UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM 10-K

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

For the fiscal year ended December 31, 2012

or

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

For the transition period from             to            

Commission File Number 000-51274

THE FRONTIER FUND

FRONTIER DIVERSIFIED SERIES; FRONTIER LONG/SHORT COMMODITY

SERIES; FRONTIER MASTERS SERIES; BALANCED SERIES; TIVERTON /GRAHAM/TRANSTREND SERIES;

CURRENCY SERIES; WINTON SERIES; WINTON/GRAHAM SERIES

(Exact Name of Registrant as specified in Its Charter)

Delaware	36-6815533
(State or Other Jurisdiction of Incorporation or Organization)	(IRS Employer Identification No.)
c/o Equinox Fund Management, LLC 1775 Sherman Street, Suite 2500, Denver, Colorado	80203
(Address of Principal Executive Offices)	(Zip Code)

Registrant’s Telephone Number, Including Area Code: (303) 837-0600

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

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

Title of Each Class

Frontier Diversified 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;

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

Currency 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 if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.    Yes  ¨    No  x

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.    Yes  ¨    No  x

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 if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (§229.405) is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K.   x

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. (Check One):

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

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes  ¨    No  x

The Frontier Fund’s units of beneficial interest are not traded on any market and, accordingly, do not have an aggregate market value. Units outstanding as of December 31, 2012 were: 1,184,142 for the Frontier Diversified Series, 452,096 for the Frontier Long/Short Commodity Series, 499,138 for the Frontier Masters Series, 1,620,653 for the Balanced Series, 313,991 for the Tiverton/Graham/Transtrend Series, 47,605 for the Currency Series, 299,573 for the Winton Series and 210,172 for the Winton/Graham Series.

Documents Incorporated by Reference

Portions of the Prospectus filed by the registrant on January 31, 2013 pursuant to Rule 424(b)(3) of the Securities Act (File No. 333-164629) are incorporated by reference into Part I and Part II of this report.

Special Note About Forward-Looking Statements

THIS ANNUAL 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 DECEMBER 31, 2012, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

Table of Contents

			Page
PART I
	Item 1.	Business		1
	Item 1A.	Risk Factors		6
	Item 1B.	Unresolved Staff Comments		20
	Item 2.	Properties		20
	Item 3.	Legal Proceedings		20
	Item 4.	Mine Safety Disclosures		20
PART II
	Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities		21
	Item 6.	Selected Financial Data		22
	Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		34
	Item 7A.	Quantitative and Qualitative Disclosures About Market Risk		71
	Item 8.	Financial Statements and Supplementary Data		80
	Item 9.	Changes in and Disagreements with Accountants on Accounting and Financial Disclosure		80
	Item 9A	Controls and Procedures		80
	Item 9B.	Other Information		82
PART III
	Item 10.	Directors, Executive Officers and Corporate Governance		83
	Item 11.	Executive Compensation		85
	Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters		86
	Item 13.	Certain Relationships and Related Transactions		87
	Item 14.	Principal Accountant Fees and Services		87
PART IV
	Item 15.	Exhibits and Financial Statement Schedules		88
		Index to Financial Statements		F-1
		Signatures		E-1

Part I

Item 1. BUSINESS.

Overview

The Frontier Fund, which is referred to in this report as “the Trust”, was formed on August 8, 2003, as a Delaware statutory trust. Please refer to the consolidated financial statements of the Trust included within this report. 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 nine (9) separate and distinct Series of Units issued and outstanding: Frontier Diversified Series, Frontier Masters Series, Balanced Series, Frontier Long/Short Commodity Series, Tiverton/Graham/Transtrend Series (formerly Berkeley/Graham/Tiverton Series), Currency Series, Winton Series, Winton/Graham Series and TBG Institutional Series (each a “Series” and collectively, the “Series”). The TBG Institutional Series is a private series of the Trust, financial statements and any management discussion and analysis has not been presented. The Trust, with respect to the Series, 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);

1

• 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 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 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the NAV at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to Selling Agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Series, 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 2810(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 December 31, 2012, the Trust had eight separate Series of Units issued and outstanding: the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series, Tiverton/Graham/Transtrend Series, Currency 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.

As of December 31, 2012, the total Units outstanding of each Series of the Trust was 1,184,142 with respect to the Frontier Diversified Series, 452,096 with respect to the Frontier Long/Short Commodity Series, 499,138 with respect to the Frontier Masters Series, 1,620,653 with respect to the Balanced Series, 313,991 with respect to the Tiverton /Graham/Transtrend Series, 47,605 with respect to the Currency Series, 299,573 with respect to the Winton Series and 210,172 with respect to the Winton/Graham Series.

The Currency Series and Winton Series invest a portion of their assets in a single Trading Company, which allocates assets to one Swap or Advisor. Each of the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series, Tiverton /Graham/Transtrend 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 Tiverton/Graham/Transtrend 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. This investment was liquidated on March 20, 2012.

During July, 2011, the 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 discretionary 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.

During July, 2012, Frontier Long/Short Commodity Series Class 1 Units and Balanced Series Class 1a Units ceased trading operations and all remaining Units were exchanged for Class 3 Units and Class 3a Units, respectively.

2

Trading Advisors are responsible for the trading decisions of the respective Trading Companies for which they trade. It is expected that between 10% and 30% of each Series’ assets normally will be invested in one or more Trading Companies to be committed as margin for trading positions but from time to time these percentages may be substantially more or less. The remainder of each Series’ assets is maintained at the Trust level for cash management. Each of the respective Series has invested monies into pooled cash management assets which have included purchases of custom time deposits, U.S. Treasury securities and credit default swaps. Each Series’ ownership in these investments is based on its percentage ownership in the pooled cash management assets on the reporting date.

The Balanced Series, for purposes of diversification of investments and trading advisors through the Series’ access to trading companies in which the Balanced Series does not have a direct interest, advanced funds to the Frontier Diversified Series, Frontier Masters Series and the Currency Series. These advances have all been paid as of December 31, 2012.

The Trading Advisors were selected based upon the Managing Owner’s evaluation of each Trading Advisor’s past performance, trading portfolios and strategies, as well as how each Trading Advisor’s performance, portfolio and strategies complement and differ from those of the other Trading Advisors. As of December 31, 2012, none of the Trading Advisors or any of their principals had any beneficial interest in the Trust, but any of them are free to acquire such beneficial interest.

Equinox Fund Management, LLC, a Delaware limited liability company formed in June 2003, is the managing owner of the Trust (the “Managing Owner”). The Managing Owner became registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator (“CPO”), as of August 6, 2003, and has been a member of the National Futures Association (the “NFA”) in such capacity since that date. The Managing Owner’s main business office is located at 1775 Sherman Street, Suite 2500, Denver, Colorado 80203, telephone (303) 837-0600. A description of the Managing Owner’s responsibilities to the Trust is contained in a Prospectus dated January 31, 2013 pursuant to Rule 424(b)(3) of the Securities Act of 1933, as amended (File No. 333-164629), which is referred to herein as the “Prospectus,” under the section captioned “The Managing Owner,” and such description is incorporated herein by reference from the Prospectus.

Regulation

Under the Commodity Exchange Act, as amended, (the “Commodity Exchange Act”) commodity exchanges and commodity futures trading are subject to regulation by the CFTC. The NFA, a registered futures association under the Commodity Exchange Act, is the only non-exchange self-regulatory organization for commodity industry professionals. The CFTC has delegated responsibility to the NFA for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers” and their respective “associated persons” and “floor brokers.” The Commodity Exchange Act requires “commodity pool operators,” such as the Managing Owner, “commodity trading advisors,” and commodity brokers or “futures commission merchants,” such as the Trust’s commodity brokers, to be registered and to comply with various reporting and recordkeeping requirements. The Managing Owner and the Trust’s commodity brokers are members of the NFA. The CFTC may suspend a commodity pool operator’s or a commodity trading advisor’s registration if it finds that its trading practices tend to disrupt orderly market conditions, or as the result of violations of the Commodity Exchange Act or rules and regulations promulgated there under. In the event that the Managing Owner’s registration as a commodity pool operator were terminated or suspended, the Managing Owner would be unable to continue to manage the business of the Trust. Should the Managing Owner’s registration be suspended, termination of the Trust may result.

In addition to such registration requirements, the CFTC and certain commodity exchanges have established limits on the maximum net long and net short positions that any person, including the Trust, may hold or control in particular commodities. Most exchanges also limit the maximum changes in futures contract prices that may occur during a single trading day. The Trust also trades in dealer markets for forward and swap contracts, which are not regulated by the CFTC. Federal and state banking authorities also do not regulate forward trading or forward dealers. In addition, the Trust trades on foreign commodity exchanges, which are not subject to regulation by any U.S. government agency.

Operations

A description of the business of the Trust, including trading approaches for each Series of Units, rights and obligations of the limited owners, compensation arrangements and fees and expenses is contained in the Prospectus, under the sections captioned “Risk Disclosure Statement,” “Summary,” “Risk Factors,” “The Frontier Fund,” “The Offering,” “Trading Limitations, Policies and Swaps,” “The Trustee,” “The Managing Owner,” “Actual and Potential Conflicts of Interest,” “Fees and Expenses” and the appendix attached to the Prospectus for each Series of Units, and such description is incorporated herein by reference from the Prospectus.

3

The Trading Companies for each Series of Units engage 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. A brief description of the Trust’s main types of investments is set forth below:

• A futures contract is a standardized contract traded on an exchange that calls for the future delivery of a specified quantity of a commodity at a specified time and place.

• A forward contract is an individually negotiated contract between principals, not traded on an exchange, to buy or sell a specified quantity of a commodity at or before a specified date at a specified price.

• An option on a futures contract, forward contract or a commodity gives the buyer of the option the right, but not the obligation, to buy or sell a futures contract, forward contract or a commodity, as applicable, at a specified price on or before a specified date. Options on futures contracts are standardized contracts traded on an exchange, while options on forward contracts and commodities, referred to collectively in this prospectus as over-the-counter options, generally are individually negotiated, principal-to-principal contracts not traded on an exchange.

• A swap contract generally involves an exchange of a stream of payments between the contracting parties. Swap contracts generally are not uniform and not exchange-traded.

Certain of the Trading Companies have entered into contractual arrangements with independent commodity trading advisors that will manage all or a portion of such Trading Company’s assets and make the trading decisions with respect to the assets of such Trading Company.

Selection and Replacement of Trading Advisors

The managing owner is ultimately responsible for the selection, retention and termination of the trading advisors and swap reference trading programs on behalf of each series. The Bornhoft Group Corporation, pursuant to the terms of an administrative services agreement, provides recommendations to the managing owner regarding the selection, retention and termination of trading advisors and swap reference trading programs. The actual allocation among trading advisors for each series will vary based upon the relative trading performance of the trading advisors and/or reference programs, and the managing owner may otherwise vary such percentages from time to time in its sole discretion. The managing owner, in consultation with The Bornhoft Group Corporation, will adjust its allocations and rebalance the portfolio of any series among trading advisors to maintain weightings that it believes will most likely achieve capital growth within the investment guidelines of the relevant series.

The Bornhoft Group Corporation utilizes certain quantitative and qualitative analysis in connection with the identification, evaluation and selection of the trading advisors. The Bornhoft Group Corporation’s proprietary and commercial analytical software programs and comprehensive trading advisor database provide the quantitative basis for the trading advisor selection, portfolio implementation process, and ongoing risk management, monitoring, and review.

In 1983, the principals of The Bornhoft Group Corporation began compiling its proprietary database of the leading United States and internationally based alternative investment programs. Trading advisors are monitored and performance data is entered on a daily, monthly, quarterly or bi-annual basis according to internal ranking systems.

The Bornhoft Group Corporation’s research department is continually refining ways to assimilate vast amounts of trading advisor performance data and due-diligence information. The proprietary and commercial database of alternative investment programs is always increasing. Research team members regularly interact with trading advisors throughout the due diligence and monitoring process. Only those programs that have met strict quantitative and qualitative review are considered as potential managers of client assets. Following is a summary of the quantitative and qualitative analysis:

Quantitative Analysis

The Bornhoft Group Corporation’s analytical software system applies a variety of statistical measures towards the evaluation of current and historical advisor performance data. Statistical measures include but are not limited to: (1) risk/reward analysis, (2) time window analysis, (3) risk analysis, (4) correlation analysis, (5) statistical overlays and (6) performance cycle analysis.

Qualitative Analysis

4

Although quantitative analysis statistically identifies the top performing trading advisors, qualitative analysis plays a major role in the trading advisor evaluation and final selection process. Each trading advisor in The Bornhoft Group Corporation’s top decile universe initially undergoes extensive qualitative review by The Bornhoft Group Corporation’s research department, as well as continual monitoring. This analysis generally includes, but is not limited to: (1) preliminary information and due diligence, (2) background review, (3) onsite due diligence, (4) extensive due diligence questionnaires and (5) written review and periodic updates. This information allows a thorough review of each trading advisor’s trading philosophy, trading systems and corporate structure.

Multi-Manager Approach

A multi-manager approach to portfolio management provides diversification of trading advisors and access to broader global markets. Multiple trading advisors can provide diversification across trading methodologies, trading time horizons, and markets traded. Additionally, multi-manager portfolios tend to provide a greater level of professional management with ongoing risk management and review. The result can be more consistent returns with lower volatility.

The trading system of each of the major commodity trading advisors used by the Trading Companies is as follows:

Major Commodity Trading Advisor	Trading System Style
Beach Horizon LLP	Systematic
Cantab Capital Partners LLP	Systematic
Global Advisors (Jersey) Limited	Systematic
Graham Capital Management, L.P.	Systematic
Mesirow Financial Commodities Management, LLC	Discretionary
Quantitative Investment Management, LLC	Systematic
QuantMetrics Capital Management LLP	Systematic
Red Oak Commodity Advisors, Inc.	Discretionary
Rosetta Capital Management, LLC	Discretionary
Skyline Management, Inc.	Discretionary
Tiverton Trading	Discretionary
Transtrend B.V.	Systematic
Winton Capital Management Ltd.	Systematic

A commodity trading advisor (“CTA”) that may be allocated at least 10% of the assets of any Series is referred to herein as a major CTA. A non-major CTA in respect of any Series is a CTA whose allocation will be less than 10% of such Series’ assets.

As of December 31, 2012, the allocation of the assets of each applicable Series of the Trust between the Trading Advisors was as follows:

	Allocation as of December 31, 2012 (expressed as a percentage of aggregate notional exposure to commodity trading programs)
	Frontier Diversified			Frontier Long/Short			Frontier Masters						Tiverton /Graham/						Winton/Graham
Advisor	Series			Commodity Series			Series			Balanced Series			Transtrend Series*			Winton Series			Series
Beach Horizon LLP		12	%		13	%		—			9	%		—			—			—
Cantab Capital Partners LLP		21	%		—			27	%		21	%		—			—			—
Global Advisors (Jersey) Limited		—			13	%		—			—			—			—			—
Graham Capital Management, L.P.		4	%		—			—			—			40	%		—			54	%
Mesirow Financial Commodities Management, LLC		—			13	%		—			—			—			—			—
Quantitative Investment Management, LLC		11	%		—			—			9	%		—			—			—
QuantMetrics Capital Management LLP		7	%		—			—			—			—			—			—
Red Oak Commodity Advisors, Inc.		—			14	%		—			—			—			—			—
Rosetta Capital Management, LLC		—			11	%		—			—			—			—			—
Skyline Management, Inc.		—			9	%		—			—			—			—			—
Tiverton Trading		14	%		—			20	%		15	%		40	%		—			—
Transtrend B.V.		—			—			32	%		—			20	%		—			—
Winton Capital Management Ltd.		11	%		—			21	%		12	%		—			100	%		46	%

5

* As of February 29, 2012, Berkeley Quantitative LP no longer provided trading advisory services to The Frontier Fund or any trading company managed by the managing owner of The Frontier Fund. As of March 4, 2012 the Berkeley/Graham/Tiverton Series of The Frontier Fund was renamed Tiverton /Graham/Transtrend Series.

A description of the trading strategies of the major commodity trading advisors, including general trading focus and registration as a commodity pool operator and/or an investment adviser, and a description of the advisory agreements with the commodity trading advisors is contained in the Prospectus, under the section captioned “Summary of Agreements—Advisory Agreements” and the appendix attached to the Prospectus for each Series of Units, containing a description of each major commodity trading advisor and its trading program, and such description is incorporated herein by reference from the Prospectus.

Financial Information about Geographic Areas

Although the Trust trades in the global futures and forward markets, it does not have operations outside of the U.S.

Employees

The Trust has no employees. The Trust is managed solely by the Managing Owner in its capacity as the managing owner of the Trust pursuant to the Trust Agreement.

Available Information

The Trust files quarterly, annual and current reports with the Securities and Exchange Commission (“SEC”). These reports are posted at http://thefrontierfund.com, and are also available to read and copy at the SEC’s Public Reference Facilities in Washington, D.C. at 450 Fifth Street, N.W., Washington, D.C. 20549. Please call the SEC’s toll free number, 1-800-SEC-0330, for further information or visit http://www.sec.gov.

Additional Information

As of February 29, 2012, Equinox Fund Management, LLC, the managing owner of The Frontier Fund, terminated The Frontier Fund’s advisory agreement with Berkeley Quantitative LP (“Berkeley”). Berkeley will no longer provide trading advisory services to The Frontier Fund or any trading company managed by the managing owner of The Frontier Fund. Effective March 4, 2012, Berkeley/Graham/Tiverton Series became known as the Tiverton/Graham/Transtrend Series.

Item 1A. RISK FACTORS.

The Trust is a venture in a high-risk business. An investment in the Units of each Series is very speculative. You should make an investment in one or more of the Series only after consulting with independent, qualified sources of investment and tax advice and only if your financial condition will permit you to bear the risk of a total loss of your investment. You should consider an investment in the Units only as a long-term investment. Moreover, to evaluate the risks of this investment properly, you must familiarize yourself with the relevant terms and concepts relating to commodities trading and the regulation of commodities trading, which are discussed in the Prospectus in the Statement of Additional Information below, in the section captioned “The Futures Markets,” which is incorporated herein by reference.

You should carefully consider all the information we have included or incorporated by reference in this Form 10-K and our subsequent periodic filings with the SEC. In particular, you should carefully consider the risk factors described below and read the risks and uncertainties as set forth in the “Management’s Discussion and Analysis of Financial Condition and Results of Operations” Section of this Form 10-K. Any of the following risks and uncertainties could materially adversely affect the Trust, its trading activities, operating results, financial condition and NAV and therefore could negatively impact the value of your investment. The information contained herein does not constitute investment, legal or tax advice. You should not invest in the Units unless you can afford to lose all of your investment.

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Market Risks

The commodity interest markets in which the Trading Advisors trade are highly volatile, which could cause substantial losses and may cause you to lose your entire investment.

Commodity interest contracts are highly volatile and are subject to occasional rapid and substantial fluctuations. Consequently, you could lose all or substantially all of your investment in the Units of any Series should such Series’ trading positions suddenly turn unprofitable. The profitability of any Series depends primarily on the ability of its Trading Advisor(s) to predict these fluctuations accurately. Price movements for commodity interests are influenced by, among other things:

• changes in interest rates;

• governmental, agricultural, trade, fiscal, monetary and exchange control programs and policies;

• weather and climate conditions;

• natural disasters, such as hurricanes;

• changing supply and demand relationships;

• changes in balances of payments and trade;

• U.S. and international rates of inflation;

• currency devaluations and revaluations;

• U.S. and international political and economic events; and

• changes in philosophies and emotions of market participants.

The Trading Advisors’ technical trading methods may not take account of these factors except as they may be reflected in the technical input data analyzed by the Trading Advisors.

In addition, governments from time to time intervene, directly and by regulation, in certain markets, often with the intent to influence prices directly. The effects of governmental intervention may be particularly significant at certain times in the financial instrument and currency markets, and this intervention may cause these markets to move rapidly.

Futures, forward and options trading is volatile and may cause large losses.

A principal risk in futures, forward and options trading is volatile performance. Because the trading decisions for each of the Trust’s Winton Series will be made by a single Trading Advisor, the trading for each such Series is similar to a single advisor fund in which one trading advisor makes all the trading decisions. In single advisor funds, volatility may increase as compared to a fund with several trading advisors who, collectively, can diversify risk to a greater extent (assuming those advisors are non-correlated with each other).

Options trading can be more volatile and expensive than futures trading and may cause large losses.

Certain Trading Advisors may trade options on futures. Although successful options trading require many of the same skills as successful futures trading, the risks involved are somewhat different. For example, the assessment of near-term market volatility—which is directly reflected in the price of outstanding options—can be of much greater significance in trading options than it is in many long-term futures strategies. If market volatility is incorrectly predicted, the use of options can be extremely expensive.

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The Trading Advisors’ trading is subject to execution risks.

Although each Series generally will purchase and sell actively traded contracts, orders may not be executed at or near the desired price, particularly in thinly traded markets, in markets that lack trading liquidity, or because of applicable “daily price fluctuation limits,” “speculative position limits” or market disruptions. If market illiquidity or disruptions occur, then major losses could result.

Futures Interests trading is speculative and volatile.

The rapid fluctuations in the market prices of futures, forwards, and options make an investment in any of the series volatile. Volatility is caused by, among other things: changes in supply and demand relationships; weather; agriculture, trade, fiscal, monetary and exchange control programs; domestic and foreign political and economic events and policies; and changes in interest rates. The Trading Advisors’ technical trading methods may not take account of these factors except as they may be reflected in the technical input data analyzed by the trading advisors. In addition, governments from time to time intervene, directly and by regulation, in certain markets, often with the intent to influence prices directly. The effects of governmental intervention may be particularly significant at certain times in the financial instrument and currency markets, and this intervention may cause these markets to move rapidly.

Options are volatile and inherently leveraged, and sharp movements in prices could cause the Trust to incur large losses.

Certain Trading Advisors may trade options on futures. Although successful options trading requires many of the same skills as successful futures trading, the risks involved are somewhat different. Successful options trading requires a trader to accurately assess near-term market volatility, because that volatility is immediately reflected in the price of outstanding options. Correct assessment of market volatility can therefore be of much greater significance in trading options than it is in many long-term futures strategies. If market volatility is incorrectly predicted, the use of options can be extremely expensive.

Exchanges of futures for physicals may adversely affect performance.

Certain Trading Advisors may engage in exchanges of futures for physicals for client accounts. An exchange of futures for physicals is a transaction permitted under the rules of many futures exchanges in which two parties holding futures positions may close out their positions without making an open, competitive trade on the exchange. Generally, the holder of a short futures position buys the physical commodity, while the holder of a long futures position sells the physical commodity. The prices at which such transactions are executed are negotiated between the parties. If a Trading Advisor engaging in exchanges of futures for physicals were prevented from such trading as a result of regulatory changes, the performance of client accounts of such Trading Advisor could be adversely affected.

Cash flow needs may cause positions to be closed which may cause substantial losses.

Certain Trading Advisors may trade options on futures. Options on futures contract gains and losses are marked-to-market daily for purposes of determining margin requirements. Option positions will require additional margin if the market moves against the position. Due to these differences in margin treatment between futures and options, there may be periods in which positions on both sides must be closed down prematurely due to short term cash flow needs. If this occurs during an adverse move in a spread or straddle relationship, then a substantial loss could occur.

The Trading Companies and Trust may enter into Swap and similar transactions which may create risks.

Swaps are not traded on exchanges and are not subject to the same type of government regulation as exchange markets. As a result, many of the protections afforded to participants on organized exchanges and in a regulated environment are not available in connection with these transactions.

The Dodd-Frank Wall Street Reform and Consumer Protection Act will affect the manner in which OTC swap transactions are traded and the credit risk associated with such trading. Any changes will likely impact the way swaps are traded and could impact the trading strategy of the trust, as well as make it more expensive to trade swaps.

There are no limitations on daily price movements in swaps. Speculative position limits are not applicable to swaps, although the counterparties to swaps may limit the size or duration of positions as a consequence of credit considerations. Participants in the swap markets are not required to make continuous markets in the swaps they trade. Participants could refuse to quote prices for swaps or quote prices with an unusually wide spread between the price at which they are prepared to buy and the price at which they are prepared to sell. In the case of any swap that references a fund or program managed by a trading advisor, certain or all of the risks disclosed in this report in relation to the trading advisors also may apply, indirectly, in relation to the relevant series’ investment in such swap.

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The trading on behalf of each Series will be margined, which means that sharp declines in prices could lead to large losses.

Because the amount of margin funds necessary to be deposited with a futures clearing broker to enter into a futures, forward contract or option position is typically about 2% to 10% of the total value of the contract, each Trading Advisor may take positions on behalf of a Series with face values equal to several times such Series’ NAV. These low margin requirements provide a large amount of leverage. As a result of margining, even a small movement in the price of a contract can cause major losses. Any purchase or sale of a futures or forward contract or option position may result in losses that substantially exceed the amount invested. If severe short-term price declines occur, such declines could force the liquidation of open positions with large losses. Margin is normally monitored through the margin-to-equity ratio employed by each trading advisor. Under normal circumstances, the Trading Advisors will vary between a 10% to 30% margin-to-equity ratio. In addition, OTC transactions present risks in addition to those associated with exchange-traded contracts, as discussed immediately below.

OTC transactions are subject to little, if any, regulation and may be subject to the risk of counterparty default.

A portion of each Series’ assets may be used to trade OTC derivative contracts, such as forward contracts, option contracts, or swaps, or spot contracts. OTC contracts are typically traded on a principal-to-principal basis through dealer markets that are dominated by major money center and investment banks and other institutions and are essentially unregulated by the CFTC. You therefore do not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act in connection with this trading activity. The markets for OTC contracts rely upon the integrity of market participants in lieu of the additional regulation imposed by the CFTC on participants in the futures markets. The lack of regulation in these markets could expose a Series in certain circumstances to significant losses in the event of trading abuses or financial failure by participants.

Each Series also faces the risk of non-performance by the counterparties to the OTC contracts. Unlike in futures contracts, the counterparty to these contracts is generally a single bank or other financial institution, rather than a clearing organization backed by a group of financial institutions. As a result, there will be greater counterparty credit risk in these transactions. The clearing member, clearing organization or other counterparty may not be able to meet its obligations, in which case the applicable Series could suffer significant losses on these contracts.

The Dodd-Frank Act will affect the manner in which OTC swap transactions are traded and the credit risk associated with such trading. Depending upon actions taken by regulatory authorities, these changes may also affect the manner of trading of OTC foreign currency transactions. Transactions that have been entered into prior to implementation of the provisions of the Dodd-Frank Act will remain in effect. Accordingly, even after the new regulatory framework is fully implemented, the risks of OTC foreign exchange transactions will continue to exist with respect to transactions entered into prior to the implementation of the provisions of the Dodd-Frank Act. Additionally, any changes will likely impact the way swaps are traded and could impact the trading strategy of the trust, as well as make it more expensive to trade swaps.

Foreign markets are less regulated than U.S. markets and are subject to exchange rate, market practices, and political risks.

A substantial portion of the Trading Advisors’ trades are expected to take place on markets or exchanges outside the United States. There is no limit to the amount of assets of any Series that may be committed to trading on foreign markets. Foreign trading involves risks—including exchange rate exposure, possible governmental intervention, and lack of regulation—which U.S. trading does not. In addition, the Trading Advisors may not have the same access to certain positions on foreign exchanges as do local traders, and the historical market data on which the Trust’s Trading Advisors base their strategies may not be as reliable or accessible as it is in the United States. Certain foreign exchanges may also be in a more or less developmental stage so that prior price histories may not be indicative of current price dynamics. The rights of traders or investors in the event of insolvency or bankruptcy of a non-U.S. market or broker are also likely to be more limited than in the case of U.S. markets or brokers.

Additionally, trading on U.S. exchanges is subject to CFTC regulation and oversight, including for example, minimum capital requirements for commodity brokers, regulation of trading practices on the exchanges, prohibitions against trading ahead of customer orders, prohibitions against filling orders off exchanges, prescribed risk disclosure statements, testing and licensing of industry sales personnel and other industry professionals, and record keeping requirements. Trading on non-U.S. exchanges is not regulated by the CFTC or any other U.S. governmental agency or instrumentality, and may be subject to regulations that are different or less rigorously enforced than those to which U.S. exchange trading is subject.

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Assets Held in Accounts at U.S. Banks May Not Be Fully Insured.

The assets of each trading company that are deposited with commodity brokers or their affiliates may be placed in deposit accounts at U.S. banks. The Federal Deposit Insurance Corporation (FDIC) insures deposit accounts up to $250,000 for each accountholder, and, if the funds in a single account can be traced back to individual beneficiaries, then each beneficiary is entitled to $250,000 in coverage. This amount of insurance coverage was made permanent by the Dodd-Frank Act. In addition, the Dodd-Frank Act provides temporary, unlimited deposit insurance for all non-interest bearing transaction accounts at FDIC-insured depository institutions. Under this provision of the Dodd-Frank Act, non-interest bearing transaction accounts will be fully insured, without limit, from December 31, 2010 through December 31, 2012. A non-interest bearing transaction account includes non-interest bearing demand deposit (or checking) accounts that allow for an unlimited number of deposits and withdrawals at any time, whether held by a business, an individual or other type of depositor. However, when this provision of the Dodd-Frank Act expires on January 1, 2013, all of a depositor’s accounts at an insured depository institution, including all noninterest-bearing transaction accounts, will be insured by the FDIC up to the standard maximum deposit insurance amount ($250,000), for each deposit insurance ownership category. Uninsured depositors also may receive funds in the event of a receivership of the bank holding the deposit accounts, but uninsured depositors have a lower priority in respect of payment than insured depositors or certain other creditors, and frequently there are insufficient funds in a receivership estate to pay off uninsured depositors fully. If the FDIC were to become receiver of a U.S. bank holding deposit accounts that were established by a commodity broker or one of its affiliates, then it is uncertain whether the commodity broker, the affiliate involved, the trading company, the Series involved, or the investor would be able to reclaim cash in the deposit accounts in the full amount.

Credit Default Swaps.

A credit default swap enables an investor to buy or sell protection against a credit event with respect to an issuer, such as an issuer’s failure to make timely payments of interest or principal on its debt obligations, bankruptcy or restructuring. The terms of the instrument are generally negotiated by the trust and the swap counterparty. A credit default swap may be embedded within a structured note or other derivative instrument.

Generally, if the trust buys credit protection using a credit default swap, the trust will make fixed payments to the counterparty and if a credit event occurs with respect to the applicable issuer, the trust will deliver the issuer’s defaulted bonds underlying the swap to the swap counterparty and the counterparty will pay the trust par for the bonds. If the trust sells credit protection using a credit default swap, generally the trust will receive fixed payments from the counterparty and if a credit event occurs with respect to the applicable issuer, the trust will pay the swap counterparty par for the issuer’s defaulted bonds and the swap counterparty will deliver the bonds to the trust. Alternatively, a credit default swap may be cash settled and the buyer of protection would receive the difference between the par value and the market value of the issuer’s defaulted bonds from the seller of protection. If the credit default swap is on a basket of issuers, the notional value of the swap is reduced by the amount represented by that issuer, and the fixed payments are then made on the reduced notional value.

Risks of Credit Default Swaps.

Credit default swaps are subject to credit risk of the underlying issuer and to counterparty credit risk. If the counterparty fails to meet its obligations, the trust may lose money. Credit default swaps are also subject to the risk that the trust will not properly assess the risk of the underlying issuer. If the trust is selling credit protection, there is a risk that a credit event will occur and that the trust will have to pay the counterparty. If the trust is buying credit protection, there is a risk that no credit event will occur and the trust will receive no benefit for the premium paid.

Your investment could be illiquid.

A Trading Advisor may not always be able to liquidate its commodity interest positions at the desired time or price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption, such as a foreign government taking political actions that disrupt the market in its currency or in a major export, can also make it difficult to liquidate a position. Alternatively, limits imposed by futures exchanges or other regulatory organizations, such as speculative position limits and daily price fluctuation limits, may contribute to a lack of liquidity with respect to some commodity interests. Also, there is not likely to be a secondary market for the Units.

Certain Restrictions on Redemption and Transfer of the Units Will Apply.

Investors may redeem units daily on one business day notice, but certain restrictions on redemption and transfer will apply. For example, if you invest in class 1 or 1a units and redeem all or a portion of such units on or before the end of the 12 full months following the purchase of such units, you will be charged a redemption fee of up to 2.0% of the purchase price of any such units being redeemed. Also, transfers of units are permitted only with the prior written consent of the managing owner and provided that conditions specified in the trust agreement are satisfied. There is no secondary market for the units and none is expected to develop.

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Redemptions may be temporarily suspended.

The Managing Owner may suspend temporarily any redemption for some or all Series up to 30 days if the effect of the redemption, either alone or in conjunction with other redemptions, would be to impair the Trust’s ability to operate in pursuit of its objectives (for example, if the Managing Owner believes a redemption, if allowed, would materially advantage one investor over another investor). The Managing Owner anticipates suspending redemptions only under extreme circumstances, such as a natural disaster, force majeure, act of war, terrorism or other event which results in the closure of financial markets. During any suspension of redemptions, a redeeming Limited Owner invested in a Series for which redemptions were suspended would remain subject to market risk with respect to such Series.

An investment in Units may not diversify an overall portfolio.

Historically, managed futures have performed in a manner largely independent from the general equity and debt markets . If, however, a Series does not perform in a non-correlated manner with respect to the general financial markets or does not perform successfully, you will obtain little or no diversification benefits by investing in the Units. An investment in any Series of the Trust could increase, rather than reduce your overall portfolio losses during periods when the Trust and the equity and debt markets decline in value. There is no way of predicting whether the Trust will lose more or less than stocks and bonds in declining markets. You should therefore not consider the Units to be a hedge against losses in your core stock and bond portfolios. Past performance is not indicative of future results.

Trading Risks

There are disadvantages to making trading decisions based on technical analysis.

Most of the Trading Advisors except certain Trading Advisors trading for the Frontier Long/Short Commodity Series may base their trading decisions on trading strategies that use mathematical analyses of technical factors relating to past market performance. The buy and sell signals generated by a technical, trend-following trading strategy are derived from a study of actual daily, weekly and monthly price fluctuations, volume variations and changes in open interest in the markets. The profitability of any technical, trend-following trading strategy depends upon the occurrence in the future of significant, sustained price moves in some of the markets traded. A danger for trend-following traders is whip-saw markets, that is, markets in which a potential price trend may start to develop but reverses before an actual trend is realized. A pattern of false starts may generate repeated entry and exit signals in technical systems, resulting in unprofitable transactions. In the past, there have been prolonged periods without sustained price moves. Presumably these periods will continue to occur. Periods without sustained price moves may produce substantial losses for trend-following trading strategies. Further, any factor that may lessen the prospect of these types of moves in the future, such as increased governmental control of, or participation in, the relevant markets, may reduce the prospect that any trend- following trading strategy will be profitable in the future.

There are disadvantages to making trading decisions based on fundamental analysis.

Certain Trading Advisors will base their decisions on trading strategies which utilize in whole or in part fundamental analysis of underlying market forces. Fundamental analysis attempts to examine factors external to the trading market which affect the supply and demand for a particular commodity interest in order to predict future prices. Such analysis may not result in profitable trading because certain Trading Advisors may not have knowledge of all factors affecting supply and demand or may incorrectly interpret the information they do have. Furthermore, prices may often be affected by unrelated or unexpected factors and fundamental analysis may not enable the Trading Advisor to determine whether its previous decisions were incorrect in sufficient time to avoid substantial losses. In addition, fundamental analysis assumes that commodity markets are inefficient—i.e., that commodity prices do not always reflect all available information—which some market analysts dispute.

Increased competition from other trend-following traders could reduce the Trading Advisors’ profitability.

There has been a dramatic increase over the past 15 to 25 years in the amount of assets managed by trend-following trading systems like those that some of the Trading Advisors may employ. This means increased trading competition among a larger number of market participants for transactions at favorable prices, which could operate to the detriment of some or all Series by preventing the Trading Advisors from effecting transactions at the desired prices. It may become more difficult for the Trading Advisors to implement their trading strategies if other commodity trading advisors using technical systems are also attempting to initiate or liquidate commodity positions at the same time as the Trading Advisors.

Discretionary decision-making may result in missed opportunities or losses.

Because each of the Trading Advisors’ strategies involves some discretionary aspects in addition to their technical factors, certain Trading Advisors may occasionally use discretion in investing the assets of a Series. For example, the Trading Advisors often use discretion in selecting contracts and markets to be followed. In exercising such discretion, such Trading Advisor may take positions opposite to those recommended by the Trading Advisor’s trading system or signals. Discretionary decision making may also result in

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a Trading Advisor’s 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 Series to avoid losses, and in fact, such use of discretion may cause the Series to forego profits which it may have otherwise earned had such discretion not been used.

The Trading Companies are subject to speculative position limits.

The CFTC and U.S. exchanges have established “speculative position limits” on the maximum net long or net short position which any person or group of persons may hold or control in particular futures, options on futures and swaps that perform a significant price discovery function. Most exchanges also limit the amount of fluctuation in commodity future contract prices on a single trading day. The trading instructions of the Trading Advisors may have to be modified, and positions held by the Trading Companies may have to be liquidated in order to avoid exceeding these limits. Such modification or liquidation could adversely affect the operations and profitability of the Trading Companies by increasing transaction costs to liquidate positions and limiting potential profits on the liquidated positions.

In October 2011, the CFTC adopted new rules governing position limits. In September 2012, these rules were vacated by the United States District Court for the District of Columbia and remanded to the CFTC for further consideration. It is possible, nevertheless, that these rules may take effect in some form via re-promulgation or a successful appeal by the CFTC of the District Court’s ruling. The vacated rules established position limits on certain futures contracts and any economically equivalent futures, options and swaps. These rules could have an adverse effect on the Trading Advisors trading for the Trading Companies.

Increases in assets under management of any of the Trading Advisors could lead to diminished returns.

We believe that none of the Trading Advisors intends to limit the amount of additional equity that it may manage, and each will continue to seek major new accounts. However, the rates of returns achieved by a Trading Advisor often diminish as the assets under its management increase. This can occur for many reasons, including the inability of the Trading Advisor to execute larger position sizes at desired prices and because of the need to adjust the Trading Advisor’s trading program to avoid exceeding speculative position limits. These limits are established by the CFTC and the exchanges on the number of speculative futures and options contracts in a commodity that one trader may own or control. Furthermore, if the Trading Advisors for a Series cannot manage any additional allocation from the Trust, the Managing Owner may add additional Trading Advisors for such Series who may have less experience or less favorable performance than the existing Trading Advisors.

The use of multiple Trading Advisors may result in offsetting or opposing trading positions and may also require one Trading Advisor to fund the margin requirements of another Trading Advisor.

The use of multiple Trading Advisors for the Frontier Diversified Series, Frontier Masters Series, Balanced Series, Winton/Graham Series, Tiverton/Graham/Transtrend Series, and Frontier Long/Short Commodity Series may result in developments or positions that adversely affect the respective Series’ NAV. For example, because the Trading Advisors trading for the Frontier Diversified Series, Frontier Masters Series, Balanced Series, Winton/Graham Series, Tiverton/Graham/Transtrend Series, and Frontier Long/Short Commodity Series will be acting independently, such Series could buy and sell the same futures contract, thereby incurring additional expenses but with no net change in its holdings. The Trading Advisors also may compete, from time to time, for the same trades or other transactions, increasing the cost to such Series of making trades or transactions or causing some of them to be foregone altogether. Even though the margin requirements resulting from each Trading Advisor’s trading for any such Series ordinarily will be met from that Trading Advisor’s allocated net assets of such Series, a Trading Advisor for the Frontier Diversified Series, Frontier Masters Series, Balanced Series, Winton/Graham Series, Tiverton/Graham/Transtrend Series, or Frontier Long/Short Commodity Series may incur losses of such magnitude that such Series is unable to meet margin calls from the allocated net assets of that Trading Advisor. If losses of such magnitude were to occur, the Clearing Brokers for the Trading Company or Trading Companies in which such Series invests its assets may require liquidations and contributions from the allocated net assets of another Trading Advisor for such Series.

The Trading Advisors’ trading programs bear some similarities and, therefore, may lessen the benefits to the Balanced Series, Winton/Graham Series, Tiverton/Graham/Transtrend Series, and Frontier Long/Short Commodity Series of having multiple Trading Advisors.

Each Trading Advisor has, over time, developed and modified the program it will use in trading. Nevertheless, the Trading Advisors’ trading programs have some similarities. These similarities may, in fact, mitigate the positive effect of having multiple Trading Advisors for the Frontier Diversified Series, Frontier Masters Series, Balanced Series, Winton/Graham Series, Tiverton/Graham/Transtrend Series, and Frontier Long/Short Commodity Series. For example, in periods where one Trading Advisor experiences a draw-down, it is possible that these similarities will cause the other Trading Advisors to also experience a draw-down.

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Each Series relies on its Trading Advisor(s) for success, and if a Trading Advisor’s trading is unsuccessful, the Series may incur losses.

The Trading Advisor(s) for each Series will make the commodity trading decisions for that Series. Therefore, the success of each Series largely depends on the judgment and ability of the Trading Advisors. A Trading Advisor’s trading for any Series may not prove successful under all or any market conditions. If a Trading Advisor’s trading is unsuccessful, the applicable Series may incur losses. Similarly, the success of each Series that invests in swaps largely depends on the judgment and ability of the commodity trading advisors whose trading programs are referenced by swaps in which such Series invests.

There are disadvantages associated with terminating or replacing Trading Advisors.

A Trading Advisor generally is required to recoup previous trading losses before it can earn performance-based compensation. However, the Managing Owner may elect to replace a Trading Advisor that has a “loss carryforward.” In that case, the Trust would lose the “free ride” of any potential recoupment of the prior losses of such Trading Advisor. In addition, the new Trading Advisor would earn performance-based compensation on the first dollars of investment profits.

It is also possible that (i) the advisory agreement with any Trading Advisor, once it expires, will not be renewed on the same terms as the current advisory agreement for that Trading Advisor, (ii) if assets of any Series allocated to a particular Trading Advisor are reallocated to a new or different Trading Advisor, the new or different Trading Advisor will not manage the assets on terms as favorable to the Series as those negotiated with the previous Trading Advisor, (iii) the addition of a new Trading Advisor and/or the removal of one of the current Trading Advisors may cause disruptions in trading as assets are reallocated or (iv) the services of a replacement trading advisor may not be available. There is severe competition for the services of qualified trading advisors, and the Managing Owner may not be able to retain replacement or additional trading advisors on acceptable terms. The effect of the replacement of or the reallocation of assets away from a Trading Advisor therefore, could be significant.

Each Trading Advisor advises other clients and may achieve more favorable results for its other accounts.

Each of the Trading Advisors currently manages other trading accounts, and each will remain free to manage additional accounts, including its own accounts, in the future. A Trading Advisor may vary the trading strategies applicable to the Series for which it trades from those used for its other managed accounts, or its other managed accounts may impose a different cost structure than that of the Series for which it trades. Consequently, the results any Trading Advisor achieves for the Series for which it trades may not be similar to those achieved for other accounts managed by the Trading Advisor or its affiliates at the same time. Moreover, it is possible that those other accounts managed by the Trading Advisor or its affiliates may compete with the Series for which it trades for the same or similar positions in the commodity interest markets and that those other accounts may make trades at better prices than the Series for which it trades.

A Trading Advisor may also have a financial incentive to favor other accounts because the compensation received from those other accounts exceeds, or may in the future exceed, the compensation that it receives from managing the account of the Series for which it trades. Because records with respect to other accounts are not accessible to investors in the Units, investors will not be able to determine if any Trading Advisor is favoring other accounts.

The Trading Advisors’ positions may be concentrated from time to time, which may render each Series susceptible to larger losses than if the positions were more diversified.

One or more of the Trading Advisors may from time to time cause a Series to hold a few, relatively large positions in relation to its assets. Consequently, a loss in any such position could result in a proportionately greater loss to such Series than if such Series’ assets had been spread among a wider number of instruments.

Markets or positions may be correlated and may expose a Series to significant risk of loss.

Different markets traded or individual positions held by a Series of Units may be highly correlated to one another at times. Accordingly, a significant change in one such market or position may affect other such markets or positions. The Trading Advisors cannot always predict correlation. Correlation may expose such Series of Units both to significant risk of loss and significant potential for profit.

Turnover in each Series’ portfolio may be high which could result in higher brokerage commissions and transaction fees and expenses.

Each Trading Advisor will make certain trading decisions on the basis of short-term market considerations. The portfolio turnover rate may be substantial at times, either due to such decisions or to market conditions and result in one or more Series incurring substantial brokerage commissions and other transaction fees and expenses.

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The Trust will have counterparty risk to U.S. Bank.

Each of the Trading Companies currently holds substantially all cash deposits not used for margin with U.S. Bank, although the Managing Owner may choose to hold the Trading Companies’ cash at other banks in its sole discretion. Because all cash deposits not used for margin are currently held at U.S. Bank, the Trust is subject to the risk that U.S. Bank may fail or that such cash deposits will not be available to the Trading Companies or the Trust. This could have a significant impact on you and your investment.

Operating Risks

Past performance is not necessarily indicative of future performance.

The Managing Owner has selected each Trading Advisor to manage the assets of each Series because each Trading Advisor performed well through the date of its selection. You must consider, however, the uncertain significance of past performance, and you should not rely to a substantial degree on the Trading Advisors’ or the Managing Owner’s records to date for predictive purposes. You should not assume that any Trading Advisor’s future trading decisions will create profit, avoid substantial losses or result in performance for the Series comparable to that Trading Advisor’s or to the Managing Owner’s past performance. In fact, as a significant amount of academic study has shown, futures funds more frequently than not under-perform the past performance records included in their prospectuses. The managing owner believes that the past performance of the trading advisors may be of interest to prospective investors, but encourages you to look at such information as an example of the respective objectives of the managing owner and each trading advisor rather than as any indication that the investment objectives of any series will be achieved.

Because you and other investors will acquire exchange and redeem Units at different times, you may experience a loss on your Units even though the Series in which you have invested as a whole is profitable and even though other investors in that Series experience a profit. The past performance of any Series may not be representative of each investor’s investment experience in it.

Likewise, you and other investors will invest in different Series managed by different Trading Advisors. Each Series’ assets are valued and accounted for separately from every other Series. Consequently, the past performance of one Series has no bearing on the past performance of another Series. You cannot, for example, consider the Balanced Series’ past performance in deciding whether to invest in any other Series.

You have limited performance information on which to evaluate an investment in a Series.

Certain of the Series have limited performance histories upon which to evaluate your investment in such Series. Although past performance is not necessarily indicative of future results, if any such Series had a longer performance history, such performance history might provide you with more information on which to base your investment decision for such Series. As such Series have limited performance histories, you will have to make your decision to invest in any such Series without such possibly useful information.

The Managing Owner may allocate nominal assets in respect of a Series that are in excess of the NAV of such Series.

At any given time, the nominal assets, which are the total amount of assets of a series allocated to trading advisors and/or reference programs, including (i) actual funds deposited in accounts directed by the trading advisors or deposited as margin in respect of swaps or other derivative instruments referencing a reference program plus (ii) any notional equity allocated to the trading advisors and any reference programs, of a Series may exceed the NAV of such Series depending on the amount of notional equity that is being utilized. The Managing Owner expects that the nominal assets of each Series will generally be maintained at a level in excess of the NAV of such Series and such excess may be substantial to the extent the Managing Owner deems necessary to achieve the desired level of volatility. To the extent that nominal assets of a Series are in excess of NAV, investors should understand that the applicable Series will experience greater volatility as measured by NAV than it would if the nominal assets were maintained at a level equal to NAV. In such case, any losses to the Series will be greater as measured by a percentage of NAV, as compared to the percentage loss incurred in respect of nominal assets. Consequently, the allocation of nominal assets in excess of a Series’ NAV will magnify exposure to the swings in market prices of futures, forwards, options or other assets held by a trading company or referenced by a swap or other derivative instrument and result in increased volatility, and potentially greater losses. You may lose all or substantially all of your investment in a Series.

Each Series is charged substantial fees and expenses regardless of profitability.

Each Series is charged brokerage charges, over-the-counter dealer spreads and related transaction fees and expenses and management fees in all cases regardless of whether any Series’ activities are profitable. In addition, the Managing Owner charges each Series an incentive fee based on a percentage of trading profits earned on the Series’ net assets and the Managing Owner pays all or a portion of such incentive fees to the Trading Advisor(s) for such Series. Because the Balanced Series, Winton/Graham Series, Tiverton/Graham/Transtrend Series, Frontier Diversified Series, Frontier Masters Series and Frontier Long/Short Commodity Series may each employ multiple Trading Advisors, it is possible that such Series could pay substantial incentive fees out of the assets of any such Series with respect to one or more Trading Advisors in a year in which such Series has no net trading profits or in which it actually loses money. In addition, each Series must earn trading gains sufficient to compensate for these fees and expenses before it can earn any profit.

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Investors should note that the management fee payable to the Managing Owner is based on nominal assets rather than NAV. Therefore, the management fee will be greater as a percentage of a Series’ NAV to the extent that the nominal assets of such Series exceed its NAV.

There are certain risks associated with investments in trading companies.

Certain of the trading companies may be organized as series limited liability companies. This means that, under the Delaware Limited Liability Company Act, the assets of one Series are not available to pay the liabilities of another Series or the trading company as a whole. This statute has not been tested in a court of law in the United States. In the event series liability is not enforceable, a segregated Series could be obligated to pay the liabilities of another Series or the trading company.

Each of the Series except for Currency Series and Winton Series invests in trading companies that, although they are organized as series limited liability companies, allocate assets to more than one commodity trading advisor without the establishment of separate series with segregated liabilities. For these trading companies, losses incurred by one commodity trading advisor may negatively impact the trading company as a whole, as the assets allocated to a different commodity trading advisor may be made available to pay the liabilities of the commodity trading advisor that has incurred the loss. Since the Series currently invest in such trading companies, this could indirectly cause the assets of one Series to be used to pay the liabilities of another Series. For trading companies that allocate assets to more than one commodity trading advisor, a Series may be allowed to allocate a portion of its assets to a particular commodity trading advisor accessed by the trading company, rather than to the trading company as a whole.

Differing levels of fees received may create an incentive for the Managing Owner to favor certain Series over others.

The Managing Owner charges the various Series differing levels of fees. This may create an incentive for the Managing Owner to favor certain Series over other Series in, among other things, the amount of time and effort spent managing any given Series and the selection of Trading Advisors for a given Series.

Each Series may incur higher fees and expenses upon renewing existing or entering into new contractual relationships.

The clearing agreements between the Clearing Brokers and the Trading Companies generally are terminable by the Clearing Brokers once the Clearing Broker has given the Trading Company the required notice. Upon termination of a clearing agreement, the Managing Owner may be required to renegotiate that agreement or make other arrangements for obtaining clearing. The services of the Clearing Brokers may not be available, or even if available, these services may not be available on the terms as favorable as those contained in the expired or terminated clearing agreements.

The Series may be obligated to make payments under guarantee agreements.

Each of the Series has guaranteed the obligations of the trading companies under the customer agreements with UBS Securities as Clearing Broker. In the event that one Series is unable to meet its obligations to UBS Securities, the assets of the other Series will be available to UBS Securities as part of the guarantee, but only to the extent of such Series’ pro rata allocation to the trading company. As such, even if you are not invested in the defaulting Series, your investment could be impacted. The Trust, or any Series of the Trust, may enter into similar guarantees in the future.

The incentive fees could be an incentive to the Trading Advisors to make riskier investments.

The Managing Owner pays each Trading Advisor incentive fees based on the trading profits earned by it for the applicable Series, including unrealized appreciation on open positions. Accordingly, it is possible that the Managing Owner will pay an incentive fee on trading profits that do not become realized. Also, because the Trading Advisors are compensated based on the trading profits earned, each of the Trading Advisors has a financial incentive to make investments that are riskier than might be made if a Series’ assets were managed by a Trading Advisor that did not receive performance-based compensation.

The interest rate floor for certain Series may create financial risk for such Series.

With respect to the Winton/Graham Series, Winton Series, Tiverton/Graham/Transtrend Series, Currency Series and the Class 1 and Class 2 of the Balanced Series, the Trust has agreed to pay all interest income earned by it to the Managing Owner up to a cap of 2.0% annually of the NAV of such Series. To the extent that the interest income earned by the Trust falls below 0.75% annually, the Trust will be obligated to pay the Managing Owner the difference between the interest income that is allocated to each of such Series and 0.75%. Such shortfall will be charged pro rata across such Series of Units. Accordingly, if interest rates fall, then you could be charged a portion of such interest income shortfall which would reduce the value of your Units in such Series.

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In October 2008, the Trust invested approximately $272 million in custom time deposits with U.S. Bank N.A. The time deposits earn a guaranteed fixed interest rate of 3.75% and will mature nine months from the deposit date and be subject to automatic six-month rollovers through October 2013. In September 2009, the Trust invested approximately $100 million in custom time deposits with U.S. Bank N.A. The time deposits earn a guaranteed fixed interest rate of 2.17% and will mature six months from the deposit date and be subject to automatic six-month rollovers through October 2014. This time deposit was redeemed in August 2011. In April 2010, the Trust invested approximately $50 million in custom time deposits with U.S. Bank N.A. The time deposits earn a guaranteed fixed interest rate of 2.40% and will mature six months from the deposit date and be subject to automatic six-month rollovers through October 2015. This time deposit was partially redeemed in January 2012 and October 2012, and fully redeemed in November 2012. Proceeds of redeemed time deposits were used to fund counterparty margin requirements, investor redemptions from the Trust, or other operating needs of the Trust.

Other assets of the Trust earn interest at different rates. There can be no assurance that the interest income of the Trust can be maintained above the 0.75% shortfall level due to the uncertainties of the duration and extent of a low interest rate environment.

You have limited rights, and you cannot prevent the Trust from taking actions which could cause losses.

You will exercise no control over the Trust’s day-to-day business. Therefore, the Trust will take certain actions and enter into certain transactions or agreements without your approval. For example, the Trust may retain a Trading Advisor for a Series in which you are invested, and such Trading Advisor may ultimately incur losses for the Series. As a Limited Owner, you have no ability to determine or influence the hiring, retention or firing of such Trading Advisor. However, certain actions, such as termination or dissolution of a Series, may only be taken upon the affirmative vote of Limited Owners holding Units representing at least a majority (over 50%) of the NAV of the Series (excluding Units owned by the Managing Owner and its affiliates).

You may not be able to establish a basis for liability against a Trading Advisor, a Clearing Broker or the Swap Counterparty.

Each Trading Advisor, each Clearing Broker and each Swap counterparty acts only as a trading advisor, clearing broker or swap counterparty, respectively, to the applicable Series and Trading Company. These parties do not act as trading advisors, clearing brokers, or swap counterparties to you. Therefore, you have no contractual privity with the Trading Advisors, the Clearing Brokers or any Swap counterparty. Due to this lack of contractual privity, you may not be able to establish a basis for liability against a Trading Advisor, a Clearing Broker or any Swap counterparty.

An unanticipated number of redemption requests during a short period of time could result in losses.

Substantial redemptions of units could require a Series to liquidate investments more rapidly than otherwise desirable in order to raise the necessary cash to fund the redemptions, which could result in losses. Illiquidity in the markets could make it difficult to liquidate positions on favorable terms, which could result in additional losses. It may also be difficult for the Series to achieve a market position appropriately reflecting a smaller equity base.

Reserves for contingent liabilities may be established upon redemption, and the Trust may withhold a portion of your redemption amount.

When you redeem your units, the Trust may find it necessary to set up a reserve for undetermined or contingent liabilities and withhold a certain portion of your redemption amount. This could occur, for example, (i) if some of the positions of the Series in which you were invested were illiquid, (ii) if there are any assets which cannot be properly valued on the redemption date, or (iii) if there is any pending transaction or claim by or against the Trust involving or which may affect your book capital account or your obligations.

Conflicts of interest exist in the structure and operation of the Trust.

A number of actual and potential conflicts of interest exist in the operation of the Trust’s business. The Managing Owner, the Trading Advisors and their respective principals, all of which are engaged in other investment activities, and are not required to devote substantially all of their time to the Trust’s business.

The failure or bankruptcy of one of its Futures Clearing Brokers, banks or other custodians could result in a substantial loss of one or more Series’ assets.

The Trust is subject to the risk of insolvency of an exchange, clearinghouse, commodity broker, and counterparties with whom the trading companies trade. Trust assets could be lost or impounded in such an insolvency during lengthy bankruptcy proceedings. Were a substantial portion of the Trust’s capital tied up in a bankruptcy, the Managing Owner might suspend or limit trading, perhaps causing a Series to miss significant profit opportunities. The Trust is subject to the risk of the inability or refusal to perform on the part of the counterparties with whom contracts are traded. In the event that the Clearing Brokers are unable to perform their obligations, the Trust’s assets are at risk and investors may only recover a pro rata share of their investment, or nothing at all.

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Exchange-traded futures and futures-styled option contracts are marked to market on a daily basis, with variations in value credited or charged to the Trust’s account on a daily basis. The Clearing Brokers, as futures commission merchants for the Trust’s exchange-traded contracts, are required, pursuant to CFTC regulations, to segregate from their own assets, and for the sole benefit of its commodity customers, all funds held by such clients with respect to exchange-traded futures and futures-styled options contracts, including an amount equal to the net unrealized gain on all open futures and futures-styled options contracts. Bankruptcy law applicable to all U.S. futures brokers requires that, in the event of the bankruptcy of such a broker, all property held by the broker, including certain property specifically traceable to the Trust, will be returned, transferred, or distributed to the broker’s customers only to the extent of each customer’s pro rata share of the assets held by such futures broker. The Managing Owner will attempt to limit the Trust’s deposits and transactions to well-capitalized institutions in an effort to mitigate such risks, but there can be no assurance that even a well-capitalized, major institution will not become bankrupt.

With respect to transactions a Series enters into that are not traded on an exchange, there are no daily settlements of variations in value and there is no requirement to segregate funds held with respect to such accounts. Thus, the funds a Series invests in such transactions may not have the same protections as funds used as margin or to guarantee exchange-traded futures and options contracts. If the counterparty becomes insolvent and a Series has a claim for amounts deposited or profits earned on transactions with the counterparty, the Series’ claim may not receive a priority. Without a priority, the Trust is a general creditor and its claim will be paid, along with the claims of other general creditors, from any monies still available after priority claims are paid. Even funds of the Trust that the counterparty keeps separate from its own operating funds may not be safe from the claims of other general and priority creditors. There are no limitations on the amount of allocated assets a portfolio manager can trade on foreign exchanges or in forward contracts.

You will not be able to review any Series’ holdings on a daily basis, and you may suffer unanticipated losses.

The Trading Advisors make trading decisions on behalf of the assets of each Series. While the Trading Advisors receive daily trade confirmations from the Clearing Brokers of each transaction entered into on behalf of each Series for which they manage the trading of, each Series’ trading results are only reported to investors monthly in summary fashion. Accordingly, an investment in the Units does not offer investors the same transparency that a personal trading account offers. As a result, you may suffer unanticipated losses.

You Will Not Be Aware of Changes to Trading Programs.

Because of the proprietary nature of each Trading Advisor’s trading programs, you generally will not be advised if adjustments are made to a trading program in order to accommodate additional assets under management or for any other reason.

The Trust could terminate before you achieve your investment objective causing potential loss of your investment or upsetting your investment portfolio.

Unforeseen circumstances, including substantial losses, withdrawal of the Trust’s Managing Owner, cause the Trust to terminate before its stated termination date of December 31, 2053. The Trust’s termination would cause the liquidation and potential loss of your investment and could upset the overall maturity and timing of your investment portfolio.

Neither the Trust nor any of the trading companies is a regulated investment company and thus is subject to different protections than a regulated investment company.

Neither the Trust nor any of the trading companies is an investment company subject to the Investment Company Act. Accordingly, you do not have the protections afforded by that statute. For example, the Investment Company Act requires investment companies to have a majority of disinterested directors and regulates the relationship between the investment company and its investment adviser. Since neither the Trust nor the trading companies is a registered investment company, you will not benefit from such protections.

The Managing Owner is leanly staffed and relies heavily on its key personnel to manage the Trust’s trading activities. The loss of such personnel could adversely affect the Trust.

In managing and directing the day-to-day activities and affairs of the Trust, the Managing Owner relies heavily on its principals. The Managing Owner is leanly staffed, although there are back-up personnel for every key function. If any of its key persons were to leave or be unable to carry out his or her present responsibilities, it may have an adverse effect on the management of the Trust.

In addition, under the operating agreement of the Managing Owner, Mr. Bornhoft’s ability to serve as the Chief Investment Officer of the Managing Owner is dependent upon certain factors. If Mr. Bornhoft ceases to be the Manager of the Managing Owner, the Trust could be adversely affected.

The Managing Owner places significant reliance on the Trading Advisors and their key personnel and the loss of such personnel could adversely affect a Series.

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The Managing Owner relies on the Trading Advisors to achieve trading gains for each Series, entrusting each of them with the responsibility for, and discretion over, the investment of their allocated portions of the Trust’s assets. The Trading Advisors, in turn, are dependent on the services of a limited number of persons to develop and refine their trading approaches and strategies and execute the trading transactions. The loss of the services of any Trading Advisor’s principals or key employees, or the failure of those principals or key employees to function effectively as a team, may have an adverse effect on that Trading Advisor’s ability to manage its trading activities successfully or may cause the Trading Advisor to cease operations entirely, either of which, in turn, could negatively impact one or more Series’ performance. Each of the Trading Advisors is wholly (or majority) owned and controlled, directly or indirectly, by single individuals who have major roles in developing, refining and implementing the Trading Advisor’s trading strategies and operating its business. The death, incapacity or other prolonged unavailability of such individuals likely would greatly hinder these Trading Advisors’ operations, and could result in their ceasing operations entirely, which could adversely affect the value of your investment.

The Managing Owner may terminate, replace and/or add Trading Advisors in its sole discretion which may disrupt trading, adversely affecting the Net Asset Value of a Series.

The Managing Owner may terminate, substitute or retain Trading Advisors on behalf of each Series in its sole discretion. The addition of a new Trading Advisor and/or the removal of one of the current Trading Advisors may cause disruptions in trading as assets are reallocated and new Trading Advisors transition over, which may have an adverse effect on the NAV of the affected Series.

The Managing Owner’s allocation of the Trust’s assets among Trading Advisors may result in less than optimal performance by the Trust.

The Managing Owner may reallocate assets among the Trading Advisors for the Frontier Diversified Series, Frontier Masters Series, Balanced Series, Winton/Graham Series, Tiverton/Graham/Transtrend Series, Currency Series, Winton Series or Frontier Long/Short Commodity Series upon termination of a Trading Advisor or retention of a new Trading Advisor or at the commencement of any month. Consequently, the net assets for such Series may be allocated among the Trading Advisors in a different manner than the currently anticipated allocation. The Managing Owner’s allocation of assets of any such Series will directly affect the profitability of the trading of the Frontier Diversified Series, Frontier Masters Series, Balanced Series, Winton/Graham Series, Tiverton/Graham/Transtrend Series, Currency Series, Winton Series and Frontier Long/Short Commodity Series, possibly in an adverse manner. For example, a Trading Advisor for a Series may experience a high rate of return but may be managing only a small percentage of the net assets of such Series. In this case, the Trading Advisor’s performance could have a minimal effect on the NAV of such Series.

The success of each Series depends on the ability of the personnel of its Trading Advisor(s) to accurately implement their trading systems, and any failure to do so could subject a Series to losses on such transactions.

The Trading Advisors’ computerized trading systems rely on the Trading Advisors’ personnel to accurately process the systems’ outputs and execute the transactions called for by the systems. In addition, each Trading Advisor relies on its staff to properly operate and maintain its computer and communications systems upon which the trading systems rely. Execution and operation of each Trading Advisor’s systems is therefore subject to human errors. Any failure, inaccuracy or delay in implementing any of the Trading Advisors’ systems and executing transactions could impair its ability to identify profit opportunities and benefit from them. It could also result in decisions to undertake transactions based on inaccurate or incomplete information. This could cause substantial losses on transactions.

Regulation of the commodity interest markets is extensive and constantly changing; future regulatory developments are impossible

to predict and may significantly and adversely affect the Trust.

The futures, options on futures and security futures markets are subject to comprehensive statutes, regulations and margin requirements. With respect to traditional futures exchanges, the CFTC and the exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily limits and the suspension of trading. The regulation of commodity interest transactions in the United States is a rapidly changing area of law and is subject to ongoing modification by governmental and judicial action. In addition, various national governments have expressed concern regarding the disruptive effects of speculative trading in the currency markets and the need to regulate the derivatives markets in general. The effect of any future regulatory change is impossible to predict, but could be substantial and adverse .

Tax and ERISA Risks

You are strongly urged to consult your own tax advisor and counsel about the possible tax consequences to you of an investment in the Trust. Tax consequences may differ for different investors, and you could be affected by changes in the tax laws.

You May Have Tax Liability Attributable to Your Investment in a Series Even if You Have Received No Distributions and Redeemed No Units, and Even if the Series Generated an Economic Loss.

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If a Series has profit for a taxable year (as determined for federal income tax purposes), the profit will be includible in your taxable income, whether or not cash or other property is actually distributed to you by the Series. The Managing Owner does not intend to make any distributions from any Series. Accordingly, it is anticipated that federal income taxes on your allocable share of a Series’ profits will exceed the amount of distributions to you, if any, for a taxable year. As such, you must be prepared to satisfy any tax liability from redemptions of Units or other sources. In addition, a Series may have capital losses from trading activities that cannot be deducted against the Series’ interest income, so that you may have to pay taxes on interest income even if the Series generates a net economic loss for a taxable year.

You may be taxed on gains that the Trust never realizes.

Because a substantial portion of the Trust’s open positions are “marked-to-market” at the end of each year, some of your tax liability for each year will be based on unrealized gains that the Trust may never actually realize.

Partnership treatment is not assured, and if the Trust is not treated as a Partnership, you could suffer adverse tax consequences.

The Managing Owner believes that the Trust will be treated as a partnership for Federal income tax purposes and, assuming that at least 90% of the gross income of the Trust will constitute “qualifying income” within the meaning of Section 7704(d) of the Code, will not be a treated as a publicly traded partnership treated as a corporation. The Managing Owner believes it is likely, but not certain, that the Trust will meet this income test. The Trust has not requested, and does not intend to request, a ruling from the Internal Revenue Service (the “Service”), concerning its tax treatment.

