital at December 31, 2010, was $6,381,882 for Class 1 and $757,518 for Class 2.

During July, 2011, Currency Series liquidated its interest in an option basket and realized a decrease in fair value greater than had previously been recorded as unrealized loss. The Managing Owner determined to make a one time administrative adjustment by payment to the Currency Series of $390,589 to reimburse the effect of the loss on the investors in the series, exclusive of the inter-series payables’ interests, recorded in the Statements of Operations as Net increase from payments by managing owner.

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

Currency Series

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2010

The Currency Series – Class 1 NAV gained 3.7% for the nine months ended September 30, 2010, net of fees and expenses; the Currency Series – Class 2 NAV gained 6.1% for the nine months ended September 30, 2010, net of fees and expenses.

For the nine months ended September 30, 2010, the Currency Series recorded net gain on investments of $600,145, net interest of $97,266, and total expenses of $365,693, resulting in a net increase in Owners’ capital from operations of $331,718. The NAV per Unit, Class 1, increased from $78.00 at December 31, 2009, to $80.91as of September 30, 2010. The NAV per Unit, Class 2, increased from $91.34 at December 31, 2009, to $96.89 as of September 30, 2010. Total Class 1 subscriptions and redemptions for the nine months ending September 30, 2010 were $50,013, and $1,348,840, respectively. Total Class 2 redemptions for the nine months ending September 30, 2010, was $1,525,199. There were no subscriptions. Ending capital at September 30, 2010, was $6,918,209 for Class 1 and $797,611 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 Nine Months Ended September 30, 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 lost 2.5% for the nine months ended September 30, 2011, net of fees and expenses; the Long Only Commodity Series – Class 2 NAV lost 2.1% for the nine months ended September 30, 2011, net of fees and expenses; the Long Only Commodity Series – Class 3 NAV lost 37.8% from the start of trading operations on January 13, 2011 through September 30, 2011, net of fees and expenses.

For the nine months ended September 30, 2011, the Long Only Commodity Series recorded net loss on investments of $165,250, net income of $53,130, and total expenses of $81,153, resulting in a net decrease in Owners’ capital from operations of $193,273. The NAV per Unit, Class 1, decreased from $94.11 at December 31, 2010 to $80.80 as of September 30, 2011. The NAV per Unit, Class 2, decreased from $103.71 at December 31, 2010, to $90.38 as of September 30, 2011. The NAV per Unit, Class 3, decreased from $103.88 at the beginning of trading operations on January 13, 2011, to $103.88 as of September 30, 2011. Total Class 1 subscriptions and redemptions for the period were $835 and $2,780,202, respectively. Total Class 2 redemptions for the period were $734,019. There were no subscriptions. Total Class 3 subscriptions and redemptions for the period were $1,613,778 and $695,317, respectively. Ending capital at September 30, 2011, was $510,371 for Class 1, $120,132 for Class 2 and $774,530 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 Thompson 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 September 30, 2011 the index decreased 13.38%. The Thompson 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 September 30, 2011 the index decreased 10.36%. The average of the two indexes for the nine months ended September 30, 2011 was -11.87%. Both indexes are proprietary to Jefferies & Company, Inc.

2010

The Long Only Commodity Series – Class 1 NAV lost 0.9% for the nine months ended September 30, 2010, net of fees and expenses; the Long Only Commodity Series – Class 2 NAV gained 0.6% for the nine months ended September 30, 2010, net of fees and expenses.

For the nine months ended September 30, 2010, the Long Only Commodity Series recorded net loss on investments of $26,127, net interest of $63,350, and total expenses of $103,077, resulting in a net decrease in Owners’ capital from operations of $65,854. The NAV per Unit, Class 1, decreased from $83.59 at December 31, 2009 to $82.84 as of September 30, 2010. The NAV per Unit, Class 2, increased from $90.30 at December 31, 2009, to $90.84 as of September 30, 2010. Total Class 1 subscriptions and redemptions for the nine months were $690 and $423,936, respectively. Total Class 2 redemptions for the nine months were $162,389. There were no subscriptions. Ending capital at September 30, 2010, was $3,232,224 for Class 1 and $782,612 for Class 2. Ending capital at December 31, 2009, was $3,711,581 for Class 1 and $954,744 for Class 2.

