Filed Pursuant to Rule 424(b)(3)
Registration No. 333-155800

October 2011 Performance Update

The Frontier Fund Supplement Dated October 31, 2011 to Prospectus Dated April 30, 2011.

The Frontier Fund Class 3

T H E   F R O N T I E R    F U N D ’ S    G O A L : To provide you – the investor – with a managed futures product that, over the long term, provides attractive returns, reduces volatility, and improves the overall performance of your investment portfolio.

October performance for the various Series of The Frontier Fund is detailed below:*

The Frontier Fund Class 3	October 31, 2011 MTD	October 31, 2011 YTD	NAV /Unit
Balanced Series—3a	-2.82%	-5.98%	$	125.67
Long Only Commodity Series—3	8.43%	-5.66%	$	98.00
Long/Short Commodity Series—3	0.92%	6.22%	$	162.78
Managed Futures Index Series—3	-11.56%	-4.35%	$	121.22

Additional information, including monthly rates of return, concerning the aforementioned Series and the Trading Advisor(s) is contained in the Prospectus and the respective Series Appendix to the Prospectus.

* The above table sets forth the actual performance for the Class and Series as of October 31, 2011. Actual gross trading performance (gross realized and unrealized gain/loss before deduction for trading commissions and fees, management fees, any other expense, and before addition of interest income) is adjusted for the trading expenses, management fees, initial service fees, on-going service fees, and interest income of the applicable Series.

THIS INSERT MUST BE ACCOMPANIED OR PRECEDED BY THE CURRENT PROSPECTUS OF THE FRONTIER FUND

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

THE FRONTIER FUND BALANCED SERIES - 3a

STATEMENT OF INCOME (LOSS)

FOR THE MONTH ENDED

October 31, 2011

(Unaudited)

	Current Period
INCOME
Realized trading gain/(loss)	$	(54,835.59	)
Unrealized trading gain/(loss)		(30,374.23	)
Less: commissions		(3,795.02	)
Less: FCM fees		(1,187.57	)
Foreign currency gain/(loss)		11,690.96
Interest income		3,358.33
Total Income		(75,143.12)
EXPENSES
Trading fees		5,946.39
Management fees		2,445.59
Incentive fees		1,286.17
Total Expenses		9,678.15
Net Income (Loss)	$	(84,821.27	)

	Units			Dollars			$'s per unit
STATEMENT OF CHANGES IN NET ASSET VALUE
Net Asset Value, end of prior month		22,457.08443		$	2,904,027.80			129.31
Current month additions		592.78902			75,474.54
Current month redemptions		(1,844.66029	)		(229,761.74	)
Net Income (loss) for current month					(84,821.27	)
Net Asset Value, end of current month		21,205.21316		$	2,664,919.33			125.67
		Monthly rate of return						-2.82	%

To the best of my knowledge and belief, the information

contained in this statement is accurate and complete

/s/ S. Brent Bales

S. Brent Bales, Chief Accounting Officer of the Managing Owner

Equinox Fund Management LLC

1775 Sherman Street, Suite 2500

Denver, Colorado 80203

On Behalf of the Frontier Fund - Balanced Series 3a

THE FRONTIER FUND LONG ONLY COMMODITY SERIES - 3

STATEMENT OF INCOME (LOSS)

FOR THE MONTH ENDED

October 31, 2011

(Unaudited)

	Current Period
INCOME
Realized trading gain/(loss)	$	66,077.92
Unrealized trading gain/(loss)		(451.45	)
Less: commissions		—
Less: FCM fees		(338.71	)
Foreign currency gain/(loss)		—
Interest income		1,416.82
Total Income		66,704.58
EXPENSES
Management fees		1,435.37
Incentive fees		—
Total Expenses		1,435.37
Net Income (Loss)	$	65,269.21

	Units		Dollars		$'s per unit
STATEMENT OF CHANGES IN NET ASSET VALUE
Net Asset Value, end of prior month		8,569.67300	$	774,529.74		90.38
Current month additions		—		—
Current month redemptions		—		—
Net Income (loss) for current month				65,269.21
Net Asset Value, end of current month		8,569.67300	$	839,798.95		98.00
		Monthly rate of return				8.43	%

To the best of my knowledge and belief, the information

contained in this statement is accurate and complete

/s/ S. Brent Bales

S. Brent Bales, Chief Accounting Officer of the Managing Owner

Equinox Fund Management LLC

1775 Sherman Street, Suite 2500

Denver, Colorado 80203

On Behalf of the Frontier Fund - Long Only Commodity Series 3

THE FRONTIER FUND LONG/SHORT COMMODITY SERIES - 3

STATEMENT OF INCOME (LOSS)

FOR THE MONTH ENDED

October 31, 2011

(Unaudited)

	Current Period
INCOME
Realized trading gain/(loss)	$	(518,664.15	)
Unrealized trading gain/(loss)		863,911.93
Less: commissions		(15,452.90	)
Less: FCM fees		(10,281.58	)
Foreign currency gain/(loss)		(276.27	)
Interest income		34,896.23
Total Income		354,133.26
EXPENSES
Management fees		114,121.68
Incentive fees		12,403.41
Total Expenses		126,525.09
Net Income (Loss)	$	227,608.17

	Units			Dollars			$'s per unit
STATEMENT OF CHANGES IN NET ASSET VALUE
Net Asset Value, end of prior month		151,661.11608		$	24,463,503.83			161.30
Current month additions		3,087.11791			496,225.11
Current month redemptions		(1,853.69024	)		(298,503.89	)
Net Income (loss) for current month					227,608.17
Net Asset Value, end of current month		152,894.54375		$	24,888,833.22			162.78
		Monthly rate of return						0.92	%

To the best of my knowledge and belief, the information

contained in this statement is accurate and complete

/s/ S. Brent Bales

S. Brent Bales, Chief Accounting Officer of the Managing Owner

Equinox Fund Management LLC

1775 Sherman Street, Suite 2500

Denver, Colorado 80203

On Behalf of the Frontier Fund - Long/Short Commodity Series 3

THE FRONTIER FUND MANAGED FUTURES INDEX SERIES - 3

STATEMENT OF INCOME (LOSS)

FOR THE MONTH ENDED

October 31, 2011

(Unaudited)

	Current Period
INCOME
Realized trading gain/(loss)	$	(28,153.48	)
Unrealized trading gain/(loss)		(15,230.82	)
Less: commissions		(61.76	)
Less: FCM fees		(147.38	)
Foreign currency gain/(loss)		759.39
Interest income		635.25
Total Income		(42,198.80)
EXPENSES
Management fees		600.52
Incentive fees		—
Total Expenses		600.52
Net Income (Loss)	$	(42,799.32	)

	Units		Dollars			$'s per unit
STATEMENT OF CHANGES IN NET ASSET VALUE
Net Asset Value, end of prior month		2,701.73129	$	370,291.50			137.06
Current month additions		—		—
Current month redemptions		—		—
Net Income (loss) for current month				(42,799.32	)
Net Asset Value, end of current month		2,701.73129	$	327,492.18			121.22
		Monthly rate of return					-11.56	%

To the best of my knowledge and belief, the information

contained in this statement is accurate and complete

/s/ S. Brent Bales

S. Brent Bales, Chief Accounting Officer of the Managing Owner

Equinox Fund Management LLC

1775 Sherman Street, Suite 2500

Denver, Colorado 80203

On Behalf of the Frontier Fund - Managed Futures Index Series 3