If the Trust were to be treated as a corporation for Federal income tax purposes: the net income of the Trust would be taxed at corporate income tax rates, thereby substantially reducing its distributable cash; you would not be allowed to deduct losses of the Trust; and distributions to you, other than liquidating distributions, would constitute dividends to the extent of the current or accumulated earnings and profits of the Trust and would be taxable as such.

There is the possibility of a tax audit which could result in additional taxes to you.

The Trust’s tax returns may be audited by a taxing authority, and an audit could result in adjustments to the Trust’s returns. If an audit results in an adjustment, you may be compelled to file amended returns and to pay additional taxes plus interest and penalties.

You will likely recognize short-term capital gain.

Profits on futures contracts traded in regulated U.S. and some foreign exchanges, foreign currency contracts traded in the interbank market, and U.S. and some foreign exchange-traded options on commodities are generally taxed as short-term capital gain to the extent of 40% of gains with respect to section 1256 contracts. Special rules apply in the case of mixed straddles (generally, offsetting positions where some, but not all, of the positions are marked-to-market). These special rules could have the effect of limiting the amount of gain treated as long-term capital gain.

The IRS could challenge allocations of recognized gains to Limited Partners who redeem.

The trust agreement provides that recognized gains may be specially allocated for tax purposes to redeeming limited owners. If the IRS were to successfully challenge such allocations, each remaining limited owner’s share of recognized gains would be increased.

The IRS could take the position that deductions for certain Trust expenses are subject to various limitations.

Non-corporate taxpayers are subject to certain limitations for deductions for “investment advisory expenses” for federal income tax and alternative minimum tax purposes. The IRS could argue that certain expenses of the Trust are investment advisory expenses.

The investment of Benefit Plan Investors may be limited or prohibited if any or all of the Series (or Class of any Series) are deemed to hold plan assets or if the Trading Advisors have pre-existing fiduciary relationships with certain investing Benefit Plan Investors and Benefit Plan Investors are required to consider their fiduciary responsibilities in making an investment decision.

Special considerations apply to investments in the Trust by individual retirement accounts, pension, profit-sharing, stock bonus, Keogh, welfare benefit and other employee benefit plans whether or not subject to ERISA or Section 4975 of the Code, each a Plan, a Plan that is subject to Part 4 of Subtitle B of Title I of ERISA or Section 4975 of the Code, or an ERISA Plan, and any entity whose underlying assets include plan assets by reason of an ERISA Plan’s investment in such entity, or such entities together with ERISA Plans, Benefit Plan Investors. While the assets of the Trust or any Series (and Class of any Series) are intended not to constitute plan assets with respect to any Benefit Plan Investors, the United States Department of Labor, or the DOL, or a court could disagree. If the DOL were to find that the assets of some or all of the Series (or Class of any Series) are plan assets, the Managing Owner and the Trading Advisors to such Series (or Class) would be fiduciaries, and certain transactions in the Trust could be prohibited. For example, if the Trust were deemed to hold plan assets, the Trading Advisors may have to refrain from directing certain transactions that are currently contemplated. Furthermore, whether or not the Trust is deemed to hold plan assets, if a Benefit Plan Investor has certain pre-existing relationships with the Managing Owner, one or more Trading Advisors, the selling agents or a Clearing Broker,

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investment in a Series may be limited or prohibited. In the event that, for any reason, the assets of any Series (or Class of any Series) might be deemed to be “plan assets,” and if any transactions would or might constitute prohibited transactions under ERISA or the Code and an exemption for such transaction or transactions cannot be obtained from the DOL (or the Managing Owner determines not to seek such exemption), the Managing Owner reserves the right, upon notice to, but without the consent of any limited owner, to mandatorily redeem Units held by any limited owner that is a Benefit Plan Investor. Furthermore, whether or not a Series (or Class of any Series) are plan assets, Benefit Plan Investors should consider their fiduciary responsibilities before making a decision to invest in a Series (or Class of any Series) and Plan investors who are not subject to ERISA may be subject to similar responsibilities under state, local, or non-U.S. law.

Foreign investors may face exchange rate risk and local tax consequences.

Foreign investors should note that the Units are denominated in U.S. Dollars and that changes in the rates of exchange between currencies may cause the value of their investment to decrease. Foreign investors may be subject to local tax consequences within their jurisdiction.

Regulatory Risks

CFTC registrations could be terminated which could adversely affect the Trust or a Series.

If the Commodity Exchange Act registrations or NFA memberships of the Managing Owner or the registered Trading Advisors were no longer effective, these entities would not be able to act for the Trust, which could adversely affect the Trust or such Series.

The Trust and the Managing Owner have been represented by unified counsel, and neither the Trust nor the Managing Owner will retain independent counsel to review this filing.

The Trust and the Managing Owner have been represented by unified counsel. To the extent that the Trust, the Managing Owner or you could benefit by further independent review, such benefit will not be available unless you separately retain such independent counsel.

The foregoing risk factors are not a complete explanation of all the risks involved in purchasing interests in a fund that invests in the highly speculative, highly leveraged trading of futures, forwards and options. You should read this entire Form 10-K and the Prospectus before determining to subscribe for Units.

Item 1B. UNRESOLVED STAFF COMMENTS.

None.

Item 2. PROPERTIES.

The Trust does not own or use any physical properties in the conduct of its business. Its assets currently consist of cash items such as custom time deposits, and, through each Trading Company, U.S. and international futures and forward contracts and other interests in derivative instruments, including options contracts on futures, forwards and swap contracts. The Managing Owner’s main office is located at 1775 Sherman Street, Suite 2500, Denver, Colorado 80203.

Item 3. LEGAL PROCEEDINGS.

There are no material legal proceedings to which the Trust or any of its affiliates is a party or of which any of their assets are the subject.

Item 4. MINE SAFETY DISCLOSURES

Not applicable.

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Part II

Item 5. MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES.

No Units in any Series are publicly traded. The Units in each Series may be redeemed, in whole or in part, on a daily basis, subject to a notice requirement set forth in the Prospectus. Except as otherwise set forth in the Prospectus, Units will be redeemed at a redemption price equal to 100% of the NAV per Unit of the applicable Series, calculated as of the point described in the Prospectus. The redemption of Units has no impact on the value of Units that remain outstanding. The Managing Owner may temporarily suspend redemptions under limited circumstances described in the Prospectus. The right to obtain redemption of Units of a Series is contingent upon such Series’ having property sufficient to discharge its liabilities on the date of redemption.

Further, if a Limited Owner redeems all or a portion of its Class 1 Units of any Series on or before the end of twelve full months following the effective date of the purchase of the Units being redeemed, such Limited Owner is charged a redemption fee of up to 3.0% of the NAV at which the Units are redeemed. The redemption fee charged will depend on, among other things, the particular Series of Units being redeemed. The Trust Agreement also contains restrictions on the transfer or assignment of the Units.

The Managing Owner has the sole discretion in determining what distributions, if any, the Trust will make to the Limited Owners. The Trust has not affected distributions on the Units in any Series as of the date hereof and the Managing Owner does not intend to effect any distributions in the foreseeable future.

The proceeds of offerings are deposited in the bank and brokerage accounts of the Trust and the Trading Companies for the purpose of engaging in trading activities in accordance with the Trust’s trading policies and its Trading Advisors’ respective trading strategies.

The following table shows the number of Limited Owners and the number of Units outstanding in each Class of each Series as of December 31, 2012:

	Number of Limited Owners		Number of Units Outstanding
Frontier Diversified (Class 1)		1,932		624,740
Frontier Diversified (Class 2)		929		544,826
Frontier Long/Short Commodity Series (Class 1)		0		0
Frontier Long/Short Commodity Series (Class 2)		299		44,284
Frontier Long/Short Commodity Series (Class 1a)		1,043		174,713
Frontier Long/Short Commodity Series (Class 2a)		335		92,035
Frontier Long/Short Commodity Series (Class 3)		1,110		135,642
Frontier Masters Series (Class 1)		1,119		341,974
Frontier Masters Series (Class 2)		408		151,262
Balanced Series (Class 1)		5,246		1,237,173
Balanced Series (Class 1a)		0		0
Balanced Series (Class 2)		1,013		323,274
Balanced Series (Class 2a)		38		6,880
Balanced Series (Class 3a)		170		30,469
Tiverton/Graham/Transtrend Series (Class 1)		1,699		283,073

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	Number of Limited Owners		Number of Units Outstanding
Tiverton/Graham/Transtrend Series (Class 2)		155		30,848
Currency Series (Class 1)		188		46,863
Currency Series (Class 2)		18		713
Winton Series (Class 1)		1,021		234,414
Winton Series (Class 2)		66		64,952
Winton/Graham Series (Class 1)		947		176,419
Winton/Graham Series (Class 2)		122		33,325

No Units are authorized for issuance by the Trust under equity compensation plans. During the year ended December 31, 2012, no unregistered Units were sold by the Trust. In addition, the Trust did not repurchase any Units under a formal repurchase plan. All Unit redemptions during the year ended December 31, 2012 were in the ordinary course of business. There have not been any purchases of units by the trust or any affiliated purchasers during the year ended December 31, 2012.

ITEM 6. SELECTED FINANCIAL DATA.

The selected financial information as of and for the years ended December 31, 2012, 2011, 2010, 2009, and 2008 is taken from the financial statements of the Trust included in section F of this filing and previous filings.

You should read this information in conjunction with “Management’s Discussion and Analysis of Financial Condition and Results of Operations” and our financial statements and the related notes included therewith. Results from past periods are not necessarily indicative of results that may be expected for any future period.

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AS OF AND FOR THE YEAR ENDED DECEMBER 31, 2012

	Frontier Diversified Series			Frontier Masters Series			Frontier Long/Short Commodity Series
Interest - net	$	2,199,327		$	1,038,493		$	1,385,312
Total expenses		9,596,941			4,016,767			6,010,679
Net gain / (loss) on investments		2,078,348			3,545,722			(11,084,454	)
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests		(5,319,266	)		618,878			(6,542,114	)
Net income / (loss) per unit - Class 1		(5.00	)		0.86			(0.72	)
Net income / (loss) per unit - Class 1a		—			—			(13.13	)
Net income / (loss) per unit - Class 2		(3.48	)		2.78			(16.32	)
Net income / (loss) per unit - Class 2a		—			—			(11.78	)
Net income / (loss) per unit - Class 3		—			—			(16.27	)
Total assets		116,445,177			51,943,272			63,948,673
Total owners’ capital - Class 1		58,999,936			34,603,499			—
Total owners’ capital - Class 1a		—			—			18,983,538
Total owners’ capital - Class 2		56,181,636			16,882,659			6,898,785
Total owners’ capital - Class 2a		—			—			10,882,111
Total owners’ capital - Class 3		—			—			19,761,047
Total net asset value per unit - Class 1		94.40			101.11			135.41
Total net asset value per unit - Class 1a		—			—			108.58
Total net asset value per unit - Class 2		100.48			107.61			145.65
Total net asset value per unit - Class 2a		—			—			115.45
Total net asset value per unit - Class 3		—			—			145.69
	Balanced Series			Tiverton/Graham/ Transtrend Series (1)			Currency Series
Interest - net	$	276,272		$	263,049		$	85
Total expenses		16,386,180			2,449,160			130,192
Net gain / (loss) on investments		7,382,357			(2,138,461	)		(558,329	)
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests		(13,154,863	)		(4,324,572	)		(688,436	)
Net income / (loss) per unit - Class 1		(8.18	)		(12.36	)		(13.57	)
Net income / (loss) per unit - Class 1a		(4.13	)		—			—
Net income / (loss) per unit - Class 2		(5.82	)		(12.29	)		(14.66	)
Net income / (loss) per unit - Class 2a		(3.99	)		—			—
Net income / (loss) per unit - Class 3a		(4.40	)		—			—
Total assets	$	247,702,914			25,650,403			2,733,840
Total owners’ capital - Class 1		143,906,872			22,266,758			2,666,969
Total owners’ capital - Class 1a		—			—			—
Total owners’ capital - Class 2		51,459,568			3,077,883			54,156
Total owners’ capital - Class 2a		1,009,520			—			—
Total owners’ capital - Class 3a		3,776,790			—			—
Total net asset value per unit - Class 1		116.32			78.66			56.91
Total net asset value per unit - Class 1a		104.32			—			—
Total net asset value per unit - Class 2		149.20			99.55			72.95
Total net asset value per unit - Class 2a		124.36			—			—
Total net asset value per unit - Class 3a		123.96			—			—

	Winton Series			Winton/Graham Series
Interest - net	$	531,125		$	134,302
Total expenses		2,435,758			1,822,802
Net gain / (loss) on investments		(1,356,583	)		(681,944	)
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests		(3,261,216	)		(2,370,444	)
Net income / (loss) per unit - Class 1		(10.40	)		(10.18	)
Net income / (loss) per unit - Class 2		(7.52	)		(9.03	)
Net income / (loss) per unit - Class 3		—			—
Total assets		41,241,712			20,925,980
Total owners’ capital - Class 1		30,645,208			16,680,498
Total owners’ capital - Class 2		10,314,326			4,073,041
Total net asset value per unit - Class 1		130.73			94.55
Total net asset value per unit - Class 2		158.30			120.67
Total net asset value per unit - Class 3		—			—

(1) Formerly known as the Berkeley/Graham/Tiverton Series

23

AS OF AND FOR THE YEAR ENDED DECEMBER 31, 2011

	Frontier Diversified Series			Frontier Masters Series			Frontier Long/Short Commodity Series
Interest - net	$	2,399,088		$	1,026,007		$	1,371,889
Total expenses		12,210,432			4,466,240			8,087,479
Net gain / (loss) on investments		5,428,786			2,393,047			17,234,688
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests		(4,382,558	)		(1,019,452	)		4,459,637
Net income / (loss) per unit - Class 1		(4.18	)		(2.71	)		3.40
Net income / (loss) per unit - Class 1a		—			—			3.75
Net income / (loss) per unit - Class 2		(2.50	)		(0.98	)		8.71
Net income / (loss) per unit - Class 2a		—			—			6.05
Net income / (loss) per unit - Class 3		—			—			8.70
Total assets		135,642,082			53,200,171			107,793,563
Total owners’ capital - Class 1		72,424,906			34,090,136			4,159,047
Total owners’ capital - Class 1a		—			—			18,891,395
Total owners’ capital - Class 2		61,548,698			18,734,861			9,188,762
Total owners’ capital - Class 2a		—			—			10,911,464
Total owners’ capital - Class 3		—			—			27,810,058
Total net asset value per unit - Class 1		99.40			100.25			136.13
Total net asset value per unit - Class 1a		—			—			121.71
Total net asset value per unit - Class 2		103.96			104.83			161.97
Total net asset value per unit - Class 2a		—			—			127.23
Total net asset value per unit - Class 3		—			—			161.96
	Balanced Series			Tiverton/Graham/ Transtrend Series (1)			Currency Series
Interest - net	$	534,877		$	106,784		$	61,690
Total expenses		24,591,620			2,973,773			294,981
Net gain / (loss) on investments		5,648,268			(6,401,143	)		(387,646	)
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests		(12,244,073	)		(9,268,132	)		(620,937	)
Net income / (loss) per unit - Class 1		(7.45	)		(19.44	)		(8.61	)
Net income / (loss) per unit - Class 1a		(7.91	)		—			—
Net income / (loss) per unit - Class 2		(4.44	)		(19.89	)		(7.82	)
Net income / (loss) per unit - Class 2a		(5.31	)		—			—
Net income / (loss) per unit - Class 3		(5.30	)		—			—
Total assets		301,978,826			40,083,210			4,354,420
Total owners’ capital - Class 1		183,785,318			35,180,631			4,228,350
Total owners’ capital - Class 1a		2,536,559			—			—
Total owners’ capital - Class 2		63,372,567			4,433,341			91,007
Total owners’ capital - Class 2a		2,784,830			—			—
Total owners’ capital - Class 3a		2,952,802			—			—
Total net asset value per unit - Class 1		124.50			91.02			70.48
Total net asset value per unit - Class 1a		108.45			—			—
Total net asset value per unit - Class 2		155.02			111.84			87.61
Total net asset value per unit - Class 2a		128.35			—			—
Total net asset value per unit - Class 3		128.36			—			—

	Winton Series		Winton/Graham Series
Interest - net	$	457,889	$	217,875
Total expenses		3,596,286		2,926,790
Net gain / (loss) on investments		5,865,030		(2,260,583	)
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests		2,726,633		(4,498,779	)
Net income / (loss) per unit - Class 1		6.09		(15.10	)
Net income / (loss) per unit - Class 2		11.83		(14.34	)
Net income / (loss) per unit - Class 3		—		—
Total assets		50,363,648		31,026,648
Total owners’ capital - Class 1		38,345,799		24,783,519
Total owners’ capital - Class 2		11,702,325		5,990,168
Total net asset value per unit - Class 1		141.13		104.73
Total net asset value per unit - Class 2		165.82		129.70
Total net asset value per unit - Class 3		—		—

(1) Formerly known as the Berkeley/Graham/Tiverton Series

24

AS OF AND FOR THE YEAR ENDED DECEMBER 31, 2010

	Frontier Diversified Series		Frontier Masters Series		Frontier Long/Short Commodity Series
Interest - net	$	2,225,700	$	941,795	$	1,120,080
Total expenses		9,452,058		3,767,056		8,021,021
Net gain / (loss) on investments		18,519,243		8,845,121		15,903,113
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests		11,135,880		6,019,860		11,915,293
Net income / (loss) per unit - Class 1		6.78		8.50		18.96
Net income / (loss) per unit - Class 1a		—		—		16.47
Net income / (loss) per unit - Class 2		8.69		10.44		25.77
Net income / (loss) per unit - Class 2a		—		—		18.70
Net income / (loss) per unit - Class 3		—		—		25.77
Total assets		162,415,657		67,230,426		79,526,348
Total owners’ capital - Class 1		90,022,131		41,213,675		31,185,756
Total owners’ capital - Class 1a		—		—		5,652,309
Total owners’ capital - Class 2		69,473,841		25,062,055		15,584,978
Total owners’ capital - Class 2a		—		—		3,761,826
Total owners’ capital - Class 3		—		—		20,998,571
Total net asset value per unit - Class 1		103.58		102.96		132.73
Total net asset value per unit - Class 1a		—		—		117.96
Total net asset value per unit - Class 2		106.46		105.81		153.26
Total net asset value per unit - Class 2a		—		—		121.18
Total net asset value per unit - Class 3		—		—		153.26
	Balanced Series		Tiverton/Graham/ Transtrend Series (1)		Currency Series
Interest - net	$	404,451	$	8,268	$	129,943
Total expenses		26,553,122		4,848,257		483,015
Net gain / (loss) on investments		82,334,394		10,645,135		522,823
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests		41,691,751		3,912,601		169,751
Net income / (loss) per unit - Class 1		13.41		5.81		1.09
Net income / (loss) per unit - Class 1a		10.86		—		—
Net income / (loss) per unit - Class 2		20.45		10.63		4.09
Net income / (loss) per unit - Class 2a		16.06		—		—
Net income / (loss) per unit - Class 3		16.06		—		—
Total assets		436,618,030		71,057,049		20,066,030
Total owners’ capital - Class 1		287,807,510		61,842,996		6,381,882
Total owners’ capital - Class 1a		5,120,558		—		—
Total owners’ capital - Class 2		76,715,728		8,386,332		757,518
Total owners’ capital - Class 2a		3,562,374		—		—
Total owners’ capital - Class 3a		3,691,280		—		—
Total net asset value per unit - Class 1		131.95		110.46		79.09
Total net asset value per unit - Class 1a		116.36		—		—
Total net asset value per unit - Class 2		159.46		131.73		95.43
Total net asset value per unit - Class 2a		133.66		—		—
Total net asset value per unit - Class 3		133.66		—		—

	Winton Series		Winton/Graham Series
Interest - net	$	306,338	$	263,156
Total expenses		3,812,097		4,321,685
Net gain / (loss) on investments		12,010,660		11,966,369
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests		8,504,901		5,263,217
Net income / (loss) per unit - Class 1		17.47		9.77
Net income / (loss) per unit - Class 2		23.89		15.65
Total assets		61,570,878		64,282,827
Total owners’ capital - Class 1		49,350,981		45,898,246
Total owners’ capital - Class 2		11,368,456		11,612,192
Total net asset value per unit - Class 1		135.04		119.83
Total net asset value per unit - Class 2		153.99		144.04

(1) Formerly known as the Berkeley/Graham/Tiverton Series

25

AS OF AND FOR THE YEAR ENDED DECEMBER 31, 2009

	Frontier Diversified Series *			Frontier Masters Series **			Frontier Long/Short Commodity Series ***
Interest - net	$	489,238		$	292,218		$	1,213,141
Total expenses		1,325,693			886,162			6,847,493
Net gain / (loss) on investments		(470,461	)		(312,999	)		28,920,002
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests		(1,306,916	)		(906,943	)		8,527,351
Net income / (loss) per unit - Class 1		(3.20	)		(5.54	)		13.38
Net income / (loss) per unit - Class 1a		—			—			1.49
Net income / (loss) per unit - Class 2		(2.23	)		(4.63	)		18.21
Net income / (loss) per unit - Class 2a		—			—			2.48
Net income / (loss) per unit - Class 3		—			—			4.79
Total assets		68,990,618			43,734,039			69,635,857
Total owners’ capital - Class 1		32,960,540			14,723,330			45,759,225
Total owners’ capital - Class 1a		—			—			1,092,016
Total owners’ capital - Class 2		23,355,579			8,563,857			14,986,103
Total owners’ capital - Class 2a		—			—			876,532
Total owners’ capital - Class 3		—			—			6,140,056
Total net asset value per unit - Class 1		96.80			94.46			113.77
Total net asset value per unit - Class 1a		—			—			101.49
Total net asset value per unit - Class 2		97.77			95.37			127.49
Total net asset value per unit - Class 2a		—			—			102.48
Total net asset value per unit - Class 3		—			—			127.49
	Balanced Series ****			Tiverton/Graham/ Transtrend Series (1)			Currency Series
Interest - net	$	901,710		$	293,910		$	88,884
Total expenses		19,999,746			5,084,022			603,794
Net gain / (loss) on investments		(491,297	)		(697,472	)		(2,057,466	)
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests		(19,150,902	)		(4,151,058	)		(2,572,376	)
Net income / (loss) per unit - Class 1		(6.63	)		(5.89	)		(18.19	)
Net income / (loss) per unit - Class 1a		(6.59	)		—			—
Net income / (loss) per unit - Class 2		(3.43	)		(3.04	)		(17.96	)
Net income / (loss) per unit - Class 2a		(3.70	)		—			—
Net income / (loss) per unit - Class 3		(4.37	)		—			—
Total assets		407,656,964			79,864,025			22,527,333
Total owners’ capital - Class 1		286,024,307			69,447,366			7,934,382
Total owners’ capital - Class 1a		9,150,114			—			—
Total owners’ capital - Class 2		77,372,166			9,914,994			2,273,746
Total owners’ capital - Class 2a		3,298,566			—			—
Total owners’ capital - Class 3a		1,170,746			—			—
Total net asset value per unit - Class 1		118.54			104.65			78.00
Total net asset value per unit - Class 1a		105.50			—			—
Total net asset value per unit - Class 2		139.01			121.10			91.34
Total net asset value per unit - Class 2a		117.60			—			—
Total net asset value per unit - Class 3		117.60			—			—

	Winton Series			Winton/Graham Series
Interest - net	$	361,106		$	259,485
Total expenses		3,375,280			3,626,096
Net gain / (loss) on investments		(7,737,998	)		3,919,086
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests		(6,685,179	)		(2,795,125	)
Net income / (loss) per unit - Class 1		(12.84	)		(6.12	)
Net income / (loss) per unit - Class 2		(9.94	)		(3.10	)
Total assets		58,778,262			68,237,504
Total owners’ capital - Class 1		48,198,317			48,168,395
Total owners’ capital - Class 2		10,203,862			12,522,478
Total net asset value per unit - Class 1		117.57			110.06
Total net asset value per unit - Class 2		130.10			128.39

(1) Formerly known as the Berkeley/Graham/Tiverton Series

* The Frontier Diversified Series began trading operations on June 9, 2009

** The Frontier Masters Series began trading operations on June 9, 2009

*** The Frontier Long/Short Commodity Series Class 3 Units began trading on May 29, 2009 and Class 1a and 2a Units began trading on June 8, 2009

**** The Balanced Series Class 3a Units began trading operations on June 3, 2009

26

AS OF AND FOR THE YEAR ENDED DECEMBER 31, 2008

	Balanced Series			Frontier Long/Short Commodity Series			Tiverton/Graham/ Transtrend Series (1)
Interest - net	$	1,613,778		$	921,454		$	331,073
Total expenses		24,610,998			4,844,371			7,012,949
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests		100,495,769			12,587,486			24,168,791
Net income / (loss)		60,158,339			(2,336,474	)		12,752,188.00
Net income / (loss) per unit - Class 1		23.71			(1.08	)		18.64
Net income / (loss) per unit - Class 1a		21.19			—			—
Net income / (loss) per unit - Class 2		30.44			2.09			23.94
Net income / (loss) per unit - Class 2a		25.83			—			—
Total assets		347,440,077			74,686,379			81,004,444
Total owners’ capital - Class 1		264,686,994			46,525,406			69,957,155
Total owners’ capital - Class 2		68,996,013			11,206,889			7,807,774.00
Total net asset value per unit - Class 1		125.17			100.39			110.54
Total net asset value per unit - Class 1a		112.09			—			—
Total net asset value per unit - Class 2		142.44			109.28			124.14
Total net asset value per unit - Class 2a		121.30			—			—
	Currency Series			Winton Series			Winton/Graham Series
Interest - net	$	122,102		$	316,243		$	100,204
Total expenses		645,010			5,016,448			1,991,962
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests		(268,237	)		15,824,382			6,276,258
Net income / (loss)		(791,145	)		8,454,614			4,384,500
Net income / (loss) per unit - Class 1		(4.47	)		16.58			21.14
Net income / (loss) per unit - Class 2		(1.70	)		21.43			27.12
Total assets		29,828,596			85,496,323			51,029,789
Total owners’ capital - Class 1		11,900,185			62,283,659			35,760,835
Total owners’ capital - Class 2		2,946,600			11,743,367			14,434,394
Total net asset value per unit - Class 1		96.19			130.41			116.18
Total net asset value per unit - Class 2		109.30			140.04			131.49

(1) Formerly known as the Berkeley/Graham/Tiverton Series

27

Supplementary Quarterly Financial Information

The following summarized quarterly financial information presents the Trust’s results of operations for the three-month periods ended March 31, June 30, September 30, and December 31, 2012.

	1st Quarter 2012 (unaudited)			2nd Quarter 2012 (unaudited)			3rd Quarter 2012 (unaudited)		4th Quarter 2012 (unaudited)
Frontier Diversified Series:
Net gain (loss) on investments	($	4,245,182	)	$	6,100,289		$	3,088,069	$	(2,864,828	)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	($	5,335,328	)	$	3,422,181		$	610,072	$	(4,016,191	)
Increase (decrease) in net asset value per Class 1 units	($	4.17	)	$	2.37		$	0.22	($	3.42	)
Increase (decrease) in net asset value per Class 2 units	($	3.92	)	$	2.95		$	0.67	($	3.18	)
Net asset value per Class 1 units	$	95.23		$	97.60		$	97.82	$	94.40
Net asset value per Class 2 units	$	100.04		$	102.99		$	103.66	$	100.48
Frontier Masters Series:
Net gain (loss) on investments	$	1,005,015		$	1,870,660		$	2,798,459	$	(2,128,412	)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	$	444,846		$	629,198		$	1,582,386	$	(2,037,552	)
Increase (decrease) in net asset value per Class 1 unit	$	0.70		$	1.09		$	2.88	($	3.81	)
Increase (decrease) in net asset value per Class 2 unit	$	1.19		$	1.63		$	3.52	($	3.56	)
Net asset value per Class 1 unit	$	100.95		$	102.04		$	104.92	$	101.11
Net asset value per Class 2 unit	$	106.02		$	107.65		$	111.17	$	107.61
Frontier Long/Short Commodity Series:
Net gain (loss) on investments	($	5,732,135	)	($	938,042	)	$	985,593	$	(5,399,870	)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	($	532,943	)	($	2,927,896	)	$	4,804,594	$	(7,885,869	)
Increase (decrease) in net asset value per Class 1 units	($	1.92	)	($	6.14	)	$	7.34	$	0.00
Increase (decrease) in net asset value per Class 1a units	($	1.16	)	($	5.29	)	$	8.16	($	14.84	)
Increase (decrease) in net asset value per Class 2 units	($	1.09	)	($	6.68	)	$	11.08	($	19.63	)
Increase (decrease) in net asset value per Class 2a units	($	0.66	)	($	5.03	)	$	9.10	($	15.19	)
Increase (decrease) in net asset value per Class 3 units	($	1.09	)	($	6.69	)	$	11.15	($	19.64	)
Net asset value per Class 1 units	$	134.21		$	128.07		$	135.41	$	135.41
Net asset value per Class 1a units	$	120.55		$	115.26		$	123.42	$	108.58
Net asset value per Class 2 units	$	160.88		$	154.20		$	165.28	$	145.65
Net asset value per Class 2a units	$	126.57		$	121.54		$	130.64	$	115.45
Net asset value per Class 3 units	$	160.87		$	154.18		$	165.33	$	145.69
Balanced Series:
Net gain (loss) on investments	($	10,737,709	)	$	20,087,572		$	12,592,196		(14,559,702	)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	($	10,229,269	)	$	7,375,812		$	893,203		(11,194,609	)
Increase (decrease) in net asset value per Class 1 units	($	5.38	)	$	3.53		$	0.14	($	6.47	)
Increase (decrease) in net asset value per Class 1a units	($	4.58	)	$	4.26		$	4.45	($	8.26	)
Increase (decrease) in net asset value per Class 2 units	($	5.58	)	$	5.57		$	1.29	($	7.10	)
Increase (decrease) in net asset value per Class 2a units	($	4.51	)	$	5.15		$	1.16	($	5.79	)
Increase (decrease) in net asset value per Class 3a units	($	4.51	)	$	4.69		$	1.18	($	5.76	)
Net asset value per Class 1 units	$	119.12		$	122.65		$	122.79	$	116.32
Net asset value per Class 1a units	$	103.87		$	108.13		$	112.58	$	104.32
Net asset value per Class 2 units	$	149.44		$	155.01		$	156.30	$	149.20
Net asset value per Class 2a units	$	123.84		$	128.99		$	130.15	$	124.36
Net asset value per Class 3a units	$	123.85		$	128.54		$	129.72	$	123.96

28

	1st Quarter 2012 (unaudited)			2nd Quarter 2012 (unaudited)			3rd Quarter 2012 (unaudited)			4th Quarter 2012 (unaudited)
Tiverton/Graham/Transtrend Series: (1)
Net gain (loss) on investments	$	29,652		($	648,067	)	$	310,424			(1,830,470	)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	($	550,093	)	($	1,279,509	)	($	222,471	)		(2,272,499	)
Increase (decrease) in net asset value per Class 1 units	($	1.39	)	($	3.34	)	($	0.99	)	($	6.64	)
Increase (decrease) in net asset value per Class 2 units	($	0.92	)	($	3.88	)	$	0.08		($	7.57	)
Net asset value per Class 1 units	$	89.63		$	86.29		$	85.30		$	78.66
Net asset value per Class 2 units	$	110.92		$	107.04		$	107.12		$	99.55
Currency Series:
Net gain (loss) on investments	($	137,910	)	($	100,231	)	$	2,285			(322,473	)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	($	175,317	)	($	133,386	)	($	29,003	)		(350,730	)
Increase (decrease) in net asset value per Class 1 units	($	3.11	)	($	2.50	)	($	0.73	)	($	7.23	)
Increase (decrease) in net asset value per Class 2 units	($	3.24	)	($	2.50	)	($	0.28	)	($	8.64	)
Net asset value per Class 1 units	$	67.37		$	64.87		$	64.14		$	56.91
Net asset value per Class 2 units	$	84.37		$	81.87		$	81.59		$	72.95
Winton Series:
Net gain (loss) on investments	($	497,618	)	($	1,599,658	)	$	583,943			156,750
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	($	1,012,942	)	($	2,080,295	)	$	109,410			(277,389	)
Increase (decrease) in net asset value per Class 1 units	($	3.13	)	($	6.28	)	$	0.01		($	1.00	)
Increase (decrease) in net asset value per Class 2 units	($	2.47	)	($	6.23	)	$	1.16		$	0.02
Net asset value per Class 1 units	$	138.00		$	131.72		$	131.73		$	130.73
Net asset value per Class 2 units	$	163.35		$	157.12		$	158.28		$	158.30
Winton/Graham Series:
Net gain (loss) on investments	$	484,523		($	1,646,353	)	$	1,177,718			(697,832	)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	($	25,951	)	($	2,112,407	)	$	784,100			(1,016,186	)
Increase (decrease) in net asset value per Class 1 units	($	0.36	)	($	8.32	)	$	2.75		($	4.25	)
Increase (decrease) in net asset value per Class 2 units	$	0.53		($	9.45	)	$	4.35		($	4.46	)
Net asset value per Class 1 units	$	104.37		$	96.05		$	98.80		$	94.55
Net asset value per Class 2 units	$	130.23		$	120.78		$	125.13		$	120.67

(1) Formerly known as the Berkeley/Graham/Tiverton Series

29

The following summarized quarterly financial information presents the Trust’s results of operations for the three-month periods ended March 31, June 30, September 30, and December 31, 2011.

	1st Quarter 2011 (unaudited)		2nd Quarter 2011 (unaudited)			3rd Quarter 2011 (unaudited)			4th Quarter 2011 (unaudited)
Frontier Diversified Series:
Net gain (loss) on investments	$	7,998,695	($	4,314,530	)	$	1,334,498		$	410,123
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	$	4,892,615	($	6,729,532	)	($	1,280,379	)	($	1,265,262	)
Increase (decrease) in net asset value per Class 1 units	$	2.98	($	4.93	)	($	1.16	)	($	1.07	)
Increase (decrease) in net asset value per Class 2 units	$	3.54	($	4.63	)	($	0.75	)	($	0.66	)
Net asset value per Class 1 units	$	106.56	$	101.63		$	100.47		$	99.40
Net asset value per Class 2 units	$	110.00	$	105.37		$	104.62		$	103.96
Frontier Masters Series:
Net gain (loss) on investments	$	1,799,713	($	1,921,266	)	$	3,257,219		($	742,619	)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	$	178,234	($	2,019,603	)	$	2,140,082		($	1,318,165	)
Increase (decrease) in net asset value per Class 1 unit	$	0.15	($	4.10	)	$	3.75		($	2.51	)
Increase (decrease) in net asset value per Class 2 unit	$	0.61	($	3.79	)	$	4.37		($	2.17	)
Net asset value per Class 1 unit	$	103.11	$	99.01		$	102.76		$	100.25
Net asset value per Class 2 unit	$	106.42	$	102.63		$	107.00		$	104.83
Frontier Long/Short Commodity Series:
Net gain (loss) on investments	$	12,080,344	($	1,817,531	)	$	1,911,273		$	5,060,602
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	$	9,393,470	($	3,438,598	)	($	1,660,506	)	$	165,271
Increase (decrease) in net asset value per Class 1 units	$	15.59	($	7.80	)	($	3.92	)	($	0.47	)
Increase (decrease) in net asset value per Class 1a units	$	13.56	($	6.76	)	($	3.09	)	$	0.04
Increase (decrease) in net asset value per Class 2 units	$	19.28	($	7.85	)	($	3.38	)	$	0.66
Increase (decrease) in net asset value per Class 2a units	$	14.51	($	6.41	)	($	2.65	)	$	0.60
Increase (decrease) in net asset value per Class 3 units	$	19.27	($	7.85	)	($	3.38	)	$	0.66
Net asset value per Class 1 units	$	148.32	$	140.52		$	136.60		$	136.13
Net asset value per Class 1a units	$	131.52	$	124.76		$	121.67		$	121.71
Net asset value per Class 2 units	$	172.54	$	164.69		$	161.31		$	161.97
Net asset value per Class 2a units	$	135.69	$	129.28		$	126.63		$	127.23
Net asset value per Class 3 units	$	172.53	$	164.68		$	161.30		$	161.97
Balanced Series:
Net gain (loss) on investments	$	20,887,170	($	16,522,087	)	$	3,644,425		($	2,361,240	)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	$	13,296,211	($	13,513,467	)	($	9,337,840	)	($	2,688,977	)
Increase (decrease) in net asset value per Class 1 units	$	4.42	($	5.91	)	($	4.43	)	($	1.53	)
Increase (decrease) in net asset value per Class 1a units	$	3.63	($	5.60	)	($	4.31	)	($	1.63	)
Increase (decrease) in net asset value per Class 2 units	$	6.56	($	6.00	)	($	4.26	)	($	0.74	)
Increase (decrease) in net asset value per Class 2a units	$	5.18	($	5.49	)	($	4.04	)	($	0.96	)
Increase (decrease) in net asset value per Class 3a units	$	5.19	($	5.49	)	($	4.05	)	($	0.95	)
Net asset value per Class 1 units	$	136.37	$	130.46		$	126.03		$	124.50
Net asset value per Class 1a units	$	119.99	$	114.39		$	110.08		$	108.45
Net asset value per Class 2 units	$	166.02	$	160.02		$	155.76		$	155.02
Net asset value per Class 2a units	$	138.84	$	133.35		$	129.31		$	128.35
Net asset value per Class 3a units	$	138.85	$	133.36		$	129.31		$	128.36

30

	1st Quarter 2011 (unaudited)			2nd Quarter 2011 (unaudited)			3rd Quarter 2011 (unaudited)			4th Quarter 2011 (unaudited)
Tiverton/Graham/Transtrend Series: (1)
Net gain (loss) on investments	($	134,693	)	($	3,125,440	)	($	313,891	)	($	2,827,119	)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	($	1,047,645	)	($	3,871,983	)	($	918,255	)	($	3,430,249	)
Increase (decrease) in net asset value per Class 1 units	($	1.83	)	($	7.82	)	($	2.80	)	($	6.99	)
Increase (decrease) in net asset value per Class 2 units	($	1.23	)	($	8.48	)	($	1.60	)	($	8.58	)
Net asset value per Class 1 units	$	108.63		$	100.81		$	98.73		$	91.02
Net asset value per Class 2 units	$	130.50		$	122.02		$	120.42		$	111.84
Currency Series:
Net gain (loss) on investments	($	223,904	)	$	46,073		($	138,127	)	($	71,688	)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	($	302,842	)	($	30,899	)	($	177,864	)	($	109,332	)
Increase (decrease) in net asset value per Class 1 units	($	3.50	)	($	0.85	)	($	2.63	)	($	1.63	)
Increase (decrease) in net asset value per Class 2 units	($	3.55	)	($	0.34	)	($	2.57	)	($	1.36	)
Net asset value per Class 1 units	$	75.59		$	74.74		$	72.11		$	70.48
Net asset value per Class 2 units	$	91.88		$	91.54		$	88.97		$	87.61
Winton Series:
Net gain (loss) on investments	$	1,607,792		($	865,295	)	$	4,877,311		$	245,222
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	$	692,438		($	1,464,715	)	$	3,756,578		($	257,668	)
Increase (decrease) in net asset value per Class 1 units	$	1.36		($	4.27	)	$	9.94		($	0.94	)
Increase (decrease) in net asset value per Class 2 units	$	2.71		($	3.78	)	$	12.75		$	0.15
Net asset value per Class 1 units	$	136.40		$	132.13		$	142.07		$	141.13
Net asset value per Class 2 units	$	156.70		$	152.92		$	165.67		$	165.82
Winton/Graham Series:
Net gain (loss) on investments	$	47,962		($	845,492	)	$	639,990		($	2,103,043	)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	($	447,404	)	($	1,396,441	)	($	75,705	)	($	2,579,229	)
Increase (decrease) in net asset value per Class 1 units	($	1.16	)	($	4.82	)	($	0.54	)	($	8.58	)
Increase (decrease) in net asset value per Class 2 units	($	0.34	)	($	4.80	)	$	0.39		($	9.59	)
Net asset value per Class 1 units	$	118.67		$	113.85		$	113.31		$	104.73
Net asset value per Class 2 units	$	143.70		$	138.90		$	139.29		$	129.70

(1) Formerly known as the Berkeley/Graham/Tiverton Series

31

The following summarized quarterly financial information presents the Trust’s results of operations for the three-month periods ended March 31, June 30, September 30, and December 31, 2010.

	1st Quarter 2010 (unaudited)			2nd Quarter 2010 (unaudited)			3rd Quarter 2010 (unaudited)		4th Quarter 2010 (unaudited)
Frontier Diversified Series:
Net gain (loss) on investments	$	351,430		$	3,375,455		$	7,158,422	$	7,633,936
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	($	268,401	)	$	2,025,182		$	5,010,322	$	4,682,787
Increase (decrease) in net asset value per Class 1 units	($	1.31	)	$	2.02		$	3.18	$	2.89
Increase (decrease) in net asset value per Class 2 units	($	0.91	)	$	2.48		$	3.69	$	3.43
Net asset value per Class 1 units	$	95.49		$	97.51		$	100.69	$	103.58
Net asset value per Class 2 units	$	96.86		$	99.34		$	103.03	$	106.46
Frontier Masters Series:
Net gain (loss) on investments	$	847,669		$	42,902		$	4,601,601	$	3,352,949
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	$	447,459		($	487,430	)	$	3,691,953	$	2,367,878
Increase (decrease) in net asset value per Class 1 unit	$	0.24		($	1.04	)	$	5.73	$	3.57
Increase (decrease) in net asset value per Class 2 unit	$	0.66		($	0.64	)	$	6.29	$	4.13
Net asset value per Class 1 unit	$	94.70		$	93.66		$	99.39	$	102.96
Net asset value per Class 2 unit	$	96.03		$	95.39		$	101.68	$	105.81
Frontier Long/Short Commodity Series:
Net gain (loss) on investments	($	3,246,178	)	($	590,859	)	$	7,893,906	$	11,846,244
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	($	1,405,236	)	($	2,110,378	)	$	6,312,983	$	9,117,924
Increase (decrease) in net asset value per Class 1 units	($	2.61	)	($	3.91	)	$	10.30	$	15.18
Increase (decrease) in net asset value per Class 1a units	($	2.18	)	($	3.23	)	$	9.14	$	12.74
Increase (decrease) in net asset value per Class 2 units	($	2.00	)	($	3.51	)	$	12.73	$	18.55
Increase (decrease) in net asset value per Class 2a units	($	1.80	)	($	2.84	)	$	9.77	$	13.57
Increase (decrease) in net asset value per Class 3 units	($	2.01	)	($	3.51	)	$	12.74	$	18.55
Net asset value per Class 1a units	$	111.16		$	107.25		$	117.55	$	132.73
Net asset value per Class 1 units	$	99.31		$	96.08		$	105.22	$	117.96
Net asset value per Class 2 units	$	125.49		$	121.98		$	134.71	$	153.26
Net asset value per Class 2a units	$	100.68		$	97.84		$	107.61	$	121.18
Net asset value per Class 3 units	$	125.48		$	121.97		$	134.71	$	153.26
Balanced Series:
Net gain (loss) on investments	($	265,444	)	$	20,354,107		$	31,652,538	$	30,593,193
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	($	2,009,334	)	$	10,199,358		$	18,815,391	$	14,686,336
Increase (decrease) in net asset value per Class 1 units	($	0.73	)	$	3.08		$	6.22	$	4.84
Increase (decrease) in net asset value per Class 1a units	($	0.84	)	$	2.51		$	5.25	$	3.94
Increase (decrease) in net asset value per Class 2 units	$	0.17		$	4.72		$	8.56	$	7.00
Increase (decrease) in net asset value per Class 2a units	($	0.07	)	$	3.73		$	6.90	$	5.50
Increase (decrease) in net asset value per Class 3a units	($	0.06	)	$	3.73		$	6.87	$	5.52
Net asset value per Class 1 units	$	117.81		$	120.89		$	127.11	$	131.95
Net asset value per Class 1a units	$	104.66		$	107.17		$	112.42	$	116.36
Net asset value per Class 2 units	$	139.18		$	143.90		$	152.46	$	159.46
Net asset value per Class 2a units	$	117.53		$	121.26		$	128.16	$	133.66
Net asset value per Class 3a units	$	117.54		$	121.27		$	128.14	$	133.66

32

	1st Quarter 2010 (unaudited)			2nd Quarter 2010 (unaudited)			3rd Quarter 2010 (unaudited)		4th Quarter 2010 (unaudited)
Tiverton/Graham/Transtrend Series: (1)
Net gain (loss) on investments	($	1,177,468	)	$	980,753		$	5,546,389	$	5,295,461
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	($	2,522,861	)	($	244,215	)	$	3,354,806	$	3,324,871
Increase (decrease) in net asset value per Class 1 units	($	3.40	)	($	0.47	)	$	4.84	$	4.84
Increase (decrease) in net asset value per Class 2 units	($	3.07	)	$	0.34		$	6.63	$	6.73
Net asset value per Class 1 units	$	101.25		$	100.78		$	105.62	$	110.46
Net asset value per Class 2 units	$	118.03		$	118.37		$	125.00	$	131.73
Currency Series:
Net gain (loss) on investments	$	257,227		$	161,214		$	181,704	($	77,322	)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	$	170,677		$	69,440		$	91,601	($	161,967	)
Increase (decrease) in net asset value per Class 1 units	$	1.50		$	0.52		$	0.89	($	1.82	)
Increase (decrease) in net asset value per Class 2 units	$	2.45		$	1.32		$	1.78	($	1.46	)
Net asset value per Class 1 units	$	79.50		$	80.02		$	80.91	$	79.09
Net asset value per Class 2 units	$	93.79		$	95.11		$	96.89	$	95.43
Winton Series:
Net gain (loss) on investments	$	3,631,250		$	2,548,316		$	2,426,391	$	3,404,703
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	$	2,860,297		$	1,772,670		$	1,642,249	$	2,229,685
Increase (decrease) in net asset value per Class 1 units	$	5.78		$	3.53		$	3.43	$	4.73
Increase (decrease) in net asset value per Class 2 units	$	7.41		$	4.99		$	4.98	$	6.51
Net asset value per Class 1 units	$	123.35		$	126.88		$	130.31	$	135.04
Net asset value per Class 2 units	$	137.51		$	142.50		$	147.48	$	153.99
Winton/Graham Series:
Net gain (loss) on investments	($	457,522	)	$	1,834,176		$	3,706,234	$	6,883,481
Net increase/(decrease) in capital resulting from operations attributable to controlling interests	($	277,673	)	$	764,172		$	1,699,715	$	3,077,003
Increase (decrease) in net asset value per Class 1 units	($	0.59	)	$	1.23		$	3.20	$	5.93
Increase (decrease) in net asset value per Class 2 units	$	0.26		$	2.42		$	4.82	$	8.15
Net asset value per Class 1 units	$	109.47		$	110.70		$	113.90	$	119.83
Net asset value per Class 2 units	$	128.65		$	131.07		$	135.89	$	144.04

(1) Formerly known as the Berkeley/Graham/Tiverton Series

33

Item 7. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.

Overview

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 of 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 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). The Trust allocates funds to affiliated Trading Companies, each of which 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. In November 2010, the Tiverton/Graham/Transtrend Series invested a portion of its assets in an unaffiliated Trading Company, Berkeley Quantitative Colorado Fund LLC which was liquidated on March 16, 2012. 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). For additional overview of the Trust’s structure and business activities, see Item 1 “BUSINESS.”

Critical Accounting Policies and Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States (“GAAP”) requires the Managing Owner to adopt accounting policies and make estimates and assumptions that affect amounts reported in the Trust’s financial statements. The Trust’s most significant accounting policy, described below, includes the valuation of its futures and forward contracts, options contracts, swap contracts, U.S. treasury securities and investments in unconsolidated Trading Companies, as well as the carrying value of the custom time deposits. The majority of these investments are exchange traded contracts valued upon exchange settlement prices or non-exchange traded contracts and obligations with valuation based on third-party quoted dealer values on the Interbank market.

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.

34

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 December 31, 2012, cash deposited at the clearing brokers was $92,043,593 for the Balanced Series and $14,770,973 for the Frontier Long/Short Commodity Series. The clearing brokers are expected to credit each Trading Company with approximately 80%-100% of the interest earned on its average net assets on deposit with the clearing brokers each 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 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, Tiverton/Graham/Transtrend Series, Currency Series, and Winton/Graham Series. For the Balanced Series (Class 1a and Class 2a only), and the Frontier Long/Short Commodity Series, 20% of the total interest allocated to each Series is paid to the Managing Owner.

Approximately 10% to 30% 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 64% 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 December 31, 2012, total cash and cash equivalents and custom time deposits held at banking institutions were $69,557,079 for the Frontier Diversified Series, $43,037,890 for the Frontier Long/Short Commodity Series, $39,831,538 for the Frontier Masters Series, $107,090,046 for the Balanced Series, $17,301,848 for the Tiverton/Graham/Transtrend Series, $882,602 for the Currency Series, $32,541,850 for the Winton Series, and $13,964,174 for the Winton/Graham Series.

As a commodity pool, the Registrant has large cash positions. Such cash positions are used to pay margin for the trading of futures, forwards and options, and also to pay redemptions. Generally, the Registrant has not been forced to liquidate positions to fund redemptions. During the fiscal year ending December 31, 2012, the Registrant was able to pay all redemptions.

Off-Balance Sheet Risk

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

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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.

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

Series Returns and Other Information

The returns for each Series and Class of Units for the twelve months ended December 31, 2012, and related information, are discussed below. The activities of the Trust on a consolidated basis are explained through the activity of the underlying Series. Please refer to the discussion of the Series activities in relation to the Trust on a consolidated basis.

Each Series had exposure to commodity interest positions within one or more sectors during fiscal 2012. The performance of each Series was impacted over the course of the year by, among other things, the relative performance of the relevant sector or sectors and the commodities within those sectors, the changing allocations among, and the specific positions taken by the Series’ Trading Advisors in, the relevant sector(s) and commodities, and the timing of entries and exits. For certain of the Series, a sector attribution chart has been included at the end of the relevant discussion. Each chart depicts the performance of the relevant Series’ positions within each of the relevant sectors (determined by the Managing Owner using monthly gross return and NAV figures, with various adjustments to net out a proportional allocation of the fees and expenses chargeable to the Series) during the fourth quarter (except as otherwise noted) and for the full calendar year. Charts depicting the performance of the various Series’ positions within each of the relevant sectors during the prior three quarters were included in the Trust’s quarterly reports on Form 10-Q previously filed.

Frontier Diversified Series

2012

The Frontier Diversified Series – Class 1 NAV lost 5.00% for the twelve months ended December 31, 2012, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV lost 3.35% for the twelve months ended December 31, 2012 net of fees and expenses. For the twelve months ended December 31, 2012 the Frontier Diversified Series recorded a net gain on investments of $2,078,348, net investment income of $2,199,327, and total expenses of $9,596,941, resulting in a net decrease in Owners’ capital from operations of $5,319,266. The NAV per Unit, Class 1, decreased from $99.40 at December 31, 2011, to $94.40 as of December 31, 2012. The NAV per Unit, Class 2, decreased from $103.96 at December 31, 2011, to $100.48 as of December 31, 2012. Total Class 1 subscriptions and

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redemptions for the period were $5,284,631 and $15,292,787, respectively. Total Class 2 subscriptions and redemptions for the period were $8,821,416 and $12,286,026, respectively. Ending capital at December 31, 2012, was $58,999,936 for Class 1 and $56,181,636 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.

Sector Attribution for the Frontier Diversified Series

Three of the six sectors traded in the Frontier Diversified Series were profitable in 4Q 2012. Currencies, Stock Indices and Interest Rates were profitable while Metals, Agriculturals and Energies finished negative for the quarter.

Two of the six sectors traded in the Frontier Diversified Series were profitable in 2012. The Interest Rates and Stock Indices sectors were profitable while Currencies, Metals, Agriculturals and Energies finished negative for the year.

In terms of major CTA performance, two of the seven major CTAs in the Frontier Diversified Series were profitable in 4Q 2012. Quantmetrics and Cantab were profitable while Graham, Winton, Tiverton, Beach Horizon and QIM finished negative for the quarter.

Frontier Long/Short Commodity Series

2012

The Frontier Long/Short Commodity Series – Class 1 NAV lost 0.53% for the twelve months ended December 31, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 NAV lost 10.08% for the twelve months ended December 31, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV lost 10.05% for the twelve months ended December 31, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1a NAV lost 10.79% for the twelve months ended December 31, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV lost 9.26% for the twelve months ended December 31, 2012, net of fees and expenses.

For the twelve months ended December 31, 2012, the Frontier Long/Short Commodity Series recorded net loss on investments of $11,084,454, net investment income of $1,385,312, and total expenses of $6,010,679, resulting in a net decrease in Owners’ capital from operations attributable to controlling interests of $6,542,114 after operations attributable to non-controlling interests of ($9,167,707). The NAV per Unit, Class 1, decreased from $136.13 at December 31, 2011, to $135.41 as of December 31, 2012. The NAV per Unit, Class 2, decreased from $161.97 at December 31, 2011, to $145.65 as of December 31, 2012. The NAV per Unit,

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Class 3, decreased from $161.96 at December 31, 2011, to $145.69 as of December 31, 2012. The NAV per Unit, Class 1a, decreased from $121.71 at December 31, 2011, to $108.58 as of December 31, 2012. The NAV per Unit, Class 2a, decreased from $127.23 at December 31, 2011, to $115.65 as of December 31, 2012. Total Class 1 subscriptions and redemptions for the twelve months were $9,530 and $4,103,566, respectively. Total Class 2 redemptions for the twelve months were $1,435,641, respectively. There were no Class 2 subscriptions. Total Class 3 subscriptions and redemptions for the twelve months were $3,925,505 and $9,676,302, respectively. Total Class 1a subscriptions and redemptions for the twelve months were $4,928,552 and $2,574,932, respectively. Total Class 2a subscriptions and redemptions for the twelve months were $3,738,903 and $2,705,180, respectively. Ending capital at December 31, 2012, was $0 for Class 1, $6,898,785 for Class 2, $19,761,047 for Class 3, $18,983,538 for Class 1a and $10,882,111 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.

Sector Attribution for the Frontier Long/Short Commodity Series

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None of the seven sectors traded in the Frontier Long/Short Commodity Series were profitable in 4Q 2012.

Two of the seven sectors traded in the Frontier Long/Short Commodity Series were profitable in 2012. The Grains and Softs sectors were profitable while the Base Metals, Energies, Meats, Precious Metals and Financial sectors finished negative for the year.

In terms of major CTA performance, one of the six major CTAs in the Frontier Long/Short Commodity Series was profitable in 4Q 2012. Strategic Ag finished positive while Global Advisors, Red Oak, Rosetta, Beach Horizon and Mesirow were negative for the quarter.

Two of the six major CTAs in the Frontier Long/Short Commodity Series were profitable in 2012. Red Oak and Rosetta were profitable while Beach Horizon, Global Advisors, Mesirow and Strategic Ag finished negative for the year.

Frontier Masters Series

2012

The Frontier Masters Series – Class 1 NAV gained 0.86% for the twelve months ended December 31, 2012, net of fees and expenses; the Frontier Masters Series – Class 2 NAV gained 2.65% for the twelve months ended December 31, 2012, net of fees and expenses.

For the period ended December 31, 2012 the Frontier Masters Series recorded a net gain on investments of $3,545,722, net investment income of $1,038,493, and total expenses of $4,016,767, resulting in a net decrease in Owners’ capital from operations attributable to

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controlling interests of $618,878 after operations attributable to non-controlling interests of ($51,430). The NAV per Unit, Class 1, increased from $100.25 at December 31, 2011, to $101.11 as of December 31, 2012. The NAV per Unit, Class 2, increased from $104.83 at December 31, 2011, to $107.61 as of December 31, 2012. Total Class 1 subscriptions and redemptions for the period were $7,569,805 and $7,177,491, respectively. Total Class 2 subscriptions and redemptions for the period were $2,139,804 and $4,489,835, respectively. Ending capital at December 31, 2012, was $34,603,499 for Class 1 and $16,882,659 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.

Sector Attribution for the Frontier Masters Series

Two of the six sectors traded in the Frontier Masters Series were profitable in 4Q 2012. Currencies and Stock Indices were positive while Agriculturals, Interest Rates, Energies and Metals were negative for the quarter.

Two of the six sectors traded in the Frontier Masters Series were profitable in 2012. Interest Rates and Stock Indices were profitable while Energies, Currencies, Metals and Agriculturals finished negative for the year.

In terms of major CTA performance, none of the four major CTAs in the Frontier Masters Series were profitable during the quarter. Cantab, Transtrend, Winton and Tiverton finished negative for the quarter.

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Two of the four major CTAs in the Frontier Masters Series were profitable in 2012. Cantab and Transtrend were profitable while Tiverton and Winton finished negative for the year.

Balanced Series

2012

The Balanced Series – Class 1 NAV lost 6.57% for the twelve months ended December 31, 2012, net of fees and expenses; the Balanced Series – Class 1a NAV lost 3.81% for the twelve months ended December 31, 2012, net of fees and expenses; the Balanced Series – Class 2 NAV lost 3.75% for the twelve months ended December 31, 2012, net of fees and expenses; the Balanced Series – Class 2a NAV lost 3.11% for the twelve months ended December 31, 2012, net of fees and expenses; the Balanced Series – Class 3a NAV lost 3.43% for the twelve months ended December 31, 2012, net of fees and expenses.

For the twelve months ended December 31, 2012, the Balanced Series recorded net gain on investments of $7,382,357, net investment income of $276,272, and total expenses of $16,386,180, resulting in a net decrease in Owners’ capital from operations attributable to controlling interests of $13,154,863 after operations attributable to non- controlling interests of $4,427,312. The NAV per Unit, Class 1, decreased from $124.50 at December 31, 2011, to $116.32 at December 31, 2012. For Class 1a, the NAV per Unit decreased from $108.45 at December 31, 2011, to $104.32 at December 31, 2012. The NAV per Unit, Class 2, decreased from $155.02 at December 31, 2011, to $149.02 at December 31, 2012. For Class 2a, the NAV per Unit decreased from $128.35 at December 31, 2011, to $124.36 at December 31, 2012. For Class 3a, the NAV per Unit decreased from $128.36 at December 31, 2011, to $123.96 at December 31, 2012. Total Class 1 subscriptions and redemptions for the twelve months were $476,872 and $29,506,573, respectively. Total Class 1a subscriptions and redemptions for the twelve month period were $482 and $2,524,092, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $16,101 and $9,823,477, respectively. Total Class 2a redemptions for the twelve month period were $1,734,065. There were no Class 2a subscriptions. Total Class 3a subscriptions and redemptions for the period were $2,264,602 and $1,294,313, respectively. Ending capital at December 31, 2012, was $143,906,872 for Class 1, $0 for Class 1a, $51,459,568 for Class 2, $1,009,520 for Class 2a and $3,776,790 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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Sector Attribution for the Frontier Balanced Series

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Three of the six sectors traded in the Balanced Series were profitable in 4Q 2012. Currencies, Stock Indices and Interest Rates were profitable while Metals, Agriculturals and Energies finished negative for the quarter.

Two of the six sectors traded in the Balanced Series were profitable in 2012. The Interest Rates and Stock Indices sectors were profitable while Currencies, Metals, Agriculturals and Energies finished negative in 2012.

In terms of major CTA performance, none of the five major CTAs in the Balanced Series were profitable in 4Q 2012. Winton, Cantab, QIM, Tiverton and Beach Horizon finished negative for the quarter.

Two of the five major CTAs in the Balanced Series were profitable in 2012. QIM and Cantab were profitable while Tiverton, Beach Horizon and Winton finished negative in 2012.

Tiverton/Graham/Transtrend Series (Formerly the Berkeley/Graham/Tiverton Series)

2012

The Tiverton/Graham/Transtrend Series – Class 1 NAV lost 13.58% for the twelve months ended December 31, 2012, net of fees and expenses; the Tiverton/Graham/Transtrend Series – Class 2 NAV lost 10.99% for the twelve months ended December 31, 2012, net of fees and expenses.

For the twelve months ended December 31, 2012, the Tiverton/Graham/Transtrend Series recorded net loss on investments of $2,138,461, net investment income of $263,049, and total expenses of $2,449,160, resulting in a net decrease in Owners’ capital from operations of $4,324,572. The NAV per Unit, Class 1, decreased from $91.02 at December 31, 2010, to $78.66 as of December 31, 2012. The NAV per Unit, Class 2, decreased from $111.84 at December 31, 2011, to $99.55 as of December 31, 2012. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2012, were $31,560 and $9,042,397, respectively. Total Class 2 redemptions for the twelve months ended December 31, 2012, were $933,922. There were no Class 2 subscriptions. Ending capital at December 31, 2012, was $22,266,758 for Class 1 and $3,077,883 for Class 2.

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

Sector Attribution for the Tiverton/Graham/Transtrend Series

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Two of the six sectors traded in the Tiverton/Graham/Transtrend Series were profitable in 4Q 2012. Currencies, and Stock Indices were positive while Agriculturals, Interest Rates, Metals and Energies were negative for the quarter.

Two of the six sectors traded in the Tiverton/Graham/Transtrend Series were profitable in 2012. The Interest Rates and Stock Indices sectors were profitable while Currencies, Metals, Agriculturals and Energies were negative in 2012.

In terms of major CTA performance Graham, Transtrend and Tiverton finished negative for the quarter and the year.

Currency Series

2012

The Currency Series – Class 1 NAV lost 19.25% for the twelve months ended December 31, 2012, net of fees and expenses; the Currency Series – Class 2 NAV lost 16.73% for the twelve months ended December 31, 2011, net of fees and expenses.

For the twelve months ended December 31, 2012, the Currency Series recorded net loss on investments of $558,329, net investment income of $85, and total expenses of $130,192, resulting in a net decrease in Owners’ capital from operations of $688,436. The NAV per Unit, Class 1, decreased from $70.48 at December 31, 2011, to $56.91 as of December 31, 2012. The NAV per Unit, Class 2, decreased from $87.61 at December 31, 2011, to $72.95 as of December 31, 2012. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2012 were $48,045 and $932,522, respectively. Total Class 2 redemptions for the twelve months ended December 31, 2012, were $25,319. There were no Class 2 subscriptions. Ending capital at December 31, 2012, was $2,666,969 for Class 1 and $54,156 for Class 2.

The Currency Series may have both long and short exposure to the Currencies sector only. Because all returns are from the Currencies sector, there are no Sector Attribution charts for the Currency Series.

Winton Series

2012

The Winton Series – Class 1 NAV lost 7.37% for the twelve months ended December 31, 2012, net of fees and expenses; the Winton Series – Class 2 NAV lost 4.54% for the twelve months ended December 31, 2012, net of fees and expenses.

For the twelve months ended December 31, 2012, the Winton Series recorded net loss on investments of $1,356,583, net investment income of $531,125, and total expenses of $2,435,758, resulting in a net decrease in Owners’ capital from operations of $3,261,216. The NAV per Unit, Class 1, decreased from $141.13 at December 31, 2011, to $130.73 as of December 31, 2012. The NAV per Unit, Class 2, decreased from $165.82 at December 31, 2011, to $158.30 as of December 31, 2012. Total Class 1 subscriptions for the year were $204,803 and redemptions were $5,169,260. Total Class 2 redemptions for the year were $862,917. There were no Class 2 subscriptions. Ending capital at December 31, 2012, was $30,645,208 for Class 1 and $10,314,326 for Class 2.

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

Sector Attribution for the Winton Series

Three of the six sectors traded in the Winton Series were profitable in 4Q 2012. Currencies, Stock Indices and Interest Rates were positive while Metals, Agriculturals and Energies were negative for the quarter.

Two of the six sectors traded in the Winton Series were profitable in 2012. The Stock Indices and Interest Rates sectors were profitable while Currencies, Metals, Agriculturals and Energies finished negative for the year.

Winton/Graham Series

2012

The Winton/Graham Series – Class 1 NAV lost 9.72% for the twelve months ended December 31, 2012, net of fees and expenses; the Winton/Graham Series – Class 2 NAV lost 6.96% for the twelve months ended December 31, 2012, net of fees and expenses. For the twelve months ended December 31, 2012, the Winton/Graham Series recorded net loss on investments of $681,944, net investment income of $134,302, and total expenses of $1,822,802, resulting in a net decrease in Owners’ capital from operations of $2,370,444. The NAV per Unit, Class 1, decreased from $104.73 at December 31, 2011, to $94.55 as of December 31, 2012. The NAV per Unit, Class 2, decreased from $129.70 at December 31, 2011, to $120.67 as of December 31, 2012. Total Class 1 subscriptions and redemptions for the twelve months were $59,915 and $6,118,966, respectively. Total Class 2 redemptions for the twelve months were $1,590,653, respectively. There were no Class 2 subscriptions. Ending capital at December 31, 2012, was $16,680,498 for Class 1 and $4,073,041 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.

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Sector Attribution for the Winton/Graham Series

Two of the six sectors traded in the Winton/Graham Series were profitable in 4Q 2012. Currencies and Stock Indices were positive while Interest Rates, Agriculturals, Metals and Energies were negative for the quarter.

Two of the six sectors traded in the Winton/Graham Series were profitable in 2012. The Interest Rates and the Stock Indices sectors were profitable while Currencies, Metals, Agriculturals and Energies finished negative in 2012.

In terms of major CTA performance, both Graham and Winton finished negative for the quarter and the year.

Series Returns and Other Information

The returns for each Series and Class of Units for the twelve months ended December 31, 2011, and related information, are discussed below. The activities of the Trust on a consolidated basis are explained through the activity of the underlying Series. Please refer to the discussion of the Series activities in relation to the Trust on a consolidated basis.

Each Series had exposure to commodity interest positions within one or more sectors during fiscal 2011. The performance of each Series was impacted over the course of the year by, among other things, the relative performance of the relevant sector or sectors and the commodities within those sectors, the changing allocations among, and the specific positions taken by the Series’ Trading Advisors in, the relevant sector(s) and commodities, and the timing of entries and exits. For certain of the Series, a sector attribution chart has been included at the end of the relevant discussion. Each chart depicts the performance of the relevant Series’ positions within each of the relevant sectors (determined by the Managing Owner using monthly gross return and NAV figures, with various adjustments to net out a proportional allocation of the fees and expenses chargeable to the Series) during the fourth quarter (except as otherwise noted) and for the full calendar year. Charts depicting the performance of the various Series’ positions within each of the relevant sectors during the prior three quarters were included in the Trust’s quarterly reports on Form 10-Q previously filed.