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The Long Only Commodity Series may have long-only exposure in the Energies, Metals, and Commodities sectors. See comments above under Market Conditions for Nine Months Ended September 30, 2010, for additional information regarding these sectors.

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

Managed Futures Index Series

2011

The Managed Futures Index Series – Class 1 NAV gained 4.1% for the nine months ended September 30, 2011, net of fees and expenses; the Managed Futures Index Series – Class 2 NAV gained 4.6% for the nine months ended September 30, 2011, net of fees and expenses; the Managed Futures Index Series – Class 3 NAV gained 8.1% from the start of trading operations on January 13, 2011 through September 30, 2011, net of fees and expenses.

For the nine months ended September 30, 2011 the Managed Futures Index Series recorded a net gain on investments of $190,528, net income of $63,942, and total expenses of $101,555, resulting in a net increase in Owners’ capital from operations of $152,915. The NAV per Unit, Class 1, increased from $117.96 at December 31, 2010, to $122.81 as of September 30, 2011. The NAV per Unit, Class 2, increased from $129.69 at December 31, 2010, to $137.06 as of September 30, 2011. The NAV per Unit, Class 3, increased from $126.73 at the start of trading operations on January 13, 2011, to $137.06 as of September 30, 2011.Total Class 1 redemptions for the period were $966,065. There were no subscriptions. Total Class 2 redemptions for the period were $619,609. There were no subscriptions. Total Class 3 subscriptions and redemptions for the period were $ 371,833 and $30,850, respectively. Ending capital at September 30, 2011, was $394,172 for Class 1, $3,304,224 for Class 2 and $370,291 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

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Four of the six sectors traded in the Managed Futures Index Series were profitable in the third quarter. Metals, Currencies, Interest Rates and Stock Indices were positive while Energies and Agriculturals were negative during the third quarter.

2010

The Managed Futures Index Series – Class 1 NAV gained 1.8% for the nine months ended September 30, 2010, net of fees and expenses; the Managed Futures Index Series – Class 2 NAV gained 3.3% for the nine months ended September 30, 2010, net of fees and expenses.

For the nine months ended September 30, 2010 the Managed Futures Index Series recorded a net gain on investments of $226,169, net interest of $26,488, and total expenses of $133,438, resulting in a net increase in Owners’ capital from operations of $119,219. The NAV per Unit, Class 1, increased from $112.54 at December 31, 2009, to $114.56 as of September 30, 2010. The NAV per Unit, Class 2, increased from $121.28 at December 31, 2009, to $125.32 as of September 30, 2010. Total Class 1 redemptions for the nine months were $241,883. There were no subscriptions. Total Class 2 subscriptions and redemptions for the nine months were $2,000,000 and $135,816, respectively. Ending capital at September 30, 2010, was $1,619,298 for Class 1 and $3,895,431 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 Nine Months Ended September 30, 2010, for additional information regarding these sectors.

Sector Attribution for the Managed Futures Index Series

Winton Series

2011

The Winton Series – Class 1 NAV gained 4.9% for the nine months ended September 30, 2011, net of fees and expenses; the Winton Series – Class 2 NAV gained 7.3% for the nine months ended September 30, 2011, net of fees and expenses.

For the nine months ended September 30, 2011, the Winton Series recorded net gain on investments of $5,619,808, net income of $327,662, and total expenses of $2,963,169, resulting in a net increase in Owners’ capital from operations of $2,984,301. The NAV per Unit, Class 1, increased from $135.04 at December 31, 2010, to $142.07 as of September 30, 2011. The NAV per Unit, Class 2, increased from $153.99 at December 31, 2010, to $165.67 as of September 30, 2011. Total Class 1 subscriptions for the period were $200,048 and redemptions were $12,338,804. Total Class 2 redemptions for the period were $468,313. There were no subscriptions. Ending capital at September 30, 2011, was $39,365,083 for Class 1 and $11,731,586 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.