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Frontier Diversified Series

2011

The Frontier Diversified Series – Class 1 NAV lost 4.0% for the twelve months ended December 31, 2011, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV lost 2.3% for the twelve months ended December 31, 2011 net of fees and expenses. For the twelve months ended December 31, 2011 the Frontier Diversified Series recorded a net gain on investments of $5,428,786, net investment income of $2,399,088, and total expenses of $12,210,432, resulting in a net decrease in Owners’ capital from operations of $4,382,558. The NAV per Unit, Class 1, decreased from $103.58 at December 31, 2010, to $99.40 as of December 31, 2011. The NAV per Unit, Class 2, decreased from $106.46 at December 31, 2010, to $103.96 as of December 31, 2011. Total Class 1 subscriptions and redemptions for the period were $26,631,502 and $41,207,525, respectively. Total Class 2 subscriptions and redemptions for the period were $17,859,192 and $24,442,979, respectively. Ending capital at December 31, 2011, was $72,424,906 for Class 1 and $61,548,698 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.

Sector Attribution for the Frontier Diversified Series

Two of the six sectors traded in the Frontier Diversified Series were profitable in 2011. Energies and Interest Rates were profitable while Metals, Currencies, Agriculturals and Stock Indices finished negative for the year.

In terms of major CTA performance, four of the seven major CTAs in the Frontier Diversified Series were profitable in 2011. QIM, Cantab, Quantmetrics and Winton were profitable while Graham, Tiverton and Transtrend finished negative for the year.

Frontier Long/Short Commodity Series

2011

The Frontier Long/Short Commodity Series – Class 1 NAV gained 2.6% for the twelve months ended December 31, 2011, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 NAV gained 5.7% for the twelve months ended December 31, 2011, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV gained 5.7% for the twelve months ended December 31, 2011, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1 a NAV gained 3.2% for the twelve months ended December 31, 2011, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV gained 5.0% for the twelve months ended December 31, 2011, net of fees and expenses.

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For the twelve months ended December 31, 2011, the Frontier Long/Short Commodity Series recorded net gain on investments of $17,234,688, net investment income of $1,371,889, and total expenses of $8,087,479, resulting in a net increase in Owners’ capital from operations attributable to controlling interests of $4,459,637 after operations attributable to non-controlling interests of ($6,059,461). The NAV per Unit, Class 1, increased from $132.73 at December 31, 2010, to $136.13 as of December 31, 2011. The NAV per Unit, Class 2, increased from $153.26 at December 31, 2010, to $161.97 as of December 31, 2010. The NAV per Unit, Class 3, increased from $153.26 at December 31, 2010, to $161.96 as of December 31, 2011. The NAV per Unit, Class 1a, increased from $117.96 at December 31, 2010, to $121.71 as of December 31, 2011. The NAV per Unit, Class 2a, increased from $121.18 at December 31, 2010, to $127.23 as of December 31, 2011. Total Class 1 subscriptions and redemptions for the twelve months were $75,898 and $29,615,581, respectively. Total Class 2 redemptions for the twelve months were $7,732,419. There were no Class 2 subscriptions. Total Class 3 subscriptions and redemptions for the twelve months were $19,475,762 and $13,879,097, respectively. Total Class 1a subscriptions and redemptions for the twelve months were $14,327,910 and $617,869, respectively. Total Class 2a subscriptions and redemptions for the twelve months were $7,830,730 and $547,685, respectively. Ending capital at December 31, 2011, was $4,159,047 for Class 1, $9,188,762 for Class 2, $27,810,058 for Class 3, $18,891,395 for Class 1a and $10,911,464 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.

Sector Attribution for the Frontier Long/Short Commodity Series

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Four of the seven sectors traded in the Frontier Long/Short Commodity Series were profitable in 2011. Precious Metals, Energies, Financials and Softs were positive while Base Metals, Grains were down for the year.

In terms of major CTA performance, two of the six major CTAs in the Frontier Long/Short Commodity Series were profitable in 2011. Rosetta and Strategic Ag were positive while Beach Horizon, Global Advisors, Red Oak and Mesirow were negative for the year.

Frontier Masters Series

2011

The Frontier Masters Series – Class 1 NAV lost 2.6% for the twelve months ended December 31, 2011, net of fees and expenses; the Frontier Masters Series – Class 2 NAV lost 0.9% for the twelve months ended December 31, 2011, net of fees and expenses.

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For the period ended December 31, 2011 the Frontier Masters Series recorded a net gain on investments of $2,393,047, net investment income of $1,026,007, and total expenses of $4,466,240, resulting in a net decrease in Owners’ capital from operations attributable to controlling interests of $1,019,452 after operations attributable to non-controlling interests of $27,734. The NAV per Unit, Class 1, decreased from $102.96 at December 31, 2010, to $100.25 as of December 31, 2011. The NAV per Unit, Class 2, decreased from $105.81 at December 31, 2010, to $104.83 as of December 31, 2011. Total Class 1 subscriptions and redemptions for the period were $8,975,267 and $15,268,645, respectively. Total Class 2 subscriptions and redemptions for the period were $3,222,236 and $9,360,139, respectively. Ending capital at December 31, 2011, was $34,090,136 for Class 1 and $18,734,861for 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.

Sector Attribution for the Frontier Masters Series

One of the six sectors traded in the Frontier Masters Series was profitable in 2011. Interest Rates was positive while Metals, Currencies, Energies, Agriculturals and Stock Indices were negative for the year.

In terms of major CTA performance, two of the four major CTAs in the Frontier Masters Series were profitable during the year. Cantab and Winton were positive while Transtrend and Tiverton finished negative for the year.

Balanced Series

2011

The Balanced Series – Class 1 NAV lost 5.6% for the twelve months ended December 31, 2011, net of fees and expenses; the Balanced Series – Class 1a NAV lost 6.8% for the twelve months ended December 31, 2011, net of fees and expenses; the Balanced Series – Class 2 NAV lost 2.8% for the twelve months ended December 31, 2011, net of fees and expenses; the Balanced Series – Class 2a NAV lost 4.0% for the twelve months ended December 31, 2011, net of fees and expenses; the Balanced Series – Class 3a NAV lost 4.0% for the twelve months ended December 31, 2011, net of fees and expenses.

For the twelve months ended December 31, 2011, the Balanced Series recorded net gain on investments of $5,648,268, net investment income of $534,877, and total expenses of $24,591,620, resulting in a net decrease in Owners’ capital from operations attributable to controlling interests of $12,244,073 after operations attributable to non- controlling interests of $6,164,402. The NAV per Unit, Class 1, decreased from $131.95 at December 31, 2010, to $124.50 at December 31, 2011. For Class 1a, the NAV per Unit decreased from

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$116.36 at December 31, 2010, to $108.45 at December 31, 2011. The NAV per Unit, Class 2, decreased from $159.46 at December 31, 2010, to $155.02 at December 31, 2011. For Class 2a, the NAV per Unit decreased from $133.66 at December 31, 2010, to $128.35 at December 31, 2011. For Class 3a, the NAV per Unit decreased from $133.66 at December 31, 2010, to $128.36 at December 31, 2011. Total Class 1 subscriptions and redemptions for the twelve months were $680,177 and $94,481,950, respectively. Total Class 1a subscriptions and redemptions for the twelve month period were $5,618 and $2,387,579, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $1,266,575 and $13,042,325, respectively. Total Class 2a redemptions for the twelve month period were $652,135. There were no Class 2a subscriptions. Total Class 3a subscriptions and redemptions for the period were $810,623 and $1,420,305, respectively. Ending capital at December 31, 2011, was $183,785,318 for Class 1, $2,536,559 for Class 1a, $63,372,567 for Class 2, $2,784,830 for Class 2a and $2,952,802 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.

Sector Attribution for the Frontier Balanced Series

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Two of the six sectors traded in the Balanced Series were profitable in 2011. Energies and Interest Rates were profitable while Metals, Currencies, Agriculturals and Stock Indices finished negative for the year.

In terms of major CTA performance, three of the five major CTAs in the Balanced Series were profitable in 2011. QIM, Cantab and Winton were profitable while Tiverton and Transtrend finished negative for the year.

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.

Tiverton/Graham/Transtrend Series (Formerly the Berkeley/Graham/Tiverton Series)

2011

The Tiverton/Graham/Transtrend Series – Class 1 NAV lost 17.6% for the twelve months ended December 31, 2011, net of fees and expenses; the Tiverton/Graham/Transtrend Series – Class 2 NAV lost 15.1% for the twelve months ended December 31, 2011, net of fees and expenses.

For the twelve months ended December 31, 2011, the Tiverton/Graham/Transtrend Series recorded net loss on investments of $6,401,143, net investment income of $106,784, and total expenses of $2,973,773, resulting in a net decrease in Owners’ capital from operations of $9,268,132. The NAV per Unit, Class 1, decreased from $110.46 at December 31, 2010, to $91.02 as of December 31, 2011. The NAV per Unit, Class 2, decreased from $131.73 at December 31, 2010, to $111.84 as of December 31, 2011. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2011, were $73,374 and $18,343,967, respectively. Total Class 2 redemptions for the twelve months ended December 31, 2011, were $3,076,631. There were no Class 2 subscriptions. Ending capital at December 31, 2011, was $35,180,631 for Class 1 and $4,433,341 for Class 2.

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

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Sector Attribution for the Tiverton/Graham/Transtrend Series

Two of the six sectors traded in the Tiverton/Graham/Transtrend Series were profitable in 2011. Metals and Interest Rates were positive while Energies, Currencies, Agriculturals and Stock Indices were negative for the year.

In terms of major CTA performance, Tiverton, Berkeley and Graham finished negative for the year.

Currency Series

2011

The Currency Series – Class 1 NAV lost 10.9% for the twelve months ended December 31, 2011, net of fees and expenses; the Currency Series – Class 2 NAV lost 8.2% for the twelve months ended December 31, 2011, net of fees and expenses.

For the twelve months ended December 31, 2011, the Currency Series recorded net loss on investments of $387,646, net investment income of $61,690, and total expenses of $294,981, resulting in a net decrease in Owners’ capital from operations of $620,937. The NAV per Unit, Class 1, decreased from $79.09 at December 31, 2010, to $70.48 as of December 31, 2011. The NAV per Unit, Class 2, decreased from $95.43 at December 31, 2010, to $87.61 as of December 31, 2011. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2011 were $58,429, and $1,610,039, respectively. Total Class 2 redemptions for the twelve months ended December 31, 2011, were $647,496. There were no Class 2 subscriptions. Ending capital at December 31, 2011, was $4,228,350 for Class 1 and $91,007 for Class 2.

The Currency Series may have both long and short exposure to the Currencies sector only. Because all returns are from the Currencies sector, there are no Sector Attribution charts for the Currency Series.

Winton Series

2011

The Winton Series – Class 1 NAV gained 4.5% for the twelve months ended December 31, 2011, net of fees and expenses; the Winton Series – Class 2 NAV gained 7.7% for the twelve months ended December 31, 2011, net of fees and expenses.

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For the twelve months ended December 31, 2011, the Winton Series recorded net gain on investments of $5,865,030, net investment income of $457,889, and total expenses of $3,596,286, resulting in a net increase in Owners’ capital from operations of $2,726,633. The NAV per Unit, Class 1, increased from $135.04 at December 31, 2010, to $141.13 as of December 31, 2011. The NAV per Unit, Class 2, increased from $153.99 at December 31, 2010, to $165.82 as of December 31, 2011. Total Class 1 subscriptions for the year were $256,132 and redemptions were $13,146,425. Total Class 2 redemptions for the year were $507,653. There were no Class 2 subscriptions. Ending capital at December 31, 2011, was $38,345,799 for Class 1 and $11,702,325 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.

Sector Attribution for the Winton Series

Two of the six sectors traded in the Winton Series were profitable in 2011. Metals and Interest Rates were positive while Currencies, Energies, Agriculturals and Stock Indices were negative for the year.

Winton/Graham Series

2011

The Winton/Graham Series – Class 1 NAV lost 12.6% for the twelve months ended December 31, 2011, net of fees and expenses; the Winton/Graham Series – Class 2 NAV lost 10.0% for the twelve months ended December 31, 2011, net of fees and expenses. For the twelve months ended December 31, 2011, the Winton/Graham Series recorded net loss on investments of $2,260,583, net investment income of $217,875, and total expenses of $2,926,790, resulting in a net decrease in Owners’ capital from operations of $4,498,779, after non-controlling interest of $470,719. The NAV per Unit, Class 1, decreased from $119.83 at December 31, 2010, to $104.73 as of December 31, 2011. The NAV per Unit, Class 2, decreased from $144.04 at December 31, 2010, to $129.70 as of December 31, 2011. Total Class 1 subscriptions and redemptions for the twelve months were $111,245 and $17,353,576, respectively. Total Class 2 redemptions for the twelve months were $4,995,641. There were no Class 2 subscriptions. Ending capital at December 31, 2011, was $24,783,519 for Class 1 and $5,990,168 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.

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Sector Attribution for the Winton/Graham Series

Two of the six sectors traded in the Winton/Graham Series were profitable in 2011. Metals and Interest Rates were positive while Stock Indices, Energies, Agriculturals and Currencies were negative for the year.

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

Results of Operations

Market Conditions for Twelve Months Ended December 31, 2010

January 2010

Interest Rates

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

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.

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Energy

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

Metals

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

Agriculturals

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

February 2010

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

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%.

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March 2010

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

Metals

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

Agriculturals

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

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%.

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Energy

Crude oil futures for September 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 September 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.

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.

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June 2010

Interest Rates

U.S. and German interest rate futures, across the curve, finished higher in September. 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 September, 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 September. 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 September, 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 September.

Agriculturals

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

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.

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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.

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.

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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.

October 2010

Interest Rates

To promote a stronger pace of economic recovery the U.S. Federal Reserve recently announced that it intends to purchase an additional $600 billion of long-term Treasury securities by the middle of 2011. This decision has incited controversy not only domestically, but internationally. Emerging economies have perceived the Fed’s action as an intentional devaluing of the U.S. Dollar, a policy which could potentially wreak havoc upon their own economies. U.S. and European interest rate futures exhibited little directional movement in October, with significant volatility.

Currencies

The U.S. Dollar continued to decline in October, although at a slower rate than in September. The U.S. Dollar index dropped 1.8% for the month. The Euro and The British Pound strengthened against the U.S. Dollar, finishing up 2.3% and 2.0%, respectively, for the month. The Australian and Canadian Dollars also strengthened against their U.S. counterpart, up 1.7% and 1.0%, respectively in October.

Stock Indices

Most of the major U.S. and European stock indices finished higher in October. The DJIA, the S&P 500 Index and the NASDAQ Composite Index strengthened by 3.1%, 3.9% and 5.9%, respectively, for the month. In Europe, FTSE index futures finished up 2.4%, CAC-40 futures strengthened by 3.3% and DAX index futures finished up 6.2%.

Energy

Crude oil futures for December delivery finished up 0.6%, settling at $81.43/bbl for the month. Gasoline also strengthened, finishing up 0.8% in October. Heating oil and natural gas futures weakened, down 2.0% and 2.0%, respectively, for the month.

Metals

October witnessed significant price increases in raw materials such as metals and agricultural products. We are now in an environment in which the U.S. Dollar is weakening, commodity prices are increasing, and precious metal prices are increasing rapidly. The rise in precious metal prices, in particular, denotes a loss of faith in the U.S. Dollar. Gold and silver futures finished up 3.7% and 12.3%, respectively, in October. Platinum, palladium and copper futures also strengthened during the month, 2.9%, 12.9% and 2.2%, respectively.

Agriculturals

Rough rice and corn futures continued their climb since July this year, up 17.4% and 14.9%, respectively, in October. Cotton futures climbed as well, fueled by increased demand from China and expected poor harvests that will keep the global supply tight, up 19.9% for the month. Sugar futures have also seen dramatic increase in prices during the last few months, up 24% for October.

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November 2010

Interest Rates

U.S. interest rate futures finished the month lower and European interest rate futures exhibited little directional movement in November. In the face of Euro zone problems due to Irish bank failures, short-term interest rate futures, in particular, were extremely volatile during the second half of the month.

Currencies

The U.S. Dollar strengthened in November. The U.S. Dollar index finished up 5.1% for the month. The Euro and The British Pound weakened against the U.S. Dollar, finishing 6.9% and 3.0%, respectively, for the month. The Australian and Canadian Dollars also weakened against the U.S. Dollar, down 2.5% and 0.7%, respectively in November.

Stock Indices

The major U.S. stock indices reversed the upward trend over the last few months, finishing lower in November. The DJIA, the S&P 500 Index and the NASDAQ Composite Index weakened by 1.0%, 0.2% and 0.4%, respectively, for the month. In Europe, FTSE index futures finished down 2.1%, CAC-40 futures weakened by 5.2% and DAX index futures finished up 1.3%.

Energy

Crude oil futures for January delivery finished up 2.4%, settling at $84.11/bbl for the month. Gasoline and Heating oil futures also strengthened, finishing up 5.7% and 2.8%, respectively, in November. Natural gas futures weakened, down 2.0% for the month.

Metals

Gold and silver futures continued their upward trend, up 1.9% and 14.6%, respectively, in November. Palladium and copper futures also strengthened during the month, up 8.7% and 2.2%, respectively. Platinum futures finished lower by 2.4%.

Agriculturals

Rough rice and corn futures reversed their upward trend, finishing lower by 5.7% and 8.6%, respectively, in November. Wheat futures also dropped, finishing down 8.8% for November. After rallying the first part of the month, Cotton futures, reversed and finished down 2.6%.

December 2010

Interest Rates

Similar to November, U.S. interest rate futures finished the month lower in spite of the Fed’s QE2 program. German rate futures fell during the first part of the month, recovering in the second part to finish little changed.

Currencies

After a strong November, the U.S. Dollar fell in December. The U.S. Dollar index finished down 2.7% for the month. The Euro strengthened against the U.S. Dollar, finishing up 3.1% for the month. The Australian and Canadian Dollars also strengthened against their U.S. counterpart, up 6.7% and 2.8%, respectively in December.

Stock Indices

After a weaker November, the major U.S. stock indices continued the upward trend of the last several months, finishing higher in December. The DJIA, the S&P 500 Index and the NASDAQ Composite Index strengthened by 5.2%, 6.5% and 6.2%, respectively, for the month. In Europe, FTSE index futures finished up 7.1%, CAC-40 futures strengthened by 5.1% and DAX index futures finished up 3.0%.

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Energy

Crude oil futures for March delivery finished the month up 8.4%. Gasoline and heating oil futures also strengthened, finishing up 11.0% and 8.9%, respectively, in December. Natural gas futures were range-bound but still finished the month up slightly more than 6%.

Metals

Gold continued to be range-bound while silver futures continued their upward trend, up 2.5% and 9.7%, respectively, in December. Fears of commodity inflation are growing as palladium and copper futures also strengthened during the month, 14.3% and 16.3%, respectively. Platinum futures finished higher by 6.4%.

Agriculturals

Corn futures continued their upward trend, finishing higher by 15.6% in December. Wheat futures also rose, finishing up 15% for December. After rallying the first part of the month, Cotton futures reversed and finished up 23.4%.

Series Returns and Other Information

The returns for each Series and Class of Units for the twelve months ended December 31, 2010, and related information, are discussed below. Each Series had exposure to commodity interest positions within one or more sectors during fiscal 2010. The performance of each Series was impacted over the course of the year by, among other things, the relative performance of the relevant sector or sectors and the commodities within those sectors, the changing allocations among, and the specific positions taken by the Series’ Trading Advisors in, the relevant sector(s) and commodities, and the timing of entries and exits. For certain of the Series, a sector attribution chart has been included at the end of the relevant discussion. Each chart depicts the performance of the relevant Series’ positions within each of the relevant sectors (determined by the Managing Owner using monthly gross return and NAV figures, with various adjustments to net out a proportional allocation of the fees and expenses chargeable to the Series) during the fourth quarter (except as otherwise noted) and for the full calendar year. Charts depicting the performance of the various Series’ positions within each of the relevant sectors during the prior three quarters were included in the Trust’s quarterly reports on Form 10-Q previously filed.

Frontier Diversified Series

2010

The Frontier Diversified Series – Class 1 NAV gained 7.0% for the twelve months ended December 31, 2010, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV gained 8.9% for the twelve months ended December 31, 2010, net of fees and expenses. For the twelve months ended December 31, 2010 the Frontier Diversified Series recorded a net gain on investments of $18,519,243, net income of $2,225,700, and total expenses of $9,452,058, resulting in a net increase in Owners’ capital from operations of $11,449,890 after non-controlling interests of $157,005. The NAV per Unit, Class 1, increased from $96.80 at December 31, 2009, to $103.58 as of December 31, 2010. The NAV per Unit, Class 2, increased from $97.77 at December 31, 2009, to $106.46 as of December 31, 2010. Total Class 1 subscriptions and redemptions for the period were $56,557,502 and $5,635,008, respectively. Total Class 2 subscriptions and redemptions for the period were $43,467,656 and $2,660,187, respectively. 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. See comments above under Market Conditions for Twelve Months Ended December 31, 2010, for additional information regarding these sectors.

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Sector Attribution for the Frontier Diversified Series

Frontier Long/Short Commodity Series

2010

The Frontier Long/Short Commodity Series – Class 1 NAV gained 16.7% for the twelve months ended December 31, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 NAV gained 20.2% for the twelve months ended December 31, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV gained 20.2% for the twelve months ended December 31, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1 a NAV gained 16.2% for the twelve months ended December 31, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV gained 18.2% for the twelve months ended December 31, 2010, net of fees and expenses.

For the twelve months ended December 31, 2010, the Frontier Long/Short Commodity Series recorded net gain on investments of $15,903,113, net investment income of $1,120,080, and total expenses of $8,021,021, resulting in a net increase in Owners’ capital from operations of $11,915,293 after non-controlling interests of $2,913,121. The NAV per Unit, Class 1, increased from $113.77 at December 31, 2009, to $132.73 as of December 31, 2010. The NAV per Unit, Class 2, increased from $127.49 at December 31, 2009, to $153.26 as of December 31, 2010. The NAV per Unit, Class 3, increased from $127.49 at December 31, 2009, to $153.26 as of December 31, 2010. The NAV per Unit, Class 1a, increased from $101.49 at December 31, 2009, to $117.96 as of December 31, 2010. The NAV per Unit, Class 2a, increased from $102.48 at December 31, 2009, to $121.18 as of September 30, 2010. Total Class 1 subscriptions and redemptions for the twelve months were $119,434 and $19,502,051, respectively. Total Class 2 redemptions for the twelve months were $2,103,245. There were no subscriptions. Total Class 3 subscriptions and redemptions for the twelve months were $14,889,732 and $3,211,460, respectively. Total Class 1a subscriptions and redemptions for the twelve months were $4,247,899 and $404,900, respectively. Total Class 2a subscriptions and redemptions for the twelve months were $2,527,455 and $148,649, respectively. 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. See comments above under Market Conditions for Twelve Months Ended December 31, 2010, for additional information regarding these sectors.

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Sector Attribution for the Frontier Long/Short Commodity Series

Frontier Masters Series

2010

The Frontier Masters Series – Class 1 NAV gained 9.0% for the twelve months ended December 31, 2010, net of fees and expenses; the Frontier Masters Series – Class 2 NAV gained 10.9% for the twelve months ended December 31, 2010, net of fees and expenses.

For the period ended December 31, 2010 the Frontier Masters Series recorded a net gain on investments of $8,845,121, net investment income of $941,795, and total expenses of $3,767,056, resulting in a net increase in Owners’ capital from operations of $6,019,860. The NAV per Unit, Class 1, increased from $94.46 at December 31, 2009, to $102.96 as of December 31, 2010. The NAV per Unit, Class 2, increased from $95.37 at December 31, 2009, to $105.81 as of December 31, 2010. Total Class 1 subscriptions and redemptions for the period were $26,672,742 and $3,606,610, respectively. Total Class 2 subscriptions and redemptions for the period were $16,395,263 and $2,492,712, respectively. Ending capital at December 31, 2010, was $41,213,675 for Class 1 and $25,062,055for Class 2.

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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 Twelve Months Ended December 31, 2010, for additional information regarding these sectors.

Sector Attribution for the Frontier Masters Series

Balanced Series

2010

The Balanced Series – Class 1 NAV gained 11.3% for the twelve months ended December 31, 2010, net of fees and expenses; the Balanced Series – Class 1a NAV gained 10.3% for the twelve months ended December 31, 2010, net of fees and expenses; the Balanced Series – Class 2 NAV gained 14.7% for the twelve months ended December 31, 2010, net of fees and expenses; the Balanced Series – Class 2a NAV gained 13.7% for the twelve months ended December 31, 2010, net of fees and expenses; the Balanced Series – Class 3a NAV gained 14.9% for the twelve months ended December 31, 2010, net of fees and expenses.

For the twelve months ended December 31, 2010, the Balanced Series recorded net gain on investments of $82,334,394, net investment income of $404,451, and total expenses of $26,553,122, resulting in a net increase in Owners’ capital from operations of $41,691,751 after non- controlling interests of ($14,493,972). The NAV per Unit, Class 1, increased from $118.54 at December 31, 2009, to $131.95 at December 31, 2010. For Class 1a, the NAV per Unit increased from $105.50 at December 31, 2009, to $116.36 at December 31, 2010. The NAV per Unit, Class 2, increased from $139.01 at December 31, 2009, to $159.46 at December 31, 2010. For Class 2a, the NAV per Unit increased from $117.60 at December 31, 2009, to $133.66 at December 31, 2010. For Class 3a, the NAV per Unit increased from $117.60 at December 31, 2009, to $133.66 at December 31, 2010. Total Class 1 subscriptions and redemptions for the twelve months were $733,684 and $29,047,428, respectively. Total Class 1a subscriptions and redemptions for the twelve month period were $25,858 and $4,516,519, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $14,425 and $10,887,458, respectively. Total Class 2a redemptions for the twelve month period were $163,315. There were no subscriptions. Total Class 3a subscriptions and redemptions for the period were $3,412,987 and $1,382,434, respectively. Ending capital at December 31, 2010, 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. See comments above under Market Conditions for Twelve Months Ended December 31, 2010, for additional information regarding these sectors.

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Sector Attribution for the Frontier Balanced Series

Tiverton/Graham/Transtrend Series (Formerly the Berkeley/Graham/Tiverton Series)

2010

The Tiverton/Graham/Transtrend Series – Class 1 NAV gained 5.6% for the twelve months ended December 31, 2010, net of fees and expenses; the Tiverton/Graham/Transtrend Series – Class 2 NAV gained 8.8% for the twelve months ended December 31, 2010, net of fees and expenses.

For the twelve months ended December 31, 2010, the Tiverton/Graham/Transtrend Series recorded net gain on investments of $10,645,135, net investment income of $8,268, and total expenses of $4,848,257, resulting in a net increase in Owners’ capital from operations of $3,912,601 after non-controlling interests of ($1,892,545). The NAV per Unit, Class 1, increased from $104.65 at December 31, 2009, to $110.46 as of December 31, 2010. The NAV per Unit, Class 2, increased from $121.10 at December 31, 2009, to $131.73 as of December 31, 2010. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2010, were $124,546 and $10,995,712, respectively. Total Class 2 redemptions for the twelve months ended December 31, 2010, were $2,174,467. There were no subscriptions. Ending capital at December 31, 2010, was $61,842,996 for Class 1 and $8,386,332 for Class 2.

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The Tiverton/Graham/Transtrend 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 Twelve Months Ended December 31, 2010, for additional information regarding these sectors.

Sector Attribution for the Tiverton/Graham/Transtrend Series

Currency Series

2010

The Currency Series – Class 1 NAV gained 1.4% for the twelve months ended December 31, 2010, net of fees and expenses; the Currency Series – Class 2 NAV gained 4.5% for the twelve months ended December 31, 2010, net of fees and expenses.

For the twelve months ended December 31, 2010, the Currency Series recorded net gain on investments of $522,823, net investment income of $129,943, and total expenses of $483,015, resulting in a net increase in Owners’ capital from operations of $169,751. The NAV per Unit, Class 1, increased from $78.00 at December 31, 2009, to $79.09as of December 31, 2010. The NAV per Unit, Class 2, increased from $91.34 at December 31, 2009, to $95.43 as of December 31, 2010. Total Class 1 subscriptions and redemptions for the twelve months ending December 31, 2010 were $65,957, and $1,751,140, respectively. Total Class 2 redemptions for the twelve months ending December 31, 2010, was $1,553,296. There were no subscriptions. Ending capital at December 31, 2010, was $6,381,882 for Class 1 and $757,518 for Class 2.

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

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

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Winton Series

2010

The Winton Series – Class 1 NAV gained 14.9% for the twelve months ended December 31, 2010, net of fees and expenses; the Winton Series – Class 2 NAV gained 18.4% for the twelve months ended December 31, 2010, net of fees and expenses.

For the twelve months ended December 31, 2010, the Winton Series recorded net gain on investments of $12,010,660, net investment income of $306,338, and total expenses of $3,812,097, resulting in a net increase in Owners’ capital from operations of $8,504,901. The NAV per Unit, Class 1, increased from $117.57 at December 31, 2009, to $135.04 as of December 31, 2010. The NAV per Unit, Class 2, increased from $130.10 at December 31, 2009, to $153.99 as of December 31, 2010. Total Class 1 subscriptions for the twelve months were $277,520 and redemptions were $5,850,898. Total Class 2 redemptions for the twelve month period were $614,265. There were no subscriptions. 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. See comments above under Market Conditions for Twelve Months Ended December 31, 2010, for additional information regarding these sectors.

Sector Attribution for the Winton Series

Winton/Graham Series

2010

The Winton/Graham Series – Class 1 NAV gained 8.9% for the twelve months ended December 31, 2010, net of fees and expenses; the Winton/Graham Series – Class 2 NAV gained 12.2% for the twelve months ended December 31, 2010, net of fees and expenses. For the twelve months ended December 31, 2010, the Winton/Graham Series recorded net gain on investments of $11,966,369, net investment income of $263,156, and total expenses of $4,321,685, resulting in a net increase in Owners’ capital from operations of $5,263,217, after non-controlling interest of ($2,644,623). The NAV per Unit, Class 1, increased from $110.06 at December 31, 2009, to $119.83 as of December 31, 2010. The NAV per Unit, Class 2, increased from $128.39 at December 31, 2009, to $144.04 as of December 31, 2010. Total Class 1 subscriptions and redemptions for the twelve months were $143,516 and $6,276,569, respectively. Total Class 2 redemptions for the twelve months were $2,310,599. There were no subscriptions. 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. See comments above under Market Conditions for Twelve Months Ended December 31, 2010, for additional information regarding these sectors.

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Sector Attribution for the Winton/Graham Series

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Item 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.

The Trust is a speculative commodity pool. 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.

Additional risk of trading loss from investment in an unaffiliated Trading Company may result from the Managing Owner’s inability to directly control or stop trading in the event of exercise of certain withdrawal provisions in the investment agreement.

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

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 tables present the trading value at risk associated with each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of December 31, 2012 and 2011. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

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Frontier Diversified Series:

MARKET SECTOR	December 31, 2012					December 31, 2011
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	10,668,213		9.3	%	$	5,973,146		4.5	%
Currencies	$	6,944,890		6.0	%	$	4,110,056		3.1	%
Stock Indices	$	6,884,232		6.0	%	$	2,947,326		2.2	%
Metals	$	529,904		0.5	%	$	267,495		0.2	%
Agriculturals/Softs	$	2,106,237		1.8	%	$	2,060,410		1.5	%
Energy	$	826,602		0.7	%	$	2,137,689		1.6	%
Total:	$	27,960,078		24.3	%	$	17,496,122		13.1	%

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Frontier Long/Short Commodity Series:

MARKET SECTOR	December 31, 2012					December 31, 2011
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,456,457		2.6	%	$	1,033,509		1.5	%
Currencies	$	649,353		1.1	%	$	460,279		0.6	%
Stock Indices	$	915,438		1.6	%	$	681,982		1.0	%
Metals	$	430,652		0.8	%	$	406,988		0.6	%
Agriculturals/Softs	$	2,128,861		3.8	%	$	2,736,200		3.9	%
Energy	$	1,768,300		3.1	%	$	4,843,829		6.8	%
Total:	$	7,349,062		13.0	%	$	10,162,787		14.4	%

Frontier Masters Series:

	December 31, 2012					December 31, 2011
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	2,289,229		4.4	%	$	1,517,381		2.9	%
Currencies	$	2,293,953		4.5	%	$	1,168,162		2.2	%
Stock Indices	$	1,147,721		2.2	%	$	551,850		1.0	%
Metals	$	74,930		0.1	%	$	224,102		0.4	%
Agriculturals/Softs	$	182,665		0.4	%	$	612,343		1.2	%
Energy	$	83,701		0.2	%	$	499,134		0.9	%
Total:	$	6,072,199		11.8	%	$	4,572,972		8.6	%

Balanced Series: (1)

	December 31, 2012					December 31, 2011
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	21,555,846		10.8	%	$	12,658,095		5.0	%
Currencies	$	15,370,708		7.7	%	$	9,980,695		3.9	%
Stock Indices	$	13,812,873		6.9	%	$	6,408,240		2.5	%
Metals	$	1,031,714		0.5	%	$	530,322		0.2	%
Agriculturals/Softs	$	4,076,766		2.0	%	$	4,171,096		1.6	%
Energy	$	1,493,380		0.7	%	$	4,239,430		1.7	%
Total:	$	57,341,288		28.6	%	$	37,987,878		14.9	%

Tiverton/Graham/Transtrend Series(3):

	December 31, 2012					December 31, 2011
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,108,185		4.4	%	$	1,987,350		5.0	%
Currencies	$	1,324,364		5.2	%	$	2,181,879		5.5	%
Stock Indices	$	864,109		3.4	%	$	821,477		2.1	%
Metals	$	71,543		0.3	%	$	20,795		0.1	%
Agriculturals/Softs	$	206,823		0.8	%	$	693,002		1.7	%
Energy	$	116,831		0.5	%	$	323,096		0.8	%
Total:	$	3,691,855		14.6	%	$	6,027,599		15.2	%

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Currency Series: (2)
MARKET SECTOR	December 31, 2012					December 31, 2011
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—		0	%	$	—		0	%
Currencies	$	942,040		34.6	%	$	940,205		21.8	%
Stock Indices	$	—		0	%	$	—		0	%
Metals	$	—		0	%	$	—		0	%
Agriculturals/Softs	$	—		0	%	$	—		0	%
Energy	$	—		0	%	$	—		0	%
Total:	$	942,040		34.6	%	$	940,205		21.8	%
Winton Series:
MARKET SECTOR	December 31, 2012					December 31, 2011
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,355,328		3.3	%	$	1,435,740		2.9	%
Currencies	$	2,941,414		7.2	%	$	1,562,233		3.1	%
Stock Indices	$	992,759		2.4	%	$	346,133		0.7	%
Metals	$	70,872		0.2	%	$	153,107		0.3	%
Agriculturals/Softs	$	241,874		0.6	%	$	411,136		0.8	%
Energy	$	85,535		0.2	%	$	80,743		0.2	%
Total:	$	5,687,781		13.9	%	$	3,989,092		8.0	%

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Winton/Graham Series:

MARKET SECTOR	December 31, 2012					December 31, 2011
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,660,955		8.0	%	$	2,634,892		8.6	%
Currencies	$	2,207,110		10.6	%	$	2,502,412		8.1	%
Stock Indices	$	1,031,543		5.0	%	$	933,122		3.0	%
Metals	$	104,133		0.5	%	$	226,400		0.7	%
Agriculturals/Softs	$	311,136		1.5	%	$	845,163		2.7	%
Energy	$	161,051		0.8	%	$	325,600		1.1	%
Total:	$	5,475,927		26.4	%	$	7,467,589		24.2	%

(1) As of December 31, 2012 and 2011, a portion of the assets of the Balanced Series was invested in an Option basket of futures contracts with a notional value of $13,685,284 and $14,129,540, respectively. As of December 31, 2012, a portion of the assets of the Balanced Series was invested in a separate Option basket of currencies with a notional value of $23,551,287. Margin information is not available for these contracts therefore no value at risk calculations were included in the table for this investment.

(2) As December 31, 2012 and 2011, the assets of the Currency Series were invested in an Option basket of futures contracts with a notional value of $23,551,287 and $11,567,063, respectively. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

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

Value at Risk: Foreign Markets

The following table presents the portion of trading value at risk associated with each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of December 31, 2012 and 2011, on foreign markets. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

Frontier Diversified Series:

MARKET SECTOR	December 31, 2012					December 31, 2011
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	8,209,681		7.1	%	$	3,369,219		2.5	%
Currencies	$	1,518,394		1.3	%	$	1,228,013		0.9	%
Stock Indices	$	4,244,630		3.7	%	$	1,308,974		1.0	%
Metals	$	296,537		0.3	%	$	98,304		0.1	%
Agriculturals/Softs	$	264,970		0.2	%	$	105,897		0.1	%
Energy	$	319,771		0.3	%	$	217,312		0.2	%
Total:	$	14,853,982		12.9	%	$	6,327,719		4.8	%

Frontier Long/Short Commodity Series:

MARKET SECTOR	December 31, 2012					December 31, 2011
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,050,124		1.9	%	$	515,192		0.7	%
Currencies	$	—		0.0	%	$	—		0.0	%
Stock Indices	$	531,515		0.9	%	$	206,023		0.3	%
Metals	$	173,414		0.3	%	$	228,484		0.3	%
Agriculturals/Softs	$	68,763		0.1	%	$	74,490		0.1	%
Energy	$	763,924		1.4	%	$	578,064		0.8	%
Total:	$	2,587,739		4.6	%	$	1,602,253		2.2	%

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Frontier Masters Series:
MARKET SECTOR	December 31, 2012					December 31, 2011
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,865,475		3.6	%	$	1,187,798		2.2	%
Currencies	$	614,934		1.2	%	$	131,064		0.2	%
Stock Indices	$	905,787		1.8	%	$	198,234		0.4	%
Metals	$	47,873		0.1	%	$	42,731		0.1	%
Agriculturals/Softs	$	17,777		0.0	%	$	21,356		0.0	%
Energy	$	31,398		0.1	%	$	131,577		0.2	%
Total:	$	3,483,244		6.8	%	$	1,712,760		3.1	%
Balanced Series: (1)
MARKET SECTOR	December 31, 2012					December 31, 2011
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	16,615,603		8.3	%	$	7,028,828		2.8	%
Currencies	$	4,260,586		2.1	%	$	3,874,144		1.5	%
Stock Indices	$	8,520,594		4.3	%	$	2,844,170		1.1	%
Metals	$	582,773		0.3	%	$	182,364		0.1	%
Agriculturals/Softs	$	533,867		0.3	%	$	217,728		0.1	%
Energy	$	575,912		0.3	%	$	429,114		0.2	%
Total:	$	31,089,335		15.5	%	$	14,576,348		5.8	%

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Tiverton/Graham/Transtrend Series(3):
MARKET SECTOR	December 31, 2012					December 31, 2011
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	811,866		3.2	%	$	1,228,296		3.1	%
Currencies	$	1,053,415		4.2	%	$	1,235,691		3.1	%
Stock Indices	$	701,876		2.8	%	$	388,937		1.0	%
Metals	$	48,203		0.2	%	$	13,393		0.0	%
Agriculturals/Softs	$	3,357		0.0	%	$	22,951		0.0	%
Energy	$	31,081		0.1	%	$	—		0.0	%
Total:	$	2,649,797		10.5	%	$	2,889,268		7.2	%
Currency Series(2):
MARKET SECTOR	December 31, 2012					December 31, 2011
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—		0	%	$	—		0	%
Currencies	$	942,040		34.6	%	$	940,205		21.8	%
Stock Indices	$	—		0	%	$	—		0	%
Metals	$	—		0	%	$	—		0	%
Agriculturals/Softs	$	—		0	%	$	—		0	%
Energy	$	—		0	%	$	—		0	%
Total:	$	942,040		34.6	%	$	940,205		21.8	%

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Winton Series:
MARKET SECTOR	December 31, 2012					December 31, 2011
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,024,187		2.5	%	$	892,630		1.8	%
Currencies	$	1,495,879		3.7	%	$	335,093		0.7	%
Stock Indices	$	712,939		1.7	%	$	174,744		0.3	%
Metals	$	29,326		0.1	%	$	105,880		0.2	%
Agriculturals/Softs	$	23,118		0.1	%	$	21,894		0.0	%
Energy	$	7,332		0.0	%	$	—		0.0	%
Total:	$	3,292,780		8.0	%	$	1,530,241		3.0	%
Winton/Graham Series:
MARKET SECTOR	December 31, 2012					December 31, 2011
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,219,387		5.9	%	$	1,630,456		5.3	%
Currencies	$	1,491,356		7.2	%	$	1,432,450		4.7	%
Stock Indices	$	762,887		3.7	%	$	476,443		1.5	%
Metals	$	65,130		0.3	%	$	197,044		0.6	%
Agriculturals/Softs	$	10,290		0.0	%	$	32,391		0.1	%
Energy	$	38,080		0.2	%	$	—		0.0	%
Total:	$	3,587,130		17.3	%	$	3,768,784		12.2	%

(1) As of December 31, 2012 and 2011, a portion of the assets of the Balanced Series was invested in an Option basket of futures contracts with a notional value of $13,685,284 and $14,129,540, respectively. As of December 31, 2012, a portion of the assets of the Balanced Series was invested in a separate Option basket of currencies with a notional value of $23,551,287. Margin information is not available for these contracts therefore no value at risk calculations were included in the table for this investment.

(2) As December 31, 2012 and 2011, the assets of the Currency Series were invested in an Option basket of futures contracts with a notional value of $23,551,287 and $11,567,063, respectively. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

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

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 severe losses.

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 December 31, 2012, 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-8 countries. However, the Trading Companies also may take futures positions on the government debt of smaller nations. The Managing Owner anticipates that G-8 interest rates will remain the primary market exposure of each Trading Company and accordingly 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, Tiverton/Graham/Transtrend Series, Currency Series and Winton/Graham Series. For the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters, Series, and Balanced Series (Class 1a and Class 2a only), 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-8 countries as well as other smaller jurisdictions. Each Series of the Trust (other than the Currency Series) is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices.

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.

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The Trading Companies’ trading is subject to execution risks. Market conditions may make it impossible for the Trading Advisors to execute a buy or sell order at the desired price, or to close out an open position. Daily price fluctuation limits are established by the exchanges and approved by the CFTC. When the market price of a contract reaches its daily price fluctuation limit, no trades can be executed at prices outside the limit. The holder of a contract may therefore be locked into an adverse price movement for several days or more and lose considerably more than the initial margin put up to establish the position. Thinly traded or illiquid markets also can make it difficult or impossible to execute trades.

The Trading Advisor’s positions are subject to speculative limits. The CFTC and domestic exchanges have established speculative position limits on the maximum futures position which any person, or group of persons acting in concert, may hold or control in particular futures contracts or options on futures contracts traded on U.S. commodity exchanges. Under current regulations, other accounts of the Trading Advisors are combined with the positions held by them on behalf of the applicable Trading Company for position limit purposes. This trading could preclude additional trading in these commodities by the Trading Advisors for the accounts of the Series.

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

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

Item 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA.

Financial statements meeting the requirements of Regulation S-X appear beginning on page F-1 of this report. The supplementary financial information specified by Item 302 of Regulation S-K is included in this report under the heading “Selected Financial Data” above.

Item 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE.

None.

Item 9A. 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 Principal Financial Officer, the Trust evaluated the effectiveness of the design and operation of the disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)), for the Trust and each Series as of December 31, 2012 (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

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absolute assurance that all control issues and instances of fraud, if any, have been detected. Based upon our evaluation, the Chief Executive Officer and Principal Financial Officer of the Managing Owner concluded that, as of the Evaluation Date, the disclosure controls and procedures for the Trust and each Series were effective to provide reasonable assurance that they are timely alerted to the material information relating to the Trust and each Series required to be included in the Trust’s periodic SEC filings.

Report on Management’s Assessment of Internal Control over Financial Reporting

The management of the Managing Owner is responsible for establishing and maintaining adequate internal control over financial reporting by the Trust.

The Managing Owner’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with accounting principles generally accepted in the United States. The internal control over financial reporting for the Trust and each Series includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of assets; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with accounting principles generally accepted in the United States, and that receipts and expenditures are being made only in accordance with authorizations of the management of the Managing Owner; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of assets that could have a material effect on the financial statements of the Trust or any Series.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. All internal control systems, no matter how well designed, have inherent limitations, including the possibility of human error and the circumvention of overriding controls. Accordingly, even effective internal control over financial reporting can provide only reasonable assurance with respect to financial statement preparation. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

Management assessed the effectiveness of the internal control over financial reporting for the Trust and each Series as of December 31, 2012, based on the framework set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in its report entitled Internal Control-Integrated Framework. Based on that assessment, management concluded that, as of December 31, 2012, the internal control over financial reporting for the Trust and each Series is effective based on the criteria established in Internal Control-Integrated Framework.

This annual report does not include an attestation report of the Trust’s independent registered public accounting firm regarding internal control over financial reporting. Management’s report was not subject to attestation by the Trust’s independent registered public accounting firm pursuant to the rules of the SEC that permit the Trust to provide only management’s report in this annual report.

Changes in Internal Control Over Financial Reporting.

Effective April 1, 2012, the Managing Owner transferred administration of the daily NAV to BNP Financial Services. The Managing Owner performed testing of the conversion to BNP Financial Services that included evaluating parallel production to determine that internal controls were designed, implemented and were operating in a manner to produce an accurate and timely NAV. The Managing Owner performed additional due diligence review in selecting BNP Financial Services as the administrator of daily NAV for the Trust. Subsequent to transition, the Managing Owner continues to re-perform the daily NAV processing and performs a suite of analytics to ensure the NAV is complete, accurate and timely. In addition to the analytics, the Managing Owner reviews the NAV, for accuracy and completeness, approving a series of key data reports prior to publication of the final daily NAV for the series of the Trust.

Effective July 17, 2012, the Managing Owner transferred cash custody of the Trust’s cash to US Bank Institutional Trust & Custody. The Managing Owner performed significant due diligence on US Bank Institutional Trust & Custody prior to selection of this custodial services provider. All cash transactions for the Trust, effective July 17, 2012, are now processed by the custodian with a dual authorization process from the Managing Owner.

Effective June 11, 2012, the Managing Owner transferred investor subscription and redemption processing and cash handling for the Trust to Phoenix American Financial Services, Inc. The Managing Owner performed significant due diligence on Phoenix American Financial Services prior to selection of the service provider to take over this service area. The Managing Owner performed parallel testing of the process prior to transition and continued to shadow this process through the end of the second quarter of 2012. Phoenix American Financial Services took over full transfer agency responsibility and functions, in addition to the services noted prior, effective October 17, 2012. The Managing Owner continues to provide oversight and monitoring of Phoenix American Financial Services in their capacity as transfer agent for the Trust.

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Scope of Exhibit 31 Certifications

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

Item 9B. OTHER INFORMATION.

None.

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Part III

Item 10. DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE.

The Trust has no directors or executive officers and also does not have any employees. The Trust is managed solely by Equinox Fund Management, LLC, a Delaware limited liability company formed in June 2003, in the capacity as managing owner. The Managing Owner became registered with the CFTC as CPO as of August 6, 2003, and has been a member in the National Futures Association (the “NFA”), in such capacity since that date.

Principals of the Managing Owner

The current officers and directors of the Managing Owner are as follows:

Robert J. Enck is the President, Chief Executive Officer and Chairman and Member of the Executive Committee of the Managing Owner. Mr. Enck has been listed as a principal of the Managing Owner since July 2007. Mr. Enck joined the Managing Owner on March 1, 2007, with more than 20 years of extensive management experience with large, highly regulated health care organizations such as Bristol-Myers Squibb and Quintiles as well as with more entrepreneurial venture capital funded organizations. Most recently, from March 2003 to March 2007, Mr. Enck was the Senior Managing Director of The Hermes Group LLC, an advisory firm that specialized in management advisory services, as well as merger and acquisition-related services. At the Hermes Group, Mr. Enck was a member of the ownership team that acquired Ascendia Brands (formerly Lander Company), a $200 million health and beauty care company. As part of this team, Mr. Enck focused on acquisitions, marketing, outsourcing initiatives and the reverse merger of Lander into a public company. Prior to joining Hermes, from March 2001 to March 2003, Mr. Enck served as a General Manager and Vice President within Quintiles Transnational, a multi-national pharmaceutical services firm with nearly two billion dollars in annual revenues. Mr. Enck joined Quintiles as a result of Quintiles’ acquisition of Beansprout Networks, where Mr. Enck served as CEO. As CEO of Beansprout, Mr. Enck conceived of and executed a dramatic refocus of the company and engineered the successful transaction with Quintiles. Prior to joining Beansprout, from September 1998 to March 2001, Mr. Enck was President of Rx Remedy Information Services, a company focused on providing pharmaceutical firms with longitudinal patient-reported health care information. Before that, Mr. Enck was with Summit Medical Systems from January 1994 to September 1998, where he held a number of senior-level positions, including President and General Manager of its subsidiary, Medical Information Systems (MIS), as well as Vice President of Sales and Marketing of parent company, Summit. Mr. Enck joined Summit when it was a private firm and was a member of the management team that grew the business and conducted a successful IPO. Additionally, Mr. Enck served as President of MIS, where he executed its sale to United Healthcare. Earlier, he spent nine years with Bristol-Myers Squibb and held management positions in the areas of managed care, government programs and sales management. Mr. Enck holds a B.S. degree in Natural Sciences from St. John’s University, Collegeville, MN and an MBA in Management from the University of St. Thomas, St. Paul, MN.

Richard E. Bornhoft is the Chief Investment Officer of the Managing Owner. Mr. Bornhoft has been listed as a principal and registered as an associated person of the Managing Owner since August 2003. Mr. Bornhoft also is President of The Bornhoft Group Corporation, or The Bornhoft Group, and has been listed as a principal and registered as an associated person of The Bornhoft Group since September 1985 and November 1985, respectively. Mr. Bornhoft is also a principal of Bornhoft Group Securities Corporation, a registered broker/dealer. Mr. Bornhoft was a principal of SectorQuant Capital Management, LLC an investment adviser registered under the Investment Advisers Act from July 2002 until March 2009. Mr. Bornhoft has over 25 years of experience in advising both private and institutional clientele in the alternative investment industry, beginning his career in June 1979. The Bornhoft Group was formed in 1985 as an investment management firm, providing alternative investments (i.e., investments other than long-only investments in publicly-traded stocks, bonds and cash-equivalent securities) to institutions and high net worth investors. Over the past two decades, Mr. Bornhoft has been responsible for the planning and execution of The Bornhoft Group’s business strategy. This responsibility has included such tasks as the design and implementation of the asset allocation, valuation and risk management systems, and the management of client assets into alternative investment products and services. His company has designed and operated managed futures portfolios for approximately 20 pension plans, corporations and banking institutions throughout the world. From March 1990 to June 1997, Mr. Bornhoft was a principal and associated person of Hart-Bornhoft Group, Inc, a registered CTA and CPO. From July 1996 to September 2000, Mr. Bornhoft was a principal and associated person of Covenant Portfolio Management Inc., a registered CTA and CPO, and from December 1997 to March 2001, Mr. Bornhoft was a principal and associated person of Warwick Capital Management, Inc., a registered CTA. From June 1998 to August 2001, Mr. Bornhoft was a principal and associated person of The Bornhoft Advisory Group Corporation, a registered CTA. Prior to forming The Bornhoft Group in September 1985, from February 1983 to August 1985, Mr. Bornhoft was Vice-President of Product Development for the Managed Account Corporation, an investment-consulting firm that offered managed futures products to its clientele. From June 1979 to August 1985, he held various positions at a guaranteed introducing broker of Geldermann, Inc., a Chicago-based futures brokerage firm and registered FCM, including a Denver branch manager. Additional activities included developing managed futures trading systems and advising client assets in managed futures. He has served on numerous arbitration boards and various committees of certain regulatory and industry organizations and is a frequent speaker at international conferences and symposiums on alternative investments. He has written numerous articles in leading financial publications and is a contributing author to The Handbook of Managed Futures – Performance, Evaluation and Analysis (McGraw-Hill, 1997) and Searching for Alpha—The Quest for Exceptional Investment Performance (Wiley, 2000). Mr. Bornhoft was a founding principal of Morningstar Hedge Inc. He currently holds SEC/FINRA Series 7, 24 and 63 registrations, in addition to a CFTC/NFA Series 3 registration.

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S. Brent Bales is the Principal Financial Officer and Principal Accounting Officer of the Managing Owner. Mr. Bales has been listed as a principal of the Managing Owner since August 2003. Mr. Bales is also the Vice President of Finance for The Bornhoft Group. Mr. Bales joined The Bornhoft Group in June 2000 and has been listed as a principal thereof since December 2001. Prior to that, from June 1992 through June 2000, he was employed as the Controller of Colorado Pen Company. Mr. Bales’ responsibilities include supervision of all accounting activities, valuation of client portfolios and monitoring of risk management systems. Mr. Bales has over 25 years of experience in finance, accounting and the operation of businesses, as well as over 15 years of experience in senior management positions with various start-up and developmental businesses. His past experience includes tenures with Touche Ross & Co. and other corporations with responsibilities that encompassed auditing, revenue and cost accounting, cash management and tax audit representation. Mr. Bales received his Bachelor’s degree in Accounting in 1973 from University of Denver and his Certified Public Accountant certification in 1977.

Frank J. Codey is the Chief Operating Officer of the Managing Owner. Mr. Codey joined the Managing Owner in August 2011 and is responsible for the functional operations and infrastructure, support strategy, and third-party relationships of the Managing Owner. Mr. Codey has 25 years of experience in the financial services industry in senior operations and administrative roles. He spent most of his career at Bear Stearns & Co. Inc., an investment bank, from February 1987 until its merger with JP Morgan in June 2008. During this tenure, he held certain operations management roles and managed the Fixed Income Prime Brokerage business as well as other fee-based service offerings as a Senior Managing Director. In conjunction with the merger, Mr. Codey joined JP Morgan as an Executive Director with oversight for the Fixed Income Securities Prime Brokerage businesses of both firms. In June 2009, Mr. Codey left JP Morgan and started his own consulting company, The Colt Group, LLC, which provides advisory services to hedge funds and broker-dealers in the areas of reorganization, operational infrastructure and controls, risk management, and financing and liquidity management. Mr. Codey served as the Director of Operations at Braver Stern Securities LLC, a broker-dealer specializing in residential and commercial mortgage-backed securities from April 2010 until March 2011. Mr. Codey holds a BS in Business Administration with a concentration in Finance from Boston University, and securities licenses Series 7, 24, and 63.

Jason H. Gerb is the Chief Compliance Officer of the Managing Owner. Mr. Gerb joined the Managing Owner in July, 2011 and has been listed as a principal of the Managing Owner since October, 2011. Mr. Gerb is responsible for all compliance and regulatory oversight at Equinox. His duties include implementing and revising the necessary systems, policies, and procedures for compliance with all applicable securities laws and regulations. Prior to joining Equinox in 2011, Mr. Gerb spent six years with FINRA as a Principal Examiner, where he led teams conducting complex examinations of member firms’ operations and sales practices for compliance with NASD, FINRA, MSRB, and SEC rules and regulatory guidelines. He was also a member of FINRA’s national Regulatory Expert team concentrating on complex mutual fund and variable product sales practice issues. Mr. Gerb was employed with FINRA from May, 2005 until July, 2011. Mr. Gerb holds a Certified Mutual Fund Specialist (CMFS) designation from the Boston Institute of Finance and is a member of the Association of Certified Fraud Examiners (ACFE) and the National Society of Compliance Professionals (NSCP). He also holds the Series 7, 24, and 66 licenses. Mr. Gerb graduated from Montclair State University with a BA in Political Science and a minor in Pre-Law.

Executive Committee of the Managing Owner

The Executive Committee is responsible for the general oversight of the Managing Owner’s business and the Frontier Fund and functions like a board of directors of a corporation. The members of the Executive Committee are Richard E. Bornhoft, David DeMuth and Robert J. Enck.

Robert J. Enck—Mr. Enck’s biography appears above under the caption “The Managing Owner—Principals of the Managing Owner.”

Richard E. Bornhoft—Mr. Bornhoft’s biography appears above under the caption “The Managing Owner—Principals of the Managing Owner.”

David P. DeMuth is a member of the Executive Committee of the Managing Owner. In May 2006, he co-founded CFO Consulting Partners LLC, an entity which provides interim CFO services to public and private companies. Prior to co-founding CFO Consulting Partners LLC, he was an independent consultant providing accounting and risk management services from March 2002 to April 2006, Interim Co-Chief Financial Officer and Treasurer at Kodak Polychrome Graphics (a $2 billion global manufacturer of graphic arts materials) from September 1999 to March 2002, CFO of Troy Corporation (a $150 million global specialty chemical manufacturer) from June 1996 to September 1999, Division Vice President of Continental Grain Company (a multi-billion provider of commodities and financial services) from August 1990 to June 1996, Treasurer of National Starch and Chemical Company (a $3 billion global specialty chemical manufacturer) from March 1986 to August 1990, and Director of Tax Services at PepsiCo Inc. (a multi-billion global consumer products (beverage and food) company) from May 1980 to March 1986. His industry experience includes

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technology, real estate development, financial services, specialty chemicals, global manufacturing/distribution, graphic arts and consumer products. His global focus is Risk Management, Internal Controls, Structured Capital Market Transactions and Regulatory Compliance. He has developed complex global strategies to manage financial reporting, financial and operations risks and compliance with regulatory authorities (SEC, tax, etc.). He was an accountant with KPMG, an accounting firm, from September 1974 to May 1980. Mr. DeMuth holds a BS in Accounting from Loyola University, and an MBA in Finance from LaSalle University. He is a Certified Public Accountant (CPA).

The controlling member of the Managing Owner with a larger than 10% ownership interest is Plimpton Capital, LLC which has been listed as a principal of the Managing Owner since August 2003. The Bornhoft Group Corporation was listed as a principal of the Managing Owner from August 2003 until June 2012.

There is not currently any material administrative, civil, or criminal action—whether pending, on appeal or concluded—against the Trust, its principals or the Managing Owner.

Section 16(a) Beneficial Ownership Reporting Compliance

Section 16 of the Exchange Act requires an issuer’s directors and certain executive officers and certain other beneficial owners of the issuer’s equity securities to periodically file notices of changes in their beneficial ownership with the SEC. The Trust does not have any directors or officers. However, the officers of the Managing Owner, as well as the Managing Owner itself, file such notices regarding their beneficial ownership in the Trust, if any.

Audit Committee Financial Expert

The Trust does not have a board of directors but instead is operated and managed by the Managing Owner. The Executive Committee of the Managing Owner has created an audit committee of the Trust consisting of all of the Executive Committee’s members. The Executive Committee of the Managing Owner, in its capacity as the audit committee for the Trust, has determined that Robert J. Enck, the Chief Executive Officer of the Managing Owner, qualifies as an “audit committee financial expert” in accordance with the applicable rules and regulations of the SEC. Mr. Enck is not independent of management.

Code of Ethics

The Trust has not adopted a code of ethics because it does not have any officers or employees. The Managing Owner has adopted a code of ethics for employees and principals of the Managing Owner.

In general, the Managing Owner, its principals, and all other persons associated with the Managing Owner shall observe high standards of commercial honor and just and equitable principles of trade in the conduct of their commodity futures business. All employees including anyone not on the regular payroll but filling in on a temporary basis shall be held to the highest standards of honesty and integrity. This conduct will be valid for all duties involved with the daily management and responsibilities as Managing Owner of the Trust.

Employees will conduct their daily duties in a responsible manner to ensure that all customers are treated fairly and equally. The reputation of the Managing Owner is crucial to its business, and understanding that the Managing Owner will make every effort to ensure the reputation of the Managing Owner is not tarnished in any way. Employees are urged to seek the advice of their supervisor for any questions applicable to this code relative to their individual circumstances.

Item 11. EXECUTIVE COMPENSATION.

The Trust has no directors or officers. Its affairs are managed solely by the Managing Owner, which receives compensation for its services from the Trust, as follows:

Management Fees

Each Series of Units pays to the Managing Owner a monthly management fee equal to a certain percentage of the 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; 0.75% for the Frontier Diversified Series; 2.0% for the Frontier Masters Series, Winton Series, and Currency Series; 2.5% for the Winton/Graham Series and Tiverton/Graham/Transtrend Series; and 3.5% for the Frontier Long/Short Commodity Series. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) for each Series.

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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 Frontier Diversified Series, Frontier Masters Series, Balanced Series, Winton/Graham Series, Tiverton/Graham/Transtrend Series, Currency Series and Frontier Long/Short Commodity Series may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period these 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 Frontier Diversified Series, Balanced Series and 20% for the Frontier Masters Series, Winton Series, Currency Series, Winton/Graham Series, Tiverton/Graham/Transtrend Series and Frontier Long/Short Commodity Series. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series.

Interest Income

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, Tiverton/Graham/Transtrend Series, Currency Series and Winton/Graham Series. For the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series, and Balanced Series (Class 1a and Class 2a only) 20% of the total interest allocated to each Series is paid to the Managing Owner.

Other Fees

The Frontier Long/Short Commodity Series (Classes 1, 2 and 3), Balanced Series, Currency Series, Tiverton/Graham/Transtrend Series, Winton Series and Winton/Graham Series pays to the Managing Owner a monthly trading fee, or FCM Fee, up to 1/12^th of 0.75% of such Series’ NAV, calculated daily. The Frontier Diversified Series, Frontier Long/Short Commodity Series (Classes 1a and 2a) and Frontier Masters Series pays to the Managing Owner a monthly trading fee, or FCM Fee, up to 1/12^th of 2.25% and a custodial/due diligence fee of 1/12^th of 0.12% of such Series’ NAV, calculated daily. Also, a monthly service fee equal to 3.0% of the NAV, calculated daily, is paid to the Managing Owner. The Managing Owner pays the service fee to Selling Agents to assist in the making of offers and sales of Units and provide customary ongoing services including advising Limited Owners. To the extent that an affiliate of the Managing Owner provides such services, it may receive service fees in proportion to the valuation of its clients’ accounts.

Item 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS.

The Trust has no officers or directors. Its affairs are managed solely by the Managing Owner. Set forth in the table below is information regarding the beneficial ownership of Units of the principals of the Managing Owner as of December 31, 2012:

Equinox Fund Management, LLC*:

Series/Class of Units	Units Owned		Percentage Ownership of Each Class
Frontier Diversified Series – Class 1		275		0.04	%
Frontier Diversified Series – Class 2		14,301		2.56	%
Frontier Long/Short Commodity Series – Class 1a		117		0.07	%
Frontier Long/Short Commodity Series – Class 2		3,083		6.51	%
Frontier Long/Short Commodity Series – Class 2a		2,222		2.36	%
Frontier Masters Series – Class 1		275		0.08	%
Frontier Masters Series – Class 2		5,627		3.59	%
Balanced Series – Class 2		21,620		6.27	%
Balanced Series – Class 2a		1,237		15.24	%
Currency Series – Class 2		29		3.91	%
Tiverton/Graham/Transtrend Series – Class 2		70		0.23	%
Winton Series – Class 2		207		3.18	%
Winton/Graham Series – Class 2		428		1.27	%

* The Managing Owner is required to maintain at least a 1% interest in the aggregate capital as well as in certain series, profits and losses of the Trust. The Managing Owner’s interest of $6,287,766 in the aggregate capital of the Trust of $519,985,723 at December 31, 2012 is 1.21%.

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Item 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS.

The Trust has and will continue to have certain relationships with the Managing Owner and its affiliates. However, there have been no direct financial transactions between the Trust and the directors or officers of the Managing Owner. See “Item 11. Executive Compensation” and “Item 12. Security Ownership of Certain Beneficial Owners and Management.”

Item 14. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

The following table sets forth the fees billed to Equinox Fund Management, LLC, the Managing Owner of the Trust, for professional services provided by McGladrey LLP, the Trust’s independent registered public accounting firm, for the years ended December 31, 2012 and 2011. In accordance with the prospectus of the Trust, the Managing Owner has agreed to pay all costs of the Trust, and the Trust therefore bears no direct obligation to its independent registered public accounting firm.

FEE CATEGORY	2012		2011
Audit Fees(1)	$	320,500	$	368,500
Audit-Related Fees(2)	$	0	$	0
Tax Fees(3)	$	0	$	0
All Other Fees(4)	$	0	$	0
TOTAL FEES	$	320,500	$	368,500

(1) Audit Fees consist of fees for professional services rendered for the audit of the Trust’s financial statements and review of financial statements included in the Trust’s quarterly reports, as well as services normally provided by the independent accountant in connection with statutory and regulatory filings or engagements.

(2) Audit-Related Fees consist of fees for assurance and related services by McGladrey LLP that are reasonably related to the performance of the audit or review of the Trust’s financial statements and are not reported under “Audit Fees,” above.

(3) Tax Fees consist of fees for professional services rendered for tax compliance, tax advice and tax planning.

(4) All Other Fees consist of any fees not otherwise reported in this table

The Managing Owner approved all the services provided by McGladrey LLP to the Trust described above. The Managing Owner has determined that the payments made to McGladrey LLP for these services during 2012 and 2011 are compatible with maintaining that firm’s independence. The Managing Owner pre-approves all audit and allowed non-audit services of the Trust’s independent registered public accounting firm, including all engagement fees and terms.

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Part IV

Item 15. EXHIBITS AND FINANCIAL STATEMENT SCHEDULES

(a)(1) and (2)	The response to these portions of Item 15 is submitted as a separate section of this report commencing on page F-1.
(a)(3)	Exhibits (numbered in accordance with Item 601 of Regulation S-K).
1.1	Form of Selling Agent Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents****
1.2	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents**
1.3	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents***
1.4	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents***
1.5	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents****
1.6	Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents****
4.1	Declaration of Trust and Amended and Restated Trust Agreement of the Registrant (annexed to the Prospectus as Exhibit A)****
4.2	Form of Subscription Agreement (annexed to the Prospectus as Exhibit B)****
4.3	Form of Exchange Request (annexed to the Prospectus as Exhibit C)****
4.4	Form of Request for Redemption (annexed to the Prospectus as Exhibit D)****
4.5	Form of Request for Additional Subscription (annexed to the Prospectus as Exhibit E)****
4.6	Form of Application for Transfer of Ownership / Re-registration Form (annexed to the Prospectus as Exhibit F)****
4.7	Form of Privacy Notice (annexed to the Prospectus as Exhibit G)****
10.1	Form of Amended and Restated Escrow Agreement among the Registrant, Equinox Fund Management, LLC, Bornhoft Group Securities Corporation and the U.S. Bank National Association, Denver Colorado***
10.2	Form of Brokerage Agreement between each Trading Company and UBS Securities, LLC*
10.21	Form of Brokerage Agreement between each Trading Company and Banc of America Futures Incorporated*
10.22	Form of Brokerage Agreement between the Managing Owner, acting as agent on behalf of certain Trading Companies, and Deutsche Bank AG London**
10.23	Form of Brokerage Agreement between each Trading Company and Man Financial Inc. ***
10.24	Form of Amendment Agreement between the Managing Owner, acting as agent on behalf of certain Trading Companies, and Deutsche Bank AG London***
10.25	Form of Brokerage Agreement between each Trading Company and Fimat USA, LLC****
10.3	Form of Advisory Agreement among the Registrant, the Trading Company, Equinox Fund Management, LLC, and each Trading Advisor****
10.32	Form of License Agreement among Jefferies Financial Products, LLC, Reuters America LLC, the Registrant and Equinox Fund Management, LLC***
10.33	Form of License Agreement among Jefferies Financial Products, the Registrant and Equinox Fund Management, LLC***
10.34	Form of Guaranty made by Jefferies Group, Inc. in favor of Frontier Trading Company VIII, LLC***
10.35	Form of International Swaps and Derivatives Association Master Agreement, including all Schedules thereto and the Credit Support Annex thereto entered into for the Currency Series of the Registrant***

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10.37	Form of International Swaps and Derivatives Association Master Agreement, including all Schedules thereto and the Credit Support Annex thereto entered into for the Balanced Series of the Registrant+
10.4	Form of Cash Management Agreement between Equinox Fund Management, LLC and Merrill Lynch**
10.41	Form of Cash Management Agreement between Equinox Fund Management, LLC and STW Fixed Income Management Ltd.***
10.5	Form of single-member limited liability company operating agreement governing each Trading Company***
21.1	Subsidiaries of Registrant. (filed herewith)
23.1	Consent of Independent Registered Public Accounting Firm
31.1	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.2	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
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)
32.6	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)
32.8	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)
32.12	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)
99.1	Prospectus of The Frontier Fund++
101.INS^	XBRL Instance Document
101.SCH^	XBRL Taxonomy Extension Schema

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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 as like-numbered exhibit to the initial filing or the first, second, third or fourth pre-effective amendment or the first or second post-effective amendment to Registration Statement No. 333-108397 and incorporated by reference herein.

** Previously filed as like-numbered exhibit to the initial filing or the first pre-effective amendment or the first or second post-effective amendment to Registration Statement No. 333-119596 and incorporated by reference herein.

*** Previously filed as like-numbered exhibit to the initial filing or the first pre-effective amendment or the first post-effective amendment to Registration Statement No. 333-129701 and incorporated by reference herein.

**** Previously filed as like-numbered exhibit to the initial filing or the first pre-effective amendment or the first post-effective amendment to Registration Statement No. 333-140240 and incorporated by reference herein.

+ Previously filed as like-numbered exhibit on Form 10-Q for the period ended June 30, 2008.

++ Previously filed on January 31, 2013 pursuant to Rule 424(b)(3) of the Securities Act (File No. 333-164629).

^ Submitted electronically herewith.

Pursuant to applicable securities laws and regulations, the Trust is deemed to have complied with the reporting obligation relating to the submission of interactive data files in Exhibit 101 to this report and is not subject to liability under any anti-fraud provisions of the federal securities laws as long as the Trust has made a good faith attempt to comply with the submission requirements and promptly amends the interactive data files after becoming aware that the interactive data files fails to comply with the submission requirements. Users of this data are advised that, pursuant to Rule 406T, these interactive data files are deemed not filed and otherwise are not subject to liability.

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INDEX TO THE SERIES FINANCIAL STATEMENTS

Report of Independent Registered Public Accounting Firm	F-2
Statements of Financial Condition as of December 31, 2012 and 2011	F-3
Condensed Schedules of Investments as of December 31, 2012	F-6
Condensed Schedules of Investments as of December 31, 2011	F-14
Statements of Operations for the years ended December 31, 2012, 2011 and 2010	F-22
Statements of Changes in Owners’ Capital for the years ended December 31, 2012, 2011 and 2010	F-25
Statements of Cash Flows for the years ended December 31, 2012, 2011 and 2010	F-35
Notes to Financial Statements	F-40
INDEX TO THE TRUST FINANCIAL STATEMENTS (1)
Report of Independent Registered Public Accounting Firm	F-78
Consolidated Statements of Financial Condition as of December 31, 2012 and 2011	F-79
Consolidated Condensed Schedules of Investments as of December 31, 2012	F-80
Consolidated Condensed Schedules of Investments as of December 31, 2011	F-82
Consolidated Statements of Operations for the years ended December 31, 2012, 2011 and 2010	F-84
Consolidated Statements of Changes in Owners’ Capital for the years ended December  31, 2012, 2011 and 2010	F-85
Consolidated Statements of Cash Flows for the years ended December 31, 2012, 2011 and 2010	F-86
Notes to Consolidated Financial Statements	F-87
INDEX TO TRADING COMPANY FINANCIAL STATEMENTS (2)
Report of Independent Registered Public Accounting Firm	F-103
Statements of Financial Condition as of December 31, 2012 and 2011	F-104
Condensed Schedules of Investments as of December 31, 2012	F-107
Condensed Schedules of Investments as of December 31, 2011	F-115
Statements of Operations for the years ended December 31, 2012, 2011 and 2010	F-123
Statements of Changes in Members’ Equity for the years ended December 31, 2012, 2011 and 2010	F-127
Statements of Cash Flows for the years ended December 31, 2012, 2011 and 2010	F-129
Notes to Financial Statements	F-133

(1) These financial statements represent the consolidated financial statements of the Series of the Trust.

(2) The Trust holds a majority of the equity interests in the various Trading Companies, which are the trading vehicles established for the various Series of Units of the Trust. In the financial statements of the Trust, Trading Companies in which a Series has a majority equity interest are consolidated by such Series, and investments in Trading Companies in which a Series does not have a controlling or majority interest are accounted for under the equity method of accounting, which approximates fair value and are carried in the statement of financial condition of such Series at fair value. In addition, financial statements of each of the unconsolidated Trading Companies are included in accordance with Rule 3-09 of Regulation S-X under the Securities Act of 1933, as amended. Although not required pursuant to Rule 3-09 of Regulation S-X under the Securities Act of 1933, financial statements of each consolidated Trading Company of the Trust are also included in the interest of providing a more complete presentation.

F-1

Report of Independent Registered Public Accounting Firm

To the Executive Committee and Unitholders

The Frontier Fund

We have audited the accompanying statements of financial condition, including the condensed schedules of investments, of the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series, Tiverton/Graham/Transtrend Series (formerly Berkeley/Graham/Tiverton Series), Currency Series, Winton Series and the Winton/Graham Series of The Frontier Fund (collectively, the Series) as of December 31, 2012 and 2011, and the related statements of operations, changes in owners’ capital, and cash flows for each of the three years in the period ended December 31, 2012. These financial statements are the responsibility of the Series’ management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Series are not required to have, nor were we engaged to perform an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Series’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series, Tiverton/Graham/Transtrend Series (formerly Berkeley/Graham/Tiverton Series), Currency Series, Winton Series and the Winton/Graham Series of The Frontier Fund as of December 31, 2012 and 2011, and the results of their operations and their cash flows for each of the three years in the period ended December 31, 2012, in conformity with U.S. generally accepted accounting principles.

/s/ McGladrey LLP

Denver, Colorado

April 1, 2013

F-2

The Series of the Frontier Fund

Statements of Financial Condition

December 31, 2012 and 2011

	Frontier Diversified				Frontier Masters				Frontier Long/Short
	Series				Series				Commodity Series
	12/31/2012		12/31/2011		12/31/2012		12/31/2011		12/31/2012			12/31/2011
ASSETS
Cash and cash equivalents	$	2,681,889	$	4,976,749	$	1,542,661	$	2,234,716	$	1,710,151		$	3,045,849
U.S. Treasury securities, at fair value		3,853,000		16,557,304		2,212,909		7,232,546		2,388,540			9,466,240
Custom time deposits		66,875,140		75,318,509		38,288,877		32,900,559		41,327,739			43,061,546
Receivable from futures commission merchants		—		—		—		5,107,749		14,770,973			47,822,021
Open trade equity, at fair value		—		—		—		792,372		—			—
Swap contracts, at fair value		—		131,004		—		57,225		—			74,898
Investments in unconsolidated trading companies, at fair value		42,826,426		38,240,171		9,771,797		4,717,914		3,675,238			4,081,988
Prepaid service fees—Class 1		40,235		162,977		57,276		50,950		42,004			96,503
Interest receivable		54,006		228,877		31,017		99,978		33,479			130,855
Receivable from related parties		114,481		16,362		38,735		—		549			4,071
Other assets		—		10,129		—		6,162		—			9,592
Total Assets	$	116,445,177	$	135,642,082	$	51,943,272	$	53,200,171	$	63,948,673		$	107,793,563
LIABILITIES & CAPITAL
LIABILITIES
Open trade deficit, at fair value	$	—	$	—	$	—	$	—	$	819,535		$	25,934,678
Options written, at fair value		—		—		—		—		928,690			—
Pending owner additions		23,900		243,088		15,449		22,716		62,537			40,966
Owner redemptions payable		521,439		321,138		141,453		4,996		344,538			84,705
Incentive fees payable to Managing Owner		189,903		522,033		—		—		—			127,052
Management fees payable to Managing Owner		150,188		180,232		118,274		117,541		277,379			284,677
Interest payable to Managing Owner		41,394		53,915		20,028		23,408		26,319			30,614
Trading fees payable to Managing Owner		228,169		269,021		104,852		105,278		79,400			83,646
Trailing service fees payable to Managing Owner		89,177		76,877		47,423		41,911		24,074			22,920
Payables to related parties		19,435		—		9,635		56		34,037			—
Other liabilities		—		2,174		—		856		—			—
Total Liabilities		1,263,605		1,668,478		457,114		316,762		2,596,509			26,609,258
CAPITAL
Managing Owner Units—Class 1		25,959		27,334		27,804		27,569		—			—
Managing Owner Units—Class 1a		—		—		—		—		12,732			14,271
Managing Owner Units—Class 2		1,436,973		1,486,740		605,508		589,893		449,011			499,336
Managing Owner Units—Class 2a		—		—		—		—		256,560			282,740
Limited Owner Units—Class 1		58,973,977		72,397,572		34,575,695		34,062,567		—			4,159,047
Limited Owner Units—Class 1a		—		—		—		—		18,970,806			18,877,124
Limited Owner Units—Class 2		54,744,663		60,061,958		16,277,151		18,144,968		6,449,774			8,689,426
Limited Owner Units—Class 2a		—		—		—		—		10,625,551			10,628,724
Limited Owner Units—Class 3		—		—		—		—		19,761,047			27,810,058
Total Owners’ Capital		115,181,572		133,973,604		51,486,158		52,824,997		56,525,481			70,960,726
Non-Controlling Interests		—		—		—		58,412		4,826,683			10,223,579
Total Capital		115,181,572		133,973,604		51,486,158		52,883,409		61,352,164			81,184,305
Total Liabilities and Capital	$	116,445,177	$	135,642,082	$	51,943,272	$	53,200,171	$	63,948,673		$	107,793,563
Units Outstanding
Class 1		625,015		728,645		342,249		340,052		N/A			30,551
Class 1a		N/A		N/A		N/A		N/A		174,830			155,216
Class 2		559,127		592,037		156,889		178,710		47,367			56,731
Class 2a		N/A		N/A		N/A		N/A		94,257			85,760
Class 3		N/A		N/A		N/A		N/A		135,642			171,708
Net Asset Value per Unit
Class 1	$	94.40	$	99.40	$	101.11	$	100.25	$	135.41	(1)	$	136.13
Class 1a		N/A		N/A		N/A		N/A	$	108.58		$	121.71
Class 2	$	100.48	$	103.96	$	107.61	$	104.83	$	145.65		$	161.97
Class 2a		N/A		N/A		N/A		N/A	$	115.45		$	127.23
Class 3		N/A		N/A		N/A		N/A	$	145.69		$	161.96

(1) Class 1 operations ceased July 18, 2012 and all remaining Class 1 Units were exchanged for Class 3 Units.

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

F-3

The Series of the Frontier Fund

Statements of Financial Condition

December 31, 2012 and 2011

	Balanced Series					Tiverton/Graham/ Transtrend Series (1)				Currency Series
	12/31/2012			12/31/2011		12/31/2012		12/31/2011		12/31/2012		12/31/2011
ASSETS
Cash and cash equivalents	$	4,111,855		$	9,758,138	$	664,310	$	1,352,378	$	33,887	$	182,875
U.S. Treasury securities, at fair value		5,951,633			29,168,216		961,568		4,347,398		49,052		326,517
Custom time deposits		102,978,191			132,685,042		16,637,538		19,776,137		848,715		1,485,313
Receivable from futures commission merchants		92,043,593			74,736,294		—		—		—		—
Open trade equity, at fair value		—			13,104,541		—		—		—		—
Swap contracts, at fair value		22,289,478			23,819,312		—		34,397		—		2,583
Investments in unconsolidated trading companies, at fair value		20,193,128			18,255,809		7,373,509		8,234,047		1,801,498		2,352,121
Investment in Berkeley Quantitative Colorado Fund LLC, at fair value		—			—		—		6,270,844		—		—
Interest receivable		83,422			403,201		13,478		60,095		688		4,514
Receivable from related parties		17,313			—		—		—		—		—
Other assets		34,301			48,273		—		7,914		—		497
Total Assets	$	247,702,914		$	301,978,826	$	25,650,403	$	40,083,210	$	2,733,840	$	4,354,420
LIABILITIES & CAPITAL
LIABILITIES
Open trade deficit, at fair value	$	672,511		$	—	$	—	$	—	$	—	$	—
Options written, at fair value		165,363			3,326,453		—		—		—		—
Pending owner additions		34,831			45,208		1,522		3,396		3,413		4,509
Owner redemptions payable		342,417			84,710		40,093		182,552		—		15,694
Incentive fees payable to Managing Owner		527,306			1,195,031		—		—		—		—
Management fees payable to Managing Owner		193,155			241,525		103,089		101,400		—		—
Interest payable to Managing Owner		330,341			397,864		42,764		68,021		3,889		5,681
Trading fees payable to Managing Owner		132,875			176,398		16,057		25,212		1,791		2,727
Trailing service fees payable to Managing Owner		332,942			435,380		54,702		87,016		3,510		6,285
Payables to related parties		1,490			2,408		47,535		268		112		52
Other liabilities		—			8,437		—		1,373		—		115
Total Liabilities		2,733,231			5,913,414		305,762		469,238		12,715		35,063
CAPITAL
Managing Owner Units—Class 2		3,225,784			3,351,608		7,013		7,878		2,134		2,563
Managing Owner Units—Class 2a		153,884			158,814		—		—		—		—
Limited Owner Units—Class 1		143,906,872			183,785,318		22,266,758		35,180,631		2,666,969		4,228,350
Limited Owner Units—Class 1a		—			2,536,559		—		—		—		—
Limited Owner Units—Class 2		48,233,784			60,020,959		3,070,870		4,425,463		52,022		88,444
Limited Owner Units—Class 2a		855,636			2,626,016		—		—		—		—
Limited Owner Units—Class 3a		3,776,790			2,952,802		—		—		—		—
Total Owners’ Capital		200,152,750			255,432,076		25,344,641		39,613,972		2,721,125		4,319,357
Non-Controlling Interests		44,816,933			40,633,336		—		—		—		—
Total Capital		244,969,683			296,065,412		25,344,641		39,613,972		2,721,125		4,319,357
Total Liabilities and Capital	$	247,702,914		$	301,978,826	$	25,650,403	$	40,083,210	$	2,733,840	$	4,354,420
Units Outstanding
Class 1		1,237,173			1,476,131		283,073		386,533		46,863		59,997
Class 1a		N/A			23,388		N/A		N/A		N/A		N/A
Class 2		344,894			408,793		30,918		39,641		742		1,039
Class 2a		8,117			21,697		N/A		N/A		N/A		N/A
Class 3a		30,469			23,005		N/A		N/A		N/A		N/A
Net Asset Value per Unit
Class 1	$	116.32		$	124.50	$	78.66	$	91.02	$	56.91	$	70.48
Class 1a	$	104.32	(2)	$	108.45		N/A		N/A		N/A		N/A
Class 2	$	149.20		$	155.02	$	99.55	$	111.84	$	72.95	$	87.61
Class 2a	$	124.36		$	128.35		N/A		N/A		N/A		N/A
Class 3a	$	123.96		$	128.36		N/A		N/A		N/A		N/A

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

(2) Class 1a operations ceased July 17, 2012 and all remaining Class 1a Units were exchanged for Class 3a Units.

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

F-4

The Series of the Frontier Fund

Statements of Financial Condition

December 31, 2012 and 2011

	Winton Series				Winton/Graham Series
	12/31/2012		12/31/2011		12/31/2012		12/31/2011
ASSETS
Cash and cash equivalents	$	1,249,455	$	2,051,272	$	536,159	$	1,156,042
U.S. Treasury securities, at fair value		1,808,547		7,821,927		776,073		3,839,855
Custom time deposits		31,292,395		35,581,630		13,428,015		17,467,347
Swap Contracts, at fair value		—		61,888		—		30,381
Investments in unconsolidated trading companies, at fair value		6,865,965		4,731,916		6,174,855		8,473,424
Interest receivable		25,350		108,125		10,878		53,079
Other assets		—		6,890		—		6,520
Total Assets	$	41,241,712	$	50,363,648	$	20,925,980	$	31,026,648
LIABILITIES & CAPITAL
LIABILITIES
Pending owner additions	$	15,044	$	18,811	$	3,976	$	5,763
Owner redemptions payable		22,467		10,618		18,231		15,451
Management fees payable to Managing Owner		86,138		90,559		63,642		100,311
Interest payable to Managing Owner		69,369		84,494		35,011		52,268
Trading fees payable to Managing Owner		26,041		31,302		13,148		19,427
Trailing service fees payable		62,556		78,044		38,116		57,141
Payables to related parties		563		319		317		356
Other liabilities		—		1,377		—		2,244
Total Liabilities		282,178		315,524		172,441		252,961
CAPITAL
Managing Owner Units—Class 2		32,721		34,276		51,683		55,553
Limited Owner Units—Class 1		30,645,208		38,345,799		16,680,498		24,783,519
Limited Owner Units—Class 2		10,281,605		11,668,049		4,021,358		5,934,615
Total Owners’ Capital		40,959,534		50,048,124		20,753,539		30,773,687
Non-Controlling Interests		—		—		—		—
Total Capital		40,959,534		50,048,124		20,753,539		30,773,687
Total Liabilities and Capital	$	41,241,712	$	50,363,648	$	20,925,980	$	31,026,648
Units Outstanding
Class 1		234,414		271,704		176,419		236,649
Class 2		65,159		70,575		33,753		46,183
Net Asset Value per Unit
Class 1	$	130.73	$	141.13	$	94.55	$	104.73
Class 2	$	158.30	$	165.82	$	120.67	$	129.70

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

F-5

The Series of the Frontier Fund

Condensed Schedules of Investments

December 31, 2012

	Frontier Diversified Series					Frontier Masters Series					Frontier Long/Short Commodity 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	%	$	(22,516	)		-0.04	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		892,015			1.95	%
Various base metals futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		(29,925	)		-0.05	%
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	%		857,585			1.40	%
Brent Crude Oil Settling 4/1/2013 (Number of Contracts: 497)		—		0.00	%		—		0.00	%		1,188,750			1.94	%
Brent Crude Oil Settling 9/1/2013 (Number of Contracts: 270)		—		0.00	%		—		0.00	%		729,410			1.19	%
Crude Oil Settling 2/1/2013 (Number of Contracts: 566)		—		0.00	%		—		0.00	%		1,837,974			3.00	%
Crude Oil Settling 2/1/2014 (Number of Contracts: 606)		—		0.00	%		—		0.00	%		1,784,120			2.91	%
Crude Oil Settling 4/1/2014 (Number of Contracts: 428)		—		0.00	%		—		0.00	%		1,628,500			2.65	%
Crude Oil Settling 8/1/2014 (Number of Contracts: 219)		—		0.00	%		—		0.00	%		630,550			1.03	%
Crude Oil Settling 1/1/2015 (Number of Contracts: 191)		—		0.00	%		—		0.00	%		722,766			1.18	%
Various energy futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		16,663			0.03	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		(13,842	)		-0.02	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		37,199			0.06	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		(3,574	)		-0.01	%
Various interest rates futures contracts (Mexico)		—		0.00	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (Oceanic)		—		0.00	%		—		0.00	%		20,049			0.03	%
Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		(357,780	)		-0.58	%
Various precious metals futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		(827	)		0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		285			0.00	%
Various soft futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		(968,793	)		-1.58	%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		2,499			0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		(33,084	)		-0.05	%
Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		83,003			0.14	%
Various stock index futures contracts (Africa)		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Oceanic)		—		0.00	%		—		0.00	%		10,863			0.02	%
Various stock index futures contracts (Mexico)		—		0.00	%		—		0.00	%		—			0.00	%
Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	9,011,890			14.70	%

F-6

	Frontier Diversified Series					Frontier Masters Series					Frontier Long/Short Commodity Series
Description	Value		% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)			Value			% of Total Capital (Net Asset Value)
OPTIONS PURCHASED *
Various energy futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	1,417,280			2.31	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		517,500			0.84	%
Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		966,540			1.58	%
Total Options Purchased	$	—		0.00	%	$	—		0.00	%	$	2,901,320			4.73	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	8,300			0.01	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		(1,111,581	)		-1.81	%
Various base metals futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		99,526			0.16	%
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	%		(1,309,564	)		-2.13	%
Brent Crude Oil, Settling 6/1/2013 (Number of Contracts: 424)		—		0.00	%		—		0.00	%		(1,182,720	)		-1.93	%
Crude Oil, Settling 4/1/2013 (Number of Contracts: 323)		—		0.00	%		—		0.00	%		(923,841	)		-1.51	%
Crude Oil, Settling 5/1/2013 (Number of Contracts: 166)		—		0.00	%		—		0.00	%		(669,526	)		-1.09	%
Crude Oil, Settling 6/1/2013 (Number of Contracts: 787)		—		0.00	%		—		0.00	%		(3,500,831	)		-5.71	%
Crude Oil, Settling 7/1/2013 (Number of Contracts: 290)		—		0.00	%		—		0.00	%		(1,400,082	)		-2.28	%
Crude Oil, Settling 3/1/2014 (Number of Contracts: 450)		—		0.00	%		—		0.00	%		(1,446,060	)		-2.36	%
Crude Oil, Settling 6/1/2014 (Number of Contracts: 449)		—		0.00	%		—		0.00	%		(1,477,983	)		-2.41	%
Crude Oil, Settling 9/1/2014 (Number of Contracts: 219)		—		0.00	%		—		0.00	%		(618,510	)		-1.01	%
Various energy futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (US)		—		0.00	%		—		0.00	%		12,197			0.02	%
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	%		24,219			0.04	%
Various interest rates futures contracts (Oceanic)		—		0.00	%		—		0.00	%		—			0.00	%
Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		59,128			0.10	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		703,810			1.15	%
Various soft futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		773			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 (Africa)		—		0.00	%		—		0.00	%		—			0.00	%

F-7

		Frontier Diversified Series					Frontier Masters Series					Frontier Long/Short Commodity Series
Description		Value		% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)			Value			% of Total Capital (Net Asset Value)
Various stock index futures contracts (Oceanic)			—		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	%	$	(12,732,745	)		-20.76	%
CURRENCY FORWARDS *		$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
Total Open Trade Equity (Deficit)		$	—		0.00	%	$	—		0.00	%	$	(819,535	)		-1.33	%
OPTIONS WRITTEN *
Various interest rates futures contracts (U.S.)		$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
Various currency futures contracts (U.S.)			—		0.00	%		—		0.00	%		(155,250	)		-0.25	%
Various energy futures contracts (U.S.)			—		0.00	%		—		0.00	%		(445,060	)		-0.73	%
Various soft futures contracts (U.S.)			—		0.00	%		—		0.00	%		(328,380	)		-0.54	%
Total Options Written		$	—		0.00	%	$	—		0.00	%	$	(928,690	)		-1.52	%
U.S. TREASURY SECURITIES
		Fair Value					Fair Value					Fair Value
	US Treasury Note 4.000% due 02/15/2015 (1)	$	3,853,000		3.35	%	$	2,212,909		4.30	%	$	2,388,540			3.89	%
Additional Disclosure on U.S. Treasury Securities		Face Value					Face Value					Face Value
	U.S. Treasury Note 4.000% due 02/15/2015 (1)		3,574,465					2,052,937					2,215,872
		Cost					Cost					Cost
	U.S. Treasury Note 4.000% due 02/15/2015 (1)	$	3,702,643				$	2,126,554				$	2,295,332

* 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 each Series based upon ownership in the cash management pool. See Note 2.

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

F-8

The Series of the Frontier Fund

Condensed Schedules of Investments

December 31, 2012

	Balanced Series						Tiverton/Graham/ Transtrend Series (2)					Currency 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.)	$	7,365			0.00	%	$	—		0.00	%	$	—		0.00	%
Various base metals futures contracts (Europe)		1,079,576			0.44	%		—		0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		(2,013,943	)		-0.82	%		—		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.)		618,362			0.25	%		—		0.00	%		—		0.00	%
Brent Curde Oil Settling 2/1/2013 (Number of Contracts: 735)		2,850,050			1.16	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		(285,562	)		-0.12	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		(62,247	)		-0.03	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		1,247,403			0.51	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		(146,326	)		-0.06	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Oceanic)		298,712			0.12	%		—		0.00	%		—		0.00	%
Various precious metals futures contracts (U.S.)		76,885			0.03	%		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		(888,222	)		-0.36	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)		(131,803	)		-0.05	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		(494,955	)		-0.20	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)		246,124			0.10	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		(1,219,796	)		-0.50	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Africa)		82,200			0.03	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Oceanic)		132,147			0.05	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		1,111,191			0.45	%		—		0.00	%		—		0.00	%
Total Long Futures Contracts	$	2,507,161			1.00	%	$	—		0.00	%	$	—		0.00	%
OPTIONS PURCHASED *
Various base metals futures contracts(Europe)	$	—			0.00	%	$	—		0.00	%	$	—		0.00	%
Various base metals futures contracts (U.S.)		—			0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts(U.S.)		—			0.00	%		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		—			0.00	%		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		—			0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		439,170			0.18	%		—		0.00	%		—		0.00	%
Total Options Purchased		439,170			0.18	%	$	—		0.00	%	$	—		0.00	%

F-9

	Balanced Series						Tiverton/Graham/ Transtrend Series (2)					Currency Series
Description	Value			% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	(57,925	)		-0.02	%	$	—		0.00	%	$	—		0.00	%
Various base metals futures contracts (Europe)		(3,453,452	)		-1.41	%		—		0.00	%		—		0.00	%
Various currency futures contracts (US)		1,732,960			0.71	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		—			0.00	%		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		(2,108,322	)		-0.86	%		—		0.00	%		—		0.00	%
Various energy futures contracts (Europe)		—			0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		(356,406	)		-0.15	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		79,806			0.03	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		9,865			0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		172,781			0.07	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Oceanic)		(1,482	)		0.00	%		—		0.00	%		—		0.00	%
Various precious metals futures contracts (U.S.)		8,095			0.00	%		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		1,114,717			0.46	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)		124,047			0.05	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Far East)		—			0.00	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Canada)		—			0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		(341,725	)		-0.14	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)		—			0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		86,851			0.04	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Oceanic)		—			0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		(628,652	)		-0.26	%		—		0.00	%		—		0.00	%
Total Short Futures Contracts	$	(3,618,842	)		-1.95	%	$	—		0.00	%	$	—		0.00	%
CURRENCY FORWARDS *	$	—			0.00	%	$	—		0.00	%	$	—		0.00	%
Total Open Trade Equity (Deficit)	$	(672,511	)		-0.27	%	$	—		0.00	%	$	—		0.00	%
OPTIONS WRITTEN *
Various base metals futures contracts (Europe)	$	—			0.00	%	$	—		0.00	%	$	—		0.00	%
Various base metals futures contracts (U.S)		—			0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		—			0.00	%		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		—			0.00	%		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		—			0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		(165,363	)		-0.07	%		—		0.00	%		—		0.00	%
Total Options Written	$	(165,363	)		-0.07	%	$	—		0.00	%	$	—		0.00	%

F-10

		Balanced Series					Tiverton/Graham/ Transtrend Series (2)					Currency Series
Description		Value		% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)
Swaps (3)
Frontier Select CTA TRS Deutsche Bank Swap (U.S.)		$	4,503,745		1.84	%	$	—		0.00	%	$	—		0.00	%
Frontier Balanced RCW-1 Swap (U.S.)			17,785,733		7.26	%		—		0.00	%		—		0.00	%
Total Swaps		$	22,289,478		9.10	%	$	—		0.00	%	$	—		0.00	%
U.S. TREASURY SECURITIES
		Fair Value					Fair Value					Fair Value
	US Treasury Note 4.000% due 02/15/2015 (1)	$	5,951,633		2.97	%	$	961,568		3.79	%	$	49,052		1.80	%
Additional Disclosure on U.S. Treasury Securities		Face Value					Face Value					Face Value
	US Treasury Note 4.000% due 02/15/2015 (1)	$	5,521,388				$	892,056				$	45,506
		Cost					Cost					Cost
	US Treasury Note 4.000% due 02/15/2015 (1)	$	5,719,381				$	924,044				$	47,137

* 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 each Series based upon ownership in the cash management pool. See Note 2.

(2) Formerly the Berkeley/Graham/Tiverton Series.

(3) See Note 4 to the Financial Statements.

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

F-11

The Series of the Frontier Fund

Condensed Schedules of Investments

December 31, 2012

	Winton Series					Winton/Graham Series
Description	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	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%
Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various precious metals futures contracts (Europe)		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%
Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%
Various base metals futures contracts (Europe)	$	—		0.00	%	$	—		0.00	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%
Various base metals futures contracts (US)		—		0.00	%		—		0.00	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%
Various currency futures contracts (US)		—		0.00	%		—		0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%
Various energy futures contracts (US)		—		0.00	%		—		0.00	%
Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (US)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%

F-12

		Winton Series					Winton/Graham Series
Description		Value		% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)
Various interest rates futures contracts (Europe)			—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)			—		0.00	%		—		0.00	%
Various precious metals futures contracts (US)			—		0.00	%		—		0.00	%
Various soft futures contracts (US)			—		0.00	%		—		0.00	%
Various soft futures contracts (Canada)			—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)			—		0.00	%		—		0.00	%
Various stock index futures contracts (US)			—		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)			—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)			—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)			—		0.00	%		—		0.00	%
Total Short Futures Contracts		$	—		0.00	%	$	—		0.00	%
CURRENCY FORWARDS *		$	—		0.00	%	$	—		0.00	%
Total Open Trade Equity		$	—		0.00	%	$	—		0.00	%
U.S. TREASURY SECURITIES
		Fair Value					Fair Value
	US Treasury Note 4.000% due 02/15/2015 (1)	$	1,808,547		4.42	%	$	776,073		3.74	%
Additional Disclosure on U.S. Treasury Securities		Face Value					Face Value
	US Treasury Note 4.000% due 02/15/2015 (1)		1,677,806					719,971
		Cost					Cost
	US Treasury Note 4.000% due 02/15/2015 (1)	$	1,737,971				$	745,788

* 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 each Series based upon ownership in the cash management pool. See Note 2.

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

F-13

The Series of the Frontier Fund

Condensed Schedules of Investments

December 31, 2011

	Frontier Diversified Series					Frontier Masters Series						Frontier Long/Short Commodity 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	%	$	(40,664	)		-0.08	%	$	(49,183	)		-0.06	%
Various base metals futures contracts (Europe)		—		0.00	%		(37,959	)		-0.07	%		(206,400	)		-0.25	%
Various currency futures contracts (U.S.)		—		0.00	%		22,523			0.04	%		179,573			0.22	%
Various currency futures contracts (Europe)		—		0.00	%		4,733			0.01	%		416,924			0.51	%
Various currency futures contracts (Far East)		—		0.00	%		—			0.00	%		—			0.00	%
Various energy futures contracts (U.S.)		—		0.00	%		13,625			0.03	%		(272,223	)		-0.34	%
Light Crude Oil Settling 11/1/12 (Number of Contracts: 841)		—		0.00	%		—			0.00	%		(3,555,016	)		-4.38	%
Light Crude Oil Settling 1/1/13 (Number of Contracts: 841)		—		0.00	%		—			0.00	%		(3,802,753	)		-4.68	%
Light Crude Oil Settling 9/1/13 (Number of Contracts: 1,002)		—		0.00	%		—			0.00	%		(4,371,122	)		-5.38	%
Heating Oil Settling 9/1/12 (Number of Contracts: 393)		—		0.00	%		—			0.00	%		(1,647,299	)		-2.03	%
NYM RBOB Gas Settling 5/1/12 (Number of Contracts: 238)		—		0.00	%		—			0.00	%		892,954			1.10	%
NYM RBOB Gas Settling 6/1/12 (Number of Contracts: 330)		—		0.00	%		—			0.00	%		(836,209	)		-1.03	%
Various energy futures contracts (Europe)		—		0.00	%		1,520			0.00	%		(26,290	)		-0.03	%
ICE Brent Crude Oil Settling 12/1/13 (Number of Contracts: 1,357)		—		0.00	%		—			0.00	%		(3,069,350	)		-3.78	%
Various interest rates futures contracts (U.S.)		—		0.00	%		20,708			0.04	%		19,602			0.02	%
Various interest rates futures contracts (Canada)		—		0.00	%		(2,284	)		0.00	%		—			0.00	%
Various interest rates futures contracts (Europe)		—		0.00	%		229,378			0.43	%		—			0.00	%
Various interest rates futures contracts (Far East)		—		0.00	%		2,876			0.01	%		—			0.00	%
Various precious metals futures contracts (U.S.)		—		0.00	%		—			0.00	%		(194,462	)		-0.24	%
Silver @ COMEX Settling 12/1/13 (Number of Contracts: 152)		—		0.00	%					0.00	%		(11,121,080	)		-13.70	%
Various precious metals futures contracts (Far East)		—		0.00	%		—			0.00	%		—			0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		31,011			0.06	%		(1,017,374	)		-1.25	%
Coffee @ CSCE Settling 12/1/12 (Number of Contracts: 151)		—		0.00	%		—			0.00	%		(2,559,548	)		-3.15	%
Corn Setttling 12/1/12 (Number of Contracts: 1,525)		—		0.00	%		—			0.00	%		(4,790,794	)		-5.90	%
Various stock index futures contracts (U.S.)		—		0.00	%		6,731			0.01	%		111,130			0.14	%
Various stock index futures contracts (Europe)		—		0.00	%		31,302			0.06	%		(4,720	)		-0.01	%
Various stock index futures contracts (Far East)		—		0.00	%		—			0.00	%		—			0.00	%
Total Long Futures Contracts		—		0.00	%		283,500			0.54	%		(35,903,640	)		-44.22	%
OPTIONS PURCHASED *		—		0.00	%		—			0.00	%		—			0.00	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)		—		0.00	%		18,428			0.03	%		13,843			0.02	%
Various base metals futures contracts (Europe)		—		0.00	%		57,511			0.11	%		290,936			0.36	%
Various currency futures contracts (U.S.)		—		0.00	%		19,290			0.04	%		(3,375	)		0.00	%
Various currency futures contracts (Europe)		—		0.00	%		76,986			0.15	%		(918,634	)		-1.13	%
Various currency futures contracts (Far East)		—		0.00	%		3,727			0.01	%		—			0.00	%

F-14

		Frontier Diversified Series					Frontier Masters Series						Frontier Long/Short Commodity Series
Description		Value		% of Total Capital (Net Asset Value)			Value			% of Total Capital (Net Asset Value)			Value			% of Total Capital (Net Asset Value)
Various energy futures contracts (U.S.)			—		0.00	%		—			0.00	%		1,070,542			1.32	%
Light Crude Oil Settling 12/1/12 (Number of Contracts: 218)			—		0.00	%		—			0.00	%		(1,842,322	)		-2.27	%
Light Crude Oil Settling 12/1/13 (Number of Contracts: 842)			—		0.00	%		—			0.00	%		(1,910,259	)		-2.35	%
Heating Oil Settling 6/1/12 (Number of Contracts: 373)			—		0.00	%		—			0.00	%		1,591,665			1.96	%
NYM RBOB Gas Settling 4/1/12 (Number of Contracts: 2,123)			—		0.00	%		—			0.00	%		869,669			1.07	%
Various energy futures contracts (Europe)			—		0.00	%		(100	)		0.00	%		573,850			0.71	%
ICE Brent Crude Oil Settling 12/1/12 (Number of Contracts: 78)			—		0.00	%		—			0.00	%		2,835,790			3.49	%
Various energy futures contracts (Far East)			—		0.00	%		(1,195	)		0.00	%		—			0.00	%
Various interest rates futures contracts (US)			—		0.00	%		(24,881	)		-0.05	%		—			0.00	%
Various interest rates futures contracts (Canada)			—		0.00	%		2,100			0.00	%		—			0.00	%
Various interest rates futures contracts (Europe)			—		0.00	%		(31	)		0.00	%		—			0.00	%
Various interest rates futures contracts (Far East)			—		0.00	%		(173	)		0.00	%		(75,712	)		-0.09	%
Various precious metals futures contracts (U.S.)			—		0.00	%		20,200			0.04	%		82,675			0.10	%
Silver @ COMEX Settling 12/1/12 (Number of Contracts: 152)			—		0.00	%		—			0.00	%		2,879,260			3.55	%
Various soft futures contracts (U.S.)			—		0.00	%		314,855			0.60	%		273,765			0.34	%
Corn Settling 7/1/12 (Number of Contracts: 1,123)			—		0.00	%		—			0.00	%		2,867,576			3.53	%
Corn Settling 9/1/12 (Number of Contracts: 288)			—		0.00	%		—			0.00	%		1,370,557			1.69	%
Various soft futures contracts (Far East)			—		0.00	%		1,074			0.00	%		—			0.00	%
Various stock index futures contracts (U.S.)			—		0.00	%		(3,693	)		-0.01	%		(864	)		0.00	%
Various stock index futures contracts (Canada)			—		0.00	%		—			0.00	%		—			0.00	%
Various stock index futures contracts (Europe)			—		0.00	%		18,129			0.03	%		—			0.00	%
Various stock index futures contracts (Far East)			—		0.00	%		6,645			0.01	%		—			0.00	%
Total Short Futures Contracts			—		0.00	%		508,872			0.96	%		9,968,962			12.30	%
CURRENCY FORWARDS *			—		0.00	%		—			0.00	%		—			0.00	%
Total Open Trade Equity (Deficit)		$	—		0.00	%	$	792,372			1.50	%	$	(25,934,678	)		-31.92	%
SWAPS (1)		$	131,004		0.10	%	$	57,225			0.11	%	$	74,898			0.09	%
U.S. TREASURY SECURITIES
FACE VALUE		Fair Value					Fair Value						Fair Value
$36,500,000.00	U.S. Treasury Note 3.875% due 02/15/2013 (Cost $38,125,391) (2)	$	7,976,700		5.95	%	$	3,484,374			6.59	%	$	4,560,486			7.43	%
$36,700,000.00	U.S. Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		8,580,604		6.40	%		3,748,172			7.09	%		4,905,754			8.00	%
		$	16,557,304		12.35	%	$	7,232,546			13.68	%	$	9,466,240			15.43	%

F-15

		Frontier Diversified Series			Frontier Masters Series			Frontier Long/Short Commodity Series
Description		Value		% of Total Capital (Net Asset Value)	Value		% of Total Capital (Net Asset Value)	Value		% of Total Capital (Net Asset Value)
Additional Disclosure on U.S. Treasury Securities		Face Value			Face Value			Face Value
	U.S. Treasury Note 3.875% due 02/15/2013 (2)	$	7,673,204		$	3,351,802		$	4,386,970
	U.S. Treasury Note 4.000% due 02/15/2015 (2)		7,715,249			3,370,168			4,411,008
		$	15,388,453		$	6,721,970		$	8,797,978
		Cost			Cost			Cost
	U.S. Treasury Note 3.875% due 02/15/2013 (2)	$	8,014,902		$	3,501,062		$	4,582,327
	U.S. Treasury Note 4.000% due 02/15/2015 (2)		7,991,913			3,491,020			4,569,184
		$	16,006,815		$	6,992,082		$	9,151,511

* 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 each Series based upon ownership in the cash management pool. See Note 2.

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

F-16

The Series of the Frontier Fund

Condensed Schedules of Investments

December 31, 2011

	Balanced Series						Tiverton/Graham/ Transtrend Series (3)					Currency 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.)	$	(1,930,354	)		-0.65	%	$	—		0.00	%	$	—		0.00	%
Various base metals futures contracts (Europe)		(3,533,012	)		-1.19	%		—		0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		122,059			0.04	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		11,380			0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Far East)		—			0.00	%		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		(23,315	)		-0.01	%		—		0.00	%		—		0.00	%
Various energy futures contracts (Europe)		(300,490	)		-0.10	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		407,889			0.14	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		56,394			0.02	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		1,984,386			0.67	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		57,916			0.02	%		—		0.00	%		—		0.00	%
Various precious metals futures contracts (U.S.)		(152,208	)		-0.05	%		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		230,760			0.08	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)		1,440			0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		185,788			0.06	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)		5,579			0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		67,663			0.02	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		(171,692	)		-0.06	%		—		0.00	%		—		0.00	%
Total Long Futures Contracts		(2,979,817	)		-1.01	%		—		0.00	%		—		0.00	%
OPTIONS PURCHASED *		11,928,779			4.02	%		—		0.00	%		—		0.00	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)		1,630,955			0.55	%		—		0.00	%		—		0.00	%
Various base metals futures contracts (Europe)		4,181,645			1.41	%		—		0.00	%		—		0.00	%
Various currency futures contracts (US)		(56,702	)		-0.02	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		442,669			0.15	%		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		(95,263	)		-0.03	%		—		0.00	%		—		0.00	%
Various energy futures contracts (Europe)		22,315			0.01	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		(1,508,797	)		-0.51	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		896			0.00	%		—		0.00	%		—		0.00	%

F-17

		Balanced Series						Tiverton/Graham/Transtrend Series (3)					Currency Series
Description		Value			% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)
Various interest rates futures contracts (Europe)			(134,897	)		-0.05	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)			(22,100	)		-0.01	%		—		0.00	%		—		0.00	%
Various precious metals futures contracts (U.S.)			293,052			0.10	%		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)			(451,002	)		-0.15	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)			471,246			0.16	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Far East)			(30,196	)		-0.01	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Canada)			—			0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)			3,585			0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)			(22,258	)		-0.01	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)			(396,702	)		-0.13	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)			110,866			0.04	%		—		0.00	%		—		0.00	%
Total Short Futures Contracts			4,439,312			1.50	%		—		0.00	%		—		0.00	%
CURRENCY FORWARDS *			(283,733	)		-0.27	%		—		0.00	%		—		0.00	%
Total Open Trade Equity		$	13,104,541			4.24	%	$	—		0.00	%	$	—		0.00	%
OPTIONS WRITTEN *		$	(3,326,453	)		-1.12	%	$	—		0.00	%	$	—		0.00	%
SWAPS (1)		$	230,783			0.08	%	$	34,397		0.09	%	$	2,583		0.06	%
Total Return Option Basket Swap (Termination date 11/6/12)			17,706,757			5.97	%		—		0.00	%		—		0.00	%
Total Return Option Basket Swap (Termination date 6/30/16)			5,881,772			1.98	%		—		0.00	%		—		0.00	%
Total Swaps		$	23,819,312			8.03	%	$	34,397		0.09	%	$	2,583		0.06	%
Investment in Berkeley Quantitative Colorado Fund, LLC (Cost of $8,487,603)		$	—			0.00	%	$	6,270,844		15.83	%	$	—		0.00	%
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)	$	14,052,173			4.74	%	$	2,094,416		5.29	%	$	157,304		3.64	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		15,116,043			5.10	%		2,252,982		5.69	%		169,213		3.92	%
		$	29,168,216			9.84	%	$	4,347,398		10.98	%	$	326,517		7.56	%
Additional Disclosure on U.S. Treasury Securities		Face Value						Face Value					Face Value
	US Treasury Note 3.875% due 02/15/2013 (2)	$	13,517,520					$	2,014,729				$	151,319
	US Treasury Note 4.000% due 02/15/2015 (2)		13,591,588						2,025,768					152,148
		$	27,109,108					$	4,040,497				$	303,467

F-18

		Balanced Series			Tiverton/Graham/Transtrend Series (3)			Currency Series
Description		Value		% of Total Capital (Net Asset Value)	Value		% of Total Capital (Net Asset Value)	Value		% of Total Capital (Net Asset Value)
		Cost			Cost			Cost
	US Treasury Note 3.875% due 02/15/2013 (2)	$	14,119,472		$	2,104,447		$	158,057
	US Treasury Note 4.000% due 02/15/2015 (2)		14,078,974			2,098,411			157,604
		$	28,198,446		$	4,202,858		$	315,661

* 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 each Series based upon ownership in the cash management pool. See Note 2.

(3) Formerly the Berkeley/Graham/Tiverton Series

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

F-19

The Series of the Frontier Fund

Condensed Schedules of Investments

December 31, 2011

	Winton Series					Winton/Graham Series
Description	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	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%
Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various precious metals futures contracts (Europe)		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%
Total Long Futures Contracts		—		0.00	%		—		0.00	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (US)		—		0.00	%		—		0.00	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%
Various currency futures contracts (US)		—		0.00	%		—		0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%
Various energy futures contracts (US)		—		0.00	%		—		0.00	%
Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (US)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%

F-20

		Winton Series					Winton/Graham Series
Description		Value		% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)
Various precious metals futures contracts (US)			—		0.00	%		—		0.00	%
Various soft futures contracts (US)			—		0.00	%		—		0.00	%
Various soft futures contracts (Canada)			—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)			—		0.00	%		—		0.00	%
Various stock index futures contracts (US)			—		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)			—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)			—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)			—		0.00	%		—		0.00	%
Total Short Futures Contracts			—		0.00	%		—		0.00	%
CURRENCY FORWARDS *			—		0.00	%		—		0.00	%
Total Open Trade Equity		$	—		0.00	%	$	—		0.00	%
SWAPS (1)		$	61,888		0.12	%	$	30,381		0.10	%
U.S. TREASURY SECURITIES
FACE VALUE		Fair Value					Fair Value
$36,500,000.00	US Treasury Note 3.875% due 02/15/2013 (Cost $38,125,391) (2)	$	3,768,316		7.53	%	$	1,849,901		6.01	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		4,053,611		8.10	%		1,989,954		6.47	%
		$	7,821,927		15.63	%	$	3,839,855		12.48	%
Additional Disclosure on U.S. Treasury Securities		Face Value					Face Value
	US Treasury Note 3.875% due 02/15/2013 (2)	$	3,624,941				$	1,779,516
	US Treasury Note 4.000% due 02/15/2015 (2)		3,644,803					1,789,267
		$	7,269,744				$	3,568,783
		Cost					Cost
	US Treasury Note 3.875% due 02/15/2013 (2)	$	3,786,364				$	1,858,760
	US Treasury Note 4.000% due 02/15/2015 (2)		3,775,504					1,853,429
		$	7,561,868				$	3,712,189

* 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 each Series based upon ownership in the cash management pool. See Note 2.

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

F-21

The Series of the Frontier Fund

Statements of Operations

For the Years Ended December 31, 2012, 2011 and 2010

	Frontier Diversified Series									Frontier Masters Series									Frontier Long/Short Commodity Series
	12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010
Investment income:
Interest—net	$	2,199,327		$	2,399,088		$	2,225,700		$	1,038,493		$	1,026,007		$	941,795		$	1,385,312		$	1,371,889		$	1,120,080
Total Income		2,199,327			2,399,088			2,225,700			1,038,493			1,026,007			941,795			1,385,312			1,371,889			1,120,080
Expenses:
Incentive Fees		3,269,159			4,954,751			4,102,217			488,081			805,663			490,628			1,059,104			2,887,684			3,065,308
Management Fees		1,896,102			1,988,295			1,149,719			1,429,284			1,439,579			1,093,634			3,459,419			3,607,413			3,355,920
Service Fees—Class 1		1,476,222			1,797,911			1,465,769			786,529			809,423			675,234			462,999			824,266			1,174,272
Trading Fees		2,955,458			3,469,475			2,734,353			1,312,873			1,411,575			1,507,560			1,029,157			768,116			425,521
Total Expenses		9,596,941			12,210,432			9,452,058			4,016,767			4,466,240			3,767,056			6,010,679			8,087,479			8,021,021
Investment income/(loss)—net		(7,397,614	)		(9,811,344	)		(7,226,358	)		(2,978,274	)		(3,440,233	)		(2,825,261	)		(4,625,367	)		(6,715,590	)		(6,900,941	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		—			—			59,523			1,805,910			(3,513,968	)		—			(25,872,829	)		5,096,970			(24,029,654	)
Net change in open trade equity/(deficit)		—			—			(705,094	)		(776,298	)		792,372			—			20,181,816			2,754,587			18,487,268
Net realized gain/(loss) on swap contracts		(106,862	)		(5,621,987	)		—			(55,669	)		2,061,339			—			(58,693	)		(11,411	)		—
Net unrealized gain/(loss) on swap contracts		(23,719	)		1,315,339			416,156			(2,775	)		(1,607,804	)		3,474,611			(20,529	)		20,529			—
Net realized gain/(loss) on U.S. Treasury securities		461,598			—			—			222,749			—			—			289,571			—			—
Net unrealized gain/(loss) on U.S. Treasury securities		(719,255	)		23,748			255,854			(343,628	)		5,038			192,745			(446,969	)		24,825			208,016
Trading commissions		—			—			(13,918	)		(171,933	)		(68,034	)		—			(1,813,623	)		(457,918	)		(444,193	)
Net change in inter-series payables		—			—			(177,180	)		—			—			(829,341	)		—			—			—
Change in fair value of investments in unconsolidated trading companies		2,466,586			9,711,686			18,683,902			2,867,366			4,724,104			6,007,106			(3,343,198	)		9,807,106			21,681,676
Net gain/(loss) on investments		2,078,348			5,428,786			18,519,243			3,545,722			2,393,047			8,845,121			(11,084,454	)		17,234,688			15,903,113
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(5,319,266	)		(4,382,558	)		11,292,885			567,448			(1,047,186	)		6,019,860			(15,709,821	)		10,519,098			9,002,172
Less: Operations attributable to non-controlling interests		—			—			(157,005	)		(51,430	)		(27,734	)		—			(9,167,707	)		6,059,461			(2,913,121	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(5,319,266	)	$	(4,382,558	)	$	11,449,890		$	618,878		$	(1,019,452	)	$	6,019,860		$	(6,542,114	)	$	4,459,637		$	11,915,293
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(5.00	)	$	(4.18	)	$	6.78		$	0.86		$	(2.71	)	$	8.50		$	(0.72	)	$	3.40		$	18.96
Class 1a		N/A			N/A			N/A			N/A			N/A			N/A		$	(13.13	)	$	3.75		$	16.47
Class 2	$	(3.48	)	$	(2.50	)	$	8.69		$	2.78		$	(0.98	)	$	10.44		$	(16.32	)	$	8.71		$	25.77
Class 2a		N/A			N/A			N/A			N/A			N/A			N/A		$	(11.78	)	$	6.05		$	18.70
Class 3		N/A			N/A			N/A			N/A			N/A			N/A		$	(16.27	)	$	8.70		$	25.77

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

F-22

The Series of the Frontier Fund

Statements of Operations

For the Years Ended December 31, 2012, 2011 and 2010

	Balanced Series									Tiverton/Graham/Transtrend Series (1)									Currency Series
	12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010
Investment income:
Interest—net	$	276,272		$	534,877		$	404,451		$	263,049		$	106,784		$	8,268		$	85		$	61,690		$	129,943
Total Income/(loss)		276,272			534,877			404,451			263,049			106,784			8,268			85			61,690			129,943
Expenses:
Incentive Fees		7,081,173			13,141,331			13,893,116			65,989			29,678			270,462			—			—			—
Management Fees		2,533,302			2,615,058			2,253,874			1,272,443			1,240,589			2,289,188			—			80,701			163,333
Service Fees—Class 1		4,987,704			7,074,592			8,595,406			865,891			1,422,634			1,927,715			103,857			153,870			216,919
Trading Fees		1,784,001			1,760,639			1,810,726			244,837			280,872			360,892			26,335			60,410			102,763
Total Expenses		16,386,180			24,591,620			26,553,122			2,449,160			2,973,773			4,848,257			130,192			294,981			483,015
Investment (loss)—net		(16,109,908	)		(24,056,743	)		(26,148,671	)		(2,186,111	)		(2,866,989	)		(4,839,989	)		(130,107	)		(233,291	)		(353,072	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		22,272,341			52,383,136			27,742,406			—			—			4,500,964			—			(142,069	)		290,954
Net change in open trade equity/(deficit)		103,164			(70,076,328	)		17,459,669			—			—			2,345,538			—			(27,166	)		54,015
Net realized gain/(loss) on swap contracts		(175,294	)		3,521,124			—			(34,232	)		(6,252	)		—			(6,104	)		(8,302,467	)		—
Net unrealized gain/(loss) on swap contracts		(1,334,281	)		(19,106,948	)		8,790,928			(2,448	)		2,447			—			3,603			6,327,629			675,809
Net realized gain/(loss) on U.S. Treasury securities		757,245			—			—			160,314			—			—			8,440			—			—
Net unrealized gain/(loss) on U.S. Treasury securities		(1,186,676	)		16,555			595,392			(239,713	)		2,768			144,737			(13,168	)		(4,083	)		52,062
Trading commissions		(5,037,378	)		(4,914,236	)		(4,075,189	)		—			—			(69,462	)		—			—			—
Net change in inter-series receivables		—			(1,522,417	)		2,200,706			—			—			—			—			—			—
Net change in inter-series payables		—			—			—			—			—			—			—			1,534,914			(550,017	)
Net increase from payments by managing owner		—			—			—			—			—			—			—			390,589			—
Change in fair value of investments in unconsolidated trading companies		(8,016,764	)		45,347,382			29,620,482			(1,934,275	)		(4,026,248	)		3,570,155			(551,100	)		(164,993	)		—
Net realized gain/(loss) on investment in Berkeley Quantitative Colorado Fund LLC		—			—			—			(2,172,987	)		(135,775	)		—			—			—			—
Net unrealized gain/(loss) on investment in Berkeley Quantitative Colorado Fund LLC		—			—			—			2,084,880			(2,238,083	)		153,203			—			—			—
Net gain/(loss) on investments		7,382,357			5,648,268			82,334,394			(2,138,461	)		(6,401,143	)		10,645,135			(558,329	)		(387,646	)		522,823
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(8,727,551	)		(18,408,475	)		56,185,723			(4,324,572	)		(9,268,132	)		5,805,146			(688,436	)		(620,937	)		169,751
Less: Operations attributable to non-controlling interests		4,427,312			(6,164,402	)		14,493,972			—			—			1,892,545			—			—			—
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(13,154,863	)	$	(12,244,073	)	$	41,691,751		$	(4,324,572	)	$	(9,268,132	)	$	3,912,601		$	(688,436	)	$	(620,937	)	$	169,751
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(8.18	)	$	(7.45	)	$	13.41		$	(12.36	)	$	(19.44	)	$	5.81		$	(13.57	)	$	(8.61	)	$	1.09
Class 1a	$	(4.13	)	$	(7.91	)	$	10.86			N/A			N/A			N/A			N/A			N/A			N/A
Class 2	$	(5.82	)	$	(4.44	)	$	20.45		$	(12.29	)	$	(19.89	)	$	10.63		$	(14.66	)	$	(7.82	)	$	4.09
Class 2a	$	(3.99	)	$	(5.31	)	$	16.06			N/A			N/A			N/A			N/A			N/A			N/A
Class 3a	$	(4.40	)	$	(5.30	)	$	16.06			N/A			N/A			N/A			N/A			N/A			N/A

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

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

F-23

The Series of the Frontier Fund

Statements of Operations

For the Years Ended December 31, 2012, 2011 and 2010

	Winton Series									Winton/Graham Series
	12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010
Investment income:
Interest—net	$	531,125		$	457,889		$	306,338		$	134,302		$	217,875		$	263,156
Total Income		531,125			457,889			306,338			134,302			217,875			263,156
Expenses:
Incentive Fees		—			813,809			534,245			—			298,707			702,432
Management Fees		1,046,035			1,225,133			1,529,612			1,006,221			1,382,514			1,959,820
Service Fees—Class 1		1,046,931			1,271,915			1,456,391			624,024			1,023,780			1,373,119
Trading Fees		342,792			285,429			291,849			192,557			221,789			286,314
Total Expenses		2,435,758			3,596,286			3,812,097			1,822,802			2,926,790			4,321,685
Investment (loss)—net		(1,904,633	)		(3,138,397	)		(3,505,759	)		(1,688,500	)		(2,708,915	)		(4,058,529	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		—			—			—			—			798,159			5,481,406
Net change in open trade equity/(deficit)		—			—			—			—			(1,521,787	)		616,950
Net realized gain/(loss) on swap contracts		(57,781	)		(9,969	)		—			(30,602	)		(5,791	)		—
Net unrealized gain/(loss) on swap contracts		(7,291	)		7,291			—			943			(944	)		—
Net realized gain/(loss) on U.S. Treasury securities		239,533			—			—			105,686			—			—
Net unrealized gain/(loss) on U.S. Treasury securities		(369,593	)		(2,017	)		163,733			(163,574	)		(3,545	)		159,470
Trading commissions		—			—			—			—			(274,394	)		(613,637	)
Change in fair value of investments in unconsolidated trading companies		(1,161,451	)		5,869,725			11,846,927			(594,397	)		(1,252,281	)		6,322,180
Net gain/(loss) on investments		(1,356,583	)		5,865,030			12,010,660			(681,944	)		(2,260,583	)		11,966,369
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(3,261,216	)		2,726,633			8,504,901			(2,370,444	)		(4,969,498	)		7,907,840
Less: Operations attributable to non-controlling interests		—			—			—			—			(470,719	)		2,644,623
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(3,261,216	)	$	2,726,633		$	8,504,901		$	(2,370,444	)	$	(4,498,779	)	$	5,263,217
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(10.40	)	$	6.09		$	17.47		$	(10.18	)	$	(15.10	)	$	9.77
Class 2	$	(7.52	)	$	11.83		$	23.89		$	(9.03	)	$	(14.34	)	$	15.65

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

F-24

The Series of the Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2012, 2011 and 2010

	Frontier Diversified Series																		Frontier Masters Series
	Class 1			Class 1			Class 2			Class 2									Class 1			Class 1			Class 2			Class 2
	Managing Owner			Limited Owners			Managing Owner			Limited Owners			Non-Controlling Interests			Total			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Non-Controlling Interests			Total
Owners’ Capital, December 31, 2009	$	26,621		$	32,933,919		$	543,790		$	22,811,789		$	—		$	56,316,119		$	25,977		$	14,697,353		$	210,351		$	8,353,506		$	—		$	23,287,187
Sale of Units		—			56,557,502			965,000			42,502,656			—			100,025,158			—			26,672,742			425,000			15,970,263			—			43,068,005
Redemption of Units		—			(5,635,008	)		—			(2,660,187	)		—			(8,295,195	)		—			(3,606,610	)		—			(2,492,712	)		—			(6,099,322	)
Change in control of ownership—Trading Companies		—			—			—			—			172,237			172,237			—			—			—			—			—			—
Contributions		—			—			—			—			—			—			—			—			—			—			—			—
Distributions		—			—			—			—			(15,232	)		(15,232	)		—			—			—			—			—			—
Operations attributable to non-controlling interests		—			—			—			—			(157,005	)		(157,005	)		—			—			—			—			—			—
Net increase/(decrease) in Owners’ Capital resulting from operations		1,863			6,137,234			118,437			5,192,356			—			11,449,890			2,338			3,421,875			61,487			2,534,160			—			6,019,860
Owners’ Capital, December 31, 2010		28,484			89,993,647			1,627,227			67,846,614			—			159,495,972			28,315			41,185,360			696,838			24,365,217			—			66,275,730
Sale of Units		—			26,631,502			200,000			17,659,192			—			44,490,694			—			8,975,267			—			3,222,236			—			12,197,503
Redemption of Units		—			(41,207,525	)		(300,000	)		(24,122,979	)		—			(65,630,504	)		—			(15,268,645	)		(100,000	)		(9,260,139	)		—			(24,628,784	)
Contributions		—			—			—			—			—			—			—			—			—			—			115,000			115,000
Distributions		—			—			—			—			—			—			—			—			—			—			(28,854	)		(28,854	)
Operations attributable to non-controlling interests		—			—			—			—			—			—			—			—			—						(27,734	)		(27,734	)
Net increase/(decrease) in Owners’ Capital resulting from operations		(1,150	)		(3,020,052	)		(40,487	)		(1,320,869	)		—			(4,382,558	)		(746	)		(829,415	)		(6,945	)		(182,346	)		—			(1,019,452	)
Owners’ Capital, December 31, 2011		27,334			72,397,572			1,486,740			60,061,958			—			133,973,604			27,569			34,062,567			589,893			18,144,968			58,412			52,883,409
Sale of Units		—			5,284,631			—			8,821,416			—			14,106,047			—			7,569,805			—			2,139,804			—			9,709,609
Redemption of Units		—			(15,292,787	)		—			(12,286,026	)		—			(27,578,813	)		—			(7,177,491	)		—			(4,489,835	)		—			(11,667,326	)
Change in control of ownership—Trading Companies		—			—			—			—			—			—			—			—			—			—			(2,278,332	)		(2,278,332	)
Contributions		—			—			—			—			—			—			—			—			—			—			6,455,785			6,455,785
Distributions		—			—			—			—			—			—			—			—			—			—			(4,184,435	)		(4,184,435	)
Operations attributable to non-controlling interests		—			—			—			—			—			—			—			—			—						(51,430	)		(51,430	)
Net increase/(decrease) in Owners’ Capital resulting from operations		(1,375	)		(3,415,439	)		(49,767	)		(1,852,685	)		—			(5,319,266	)		235			120,814			15,615			482,214			—			618,878
Owners’ Capital, December 31, 2012	$	25,959		$	58,973,977		$	1,436,973		$	54,744,663		$	—		$	115,181,572		$	27,804		$	34,575,695		$	605,508		$	16,277,151		$	—		$	51,486,158
Owners’ Capital—Units, December 31, 2009		275			340,214			5,562			233,312									275			155,589			2,206			87,587
Sale of Units		—			583,661			9,723			429,811									—			280,625			4,380			167,509
Redemption of Units		—			(55,025	)		—			(25,818	)								—			(36,220	)		—			(24,813	)
Owners’ Capital—Units, December 31, 2010		275			868,850			15,285			637,305									275			399,994			6,586			230,283
Sale of Units		—			256,557			1,818			164,652									—			87,494			—			30,180
Redemption of Units		—			(397,037	)		(2,802	)		(224,221	)								—			(147,711	)		(959	)		(87,380	)

F-25

	Frontier Diversified Series												Frontier Masters Series
	Class 1		Class 1			Class 2		Class 2					Class 1		Class 1			Class 2		Class 2
	Managing Owner		Limited Owners			Managing Owner		Limited Owners			Non-Controlling Interests	Total	Managing Owner		Limited Owners			Managing Owner		Limited Owners			Non-Controlling Interests	Total
Owners’ Capital—Units, December 31, 2011		275		728,370			14,301		577,736					275		339,777			5,627		173,083
Sale of Units		—		54,154			—		86,394					—		72,823			—		19,330
Redemption of Units		—		(157,784	)		—		(119,304	)				—		(70,626	)		—		(41,151	)
Owners’ Capital—Units, December 31, 2012		275		624,740			14,301		544,826					275		341,974			5,627		151,262
					(1)					(1)							(1)					(1)
Net asset value per unit at December 31, 2009			$	96.80				$	97.77						$	94.46				$	95.37
Change in net asset value per unit for the year ended December 31, 2010				6.78					8.69							8.50					10.44
Net asset value per unit at December 31, 2010				103.58					106.46							102.96					105.81
Change in net asset value per unit for the year ended December 31, 2011				(4.18	)				(2.50	)						(2.71	)				(0.98	)
Net asset value per unit at December 31, 2011				99.40					103.96							100.25					104.83
Change in net asset value per unit for the year or period ended December 31, 2012				(5.00	)				(3.48	)						0.86					2.78
Net asset value per unit at December 31, 2012			$	94.40				$	100.48						$	101.11				$	107.61

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

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

F-26

The Series of the Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2012, 2011 and 2010