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Winton Series

Two of the six sectors traded in the Winton Series were profitable in the third quarter. Metals and Interest Rates were positive while Currencies, Energies, Agriculturals and Stock Indices were negative for the quarter.

2010

The Winton Series – Class 1 NAV gained 10.8% for the nine months ended September 30, 2010, net of fees and expenses; the Winton Series – Class 2 NAV gained 13.4% for the nine months ended September 30, 2010, net of fees and expenses.

For the nine months ended September 30, 2010, the Winton Series recorded net gain on investments of $8,605,957, net interest of $191,277, and total expenses of $2,522,018, resulting in a net increase in Owners’ capital from operations of $6,275,216. The NAV per Unit, Class 1, increased from $117.57 at December 31, 2009, to $130.31 as of September 30, 2010. The NAV per Unit, Class 2, increased from $130.10 at December 31, 2009, to $147.48 as of September 30, 2010. Total Class 1 subscriptions for the nine months were $203,365 and redemptions were $4,678,415. Total Class 2 redemptions for the nine month period were $609,026. There were no subscriptions. Ending capital at September 30, 2010, was $48,700,323 for Class 1 and $10,892,996 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 Nine Months Ended September 30, 2010, for additional information regarding these sectors.

Sector Attribution for the Winton Series

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Winton/Graham Series

2011

The Winton/Graham Series – Class 1 NAV lost 4.7% for the nine months ended September 30, 2011, net of fees and expenses; the Winton/Graham Series – Class 2 NAV lost 1.2% for the nine months ended September 30, 2011, net of fees and expenses.

For the nine months ended September 30, 2011, the Winton/Graham Series recorded net loss on investments of $157,540, net income of $159,301, and total expenses of $2,392,029, resulting in a net decrease in Owners’ capital from operations of $1,919,549, after non-controlling interest of $470,719. The NAV per Unit, Class 1, decreased from $119.83 at December 31, 2010, to $113.31 as of September 30, 2011. The NAV per Unit, Class 2, decreased from $144.04 at December 31, 2010, to $139.29 as of September 30, 2011. Total Class 1 subscriptions and redemptions for the period were $91,371 and $16,009,137, respectively. Total Class 2 redemptions for the period were $4,811,151. There were no subscriptions. Ending capital at September 30, 2011, was $28,232,072 for Class 1 and $6,629,900 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

Two of the six sectors traded in the Winton/Graham Series were profitable in the third quarter. Metals and Interest Rates were positive while Stock Indices, Energies, Agriculturals and Currencies were negative for the quarter.

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

2010

The Winton/Graham Series – Class 1 NAV gained 3.5% for the nine months ended September 30, 2010, net of fees and expenses; the Winton/Graham Series – Class 2 NAV gained 5.8% for the nine months ended September 30, 2010, net of fees and expenses. For the

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nine months ended September 30, 2010, the Winton/Graham Series recorded net gain on investments of $5,082,888, net interest of $208,357, and total expenses of $2,776,220, resulting in a net increase in Owners’ capital from operations of $2,186,214, after non-controlling interest of ($328,811). The NAV per Unit, Class 1, increased from $110.06 at December 31, 2009, to $113.90 as of September 30, 2010. The NAV per Unit, Class 2, increased from $128.39 at December 31, 2009, to $135.89 as of September 30, 2010. Total Class 1 subscriptions and redemptions for the nine months were $107,736 and $4,320,572, respectively. Total Class 2 redemptions for the nine months were $1,137,012. There were no subscriptions. Ending capital at September 30, 2010, was $45,454,911 for Class 1 and $12,072,328 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 Nine Months Ended September 30, 2010, for additional information regarding these sectors.