	Frontier Long/Short Commodity Series
	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
Owners’ Capital, December 31, 2009	$	45,759,225		$	1,089,327		$	13,896,776		$	6,140,056		$	27,911		$	1,064,105		$	28,183		$	848,349		$	11,533,778		$	80,387,710
Sale of Units		119,434			—			—			14,889,732			—			4,247,899			—			2,527,455			—			21,784,520
Redemption of Units		(19,502,051	)		—			(2,103,245	)		(3,211,460	)		—			(404,900	)		—			(148,649	)		—			(25,370,305	)
Contributions		—			—			—			—			—			—			—			—			(8,718,487	)		(8,718,487	)
Distributions		—			—			—			—			—			—			—			—			97,830			97,830
Operations attributable to non-controlling interests		—			—			—			—			—			—			—			—			(2,913,121	)		(2,913,121	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		4,809,148			220,185			2,481,935			3,180,243			4,528			712,766			5,141			501,347			—			11,915,293
Owners’ Capital, 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		75,898			—			—			19,475,762			—			14,327,910			260,000			7,570,730			—			41,710,300
Redemption of Units		(29,615,581	)		(920,000	)		(6,812,419	)		(13,879,097	)		(20,000	)		(597,869	)		—			(547,685	)		—			(52,392,651	)
Change in control of ownership—Trading Companies					—			—			—			—			—			—			—			28,341,047			28,341,047
Contributions		—			—			—			—			—			—			—			—			4,105,200			4,105,200
Distributions		—			—			—			—			—			—			—			—			(28,282,129	)		(28,282,129	)
Operations attributable to non-controlling interests		—			—			—			—			—			—			—			—			6,059,461			6,059,461
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		2,512,974			109,824			1,226,379			1,214,822			1,832			(472,787	)		(10,584	)		(122,823	)		—			4,459,637
Owners’ Capital, December 31, 2011		4,159,047			499,336			8,689,426			27,810,058			14,271			18,877,124			282,740			10,628,724			10,223,579			81,184,305
Sale of Units		9,530			—			—			3,925,505			—			4,928,552			—			3,738,903			—			12,602,490
Redemption of Units		(4,103,566	)		—			(1,435,641	)		(9,676,302	)		—			(2,574,932	)		—			(2,705,180	)		—			(20,495,621	)
Change in control of ownership—Trading Companies					—			—			—			—			—			—			—			7,337,360			7,337,360
Contributions		—			—			—			—			—			—			—			—			55,863,801			55,863,801
Distributions		—			—			—			—			—			—			—			—			(59,430,350	)		(59,430,350	)
Operations attributable to non-controlling interests		—			—			—			—			—			—			—			—			(9,167,707	)		(9,167,707	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(65,011	)		(50,325	)		(804,011	)		(2,298,214	)		(1,539	)		(2,259,938	)		(26,180	)		(1,036,896	)		—			(6,542,114	)

F-27

	Frontier Long/Short Commodity Series
	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
Owners’ Capital, December 31, 2012	$	—		$	449,011		$	6,449,774		$	19,761,047		$	12,732		$	18,970,806		$	256,560	$	10,625,551		$	4,826,683	$	61,352,164
Owners’ Capital—Units, December31, 2009		402,206			8,544			109,000			48,162			275			10,484			275		8,278
Sale of Units		1,046			—			—			112,406			—			40,887			—		23,967
Redemption of Units		(168,296	)		—			(15,857	)		(23,551	)		—			(3,729	)		—		(1,476	)
Owners’ Capital—Units, December31, 2010		234,956			8,544			93,143			137,017			275			47,642			275		30,769
Sale of Units		531			—			—			115,939			—			112,147			1,947		57,000
Redemption of Units		(204,936	)		(5,461	)		(39,495	)		(81,248	)		(158	)		(4,690	)		—		(4,231	)
Owners’ Capital—Units, December 31, 2011		30,551			3,083			53,648			171,708			117			155,099			2,222		83,538
Sale of Units		71			—			—			24,441			—			41,131			—		29,630
Redemption of Units		(30,622	)		—			(9,364	)		(60,507	)		—			(21,517	)		—		(21,133	)
Owners’ Capital—Units, December31, 2012		—			3,083			44,284			135,642			117			174,713			2,222		92,035
									(1)									(1)					(1)
Net asset value per unit at December 31, 2009	$	113.77					$	127.49		$	127.49					$	101.49				$	102.48
Change in net asset value per unit for the year ended December 31, 2010		18.96						25.77			25.77						16.47					18.70
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 the year ended December 31, 2011		3.40						8.71			8.70						3.75					6.05
Net asset value per unit at December 31, 2011		136.13						161.97			161.96						121.71					127.23
Change in net asset value per unit for the year ended December 31, 2012		(0.72	)					(16.32	)		(16.27	)					(13.13	)				(11.78	)
Net asset value per unit at December 31, 2012	$	135.41	(2)				$	145.65		$	145.69					$	108.58				$	115.45

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

(2) Frontier Long/Short Commodity Series Class 1 ceased trading operations on July 18, 2012

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

F-28

The Series of the Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2012, 2011 and 2010

	Balanced Series
	Class 1			Class 1a			Class 2						Class 2a						Class 3a
	Limited Owners			Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Limited Owners			Non-Controlling Interests			Total
Owners’ Capital, December 31, 2009	$	286,024,307		$	9,150,114		$	3,697,180		$	73,674,986		$	145,517		$	3,153,049		$	1,170,746		$	24,451,022		$	401,466,921
Sale of Units		733,684			25,858			—			14,425			—			—			3,412,987			—			4,186,954
Redemption of Units		(29,047,428	)		(4,516,519	)		(1,310,000	)		(9,577,458	)		—			(163,315	)		(1,382,434	)		—			(45,997,154	)
Change in control of ownership—Trading Companies		—			—			—			—			—			—			—			(10,641,521	)		(10,641,521	)
Contributions		—			—			—			—			—			—			—			47,689,690			47,689,690
Distributions		—			—			—			—			—			—			—			(24,463,479	)		(24,463,479	)
Operations attributable to non-controlling interests		—			—			—			—			—			—			—			14,493,972			14,493,972
Net increase/(decrease) in Owners’																										—
Capital resulting from operations attributable to controlling interests		30,096,947			461,105			292,672			9,923,923			19,863			407,260			489,981			—			41,691,751
Owners’ Capital, December 31, 2010		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		680,177			5,618			1,250,000			16,575			—			—			810,623			—			2,762,993
Redemption of Units		(94,481,950	)		(2,387,579	)		(530,000	)		(12,512,325	)		—			(652,135	)		(1,420,305	)		—			(111,984,294	)
Change in control of ownership—Trading Companies		—			—			—			—			—			—			—			17,035,844			17,035,844
Contributions		—			—			—			—			—			—			—			136,058,408			136,058,408
Distributions		—			—			—			—			—			—			—			(157,826,198	)		(157,826,198	)
Operations attributable to non-controlling interests		—			—			—			—			—			—			—			(6,164,402	)		(6,164,402	)
Net increase/(decrease) in Owners’
Capital resulting from operations attributable to controlling interests		(10,220,419	)		(202,038	)		(48,244	)		(1,519,167	)		(6,566	)		(118,843	)		(128,796	)		—			(12,244,073	)
Owners’ Capital, December 31, 2011		183,785,318			2,536,559			3,351,608			60,020,959			158,814			2,626,016			2,952,802			40,633,336			296,065,412
Sale of Units		476,872			482			—			16,101			—			—			2,264,602			—			2,758,057
Redemption of Units		(29,506,573	)		(2,524,092	)		—			(9,823,477	)		—			(1,734,065	)		(1,294,313	)		—			(44,882,520	)
Change in control of ownership—Trading Companies		—			—			—			—			—			—			—			(3,881,178	)		(3,881,178	)
Contributions		—			—			—			—			—			—			—			151,972,482			151,972,482
Distributions		—			—			—			—			—			—			—			(148,335,019	)		(148,335,019	)
Operations attributable to non-controlling interests		—			—			—			—			—			—			—			4,427,312			4,427,312
Net increase/(decrease) in Owners’
Capital resulting from operations attributable to controlling interests		(10,848,745	)		(12,949	)		(125,824	)		(1,979,799	)		(4,930	)		(36,315	)		(146,301	)		—			(13,154,863	)
Owners’ Capital, December 31, 2012	$	143,906,872		$	—		$	3,225,784		$	48,233,784		$	153,884		$	855,636		$	3,776,790		$	44,816,933		$	244,969,683
Owners’ Capital—Units, December 31, 2009		2,412,953			86,734			26,596			529,981			1,237			26,811			9,955
Sale of Units		6,013			245			—			102			—			—			28,815
Redemption of Units		(237,733	)		(42,973	)		(9,790	)		(65,779	)		—			(1,395	)		(11,154	)

F-29

	Balanced Series
	Class 1			Class 1a			Class 2						Class 2a					Class 3a
	Limited Owners			Limited Owners			Managing Owner			Limited Owners			Managing Owner		Limited Owners			Limited Owners			Non-Controlling Interests	Total
Owners’ Capital—Units, December 31, 2010		2,181,233			44,006			16,806			464,304			1,237		25,416			27,616
Sale of Units		5,200			48			8,074			105			—		—			6,135
Redemption of Units		(710,302	)		(20,666	)		(3,260	)		(77,236	)		—		(4,956	)		(10,746	)
Owners’ Capital—Units, December 31, 2011		1,476,131			23,388			21,620			387,173			1,237		20,460			23,005
Sale of Units		3,904			4			—			104			—		—			17,592
Redemption of Units		(242,862	)		(23,392	)		—			(64,003	)		—		(13,580	)		(10,128	)
Owners’ Capital—Units, December 31, 2012		1,237,173			—			21,620			323,274			1,237		6,880			30,469
												(1)					(1)
Net asset value per unit at December 31, 2009	$	118.54		$	105.50					$	139.01				$	117.60		$	117.60
Change in net asset value per unit for the year ended December 31, 2010		13.41			10.86						20.45					16.06			16.06
Net asset value per unit at December 31, 2010		131.95			116.36						159.46					133.66			133.66
Change in net asset value per unit for the year ended December 31, 2011		(7.45	)		(7.91	)					(4.44	)				(5.31	)		(5.30	)
Net asset value per unit at December 31, 2011		124.50			108.45						155.02					128.35			128.36
Change in net asset value per unit for the year ended December 31, 2012		(8.18	)		(4.13	)					(5.82	)				(3.99	)		(4.40	)
Net asset value per unit at December 31, 2012	$	116.32		$	104.32	(2)				$	149.20				$	124.36		$	123.96

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

(2) The Balanced Series Class 1a ceased trading operations on July 17, 2012

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

F-30

The Series of the Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2012, 2011 and 2010

	Tiverton/Graham/Transtrend Series (2)															Currency Series
	Class 1			Class 2												Class 1			Class 2
	Limited Owners			Managing Owner			Limited Owners			Non-Controlling Interests			Total			Limited Owners			Managing Owner			Limited Owners			Total
Owners’ Capital, December 31, 2009	$	69,447,366		$	125,510		$	9,789,484		$	—		$	79,362,360		$	7,934,382		$	574,384		$	1,699,362		$	10,208,128
Sale of Units		124,546			—			—			—			124,546			65,957			—			—			65,957
Redemption of Units		(10,995,712	)		—			(2,174,467	)		—			(13,170,179	)		(1,751,140	)		(570,000	)		(983,296	)		(3,304,436	)
Change in control of ownership—Trading Companies		—			—			—			(14,996,045	)		(14,996,045	)		—			—			—			—
Contributions		—			—			—			16,000,000			16,000,000			—			—			—			—
Distributions		—			—			—			(2,896,500	)		(2,896,500	)		—			—			—			—
Operations attributable to non-controlling interests		—			—			—			1,892,545			1,892,545			—			—			—			—
Net increase/(decrease) in Owners’
Capital resulting from operations attributable to controlling interests		3,266,796			11,018			634,787			—			3,912,601			132,683			(1,593	)		38,661			169,751
Owners’ Capital, 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		73,374			—			—			—			73,374			58,429			—			—			58,429
Redemption of Units		(18,343,967	)		(120,000	)		(2,956,631	)		—			(21,420,598	)		(1,610,039	)		—			(647,496	)		(2,257,535	)
Net increase/(decrease) in Owners’
Capital resulting from operations attributable to controlling interests		(8,391,772	)		(8,650	)		(867,710	)		—			(9,268,132	)		(601,922	)		(228	)		(18,787	)		(620,937	)
Owners’ Capital, December 31, 2011		35,180,631			7,878			4,425,463			—			39,613,972			4,228,350			2,563			88,444			4,319,357
Sale of Units		31,560			—			—			—			31,560			48,045			—			—			48,045
Redemption of Units		(9,042,397	)		—			(933,922	)		—			(9,976,319	)		(932,522	)		—			(25,319	)		(957,841	)
Net increase/(decrease) in Owners’
Capital resulting from operations attributable to controlling interests		(3,903,036	)		(865	)		(420,671	)		—			(4,324,572	)		(676,904	)		(429	)		(11,103	)		(688,436	)
Owners’ Capital, December 31, 2012	$	22,266,758		$	7,013		$	3,070,870		$	—		$	25,344,641		$	2,666,969		$	2,134		$	52,022		$	2,721,125
Owners’ Capital—Units, December 31, 2009		663,631			1,036			80,841									101,722			6,289			18,605
Sale of Units		1,202			—			—									827			—			—
Redemption of Units		(104,985	)		—			(18,213	)								(21,855	)		(6,260	)		(10,696	)
Owners’ Capital—Units, December 31, 2010		559,848			1,036			62,628									80,694			29			7,909
Sale of Units		704			—			—									789			—			—
Redemption of Units		(174,019	)		(966	)		(23,057	)								(21,486	)		—			(6,899	)
Owners’ Capital—Units, December 31, 2011		386,533			70			39,571									59,997			29			1,010
Sale of Units		361			—			—									726			—			—
Redemption of Units		(103,821	)		—			(8,723	)								(13,860	)		—			(297	)

F-31

	Tiverton/Graham/Transtrend Series (2)										Currency Series
	Class 1			Class 2							Class 1			Class 2
	Limited Owners			Managing Owner		Limited Owners			Non-Controlling Interests	Total	Limited Owners			Managing Owner		Limited Owners			Total
Owners’ Capital—Units, December 31, 2012		283,073			70		30,848					46,863			29		713
								(1)										(1)
Net asset value per unit at December 31, 2009	$	104.65				$	121.10				$	78.00				$	91.34
Change in net asset value per unit for the year ended December 31, 2010		5.81					10.63					1.09					4.09
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 the year ended December 31, 2011		(19.44	)				(19.89	)				(8.61	)				(7.82	)
Net asset value per unit at December 31, 2011		91.02					111.84					70.48					87.61
Change in net asset value per unit for the year ended December 31, 2012		(12.36	)				(12.29	)				(13.57	)				(14.66	)
Net asset value per unit at December 31, 2012	$	78.66				$	99.55				$	56.91				$	72.95

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

(2) Formerly the Berkeley/Graham/Tiverton Series.

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

F-32

The Series of the Frontier Fund

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2012, 2011 and 2010

	Winton Series												Winton/Graham Series
	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
Owners’ Capital, December 31, 2009	$	48,198,317		$	455,282		$	9,748,580		$	58,402,179		$	48,168,395		$	54,990		$	12,467,488		$	6,142,746		$	66,833,619
Sale of Units		277,520			—			—			277,520			143,516			—			—			—			143,516
Redemption of Units		(5,850,898	)		(250,000	)		(364,265	)		(6,465,163	)		(6,276,569	)		—			(2,310,599	)		—			(8,587,168	)
Contributions		—			—			—			—			—			—			—			5,800,968			5,800,968
Distributions		—			—			—			—			—			—			—			(8,907,979	)		(8,907,979	)
Operations attributable to non-controlling interests		—			—			—			—			—			—			—			2,644,623			2,644,623
Net increase/(decrease) in Owners’
Capital resulting from operations attributable to controlling interests		6,726,042			25,499			1,753,360			8,504,901			3,862,904			6,701			1,393,612			—			5,263,217
Owners’ Capital, 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		256,132			—			—			256,132			111,245			—			—			—			111,245
Redemption of Units		(13,146,425	)		(200,000	)		(307,653	)		(13,654,078	)		(17,353,576	)		—			(4,995,641	)		—			(22,349,217	)
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		1,885,111			3,495			838,027			2,726,633			(3,872,396	)		(6,138	)		(620,245	)		—			(4,498,779	)
Owners’ Capital, December 31, 2011		38,345,799			34,276			11,668,049			50,048,124			24,783,519			55,553			5,934,615			—			30,773,687
Sale of Units		204,803			—			—			204,803			59,915			—			—			—			59,915
Redemption of Units		(5,169,260	)		—			(862,917	)		(6,032,177	)		(6,118,966	)		—			(1,590,653	)		—			(7,709,619	)
Change in control of ownership—Trading Companies		—			—			—			—			—			—			—			—			—
Contributions		—			—			—			—			—			—			—			—			—
Distributions		—			—			—			—			—			—			—			—			—
Operations attributable to non-controlling interests		—			—			—			—			—			—			—			—			—
Net increase/(decrease) in Owners’
Capital resulting from operations attributable to controlling interests		(2,736,134	)		(1,555	)		(523,527	)		(3,261,216	)		(2,043,970	)		(3,870	)		(322,604	)		—			(2,370,444	)
Owners’ Capital, December 31, 2012	$	30,645,208		$	32,721		$	10,281,605		$	40,959,534		$	16,680,498		$	51,683		$	4,021,358		$	—		$	20,753,539
Owners’ Capital—Units, December 31, 2009		409,951			3,499			74,930						437,653			428			97,106
Sale of Units		2,209			—			—						1,289			—			—
Redemption of Units		(46,709	)		(2,000	)		(2,602	)					(55,910	)		—			(16,914	)
Owners’ Capital—Units, December 31, 2010		365,451			1,499			72,328						383,032			428			80,192
Sale of Units		1,867			—			—						964			—			—
Redemption of Units		(95,614	)		(1,292	)		(1,960	)					(147,347	)		—			(34,437	)

F-33

	Winton Series									Winton/Graham Series
	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
Owners’ Capital—Units, December 31, 2011		271,704			207		70,368				236,649			428		45,755
Sale of Units		1,520			—		—				595			—		—
Redemption of Units		(38,810	)		—		(5,416	)			(60,825	)		—		(12,430	)
Owners’ Capital—Units, December 31, 2012		234,414			207		64,952				176,419			428		33,325
								(1)									(1)
Net asset value per unit at December 31, 2009	$	117.57				$	130.10			$	110.06				$	128.39
Change in net asset value per unit for the year ended December 31, 2010		17.47					23.89				9.77					15.65
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 the year ended December 31, 2011		6.09					11.83				(15.10	)				(14.34	)
Net asset value per unit at December 31, 2011		141.13					165.82				104.73					129.70
Change in net asset value per unit for the year ended December 31, 2012		(10.40	)				(7.52	)			(10.18	)				(9.03	)
Net asset value per unit at December 31, 2012	$	130.73				$	158.30			$	94.55				$	120.67

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

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

F-34

The Series of the Frontier Fund

Statements of Cash Flows

For the Years Ended December 31, 2012, 2011 and 2010

	Frontier Diversified Series									Frontier Masters Series									Frontier Long/Short Commodity Series
	12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(5,319,266	)	$	(4,382,558	)	$	11,292,885		$	567,448		$	(1,047,186	)	$	6,019,860		$	(15,709,821	)	$	10,519,098		$	9,002,172
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		—			—			—			792,372			(792,372	)		—			(25,115,143	)		25,934,678			(518,490	)
Net change in options written, at fair value		—			—			—			—			—			—			928,690			(2,640,380	)		1,640,941
Net change in ownership allocation of U.S. Treasury securities		437,135			(2,912,826	)		(6,617,820	)		(1,323,698	)		(3,683,954	)		(506,120	)		(906,246	)		(15,719,642	)		6,227,099
Net change in ownership allocation of custom time deposits		1,255,558			(6,680,291	)		(35,501,972	)		(9,354,968	)		(18,343,873	)		(1,397,123	)		(1,750,221	)		12,468			—
Net change in ownership allocation of credit default swaps		423			(80,518	)		—			(1,219	)		(44,941	)		—			(4,324	)		—			—
Net realized (gain) on swap contracts		106,862			5,621,987			—			55,669			1,607,804			—			58,693			11,411			—
Net unrealized (gain)/loss on swap contracts		23,719			(1,315,339	)		(416,156	)		2,775			(2,061,339	)		(3,474,611	)		20,529			(20,529	)		—
Net unrealized (gain)/loss on U.S. Treasury securities		719,255			(23,748	)		(255,854	)		343,628			(5,038	)		(192,745	)		446,969			(24,825	)		(208,016	)
Net realized (gain)/loss on U.S. Treasury securities		(461,598	)		—			—			(222,749	)		—			—			(289,571	)		—			—
(Purchases) sales of:
Sales of swap contracts		—			7,096,699			58,890			—			26,826,316			7,694,189			—			—			—
(Purchases) of swap contracts		—			(45,928	)		(2,500,000	)		—			(142,819	)		(14,489,668	)		—			(78,248	)		—
Sales of custom time deposits		7,187,810			8,477,490			—			3,966,650			5,505,655			—			3,484,028			11,163,129			—
(Purchases) of custom time deposits		—			—			(8,262,241	)		—			—			(4,603,586	)		—			—			(4,030,695	)
Sales of U.S. Treasury securities		12,009,512			—			—			6,222,456			—			—			7,826,548			—			—
Increase and/or decrease in:
Receivable from futures commission merchants		—			—			—			5,107,749			(5,107,749	)		—			33,051,048			(47,822,021	)		23,781,708
Change in control of ownership—trading companies		—			—			157,005			(2,278,332	)		—			—			7,337,360			28,341,047			(8,718,487	)
Contributions to trading companies		—			—			—			6,455,785			115,000			—			55,863,801			4,105,200			97,830
Distributions from trading companies		—			—			—			(4,184,435	)		(28,854	)		—			(59,430,350	)		(28,282,129	)		—
Investments in unconsolidated trading companies, at fair value		(4,586,255	)		16,699,924			(44,134,477	)		(5,053,883	)		11,203,744			(11,021,651	)		406,750			28,882,460			(31,058,824	)
Prepaid service fees—Class 1		122,742			244,867			16,493			(6,326	)		154,010			(37,436	)		54,499			(48,614	)		12,992
Interest receivable		174,871			(42,984	)		(92,242	)		68,961			(51,616	)		(8,877	)		97,376			(38,036	)		21,471
Receivable from related parties		(98,119	)		73,638			189,820			(38,735	)		—			179,715			3,522			(4,071	)		—
Other assets		10,129			(10,069	)		(60	)		6,162			(6,147	)		(15	)		9,592			(9,380	)		(212	)
Inter-series payables/receivables, at fair value		—			—			(10,962,073	)		—			—			(18,184,135	)		—			—			—
Incentive fees payable to Managing Owner		(332,130	)		(931,069	)		1,320,668			—			(229,686	)		229,686			(127,052	)		(1,473,651	)		1,322,436
Management fees payable to Managing Owner		(30,044	)		40,474			111,533			733			9,010			78,602			(7,298	)		(15,361	)		155,692
Interest payable to Managing Owner		(12,521	)		954			40,782			(3,380	)		10,074			7,240			(4,295	)		9,470			11,205

F-35

	Frontier Diversified Series									Frontier Masters Series									Frontier Long/Short Commodity Series
	12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010
Trading fees payable to Managing Owner		(40,852	)		(41,281	)		236,534			(426	)		(26,563	)		90,865			(4,246	)		38,947			29,219
Trailing service fees payable to Managing Owner		12,300			27,974			48,296			5,512			20,017			20,581			1,154			(46,766	)		6,179
Payables to related parties		19,435			(57,770	)		57,770			9,579			(113,855	)		113,911			34,037			(8,528	)		(26,996	)
Other liabilities		(2,174	)		(12,755	)		10,957			(856	)		(5,421	)		4,341			—			(10,961	)		8,000
Net cash provided by (used in) operating activities		11,196,793			21,746,871			(95,201,262	)		1,136,472			13,760,217			(39,476,977	)		6,276,029			12,774,766			(2,244,776	)
Cash Flows from Financing Activities:
Proceeds from sale of units		14,106,047			44,490,694			100,025,158			9,709,609			12,197,503			43,068,005			12,602,490			41,710,300			21,784,520
Payment for redemption of units		(27,578,813	)		(65,630,504	)		(8,295,195	)		(11,667,326	)		(24,628,784	)		(6,099,322	)		(20,495,621	)		(52,392,651	)		(25,370,305	)
Pending owner additions		(219,188	)		(379,830	)		(838,323	)		(7,267	)		(123,284	)		(2,036,469	)		21,571			(85,001	)		125,967
Owner redemptions payable		200,301			102,096			219,042			136,457			(178,226	)		183,222			259,833			(76,477	)		160,970
Net cash provided by (used in) financing activities		(13,491,653	)		(21,417,544	)		91,110,682			(1,828,527	)		(12,732,791	)		35,115,436			(7,611,727	)		(10,843,829	)		(3,298,848	)
Net increase (decrease) in cash and cash equivalents		(2,294,860	)		329,327			(4,090,580	)		(692,055	)		1,027,426			(4,361,541	)		(1,335,698	)		1,930,937			(5,543,624	)
Cash and cash equivalents, beginning of year or period		4,976,749			4,647,422			8,738,002			2,234,716			1,207,290			5,568,831			3,045,849			1,114,912			6,658,536
Cash and cash equivalents, end of year or period	$	2,681,889		$	4,976,749		$	4,647,422		$	1,542,661		$	2,234,716		$	1,207,290		$	1,710,151		$	3,045,849		$	1,114,912

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

F-36

The Series of the Frontier Fund

Statements of Cash Flows

For the Years Ended December 31, 2012, 2011 and 2010

	Balanced Series									Tiverton/Graham/Transtrend Series (1)									Currency Series
	12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(8,727,551	)	$	(18,408,475	)	$	56,185,723		$	(4,324,572	)	$	(9,268,132	)	$	5,805,146		$	(688,436	)	$	(620,937	)	$	169,751
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		13,777,052			16,312,122			(15,156,564	)		—			—			—			—			27,098			(7,634	)
Net change in options written, at fair value		(3,161,090	)		(1,931,274	)		2,431,689			—			2,680,199			2,633,748			—			—			—
Net change in ownership allocation of U.S. Treasury securities		3,447,652			(7,080,628	)		6,455,088			(458,236	)		6,356,295			11,105,118			78,003			1,679,073			556,890
Net change in custom time deposits		15,147,587			34,673			—			(163,629	)		33,510			—			(369,071	)		6,056,239			2,239,528
Net change in ownership allocation of credit default swaps		—			—			—			(2,283	)		—			—			82			15,835			—
Net change in ownership allocation of total return swaps		20,259			2,002,497			—			—			—			—			—			—			—
Net unrealized (gain)/loss on swap contracts		1,334,945			19,106,948			(8,790,927	)		2,448			(2,447	)		—			(3,603	)		(6,327,629	)		(675,809	)
Net realized (gain)/loss on swap contracts		175,294			(3,521,124	)		—			34,232			6,252			—			6,104			8,302,467			—
Net unrealized (gain)/loss on U.S. Treasury securities		1,186,676			16,555			(595,392	)		239,713			(2,768	)		(144,737	)		13,168			4,083			(52,062	)
Net realized (gain)/loss on U.S. Treasury securities		(757,245	)		—			—			(160,314	)		—			—			(8,440	)		—			—
Net realized (gain)/loss on investment in Berkeley Quantitative
Colorado Fund LLC		—			—			—			2,172,987			135,775			—			—			—			—
Net unrealized (gain)/loss on investment in Berkeley														2,238,082			-157,099
Quantitative Colorado Fund LLC		—			—			—			(2,084,880	)		—			—			—			—			—
Net increase from payments by managing owner		—			—			—			—			—			—			—			(390,589	)		—
(Purchases) sales of:
Sales of swap contracts		—			27,897,084			—			—			—			—			—			5,043,086			—
(Purchases) of swap contracts		—			(19,527,925	)		—			—			(71,712	)		—			—			(23,489	)		—
Sales of custom time deposits		14,559,264			28,695,160			—			3,302,228			13,639,642			—			1,005,669			3,836,498			—
(Purchases) of custom time deposits		—			—			(16,960,383	)		—			—			(3,849,159	)		—			—			(1,188,104	)
Sales of U.S. Treasury securities		19,339,500			—			—			3,764,667			—			—			194,734			—			—
Sale (purchase) of Berkeley Quantitative Colorado Fund LLC		—			—			—			6,182,737			1,512,397			(10,000,000	)		—			—			—
Increase and/or decrease in:
Receivable from futures commission merchants		(17,307,299	)		10,662,500			(14,237,495	)		—			—			—			—			678,208			(188,725	)
Change in control of ownership—trading companies		(3,881,178	)		17,035,844			(10,641,521	)		—			—			(14,996,045	)		—			—			—
Investments in unconsolidated trading companies, at fair value		(1,937,319	)		23,816,569			(26,562,849	)		860,538			4,431,824			2,982,381			550,623			(2,352,121	)		—
Contributions to trading companies		151,972,482			136,058,408			47,689,690			—			—			16,000,000			—			—			—
Distributions from trading companies		(148,335,019	)		(157,826,198	)		(24,463,479	)		—			—			(2,896,500	)		—			—			—
Inter-series payables/receivables, at fair value		—			—			27,952,024			—			—			—			—			(13,770,271	)		550,017
Prepaid service fees—Class 1		—			41,137,058			487,872			—			16			64,993			—			—			2,852
Interest receivable		319,779			(31,251	)		31,827			46,617			35,778			36,182			3,826			22,914			7,474
Receivable from related parties		(17,313	)		—			296,789			—			—			200			—			—			—
Other assets		13,972			(29,414	)		(18,859	)		7,914			(7,777	)		(136	)		497			(469	)		(28	)
Incentive fees payable to Managing Owner		(667,725	)		(1,493,745	)		1,382,180			—			(270,557	)		270,557			—			—			—

F-37

	Balanced Series									Tiverton/Graham/Transtrend Series (1)									Currency Series
	12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010
Management fees payable to Managing Owner		(48,370	)		127,380			(94,591	)		1,689			(51,055	)		58,444			3,889			(13,860	)		5,323
Interest payable to Managing Owner		(67,523	)		248,821			74,328			(25,257	)		(51,479	)		61,387			(5,681	)		(18,698	)		10,108
Trading fees payable to Managing Owner		(43,523	)		105,311			(32,230	)		(9,155	)		(4,502	)		12,630			(936	)		(5,682	)		2,839
Trailing service fees payable to Managing Owner		(102,438	)		239,055			110,726			(32,314	)		(61,291	)		62,266			(2,775	)		(4,988	)		(2,356	)
Payables to related parties		(918	)		(65,107	)		(202,485	)		47,267			(9,786	)		(235,882	)		60			(5,246	)		(4,706	)
Other liabilities		(8,437	)		5,308			(2,560	)		(1,373	)		420			473			(115	)		(9	)		(312	)
Net cash provided by (used in) operating activities		36,230,850			113,586,152			25,338,601			9,401,024			21,268,684			6,813,967			777,598			2,131,513			1,425,046
Cash Flows from Financing Activities:
Proceeds from sale of units		2,758,057			2,762,993			4,186,954			31,560			73,374			124,546			48,045			58,429			65,957
Payment for redemption of units		(44,882,520	)		(111,984,294	)		(45,997,154	)		(9,976,319	)		(21,420,598	)		(13,170,179	)		(957,841	)		(2,257,535	)		(3,304,436	)
Pending owner additions		(10,377	)		45,208			—			(1,874	)		3,396			—			(1,096	)		4,509			—
Owner redemptions payable		257,707			(27,871	)		(555,035	)		(142,459	)		86,371			96,181			(15,694	)		(29,526	)		45,220
Net cash provided by (used in) financing activities		(41,877,133	)		(109,203,964	)		(42,365,235	)		(10,089,092	)		(21,257,457	)		(12,949,452	)		(926,586	)		(2,224,123	)		(3,193,259	)
Net increase (decrease) in cash and cash equivalents		(5,646,283	)		4,382,188			(17,026,634	)		(688,068	)		11,227			(6,135,485	)		(148,988	)		(92,610	)		(1,768,213	)
Cash and cash equivalents, beginning of year or period		9,758,138			5,375,950			22,402,584			1,352,378			1,341,151			7,476,636			182,875			275,485			2,043,698
Cash and cash equivalents, end of year or period	$	4,111,855		$	9,758,138		$	5,375,950		$	664,310		$	1,352,378		$	1,341,151		$	33,887		$	182,875		$	275,485

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

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

F-38

The Series of the Frontier Fund

Statements of Cash Flows

For the Years Ended December 31, 2012, 2011 and 2010

	Winton Series									Winton/Graham Series
	12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(3,261,216	)	$	2,726,633		$	8,504,901		$	(2,370,444	)	$	(4,969,498	)	$	7,907,840
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			(616,949	)
Net change in ownership allocation of U.S. Treasury securities		1,510,814			196,565			(42,915	)		327,333			3,201,951			478,631
Net change in custom time deposits		851,817			(2,508,040	)		(2,803,095	)		(17,599	)		8,934,476			1,250,739
Net change in ownership allocation of credit default swaps		(3,184	)		18,791			—			722			26,895			—
Net unrealized (gain)/loss on swap contracts		7,291			—			—			(943	)		—			—
Net realized (gain)/loss on swap contracts		57,781			(7,291	)		—			30,602			944			—
Net unrealized (gain) loss on U.S. Treasury securities, at fair value		369,593			9,969			—			163,574			5,791			—
Net realized (gain) loss on U.S. Treasury securities, at fair value		(239,533	)		2,017			(163,733	)		(105,686	)		3,545			(159,470	)
(Purchases) sale of:
(Purchases) of swap contracts		—			(83,357	)		—			—			(64,011	)		—
Sales of custom time deposits		3,437,418			12,335,669			—			4,056,931			13,486,442			—
(Purchases) of custom time deposits		—			—			(3,981,330	)		—			—			(4,735,352	)
Sales of U.S. Treasury Securities, at fair value		4,372,506			—			—			2,678,561			—			—
Increase and/or decrease in:
Receivable from futures commission merchants		—			—			—			—			11,090,076			1,920,174
Change in control of ownership of trading companies		—			—			—			—			(5,222,639	)		—
Contributions to trading companies		—			—			—			—			3,981,000			5,800,968
Distributions from trading companies		—			—			—			—			(3,968,000	)		(8,907,979	)
Investments in unconsolidated trading companies, at fair value		(2,134,049	)		1,490,991			187,005			2,298,569			(5,090,173	)		(125,872	)
Prepaid service fees—Class 1		—			—			—			—			—			105,448
Interest receivable		82,775			1,337			(1,003	)		42,201			43,075			6,068
Receivable from related parties		—			—			—			—			—			470
Other assets		6,890			(6,773	)		(117	)		6,520			(6,409	)		(111	)
Incentive fees payable to Managing Owner		—			(467,341	)		467,341			—			(623,629	)		623,629
Management fees payable to Managing Owner		(4,421	)		(32,116	)		59,416			(36,669	)		(67,825	)		88,752
Interest payable to Managing Owner		(15,125	)		(17,776	)		50,929			(17,257	)		(45,025	)		43,126
Trading fees payable to Managing Owner		(5,261	)		6,057			11,974			(6,279	)		(4,700	)		12,047
Trailing service fees payable to Managing Owner		(15,488	)		(21,041	)		24,219			(19,025	)		(46,557	)		50,986
Payables to related parties		244			(25,066	)		(147,171	)		(39	)		(11,953	)		8,509
Other liabilities		(1,377	)		719			(132	)		(2,244	)		1,242			98
Net cash provided by (used in) operating activities		5,017,475			13,619,947			2,166,289			7,028,828			22,082,156			3,751,752
Cash Flows from Financing Activities:
Proceeds from sale of units		204,803			256,132			277,520			59,915			111,245			143,516
Payment for redemption of units		(6,032,177	)		(13,654,078	)		(6,465,163	)		(7,709,619	)		(22,349,216	)		(8,587,168	)
Pending owner additions		(3,767	)		18,811			—			(1,787	)		5,763			—
Owner redemptions payable		11,849			1,836			8,782			2,780			(46,387	)		61,838
Net cash provided by (used in) financing activities		(5,819,292	)		(13,377,299	)		(6,178,861	)		(7,648,711	)		(22,278,595	)		(8,381,814	)
Net increase (decrease) in cash and cash equivalents		(801,813	)		242,648			(4,012,572	)		(619,883	)		(196,439	)		(4,630,062	)
Cash and cash equivalents, beginning of year or period		2,051,272			1,808,624			5,821,196			1,156,042			1,352,481			5,982,543
Cash and cash equivalents, end of year or period	$	1,249,459		$	2,051,272		$	1,808,624		$	536,159		$	1,156,042		$	1,352,481

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

F-39

The Series of the Frontier Fund

Notes to Financial Statements

1. Organization and Purpose

The Frontier Fund, which is referred to in this report as the “Trust”, was formed on August 8, 2003, as a Delaware statutory trust. Please refer to the consolidated financial statements of the Trust included within this annual report. 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 dated 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 the Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of all Series.

The Trust, in relation to the Series, 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, in relation to the Series, may also engage in futures contracts, forwards, option contracts and other interest in derivative instruments, including swap contracts (“Swaps”).

The Trust has eight (8) separate and distinct Series of Units issued and outstanding: Frontier Diversified Series, Frontier Masters Series, Balanced Series, Frontier Long/Short Commodity Series, Tiverton/Graham/Transtrend Series (formerly Berkeley/Graham/Tiverton Series), Currency Series, Winton Series and Winton/Graham Series (each a “Series” and collectively, the “Series”). The Trust, with respect to the Series, 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;

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• 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);

• 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 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, with respect to the Series, 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 December 31, 2012, the Trust, with respect to the Frontier Diversified Series, Frontier Masters Series, Tiverton/Graham/Transtrend Series, Currency Series, Winton Series and Winton/Graham Series separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Balanced Series, and Frontier Long/Short Commodity Series separates Units into six separate Classes—Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a. It is expected that between 10% and 30% of each Series’ assets normally will be

F-41

invested in one or more Trading Companies to be committed as margin for trading positions, but from time to time these percentages may be substantially more or less. The remainders of each Series’ assets are maintained at the Trust level for cash management. Each of the respective Series has invested monies into pooled cash management assets which have included purchases of certificates of deposit, custom time deposits and U.S. Treasury securities. Each Series’ ownership in these investments is based on its percentage ownership in the pooled cash management assets on the reporting date.

As of December 31, 2012, Winton Series has invested a portion of its assets in a single Trading Company, and a single Trading Advisor manages 100% of the assets invested in such Trading Company. The Currency Series invests a portion of its assets in a single Trading Company, which allocates assets to one Swap. Each of the Frontier Diversified Series, Frontier Masters Series, Frontier Long/Short Commodity Series, Balanced Series, Tiverton/Graham/Transtrend Series, and Winton/Graham Series has invested a portion of its assets in several different Trading Companies and one or more Trading Advisors may manage the assets invested in such Trading Companies.

In November 2010, the Tiverton/Graham/Transtrend 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. This investment was liquidated on March 20, 2012.

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 onetime discretionary 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.

During July 2012, Frontier Long/Short Commodity Series Class 1 Units and Balanced Series Class 1a Units Ceased Trading Operations and all remaining Units were exchanged for Class 3 Units and Class 3a Units, respectively.

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.

2. Significant Accounting Policies

The following are the significant accounting policies of the Series of the Trust.

Basis of Presentation—The Series of the Trust follow Generally Accepted Accounting Principles (“GAAP”), as established by the Financial Accounting Standards Board (the “FASB”), to ensure consistent reporting of financial condition, condensed schedules of investments, results of operations, changes in capital and cash flows.

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. Fair value represents the proportionate share of the Series interest in the NAV in a Trading Company. 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

F-42

or loss attributable thereto in proportion of investment level is shown in the statements of operations as change in fair value of investments in unconsolidated trading companies.

The consolidated financial statements of the Balanced Series include the assets, liabilities and earnings of its majority-controlled Trading Companies; Frontier Trading Company I LLC, Frontier Trading Company XIV, LLC, Frontier Trading Company IX, LLC and Frontier Trading Company XVII, LLC and the assets and liabilities of its majority owned Trading Company, Frontier Trading Company XXIII, LLC along with the earnings of this Trading Company from July 7, 2012 through December 31, 2012. Also included in the consolidated financial statements were the earnings of its majority owned trading company, Frontier Trading Company VI, LLC, from January 1, 2011 through March 18, 2011, and Trading Company XVIII, LLC from January 1, 2011 through May 14, 2012 and the earnings from Frontier Trading Company XV, LLC from January 1, 2011 through December 28, 2012. Multiple Series have investment interests in Frontier Trading Company I LLC. The Managing Owner assigns the full ownership and earnings of that swap identified in footnote four as Option/Swap with Company A, owned by Frontier Trading Company I LLC, to the Balanced Series.

The consolidated financial statements of the Currency Series include the earnings of its wholly owned trading company, Frontier Trading Company III, LLC through July 15, 2011.

The consolidated financial statements of the Winton/Graham Series include the earnings of its majority-controlled trading company, Frontier Trading Company V, LLC through June 17, 2011.

The consolidated financial statements of the Frontier Long/Short Commodity Series include the assets, liabilities and earnings of its majority controlled trading companies; Frontier Trading Company VII, LLC, from September 28, 2011 through December 31, 2012 and Frontier Trading Company XVIII, LLC from May 15, 2012 through December 31, 2012.

The consolidated financial statements of the Frontier Masters Series include the assets, liabilities and earnings of its majority owned trading company, Frontier Trading Company XXI, LLC (earnings from March 1, 2011 through December 28, 2012). Also included in the consolidated financial statements were the earnings of its wholly owned trading company, Frontier Trading Company XI, LLC from January 1, 2011 through March 11, 2011.

Investment in Berkeley Quantitative Colorado Fund LLC—The Tiverton/Graham/Transtrend Series had an investment in the Berkeley Quantitative Colorado Fund LLC. The Berkeley Quantitative Colorado Fund LLC began operations on November 1, 2010 and was liquidated on March 20, 2012. The Berkeley Quantitative Colorado Fund LLC was not consolidated into the financial statements of the Tiverton/Graham/Transtrend Series because the Trust had no control or transparency over the operations of the trading company. This investment was shown on the statements of financial condition with the change in fair value shown in net unrealized gain/(loss) on the Berkeley Quantitative Colorado Fund LLC.

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

Cash and Cash Equivalents—Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits held at banks with original 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), Tiverton/Graham/Transtrend Series, Currency Series, Winton Series and Winton/Graham Series. For the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series and Balanced Series (Class 1a, Class 2a and Class 3a only),

F-43

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 of the Trust 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 Series of 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 2015. Custom time deposits were purchased on April 1, 2010, 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. In May 2011, July 2011, August 2011 and January 2012, October 2012, and November 2012, the Trust, with respect to the Series, redeemed approximately $25 million, $25 million, $50 million $25 million and $16 million, respectively, in custom time deposits held with U.S. Bank N.A which represented a full liquidation of the 2.17% investment tranche and an additional $25 million of the 3.17% tranche. 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 Series of 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 Series of the Trust invested 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 were allocated to each Series based on their percentage ownership in the pooled cash management assets as of the reporting date. Credit Default Swaps were reported at fair value based upon counterparty value per the valuation policy. The Series of the Trust recorded the daily change in fair value in the statements of operations as net unrealized gain/(loss) on swap contracts. All Credit Default Swaps expired during March 2012.

Receivable From Futures Commission Merchants—The Series of 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, with respect to the Series, 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 change in open trade equity (deficit) as there exists a right of offset of unrealized gains or losses in accordance with 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-

F-44

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.

Foreign currency transactions—The Series’ functional currency is the U.S. dollar, however, they transact business in currencies other than the U.S. dollar. The Series do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.

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

Each Series allocates funds to an affiliated Trading Company, or Companies, of the Trust. Each Trading Company allocates all of its daily trading gains or losses to the Series in proportion to each Series’ ownership interest in the Trading Company, adjusted on a daily basis. As of December 31, 2012, 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. The amount of the funds advanced by the Balanced Series to each of the Currency Series participated on a pari passu basis with Class 2 Units of such investee Series. The Balanced 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 Managing Owner 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, with respect to the Series, records investment transactions on a trade date basis and all investments are recorded at fair value, 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 investment

F-45

or instrument. 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 are reported utilizing Level 3 Inputs. The significant unobservable inputs used in the fair value measurement of the Trust, with respect to the Series’ Swap contracts are asset liquidity, debt valuation, credit risk, volatility, market risk, distributions, dividends, risk premiums, and other risk management tools. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. 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 valuations provided by a third party pricing service on a daily basis. 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, with respect to the Series, 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, with respect to the Series’, 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, with respect to the Series. The 2009 through 2012 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, with respect to the Series, 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, with respect to the Series, 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, with respect to the Series.

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

F-46

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, with respect to the Series, 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 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 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 became effective for interim and annual periods beginning on or after December 15, 2011, with early adoption prohibited. Adoption of ASU 2011-04 on January 1, 2012 did not have a material impact on the Series’ statements of financial condition, results of operations and cash flows.

Recently Issued Accounting Pronouncements—In November of 2011, FASB issued new guidance that requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. This guidance is effective for annual and interim periods beginning on or after January, 1, 2013. An entity should provide the disclosures required by those amendments retrospectively for all comparative periods presented. The adoption of this guidance is not expected to have a material impact on the Series financial position or results of operations.

Subsequent Events—The Trust, with respect to the Series, follows the provisions of ASC 855, Subsequent Events, which establishes general standards of accounting for and disclosure of events that occur after the balance sheet date and up through the date the financial statements are issued. Refer to Note 11.

3. Fair Value Measurements

In connection with the valuation of investments the Series apply ASC 820, Fair Value Measurement (“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, with respect to the Series, 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) that are actively traded on public markets with quoted pricing for corroboration. U.S. Treasury securities and futures contracts, are reported at fair value using Level 1 inputs. Trading securities instruments further include open trade equity positions (trading options and currency forwards) that are quoted prices for identical or similar assets that are not traded on active markets. Trading options and currency forwards 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 owned 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. Swap contracts are reported at fair value basis upon daily reports from the counterparty. The valuation requires significant estimates utilizing Level 3 inputs, corroborated by management through the use of a third party pricing service (“pricing service”). The pricing service, utilizing proprietary model-intensive methodologies, selects and implements the pricing model appropriate for each swap valuation. The pricing service does not provide detail of the pricing model to management. The Managing Owner engages, via inquiry and review of methodology documentation, with the service provider to gain an understanding of the valuation model selected; the components of the model, both observable and unobservable; and quality control testing procedures in place. The pricing service’s methodology includes performance of tolerance testing on its valuation models to ensure consistency and reasonableness of the values derived. The tolerance testing includes valuing the components of the product separately, i.e. underlying asset, volatility, financing rates, and so forth. The tolerance testing is part of the initial valuation setup and throughout the ongoing daily valuation process. The pricing service also has several layers of quality control including: engineering / reverse engineering process to understand each swap and its’ subcomponent parts fully; comparative analysis against other valuations performed with similar composition and characteristics; review of output valuation against expectations based on observable price movements of underlying futures; and lastly, periodic review by senior financial engineer to ensure design and function of model is stable and perform as expected.

The Managing Owner has chartered a valuation committee to provide oversight of the valuation process for the Series. The valuation committee meets at least monthly to discuss the valuation process and any valuation issues that may arise. The valuation committee is comprised of senior members of the Managing Owner’s management team with varying areas of expertise that add value to the committee. The valuation

F-48

committee reports to both the Managing Owner’s Investment Oversight and Risk Committee and the Trust’s Executive Committee. The committee further remains in communication with the Managing Owner’s Due Diligence Committee that provides ongoing counterparty risk monitoring of the swap counterparties. The committee monitors daily pricing provided by the swap counterparty and daily valuation provided by the third party pricing service. The Valuation committee may request a price challenge if the daily valuation provided by the counterparty valuations differs significantly from the valuation obtained by the pricing service. The Managing Owner’s valuation committee monitors some additional input factors such as liquidity, volatility, and counterparty risk in order to further review the valuations provide by the pricing service.

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 Series may redeem their investment in the trading companies on a daily basis at the stated net asset value and therefore the inputs qualify for Level 2. However, as the Series, under the same management as the Trading Companies, have access to the underlying positions of the Trading Companies, the level determination is reflected on that basis. 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 was 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 represented fair value based on observable data such as ongoing redemption and/or subscription activity, which was reported as a Level 2 input. The Berkeley Quantitative Colorado Fund LLC began operations on November 1, 2010 and was liquidated on March 20, 2012.

The following table summarizes the instruments that comprise the Trust, with respect to the Series, financial asset portfolio, by Series, measured at fair value on a recurring basis as of December 31, 2012 and December 31, 2011, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

December 31, 2012	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Frontier Diversified Series		95.9	%		4.1	%
Investment in Unconsolidated Trading Companies	$	41,070,543		$	1,755,883		$	—	$	42,826,426
U.S. Treasury Securities		3,853,000			—			—		3,853,000
Frontier Masters Series
Investment in Unconsolidated Trading Companies		8,172,213			1,599,584			—		9,771,797
U.S. Treasury Securities		2,212,909			—			—		2,212,909
Frontier Long/Short Commodity Series
Open Trade Equity (Deficit)		(3,720,855	)		2,901,320			—		(819,535	)
Options Written		—			(928,690	)		—		(928,690	)
Investment in Unconsolidated Trading Companies		3,661,455			13,783			—		3,675,238
U.S. Treasury Securities		2,388,540			—			—		2,388,540
Balanced Series
Open Trade Equity (Deficit)		(1,111,681	)		439,170			—		(672,511	)
Options Written		—			(165,363	)		—		(165,363	)
Swap Contracts		—			—			22,289,478		22,289,478
Investment in Unconsolidated Trading Companies		16,719,672			3,473,456			—		20,193,128
U.S. Treasury Securities		5,951,633			—			—		5,951,633

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December 31, 2012	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Tiverton/Graham/Transtrend Series
Investment in Unconsolidated Trading Companies		5,981,225			1,392,284			—		7,373,509
U.S. Treasury Securities		961,568			—			—		961,568
Currency Series
Investment in Unconsolidated Trading Companies		—			—			1,801,498		1,801,498
U.S. Treasury Securities		49,052			—			—		49,052
Winton Series
Investment in Unconsolidated Trading Companies		6,820,010			45,955			—		6,865,965
U.S. Treasury Securities		1,808,547			—			—		1,808,547
Winton/Graham Series
Investment in Unconsolidated Trading Companies		6,070,974			103,881			—		6,174,855
U.S. Treasury Securities		776,073			—			—		776,073
December 31, 2011	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Frontier Diversified Series
Swap Contracts	$	—		$	—		$	131,004	$	131,004
Investment in Unconsolidated Trading Companies		30,885,365			2,212,764			5,142,042		38,240,171
U.S. Treasury Securities		16,557,304			—			—		16,557,304
Frontier Long/Short Commodity Series
Open Trade Deficit		(25,934,678	)		—			—		(25,934,678	)
Swap Contracts		—			—			74,898		74,898
Investment in Unconsolidated Trading Companies		3,221,324			5,428			855,236		4,081,988
U.S. Treasury Securities		9,466,240			—			—		9,466,240
Frontier Masters Series
Open Trade Equity		792,372			—			—		792,372
Swap Contracts		—			—			57,225		57,225
Investment in Unconsolidated Trading Companies		4,009,449			708,465			—		4,717,914
U.S. Treasury Securities		7,232,546			—			—		7,232,546
Balanced Series
Open Trade Equity		1,175,762			11,928,779			—		13,104,541
Options Written		—			(3,326,453	)		—		(3,326,453	)
Swap Contracts		—			—			23,819,312		23,819,312
Investment in Unconsolidated Trading Companies		18,257,754			(1,945	)		—		18,255,809
U.S. Treasury Securities		29,168,216			—			—		29,168,216
Tiverton/Graham/Transtrend Series
Swap Contracts		—			—			34,397		34,397
Investment in Unconsolidated Trading Companies		7,219,498			1,014,549			—		8,234,047
Investment in Berkeley Quantitative Colorado Fund LLC		—			6,270,844			—		6,270,844
U.S. Treasury Securities		4,347,398			—			—		4,347,398

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December 31, 2011	Level 1 Inputs		Level 2 Inputs			Level 3 Inputs		Total Fair Value
Currency Series
Swap Contracts		—		—			2,583		2,583
U.S. Treasury Securities		326,517		—			—		326,517
Investment in Unconsolidated Trading Companies		—		—			2,352,121		2,352,121
Winton Series
Swap Contracts		—		—			61,888		61,888
Investment in Unconsolidated Trading Companies		4,733,423		(1,507	)		—		4,731,916
U.S. Treasury Securities		7,821,927		—			—		7,821,927
Winton/Graham Series
Swap Contracts		—		—			30,381		30,381
Investment in Unconsolidated Trading Companies		8,474,102		(678	)		—		8,473,424
U.S. Treasury Securities		3,839,855		—			—		3,839,855

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 statements of operations. Investment in unconsolidated trading company asset gains and losses (realized/unrealized) included in earnings are classified in “Change in fair value of investments in unconsolidated trading companies.” During the year ended December 31, 2012, all identified Level 3 assets are components of the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series, Tiverton/Graham/Transtrend Series, Currency Series, Winton Series and Winton/Graham Series.

The Series of the Trust assess the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Series’ accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. During the year ended December 31, 2012, the Trust transferred currency forwards from Level 1 assets to Level 2 assets. During the year ended December 31, 2011, all identified Level 3 assets are components of the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series and Currency Series.

2012:

Swaps:

	Frontier Diversified Series			Frontier Masters Series			Frontier Long/Short Commodity Series
Balance of recurring Level 3 assets as of January 1, 2012	$	131,004		$	57,225		$	74,898
Total gains or losses (realized/unrealized):
Included in earnings-realized		(106,862	)		(55,669	)		(58,693	)
Included in earnings-unrealized		(23,719	)		(2,775	)		(20,529	)
Change in ownership allocation of credit default swaps		(423	)		1,219			4,324
Transfers in and/or out of Level 3		—			—			—
Balance of recurring Level 3 assets as of December 31, 2012	$	—		$	—		$	—

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	Balanced Series			Tiverton/Graham/ Transtrend Series			Currency Series
Balance of recurring Level 3 assets as of January 1, 2012	$	23,819,312		$	34,397		$	2,583
Total gains or losses (realized/unrealized):
Included in earnings-realized		(175,294	)		(34,232	)		(6,104	)
Included in earnings-unrealized		(1,334,945	)		(2,448	)		3,603
Sales of swap contract		—			—			—
Change in ownership allocation of credit default swaps		(19,595	)		2,283			(82	)
Transfers in and/or out of Level 3		—			—			—
Balance of recurring Level 3 assets as of December 31, 2012	$	22,289,478		$	—		$	—

	Winton Series			Winton/ Graham Series
Balance of recurring Level 3 assets as of January 1, 2012	$	61,888		$	30,381
Total gains or losses (realized/unrealized):
Included in earnings-realized		(57,781	)		(30,602	)
Included in earnings-unrealized		(7,291	)		943
Change in ownership allocation of credit default swaps		3,184			(722	)
Transfers in and/or out of Level 3		—			—
Balance of recurring Level 3 assets as of December 31, 2012	$	—		$	—

Investments in Unconsolidated Trading Companies:

	Currency Series
Balance of recurring Level 3 assets as of January 1, 2012	$	2,352,121
Change in fair value of investments in unconsolidated trading companies		(551,100	)
Proceeds from sales of investments of unconsolidated trading companies		—
Purchases of investments of unconsolidated trading companies		477
Change in ownership allocation		—
Transfers in and/or out of Level 3		—
Balance of recurring Level 3 assets as of December 31, 2012	$	1,801,498

2011:

Swaps:

	Frontier Diversified Series			Frontier Long/Short Commodity Series			Frontier Masters Series
Balance of recurring Level 3 assets as of January 1, 2011	$	11,407,905		$	—		$	26,242,246
Total gains or losses (realized/unrealized):
Included in earnings-realized		(5,621,987	)		(11,411	)		2,061,339
Included in earnings-unrealized		1,315,339			20,529			(1,607,804	)
Purchases of investments		45,929			78,248			142,819
Sales of investments		(7,096,699	)		—			(26,826,316	)
Change in ownership allocation of credit default swaps		80,517			(12,468	)		44,941
Transfers in and/or out of Level 3		—			—			—
Balance of recurring Level 3 assets as of December 31, 2011	$	131,004		$	74,898		$	57,225

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	Balanced Series			Tiverton/Graham/ Transtrend  Series			Currency Series
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		(19,161,366	)		(6,252	)		(6,958,362	)
Included in earnings-unrealized		4,529,039			2,447			6,327,609
Purchases of investments		19,527,925			71,712			23,489
Sales of investments		(27,897,084	)		—			(5,043,086	)
Change in ownership allocation of credit default swaps		(34,673	)		(33,510	)		(15,835	)
Change in ownership allocation of total return swaps		(2,955,991	)		—			—
Transfers in and/or out of Level 3		—			—			—
Balance of recurring Level 3 assets as of December 31, 2011	$	23,819,312		$	34,397		$	2,583

	Winton Series			Winton/ Graham Series
Balance of recurring Level 3 assets as of January 1, 2011	$	—		$	—
Total gains or losses (realized/unrealized):
Included in earnings-realized		(9,969	)		(5,791	)
Included in earnings-unrealized		7,291			(944	)
Purchases of investments		83,357			64,011
Sales of investments		—			—
Change in ownership allocation of credit default swaps		(18,791	)		(26,895	)
Transfers in and/or out of Level 3		—			—
Balance of recurring Level 3 assets as of December 31, 2011	$	61,888		$	30,381

Investments in Unconsolidated Trading Companies:

	Currency Series			Frontier Diversified Series			Frontier Long/Short Commodoity Series
Balance of recurring Level 3 assets as of January 1, 2011	$	—		$	12,398,412		$	562,705
Change in unrealized in investment of unconsolidated trading companies		(162,659	)		(5,086,488	)		(753,554	)
Realized gain/(loss) in investment of unconsolidated trading companies		(2,334	)		1,806,063			267,565
Proceeds from sales of investments of unconsolidated trading companies		—			(5,387,844	)		(798,199	)
Purchases of investments of unconsolidated trading companies		2,500,000			—			—
Change in ownership allocation		17,114			1,411,899			1,576,719
Transfers in and/or out of Level 3		—			—			—
Balance of recurring Level 3 assets as of December 31, 2011	$	2,352,121		$	5,142,042		$	855,236

Investment in Berkeley Quantitative Colorado Fund LLC

On November 1, 2010, the Tiverton /Graham/Transtrend Series made an investment in a non-registered fund, the Berkeley Quantitative Colorado Fund LLC. As of December 31, 2011, the fair value of the investment in Berkeley Quantitative Colorado Fund LLC exceeded five percent of the Tiverton/Graham/Transtrend Series owners’ capital balance. The investment was liquidated on March 20, 2012.

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The following tables summarize the Tiverton/Graham/Transtrend Series investment in Berkeley Quantitative Colorado Fund LLC as of and for the years ended December 31, 2011 and 2010. The management agreement of the investee fund provided for compensation to the investment manager in the form of fees in the monthly amount equal to one-twelfth of 3.0% of the notional account net asset value and 20% of the new high net trading profits earned.

2011

Investment	% of Owners’ Capital			Fair value		Income (loss)			Mgmt Fee		Incentive Fees		Investment Objective		Redemptions Permitted
Berkeley Quantitative														Leveraged
Colorado Fund LLC		15.83	%	$	6,270,844	$	(2,373,858	)	$	791,365	$	—		Speculation		Monthly	*

2010

Investment	% of Owners’ Capital			Fair value		Income (loss)		Mgmt Fee		Incentive Fees		Investment Objective		Redemptions Permitted
Berkeley Quantitative													Leveraged
Colorado Fund LLC		14.46	%	$	10,157,099	$	153,203	$	146,432	$	45,345		Speculation		Monthly	*

Information about the investee fund’s portfolio was not available to the Series.

* The interest of a member in Berkeley Quantitative Colorado Fund LLC could be wholly or partially withdrawn on the last trading day of any calendar month provided the managing member had been provided written notice within five business days of such withdrawal.

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 invested in Credit Default Swaps (“CDS”) with highly-rated counterparties as part of its portfolio. CDS’s 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 were 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. All Credit Default Swaps expired during March, 2012.

Each Series’ investment in Swaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements. 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

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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 December 31, 2012 and December 31, 2011, approximately 4.0% and 5.0%, respectively, of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain Swaps.

The Series may 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 Series had the following swap activity during the year ended December 31, 2012:

	Frontier Diversified Series
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	—		$	—
Termination Date		3/20/2012			3/20/2012
Investee Returns		On Default			On Default
Realized Gain/(Loss)	$	(83,850	)	$	(23,012	)
Unrealized Gain/(Loss)	$	(46,731	)	$	23,012
Fair Value as of 12/31/2012	$	—		$	—

	Frontier Masters Series
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	—		$	—
Termination Date		3/20/2012			3/20/2012
Investee Returns		On Default			On Default
Realized Gain/(Loss)	$	(44,412	)	$	(11,257	)
Unrealized Gain/(Loss)	$	(14,032	)	$	11,257
Fair Value as of 12/31/2012	$	—		$	—

	Frontier Long/Short Commodity Series
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	—		$	—
Termination Date		3/20/2012			3/20/2012
Investee Returns		On Default			On Default
Realized Gain/(Loss)	$	(45,848	)	$	(12,845	)
Unrealized Gain/(Loss)	$	(33,374	)	$	12,845
Fair Value as of 12/31/2012	$	—		$	—

	Balanced Series
	Credit Default Swap			Credit Default Swap			Option/Swap		Total Return Swap
Counterparty		BNP Paribas			Societe Generale			Societe Generale		DeutscheBank
Notional Amount	$	—		$	—		$	20,486,403	$	23,551,287
Termination Date		3/20/2012			3/20/2012			11/21/2014		6/30/2016
Investee Returns		On Default			On Default			Total Returns		Total Returns
Realized Gain/(Loss)	$	(133,362	)	$	(41,932	)	$	—	$	—
Unrealized Gain/(Loss)	$	(87,639	)	$	41,932		$	78,977	$	(1,344,945	)
Fair Value as of 12/31/2012	$	—		$	—		$	17,785,734	$	4,503,744

F-55

	Tiverton/Graham/Transtrend Series (1)
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	—		$	—
Termination Date		3/20/2012			3/20/2012
Investee Returns		On Default			On Default
Realized Gain/(Loss)	$	(26,333	)	$	(7,899	)
Unrealized Gain/(Loss)	$	(10,347	)	$	7,899
Fair Value as of 12/31/2012	$	—		$	—

(1) Formerly known as the Berkeley/Graham/Tiverton Series

	Currency Series
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	—		$	—
Termination Date		3/20/2012			3/20/2012
Investee Returns		On Default			On Default
Realized Gain/(Loss)	$	(4,730	)	$	(1,374	)
Unrealized Gain/(Loss)	$	2,229		$	1,374
Fair Value as of 12/31/2012	$	—		$	—

	Winton Series
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	—		$	—
Termination Date		3/20/2012			3/20/2012
Investee Returns		On Default			On Default
Realized Gain/(Loss)	$	(45,616	)	$	(12,165	)
Unrealized Gain/(Loss)	$	(19,456	)	$	12,165
Fair Value as of 12/31/2012	$	—		$	—

	Winton/Graham Series
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	—		$	—
Termination Date		3/20/2012			3/20/2012
Investee Returns		On Default			On Default
Realized Gain/(Loss)	$	(23,131	)	$	(7,471	)
Unrealized Gain/(Loss)	$	(6,528	)	$	7,471
Fair Value as of 12/31/2012	$	—		$	—

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The Series have invested in the following Swaps as of December 31, 2011:

	Frontier Diversified Series
	Credit Default Swap		Credit Default Swap
Counterparty		BNP Paribas		Societe Generale
Notional Amount	$	131,004	$	0
Termination Date		3/20/2012		3/20/2012
Investee Returns		On Default		On Default
Realized Gain/(Loss)	$	—	$	—
Unrealized Gain/(Loss)	$	46,730	$	(23,012	)
Fair Value as of 12/31/2011	$	131,004	$	—

	Frontier Long/Short Commodity Series
	Credit Default Swap		Credit Default Swap
Counterparty		BNP Paribas		Societe Generale
Notional Amount	$	74,898	$	0
Termination Date		3/20/2012		3/20/2012
Investee Returns		On Default		On Default
Realized Gain/(Loss)	$	—	$	—
Unrealized Gain/(Loss)	$	33,374	$	(12,845	)
Fair Value as of 12/31/2011	$	74,898	$	—

	Frontier Masters Series
	Credit Default Swap		Credit Default Swap
Counterparty		BNP Paribas		Societe Generale
Notional Amount	$	57,225	$	0
Termination Date		3/20/2012		3/20/2012
Investee Returns		On Default		On Default
Realized Gain/(Loss)	$	—	$	—
Unrealized Gain/(Loss)	$	14,031	$	(11,257	)
Fair Value as of 12/31/2011	$	57,225	$	—

	Balanced Series
	Credit Default Swap		Credit Default Swap			Option Basket			Option Basket
Counterparty		BNP Paribas		Societe Generale			Societe Generale			DeutscheBank
Notional Amount	$	230,783	$	0		$	14,129,540		$	23,551,287
Termination Date		3/20/2012		3/20/2012			11/6/2012			6/30/2016
Investee Returns		On Default		On Default			Total Returns			Total Returns
Realized Gain/(Loss)	$	—	$	—		$	6,689,123		$	—
Unrealized Gain/(Loss)	$	87,639	$	(41,932	)	$	(18,838,844	)	$	(368,228	)
Fair Value as of 12/31/2011	$	230,783	$	—		$	17,706,757		$	5,881,772

F-57

	Tiverton/Graham/Transtrend Series (1)
	Credit Default Swap		Credit Default Swap
Counterparty		BNP Paribas		Societe Generale
Notional Amount	$	34,397	$	0
Termination Date		3/20/2012		3/20/2012
Investee Returns		On Default		On Default
Realized Gain/(Loss)	$	—	$	—
Unrealized Gain/(Loss)	$	10,346	$	(7,899	)
Fair Value as of 12/31/2011	$	34,397	$	—

(1) Formerly known as the Berkeley/Graham/Tiverton Series

	Currency Series
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	2,583		$	0
Termination Date		3/20/2012			3/20/2012
Investee Returns		On Default			On Default
Realized Gain/(Loss)	$	—		$	—
Unrealized Gain/(Loss)	$	(2,228	)	$	(1,374	)
Fair Value as of 12/31/2011	$	2,583		$	—

	Winton Series
	Credit Default Swap		Credit Default Swap
Counterparty		BNP Paribas		Societe Generale
Notional Amount	$	61,888	$	0
Termination Date		3/20/2012		3/20/2012
Investee Returns		On Default		On Default
Realized Gain/(Loss)	$	—	$	—
Unrealized Gain/(Loss)	$	19,456	$	(12,165	)
Fair Value as of 12/31/2011	$	61,888	$	—

	Winton/Graham Series
	Credit Default Swap		Credit Default Swap
Counterparty		BNP Paribas		Societe Generale
Notional Amount	$	30,381	$	0
Termination Date		3/20/2012		3/20/2012
Investee Returns		On Default		On Default
Realized Gain/(Loss)	$	—	$	—
Unrealized Gain/(Loss)	$	6,528	$	(7,471	)
Fair Value as of 12/31/2011	$	30,381	$	—

5. Investments in Unconsolidated Trading Companies

Investments in unconsolidated trading companies represent cash, open trade equity and swap investments allocated from invested in the Trading Companies to 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

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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, Tiverton/Graham/Transtrend Series, Winton/Graham Series, Frontier Long/Short Commodity Series, Frontier Diversified Series, and Frontier Masters Series investments in unconsolidated Trading Companies as of December 31, 2012 and December 31, 2011.

	As of December 31, 2012					As of December 31, 2011
	Percentage of Series Net Assets Invested in Unconsolidated Trading Companies			Fair Value		Percentage of Series Net Assets Invested in Unconsolidated Trading Companies			Fair Value
Series
Frontier Diversified Series—
Frontier Trading Companies I, II, V, VII, IX, XIV, XV, XVIII, XXI and XXIII		37.18	%	$	42,826,426		28.54	%	$	38,240,171
Frontier Masters Series—
Frontier Trading Companies II, XIV and XV		18.98	%	$	9,771,797		8.92	%	$	4,717,914
Frontier Long/Short Commodity Series—
Frontier Trading Company I, XVIII and XXIII		6.00	%	$	3,675,238		5.03	%	$	4,081,988
Balanced Series—
Frontier Trading Companies II, V, VII, XV and XVIII		8.24	%	$	20,193,128		6.17	%	$	18,255,809
Tiverton/Graham/Transtrend Series (1)—
Frontier Trading Companies V, XV and XXI		29.09	%	$	7,373,509		20.79	%	$	8,234,047
Currency Series—
Frontier Trading Company XVII		66.20	%	$	1,801,498		54.46	%	$	2,352,121
Winton Series—
Frontier Trading Company II		16.76	%	$	6,865,965		9.45	%	$	4,731,916
Winton/Graham Series—
Frontier Trading Companies II and V		29.75	%	$	6,174,855		27.53	%	$	8,473,424

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

The following table summarizes the Balanced Series, Winton Series, Currency Series, Tiverton/Graham/Transtrend Series, Winton/Graham Series, Frontier Long/Short Commodity Series, Frontier Diversified Series, and Frontier Masters Series equity in earnings from unconsolidated Trading Companies for the years December 31, 2012, 2011 and 2010.

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	Year Ended December 31, 2012												Year Ended December 31, 2011												Year Ended December 31, 2010
Trading Company	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 Commissions			Realized Gain/(Loss)			Change in Unrealized Gain/(Loss)			Net Income (Loss)
Balanced Series—
Frontier Trading Company II LLC	$	(67,249	)	$	(581,781	)	$	(1,149,111	)		(1,798,141	)	$	(43,339	)	$	6,799,558		$	(505,785	)	$	6,250,434		$	(60,597	)	$	7,096,974		$	1,629,413		$	8,665,790
Frontier Trading Company V LLC		(121,345	)		(794,389	)		275,695			(640,039	)		(43,402	)		(1,265,653	)		264,191			(1,044,864	)		—			—			—			—
Frontier Trading Company VI LLC		—			—						—			—			—			—			—			(14,868	)		965,003			504,197			1,454,332
Frontier Trading Company VII, LLC		(688,216	)		(15,920,067	)		10,834,816			(5,773,467	)		(1,127,503	)		6,626,621			32,869,596			38,368,714			(2,786,670	)		32,281,979			(11,621,678	)		17,873,631
Frontier Trading Company XV, LLC		12,378			(9	)		30,242			42,611			(83,595	)		2,045,925			(189,232	)		1,773,098			(125,524	)		(372,806	)		2,118,611			1,620,281
Frontier Trading Company XVI, LLC		—			—			—			—			—			—			—			—			(3,985	)		(13,787	)		114,194			96,422
Frontier Trading Company XVIII, LLC		(15,364	)		(99,576	)		(37,208	)		(102,148	)		—			—			—			—			—			—			—			—
Frontier Trading Company XIX, LLC		—			—			—			—			—			—			—			—			(1,753	)		(2,055	)		(86,166	)		(89,974	)
Frontier Trading Company XXIII, LLC		(2,804	)		(229,730	)		45,494			254,420			—			—			—			—			—			—			—			—
Total	$	(900,600	)	$	(17,116,091	)	$	9,999,927		$	(8,016,764	)	$	(1,297,839	)	$	14,206,451		$	32,438,770		$	45,347,382		$	(2,993,397	)	$	39,955,308		$	(7,341,429	)	$	29,620,482
Winton Series—
Frontier Trading Company II LLC	$	(53,999	)	$	(424,479	)	$	(682,973	)	$	(1,161,451	)	$	(40,368	)	$	6,690,990		$	(780,897	)	$	5,869,725		$	(83,447	)	$	9,623,332		$	2,307,042		$	11,846,927
Currency Series—
Frontier Trading Company XVII LLC	$	—		$	—		$	(551,100	)	$	(551,100	)	$	—		$	—		$	(164,993	)	$	(164,993	)	$	—		$	—		$	—		$	—
Tiverton/Graham/Transtrend Series— (1)
Frontier Trading Company V LLC	$	(135,567	)	$	479,014		$	(1,268,937	)	$	(925,489	)	$	(240,088	)	$	(3,589,415	)	$	(84,896	)	$	(3,914,399	)	$	(259,831	)	$	2,255,644		$	211,805		$	2,207,618
Frontier Trading Company VI LLC		—			—			—			—			(1,460	)		259,429			(127,648	)		130,321			(25,986	)		(1,123,772	)		30,335			(1,119,423	)
Frontier Trading Company XV, LLC		(70,871	)		(950,142	)		77,828			(943,185	)		(71,567	)		(1,375,589	)		1,204,986			(242,170	)		(99,106	)		834,219			1,746,847			2,481,960
Frontier Trading Company XXI, LLC		(43,270	)		537,591			(559,922	)		(65,600	)
Total	$	(249,707	)	$	66,463		$	(1,751,032	)	$	(1,934,275	)	$	(313,115	)	$	(4,705,575	)	$	992,442		$	(4,026,248	)	$	(384,923	)	$	1,966,091		$	1,988,987		$	3,570,155
Winton/Graham Series—
Frontier Trading Company II LLC	$	(17,665	)	$	(174,117	)	$	(48,215	)	$	(239,998	)	$	(17,959	)	$	3,055,428		$	(461,106	)	$	2,576,363		$	(43,976	)	$	5,238,242		$	1,127,914		$	6,322,180
Frontier Trading Company V LLC		(160,692	)		(1,010,779	)		817,072			(354,399	)		(140,866	)		(4,249,135	)		561,357			(3,828,644	)		—			—			—			—
	$	(178,357	)	$	(1,184,897	)	$	768,857		$	(594,397	)	$	(158,825	)	$	(1,193,707	)	$	100,251		$	(1,252,281	)	$	(43,976	)	$	5,238,242		$	1,127,914		$	6,322,180
Frontier Long/Short Commodity Series—
Frontier Trading Company I LLC	$	(66,753	)	$	(2,961,869	)	$	(118,563	)	$	(3,147,185	)	$	(53,652	)	$	521,524		$	(348,510	)	$	119,362		$	(21,648	)	$	242,186		$	432,867		$	653,405
Frontier Trading Companies VII, LLC		—			—			—			—			(351,809	)		73,665,834			(63,287,455	)		10,026,570			(1,418,244	)		3,385,377			19,061,138			21,028,271
Frontier Trading Companies XVIII, LLC		(11,271	)		(116,615	)		(48,976	)		56,368			—			—			—			—			—			—			—			—
Frontier Trading Companies XXIII, LLC		(25,676	)		(271,193	)		44,488			(252,381	)		(6,881	)		(419,984	)		88,039			(338,826	)		—			—			—			—
Total	$	(103,699	)	$	(3,116,448	)	$	(123,051	)	$	(3,343,198	)	$	(412,342	)	$	73,767,374		$	(63,547,926	)	$	9,807,106		$	(1,439,892	)	$	3,627,563		$	19,494,005		$	21,681,676
Frontier Diversified Series—
Frontier Trading Company I LLC	$	(666,495	)	$	379,619		$	831,056		$	544,181		$	(1,104,816	)	$	21,062,981		$	(26,932,976	)	$	(6,974,811	)	$	(691,807	)	$	6,685,326		$	1,898,999		$	7,892,518
Frontier Trading Company II LLC		(33,250	)		(318,474	)		(373,733	)		(725,457	)		(19,384	)		3,076,744			(208,794	)		2,848,566			(14,646	)		1,838,376			587,981			2,411,711
Frontier Trading Company V LLC		(72,476	)		(559,423	)		117,928			(513,972	)		(47,636	)		(988,868	)		86,947			(949,557	)		(23,040	)		357,076			102,969			437,005
Frontier Trading Company VI LLC		—			—						—			(1,069	)		192,170			(95,556	)		95,545			(10,342	)		611,668			(135,057	)		466,269
Frontier Trading Company VII, LLC		(371,733	)		(8,048,568	)		5,374,058			(3,046,243	)		(440,172	)		1,564,889			12,517,256			13,641,973			(606,110	)		10,946,282			(6,245,452	)		4,094,720
Frontier Trading Company IX, LLC		(12,383	)		(279,001	)		(62,409	)		(353,793	)		(20,834	)		(441,236	)		(165,784	)		(627,854	)		(18,356	)		180,713			96,846			259,203
Frontier Trading Company XIII, LLC		—			—			—			—			—			—			—			—			(6,553	)		(170,793	)		532,671			355,325
Frontier Trading Company XIV, LLC		(586,234	)		(10,276,853	)		(479,403	)		9,211,216			(163,261	)		3,091,582			(179,388	)		2,748,933			(67,921	)		509,701			442,502			884,282
Frontier Trading Company XV, LLC		(138,440	)		(1,957,766	)		35,941			(2,060,266	)		(135,881	)		(3,655,745	)		3,398,496			(393,130	)		(67,020	)		150,833			1,799,056			1,882,869
Frontier Trading Company XVIII, LLC		(25,687	)		244,696			(140,804	)		78,204			(13,242	)		(807,647	)		170,644			(650,245	)		—			—			—			—
Frontier Trading Company XXI, LLC		(962	)		13,920			410			13,368			(674	)		(34,861	)		7,801			(27,734	)		—			—			—			—
Frontier Trading Company XXIII, LLC		(35,711	)		(708,380	)		63,438			(680,653	)		—			—			—			—			—			—			—			—
Total	$	(1,943,373	)	$	(956,524	)	$	5,303,045		$	2,466,586		$	(1,946,969	)	$	23,060,009		$	(11,401,354	)	$	9,711,686		$	(1,505,795	)	$	21,109,182		$	(919,485	)	$	18,683,902
Frontier Masters Series—
Frontier Trading Company II LLC	$	(15,979	)	$	(125,644	)	$	(202,314	)	$	(343,937	)	$	(11,513	)	$	1,821,473		$	(233,882	)	$	1,576,078		$	(18,791	)	$	2,637,598		$	314,929		$	2,933,736
Frontier Trading Company XIV, LLC		(261,268	)		4,308,077			(386,676	)		3,660,133			(162,921	)		3,352,307			24,021			3,213,407			(116,343	)		701,209			989,008			1,573,874
Frontier Trading Company XV, LLC		(50,834	)		(706,005	)		308,008			(448,830	)		(47,033	)		(1,019,827	)		1,001,479			(65,381	)		(54,694	)		326,904			1,227,286			1,499,496
Total	$	(328,081	)	$	3,476,428		$	(280,982	)	$	2,867,366		$	(221,467	)	$	4,153,953		$	791,618		$	4,724,104		$	(189,828	)	$	3,665,711		$	2,531,223		$	6,007,106

(1) Formerly known as the Berkeley/Graham/Tiverton Series

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6. Transactions with Affiliates

The Managing Owner contributes funds to the Trust, with respect to the Series, 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 Frontier Long/Short Commodity Series, Frontier Diversified 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, with respect to the Series, 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 and Frontier Masters Series for the purpose of investing in the respective Trading Company for such Series on behalf of the Balanced Series.

The following table summarizes the Balanced Series advances to and reductions from the Currency Series, Frontier Diversified Series and Frontier Masters Series of the Trust for the year ended December 31, 2011 and 2010. All such advances were liquidated in 2011 and there have been no additional advances in 2012.

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Balanced Series

Summary by Quarter

For the Year Ended December 31, 2011

	Currency Series
Inter-series receivables January 1, 2011	$	12,816,775
Additions during period		—
Reduction during period		—
Net change in inter-series receivables		(476,691	)
Inter-series receivables March 31, 2011	$	12,340,084
Additions during period		—
Reduction during period		—
Net change in inter-series receivables		(46,549	)
Inter-series receivables June 30, 2011	$	12,293,535
Additions during period		—
Reduction during period		(11,281,861	)
Net change in inter-series receivables		(1,011,674	)
Inter-series receivables September 30, 2011	$	—
Additions during period		—
Reduction during period		—
Net change in inter-series receivables		—
Inter-series receivables December 31, 2011	$	—

F-62

Balanced Series

Summary by Quarter

For the Year Ended December 31, 2010

	Currency Series			Frontier Diversified Series			Frontier Masters Series
Inter-series receivables January 1, 2010	$	12,266,758		$	10,962,073		$	18,184,135
Additions during period		—			—			—
Reduction during period		—			—			—
Net change in inter-series receivables		329,038			(102,443	)		125,024
Inter-series receivables March 31, 2010	$	12,595,796		$	10,859,630		$	18,309,159
Additions during period		—			—			—
Reduction during period		—			(11,139,253	)		—
Net change in inter-series receivables		177,705			279,623			(122,674	)
Inter-series receivables June 30, 2010	$	12,773,501		$	—		$	18,186,485
Additions during period		—			—			—
Reduction during period		—			—			(19,013,476	)
Net change in inter-series receivables		238,872			—			826,991
Inter-series receivables September 30, 2010	$	13,012,373		$	—		$	—
Additions during period		—			—			—
Reduction during period		—			—			—
Net change in inter-series receivables		(195,598	)		—			—
Inter-series receivables December 31, 2010	$	12,816,775		$	—		$	—

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, Frontier Long/Short Commodity Series Class 1 a and Class 2a and Frontier Masters Series, .075% for Frontier Diversified Series, 2.5% for the Winton/Graham Series and Tiverton/Graham/Transtrend 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, Tiverton/Graham/Transtrend 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 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, Tiverton/Graham/Transtrend Series, Currency Series and Frontier Long/Short Commodity Series may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the 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, Tiverton/Graham/

F-63

Transtrend Series, Frontier Long/Short Commodity Series and Frontier Masters 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 service fee to the Managing Owner up to 3% annually, which the Managing Owner pays to selling agents of the Trust, with respect to the Series.

The following table summarizes fees earned by the Managing Owner for the year ended December 31, 2012, 2011 and 2010:

Year Ended December 31, 2012	Management Fees		Trading Fees		Incentive Fees		Service Fees
Frontier Diversified Series	$	1,896,102	$	2,955,458	$	3,269,159	$	1,476,222
Frontier Masters Series		1,429,284		1,312,873		488,081		786,529
Frontier Long/Short Commodity Series		3,459,419		1,029,157		1,059,104		462,999
Balanced Series		2,533,302		1,784,001		7,081,173		4,987,704
Tiverton/Graham/Transtrend Series		1,272,443		244,837		65,989		865,891
Currency Series		—		26,335		—		103,857
Winton Series		1,046,035		342,792		—		1,046,931
Winton/Graham Series		1,006,221		192,557		—		624,024
Year Ended December 31, 2011	Management Fees		Trading Fees		Incentive Fees		Service Fees
Frontier Diversified Series	$	1,988,295	$	3,469,475	$	4,954,751	$	1,797,911
Frontier Masters Series		1,439,579		1,411,575		805,663		809,423
Frontier Long/Short Commodity Series		3,607,413		768,116		2,887,684		824,266
Balanced Series		2,615,058		1,760,639		13,141,331		7,074,592
Tiverton/Graham/Transtrend Series		1,240,589		280,872		29,678		1,422,634
Currency Series		80,701		60,410		—		38,421
Winton Series		1,225,133		285,429		813,809		1,271,915
Winton/Graham Series		1,382,514		221,789		298,707		1,023,780
Year Ended December 31, 2010	Management Fees		Trading Fees		Incentive Fees		Service Fees
Frontier Diversified Series	$	1,149,719	$	2,734,353	$	4,102,217	$	1,465,769
Frontier Masters Series		1,093,634		1,507,560		490,628		675,234
Frontier Long/Short Commodity Series		3,355,920		425,521		3,065,308		1,174,272
Balanced Series		2,253,874		1,810,726		13,893,116		8,595,406
Tiverton/Graham/Transtrend Series		2,289,188		360,892		270,462		1,927,715
Currency Series		163,333		102,763		—		216,919
Winton Series		1,529,612		291,849		534,245		1,456,391
Winton/Graham Series		1,959,820		286,314		702,432		1,373,119

F-64

The following table summarizes fees payable to the Managing Owner as of December 31, 2012 and 2011.

As of December 31, 2012	Management Fees		Trading Fees		Incentive Fees		Service Fees
Frontier Diversified Series	$	150,188	$	228,169	$	189,903	$	89,177
Frontier Masters Series		118,274		104,852		—		47,423
Frontier Long/Short Commodity Series		277,379		79,400		—		24,074
Balanced Series		193,155		132,875		527,306		332,942
Tiverton/Graham/Transtrend Series		103,089		16,057		—		54,702
Currency Series		—		1,791		—		3,510
Winton Series		86,138		26,041		—		62,556
Winton/Graham Series		63,642		13,148		—		38,116

As of December 31, 2011	Management Fees		Trading Fees		Incentive Fees		Service Fees
Frontier Diversified Series	$	180,232	$	269,021	$	522,033	$	76,877
Frontier Masters Series		117,541		105,278		—		41,911
Frontier Long/Short Commodity Series		284,677		83,646		127,052		22,920
Balanced Series		241,525		176,398		1,195,031		435,380
Tiverton/Graham/Transtrend Series		101,400		25,212		—		87,016
Currency Series		—		2,727		—		6,285
Winton Series		90,559		31,302		—		78,044
Winton/Graham Series		100,311		19,427		—		57,141

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 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 year ended December 31, 2012, amounts paid or owed to the Managing Owner for the difference in monthly service fees from prepaid initial service fees were $23,454 for the Balanced Series, ($5,660) for the Frontier Long/Short Commodity Series, ($4,996) for the Frontier Diversified Series, $1,415 for the Currency Series, ($7,427) for the Tiverton/Graham/Transtrend Series, $4,064 for the Winton/Graham Series, $6,938 for the Winton Series and $1,336 for the Frontier Masters Series.

For the year ended December 31, 2011, amounts paid or owed to the Managing Owner for the difference in monthly service fees from prepaid initial service fees were $34,141 for the Balanced Series, $16,508 for the Frontier Long/Short Commodity Series, $23,473 for the Frontier Diversified Series, $755 for the Currency Series, $6,607 for the Tiverton/Graham/Transtrend Series, $5,102 for the Winton/Graham Series, $9,011 for the Winton Series and $12,444 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, Tiverton/Graham/Transtrend Series, Currency Series and Winton/Graham Series. For the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series, and Balanced Series (Class 1a and Class 2a only), 20% of the total interest allocated to each Series is paid to the Managing Owner. During the years ended December 31, 2012, 2011 and 2010, the Trust paid $7,513,681, $9,330,127, and $10,238,665, respectively, of such interest income to the Managing Owner. Such expenses are not included in the statements of operations of the Series.

F-65

The Managing Owner paid 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 $465,858, $1,890,452, and $2,027,849, respectively for the years ended December 31, 2012, 2011 and 2010. As of April 20, 2012, the contract with The Bornhoft Group Corporation was amended to provide for an annual payment of $1,100,000 for investment and advisor services in lieu of a monthly service fee. The Managing Owner paid $766,944 under this agreement for the remainder of the year ended December 31, 2012.

Equinox Financial Group, LLC, an affiliate of the Trust, provides management services for the Managing Owner who paid $437,245, for the year ended December 31, 2012.

Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $2,627,888, $3,402,814 and $3,650,128, respectively, for the years ended December 31, 2012, 2011 and 2010.

Equinox Group Distributors LLC (formerly Bornhoft Group Securities Corporation), an affiliate under common control of the Managing Owner, serves as wholesaler of the Trust by marketing to broker/dealer organizations.

F-66

7. Financial Highlights

The following information presents the financial highlights of the Series for the years ended December 31, 2012, 2011 and 2010. This data has been derived from the information presented in the financial statements.

	Frontier Diversified Series						Frontier Masters Series						Frontier Long/Short Commodity Series (6)
	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, 2011	$	99.40		$	103.96		$	100.25		$	104.83		$	136.13		$	161.97		$	161.96		$	121.71		$	127.23
Net operating results:
Interest income		1.72			1.81			1.94			2.05			2.73			1.55			4.66			3.10			1.99
Expenses		(8.54	)		(6.70	)		(8.23	)		(6.36	)		(13.78	)		(6.19	)		(18.67	)		(15.65	)		(7.97	)
Net gain/(loss) on investments, net of non-controlling interests		1.82			1.41			7.15			7.09			10.33			(11.68	)		(2.26	)		(0.58	)		(5.80	)
Net income/(loss)		(5.00	)		(3.48	)		0.86			2.78			(0.72	)		(16.32	)		(16.27	)		(13.13	)		(11.78	)
Net asset value, December 31, 2012	$	94.40		$	100.48		$	101.11		$	107.61		$	135.41		$	145.65		$	145.69		$	108.58		$	115.45
Ratios to average net assets (3)
Net investment income/(loss)		-6.99	%		-4.76	%		-6.10	%		-3.97	%		-8.20	%		-6.09	%		-6.09	%		-8.20	%		-6.09	%
Expenses before incentive fees (7)		6.13	%		3.90	%		7.10	%		4.96	%		8.68	%		6.56	%		6.56	%		8.68	%		6.56	%
Expenses after incentive fees (7)		8.76	%		6.53	%		7.98	%		5.85	%		10.23	%		8.11	%		8.11	%		10.23	%		8.11	%
Total return before incentive fees (2)		-2.40	%		-0.72	%		1.74	%		3.54	%		1.02	%		-8.53	%		-8.50	%		-9.24	%		-7.71	%
Total return after incentive fees (2)		-5.03	%		-3.35	%		0.86	%		2.65	%		-0.53	%		-10.08	%		-10.05	%		-10.79	%		-9.26	%
	Balanced Series (5)															Tiverton/Graham/ Transtrend Series (4)						Currency Series
	Class 1			Class 1a			Class 2			Class 2a			Class 3a			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2011	$	124.50		$	108.45		$	155.02		$	128.35		$	128.36		$	91.02		$	111.84		$	70.48		$	87.61
Net operating results:
Interest income		0.15			0.13			0.19			0.15			0.15			0.70			0.86			0.00			0.00
Expenses		(9.74	)		(8.55	)		(7.67	)		(6.38	)		(6.36	)		(6.78	)		(5.20	)		(2.49	)		(0.63	)
Net gain/(loss) on investments, net of non-controlling interests		1.41			4.29			1.66			2.24			1.81			(6.28	)		(7.95	)		(11.08	)		(14.03	)
Net income/(loss)		(8.18	)		(4.13	)		(5.82	)		(3.99	)		(4.40	)		(12.36	)		(12.29	)		(13.57	)		(14.66	)
Net asset value, December 31, 2012	$	116.32		$	104.32		$	149.20		$	124.36		$	123.96		$	78.66		$	99.55		$	56.91		$	72.95
Ratios to average net assets (3)
Net investment income/(loss)		-7.86	%		-7.86	%		-4.86	%		-4.86	%		-4.86	%		-6.98	%		-4.00	%		-3.76	%		-0.75	%
Expenses before incentive fees (7)		4.89	%		4.89	%		1.89	%		1.89	%		1.89	%		7.57	%		4.60	%		3.76	%		0.75	%
Expenses after incentive fees (7)		7.98	%		7.98	%		4.98	%		4.98	%		4.98	%		7.77	%		4.80	%		3.76	%		0.75	%
Total return before incentive fees (2)		-3.48	%		-0.72	%		-0.66	%		-0.02	%		-0.33	%		-13.38	%		-10.79	%		-19.25	%		-16.73	%
Total return after incentive fees (2)		-6.57	%		-3.81	%		-3.75	%		-3.11	%		-3.43	%		-13.58	%		-10.99	%		-19.25	%		-16.73	%

F-67

	Winton Series						Winton/Graham Series
	Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2011	$	141.13		$	165.82		$	104.73		$	129.70
Net operating results:
Interest income		1.57			1.87			0.53			0.66
Expenses		(8.17	)		(4.90	)		(7.77	)		(5.93	)
Net gain/(loss) on investments, net of non-controlling interests		(3.80	)		(4.49	)		(2.94	)		(3.76	)
Net income/(loss)		(10.40	)		(7.52	)		(10.18	)		(9.03	)
Net asset value, December 31, 2012	$	130.73		$	158.30		$	94.55		$	120.67
Ratios to average net assets (3)
Net investment income/(loss)		-4.89	%		-1.88	%		-7.17	%		-4.15	%
Expenses before incentive fees (7)		6.06	%		3.04	%		7.69	%		4.68	%
Expenses after incentive fees (7)		6.06	%		3.04	%		7.69	%		4.68	%
Total return before incentive fees (2)		-7.37	%		-4.54	%		-9.72	%		-6.96	%
Total return after incentive fees (2)		-7.37	%		-4.54	%		-9.72	%		-6.96	%

(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 with the exception of incentive fees.

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

(5) All remaining Class 1a Units were exchanged for Class 3a Units.

(6) All remaining Class 1 Units were exchanged for Class 3 Units.

(7) Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Statements of Operations of the Series, see footnote 6.

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	Frontier Diversified Series						Frontier Masters Series						Frontier Long/Short Commodity Series (6)
	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		$	102.96		$	105.81		$	132.73		$	153.26		$	153.26		$	117.96		$	121.18
Net operating results:
Interest income		1.67			1.73			1.75			1.81			2.62			3.05			3.04			2.30			2.38
Expenses		(9.50	)		(7.50	)		(8.42	)		(6.46	)		(17.66	)		(16.15	)		(16.11	)		(15.49	)		(12.62	)
Net gain/(loss) on investments, net of non-controlling interests		3.65			3.27			3.96			3.67			18.44			21.81			21.77			16.94			16.29
Net income/(loss)		(4.18	)		(2.50	)		(2.71	)		(0.98	)		3.40			8.71			8.70			3.75			6.05
Net asset value, December 31, 2011	$	99.40		$	103.96		$	100.25		$	104.83		$	136.13		$	161.97		$	161.96		$	121.71		$	127.23
Ratios to average net assets (3)
Net investment gain/(loss)		3.52	%		3.07	%		3.84	%		3.47	%		13.89	%		14.23	%		14.21	%		14.36	%		13.44	%
Expenses before incentive fees (6)		5.82	%		3.69	%		6.84	%		4.77	%		9.47	%		6.70	%		6.68	%		9.30	%		6.58	%
Expenses after incentive fees (6)		9.17	%		7.04	%		8.18	%		6.10	%		13.30	%		10.54	%		10.51	%		13.13	%		10.41	%
Total return before incentive fees (2)		-0.68	%		1.00	%		-1.29	%		0.41	%		6.39	%		9.51	%		9.51	%		7.01	%		8.82	%
Total return after incentive fees (2)		-4.04	%		-2.35	%		-2.63	%		-0.93	%		2.56	%		5.68	%		5.68	%		3.18	%		4.99	%

	Balanced Series															Tiverton/Graham/ Trasntrend Series (4)						Currency Series (5)
	Class 1			Class 1a			Class 2			Class 2a			Class 3a			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2010	$	131.95		$	116.36		$	159.46		$	133.66		$	133.66		$	110.46		$	131.73		$	79.09		$	95.43
Net operating results:
Interest income		0.22			0.20			0.27			0.23			0.23			0.21			0.25			0.84			1.05
Expenses		(11.28	)		(9.90	)		(8.98	)		(7.49	)		(7.49	)		(6.10	)		(3.63	)		(4.14	)		(2.39	)
Net gain/(loss) on investments, net of non-controlling interests		3.61			1.79			4.27			1.95			1.96			(13.55	)		(16.51	)		(5.31	)		(6.48	)
Net income/(loss)		(7.45	)		(7.91	)		(4.44	)		(5.31	)		(5.30	)		(19.44	)		(19.89	)		(8.61	)		(7.82	)
Net asset value, December 31, 2011	$	124.50		$	108.45		$	155.02		$	128.35		$	128.36		$	91.02		$	111.84		$	70.48		$	87.61
Ratios to average net assets (3)
Net investment gain/(loss)		2.74	%		1.54	%		2.68	%		1.46	%		1.47	%		-12.26	%		-12.53	%		-6.71	%		-6.79	%
Expenses before incentive fees (6)		4.34	%		4.30	%		1.43	%		1.40	%		1.40	%		5.47	%		2.70	%		5.24	%		2.51	%
Expenses after incentive fees (6)		8.55	%		8.50	%		5.63	%		5.60	%		5.61	%		5.52	%		2.76	%		5.24	%		2.51	%
Total return before incentive fees (2)		-1.44	%		-2.59	%		1.42	%		0.23	%		0.24	%		-17.54	%		-15.04	%		-10.89	%		-8.19	%
Total return after incentive fees (2)		-5.65	%		-6.80	%		-2.78	%		-3.97	%		-3.97	%		-17.60	%		-15.10	%		-10.89	%		-8.19	%

F-69

	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		1.17			1.35			0.60			0.73
Expenses		(10.05	)		(6.87	)		(8.68	)		(6.35	)
Net gain/(loss) on investments, net of non-controlling interests		14.97			17.35			(7.02	)		(8.72	)
Net income/(loss)		6.09			11.83			(15.10	)		(14.34	)
Net asset value, December 31, 2011	$	141.13		$	165.82		$	104.73		$	129.70
Ratios to average net assets (3)
Net investment gain/(loss)		11.09	%		11.27	%		-5.86	%		-6.05	%
Expenses before incentive fees (6)		5.93	%		2.95	%		6.54	%		3.70	%
Expenses after incentive fees (6)		7.44	%		4.46	%		7.25	%		4.41	%
Total return before incentive fees (2)		6.02	%		9.19	%		-11.90	%		-9.25	%
Total return after incentive fees (2)		4.51	%		7.68	%		-12.60	%		-9.96	%

(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 prior to the effects of any non-controlling interest. 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 with the exception of incentive fees.

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

(5) For the year ended December 31, 2011, 38.76% of the Currency Series’ Class 1 total return and 33.02% of the Currency Series’ Class 2 total return consists of a voluntary reimbursement by the managing owner for a realized investment loss. Excluding this item, total return would have been (14.12%) for Currency Series Class 1 and (6.58%) for Currency Series Class 2. Also for the year ended December 31, 2011, the inter-series payable and receivable was included in the above ratios to average net assets for the Currency Series. Excluding the inter-series payable/receivable, the net investment gain/(loss), expenses before incentive fees and expenses after incentive fees for Currency Series Class 1 would have been (7.46%), 3.91% and 3.91%, respectively, and (7.56%), 1.14% and 1.14% for Currency Series Class 2.

(6) Expense ratios do not reflect interest allocated to the managing owner, as such expenses are not included in the Statements of Operations of the Series, see footnote 6.

F-70

	Frontier Diversified Series						Frontier Masters 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		$	94.46		$	95.37		$	113.77		$	127.49		$	127.49		$	101.49		$	102.48
Net operating results:
Interest income		1.90			1.94			1.80			1.83			1.86			2.13			2.17			1.70			1.74
Expenses		(8.97	)		(6.97	)		(8.13	)		(6.01	)		(14.74	)		(13.03	)		(13.24	)		(13.47	)		(10.61	)
Net gain/(loss) on investments, net of non-controlling interests		13.85			13.72			14.83			14.62			31.84			36.67			36.84			28.24			27.57
Net income/(loss)		6.78			8.69			8.50			10.44			18.96			25.77			25.77			16.47			18.70
Net asset value, December 31, 2010	$	103.58		$	106.46		$	102.96		$	105.81		$	132.73		$	153.26		$	153.26		$	117.96		$	121.18
Ratios to average net assets (3)
Net investment gain/(loss)		-7.17	%		-4.98	%		-6.54	%		-4.25	%		-11.33	%		-8.39	%		-8.39	%		-11.33	%		-8.39	%
Expenses before incentive fees (5)		5.55	%		3.36	%		7.43	%		5.14	%		8.48	%		5.54	%		5.54	%		8.48	%		5.54	%
Expenses after incentive fees (5)		9.09	%		6.91	%		8.40	%		6.11	%		12.97	%		10.03	%		10.03	%		12.97	%		10.03	%
Total return before incentive fees (2)		12.71	%		14.46	%		12.57	%		13.29	%		17.47	%		23.37	%		30.76	%		29.63	%		30.88	%
Total return after incentive fees (2)		9.17	%		10.91	%		11.60	%		12.32	%		12.98	%		18.88	%		26.27	%		25.14	%		26.39	%

	Balanced Series															Tiverton/Graham/ Transtrend Series (4)						Currency Series
	Class 1			Class 1a			Class 2			Class 2a			Class 3a			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2009	$	118.54		$	105.50		$	139.01		$	117.60		$	117.60		$	104.65		$	121.10		$	78.00		$	91.34
Net operating results:
Interest income		0.13			0.12			0.16			0.13			0.14			0.01			0.01			1.28			1.51
Expenses		(9.60	)		(8.44	)		(7.07	)		(5.97	)		(6.03	)		(7.23	)		(4.85	)		(5.01	)		(3.10	)
Net gain/(loss) on investments, net of non-controlling interests		22.88			19.18			27.36			21.90			21.95			13.04			15.47			4.82			5.68
Net income/(loss)		13.41			10.86			20.45			16.06			16.06			5.81			10.63			1.09			4.09
Net asset value, December 31, 2010	$	131.95		$	116.36		$	159.46		$	133.66		$	133.66		$	110.46		$	131.73		$	79.09		$	95.43
Ratios to average net assets (3)
Net investment gain/(loss)		-7.77	%		-7.77	%		-4.77	%		-4.77	%		-4.77	%		-7.00	%		-4.00	%		-4.68	%		-1.67	%
Expenses before incentive fees (5)		4.11	%		4.11	%		1.10	%		1.10	%		1.10	%		6.64	%		3.64	%		6.27	%		3.27	%
Expenses after incentive fees (5)		7.88	%		7.88	%		4.88	%		4.88	%		4.88	%		7.01	%		4.01	%		6.27	%		3.27	%
Total return before incentive fees (2)		14.52	%		11.01	%		17.37	%		16.69	%		20.17	%		5.46	%		7.84	%		1.84	%		4.10	%
Total return after incentive fees (2)		10.75	%		7.24	%		13.59	%		12.91	%		16.40	%		5.09	%		7.47	%		1.84	%		4.10	%

F-71

	Winton Series						Winton/Graham Series
	Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2009	$	117.57		$	130.10		$	110.06		$	128.39
Net operating results:
Interest income		0.65			0.73			0.51			0.60
Expenses		(8.75	)		(5.61	)		(9.02	)		(6.73	)
Net gain/(loss) on investments, net of non-controlling interests		25.57			28.77			18.28			21.78
Net income/(loss)		17.47			23.89			9.77			15.65
Net asset value, December 31, 2010	$	135.04		$	153.99		$	119.83		$	144.04
Ratios to average net assets (3)
Net investment gain/(loss)		-6.47	%		-3.46	%		-7.65	%		-4.65	%
Expenses before incentive fees (5)		6.08	%		3.08	%		6.89	%		3.89	%
Expenses after incentive fees (5)		6.98	%		3.98	%		8.11	%		5.11	%
Total return before incentive fees (2)		14.76	%		17.66	%		9.66	%		12.92	%
Total return after incentive fees (2)		13.86	%		16.75	%		8.44	%		11.70	%

(1) Interest income and expenses per unit are calculated by dividing these amounts by the weighted average number of units outstanding during the period. The net gain/(loss) on investments, net of 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 weighted average net assets outstanding during the period prior to the effects of any non-controlling interest. 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 with the exception of incentive fees.

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

(5) Expense ratios do not reflect interest allocated to the Managing Owner, as such expenses are not included in the Statements of Operations of the Series, see footnote 6.

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, Derivatives and Hedging (“ASC 815”). The detail of the fair value of the Series’ derivatives by instrument types as of December 31, 2012 and December 31, 2011 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to each Series’ position in swap contracts.

F-72

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

For The Year Ended December 31, 2012

Monthly average contracts:	Bought		Sold
Frontier Long/Short Commodity Series		17,179		18,323
Balanced Series		49,988		52,353
Frontier Masters Series		2,814		2,573

For The Year Ended December 31, 2011

Monthly average contracts:	Bought		Sold
Frontier Diversified Series		4,400		1,400
Frontier Long/Short Commodity Series		105,000		93,100
Balanced Series		25,300		34,300
Tiverton/Graham/Transtrend Series		5,500		2,800
Currency Series		1,650		21,400
Winton/Graham Series		16,500		3,500

The following tables summarize the trading revenues for the years ended December 31, 2012, 2011 and 2010 by sector:

Realized Trading Revenue from Futures, Forwards and Options

for the Twelve Months Ended December 31, 2012 (1)

Type of contract	Frontier Long/Short Commodity Series			Frontier Masters Series			Balanced Series
Metals	$	(22,904,111	)	$	499,038		$	(6,598,240	)
Currencies		(4,555,951	)		381,343			6,700,871
Energies		(2,034,936	)		(1,637,183	)		(11,764,811	)
Agriculturals		(3,235,035	)		32,119			(5,356,166	)
Interest rates		(13,264,367	)		3,099,732			35,523,247
Stock indices		20,121,570			(569,140	)		3,767,440
Realized trading income/(loss) (2)	$	(25,872,829	)	$	1,805,910		$	22,272,341

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

for the Twelve Months Ended December 31, 2012 (1)

Type of contract	Frontier Long/Short Commodity Series			Frontier Masters Series			Balanced Series
Metals	$	4,110,832		$	(57,565	)	$	1,238,158
Currencies		17,923,206			(152,568	)		266,655
Energies		(3,271,763	)		(411,993	)		(374,369	)
Agriculturals		5,706,120			62,454			1,176,360
Interest rates		(4,123,443	)		89,904			(1,837,810	)
Stock indices		(163,136	)		(306,529	)		(365,831	)
Change in unrealized trading income/(loss) (3)	$	20,181,816		$	(776,298	)	$	103,164

F-73

(1) The Frontier Diversified Series, Tiverton/Graham/Transtrend Series (formerly known as Berkely/Graham/Tiverton Series), Winton/Graham Series and Winton Series participate in trading activities through equity in earnings/(loss) from trading companies. The Frontier Long/Short Commodity Series began consolidating Frontier Trading Company XVIII as of May 15, 2012 and the Balanced Series began consolidating the Frontier Trading Company XVIII prior to May 15, 2012. The Balanced Series consolidated Frontier Trading Company XXIII, LLLC as of July 7, 2012.

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

(3) Amounts recorded in the Statements of Operations under Net change in open trade equity (deficit).

Realized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2011 (1)

Type of contract	Frontier Long/Short Commodity Series			Frontier Masters Series			Balanced Series
Metals	$	(19,704,072	)	$	(11,149	)	$	5,574,604
Currencies		(92,524	)		(1,465,976	)		14,631,163
Energies		14,045,969			(1,134,274	)		(6,415,781	)
Agriculturals		10,091,145			(1,229,172	)		(12,366,802	)
Interest rates		211,370			1,121,985			50,568,346
Stock indices		545,082			(795,382	)		391,606
Realized trading income/(loss) (2)	$	5,096,970		$	(3,513,968	)	$	52,383,136

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

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

for the Year Ended December 31, 2011 (1)

Type of contract	Frontier Long/Short Commodity Series			Frontier Masters Series			Balanced Series
Metals	$	22,243,353		$	17,541		$	(7,332,702	)
Currencies		64,835			439,872			(40,725,767	)
Energies		(11,129,918	)		101,217			1,141,915
Agriculturals		(7,448,903	)		(204,311	)		(11,128,623	)
Interest rates		(709,473	)		(893,143	)		(5,106,082	)
Stock indices		(265,307	)		1,331,196			(6,925,069	)
Change in unrealized trading income/(loss) (3)	$	2,754,587		$	792,372		$	(70,076,328	)

F-74

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, Tiverton/Graham/Transtrend Series (formerly known as Berkeley/Graham/Tiverton Series), Currency Series, Winton/Graham Series, Frontier Long/Short Commodity Series, and Winton Series participate in trading activities through equity in earnings/(loss) from trading companies. The Balanced Series consolidated Frontier Trading Company XIV, LLC since June 20, 2011, Frontier Trading Company XVII, LLC since September 9, 2011, and Frontier Trading Company XVIII, LLC since October 24, 2011 . The Frontier Long/Short Series consolidated Frontier Trading Company VII, LLC since September 28, 2011. The Frontier Masters Series consolidated Frontier Trading Company XXI, LLC since March 1, 2011.

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

(3) Amounts recorded in the Statements of Operations under Net change in open trade equity (deficit), at fair value.

Realized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2010 (1)

Type of contract	Frontier Diversified Series			Frontier Long/Short Commodity Series			Balanced Series
Metals	$	906,825		$	334,220		$	8,897,940
Currencies		224,608			619,216			6,609,167
Energies		(725,644	)		(32,272,414	)		(1,878,859	)
Agriculturals		(1,060,508	)		6,407,717			607,231
Interest rates		1,444,587			(497,654	)		10,538,167
Stock indices		(730,345	)		1,379,261			2,968,760
Realized trading income/(loss) (2)	$	59,523		$	(24,029,654	)	$	27,742,406
Type of contract	Tiverton/Graham/ Transtrend Series			Currency Series			Winton/Graham Series
Metals	$	644,922		$	—		$	410,013
Currencies		(2,509,333	)		290,954			3,469,334
Energies		(77,310	)		—			(3,365,670	)
Agriculturals		1,932,614			—			1,842,657
Interest rates		5,148,691			—			8,589,224
Stock indices		(638,620	)		—			(5,464,152	)
Realized trading income/(loss) (2)	$	4,500,964		$	290,954		$	5,481,406

F-75

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

for the Year Ended December 31, 2010 (1)

Type of contract	Frontier Diversified Series			Frontier Long/Short Commodity Series			Balanced Series
Metals	$	(1,808,138	)	$	282,667		$	6,894,319
Currencies		842,676			(69,820	)		(3,152,713	)
Energies		(4,250	)		24,029,702			3,465,690
Agriculturals		(390,911	)		(5,585,339	)		5,371,647
Interest rates		883,518			(201,571	)		5,952,513
Stock indices		(227,989	)		31,629			(1,071,787	)
Unrealized trading income/(loss)(3)	$	(705,094	)	$	18,487,268		$	17,459,669
Type of contract	Tiverton/Graham/ Transtrend Series			Currency Series			Winton/Graham Series
Metals	$	(2,788,785	)	$	—		$	(2,364,922	)
Currencies		6,807,535			54,015			8,948,879
Energies		(444,048	)		—			(1,159,361	)
Agriculturals		(791,698	)		—			(1,491,247	)
Interest rates		(357,453	)		—			(1,541,855	)
Stock indices		(80,013	)		—			(1,774,544	)
Unrealized trading income/(loss)(3)	$	2,345,538		$	54,015		$	616,950

(1) The Frontier Diversified Series, Frontier Masters Series, Tiverton/Graham/Transtrend Series, and Winton Series participate in trading activities through equity in earnings/(loss) from trading companies. Frontier Long/Short Commodity Series deconsolidated Frontier Trading Company VII, LLC as of January 31, 2010. The Balanced Series deconsolidated Frontier Trading Company XIV, LLC as of January 25, 2010 and Frontier Trading Company VI, LLC as of March 19, 2010. The Tiverton/Graham/Transtrend Series consolidated Frontier Trading Company VI, LLC on March 19, 2010 and thereafter. The Frontier Diversified Series, Balanced Series and Long/Short Series participate in trading activities through equity in earnings(loss) from the aforementioned deconsolidated trading companies.

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

(3) In the Statements of Operations under Net change in open trade equity (deficit), at fair value.

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

F-76

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 and Guarantees

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.

The Trust has guaranteed the obligations of the trading companies under the customer agreements with UBS Securities as Clearing Broker. In the event that one Series of the Trust is unable to meet its obligations to UBS Securities, the assets of the other Series will be available to UBS Securities as part of the guarantee, but only to the extent of such Series’ pro rata allocation to the trading company.

11. Subsequent Events

Effective as of March 14, 2013, the Tiverton/Graham/Transtrend Series of the Trust became known as the Frontier Select Series, and the Winton/Graham Series of the Trust became known as the Frontier Heritage Series.

F-77

Report of Independent Registered Public Accounting Firm

To the Executive Committee and Unitholders

The Frontier Fund

We have audited the accompanying consolidated statements of financial condition, including the consolidated condensed schedules of investments, of The Frontier Fund (the Trust) as of December 31, 2012 and 2011, and the related consolidated statements of operations, changes in owners’ capital, and cash flows for each of the three years in the period ended December 31, 2012. These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Trust is not required to have, nor were we engaged to perform an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the consolidated financial statements referred to above present fairly, in all material respects, the financial position of the Frontier Fund as of December 31, 2012 and 2011, and the results of its operations and its cash flows for each of the three years in the period ended December 31, 2012, in conformity with U.S. generally accepted accounting principles.

/s/ McGladrey LLP

Denver, Colorado

April 1, 2013

F-78

The Frontier Fund

Consolidated Statements of Financial Condition

December 31, 2012 and 2011

	12/31/2012		12/31/2011
ASSETS
Cash and cash equivalents	$	17,094,782	$	27,452,803
U.S. Treasury securities, at fair value		18,001,322		78,760,003
Custom time deposits		311,468,033		358,276,083
Receivable from futures commission merchants		148,029,229		160,366,935
Open trade equity, at fair value		12,116,649		—
Swap contracts, at fair value		22,289,479		24,211,688
Investments in Berkeley Quantitative Colorado Fund LLC, at fair value		—		6,270,844
Prepaid service fees		140,203		310,430
Interest receivable		251,630		1,088,724
Other assets		35,043		96,247
Total Assets	$	529,426,370	$	656,833,757
LIABILITIES & CAPITAL
LIABILITIES
Open trade deficit, at fair value	$	—	$	6,556,700
Written options, at fair value		4,199,198		3,336,326
Pending owner additions		160,672		384,457
Owner redemptions payable		1,430,638		3,387,126
Incentive fees payable to Managing Owner		732,119		1,844,116
Management fees payable to Managing Owner		1,003,663		1,120,495
Interest payable to Managing Owner		569,115		717,850
Trading fees payable to Managing Owner		602,333		715,113
Trailing service fees payable to Managing Owner		652,500		806,690
Payables to related parties		38,925		1,733
Other liabilities		51,484		16,608
Total Liabilities		9,440,647		18,887,214
CAPITAL
Managing Owner Units		6,287,766		6,538,575
Limited Owner Units		513,697,957		631,407,968
Total Owners’ Capital		519,985,723		637,946,543
Non-Controlling Interests		—		—
Total Capital		519,985,723		637,946,543
Total Liabilities and Capital	$	529,426,370	$	656,833,757

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

F-79

The Frontier Fund

Consolidated Condensed Schedule of Investments

December 31, 2012

Description	Value			% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various stock index futures contracts (U.S.)	$	(708,671	)		-0.14	%
Various stock index futures contracts (Oceanic)		190,826			0.04	%
Various stock index futures contracts (Mexico)		1,548			0.00	%
Various stock index futures contracts (Far East)		3,549,518			0.68	%
Various stock index futures contracts (Europe)		(1,746,507	)		-0.34	%
Various stock index futures contracts (Canada)		272,823			0.05	%
Various stock index futures contracts (Africa)		97,909			0.02	%
Various soft futures contracts (U.S.)		(2,211,954	)		-0.43	%
Various soft futures contracts (Europe)		(145,288	)		-0.03	%
Various soft futures contracts (Canada)		(335	)		0.00	%
Various precious metal futures contracts (U.S.)		(756,478	)		-0.15	%
Various interest rates futures contracts (U.S.)		(609,966	)		-0.12	%
Various interest rates futures contracts (Oceanic)		298,169			0.06	%
Various interest rates futures contracts (Far East)		(428,542	)		-0.08	%
Various interest rates futures contracts (Europe)		2,592,153			0.50	%
Various interest rates futures contracts (Canada)		(120,227	)		-0.02	%
Various energy futures contracts (U.S.)		13,149,004			2.53	%
Various energy futures contracts (Far East)		462			0.00	%
Various currency futures contracts (U.S.)		(2,156,861	)		-0.41	%
Various base metals futures contracts (U.S.)		(9,439	)		0.00	%
Various base metals futures contracts (Europe)		3,463,404			0.67	%
Total Long Futures Contracts	$	14,721,548			2.83	%
OPTIONS PURCHASED *
Various stock index futures contracts (U.S.)	$	439,170			0.08	%
Various soft futures contracts (U.S.)		1,320,884			0.25	%
Various precious metals futures contracts (U.S.)		711,000			0.14	%
Various energy futures contracts (U.S.)		6,285,280			1.21	%
Various currency futures contracts (U.S.)		2,901,488			0.56	%
Various base metals futures contracts (Europe)		2,277,291			0.44	%
Total Options Purchased	$	13,935,113			2.68	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	(76,900	)		-0.01	%
Various base metals futures contracts (Europe)		(7,712,906	)		-1.48	%
Various currency futures contracts (U.S.)		3,852,251			0.74	%
Various currency futures contracts (Canada)		—			0.00	%
Various currencey futures contracts (Far East)		684			0.00	%
Various stock index futures contracts (U.S.)		(373,552	)		-0.07	%
Various stock index futures contracts (Europe)		86,644			0.02	%
Various stock index futures contracts (Far East)		(630,695	)		-0.12	%
Various stock index futures contracts (Canada)		(6,159	)		0.00	%
Various soft futures contracts (U.S.)		2,445,673			0.47	%
Various soft futures contracts (Europe)		122,990			0.02	%
Various interest rates futures contracts (U.S.)		(385,887	)		-0.07	%
Various interest rates futures contracts (Oceanic)		(17,218	)		0.00	%

F-80

Description	Value			% of Total Capital (Net Asset Value)
Various interest rates futures contracts (Far East)	$	197,000			0.04	%
Various interest rates futures contracts (Europe)		(1,273	)		0.00	%
Various interest rates futures contracts (Canada)		81,091			0.02	%
Various precious metal futures contracts (U.S.)		476,388			0.09	%
Various energy futures contracts (U.S.)		(15,297,097	)		-2.94	%
Various energy futures contracts (Europe)		7,109			0.00	%
Total Short Futures Contracts	$	(17,231,857	)		-3.29	%
CURRENCY FORWARDS *
Various currency futures contracts	$	691,845			0.13	%
Total Currency Forwards	$	691,845			0.13	%
Total Open Trade Equity	$	12,116,649			2.35	%
OPTIONS WRITTEN *
Various stock index futures contracts (U.S.)	$	(165,363	)		-0.03	%
Various soft futures contracts (U.S.)		(447,693	)		-0.09	%
Various precious metal futures contracts (U.S.)		(540,330	)		-0.10	%
Various currency futures contracts (U.S.)		(1,340,750	)		-0.26	%
Various base metals futures contracts (Europe)		(261,172	)		-0.05	%
Various energy futures contracts (U.S.)		(1,443,890	)		-0.28	%
Total Options Written	$	(4,199,198	)		-0.81	%
SWAPS (1)
Frontier Balanced RCW-1 Swap (U.S.)	$	17,785,733			3.42	%
Frontier Balanced DB Swap (U.S.)		2,702,247			0.52	%
Frontier Currency DB Swap (U.S.)		1,801,498			0.35	%
Total Swaps	$	22,289,478			4.29	%
U.S. TREASURY SECURITIES
FACE VALUE	Fair Value
$36,700,000 U.S. Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039)	$	18,001,322			3.46	%
Total U.S. Treasury Securities	$	18,001,322			3.46	%

* 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 Consolidated Financial Statements, Note 4.

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

F-81

The Frontier Fund

Consolidated Condensed Schedules of Investments

December 31, 2011

Description	Value			% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	(1,511,157	)		-0.24	%
Various base metals futures contracts (Europe)		(4,401,353	)		-0.69	%
Various currency futures contracts (U.S.)		891,115			0.14	%
Various currency futures contracts (Canada)		—			0.00	%
Various currency futures contracts (Europe)		353,570			0.06	%
Various currency futures contracts (Far East)		—			0.00	%
Various energy futures contracts (U.S.)		(13,430,017	)		-2.11	%
Various energy futures contracts (Europe)		(3,481,430	)		-0.55	%
Various interest rates futures contracts (U.S.)		1,352,108			0.21	%
Various interest rates futures contracts (Canada)		78,923			0.01	%
Various interest rates futures contracts (Europe)		4,207,802			0.66	%
Various interest rates futures contracts (Far East)		666,559			0.10	%
Various precious metals futures contracts (U.S.)		(1,105,701	)		-0.17	%
Silver @ COMEX Settling 12/1/13 (Number of Contracts: 152)		(11,121,080	)		-1.74	%
Various precious metals futures contracts (Europe)		—			0.00	%
Various soft futures contracts (U.S.)		(8,190,181	)		-1.28	%
Various soft futures contracts (Europe)		(3,750	)		0.00	%
Various soft futures contracts (Canada)		—			0.00	%
Various stock index futures contracts (U.S.)		483,160			0.08	%
Various stock index futures contracts (Canada)		5,579			0.00	%
Various stock index futures contracts (Europe)		252,897			0.04	%
Various stock index futures contracts (Far East)		(187,635	)		-0.03	%
Total Long Futures Contracts		(35,140,591	)		-5.51	%
OPTIONS PURCHASED *		11,933,138			1.87	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (US)		1,266,138			0.20	%
Various base metals futures contracts (Europe)		5,601,385			0.88	%
Various currency futures contracts (US)		70,134			0.01	%
Various currency futures contracts (Canada)		—			0.00	%
Various currency futures contracts (Europe)		851,771			0.13	%
Various currency futures contracts (Far East)		3,727			0.00	%
Various energy futures contracts (US)		(423,746	)		-0.07	%
Various energy futures contracts (Europe)		3,495,760			0.55	%
Various energy futures contracts (Far East)		(1,195	)		0.00	%
Various interest rates futures contracts (US)		(1,533,678	)		-0.24	%
Various interest rates futures contracts (Canada)		4,052			0.00	%
Various interest rates futures contracts (Europe)		(134,928	)		-0.02	%
Various interest rates futures contracts (Far East)		(94,959	)		-0.01	%
Various precious metals futures contracts (US)		3,257,794			0.51	%
Various soft futures contracts (US)		3,561,139			0.56	%
Various soft futures contracts (Europe)		575,766			0.09	%
Various soft futures contracts (Far East)		(29,121	)		0.00	%
Various stock index futures contracts (US)		(2,153	)		0.00	%
Various stock index futures contracts (Canada)		(27,463	)		0.00	%

F-82

Description	Value			% of Total Capital (Net Asset Value)
Various stock index futures contracts (Europe)	$	(398,770	)		-0.06	%
Various stock index futures contracts (Far East)		137,100			0.02	%
Total Short Futures Contracts		16,178,751			2.52	%
CURRENCY FORWARDS *		472,001			0.07	%
Total Open Trade Equity	$	(6,556,700	)		-1.05	%
OPTIONS WRITTEN*		(3,336,326	)		-0.52	%
SWAPS (1)	$	6,504,931			1.02	%
Total Return Option Basket Swap (Termination date 11/6/12)		17,706,757			2.78	%
Total Swaps	$	24,211,688			3.80	%
Investment in Berkeley Quantitative Colorado Fund LLC (Cost of $8,487,603)	$	6,270,844			0.98	%
U.S. TREASURY SECURITIES
FACE VALUE	Fair Value
$36,500,000.00 US Treasury Note 3.875% due 02/15/2013 (Cost $38,125,391) (2)	$	—			0.00	%
$36,700,000.00 US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		—			0.00	%
	$	—			0.00	%

* 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.

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

F-83

The Frontier Fund

Consolidated Statements of Operations

For the Years Ended December 31, 2012, 2011 and 2010

	12/31/2012			12/31/2011			12/31/2010
Investment income:
Interest—net	$	5,824,751		$	6,568,847		$	5,989,281
Total Income		5,824,751			6,568,847			5,989,281
Expenses:
Incentive Fees		12,198,317			22,931,623			23,058,408
Management Fees		12,850,471			13,708,588			13,968,203
Service Fees—Class 1		10,354,157			14,480,515			17,074,297
Trading Fees		7,888,010			8,670,193			8,254,551
Total Expenses		43,290,955			59,790,919			62,355,459
Investment income/(loss)—net		(37,466,204	)		(53,222,072	)		(56,366,178	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(4,787,818	)		145,646,477			105,722,234
Net change in open trade equity/(deficit)		17,630,808			(86,552,220	)		34,563,870
Net realized gain/(loss) on swap contracts		(525,237	)		(9,576,420	)		509,662
Net unrealized gain/(loss) on swap contracts		(1,386,497	)		(11,778,886	)		14,287,024
Net realized gain/(loss) on U.S. Treasury securities		2,245,136			185,594			—
Net unrealized gain/(loss) on U.S. Treasury securities		(3,482,576	)		(107,239	)		1,842,780
Trading commissions		(7,746,611	)		(7,960,245	)		(10,194,355	)
Net increase from payments by managing owner		—			390,589			—
Change in fair value of investments in unconsolidated trading companies		—			—			361,773
Net realized gain/(loss) on investment in Berkeley Quantitative Colorado Fund LLC		(2,172,987	)		(135,775	)		—
Net unrealized gain/(loss) on investment in Berkeley Quantitative Colorado Fund LLC		2,084,880			(2,238,083	)		153,203
Net gain/(loss) on investments		1,859,098			27,873,792			147,246,191
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(35,607,106	)		(25,348,280	)		90,880,013
Less: Operations attributable to non-controlling interests		—			(591	)		1,157,873
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(35,607,106	)	$	(25,347,689	)	$	89,722,140

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

F-84

The Frontier Fund

Consolidated Statement of Changes in Owners’ Capital

For the Years Ended December 31, 2012, 2011 and 2010

	Managing Owner			Limited Owners			Non-Controlling Interests			Total
Owners’ Capital, December 31, 2009	$	7,448,253		$	736,024,875		$	1,342		$	743,474,470
Sale of Units		3,390,000			169,280,747			—			172,670,747
Redemption of Units		(2,210,000	)		(117,218,204	)		—			(119,428,204	)
Change in control of ownership—Trading Companies		—			—			(11,390,610	)		(11,390,610	)
Contributions		—			—			10,239,857			10,239,857
Operations attributable to non-controlling interests		—			—			1,157,873			1,157,873
Net increase/(decrease) in Owners’
Capital resulting from operations		882,512			88,839,628			—			89,722,140
Owners’ Capital, December 31, 2010		9,510,765			876,927,046			8,462			886,446,273
Sale of Units		1,710,000			102,169,050			—			103,879,050
Redemption of Units		(4,488,776	)		(322,533,853	)		—			(327,022,629	)
Distributions		—			—			(7,871	)		(7,871	)
Operations attributable to non-controlling interests		—			—			(591	)		(591	)
Net increase/(decrease) in Owners’ Capital resulting from operations		(193,414	)		(25,154,275	)		—			(25,347,689	)
Owners’ Capital, December 31, 2011		6,538,575			631,407,968			—			637,946,543
Sale of Units		—			46,946,971			—			46,946,971
Redemption of Units		—			(129,300,685	)		—			(129,300,685	)
Net increase/(decrease) in Owners’
Capital resulting from operations		(250,809	)		(35,356,297	)		—			(35,607,106	)
Owners’ Capital, December 31, 2012	$	6,287,766		$	513,697,957		$	—		$	519,985,723

The consolidated Trust is not unitized as are the individual Series of the Trust

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

F-85

The Frontier Fund

Consolidated Statements of Cash Flows

For the Years Ended December 31, 2012, 2011 and 2010

	2012			2011			2010
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(35,607,106	)	$	(25,348,280	)	$	90,880,013
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		(18,673,349	)		28,511,425			(6,846,087	)
Net change in options written, at fair value		862,872			—			—
Net unrealized gain/(loss) on swap contracts		1,386,497			11,724,468			(14,287,024	)
Net realized gain/(loss) on swap contracts		525,237			9,630,838			(509,662	)
Net unrealized gain/(loss) on U.S. Treasury securities		3,482,576			624,520			(1,842,780	)
Net realized gain/(loss) on U.S. Treasuries securities		(2,245,136	)		(185,594	)		555,749
Net increase in payments from Managing Owner		—			(390,589	)		—
Net realized gain/(loss) on investment in Berkeley Colorado Quantitative Fund LLC		2,172,987			135,775			—
Net unrealized gain/loss on investment in Berkeley Colorado Quantitative Fund LLC		(2,084,880	)		2,238,083			(157,099	)
(Purchases) sales of:
Sales of swap contracts		—			66,705,656			9,250,733
(Purchases) of swap contracts		—			(7,004,112	)		(18,184,063	)
Sales of U.S. Treasury securities		59,521,241			—			—
(Purchases) of U.S. Treasury securities		—			—			(63,268,374	)
Sales of custom time deposits		46,818,526			90,119,989			—
Sales of Berkeley Colorado Quantitative Fund LLC		6,182,737			1,512,397			—
(Purchases) of Berkeley Colorado Quantitative Fund LLC		—			—			(10,000,000	)
Increase and/or decrease in:
Receivable from futures commission merchants		12,337,706			57,688,055			(93,266,222	)
Control of ownership of trading companies		—			—			(11,390,610	)
Contributions to trading companies		—			—			10,239,857
Distributions from trading companies		—			(7,871	)		—
Prepaid service fees		170,227			356,824			651,267
Interest receivable		837,094			(7,833	)		544
Receivable from related parties		—			—			4,915
Other assets		61,203			(76,633	)		(19,614	)
Incentive fees payable to Managing Owner		(1,111,997	)		(5,489,678	)		5,616,497
Management fees payable to Managing Owner		(116,832	)		(14,526	)		466,598
Interest payable to Managing Owner		(148,735	)		123,890			305,775
Trading fees payable to Managing Owner		(112,780	)		5,849			395,587
Trailing service fees payable to Managing Owner		(154,190	)		98,856			322,176
Payables to related parties		37,192			(214,272	)		216,005
Other liabilities		34,876			(21,498	)		19,269
Net cash provided by (used in) operating activities		74,175,966			230,715,739			(100,846,550	)
Cash Flows from Financing Activities:
Proceeds from sale of capital		46,946,971			103,879,050			172,670,747
Payment for redemption of capital		(129,300,685	)		(327,022,629	)		(119,428,204	)
Pending owner additions		(223,785	)		(581,868	)		(2,677,385	)
Redemptions payable		(1,956,488	)		2,469,961			249,337
Net cash provided by (used in) financing activities		(84,533,987	)		(221,255,486	)		50,814,495
Net increase (decrease) in cash and cash equivalents		(10,358,021	)		9,460,253			(50,032,055	)
Cash and cash equivalents, beginning of period		27,452,803			17,992,550			68,024,605
Cash and cash equivalents, end of period	$	17,094,782		$	27,452,803		$	17,992,550

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

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The Frontier Fund

Notes to Consolidated Financial Statements

1. Organization and Purpose

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 dated 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 nine (9) separate and distinct Series of Units issued and outstanding: Frontier Diversified Series, Frontier Masters Series, Frontier Long/Short Commodity Series, Balanced Series, Tiverton/Graham/Transtrend Series (formerly Berkeley/Graham/Tiverton Series), Currency Series, Winton Series, Winton/Graham Series and TBG Institutional Series (each a “Series” and collectively, the “Series”). The TBG Institutional Series is a private series of the Trust and has been consolidated within the Trust financial statements and notes to the financial statements. The Trust financial statements are comprised of unitized Series which are consolidated into the Trust financial statements. However, the consolidated Trust does not issue 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;

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• 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);

• 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, 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 December 31, 2012, the Trust, with respect to the Frontier Diversified Series, Frontier Masters Series, Tiverton/Graham/Transtrend Series, Currency Series, Winton Series and Winton/Graham Series separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Balanced Series, and Frontier Long/Short Commodity Series separates Units into six separate Classes—Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a. It is expected that between 10% and 30% of each Series’ assets normally will be invested in one or more Trading Companies to be committed as margin for trading positions, but from time to time these percentages may be substantially more or less. The remainders of each Series’ assets are maintained at the Trust level for cash management. Each of the respective Series has invested monies into pooled cash management assets which have included purchases of certificates of deposit, custom time deposits and U.S. Treasury securities. Each Series’ ownership in these investments is based on its percentage ownership in the pooled cash management assets on the reporting date.

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Each Series of the Trust may invest a portion of its assets in a single Trading Company or in several different Trading Companies and may have multiple Trading Advisors that manage the assets invested in such Trading Companies.

In November 2010, the Tiverton/Graham/Transtrend Series of the Trust 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 Trust. The investment was liquidated March 20, 2012.

During July, 2011, Currency Series of the Trust 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 onetime 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 Consolidated Statements of Operations as Net increase from payments by managing owner.

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.

2. Significant Accounting Policies

The following are the significant accounting policies of the Trust.

Basis of Presentation—The Trust follows Generally Accepted Accounting Principles (“GAAP”), as established by the Financial Accounting Standards Board (the “FASB”), to ensure consistent reporting of financial condition, schedules of investments, results of operations, changes in capital and cash flows.

Consolidation—Each Series of the Trust invests in Trading Companies who 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. The Trading Companies and Series of the Trust are consolidated by the Trust.

Investment in Berkeley Quantitative Colorado Fund LLC—The Tiverton/Graham/Transtrend Series of the Trust had an investment in the Berkeley Quantitative Colorado Fund LLC. The Berkeley Quantitative Colorado Fund LLC began operations on November 1, 2010. The Berkeley Quantitative Colorado Fund LLC was not consolidated into the financial statements of the Trust because the Trust has no control or transparency over the operations of the fund. This investment was shown on the consolidated statements of financial condition with the change in fair value shown in net unrealized gain/(loss) on the Berkeley Quantitative Colorado Fund LLC. This investment was liquidated on March 20, 2012.

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. Actual results could differ from these estimates and such differences could be material.

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

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Interest Income—Aggregate interest income from all sources, including assets held at Futures Commission Merchants (“FCM”), up to the first two percentage points or 20% of the aggregate percentage yield (annualized) is paid to the Managing Owner. All interest not paid to the Managing Owner is interest income to the Trust.