Sector Attribution for the Winton/Graham Series

Contractual Obligations

None.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

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

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

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

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

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Quantitative Market Risk

Trading Risk

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

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

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

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

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

Value at Risk by Market Sectors

The following table presents the trading value at risk associated with each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of September 30, 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	September 30, 2011					December 31, 2010
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	3,462,199		2.5	%	$	2,922,054		1.8	%
Currencies	$	7,079,798		5.1	%	$	2,240,613		1.4	%
Stock Indices	$	2,267,946		1.6	%	$	6,404,181		4.0	%
Metals	$	1,661,541		1.2	%	$	1,371,891		0.9	%
Agriculturals/Softs	$	1,927,343		1.4	%	$	5,305,078		3.3	%
Energy	$	2,463,824		1.8	%	$	7,868,442		4.9	%
Total:	$	18,862,651		13.6	%	$	26,112,259		16.3	%

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Frontier Long/Short Commodity Series:

MARKET SECTOR	September 30, 2011					December 31, 2010
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	315,989		0.5	%	$	322,364		0.4	%
Currencies	$	1,322,883		1.9	%	$	242,199		0.3	%
Stock Indices	$	440,753		0.6	%	$	411,536		0.5	%
Metals	$	460,897		0.7	%	$	329,861		0.4	%
Agriculturals/Softs	$	5,214,973		7.5	%	$	3,206,941		4.2	%
Energy	$	6,583,476		9.5	%	$	4,762,766		6.2	%
Total:	$	14,338,971		20.7	%	$	9,275,667		12.0	%

Frontier Masters Series: (2)

MARKET SECTOR	September 30, 2011					December 31, 2010
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,333,079		2.4	%	$	835,668		1.3	%
Currencies	$	1,325,134		2.3	%	$	424,749		0.6	%
Stock Indices	$	488,271		0.9	%	$	756,786		1.1	%
Metals	$	686,360		1.2	%	$	277,901		0.4	%
Agriculturals/Softs	$	336,660		0.6	%	$	251,661		0.4	%
Energy	$	359,799		0.6	%	$	203,123		0.3	%
Total:	$	4,529,303		8.0	%	$	2,749,888		4.1	%

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Balanced Series: (3), (4)

	September 30, 2011					December 31, 2010
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	7,400,289		2.8	%	$	8,353,253		2.2	%
Currencies	$	16,446,491		6.2	%	$	6,381,910		1.7	%
Stock Indices	$	4,950,783		1.9	%	$	18,517,071		4.9	%
Metals	$	3,471,368		1.3	%	$	3,908,168		1.0	%
Agriculturals/Softs	$	3,794,992		1.4	%	$	15,220,938		4.0	%
Energy	$	4,843,473		1.8	%	$	22,499,117		6.0	%
Total:	$	40,907,396		15.4	%	$	74,880,457		19.8	%

Berkeley/Graham/Tiverton Series:

	September 30, 2011					December 31, 2010
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	414,005		0.9	%	$	718,098		1.0	%
Currencies	$	897,874		2.0	%	$	1,434,603		2.0	%
Stock Indices	$	169,059		0.4	%	$	1,023,873		1.5	%
Metals	$	531,173		1.2	%	$	206,109		0.3	%
Agriculturals/Softs	$	73,061		0.2	%	$	327,581		0.5	%
Energy	$	141,405		0.3	%	$	233,916		0.3	%
Total:	$	2,226,577		5.0	%	$	3,944,180		5.6	%

Currency Series: (5)

	September 30, 2011					December 31, 2010
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—		0	%	$	—		0	%
Currencies	$	809,358		17.1	%	$	381,279		1.9	%
Stock Indices	$	—		0	%	$	—		0	%
Metals	$	—		0	%	$	—		0	%
Agriculturals/Softs	$	—		0	%	$	—		0	%
Energy	$	—		0	%	$	—		0	%
Total:	$	809,358		17.1	%	$	381,279		1.9	%

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Long Only Commodity Series:

	September 30, 2011					December 31, 2010
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—		0.0	%	$	—		0.0	%
Currencies	$	—		0.0	%	$	—		0.0	%
Stock Indices	$	—		0.0	%	$	—		0.0	%
Metals	$	48,000		3.4	%	$	97,920		2.3	%
Agriculturals/Softs	$	68,000		4.8	%	$	138,720		3.3	%
Energy	$	84,000		6.0	%	$	171,360		4.1	%
Total:	$	200,000		14.2	%	$	408,000		9.7	%