U.S. Treasury Securities—U.S. Treasury Securities 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 consolidated statements of operations as net unrealized gain/(loss) on U.S. Treasury securities. Accrued interest is reported on the consolidated 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 2015. Custom time deposits were purchased on April 1, 2010, 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. In May 2011, July 2011, August 2011 and January 2012, October 2012, and November 2012, the Trust, redeemed approximately $25 million, $25 million, $50 million $25 million and $16 million, respectively, in custom time deposits held with U.S. Bank N.A which represented a full liquidation of the 2.17% investment tranche and an additional $25 million of the 3.17% tranche. 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 Series of the Trust invested 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 were allocated to each Series based on their percentage ownership in the pooled cash management assets as of the reporting date. Credit Default Swaps were reported at fair value based upon counterparty value per the valuation policy. The Series of the Trust recorded the daily change in fair value in the statements of operations as net unrealized gain/(loss) on swap contracts. All Credit Default Swaps expired during March 2012.

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 consolidated 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 consolidated 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

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interest income is recognized in the period earned. Transaction costs are recognized as incurred and reflected separately in the consolidated statements of operations.

Foreign currency transactions—The Series of the Trust’s functional currency is the U.S. Dollar, however, they transact business in currencies other than the U.S. Dollar. The Series of the Trust do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.

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.

Payments by the Managing Owner—The Managing Owner may make discretionary payments to the Trust 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 consolidated 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, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the statements of operations. 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 investment or instrument. 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 are reported utilizing Level 3 Inputs. The significant unobservable inputs used in the fair value measurement of the Trust’s Swap contracts are asset liquidity, debt valuation, credit risk, volatility, market risk, distributions, dividends, risk premiums, and other risk management tools. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. 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 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. Please refer to Note 3 Fair Value Measurements.

Income Taxes—The Trust applies the provisions of ASC 740 Income Taxes (“ASC 740”), which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This interpretation also provides guidance on derecognition, classification, interest and penalties, accounting in interim periods and disclosure. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trust’s financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Trust’s level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The Managing Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust for the years ended December 31, 2012, 2011 and 2010. The 2009 through 2012 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

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

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

Service Fees—The Trust maintains each Series of Units in three or six sub-classes—Class 1, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of any Series are charged a service fee of up to three percent (3.0%) annually of the NAV of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 or Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the NAV at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to Selling Agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Series, 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 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 became effective for interim and annual periods beginning on or after December 15, 2011, with early adoption prohibited. Adoption of ASU 2011-04 on January 1, 2012 did not have a material impact on the Series’ statements of financial condition, results of operations and cash flows.

Recently Issued Accounting Pronouncements—In November of 2011, FASB issued new guidance that requires an entity to disclose information about offsetting and related arrangements to enable users of its financial

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statements to understand the effect of those arrangements on its financial position. This guidance is effective for annual and interim periods beginning on or after January, 1, 2013. An entity should provide the disclosures required by those amendments retrospectively for all comparative periods presented. The adoption of this guidance is not expected to have a material impact on the Trust’s financial position or results of operations.

Subsequent Events—The Trust follows the provisions of ASC 855, Subsequent Events, which establishes general standards of accounting for and disclosure of events that occur after the balance sheet date and up through the date the financial statements are issued. Refer to Note 10.

3. Fair Value Measurements

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

Level 1 Inputs

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

Level 2 Inputs

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

Level 3 Inputs

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

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) that are actively traded on public markets with quoted pricing for corroboration. U.S. Treasury securities and futures contracts are reported at fair value using Level 1 inputs. Trading securities instruments further include open trade equity positions (trading options and currency forwards) that are quoted prices for identical or similar assets that are not traded on active markets. Trading options and currency forwards 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 owned 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

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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. Swap contracts are reported at fair value based upon daily reports from the counterparty. The valuation of swap contracts requires significant estimates utilizing Level 3 Inputs corroborated by management through the use of a third party pricing service (“pricing service”). The pricing service, utilizing proprietary model-intensive methodologies, selects and implements the pricing model appropriate for each swap valuation. The pricing service does not provide detail of the pricing model to management. The Managing Owner through the Valuation Committee charted by the Executive Committee of the Trust, engages, via inquiry and review of methodology documentation, with the service provider to gain an understanding of the valuation model selected; the components of the model, both observable and unobservable; and quality control testing procedures in place. The Valuation committee meets on a monthly basis and as needed to discuss any updates or changes in the valuation process, reporting to the Executive Committee. The pricing service’s methodology includes performance of tolerance testing on its valuation models to ensure consistency and reasonableness of the values derived. The tolerance testing includes valuing the components of the product separately, i.e. underlying asset, volatility, financing rates, and so forth. The tolerance testing is part of the initial valuation setup and throughout the ongoing daily valuation process. The pricing service also has several layers of quality control including: engineering / reverse engineering process to understand each swap and its’ subcomponent parts fully; comparative analysis against other valuations performed with similar composition and characteristics; review of output valuation against expectations based on observable price movements of underlying futures; and lastly, periodic review by senior financial engineer to ensure design and function of model is stable and perform as expected.

The Managing Owner has chartered a valuation committee to provide oversight of the valuation process for the Series. The valuation committee meets at least monthly to discuss the valuation process and any valuation issues that may arise. The valuation committee is comprised of senior members of the Managing Owner’s management team with varying areas of expertise that add value to the committee. The valuation committee reports to both the Managing Owner’s Investment Oversight and Risk Committee and the Trust’s Executive Committee. The committee further remains in communication with the Managing Owner’s Due Diligence Committee that provides ongoing counterparty risk monitoring of the swap counterparties. The committee monitors daily pricing valuation provided by the swap counterparty and daily valuation provided by the third party pricing service to ensure the change in fair value is reasonable and valuations are in accordance with current regulations and best practices. The committee may request a price challenge if the daily valuation provided by the counterparty valuations differs significantly from the valuation obtained by the pricing service. The Managing Owner’s valuation committee monitors some additional input factors such as liquidity, volatility, and counterparty risk in order to further review the valuations provide by the pricing service.

Investment in the Berkeley Quantitative Colorado Fund LLC. Investment in Berkeley Quantitative Colorado Fund LLC was 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 represented fair value based on observable data such as ongoing redemption and/or subscription activity, which was reported as a Level 2 input. This investment was liquidated on March 20, 2012.

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The following table summarizes the instruments that comprise the Trust’s financial asset portfolio, by Series, measured at fair value on a recurring basis as of December 31, 2012 and December 31, 2011, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

December 31, 2012	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Open Trade Equity (Deficit)	$	(2,510,310	)	$	14,626,959		$	—	$	12,116,649
Swap Contracts		—			—			22,289,478		22,289,478
U.S. Treasury Securities		18,001,322			—			—		18,001,322
Written Options		—			(4,199,198	)		—		(4,199,198	)
December 31, 2011	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Open Trade Equity (Deficit)	$	(18,489,839	)	$	11,933,139		$	—	$	(6,556,700	)
Swap Contracts		—			—			24,211,688		24,211,688
U.S. Treasury Securities		78,760,003			—			—		78,760,003
Written Options		—			(3,336,326	)		—		(3,336,326	)

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 statements of operations. Investment in unconsolidated trading company asset gains and losses (realized/unrealized) included in earnings are classified in “Change in fair value of investments in unconsolidated trading companies.”

	For the Year Ended December 31, 2012
Balance of recurring Level 3 assets as of January 1, 2012	$	24,211,688
Total gains or losses (realized/unrealized):		—
Included in earnings-realized		(525,237	)
Included in earnings-unrealized		(1,386,497	)
Purchases of investments		—
Sales of swap contracts		(10,476	)
Transfers in and/or out of Level 3		—
Balance of recurring Level 3 assets as of December 31, 2012	$	22,289,478
	For the Year Ended December 31, 2011
Balance of recurring Level 3 assets as of January 1, 2011	$	104,877,949
Total gains or losses (realized/unrealized):
Included in earnings-realized		(9,630,838	)
Included in earnings-unrealized		(11,724,468	)
Purchases of investments		7,004,112
Sales of investments		(66,705,656	)
Transfers in and/or out of Level 3		—
Net increase in payments from Managing Owner		390,589
Balance of recurring Level 3 assets as of December 31, 2011	$	24,211,688

The Trust assess the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Trust’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. During the year ended December 31, 2012, the Trust transferred currency forwards from Level 1 assets to Level 2 assets

F-95

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.

The Trust 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 were 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. All Credit Default Swaps had expired as of March 31, 2012.

The Trust’s investment in Swaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements. The Swaps serve to diversify the investment holdings of the Trust and to provide access to programs and advisors that would not be otherwise available to the Trust, 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 December 31, 2012 and December 31, 2011, approximately 4.0% and 5.0%, respectively, of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain Swaps.

The Trust strategically invests 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 the Trust will be invested will not own any of the investments or indices referenced by any swap entered into by the Trust. In addition, neither the swap counterparty nor any advisor referenced by any such swap is a Trading Advisor to the Trust.

The Trust has invested in the following Swaps as of December 31, 2012:

	Credit Default Swap			Credit Default Swap			Option/Swap		Total Return Swap
Counterparty		BNP Paribas			Societe Generale			Societe Generale		DeutscheBank
Notional Amount	$	0		$	0		$	20,486,403	$	23,551,287
Termination Date		3/20/2012			3/20/2012			11/21/2014		6/30/2016
Investee Returns		On Default			On Default			Total Returns		Total Returns
Realized Gain/(Loss)	$	(407,283	)	$	(117,954	)	$	0	$	0
Unrealized Gain/(Loss)	$	(215,874	)	$	117,954		$	78,977	$	(1,367,554	)
Fair Value as of 12/31/2012	$	0		$	0		$	17,785,733	$	4,503,745

F-96

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

	Credit Default Swap		Credit Default Swap			Credit Default Swap		Option			Total Return Swap
Counterparty		BNP Paribas		Societe Generale			Societe Generale		Societe Generale			DeutscheBank
Notional Amount	$	623,160	$	0		$	0	$	14,129,540		$	23,551,287
Termination Date		3/20/2012		3/20/2012			12/20/2011		11/6/2012			6/30/2016
Investee Returns		On Default		On Default			On Default		Total Returns			Total Returns
Realized Gain/(Loss)	$	—	$	—		$	—	$	6,689,123		$	—
Unrealized Gain/(Loss)	$	213,160	$	(120,458	)	$	—	$	(18,838,844	)	$	(368,228	)
Fair Value as of 12/31/2011	$	623,159	$	—		$	—	$	17,706,757		$	5,881,772

5. 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 and in return will receive units designated as general units in the Series of the Trust 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 management 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 the Trust 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 Frontier Long/Short Commodity Series, Frontier Diversified Series, and Frontier Masters Series. The 1% interest in these specific Series of the Trust 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.

Expenses

Management Fees—Each Series of the Trust 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, Frontier Long/Short Commodity Series Class 1 a and Class 2a and Frontier Masters Series, 0.75% for Frontier Diversified Series, 2.5% for the Winton/Graham Series and Tiverton/Graham/Transtrend 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 of the Trust, the Frontier Long/Short Commodity Series (Classes 1, 2 and 3), Balanced Series, Currency Series, Tiverton/Graham/Transtrend Series,

F-97

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 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 of the Trust 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, Tiverton/Graham/Transtrend Series, Currency Series and Frontier Long/Short Commodity Series may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the 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, Tiverton/Graham/Transtrend Series, Frontier Long/Short Commodity Series and Frontier Masters 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 of the Trust, as applicable, the Series pays monthly or quarterly to the Managing Owner a service fee up to 3% annually, which the Managing Owner pays to selling agents of the Trust.

As of December 31, 2012, the Trust has a payable to the Managing Owner in the amounts of $732,119, $1,003,663, $569, 115, $602,333 and $652,500 for incentive fees, management fees, interest, trading fees, and trailing service fees, respectively. As of December 31, 2011, the Trust has a payable to the Managing Owner in the amounts of $1,844,116, $1,120,495, $717,850, $715,113 and $806,690 for incentive fees, management fees, interest, trading fees, and trailing service fees, respectively.

For the year ended December 31, 2012, the Trust paid the Managing Owner $12,198,317, $12,850,471, $10,354,157 and $7,888,010 for incentive fees, management fees, service fees, and trading fees, respectively. For the year ended December 31, 2011, the Trust paid the Managing Owner $22,931,623, $13,708,588, $14,480,515 and $8,670,193 for incentive fees, management fees, service fees, and trading fees, respectively. For the year ended December 31, 2010, the Trust paid the Managing Owner $23,058,408, $13,968,203, $17,074,297 and $8,254,551 for incentive fees, management fees, service fees, and trading fees, respectively.

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 year ended December 31, 2012 amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees were $2,096.

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 Long/Short Commodity Series, Frontier Masters Series, and Balanced Series (Class 1a and Class 2a only), 20% of the total interest allocated to each Series is paid to the Managing Owner. During the year ended December 31, 2012, and 2011 the Trust, with respect to the Series, paid $5,748,014 and $7,197,876, respectively, of such interest income to the Managing Owner. Such expenses are not included in the statements of operations of the Series.

F-98

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 $465,858 and $1,890,452, respectively for the year ended December 31, 2012, and 2011. This agreement ended April 19, 2012.

Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $2,627,888 and $3,402,814, respectively, for year ended December 31, 2012, and 2011.

Equinox Financial Group, LLC, an affiliate of the Trust, provides management services for the Managing Owner paid $437,245, $0 and $0 respectively, for the years ended December 31, 2012, 2011 and 2010.

Equinox Group Distributors, LLC, an affiliate of the Managing Owner under common control, serves as wholesaler of the Trust by marketing to broker/dealer organizations.

6. Financial Highlights

The following information presents the financial highlights of the Trust for the years ended December 31, 2012, 2011 and 2010. This data has been derived from the information presented in the consolidated financial statements.

	2012			2011			2010
Ratios to average net assets (1)
Net investment income/(loss) (1)		-6.41	%		-6.98	%		-6.92	%
Expenses before incentive fees		5.32	%		4.84	%		4.82	%
Expenses after incentive fees		7.41	%		7.84	%		7.65	%
Total return before incentive fees		-4.01	%		-0.32	%		13.84	%
Total return after incentive fees		-6.09	%		-3.33	%		11.01	%

(1) Annualized with the exception of incentive fees.

(2) Computed using average net assets outstanding during the period. Total returns not annualized.

The Trust financial highlights are calculated based upon the Trust’s consolidated financial statements. The consolidated Trust does not issue units and therefore the financial highlights do not disclose any unitized data.

7. Derivative Instruments and Hedging Activities

The Trust’s 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 Trust does not enter into or hold positions for hedging purposes as defined under ASC 815. The detail of the fair value of the Trust’s derivatives by instrument types as of December 31, 2012 and 2011 is included in the Consolidated Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trust’s positions in swap contracts.

For the years ended December 31, 2012 and 2011, the monthly average of futures contracts bought was approximately 69,300 and 205,000, respectively and sold was approximately 68,200 and 232,100, respectively. The following tables summarize the trading revenues for the years ended December 31, 2012 and 2011 approximately by contract:

The following tables summarize the trading revenues for the years ended December 31, 2012, 2011, and 2010.

F-99

Realized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2012 (1)

Type of contract
Metals	$	(22,838,438	)
Currencies		(2,494,663	)
Energies		(27,005,365	)
Agriculturals		3,256,857
Interest rates		35,056,534
Stock indices		9,237,257
Realized trading income/(loss) (1)	$	(4,787,818	)

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

for the Year Ended December 31, 2012 (2)

Type of contract
Metals	$	1,556,325
Currencies		18,010,199
Energies		(3,566,647	)
Agriculturals		(2,041,315	)
Interest rates		2,248,451
Stock indices		1,423,795
Change in unrealized trading income/(loss) (2)	$	17,630,808

Realized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2011 (2)

Type of contract
Metals	$	11,612,828
Currencies		34,838,054
Energies		35,782,228
Agriculturals		13,881,212
Interest rates		28,920,221
Stock indices		20,611,934
Realized trading income/(loss) (2)	$	145,646,477

Unrealized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2011 (1)

Type of contract
Metals	$	(9,104,684	)
Currencies		(39,279,686	)
Energies		611,935
Agriculturals		(18,764,970	)
Interest rates		(8,749,367	)
Stock indices		(11,265,448	)
Unrealized trading income/(loss) (1)	$	(86,552,220	)

F-100

Realized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2010 (2)

Type of contract
Metals	$	14,579,597
Currencies		19,812,288
Energies		2,633,175
Agriculturals		46,752,288
Interest rates		14,743,765
Stock indices		7,201,121
Realized trading income/(loss) (2)	$	105,722,234

Unrealized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2010 (1)

Type of contract
Metals	$	4,546,830
Currencies		12,256,088
Energies		25,386,546
Agriculturals		(11,784,078	)
Interest rates		1,744,734
Stock indices		2,413,750
Unrealized trading income/(loss) (1)	$	34,563,870

(1) Amounts recorded in the consolidated statement of operations under net realized gain/(loss) on futures, forwards and options.

(2) Amounts recorded in the consolidated statement of operations under net change in open trade equity (deficit), at fair value.

8. 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.

F-101

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.

9. Indemnifications and Guarantees

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.

The Trust has guaranteed the obligations of the trading companies under the customer agreements with UBS Securities as Clearing Broker. In the event that one Series of the Trust is unable to meet its obligations to UBS Securities, the assets of the other Series will be available to UBS Securities as part of the guarantee, but only to the extent of such Series’ pro rata allocation to the trading company.

10. Subsequent Events

Subsequent Review

Effective as of March 14, 2013, the Tiverton/Graham/Transtrend Series of the Trust became known as the Frontier Select Series, and the Winton/Graham Series of the Trust became known as the Frontier Heritage Series.

F-102

Report of Independent Registered Public Accounting Firm

To the Frontier Fund,

as sole member of the Trading Companies

We have audited the accompanying statements of financial condition, including the condensed schedules of investments, of the Frontier Trading Company I LLC, Frontier Trading Company II LLC, Frontier Trading Company III LLC, Frontier Trading Company V LLC, Frontier Trading Company VI LLC, Frontier Trading Company VII, LLC, Frontier Trading Company VIII, LLC, Frontier Trading Company IX, LLC, Frontier Trading Company X, LLC, Frontier Trading Company XI, LLC, Frontier Trading Company XII, LLC, Frontier Trading Company XIV, LLC, Frontier Trading Company XV, LLC, Frontier Trading Company XVII, LLC, Frontier Trading Company XVIII, LLC, Frontier Trading Company XXI, LLC and Frontier Trading Company XXIII, LLC (collectively, the Trading Companies) as of December 31, 2012 and 2011, and the related statements of operations, changes in members’ equity, and cash flows for each of the three years in the period ended December 31, 2012. These financial statements are the responsibility of the Trading Companies management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Trading Companies are not required to have, nor were we engaged to perform an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trading Companies’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Frontier Trading Company I LLC, Frontier Trading Company II LLC, Frontier Trading Company III LLC, Frontier Trading Company V LLC, Frontier Trading Company VI LLC, Frontier Trading Company VII, LLC, Frontier Trading Company VIII, LLC, Frontier Trading Company IX, LLC, Frontier Trading Company X, LLC, Frontier Trading Company XI, LLC, Frontier Trading Company XII, LLC, Frontier Trading Company XIV, LLC, Frontier Trading Company XV, LLC, Frontier Trading Company XVII, LLC, Frontier Trading Company XVIII, LLC, Frontier Trading Company XXI, LLC, and Frontier Trading Company XXXIII, LLC, as of December 31, 2012 and 2011, and the results of their operations and their cash flows for each of the three years in the period ended December 31, 2012, in conformity with U.S. generally accepted accounting principles.

/s/ McGladrey LLP

Denver, Colorado

April 1, 2013

F-103

The Trading Companies of the Frontier Fund

Statements of Financial Condition

December 31, 2012 and 2011

	Frontier Trading Company I LLC				Frontier Trading Company II LLC				Frontier Trading Company III LLC
	12/31/2012		12/31/2011		12/31/2012		12/31/2011		12/31/2012		12/31/2011
ASSETS
Receivable from futures commission merchants	$	43,439,427	$	44,352,814	$	20,525,159	$	13,281,065	$	—	$	—
Open trade equity, at fair value		1,216,745		295,708		1,499,438		4,042,808		—		—
Swap contracts, at fair value		17,785,734		17,706,757		—		—		—		—
Interest receivable		—		—		2,882		—		—		—
Total Assets	$	62,441,906	$	62,355,279	$	22,027,479	$	17,323,873	$	—	$	—
LIABILITIES & MEMBERS’ EQUITY
LIABILITIES
Payable to futures commission merchants	$	—	$	—	$	—	$	—	$	—	$	—
Interest payable		6,479		—		—		—		—		—
Options written, at fair value		165,363		444,255		—		9,873		—		—
Open trade deficit, at fair value		—		—		—				—		—
Total Liabilities		171,842		444,255		—		9,873		—		—
MEMBERS’ EQUITY (Net Asset Value)		62,270,064		61,911,024		22,027,479		17,314,000		—		—
Total Liabilities and Members’ Equity	$	62,441,906	$	62,355,279	$	22,027,479	$	17,323,873	$	—	$	—
	Frontier Trading Company V LLC				Frontier Trading Company VI LLC				Frontier Trading Company VII, LLC
	12/31/2012		12/31/2011		12/31/2012		12/31/2011		12/31/2012		12/31/2011
ASSETS
Receivable from futures commission merchants	$	14,732,606	$	19,418,926	$	—	$	—	$	12,684,556	$	47,822,021
Open trade equity, at fair value		1,311,171		1,438,257		—		—		—		—
Swap contracts, at fair value		—		—		—		—		—		—
Interest receivable		2,181		—		—		—		—		—
Total Assets	$	16,045,958	$	20,857,183	$	—	$	—	$	12,684,556	$	47,822,021
LIABILITIES & MEMBERS’ EQUITY
LIABILITIES
Payable to futures commission merchants	$	—	$	—	$	—	$	—	$	—	$	—
Interest payable		—		—		—		—		100		—
Open trade deficit, at fair value		—		—		—		—		905,196		25,934,678
Options written, at fair value		—		—		—		—		928,690		—
Total Liabilities		—		—		—		—		1,833,986		25,934,678
MEMBERS’ EQUITY (Net Asset Value)		16,045,958		20,857,183		—		—		10,850,570		21,887,343
Total Liabilities and Members’ Equity	$	16,045,958	$	20,857,183	$	—	$	—	$	15,585,876	$	47,822,021

F-104

The Trading Companies of the Frontier Fund

Statements of Financial Condition

December 31, 2012 and 2011

	Frontier Trading Company VIII, LLC				Frontier Trading Company IX, LLC				Frontier Trading Company X, LLC
	12/31/2012		12/31/2011		12/31/2012		12/31/2011		12/31/2012		12/31/2011
ASSETS
Receivable from futures commission merchants	$	—	$	—	$	—	$	4,767,402	$	—	$	—
Open trade equity, at fair value		—		—		—		444,769		—		—
Swap contracts, at fair value		—		—		—		—		—		—
Interest receivable		—		—		—		—		—		—
Total Assets	$	—	$	—	$	—	$	5,212,171	$	—	$	—
LIABILITIES & MEMBERS’ EQUITY
LIABILITIES
Payable to futures commission merchants	$	—	$	—	$	—	$	—	$	—	$	—
Interest payable		—		—		—		—		—		—
Open trade deficit, at fair value		—		—		—		—		—		—
Total Liabilities		—		—		—		—		—		—
MEMBERS’ EQUITY (Net Asset Value)		—		—		—		5,212,171		—		—
Total Liabilities and Members’ Equity	$	—	$	—	$	—	$	5,212,171	$	—	$	—
	Frontier Trading Company XI, LLC				Frontier Trading Company XII, LLC				Frontier Trading Company XIV, LLC
	12/31/2012		12/31/2011		12/31/2012		12/31/2011		12/31/2012		12/31/2011
ASSETS
Receivable from futures commission merchants	$	—	$	—	$	—	$	—	$	45,275,485	$	12,159,223
Open trade equity, at fair value		—		—		—		—		—		—
Swap contracts, at fair value		—		—		—		—		—		—
Interest receivable		—		—		—		—		—		—
Total Assets	$	—	$	—	$	—	$	—	$	45,275,485	$	12,159,223
LIABILITIES & MEMBERS’ EQUITY
LIABILITIES
Payable to futures commission merchants	$	—	$	—	$	—	$	—	$	—	$	—
Interest payable		—		—		—		—		8,724		—
Open trade deficit, at fair value		—		—		—		—		2,120,437		238,949
CTA fees payable		—		—		—		—		—		—
Total Liabilities		—		—		—		—		2,129,161		238,949
MEMBERS’ EQUITY (Net Asset Value)		—		—		—		—		43,146,324		11,920,274
Total Liabilities and Members’ Equity	$	—	$	—	$	—	$	—	$	45,275,485	$	12,159,223

F-105

The Trading Companies of the Frontier Fund

Statements of Financial Condition

December 31, 2012 and 2011

	Frontier Trading Company XV, LLC				Frontier Trading Company XVII, LLC (1)				Frontier Trading Company XVIII, LLC (1)
	12/31/2012		12/31/2011		12/31/2012		12/31/2011		12/31/2012		12/31/2010
ASSETS
Receivable from futures commission merchants	$	5,953,949	$	6,632,990	$	—	$	—	$	2,087,026	$	6,810,086
Open trade equity, at fair value		10,798,086		12,006,820		—		—		85,660		596,193
Swap contracts, at fair value		—		—		4,503,744		5,881,772		—		—
Interest receivable		—		—		—		—		—		—
Total Assets	$	16,752,035	$	18,639,810	$	4,503,744	$	5,881,772	$	2,172,686	$	7,406,279
LIABILITIES & MEMBERS’ EQUITY
LIABILITIES
Payable to futures commission merchants	$	—	$	—	$	—	$	—	$	—	$	—
Interest payable		2,114		—		—		—		508		—
Open trade deficit, at fair value		—		—		—		—		—		—
Options written, at fair value		3,105,144		2,882,198		—				—		—
CTA fees payable		—		—		—		—		—		—
Total Liabilities		3,107,258		2,882,198		—		—		508		—
MEMBERS’ EQUITY (Net Asset Value)		13,644,777		15,757,612		4,503,744		5,881,772		2,172,178		7,406,279
Total Liabilities and Members’ Equity	$	16,752,035	$	18,639,810	$	4,503,744	$	5,881,772	$	2,172,686	$	7,406,279
	Frontier Trading Company XXI, LLC (1)				Frontier Trading Company XXIII, LLC (2)
	12/31/2012		12/31/2011		12/31/2012
ASSETS
Receivable from futures commission merchants	$	—	$	5,107,786	$	3,343,890
Open trade equity, at fair value		—		792,372		231,181
Swap contracts, at fair value		—		—		—
Interest receivable		—				—
Total Assets	$	—	$	5,900,158	$	3,575,071
LIABILITIES & MEMBERS’ EQUITY
LIABILITIES
Payable to futures commission merchants	$	—	$	—	$	—
Interest payable		—		—		7
Open trade deficit, at fair value		—		—		—
CTA fees payable		—		—		—
Total Liabilities		—		—		7
MEMBERS’ EQUITY (Net Asset Value)		—		5,900,158		3,575,064
Total Liabilities and Members’ Equity	$	—	$	5,900,158	$	3,575,071

(1) Trading Companies XVII, XVIII and XXI commenced trading operations in July, October and March 2011, respectively.

(2) Trading Company XXIII commenced trading operations in January 2012.

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

F-106

The Trading Companies of the Frontier Fund

Condensed Schedules of Investments

December 31, 2012

	Frontier Trading						Frontier Trading						Frontier Trading
	Company I LLC						Company II LLC						Company V LLC
Description	Value			% of Net Asset Value			Value			% of Net Asset Value			Value			% of Net Asset Value
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	7,365			0.01	%	$	—			0.00	%	$	—			0.00	%
Various base metals futures contracts (Europe)		720,704			1.16	%		(144,905	)		-0.66	%		(98,821	)		-0.62	%
Various currency futures contracts (U.S.)		(182,892	)		-0.29	%		(113,013	)		-0.51	%		13,675			0.09	%
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.)		245,018			0.39	%		67,308			0.31	%		223,867			1.40	%
Various energy futures contracts (Europe)		—			0.00	%		—			0.00	%		—			0.00	%
Various interest rates futures contracts (U.S.)		62,239			0.10	%		(175,589	)		-0.80	%		(53,826	)		-0.34	%
Various interest rates futures contracts (Canada)		(11,662	)		-0.02	%		(3,901	)		-0.02	%		(40,238	)		-0.25	%
Various interest rates futures contracts (Europe)		1,501,657			2.41	%		686,914			3.12	%		362,878			2.26	%
Various interest rates futures contracts (Far East)		(148,357	)		-0.24	%		(156,960	)		-0.71	%		(121,683	)		-0.76	%
Various interest rates futures contracts (Oceanic)		270,774			0.43	%		22,721			0.10	%		(49,995	)		-0.31	%
Various precious metals futures contracts (U.S.)		52,557			0.08	%		(528,695	)		-2.40	%		—			0.00	%
Various precious metals futures contracts (Europe)		—			0.00	%		—			0.00	%		—			0.00	%
Various soft futures contracts (U.S.)		(385,110	)		-0.62	%		(169,264	)		-0.77	%		—			0.00	%
Various soft futures contracts (Europe)		(131,803	)		-0.21	%		(1,319	)		-0.01	%		(12,451	)		-0.08	%
Various soft futures contracts (Canada)		—			0.00	%		492			0.00	%		—			0.00	%
Various soft futures contracts (Far east)		—			0.00	%		—			0.00	%		—			0.00	%
Various stock index futures contracts (Africa)		82,200			0.13	%		10,164			0.05	%		—			0.00	%
Various stock index futures contracts (U.S.)		9,400			0.02	%		(279,035	)		-1.27	%		15,159			0.09	%
Various stock index futures contracts (Canada)		164,431			0.26	%		12,329			0.06	%		—			0.00	%
Various stock index futures contracts (Europe)		(491,204	)		-0.79	%		(230,942	)		-1.05	%		(206,092	)		-1.28	%
Various stock index futures contracts (Far East)		485,551			0.78	%		957,656			4.35	%		1,389,781			8.66	%
Various stock index futures contracts (Oceanic)		81,133			0.13	%		34,070			0.15	%		(910	)		-0.01	%
Various stock index futures contracts (Mexico)
Total Long Futures Contracts	$	2,332,001			3.73	%	$	(11,969	)		-0.06	%	$	1,421,344			8.85	%
OPTIONS PURCHASED *
Various stock index futures contracts (U.S.)	$	439,170			0.71	%	$	—			0.00	%	$	—			0.00	%
Total Options Purchased *	$	439,170			0.71	%	$	—			0.00	%	$	—			0.00	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	(48,913	)		-0.08	%	$	(26,363	)		-0.12	%	$	(913	)		-0.01	%
Various base metals futures contracts (Europe)		(1,929,564	)		-3.10	%		(332,332	)		-1.51	%		(215,671	)		-1.34	%
Various currency futures contracts (U.S.)		700,901			1.13	%		—			0.00	%		19,950			0.12	%
Japanese Yen Currency Settling 3/1/2013 (Number of Contracts: 279)		—			0.00	%		1,898,119			8.62	%		—			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	%

F-107

	Frontier Trading						Frontier Trading						Frontier Trading
	Company I LLC						Company II LLC						Company V LLC
Description	Value			% of Net Asset Value			Value			% of Net Asset Value			Value			% of Net Asset Value
Various energy futures contracts (U.S.)		22,057			0.04	%		(188,969	)		-0.86	%		(360,214	)		-2.24	%
Various energy futures contracts (Europe)		—			0.00	%		—			0.00	%		—			0.00	%
Various interest rates futures contracts (U.S.)		(356,806	)		-0.57	%		(92	)		0.00	%		—			0.00	%
Various interest rates futures contracts (Canada)		77,512			0.12	%		176			0.00	%		—			0.00	%
Various interest rates futures contracts (Europe)		(5,183	)		-0.01	%		(138	)		0.00	%		163			0.00	%
Various Interest rates futures contracts (Oceanic)		—			0.00	%		(12,907	)		-0.06	%		—			0.00	%
Various interest rates futures contracts (Far East)		66,859			0.11	%		—			0.00	%		—			0.00	%
Various precious metals futures contracts (U.S.)		(12,895	)		-0.02	%					0.00	%		(51,534	)		-0.32	%
Various soft futures contracts (U.S.)		579,997			0.93	%		37,832			0.17	%		202,827			1.26	%
Various soft futures contracts (Canada)		—			0.00	%					0.00	%		—			0.00	%
Various soft futures contracts (Europe)		150,946			0.24	%		(9,324	)		-0.04	%		—			0.00	%
Various stock index futures contracts (U.S.)		(257,533	)		-0.41	%		—			0.00	%		(39,264	)		-0.24	%
Various stock index futures contracts (Canada)		—			0.00	%		—			0.00	%		(6,159	)		-0.04	%
Various stock index futures contracts (Europe)		86,851			0.14	%		—			0.00	%		(208	)		0.00	%
Various stock index futures contracts (Far East)		(628,655	)		-1.01	%		(2,040	)		-0.01	%		—			0.00	%
Total Short Futures Contracts	$	(1,554,426	)		-2.49	%	$	1,363,962			6.19	%	$	(451,023	)		-2.81	%
CURRENCY FORWARDS *	$	—			0	%	$	147,443			0.67	%	$	340,848			2.12	%
Total Open Trade Equity (Deficit)	$	1,216,745			1.95	%	$	1,499,436			6.80	%	$	1,311,169			8.16	%
OPTIONS WRITTEN *
Various stock index futures contracts (U.S.)	$	(165,363	)		-0.27	%	$	—			0.00	%	$	—			0.00	%
Total Options Written	$	(165,363	)		-0.27	%	$	—			0.00	%	$	—			0.00	%
SWAPS (1)—Frontier Balanced RCW Swap (U.S.)	$	17,785,734			28.56	%	$	—			0.00	%	$	—			0.00	%

* Except as noted, no individual futures, forwards and option on futures contract position constituted greater than 5 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.

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

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

F-108

The Trading Companies of the Frontier Fund

Condensed Schedules of Investments

December 31, 2012

	Frontier Trading					Frontier Trading						Frontier Trading					Frontier Trading
	Company VI LLC					Company VII, LLC						Company VIII, LLC					Company IX, LLC
Description	Value		% of Net Asset Value			Value			% of Net Asset Value			Value		% of Net Asset Value			Value		% of Net Asset Value
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	—		0.00	%	$	(20,404	)		-0.19	%	$	—		0.00	%	$	—		0.00	%
Various base metals futures contracts (Europe)		—		0.00	%		865,253			7.97	%		—		0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		—		0.00	%		(51,388	)		-0.47	%		—		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	%		859,534			7.92	%		—		0.00	%		—		0.00	%
Brent Crude Oil Settling 4/1/2013 (Number of Contracts: 497)		—		0.00	%		1,188,750			10.96	%		—		0.00	%		—		0.00	%
Brent Crude Oil Settling 9/1/2013 (Number of Contracts: 270)		—		0.00	%		729,410			6.72	%		—		0.00	%		—		0.00	%
Crude Oil Settling 2/1/2013 (Number of Contracts: 565)		—		0.00	%		1,837,514			16.93	%		—		0.00	%		—		0.00	%
Crude Oil Settling 2/1/2014 (Number of Contracts: 606)		—		0.00	%		1,784,120			16.44	%		—		0.00	%		—		0.00	%
Crude Oil Settling 4/1/2014 (Number of Contracts: 428)		—		0.00	%		1,628,500			15.01	%		—		0.00	%		—		0.00	%
Crude Oil Settling 8/1/2014 (Number of Contracts: 219)		—		0.00	%		630,550			5.81	%		—		0.00	%		—		0.00	%
Crude Oil Settling 1/1/2015 (Number of Contracts: 191)		—		0.00	%		722,766			6.66	%		—		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	%		17,321			0.16	%		—		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	%		(357,390	)		-3.29	%		—		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	%		(922,808	)		-8.50	%		—		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	%		(15	)		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	%	$	8,911,713			82.13	%	$	—		0.00	%	$	—		0.00	%
OPTIONS PURCHASED *
Various currency futures contracts (U.S.)	$	—		0.00	%	$	517,500			4.77	%	$	—		0.00	%	$	—		0.00	%
Various energy futures contracts (Europe)		—		0.00	%		1,417,280			13.06	%		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		966,540			8.91	%		—		0.00	%		—		0.00	%
Total Options Purchased	$	—		0.00	%	$	2,901,320			26.74	%	$	—		0.00	%	$	—		0.00	%

F-109

	Frontier Trading					Frontier Trading						Frontier Trading					Frontier Trading
	Company VI LLC					Company VII, LLC						Company VIII, LLC					Company IX, LLC
Description	Value		% of Net Asset Value			Value			% of Net Asset Value			Value		% of Net Asset Value			Value		% of Net Asset Value
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	—		0.00	%	$	8,300			0.08	%	$	—		0.00	%	$	—		0.00	%
Various base metals futures contracts (Europe)		—		0.00	%		(1,065,162	)		-9.82	%		—		0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		—		0.00	%		72,004			0.66	%		—		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	%		(1,687,664	)		-15.55	%		—		0.00	%		—		0.00	%
Brent Crude Oil Settling 6/1/2013 (Number of Contracts: 424)		—		0.00	%		(1,182,720	)		-10.90	%		—		0.00	%		—		0.00	%
Brent Crude Oil Settling 7/1/2013 (Number of Contracts: 192)		—		0.00	%		(545,740	)		-5.03	%		—		0.00	%		—		0.00	%
Crude Oil Settling 5/1/2013 (Number of Contracts: 166)		—		0.00	%		(669,526	)		-6.17	%		—		0.00	%		—		0.00	%
Crude Oil Settling 6/1/2013 (Number of Contracts: 787)		—		0.00	%		(3,500,832	)		-32.26	%		—		0.00	%		—		0.00	%
Crude Oil Settling 7/1/2013 (Number of Contracts: 290)		—		0.00	%		(1,400,082	)		-12.90	%		—		0.00	%		—		0.00	%
Crude Oil Settling 3/1/2014 (Number of Contracts: 450)		—		0.00	%		(1,446,060	)		-13.33	%		—		0.00	%		—		0.00	%
Crude Oil Settling 6/1/2014 (Number of Contracts: 449)		—		0.00	%		(1,477,983	)		-13.62	%		—		0.00	%		—		0.00	%
Crude Oil Settling 9/1/2014 (Number of Contracts: 219)		—		0.00	%		(618,510	)		-5.70	%		—		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	%		12,197			0.11	%		—		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	%		24,219			0.22	%		—		0.00	%		—		0.00	%
Various precious metals futures contracts (U.S.)		—		0.00	%		61,058			0.56	%		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		698,274			6.44	%		—		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	%	$	(12,718,227	)		-117.21	%	$	—		0.00	%	$	—		0.00	%
CURRENCY FORWARDS *	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%	$	—		0.00	%
Total Open Trade Equity (Deficit)	$	—		0.00	%	$	(905,196	)		-8.34	%	$	—		0.00	%	$	—		0.00	%
OPTIONS WRITTEN *
Various currency futures contracts (U.S.)	$	—		0.00	%	$	(155,250	)		-1.43	%	$	—		0.00	%	$	—		0.00	%
Various energy futures contracts (U.S.)		—		0.00	%		(445,060	)		-4.10	%		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		(328,380	)		-3.03	%		—		0.00	%		—		0.00	%
Total Options Written	$	—		0.00	%	$	(928,690	)		-8.56	%	$	—		0.00	%	$	—		0.00	%

* Except as noted, no individual futures, forwards and option on futures contract position constituted greater than 5 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.

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

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

F-110

The Trading Companies of the Frontier Fund

Condensed Schedules of Investments

December 31, 2012

	Frontier Trading					Frontier Trading					Frontier Trading					Frontier Trading
	Company X, LLC					Company XI, LLC					Company XII, LLC					Company XIV, LLC
Description	Value		% of Net Asset Value			Value		% of Net Asset Value			Value		% of Net Asset Value			Value			% of Net Asset Value
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		345,952			0.80	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		(1,840,774	)		-4.27	%
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	%		524,924			1.22	%
Brent Crude Oil Settling 2/1/2013 (Number of Contracts: 679)		—		0.00	%		—		0.00	%		—		0.00	%		2,698,470			6.25	%
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	%		(338,346	)		-0.78	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		(50,585	)		-0.12	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		(254,254	)		-0.59	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		2,032			0.00	%
Various interest rates futures contracts (Oceanic)		—		0.00	%		—		0.00	%		—		0.00	%		27,938			0.06	%
Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		4,595			0.01	%
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	%		(568,355	)		-1.32	%
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	%		(484,213	)		-1.12	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		81,693			0.19	%
Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		(728,592	)		-1.69	%
Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		625,640			1.45	%
Various stock index futures contracts (Oceanic)		—		0.00	%		—		0.00	%		—		0.00	%		51,014			0.12	%
Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	97,139			0.21	%
OPTIONS PURCHASED *	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%

F-111

	Frontier Trading					Frontier Trading					Frontier Trading					Frontier Trading
	Company X, LLC					Company XI, LLC					Company XII, LLC					Company XIV, LLC
Description	Value		% of Net Asset Value			Value		% of Net Asset Value			Value		% of Net Asset Value			Value			% of Net Asset Value
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	(9,013	)		-0.02	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		(1,523,888	)		-3.53	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		1,009,305			2.34	%
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	%		(2,163,365	)		-5.01	%
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	%		400			0.00	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		2,293			0.01	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		15,048			0.03	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		105,922			0.25	%
Various interest rates futures contracts (Oceanic)		—		0.00	%		—		0.00	%		—		0.00	%		(1,482	)		0.00	%
Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		43,715			0.10	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		375,286			0.87	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		(26,900	)		-0.06	%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		(44,900	)		-0.10	%
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	%	$	(2,217,579	)		-5.14	%
CURRENCY FORWARDS *	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
Total Open Trade Equity (Deficit)	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	(2,120,440	)		-4.93	%

* Except as noted, no individual futures, forwards and option on futures contract position constituted greater than 5 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.

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

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

F-112

The Trading Companies of the Frontier Fund

Condensed Schedules of Investments

December 31, 2012

	Frontier Trading						Frontier Trading					Frontier Trading						Frontier Trading
	Company XV, LLC						Company XVII, LLC					Company XVIII, LLC						Company XXIII, LLC
Description	Value			% of Net Asset Value			Value		% of Net Asset Value			Value			% of Net Asset Value			Value			% of Net Asset Value
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	5,713			0.04	%	$	—		0.00	%	$	(2,113	)		-0.10	%	$	—			0.00	%
Various base metals futures contracts (Europe)		1,735,539			12.72	%		—		0.00	%		26,762			1.23	%		12,920			0.36	%
Various currency futures contracts (U.S.)		(13,656	)		-0.10	%		—		0.00	%		21,462			0.99	%		9,723			0.27	%
Various currency futures contracts (Europe)		—			0.00	%		—		0.00	%		—			0.00	%		—			0.00	%
Various energy futures contracts (U.S.)		9,763			0.07	%		—		0.00	%		(1,489	)		-0.07	%		—			0.00	%
Various energy futures contracts (Europe)		—			0.00	%		—		0.00	%		—			0.00	%		—			0.00	%
Various energy futures contracts (Far East)		462			0.00	%		—		0.00	%		—			0.00	%		—			0.00	%
Various interest rates futures contracts (U.S.)		(111,653	)		-0.82	%		—		0.00	%		(658	)		-0.03	%		(9,455	)		-0.26	%
Various interest rates futures contracts (Canada)		—			0.00	%		—		0.00	%		(13,842	)		-0.64	%		—			0.00	%
Various interest rates futures contracts (Europe)		257,759			1.89	%		—		0.00	%		37,199			1.71	%		—			0.00	%
Various interest rates futures contracts (Oceanic)		6,682			0.05	%		—		0.00	%		20,049			0.92	%		—			0.00	%
Various interest rates futures (Far East)		—			0.00	%		—		0.00	%		(3,574	)		-0.16	%		—			0.00	%
Various precious metals futures contracts (U.S.)		53,112			0.39	%		—		0.00	%		(390	)		-0.02	%		19,733			0.55	%
Various soft futures contracts (U.S.)		(185,676	)		-1.36	%		—		0.00	%		(45,985	)		-2.12	%		65,244			1.82	%
Various soft futures contracts (Canada)		—			0.00	%		—		0.00	%		(827	)		-0.04	%		—			0.00	%
Various soft futures contracts (Europe)		—			0.00	%		—		0.00	%		300			0.01	%		—			0.00	%
Various stock index futures contracts (U.S.)		47,661			0.35	%		—		0.00	%		2,499			0.12	%		(20,142	)		-0.56	%
Various stock index futures contracts (Europe)		(56,593	)		-0.41	%		—		0.00	%		(33,084	)		-1.52	%		—			0.00	%
various stock index futures contracts (Africa)		5,545			0.04	%		—		0.00	%		—			0.00	%		—			0.00	%
Various stock index futures contracts (Oceanic)		14,657			0.11	%		—		0.00	%		10,863			0.50	%		—			0.00	%
Various stock index futures contracts (Canada)		14,370			0.11	%		—		0.00	%		—			0.00	%		—			0.00	%
Various stock index futures contracts (Mexico)		1,548			0.01	%		—		0.00	%		—			0.00	%		—			0.00	%
Various stock index futures contracts (Far East)		7,887			0.06	%		—		0.00	%		83,005			3.82	%		—			0.00	%
Total Long Futures Contracts	$	1,793,120			13.15	%	$	—		0.00	%	$	100,177			4.60	%	$	78,023			2.18	%
OPTIONS PURCHASED *
Various currency futures contracts (U.S.)	$	550,237			4.03	%	$	—		0.00	%	$	—			0.00	%	$	—			0.00	%
Japanese Yen Currency Settling 3/8/2013 (Number of Contracts: 300)		1,833,750			13.44	%		—		0.00	%		—			0.00	%		—			0.00	%
Various energy futures contracts (U.S.)		—			0.00	%		—		0.00	%		—			0.00	%		—			0.00	%
Crude Oil Settling 12/1/2014 (Number of Contracts: 400)		4,868,000			35.68	%		—		0.00	%		—			0.00	%		—			0.00	%
Various precious metals futures contracts (U.S.)		711,000			5.21	%		—		0.00	%		—			0.00	%		—			0.00	%
Various soft futures contracts (U.S.)		354,344			2.60	%		—		0.00	%		—			0.00	%		—			0.00	%
Various base metals futures contracts (Europe)		676,180			4.96	%		—		0.00	%		—			0.00	%		—			0.00	%
Copper @ LME Settling 7/2/2014 (Number of Contracts: 155)		1,601,111			11.73	%		—		0.00	%		—			0.00	%		—			0.00	%
Total Options Purchased	$	10,594,622			77.65	%	$	—		0.00	%	$	—			0.00	%	$	—			0.00	%

F-113

	Frontier Trading						Frontier Trading					Frontier Trading						Frontier Trading
	Company XV, LLC						Company XVII, LLC					Company XVIII, LLC						Company XXIII, LLC
Description	Value			% of Net Asset Value			Value		% of Net Asset Value			Value			% of Net Asset Value			Value			% of Net Asset Value
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	—			0.00	%	$	—		0.00	%	$	(46,419	)		-2.14	%	$	—			0.00	%
Various base metals futures contracts (Europe)		(2,599,870	)		-19.05	%		—		0.00	%		—			0.00	%		—			0.00	%
Various currency futures contracts (U.S.)		101,696			0.75	%		—		0.00	%		27,523			1.27	%		22,754			0.64	%
Various currency futures contracts (Europe)		—			0.00	%		—		0.00	%		—			0.00	%		—			0.00	%
Various currency futures contracts (Far East)		684			0.01	%		—		0.00	%		—			0.00	%		—			0.00	%
Various energy futures contracts (Europe)		7,109			0.05	%		—		0.00	%		—			0.00	%		—			0.00	%
Various energy futures contracts (U.S.)		(110,475	)		-0.81	%		—		0.00	%		—			0.00	%		32,986			0.92	%
Various interest rates futures contracts(Canada)		1,109			0.01	%		—		0.00	%		—			0.00	%		—			0.00	%
Various interest rates futures contracts (Europe)		(11,164	)		-0.08	%		—		0.00	%		—			0.00	%		—			0.00	%
Various interest rates futures contracts (Far East)		—			0.00	%		—		0.00	%		—			0.00	%		—			0.00	%
Various interest rates futures contracts (Oceanic)		(2,830	)		-0.02	%		—		0.00	%		—			0.00	%		—			0.00	%
Various interest rates futures contracts (US)		(41,586	)		-0.30	%		—		0.00	%		—			0.00	%		—			0.00	%
Various precious metals futures contracts (U.S.)		460,698			3.38	%		—		0.00	%		(1,930	)		-0.09	%		(22,725	)		-0.64	%
Various soft futures contracts (U.S.)		386,486			2.83	%		—		0.00	%		5,536			0.25	%		159,435			4.46	%
Various soft futures contracts (Europe)		7,494			0.05	%		—		0.00	%		773			0.04	%		—			0.00	%
Various stock index futures contracts (U.S.)		7,437			0.05	%		—		0.00	%		—			0.00	%		(39,292	)		-1.10	%
Total Short Futures Contracts	$	(1,793,212	)		-13.13	%	$	—		0.00	%	$	(14,517	)		-0.67	%	$	153,158			4.28	%
CURRENCY FORWARDS *	$	203,556			1.49	%	$	—		0.00	%	$	—			0.00	%	$	—			0.00	%
Total Open Trade Equity (Deficit)	$	10,798,087			79.16	%	$	—		0.00	%	$	85,660			3.93	%	$	231,181			6.46	%
OPTIONS WRITTEN *
Various base metals futures contracts (U.S.)	$	(261,172	)		-1.91	%	$	—		0.00	%	$	—			0.00	%	$	—			0.00	%
Various currency futures contracts (U.S.)		(184,250	)		-16.03	%		—		0.00	%		—			0.00	%		—			0.00	%
Japanese Yen Currency Settling 3/8/2013 (Number of Contracts: 300)		(1,001,250	)		7.34	%		—		0.00	%		—			0.00	%		—			0.00	%
Various energy futures contracts (U.S.)		(307,230	)		-12.39	%		—		0.00	%		—			0.00	%		—			0.00	%
Creude Oil Settling 3/1/2013 (Number of Contracts: 133)		(691,600	)		5.07	%		—		0.00	%		—			0.00	%		—			0.00	%
Various precious metals futures contracts (U.S.)		(540,330	)		-3.96	%		—		0.00	%		—			0.00	%		—			0.00	%
Various soft futures contracts (U.S.)		(119,313	)		-0.87	%		—		0.00	%		—			0.00	%		—			0.00	%
Total Options Written	$	(3,105,145	)		-22.75	%	$	—		0.00	%	$	—			0.00	%	$	—			0.00	%
SWAPS (1)
Frontier Balanced DB Swap (U.S.)	$	—			0.00	%	$	2,702,247		60.00	%	$	—			0.00	%	$	—			0.00	%
Frontier Currency DB Swap (U.S.)	$	—			0.00	%	$	1,801,497		40.00	%	$	—			0.00	%	$	—			0.00	%
	$	—			0.00	%	$	4,503,744		100.00	%	$	—			0.00	%	$	—			0.00	%

* Except as noted, no individual futures, forwards and option on futures contract position constituted greater than 5 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.

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

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

F-114

The Trading Companies of the Frontier Fund

Condensed Schedules of Investments

December 31, 2011

	Frontier Trading						Frontier Trading						Frontier Trading					Frontier Trading
	Company I LLC						Company II LLC						Company III LLC					Company V LLC
Description	Value			% of Net Asset Value			Value			% of Net Asset Value			Value		% of Net Asset Value			Value			% of Net Asset Value
LONG FUTURES CONTRACTS *
Various base metals futures contracts (US)	$	(108,899	)		-0.18	%	$	(57,263	)		-0.33	%	$	—		0.00	%	$	(3,756	)		-0.02	%
Various base metals futures contracts (Europe)		(29,673	)		-0.05	%		(150,823	)		-0.87	%		—		0.00	%		(5,863	)		-0.03	%
Various currency futures contracts (US)		123,683			0.20	%		550,236			3.18	%		—		0.00	%		16,724			0.08	%
Various currency futures contracts (Canada)		—			0.00	%		—			0.00	%		—		0.00	%		—			0.00	%
Various currency futures contracts (Europe)		24,828			0.04	%		(79,234	)		-0.46	%		—		0.00	%		(233	)		0.00	%
Various currency futures contracts (Far East)		—			0.00	%		—			0.00	%		—		0.00	%		—			0.00	%
Various energy futures contracts (US)		29,865			0.05	%		111,908			0.65	%		—		0.00	%		59,215			0.28	%
Various energy futures contracts (Europe)		(63,395	)		-0.10	%		(84,305	)		-0.49	%		—		0.00	%		(2,515	)		-0.01	%
Various interest rates futures contracts (US)		170,202			0.27	%		581,827			3.36	%		—		0.00	%		322,301			1.55	%
Various interest rates futures contracts (Canada)		38,148			0.06	%		15,281			0.09	%		—		0.00	%		9,531			0.05	%
Various interest rates futures contracts (Europe)		655,649			1.06	%		1,509,072			8.72	%		—		0.00	%		484,795			2.32	%
Various interest rates futures contracts (Far East)		87,280			0.14	%		312,983			1.81	%		—		0.00	%		292,784			1.40	%
Various precious metals futures contracts (US)		(84,968	)		-0.14	%		(759,420	)		-4.39	%		—		0.00	%		390			0.00	%
Various precious metals futures contracts (Europe)		—			0.00	%		—			0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (US)		66,608			0.11	%		(84,235	)		-0.49	%		—		0.00	%		—			0.00	%
Various soft futures contracts (Europe)		—			0.00	%		(5,190	)		-0.03	%		—		0.00	%		—			0.00	%
Various soft futures contracts (Canada)		—			0.00	%		—			0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (Far east)		—			0.00	%		—			0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (US)		76,371			0.12	%		130,552			0.75	%		—		0.00	%		151,551			0.73	%
Various stock index futures contracts (Canada)		—			0.00	%		—			0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Europe)		7,360			0.01	%		32,527			0.19	%		—		0.00	%		126,126			0.60	%
Various stock index futures contracts (Far East)		(149,642	)		-0.24	%		(3,419	)		-0.02	%		—		0.00	%		(12,524	)		-0.06	%
Total Long Futures Contracts	$	843,417			1.36	%	$	2,020,497			11.67	%	$	—		0.00	%	$	1,438,526			6.90	%
OPTIONS PURCHASED *	$	556,630			0.90	%	$	4,360			0.03	%	$	—		0.00	%	$	—			0.00	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (US)	$	31,772			0.05	%	$	69,976			0.40	%	$	—		0.00	%	$	83,553			0.40	%
Various base metals futures contracts (Europe)		240,822			0.39	%		399,332			2.31	%		—		0.00	%		121,322			0.58	%
Various currency futures contracts (US)		(66,867	)		-0.11	%		111,284			0.64	%		—		0.00	%		(363	)		0.00	%
Various currency futures contracts (Canada)		—			0.00	%		—			0.00	%		—		0.00	%		—			0.00	%
Various currency futures contracts (Europe)		42,568			0.07	%		(16,438	)		-0.09	%		—		0.00	%		(81,737	)		-0.39	%
Euro Settling 3/1/2012 (Number of Contracts: 355)		—			0.00	%		1,348,925			7.79	%		—		0.00	%		—			0.00	%

F-115

	Frontier Trading						Frontier Trading						Frontier Trading					Frontier Trading
	Company I LLC						Company II LLC						Company III LLC					Company V LLC
Description	Value			% of Net Asset Value			Value			% of Net Asset Value			Value		% of Net Asset Value			Value			% of Net Asset Value
Various currency futures contracts (Far East)	$	—			0.00	%	$	—			0.00	%	$	—		0.00	%	$	—			0.00	%
Various energy futures contracts (US)		975			0.00	%		(107,778	)		-0.62	%		—		0.00	%		—			0.00	%
Various energy futures contracts (Europe)		(325	)		0.00	%		63,905			0.37	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (US)		(1,508,797	)		-2.44	%		—			0.00	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (Canada)		—			0.00	%		1,056			0.01	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (Europe)		(95,043	)		-0.15	%		—			0.00	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (Far East)		—			0.00	%		3,027			0.02	%		—		0.00	%		—			0.00	%
Various precious metals futures contracts (US)		189,502			0.31	%		6,750			0.04	%		—		0.00	%		(24,125	)		-0.12	%
Various soft futures contracts (US)		(94,690	)		-0.15	%		(29,096	)		-0.17	%		—		0.00	%		(786,722	)		-3.77	%
Various soft futures contracts (Canada)		—			0.00	%		—			0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (Europe)		450,616			0.73	%		79,281			0.46	%		—		0.00	%		25,239			0.12	%
Various soft futures contracts (Far East)		(30,196	)		-0.05	%		—			0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (US)		3,545			0.01	%		—			0.00	%		—		0.00	%		350			0.00	%
Various stock index futures contracts (Canada)		(22,258	)		-0.04	%		—			0.00	%		—		0.00	%		(5,205	)		-0.02	%
Various stock index futures contracts (Europe)		(329,376	)		-0.53	%		(20,197	)		-0.12	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Far East)		104,144			0.17	%		55,851			0.32	%		—		0.00	%		(36,242	)		-0.17	%
Total Short Futures Contracts	$	(1,083,601	)		-1.75	%	$	1,965,878			11.35	%	$	—		0.00	%	$	(703,930	)		-3.38	%
CURRENCY FORWARDS *	$	(20,738	)		-0.03	%	$	52,073			0.30	%	$	—		0.00	%	$	703,661			3.37	%
Total Open Trade Equity	$	295,708			-0.24	%	$	4,042,808			23.29	%	$	—		0.00	%	$	1,438,257			6.90	%
OPTIONS WRITTEN *	$	(444,255	)		-0.72	%	$	(9,873	)		-0.06	%	$	—		0.00	%	$	—			0.00	%
Total Return Option Basket Swap (Termination date 11/6/14)	$	17,706,757			28.60	%	$	—			0.00	%	$	—		0.00	%	$	—			0.00	%

* Except as noted, no individual futures, forwards and option on futures contract position constituted greater than 5 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.

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

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

F-116

The Trading Companies of the Frontier Fund

Condensed Schedules of Investments

December 31, 2011

	Frontier Trading					Frontier Trading						Frontier Trading					Frontier Trading
	Company VI LLC					Company VII, LLC						Company VIII, LLC					Company IX, LLC
Description	Value		% of Net Asset Value			Value			% of Net Asset Value			Value		% of Net Asset Value			Value			% of Net Asset Value
LONG FUTURES CONTRACTS *
Various base metals futures contracts (US)	$	—		0.00	%	$	(49,183	)		-0.22	%	$	—		0.00	%	$	(78,818	)		-1.51	%
Various base metals futures contracts (Europe)		—		0.00	%		(206,400	)		-0.94	%		—		0.00	%		(88,198	)		-1.69	%
Aluminum Settling 1/1/2012 (Number of Contracts: 52)		—		0.00	%		—			0.00	%		—		0.00	%		(271,164	)		-5.20	%
Various currency futures contracts (US)		—		0.00	%		179,573			0.82	%		—		0.00	%		—			0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—			0.00	%		—		0.00	%		—			0.00	%
Various currency futures contracts (Europe)		—		0.00	%		416,924			1.90	%		—		0.00	%		—			0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—			0.00	%		—		0.00	%		—			0.00	%
Various energy futures contracts (US)		—		0.00	%		(215,479	)		-0.98	%		—		0.00	%		(21,396	)		-0.41	%
Crude Oil, Light Settling 11/1/2012 (Number of Contracts: 841)		—		0.00	%		(3,555,016	)		-16.24	%		—		0.00	%		—			0.00	%
Crude Oil, Light Settling 1/1/2013 (Number of Contracts: 841)		—		0.00	%		(3,802,753	)		-17.37	%		—		0.00	%		—			0.00	%
Crude Oil, Light Settling 9/1/2013 (Number of Contracts: 1,002)		—		0.00	%		(4,371,120	)		-19.97	%		—		0.00	%		—			0.00	%
Heating Oil Settling 9/1/2012 (Number of Contracts: 393)		—		0.00	%		(1,647,299	)		-7.53	%		—		0.00	%		—			0.00	%
Various energy futures contracts (Europe)		—		0.00	%		(26,290	)		-0.12	%		—		0.00	%		1,950			0.04	%
ICE Brent Crude Oil Settling 12/1/2015 (Number of Contracts: 1,359)		—		0.00	%		(3,069,350	)		-14.02	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (US)		—		0.00	%		19,602			0.09	%		—		0.00	%		51,996			1.00	%
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	%		287,405			5.51	%
Various interest rates futures contracts (Far East)		—		0.00	%		—			0.00	%		—		0.00	%		(21,720	)		-0.42	%
Various precious metals futures contracts (US)		—		0.00	%		(194,462	)		-0.89	%		—		0.00	%		—			0.00	%
Silver @ Comex Settling 12/1/2013 (Number of Contracts: 152)		—		0.00	%		(11,121,080	)		-50.81	%		—		0.00	%		—			0.00	%
Various precious metals futures contracts (Europe)		—		0.00	%		—			0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (US)		—		0.00	%		(1,017,375	)		-4.65	%		—		0.00	%		—			0.00	%
Corn Settling 12/1/2012 (Number of Contracts: 1,525)		—		0.00	%		(4,790,794	)		-21.89	%		—		0.00	%		—			0.00	%
Coffee @ CSCE Settling 9/1/2012 (Number of Contracts: 176)		—		0.00	%		(2,559,548	)		-11.69	%		—		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 (US)		—		0.00	%		111,130			0.51	%		—		0.00	%		(19,844	)		-0.38	%
Various stock index futures contracts (Canada)		—		0.00	%		—			0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Europe)		—		0.00	%		(4,721	)		-0.02	%		—		0.00	%		(6,881	)		-0.13	%
Various stock index futures contracts (Far East)		—		0.00	%		—			0.00	%		—		0.00	%		—			0.00	%
Total Long Futures Contracts	$	—		0.00	%	$	(35,903,641	)		-164.04	%	$	—		0.00	%	$	(166,670	)		-3.20	%
OPTIONS PURCHASED *	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%	$	—			0.00	%

F-117

	Frontier Trading					Frontier Trading						Frontier Trading					Frontier Trading
	Company VI LLC					Company VII, LLC						Company VIII, LLC					Company IX, LLC
Description	Value		% of Net Asset Value			Value			% of Net Asset Value			Value		% of Net Asset Value			Value			% of Net Asset Value
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (US)	$	—		0.00	%	$	13,843			0.06	%	$	—		0.00	%	$	41,937			0.80	%
Various base metals futures contracts (Europe)		—		0.00	%		290,936			1.33	%		—		0.00	%		336,000			6.45	%
Various currency futures contracts (US)		—		0.00	%		(3,375	)		-0.02	%		—		0.00	%		—			0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—			0.00	%		—		0.00	%		—			0.00	%
Various currency futures contracts (Europe)		—		0.00	%		(918,634	)		-4.20	%		—		0.00	%		7,388			0.14	%
Various currency futures contracts (Far East)		—		0.00	%		—			0.00	%		—		0.00	%		—			0.00	%
Various energy futures contracts (US)		—		0.00	%		1,940,210			8.86	%		—		0.00	%		(8,635	)		-0.17	%
Crude Oil, Light Settling 12/1/2012 (Number of Contracts: 1,505)		—		0.00	%		(1,842,322	)		-8.42	%		—		0.00	%		—			0.00	%
Crude Oil, Light Settling 12/1/2013 (Number of Contracts: 987)		—		0.00	%		(1,910,259	)		-8.73	%		—		0.00	%		—			0.00	%
Heating Oil Settling 6/1/2012 (Number of Contracts: 373)		—		0.00	%		1,591,666			7.27	%		—		0.00	%		—			0.00	%
Various energy futures contracts (Europe)		—		0.00	%		573,850			2.62	%		—		0.00	%		(3,640	)		-0.07	%
ICE Brent Crude Oil Settling 12/1/2012 (Number of Contracts: 1,660)		—		0.00	%		2,835,790			12.96	%		—		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	%		(5,711	)		-0.11	%
Various interest rates futures contracts (Far East)		—		0.00	%		(75,712	)		-0.35	%		—		0.00	%		(22,100	)		-0.42	%
Various precious metals futures contracts (US)		—		0.00	%		82,675			0.38	%		—		0.00	%		65,830			1.26	%
Silver @ Comex Settling 12/1/2012 (Number of Contracts: 152)		—		0.00	%		2,879,242			13.15	%		—		0.00	%		—			0.00	%
Various soft futures contracts (US)		—		0.00	%		273,782			1.25	%		—		0.00	%		(37,406	)		-0.72	%
Corn Settling 7/1/2012 (Number of Contracts: 1,123)		—		0.00	%		2,867,576			13.10	%		—		0.00	%		—			0.00	%
Corn Settling 9/1/2012 (Number of Contracts: 288)		—		0.00	%		1,370,557			6.26	%		—		0.00	%		—			0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—			0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (US)		—		0.00	%		(863	)		0.00	%		—		0.00	%		40			0.00	%
Various stock index futures contracts (Europe)		—		0.00	%		—			0.00	%		—		0.00	%		(67,325	)		-1.29	%
Various stock index futures contracts (Far East)		—		0.00	%		—			0.00	%		—		0.00	%		1,930			0.04	%
Total Short Futures Contracts	$	—		0.00	%	$	9,968,962			45.55	%	$	—		0.00	%	$	308,308			5.92	%
CURRENCY FORWARDS *	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%	$	303,130			5.82	%
Total Open Trade Equity (Deficit)	$	—		0.00	%	$	(25,934,678	)		-118.49	%	$	—		0.00	%	$	444,769			8.53	%
SWAPS (1)	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%	$	—			0.00	%

* Except as noted, no individual futures, forwards and option on futures contract position constituted greater than 5 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.