Managed Futures Index Series:

	September 30, 2011					December 31, 2010
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	86,258		2.1	%	$	144,635		2.8	%
Currencies	$	275,617		6.8	%	$	338,036		6.6	%
Stock Indices	$	105,845		2.6	%	$	105,228		2.0	%
Metals	$	18,621		0.5	%	$	37,502		0.7	%
Agriculturals/Softs	$	17,896		0.4	%	$	94,797		1.8	%
Energy	$	24,909		0.6	%	$	44,273		0.9	%
Total:	$	529,146		13.0	%	$	764,471		14.8	%

Winton Series:

MARKET SECTOR	September 30, 2011					December 31, 2010
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	929,315		1.8	%	$	732,649		1.2	%
Currencies	$	950,042		1.9	%	$	1,247,838		2.1	%
Stock Indices	$	269,625		0.5	%	$	950,979		1.6	%
Metals	$	67,879		0.1	%	$	274,568		0.5	%
Agriculturals/Softs	$	108,635		0.2	%	$	675,764		1.1	%
Energy	$	57,748		0.1	%	$	259,374		0.4	%
Total:	$	2,383,244		4.6	%	$	4,141,172		6.9	%

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Winton/Graham Series:

	September 30, 2011					December 31, 2010
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	849,814		2.4	%	$	1,277,380		2.2	%
Currencies	$	1,514,418		4.3	%	$	2,303,772		4.0	%
Stock Indices	$	364,972		1.0	%	$	1,627,973		2.8	%
Metals	$	78,180		0.2	%	$	322,999		0.6	%
Agriculturals/Softs	$	235,783		0.7	%	$	721,077		1.3	%
Energy	$	175,860		0.5	%	$	418,361		0.7	%
Total:	$	3,219,027		9.1	%	$	6,671,562		11.6	%

(1) As of September 30, 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 $6,754,314 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 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.

(3) As of 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 December 31, 2010 was 64.2% and 94.5%, respectively. Including its investment in this Series, total value at risk for the Balanced Series would be $78,125,333, or 20.7% of capitalization as of December 31, 2010.

(4) As of September 30, 2011and December 31, 2010, a portion of the assets of the Balanced Series was invested in Option basket(s) of futures contracts with a notional value of $43,194,296 and $68,460,196, respectively. Margin information is not available for these contracts therefore no value at risk calculations were included in the table for these investments.

(5) As of 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 $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.

Qualitative Market Risk

The following are the primary trading risk exposures of the Series of the Trust as of September 30, 2011, by market sector.

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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.

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

106

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.

107

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 Accounting 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 September 30, 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 Accounting 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 nine months ended September 30, 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 Accounting 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 September 30, 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
NONE

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.

108

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)
101.INS++	XBRL Instance Document
101.SCH++	XBRL Taxonomy Extension Schema
101.CAL++	XBRL Taxonomy Extension Calculation Linkbase
101.DEF++	XBRL Taxonomy Extension Definition Linkbase
101.LAB++	XBRL Taxonomy Extension Label Linkbase
101.PRE++	XBRL Taxonomy Extension Presentation Linkbase

**** 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.

++ Pursuant to Rule 406T of Regulation S-T, the Interactive Data Files on Exhibit 101 hereto are deemed not filed or part of a registration statement or prospectus for purposes of Sections 11 or 12 of the Securities Act of 1933, as amended, are deemed not filed for purposes of Section 18 of the Securities and Exchange Act of 1934, as amended, and otherwise are not subject to liability under those sections.

109

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: November 11, 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

110

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: November 11, 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

111

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: November 11, 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

112

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: November 11, 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

113

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: November 11, 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

114

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: November 11, 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

115

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: November 11, 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

116

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: November 11, 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

117

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: November 11, 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

118

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: November 11, 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

119

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: November 11, 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

120

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: November 11, 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

121