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

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

F-118

The Trading Companies of the Frontier Fund

Condensed Schedules of Investments

December 31, 2011

	Frontier Trading					Frontier Trading					Frontier Trading					Frontier Trading
	Company X, LLC					Company XI, LLC					Company XII, LLC					Company XIV, LLC
Description	Value		% of Net Asset Value			Value		% of Net Asset Value			Value		% of Net Asset Value			Value			% of Net Asset Value
LONG FUTURES CONTRACTS*
Various base metals futures contracts (US)	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	(146,081	)		-1.23	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		(186,593	)		-1.57	%
Various currency futures contracts (US)		—		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	%		(46,338	)		-0.39	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—			0.00	%
Various energy futures contracts (US)		—		0.00	%		—		0.00	%		—		0.00	%		(1,023	)		-0.01	%
Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		(159,720	)		-1.34	%
Various interest rates futures contracts (US)		—		0.00	%		—		0.00	%		—		0.00	%		139,346			1.17	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		43,082			0.36	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		397,412			3.33	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		26,504			0.22	%
Various precious metals futures contracts (US)		—		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 (US)		—		0.00	%		—		0.00	%		—		0.00	%		218,499			1.83	%
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	%		1,440			0.01	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (US)		—		0.00	%		—		0.00	%		—		0.00	%		(8,787	)		-0.07	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		5,579			0.05	%
Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		24,453			0.21	%
Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		(22,009	)		-0.18	%
Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	285,764			2.40	%
OPTIONS PURCHASED *	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
SHORT FUTURES CONTRACTS*
Various base metals futures contracts (US)	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	164,351			1.38	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		18,542			0.16	%
Various currency futures contracts (US)		—		0.00	%		—		0.00	%		—		0.00	%		—			0.00	%

F-119

	Frontier Trading					Frontier Trading					Frontier Trading					Frontier Trading
	Company X, LLC					Company XI, LLC					Company XII, LLC					Company XIV, LLC
Description	Value		% of Net Asset Value			Value		% of Net Asset Value			Value		% of Net Asset Value			Value			% of Net Asset Value
Various currency futures contracts (Canada)	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		(19,013	)		-0.16	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—			0.00	%
Various energy futures contracts (US)		—		0.00	%		—		0.00	%		—		0.00	%		(21,112	)		-0.18	%
Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		26,280			0.22	%
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	%		896			0.01	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		(34,143	)		-0.29	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—			0.00	%
Various precious metals futures contracts (US)		—		0.00	%		—		0.00	%		—		0.00	%		17,435			0.15	%
Various soft futures contracts (US)		—		0.00	%		—		0.00	%		—		0.00	%		(253,018	)		-2.12	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		17,898			0.15	%
Various stock index futures contracts (US)		—		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	%		688			0.01	%
Total Short Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	(81,194	)		-0.68	%
CURRENCY FORWARDS *	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	(443,519	)		-3.72	%
Total Open Trade Equity	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	(238,949	)		-2.00	%
SWAPS (1)	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—			100.00	%

* Except as noted, no individual futures, forwards and option on futures contract position constituted greater than 5 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.

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

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

F-120

The Trading Companies of the Frontier Fund

Condensed Schedules of Investments

December 31, 2011

	Frontier Trading						Frontier Trading					Frontier Trading						Frontier Trading
	Company XV, LLC						Company XVII, LLC					Company XVIII, LLC						Company XXI, LLC
Description	Value			% of Net Asset Value			Value		% of Net Asset Value			Value			% of Net Asset Value			Value			% of Net Asset Value
LONG FUTURES CONTRACTS *
Various base metals futures contracts (US)	$	(929,394	)		-5.90	%	$	—		0.00	%	$	(97,100	)		-1.31	%	$	(40,664	)		-0.69	%
Various base metals futures contracts (Europe)		290,940			1.85	%		—		0.00	%		(57,349	)		-0.77	%		(37,959	)		-0.64	%
Copper @ LME Settling 1/26/2012 (Number of Contracts: 153)		(836,691	)		-5.31	%		—		0.00	%		—			0.00	%		—			0.00	%
Copper @ LME Settling 2/15/2012 (Number of Contracts: 229)		(1,077,683	)		-6.84	%		—		0.00	%		—			0.00	%		—			0.00	%
Copper @ LME Settling 6/20/2012 (Number of Contracts: 48)		(1,743,900	)		-11.07	%		—		0.00	%		—			0.00	%		—			0.00	%
Various currency futures contracts (US)		—			0.00	%		—		0.00	%		(1,624	)		-0.02	%		22,523			0.38	%
Various currency futures contracts (Canada)		—			0.00	%		—		0.00	%		—			0.00	%		—			0.00	%
Various currency futures contracts (Europe)		—			0.00	%		—		0.00	%		32,889			0.44	%		4,733			0.08	%
Various currency futures contracts (Far East)		—			0.00	%		—		0.00	%		—			0.00	%		—			0.00	%
Various energy futures contracts (US)		—			0.00	%		—		0.00	%		(30,762	)		-0.42	%		13,622			0.23	%
Various energy futures contracts (Europe)		—			0.00	%		—		0.00	%		(79,325	)		-1.07	%		1,520			0.03	%
Various interest rates futures contracts (US)		—			0.00	%		—		0.00	%		46,346			0.63	%		20,708			0.35	%
Various interest rates futures contracts (Canada)		—			0.00	%		—		0.00	%		(24,837	)		-0.34	%		(2,284	)		-0.04	%
Various interest rates futures contracts (Europe)		—			0.00	%		—		0.00	%		643,920			8.69	%		229,550			3.89	%
Various interest rates futures contracts (Far East)		—			0.00	%		—		0.00	%		(34,147	)		-0.46	%		2,876			0.05	%
Various precious metals futures contracts (US)		—			0.00	%		—		0.00	%		(67,240	)		-0.91	%		—			0.00	%
Various soft futures contracts (US)		(2,951	)		-0.02	%		—		0.00	%		(51,397	)		-0.69	%		31,011			0.53	%
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 (US)		—			0.00	%		—		0.00	%		35,283			0.48	%		6,903			0.12	%
Various stock index futures contracts (Canada)		—			0.00	%		—		0.00	%		—			0.00	%		—			0.00	%
Various stock index futures contracts (Europe)		—			0.00	%		—		0.00	%		42,730			0.58	%		31,305			0.53	%
Various stock index futures contracts (Far East)		—			0.00	%		—		0.00	%		(40	)		0.00	%		—			0.00	%
Total Long Futures Contracts	$	(4,299,679	)		-27.29	%	$	—		0.00	%	$	357,347			4.82	%	$	283,844			4.81	%
OPTIONS PURCHASED *	$	3,069,581			19.48	%	$	—		0.00	%	$	—			0.00	%	$	—			0.00	%
Copper @ LME Settling 3/1/2012, Put @ 7,000 (Number of Contracts: 169)		1,144,722			7.26	%		—		0.00	%		—			0.00	%		—			0.00	%
Copper @ LME Settling 3/1/2012, Put @ 7,300 (Number of Contracts:167)		1,548,382			9.83	%		—		0.00	%		—			0.00	%		—			0.00	%
Copper @ LME Settling 12/1/2012, Put @ 6,600 (Number of Contracts:112)		1,844,164			11.70	%		—		0.00	%		—			0.00	%		—			0.00	%
Crude Oil, Light Settling 12/1/2012, Call @9,400 (Number of Contracts:56)		814,800			5.17	%
Euro Settling 3/1/2012, Put @ 1,335 (Number of Contracts: 140)		948,500			6.02	%
Euro Settling 3/1/2012, Put @ 1,360 (Number of Contracts: 112)		1,016,400			6.45	%		—		0.00	%		—			0.00	%		—			0.00	%
S&P (Mini) Settling 3/1/2012, Put @ 1,200 (Number of Contracts: 560)		985,600			6.25	%		—		0.00	%		—			0.00	%		—			0.00	%
Total Options Purchased	$	11,372,149			72.16	%	$	—		0.00	%	$	—			0.00	%	$	—			0.00	%

F-121

	Frontier Trading						Frontier Trading					Frontier Trading						Frontier Trading
	Company XV, LLC						Company XVII, LLC					Company XVIII, LLC						Company XXI, LLC
Description	Value			% of Net Asset Value			Value		% of Net Asset Value			Value			% of Net Asset Value			Value			% of Net Asset Value
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (US)	$	840,022			5.33	%	$	—		0.00	%	$	2,256			0.03	%	$	18,428			0.31	%
Various base metals futures contracts (Europe)		581,101			3.69	%		—		0.00	%		(20,175	)		-0.27	%		57,512			0.97	%
Copper @ LME Settling 2/15/2012 (Number of Contracts: 229)		1,080,293			6.86	%		—		0.00	%		—			0.00	%		—			0.00	%
Copper @ LME Settling 6/20/2012(Number of Contracts: 48)		2,495,700			15.84	%		—		0.00	%		—			0.00	%		—			0.00	%
Various currency futures contracts (US)		—			0.00	%		—		0.00	%		10,165			0.14	%		19,290			0.33	%
Various currency futures contracts (Canada)		—			0.00	%		—		0.00	%		—			0.00	%		—			0.00	%
Various currency futures contracts (Europe)		208,126			1.32	%		—		0.00	%		203,600			2.75	%		76,986			1.30	%
Various currency futures contracts (Far East)		—			0.00	%		—		0.00	%		—			0.00	%		3,727			0.06	%
Various energy futures contracts (US)		(66,491	)		-0.42	%		—		0.00	%		—			0.00	%		—			0.00	%
Various energy futures contracts (Europe)		—			0.00	%		—		0.00	%		—			0.00	%		(100	)		0.00	%
Various energy futures contracts (Far East)		—			0.00	%		—		0.00	%		—			0.00	%		(1,195	)		-0.02	%
Various interest rates futures contracts (US)		—			0.00	%		—		0.00	%		—			0.00	%		(24,881	)		-0.42	%
Various interest rates futures contracts (Canada)		—			0.00	%		—		0.00	%		—			0.00	%		2,100			0.04	%
Various interest rates futures contracts (Europe)		—			0.00	%		—		0.00	%		—			0.00	%		(31	)		0.00	%
Various interest rates futures contracts (Far East)		—			0.00	%		—		0.00	%		—			0.00	%		(173	)		0.00	%
Various precious metals futures contracts (Europe)		—			0.00	%		—		0.00	%		—			0.00	%		—			0.00	%
Various precious metals futures contracts (US)		—			0.00	%		—		0.00	%		20,285			0.27	%		20,200			0.34	%
Various soft futures contracts (US)		(81,795	)		-0.52	%		—		0.00	%		15,908			0.21	%		316,045			5.36	%
Various soft futures contracts (Europe)		—			0.00	%		—		0.00	%		2,710			0.04	%		—			0.00	%
Various soft futures contracts (Far East)		—			0.00	%		—		0.00	%		—			0.00	%		1,074			0.02	%
Various stock index futures contracts (US)		—			0.00	%		—		0.00	%		—			0.00	%		(5,226	)		-0.09	%
Various stock index futures contracts (Europe)		—			0.00	%		—		0.00	%		—			0.00	%		18,129			0.31	%
Various stock index futures contracts (Far East)		—			0.00	%		—		0.00	%		4,097			0.06	%		6,644			0.11	%
Total Short Futures Contracts	$	5,056,956			32.10	%	$	—		0.00	%	$	238,846			3.22	%	$	508,529			8.62	%
CURRENCY FORWARDS *	$	(122,606	)		-0.78	%	$	—		0.00	%	$	—			0.00	%	$	—			0.00	%
Total Open Trade Equity	$	12,006,820			57.90	%	$	—		0.00	%	$	596,193			8.05	%	$	792,372			13.43	%
OPTIONS WRITTEN*	$	(2,025,048	)		0.00	%	$	—		0.00	%	$	—			0.00	%	$	—			0.00	%
S&P Index Settling 3/1/2012, Put @ 4,100 (Number of Contracts: 1,737) Subtotal options written		(857,150	)		-5.44	%		—		0.00	%		—			0.00	%		—			0.00	%
SWAPS (1)	$	—			0.00	%	$	5,881,772		100.00	%	$	—			0.00	%	$	—			0.00	%

* Except as noted, no individual futures, forwards and option on futures contract position constituted greater than 5 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.

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

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

F-122

The Trading Companies of the Frontier Fund

Statements of Operations

For The Years Ended December 31, 2012, 2011 and 2010

	Frontier Trading Company I LLC									Frontier Trading Company II LLC									Frontier Trading Company III LLC
	12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010
Investment Income:
Interest-net	$	(123,912	)	$	(60,089	)	$	(43,262	)	$	32,577		$	13,749		$	7,102		$	—		$	1,215		$	1,636
Total Income		(123,912	)		(60,089	)		(43,262	)		32,577			13,749			7,102			—			1,215			1,636
Realized and unrealized gain (loss) on investments:																				—
Net realized gain/(loss) on futures, forwards and options		(1,571,782	)		61,056,128			23,493,386			(1,541,945	)		21,444,191			26,434,521			—			(142,069	)		290,954
Net realized gain/(loss) on swap contracts		—			6,689,123			—			—			—			—			—			(8,301,000	)		—
Net change in open trade equity		718,247			(80,961,624	)		5,505,198			(2,539,010	)		(2,190,461	)		5,967,280			—			(27,098	)		54,017
Net unrealized gain/(loss) on option / swap contracts		78,977			(18,832,300	)		8,790,927						—			(221,457	)		—			6,331,232			675,809
Trading commissions		(2,189,786	)		(3,722,720	)		(3,146,590	)		(188,143	)		(132,566	)		—			—			—			—
Net gain/(loss) on investments		(2,964,344	)		(35,771,393	)		34,642,921			(4,269,098	)		19,121,164			32,180,344			—			(2,138,935	)		1,020,780
NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS	$	(3,088,256	)	$	(35,831,482	)	$	34,599,659		$	(4,236,521	)	$	19,134,913		$	32,187,446		$	—		$	(2,137,720	)	$	1,022,416
	Frontier Trading Company V LLC									Frontier Trading Company VI LLC									Frontier Trading Company VII, LLC
	12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010
Investment Income:
Interest-net	$	22,221		$	5,304		$	11,448		$	—		$	1,780		$	9,062		$	217		$	68		$	29,449
Total Income		22,221			5,304			11,448			—			1,780			9,062			217			68			29,449
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(2,796,445	)		(9,654,886	)		5,481,406			—			1,091,347			3,310,465			(28,094,277	)		80,287,339			39,831,024
Net realized gain/(loss) on swap contracts		—			—			—			—			—			—			—			—			—
Net change in open trade equity		(127,086	)		11,205			616,949			—			(537,670	)		1,304,905			22,716,388			(14,886,524	)		4,988,429
Net unrealized gain/(loss) on option / swap contracts		—			—			—			—			—			—			—			—			—
Trading commissions		490,085			(621,086	)		(613,637	)		—			(6,105	)		(137,762	)		(1,759,517	)		(2,029,376	)		(4,896,288	)
Net gain/(loss) on investments		(2,433,446	)		(10,264,767	)		5,484,718			—			547,572			4,477,608			(7,137,406	)		63,371,439			39,923,165
NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS	$	(2,411,225	)	$	(10,259,463	)	$	5,496,166		$	—		$	549,352		$	4,486,670		$	(7,137,189	)	$	63,371,507		$	39,952,614

F-123

	Frontier Trading Company VIII, LLC								Frontier Trading Company IX, LLC									Frontier Trading Company X, LLC
	12/31/2012		12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010			12/31/2012		12/31/2011			12/31/2010
Investment Income:
Interest-net	$	—	$	(20	)	$	(380	)	$	6,966		$	16,331		$	16,310		$	—	$	—		$	—
Total Income		—		(20	)		(380	)		6,966			16,331			16,310			—		—			—
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures, forwards and options		—		—			—			(589,048	)		(1,718,447	)		1,015,966			—		—			—
Net realized gain/(loss) on swap contracts		—		(49,660	)		509,662			—			—			—			—		(5,602,827	)		—
Net change in open trade equity		—		—			—			(444,768	)		(1,086,304	)		1,492,816			—		—			—
Net unrealized gain/(loss) on option / swap contracts		—		—			—			—			—			—			—		1,291,619			416,157
Trading commissions		—		—			—			(38,305	)		(90,719	)		(127,401	)		—		—			—
Net gain/(loss) on investments		—		(49,660	)		509,662			(1,072,121	)		(2,895,470	)		2,381,381			—		(4,311,208	)		416,157
NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS	$	—	$	(49,680	)	$	509,282		$	(1,065,155	)	$	(2,879,139	)	$	2,397,691		$	—	$	(4,311,208	)	$	416,157

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

F-124

The Trading Companies of the Frontier Fund

Statements of Operations

For The Years Ended December 31, 2012, 2011 and 2010

	Frontier Trading Company XI, LLC									Frontier Trading Company XII, LLC								Frontier Trading Company XIV, LLC
	12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010		12/31/2012			12/31/2011			12/31/2010
Investment Income:
Interest-net	$	—		$	—		$	—		$	—		$	—		$	—	$	(173,840	)	$	(69,299	)	$	(20,254	)
Total Income		—			—			—			—			—			—		(173,840	)		(69,299	)		(20,254	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures, forwards and options		—			—			—			—			—			—		36,295,498			13,274,058			(234,782	)
Net realized gain/(loss) on swap contracts		—			2,070,346			—			—			(4,332,249	)		—		—			—			—
Net change in open trade equity		—			—			—			—			—			—		(1,881,488	)		(562,793	)		2,822,669
Net unrealized gain/(loss) on swap contracts		—			(1,610,580	)		3,474,611			—			1,317,993			929,503		—			—			—
Trading commissions		—			—			—			—			—			—		(2,086,635	)		(685,193	)		(320,752	)
Net gain/(loss) on investments		—			459,766			3,474,611			—			(3,014,256	)		929,503		32,327,375			12,026,072			2,267,135
NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS	$	—		$	459,766		$	3,474,611		$	—		$	(3,014,256	)	$	929,503	$	32,153,535		$	11,956,773		$	2,246,881
	Frontier Trading Company XV, LLC									Frontier Trading Company XVII, LLC (2)								Frontier Trading Company XVIII, LLC (2)
	12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010		12/31/2012			12/31/2011			12/31/2010
Investment Income:
Interest-net	$	(29,105	)	$	620		$	(4,474	)	$	—		$	—		$	—	$	(12,785	)	$	(335	)	$	—
Total Income		(29,105	)		620			(4,474	)		—			—			—		(12,785	)		(335	)		—
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(8,553,374	)		(13,634,237	)		3,641,985			—			—			—		647,731			(2,842,978	)		—
Net realized gain/(loss) on swap contracts		—			—			—			—			—			—		—			—			—
Net change in open trade equity		1,263,916			12,294,008			11,935,971			—			—			—		(510,533	)		596,192			—
Net unrealized gain/(loss) on swap contracts		—			—			—			(1,378,028	)		(368,228	)		—		—			—			—
Trading commissions		(557,552	)		(557,846	)		(567,787	)		—			—			—		(131,094	)		(46,600	)		—
Net gain/(loss) on investments		(7,847,010	)		(1,898,075	)		15,010,169			(1,378,028	)		(368,228	)		—		6,104			(2,293,386	)		—
NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS	$	(7,876,115	)	$	(1,897,455	)	$	15,005,695		$	(1,378,028	)	$	(368,228	)	$	—	$	(6,681	)	$	(2,293,721	)	$	—

F-125

	Frontier Trading Company XXI, LLC (2)								Frontier Trading Company  XXIII, LLC (1)
	12/31/2012			12/31/2011			12/31/2010		12/31/2012
Investment Income:
Interest-net	$	(34,702	)	$	(10,186	)	$	—	$	(20	)
Total Income		(34,702	)		(10,186	)		—		(20	)
Realized and unrealized gain (loss) on investments:
Net realized gain/(loss) on futures forwards and options		1,823,712			(3,513,960	)		—		(2,308,312	)
Net realized gain/(loss) on swap contracts		—			—			—		—
Net change in open trade equity		(792,373	)		792,373			—		231,181
Net unrealized gain/(loss) on swap contracts		—			—			—		—
Trading commissions		(171,957	)		(68,034	)		—		(133,532	)
Net gain/(loss) on investments		859,382			(2,789,621	)		—		(2,210,663	)
NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS	$	824,680		$	(2,799,807	)	$	—	$	(2,210,683	)

(1) Trading Company XXIII commenced trading operations in January 2012.

(2) Trading Companies XVII, XVIII and XXI commenced trading operations in July, October and March 2011, respectively.

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

F-126

The Trading Companies of the Frontier Fund

Statements of Changes in Members’ Equity

For the Years Ended December 31, 2012, 2011 and 2010

	Frontier Trading Company I LLC			Frontier Trading Company II LLC			Frontier Trading Company III LLC
Members’ Equity, December 31, 2009	$	70,763,746		$	16,891,641		$	5,501,904
Capital Contributed		93,655,000			15,900,000			250,000
Capital Distributed		(90,720,916	)		(45,300,000	)		(400,000	)
Net Increase (Decrease) in Members’ Equity Resulting From Operations		34,599,659			32,187,446			1,022,416
Members’ Equity, December 31, 2010		108,297,489			19,679,087			6,374,320
Capital Contributed		167,775,000			9,800,000			2,064,017
Capital Distributed		(178,329,983	)		(31,300,000	)		(6,300,617	)
Net Increase (Decrease) in Members’ Equity Resulting From Operations		(35,831,482	)		19,134,913			(2,137,720	)
Members’ Equity, December 31, 2011		61,911,024			17,314,000			—
Capital Contributed		211,564,017			18,150,000			—
Capital Distributed		(208,116,721	)		(9,200,000	)		—
Net Increase (Decrease) in Members’ Equity Resulting From Operations		(3,088,256	)		(4,236,521	)		—
Members’ Equity, December 31, 2012	$	62,270,064		$	22,027,479		$	—
	Frontier Trading Company V LLC			Frontier Trading Company VI LLC			Frontier Trading Cmpany VII, LLC
Members’ Equity, December 31, 2009	$	13,820,480		$	12,034,483		$	23,263,222
Capital Contributed		7,700,000			6,200,000			92,000,000
Capital Distributed		(14,500,000	)		(14,500,000	)		(87,000,000	)
Net Increase (Decrease) in Members’ Equity Resulting From Operations		5,496,166			4,486,670			39,952,614
Members’ Equity, December 31, 2010		12,516,646			8,221,153			68,215,836
Capital Contributed		29,400,000			—			68,341,000
Capital Distributed		(10,800,000	)		(8,770,505	)		(178,041,000	)
Net Increase (Decrease) in Members’ Equity Resulting From Operations		(10,259,463	)		549,352			63,371,507
Members’ Equity, December 31, 2011		20,857,183			—			21,887,343
Capital Contributed		7,900,000			—			124,718,567
Capital Distributed		(10,300,000	)		—			(128,618,151	)
Net Increase (Decrease) in Members’ Equity Resulting From Operations		(2,411,225	)		—			(7,137,189	)
Members’ Equity, December 31, 2012	$	16,045,958		$	—		$	10,850,570
	Frontier Trading Company VIII, LLC			Frontier Trading Company IX, LLC			Frontier Trading Company X, LLC
Members’ Equity, December 31, 2009	$	584,770		$	1,173,619		$	8,550,639
Capital Contributed		1,194,774			5,400,000			2,500,000
Capital Distributed		(1,498,031	)		(3,100,000	)		(58,891	)
Net Increase (Decrease) in Members’ Equity Resulting From Operations		509,282			2,397,691			416,157
Members’ Equity, December 31, 2010		790,795			5,871,310			11,407,905
Capital Contributed		896,087			7,532,417			—
Capital Distributed		(1,637,202	)		(5,312,417	)		(7,096,697	)
Net Increase (Decrease) in Members’ Equity Resulting From Operations		(49,680	)		(2,879,139	)		(4,311,208	)
Members’ Equity, December 31, 2011		—			5,212,171			—
Capital Contributed		—			1,494,695			—
Capital Distributed		—			(5,641,711	)		—
Net Increase (Decrease) in Members’ Equity Resulting From Operations		—			(1,065,155	)		—
Members’ Equity, December 31, 2012	$	—		$	—		$	—

(1) Trading Companies X, XI, XII, XIV and XV commenced trading operations in June 2009.

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

F-127

The Trading Companies of the Frontier Fund

Statements of Changes in Members’ Equity

For the Years Ended December 31, 2012, 2011 and 2010

	Frontier Trading Company XI, LLC			Frontier Trading Company XII, LLC			Frontier Trading Company XIV, LLC
Members’ Equity, December 31, 2009	$	15,972,157		$	10,027,253		$	9,220,327
Capital Contributed		14,489,668			—			12,600,000
Capital Distributed		(7,694,190	)		—			(3,707	)
Net Increase (Decrease) in Members’ Equity Resulting From Operations		3,474,611			929,503			2,246,881
Members’ Equity, December 31, 2010		26,242,246			10,956,756			24,063,501
Capital Contributed		124,293			10,123,315			59,500,000
Capital Distributed		(26,826,305	)		(18,065,815	)		(83,600,000	)
Net Increase (Decrease) in Members’ Equity Resulting From Operations		459,766			(3,014,256	)		11,956,773
Members’ Equity, December 31, 2011		—			—			11,920,274
Capital Contributed		—			—			187,634,901
Capital Distributed		—			—			(188,562,386	)
Net Increase (Decrease) in Members’ Equity Resulting From Operations		—			—			32,153,535
Members’ Equity, December 31, 2012	$	—		$	—		$	43,146,324
	Frontier Trading Company XV, LLC			Frontier Trading Company XVII, LLC (2)			Frontier Trading Company XVIII, LLC (2)
Members’ Equity, December 31, 2009	$	23,799,372		$	—		$	—
Capital Contributed		100,000			—			—
Capital Distributed		—			—			—
Net Increase (Decrease) in Members’ Equity Resulting From Operations		15,005,695			—			—
Members’ Equity, December 31, 2010		38,905,067			—			—
Capital Contributed		37,750,000			6,250,000			9,700,000
Capital Distributed		(59,000,000	)		—			—
Net Increase (Decrease) in Members’ Equity Resulting From Operations		(1,897,455	)		(368,228	)		(2,293,721	)
Members’ Equity, December 31, 2011		15,757,612			5,881,772			7,406,279
Capital Contributed		59,425,493			—			12,195,284
Capital Distributed		(53,662,213	)		—			(17,422,704	)
Net Increase (Decrease) in Members’ Equity Resulting From Operations		(7,876,115	)		(1,378,028	)		(6,681	)
Members’ Equity, December 31, 2012	$	13,644,777		$	4,503,744		$	2,172,178
	Frontier Trading Company XXI, LLC (2)			Frontier Trading Company XXIII, LLC (1)
Members’ Equity, December 31, 2009	$	—		$	—
Capital Contributed		—			—
Capital Distributed		—			—
Net Increase (Decrease) in Members’ Equity Resulting From Operations		—			—
Members’ Equity, December 31, 2010		—			—
Capital Contributed		11,500,000			—
Capital Distributed		(2,800,035	)		—
Net Increase (Decrease) in Members’ Equity Resulting From Operations		(2,799,807	)		—
Members’ Equity, December 31, 2011		5,900,158			—
Capital Contributed		22,919,497			13,937,606
Capital Distributed		(29,644,335	)		(8,151,859	)
Net Increase (Decrease) in Members’ Equity Resulting From Operations		824,680			(2,210,683	)
Members’ Equity, December 31, 2012	$	—		$	3,575,064

(1) Trading Company XXIII commenced trading operations in January 2012.

(2) Trading Companies XVII, XVIII and XXI commenced trading operations in July, October and March 2011, respectively.

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

F-128

The Trading Companies of the Frontier Fund

Statements of Cash Flows

For the Years Ended December 31, 2012, 2011 and 2010

	Frontier Trading Company I LLC									Frontier Trading Company II LLC									Frontier Trading Company III LLC
	2012			2011			2010			2012			2011			2010			2012			2011			2010
Cash Flows from Operating Activities
Net increase (decrease) in members’ equity resulting from operations	$	(3,088,256	)	$	(35,831,482	)	$	34,599,659		$	(4,236,521	)	$	19,134,913		$	32,187,446		$	—		$	(2,137,720	)	$	1,022,416
Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities:
Decrease (increase) in receivable from futures commission merchants		913,387			7,444,351			(24,146,125	)		(7,244,094	)		40,037			3,043,036			—			678,454			(188,973	)
Decrease (increase) in open trade equity, at fair value		(1,199,929	)		6,837,409			(4,596,691	)		2,533,497			2,325,050			(5,830,482	)		—			27,098			(7,634	)
Net realized (gain) loss on swap contracts		—			(6,689,123	)		—			—			—			—			—			8,301,000			—
(Purchases) of swap contracts		—			—			—			—			—			—			—			—			—
Sales of swap contracts		—			19,961,528			—			—			—			—			—			3,699,000			—
Net unrealized (gain) loss on option/swap contracts		(78,977	)		18,832,300			(8,790,927	)		—			—			—			—			(6,331,232	)		(675,809	)
Decrease (increase) in interest receivable		6,479			—			—			(2,882	)		—			—			—			—			—
(Decrease) increase in interest payable		—			—			—			—			—			—			—			—			—
Net cash provided by (used in) operating activities		(3,447,296	)		10,554,983			(2,934,084	)		(8,950,000	)		21,500,000			29,400,000			—			4,236,600			150,000
Cash Flows from Financing Activities
Capital Contributed		211,564,017			167,775,000			93,655,000			18,150,000			9,800,000			15,900,000			—			2,064,017			250,000
Capital Distributed		(208,116,721	)		(178,329,983	)		(90,720,916	)		(9,200,000	)		(31,300,000	)		(45,300,000	)		—			(6,300,617	)		(400,000	)
Net cash provided by (used in) financing activities		3,447,296			(10,554,983	)		2,934,084			8,950,000			(21,500,000	)		(29,400,000	)		—			(4,236,600	)		(150,000	)
Net change in cash and cash equivalents		—			—			—			—			—			—			—			—			—
Cash and cash equivalents, beginning of period		—			—			—			—			—			—			—			—			—
Cash and cash equivalents, end of period	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—
	Frontier Trading Company V LLC									Frontier Trading Company VI LLC									Frontier Trading Company VII, LLC
	2012			2011			2010			2012			2011			2010			2012			2011			2010
Cash Flows from Operating Activities
Net increase (decrease) in members’ equity resulting from operations	$	(2,411,225	)	$	10,259,463		$	5,496,166		$	—		$	549,352		$	4,486,670		$	(7,137,189	)	$	63,371,507		$	39,952,614
Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities:
Decrease (increase) in receivable from futures commission merchants		4,686,320			8,329,418			1,920,783			—			7,683,483			5,118,235			32,236,145			36,001,692			(60,042,001	)
Decrease (increase) in open trade equity, at fair value		127,086			11,119			(616,949	)		—			537,670			(1,304,905	)		(22,128,462	)		10,326,801			15,089,387
Decrease (increase) in options written, at fair value		—			—			—			—			—			—			928,690			—			—
Net realized (gain) loss on swap contracts		—			—			—			—			—			—			—			—			—
(Purchases) of swap contracts		—			—			—			—			—			—			—			—			—
Sales of swap contracts		—			—			—			—			—			—			—			—			—
Unrealized (gain) loss on open swap contracts		—			—			—			—			—			—			—			—			—
Increase (decrease) in payable to commodities futures merchant		—			—			—			—			—			—			—			—			—
Decrease (increase) in interest receivable		(2,181	)		—			—			—			—			—			—			—			—
(Decrease) increase in interest payable		—			—			—			—			—			—			100			—			—
Net cash provided by (used in) operating activities		2,400,000			18,600,000			6,800,000			—			8,770,505			8,300,000			3,899,584			109,700,000			(5,000,000	)
Cash Flows from Financing Activities
Capital Contributed		7,900,000			29,400,000			7,700,000			—			—			6,200,000			124,718,567			68,341,000			92,000,000
Capital Distributed		(10,300,000	)		(10,800,000	)		(14,500,000	)		—			(8,770,505	)		(14,500,000	)		(128,618,151	)		(178,041,000	)		(87,000,000	)
Net cash provided by (used in) financing activities		(2,400,000	)		18,600,000			(6,800,000	)		—			(8,770,505	)		(8,300,000	)		(3,899,584	)		(109,700,000	)		5,000,000
Net change in cash and cash equivalents		—			—			—			—			—			—			—			—			—
Cash and cash equivalents, beginning of period		—			—			—			—			—			—			—			—			—
Cash and cash equivalents, end of period	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—

F-129

	Frontier Trading Company VIII, LLC								Frontier Trading Company IX, LLC									Frontier Trading Company X, LLC
	2012		2011			2010			2012			2011			2010			2012		2011			2010
Cash Flows from Operating Activities
Net increase (decrease) in members’ equity resulting from operations	$	—	$	(49,680	)	$	509,282		$	(1,065,155	)	$	(2,879,139	)	$	2,397,691		$	—	$	(4,311,208	)	$	416,157
Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities:
Decrease (increase) in receivable from futures commission merchants		—		—			—			4,767,402			(427,142	)		(3,204,875	)		—		—			—
Decrease (increase) in open trade equity, at fair value		—		—			—			444,769			1,086,281			(1,492,816	)		—		—			—
Net realized (gain) loss on swap contracts		—		49,660			(509,662	)		—			—			—			—		5,602,827			—
(Purchases) of swap contracts							(1,194,395	)													—			(2,500,000	)
Sales of swap contracts		—		741,135			1,498,032			—			—			—			—		7,096,697			58,891
Net unrealized (gain) loss on option/swap contracts																					(1,291,619	)		(416,157	)
Decrease (increase) in interest receivable		—		—			—			—			—			—			—		—			—
Net cash provided by (used in) operating activities		—		741,115			303,257			4,147,016			(2,220,000	)		(2,300,000	)		—		7,096,697			(2,441,109	)
Cash Flows from Financing Activities
Capital Contributed		—		896,087			1,194,774			1,494,695			7,532,417			5,400,000			—		—			2,500,000
Capital Distributed		—		(1,637,202	)		(1,498,031	)		(5,641,711	)		(5,312,417	)		(3,100,000	)		—		(7,096,697	)		(58,891	)
Net cash provided by (used in) financing activities		—		(741,115	)		(303,257	)		(4,147,016	)		2,220,000			2,300,000			—		(7,096,697	)		2,441,109
Net change in cash and cash equivalents		—		—			—			—			—			—			—		—			—
Cash and cash equivalents, beginning of period		—		—			—			—			—			—			—		—			—
Cash and cash equivalents, end of period	$	—	$	—		$	—		$	—		$	—		$	—		$	—	$	—		$	—

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

F-130

The Trading Companies of the Frontier Fund

Statements of Cash Flows

For the Years Ended December 31, 2012, 2011 and 2010

	Frontier Trading Company XI, LLC									Frontier Trading Company XII, LLC									Frontier Trading Company XIV, LLC
	2012			2011			2010			2012			2011			2010			2012			2011			2010
Cash Flows from Operating Activities
Net increase (decrease) in members’ equity resulting from operations	$	—		$	459,766		$	3,474,611		$	—		$	(3,014,256	)	$	929,503		$	32,153,535		$	11,956,773		$	2,246,881
Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities:
Decrease (increase) in receivable from futures commission merchants		—			—			—			—			—			—			(33,116,262	)		11,580,433			(12,020,504	)
Decrease (increase) in open trade equity, at fair value		—			—			—			—			—			—			1,881,488			562,794			(323,845	)
Net realized (gain) loss on swap contracts		—			(2,070,346	)		—			—			4,332,249			—			—			—			—
(Purchases) of swap contracts		—			—			(14,489,668	)		—			—			—			—			—			—
Sales of swap contracts		—			26,702,012			7,694,190			—			7,942,500			—			—			—			—
Net unrealized (gain) loss on option/swap contracts		—			1,610,580			(3,474,611	)		—			(1,317,993	)		(929,503	)		—			—			—
(Decrease) increase in CTA fees payable		—			—			—			—			—			—			—			—			(2,498,825	)
Decrease (increase) in interest receivable		—			—			—			—			—			—			—			—			—
(Decrease) increase in interest payable		—			—			—			—			—			—			8,724			—			—
Net cash provided by (used in) operating activities		—			26,702,012			(6,795,478	)		—			7,942,500			—			927,485			24,100,000			(12,596,293	)
Cash Flows from Financing Activities
Capital Contributed		—			124,293			14,489,668			—			10,123,315			—			187,634,901			59,500,000			12,600,000
Capital Distributed		—			(26,826,305	)		(7,694,190	)		—			(18,065,815	)		—			(188,562,386	)		(83,600,000	)		(3,707	)
Net cash provided by (used in) financing activities		—			(26,702,012	)		6,795,478			—			(7,942,500	)		—			(927,485	)		(24,100,000	)		12,596,293
Net change in cash and cash equivalents		—			—			—			—			—			—			—			—			—
Cash and cash equivalents, beginning of period		—			—			—			—			—			—			—			—			—
Cash and cash equivalents, end of period	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—
	Frontier Trading Company XV, LLC									Frontier Trading Company XVII, LLC (2)									Frontier Trading Company XVIII, LLC (2)
	2012			2011			2010			2012			2011			2010			2012			2011			2010
Cash Flows from Operating Activities
Net increase (decrease) in members’ equity resulting from operations	$	(7,876,115	)	$	(1,897,455	)	$	15,005,695		$	(1,378,028	)	$	(368,228	)	$	—		$	(6,681	)	$	(2,293,721	)	$	—
Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by operating activities:
Decrease (increase) in receivable from commodities future merchant		679,041			14,939,452			(9,147,153	)		—			—			—			4,723,060			(6,810,086	)		—
Decrease (increase) in open trade equity		1,208,734			8,208,003			(5,958,542	)		—			—			—			510,533			(596,193	)		—
Decrease (increase) in options written, at fair value		222,946			—			—			—			—			—			—			—			—
(Purchases) of swap contracts		—			—			—			—			(6,250,000	)		—			—			—			—
Sales of swap contracts		—			—			—			—			—			—			—			—			—
Net unrealized (gain) loss on option/swap contracts		—			—			—			1,378,028			368,228			—			—			—			—
Decrease (increase) in interest receivable		—			—			—			—			—			—			—			—			—
(Decrease) increase in interest payable		2,114			—			—			—			—			—			508			—			—
Net cash provided by (used in) operating activities		(5,763,280	)		21,250,000			(100,000	)		—			(6,250,000	)		—			5,227,420			(9,700,000	)		—
Cash Flows from Financing Activities
Capital Contributed		59,425,493			37,750,000			100,000			—			6,250,000			—			12,195,284			9,700,000			—
Capital Distributed		(53,662,213	)		(59,000,000	)		—			—			—			—			(17,422,704	)		—			—
Net cash provided by (used in) financing activities		5,763,280			(21,250,000	)		100,000			—			6,250,000			—			(5,227,420	)		9,700,000			—
Net change in cash and cash equivalents		—			—			—			—			—			—			—			—			—
Cash and cash equivalents, beginning of period		—			—			—			—			—			—			—			—			—
Cash and cash equivalents, end of period	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—

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	Frontier Trading Company XXI, LLC (2)								Frontier Trading Company  XXIII, LLC (1)
	2012			2011			2010		2012
Cash Flows from Operating Activities
Net increase (decrease) in members’ equity resulting from operations	$	824,680		$	(2,799,807	)	$	—	$	(2,210,683	)
Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by operating activities:
Decrease (increase) in receivable from commodities future merchant		5,107,786			(5,107,786	)		—		(3,343,890	)
Decrease (increase) in open trade equity		792,372			(792,372	)		—		(231,181	)
Net unrealized (gain) loss on option/swap contracts		—			—			—		—
Decrease (increase) in interest receivable		—			—			—		7
(Decrease) increase in interest payable		—			—			—		—
Net cash provided by (used in) operating activities		6,724,838			(8,699,965	)		—		(5,785,747	)
Cash Flows from Financing Activities
Capital Contributed		22,919,497			11,500,000			—		13,937,606
Capital Distributed		(29,644,335	)		(2,800,035	)		—		(8,151,859	)
Net cash provided by (used in) financing activities		(6,724,838	)		8,699,965			—		5,785,747
Net change in cash and cash equivalents		—			—			—		—
Cash and cash equivalents, beginning of period		—			—			—		—
Cash and cash equivalents, end of period	$	—		$	—		$	—	$	—

(1) Trading Company XXIII commenced trading operations in January 2012.

(2) Trading Companies XVII, XVIII and XXI commenced trading operations in July, October and March 2011, respectively.

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

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The Trading Companies of the Frontier Fund

Notes to Financial Statements

1. Organization and Purpose

These financial statements and related notes pertain to the following companies: Frontier Trading Company I LLC, Frontier Trading Company II LLC, Frontier Trading Company III LLC, Frontier Trading Company V LLC, Frontier Trading Company VI LLC, Frontier Trading Company VII, LLC, Frontier Trading Company VIII, LLC, Frontier Trading Company IX, LLC, Frontier Trading Company X, LLC, Frontier Trading Company XI, LLC, Frontier Trading Company XII, LLC, Frontier Trading Company XIV, LLC, Frontier Trading Company XV, LLC, Frontier Trading Company XVII, LLC, Frontier Trading Company XVIII, LLC, Frontier Trading Company XXI, LLC and Frontier Trading Company XXIII, LLC (the “Trading Companies”).

The Frontier Fund (the “Trust”), was formed as a Delaware statutory trust on August 8, 2003, with separate Series of Units (the “Series”). Its term will expire on December 31, 2053 (unless terminated earlier in certain circumstances). The Trust is a multi-advisor commodity pool as described in Commodity Futures Trading Commission, or CFTC Regulation § 4.10(d)(2).

All capital of the Trading Companies is provided by the Series and there are no other investors in the Trading Companies.

Each Trading Company authorizes certain Trading Advisors to place trades and manage assets at pre-determined investment levels. The Trading Companies were organized for the purpose of investing in securities and derivative instruments, and have no operating income or expenses, except for trading income and expenses.

Trading Companies engage in the speculative trading of a diversified portfolio of futures, forward (including interbank foreign currencies) and options contracts and other derivative instruments (including swap contracts) and may, from time to time, engage in cash and spot transactions. A brief description of the Trading Company’s main types of investments is set forth below:

• A futures contract is a standardized contract traded on an exchange that calls for the future delivery of a specified quantity of a commodity at a specified time and place.

• A forward contract is an individually negotiated contract between principals, not traded on an exchange, to buy or sell a specified quantity of a commodity at or before a specified date at a specified price.

• An option on a futures contract, forward contract or a commodity gives the buyer of the option the right, but not the obligation, to buy or sell a futures contract, forward contract or a commodity, as applicable, at a specified price on or before a specified date. Options on futures contracts are standardized contracts traded on an exchange, while options on forward contracts and commodities, referred to collectively as over-the-counter options, generally are individually negotiated, principal-to-principal contracts not traded on an exchange.

• A swap contract generally involves an exchange of a stream of payments between the contracting parties. Swap contracts generally are not uniform and not exchange-traded.

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.

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2. Significant Accounting Policies

The following are the significant accounting policies of the Trading Companies.

Basis of Presentation—The Trading Companies follow Generally Accepted Accounting Principles (“GAAP”), as established by the Financial Accounting Standards Board (the “FASB”), to ensure consistent reporting of financial condition, condensed schedules of investments, results of operations, changes in capital and cash flows.

Receivable from Futures Commission Merchants—the Trading Companies deposit assets with a FCM subject to CFTC Commission regulations and various exchange and FCM requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trading Companies earn interest income on its assets deposited with the FCM.

Use of Estimates—The preparation of financial statements in conformity with GAAP may require the management of the Trading Companies 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. Actual results could differ from these estimates, and such differences could be material.

Investment transactions—Futures, options on futures, and forward 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 Statement of Operations as a Net change in open trade equity, as there exists a right of offset of unrealized gains or losses in accordance with 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.

Foreign currency transactions—The Trading Company’s functional currency is the U.S. dollar, however, they transact business in currencies other than the U.S. dollar. The trading Companies do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.

Investments and Swaps—The Trading Companies record investment transactions on a trade date basis and all investments are recorded at fair value, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the statements of operations. The Trading Companies 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 investment or instrument. 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 are reported utilizing Level 3 Inputs. The significant unobservable inputs used in the fair value measurement of the Trust’s Swap contracts are asset liquidity, debt valuation, credit risk, volatility, market risk, distributions, dividends, risk premiums, and other risk management tools. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. 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 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.

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Income Taxes—The Trading Companies apply 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 Trading Companies’ 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 Trading Company level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. Management has concluded there is no tax expense, interest or penalties to be recorded by the Trading Companies. The 2009 through 2012 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

Fees and Expenses—The Trading Companies incur no expenses other than trading commissions resulting from normal trading activity. All operating expenses such as legal, accounting, etc. are paid for, without reimbursement, by Equinox Fund Management, LLC, the Managing Owner of the Trust.

Recently Adopted 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 became effective for interim and annual periods beginning on or after December 15, 2011, with early adoption prohibited. Adoption of ASU 2011-04 on January 1, 2012 did not have a material impact on the Trading Company’s statements of financial condition, results of operations and cash flows.

Recently Issued Accounting Pronouncements—In November of 2011, FASB issued new guidance that requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. This guidance is effective for annual and interim periods beginning on or after January, 1, 2013. An entity should provide the disclosures required by those amendments retrospectively for all comparative periods presented. The adoption of this guidance is not expected to have a material impact on the Trading Companies’ financial position or results of operations.

Reclassification—Certain amounts in the 2011 financial statements have been reclassified to conform with the 2012 presentation. None of the reclasses had an impact on the NAV or performance of the Trading Companies.

Subsequent Events—The Trading Companies follow 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 9.

3. Fair Value Measurements

In connection with the valuation of investments, the Trading Companies 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 or liability 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 Trading Companies uses the following methodologies to value instruments within its financial asset portfolio at fair value:

Trading Securities. These instruments include open trade equity positions (futures contracts) that are actively traded on public markets with quoted pricing for corroboration. Futures contracts are reported at fair value using Level 1 inputs. Trading securities instruments further include open trade equity positions (trading options and currencies) that are quoted prices for identical or similar assets that are not traded on active markets. Trading options and currencies are reported at fair value using Level 2 inputs.

Swap Contracts. Certain Trading Companies strategically invest a portion or all of their assets in total return Swaps, selected at the direction of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical Swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. The valuation of swap contracts requires significant estimates utilizing Level 3 Inputs corroborated by management through the use of a third party pricing service (“pricing service”). The pricing service, utilizing proprietary model-intensive methodologies, selects and implements the pricing model appropriate for each swap valuation. The pricing service does not provide detail of the pricing model to management. The Managing Owner through the Valuation Committee charted by the Executive Committee of the Trust, engages, via inquiry and review of methodology documentation, with the service provider to gain an understanding of the valuation model selected; the components of the model, both observable and unobservable; and quality control testing procedures in place. The Valuation committee meets on a monthly basis and as needed to discuss any updates or changes in the valuation process, reporting to the Executive Committee. The pricing service’s methodology includes performance of tolerance testing on its valuation models to ensure consistency and reasonableness of the values derived. The tolerance testing includes valuing the components of the product separately, i.e. underlying asset, volatility, financing rates, and so forth. The tolerance testing is part of the initial valuation setup and throughout the ongoing daily valuation process. The pricing service also has several layers of quality control including: engineering / reverse engineering process to understand each swap and its’ subcomponent parts fully; comparative analysis against other valuations performed with similar composition and characteristics; review of output valuation against expectations based on observable price movements of underlying futures; and lastly, periodic review by senior financial engineer to ensure design and function of model is stable and perform as expected.

The Managing Owner has chartered a valuation committee to provide oversight of the valuation process. The valuation committee meets at least monthly to discuss the valuation process and any valuation issues that may arise. The valuation committee is comprised of senior members of the Managing Owner’s management team with varying areas of expertise that add value to the committee. The valuation committee reports to both the Managing Owner’s Investment Oversight and Risk Committee and the Trust’s Executive

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Committee. The committee further remains in communication with the Managing Owner’s Due Diligence Committee that provides ongoing counterparty risk monitoring of the swap counterparties. The committee monitors daily pricing provided by the swap counterparty and daily valuation provided by the third party pricing service to ensure the change in fair value is reasonable and valuations are in accordance with current regulations and best practices. The committee may request a price challenge if the daily valuation provided by the counterparty valuations differs significantly from the valuation obtained by the pricing service. The Managing Owner’s valuation committee monitors some additional input factors such as liquidity, volatility, and counterparty risk in order to further review the valuations provide by the pricing service.

The following table summarizes the instruments that comprise the Trading Companies financial asset portfolio measured at fair value on a recurring basis as of December 31, 2012 and 2011, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

December 31, 2012	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Frontier Trading Company I LLC
Open Trade Equity	$	777,575		$	439,170		.$	—	$	1,216,745
Written Options		—			(165,363	)		—		(165,363	)
Swap Contracts		—			—			17,785,734		17,785,734
Frontier Trading Company II LLC
Open Trade Equity	$	1,351,995		$	147,443		$	—	$	1,499,438
Frontier Trading Company V LLC
Open Trade Equity	$	970,323		$	340,848		$	—	$	1,311,171
Frontier Trading Company VII, LLC
Open Trade Equity (deficit)	$	(3,806,516	)	$	2,901,320		$	—	$	(905,196	)
Written Options		—			(928,690	)		—		(928,690	)
Frontier Trading Company XIV, LLC
Open Trade Equity (deficit)	$	(2,120,437	)	$	—		$	—	$	(2,120,437	)
Frontier Trading Company XV, LLC
Open Trade Equity	$	(92	)	$	10,798,178		$	—	$	10,798,086
Written Options		—			(3,105,144	)		—		(3,105,144	)
Frontier Trading Company XVII, LLC
Swap Contracts	$	—		$	—		$	4,503,744	$	4,503,744
Frontier Trading Company XVIII, LLC
Open Trade Equity	$	85,660		$	—		$	—	$	85,660
Frontier Trading Company XXIII, LLC
Open Trade Equity	$	231,181		$	—		$	—	$	231,181

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December 31, 2011	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Frontier Trading Company I LLC
Open Trade Equity	$	(260,922	)	$	556,630		$	—	$	295,708
Written Options		—			(444,255	)		—		(444,255	)
Swap Contracts		—			—			17,706,757		17,706,757
Frontier Trading Company II LLC
Open Trade Equity	$	4,038,448		$	4,360		$	—	$	4,042,808
Written Options		—			(9,873	)		—		(9,873	)
Frontier Trading Company V LLC
Open Trade Equity	$	1,438,257		$	—		$	—	$	1,438,257
Frontier Trading Company VII, LLC
Open Trade Equity	$	(25,934,678	)	$	—		$	—	$	(25,934,677	)
Frontier Trading Company IX, LLC
Open Trade Equity	$	444,769		$	—		$	—	$	444,769
Frontier Trading Company XIV, LLC
Open Trade Equity	$	(238,949	)	$	—		$	—	$	(238,949	)
Frontier Trading Company XV, LLC
Open Trade Equity	$	634,671		$	11,372,149		$	—	$	12,006,820
Written Options		—			(2,882,198	)		—		(2,882,198	)
Frontier Trading Company XVII, LLC
Swap Contracts	$	—		$	—		$	5,881,772	$	5,881,772
Frontier Trading Company XVIII, LLC
Open Trade Equity	$	596,193		$	—		$	—	$	596,193
Frontier Trading Company XXI, LLC
Open Trade Equity	$	792,372		$	—		$	—	$	792,372

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 “net realized and unrealized gain/(loss) on investments—net realized and unrealized gain/(loss) on swap contracts” on the statements of operations. During the year ended December 31, 2012 and 2011, all identified level three assets are components of the Frontier Trading Company I and Frontier Trading Company XVII.

2012:

Swap Contracts	Frontier Trading Company I LLC For The Year Ending December 31, 2012		Frontier Trading Company XVII, LLC For The Year Ending December 31, 2012
Balance of recurring Level 3 assets as of January 1, 2012	$	17,706,757	$	5,881,772
Total gains or losses (realized/unrealized):
Included in earnings-realized				—
Included in earnings-unrealized		78,977		(1,378,028	)
Purchases, sales, issuances, and settlements, net		—		—
Transfers in and/or out of Level 3		—		—
Balance of recurring Level 3 assets as of December 31, 2012	$	17,785,734	$	4,503,744

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2011:

Swap Contracts	Frontier Trading Company I LLC For The Year Ending December 31, 2011			Frontier Trading Company XVII, LLC For The Year Ending December 31, 2011
Balance of recurring Level 3 assets as of January 1, 2011	$	49,811,462		$	—
Total gains or losses (realized/unrealized):
Included in earnings-realized		6,689,123			—
Included in earnings-unrealized		(18,832,000	)		(368,228	)
Purchases, sales, issuances, and settlements, net		(19,961,528	)		6,250,000
Transfers in and/or out of Level 3		—			—
Balance of recurring Level 3 assets as of December 31, 2011	$	17,706,757		$	5,881,772

The Trading Companies assess the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Trading Company’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. During the year ended December 31, 2012, the Trading Companies transferred currency forwards from Level 1 assets to Level 2 assets.

4. Swaps

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

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

Management follows a procedure in selecting well-established financial institutions which management, 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 relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the managements’ minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies.

The Trading Companies strategically invest assets in one or more swaps linked to certain underlying investments or indices, at the direction of management. The Trading Companies will not own any of the investments or indices referenced by any swap. In addition, the swap counterparty to the Trading Company is not a Trading Advisor to these Trading Companies.

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The Trading Companies have invested in the following Swaps as of December 31, 2012.

	Option Basket Frontier Trading Company I, LLC		Option Basket Frontier Trading Company XVII, LLC
Counterparty		Societe Generale		Deutsche Bank
Notional Amount	$	20,486,403	$	23,551,287
Termination Date		11/21/2014		6/6/2016
Investee Returns		Total Returns		Total Returns
Realized Gain/(Loss)	$	—	$	—
Unrealized Gain/(Loss)	$	78,977	$	(1,378,028	)
Fair Value as of 12/31/2012	$	17,785,734	$	4,503,744

The Trading Companies have invested in the following Swaps as of December 31, 2011.

	Option Basket Frontier Trading Company I, LLC			Option Basket Frontier Trading Company XVII, LLC
Counterparty		Societe Generale			Deutsche Bank
Notional Amount	$	14,129,540		$	23,551,287
Termination Date		11/6/2012			6/6/2016
Investee Returns		Total Returns			Total Returns
Realized Gain/(Loss)	$	6,689,123		$	—
Unrealized Gain/(Loss)	$	(18,832,000	)	$	(368,228	)
Fair Value as of 12/31/2011	$	17,706,757		$	5,881,772

5. Financial Highlights

The following information presents the financial highlights of the Trading Companies for the years ended December 31, 2012, 2011 and 2010.

	Frontier Trading									Frontier Trading									Frontier Trading
	Company I LLC									Company II LLC									Company III LLC
	12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010
Net Investment Income (2)		-0.20	%		-0.14	%		-0.02	%		0.14	%		0.07	%		0.04	%		0.00	%		0.02	%		0.02	%
Total Return		-6.48	%		-43.03	%		30.19	%		-9.23	%		78.96	%		239.96	%		0.00	%		-12.11	%		18.00	%

	Frontier Trading									Frontier Trading									Frontier Trading
	Company V LLC									Company VI LLC									Company VII, LLC
	12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010
Net Investment Income (2)		0.12	%		0.05	%		0.08	%		0.00	%		0.03	%		1.00	%		0.00	%		0.00	%		0.02	%
Total Return		-12.78	%		-81.56	%		19.76	%		0.00	%		13.20	%		35.91	%		-29.58	%		183.56	%		131.49	%

	Frontier Trading									Frontier Trading									Frontier Trading
	Company VIII, LLC									Company IX, LLC									Company X, LLC
	12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010
Net Investment Income (2)		0.00	%		0.02	%		0.19	%		0.50	%		0.28	%		0.19	%		0.00	%		0.00	%		0.00	%
Total Return		0.00	%		-14.29	%		95.01	%		-20.78	%		-63.08	%		12.60	%		0.00	%		-44.83	%		2.43	%

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	Frontier Trading									Frontier Trading									Frontier Trading
	Company XI, LLC									Company XII, LLC									Company XIV, LLC
	12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010
Net Investment Income (2)		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		-0.39	%		-0.32	%		-0.14	%
Total Return		0.00	%		1.75	%		12.93	%		0.00	%		-27.51	%		9.27	%		98.90	%		8.85	%		-15.32	%

	Frontier Trading									Frontier Trading								Frontier Trading
	Company XV, LLC									Company XVII, LLC (1)								Company XVIII, LLC (1)
	12/31/2012			12/31/2011			12/31/2010			12/31/2012			12/31/2011			12/31/2010		12/31/2012			12/31/2011			12/31/2010
Net Investment Income (2)		-0.20	%		0.00	%		-0.01	%		0.00	%		0.00	%		n/a		-0.30	%		n/a			n/a
Total Return		-48.52	%		33.21	%		62.82	%		-23.43	%		-5.89	%		n/a		-23.16	%		-32.58	%		n/a

	Frontier Trading								Frontier Trading
	Company XXI, LLC (1)								Company XXIII, LLC (3)
	12/31/2012			12/31/2011			12/31/2010		12/31/2012			12/31/2011		12/31/2010
Net Investment Gain		-0.52	%		-0.20	%		n/a		0.00	%		n/a		n/a
Total Return		13.65	%		-42.06	%		n/a		-45.38	%		n/a		n/a

(1) Trading Companies XVII, XVIII and XXI commenced trading operations in July, October and March 2011, respectively.

(2) Ratio of net investment income to average members’ equity, annualized. Net investment income is “Interest-net”, only, as no expenses are incurred by with the Trading Companies.

(3) Trading Company XXIII commenced trading operations in January 2012.

6. Derivative Instruments and Hedging Activities

The Trading Companies’ 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 Trading Companies do not enter into or hold positions for hedging purposes as defined under ASC 815. The detail of the fair value of the Trading Companies’ derivatives by instrument types as of December 31, 2012 and 2011 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trading Companies’ positions in swap contracts.

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

For The Year Ended December 31, 2012

Monthly average contracts:	Bought		Sold
Frontier Trading Company I LLC		19,928		19,275
Frontier Trading Company II LLC		1,941		1,865
Frontier Trading Company III LLC		0		0
Frontier Trading Company V LLC		3,342		3,398
Frontier Trading Company VII, LLC		10,643		10,531
Frontier Trading Company IX, LLC		24		33
Frontier Trading Company XIV, LLC		26,374		26,040
Frontier Trading Company XV, LLC		2,495		2,454
Frontier Trading Company XVIII, LLC		1,055		1,154
Frontier Trading Company XXI, LLC		2,422		2,366
Frontier Trading Company XXIII, LLC		1,108		1,094

F-141

For The Year Ended December 31, 2011

Monthly average contracts:	Bought		Sold
Frontier Trading Company I LLC		23,080		27,586
Frontier Trading Company II LLC		11,812		13,315
Frontier Trading Company III LLC		990		12,840
Frontier Trading Company V LLC		13,735		10,528
Frontier Trading Company VI		11,357		9,862
Frontier Trading Company VII, LLC		64,453		60,410
Frontier Trading Company IX, LLC		18,510		23,611
Frontier Trading Company XIV, LLC		15,486		19,780
Frontier Trading Company XV, LLC		15,452		19,220
Frontier Trading Company XVIII, LLC		31,110		33,620
Frontier Trading Company XXI, LLC		44		14

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The following tables summarize the trading revenues for the years ended December 31, 2012, 2011 and 2010, approximately by sector:

Realized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2012 (2)

Type of contract	Frontier Trading Company I LLC			Frontier Trading Company II LLC			Frontier Trading Company V LLC
Metals	$	1,073,536		$	(695,515	)	$	(876,030	)
Currencies		(72,453	)		(849,000	)		(600,627	)
Energies		2,139,250			(1,973,402	)		(2,772,182	)
Agriculturals		2,206,100			(407,523	)		(162,926	)
Interest rates		(5,962,492	)		3,312,713			4,162,463
Stock indices		(955,723	)		(929,218	)		(2,547,143	)
Realized trading income/(loss) (2)	$	(1,571,782	)	$	(1,541,945	)	$	(2,796,445	)
Type of contract	Frontier Trading Company VII, LLC			Frontier Trading Company IX, LLC			Frontier Trading Company XIV, LLC
Metals	$	(2,477,120	)	$	(484,830	)	$	(346,874	)
Currencies		(58,199	)		(1,170,545	)		11,551,738
Energies		(12,210,665	)		151,181			(7,771,337	)
Agriculturals		(15,890,742	)		249,196			(585,742	)
Interest rates		3,335,233			(457,977	)		31,443,188
Stock indices		(792,785	)		1,123,927			2,004,526
Realized trading income/(loss) (2)	$	(28,094,277	)	$	(589,048	)	$	36,295,498
Type of contract	Frontier Trading Company XV, LLC			Frontier Trading Company XVIII, LLC (3)			Frontier Trading Company XXI, LLC (4)			Frontier Trading Company XXIII, LLC (5)
Metals	$	(6,722,059	)	$	201,264		$	(699,089	)	$	(684,083	)
Currencies		(2,596,001	)		35,336			207,262			483,754
Energies		552,102			468,349			(6,108,999	)		(723,685	)
Agriculturals		1,715,864			114,163			(769,265	)		(1,553,978	)
Interest rates		(162,664	)		(667,998	)		8,930,606			5,186
Stock indices		(1,340,616	)		496,617			263,198			164,494
Realized trading income/(loss) (2)	$	(8,553,374	)	$	647,731		$	1,823,712		$	(2,308,312	)

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Unrealized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2012 (1)

Type of contract	Frontier Trading Company I LLC			Frontier Trading Company II LLC			Frontier Trading Company V LLC
Metals	$	(110,769	)	$	711,013		$	45,401
Currencies		61,955			(3,426,750	)		(87,190	)
Energies		67,588			(304,706	)		(29,494	)
Agriculturals		(132,871	)		665,339			(489	)
Interest rates		579,973			(270,682	)		34,505
Stock indices		252,372			86,776			(89,819	)
Unrealized trading income/(loss) (1)	$	718,247		$	(2,539,010	)	$	(127,086	)
Type of contract	Frontier Trading Company VII, LLC			Frontier Trading Company IX, LLC			Frontier Trading Company XIV, LLC
Metals	$	433,960		$	(468,789	)	$	(2,409,225	)
Currencies		476,938			(1,233,551	)		1,126,149
Energies		25,156,302			199,498			1,813,680
Agriculturals		(8,633,169	)		287,054			(606,400	)
Interest rates		2,344,677			(405,079	)		(2,916,232	)
Stock indices		2,937,680			1,176,098			1,110,540
Unrealized trading income/(loss) (1)	$	22,716,388		$	(444,768	)	$	(1,881,488	)
Type of contract	Frontier Trading Company XV, LLC			Frontier Trading Company XVIII, LLC (3)			Frontier Trading Company XXI, LLC (4)			Frontier Trading Company XXIII, LLC (5)
Metals	$	752,043		$	5,971,843		$	(28,353	)	$	817,959
Currencies		579,363			6,876,046			81,807			(636,313	)
Energies		556,669			5,538,479			(599,044	)		161,761
Agriculturals		(435,339	)		(7,863,600	)		148,522			(826,559	)
Interest rates		(810,952	)		4,841,656			133,585			359,082
Stock indices		622,132			(15,874,956	)		(528,891	)		355,251
Unrealized trading income/(loss) (1)	$	1,263,916		$	(510,533	)	$	(792,373	)	$	231,181

(1) Amounts recorded in the statements of operations under net change in open trade equity (deficit), at fair value.

(2) Amounts recorded in the statements of operations under net realized gain/(loss) on futures, forwards and options.

(3) Frontier Trading Company XVIII, LLC commenced operations in October 2011.

(4) Frontier Trading Company XXI, LLC commenced operations in March 2011.

(5) Frontier Trading Company XXXIII, LLC commenced operations in January 2012.

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Realized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2011 (2)

Type of contract	Frontier Trading Company I LLC			Frontier Trading Company II LLC			Frontier Trading Company III LLC			Frontier Trading Company V LLC
Metals	$	(2,270,390	)	$	4,435,105		$	—		$	1,183,539
Currencies		44,028,692			4,867,863			(142,069	)		(3,657,845	)
Energies		(1,736,606	)		5,462,294			—			(1,816,066	)
Agriculturals		(7,153,482	)		2,782,578			—			(649,094	)
Interest rates		24,250,816			3,347,851			—			267,832
Stock indices		3,937,098			548,500			—			(4,983,252	)
Realized trading income/(loss) (2)	$	61,056,128		$	21,444,191		$	(142,069	)	$	(9,654,886	)
Type of contract	Frontier Trading Company VI LLC			Frontier Trading Company VII, LLC			Frontier Trading Company IX, LLC			Frontier Trading Company XIV, LLC
Metals	$	179,921		$	18,975,003		$	(233,668	)	$	(821,080	)
Currencies		(66,738	)		711,906			(2,437,287	)		(5,562,322	)
Energies		315,168			37,449,900			(594,882	)		518,390
Agriculturals		340,166			20,969,699			497,822			(2,100,179	)
Interest rates		(88,900	)		1,473,698			2,174,958			(2,565,463	)
Stock indices		381,730			707,133			(1,125,390	)		23,804,712
Realized trading income/(loss) (2)	$	1,091,347		$	80,287,339		$	(1,718,447	)	$	13,274,058
Type of contract	Frontier Trading Company XV, LLC			Frontier Trading Company XVIII, LLC (3)			Frontier Trading Company XXI, LLC (4)
Metals	$	(9,001,350	)	$	(823,103	)	$	(11,141	)
Currencies		(1,344,598	)		(93,572	)		(1,465,976	)
Energies		(2,254,523	)		(396,663	)		(1,134,274	)
Agriculturals		1,418,651			(1,025,777	)		(1,229,172	)
Interest rates		(1,014,199	)		(48,360	)		1,121,985
Stock indices		(1,438,218	)		(455,503	)		(795,382	)
Realized trading income/(loss) (2)	$	(13,634,237	)	$	(2,842,978	)	$	(3,513,960	)

F-145

Unrealized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2011 (1)

Type of contract	Frontier Trading Company I LLC			Frontier Trading Company II LLC			Frontier Trading Company III LLC			Frontier Trading Company V LLC
Metals	$	(10,273,731	)	$	(4,201,484	)	$	—		$	(233,946	)
Currencies		(43,902,781	)		2,882,661			(27,098	)		77,124
Energies		(2,185,091	)		(1,208,319	)		—			302,829
Agriculturals		(4,320,827	)		(2,048,480	)		—			(1,325,915	)
Interest rates		(7,491,321	)		1,330,714			—			723,544
Stock indices		(12,787,873	)		1,054,447			—			467,569
Unrealized trading income/(loss) (1)	$	(80,961,624	)	$	(2,190,461	)	$	(27,098	)	$	11,205
Type of contract	Frontier Trading Company VI LLC			Frontier Trading Company VII, LLC			Frontier Trading Company IX, LLC			Frontier Trading Company XIV, LLC
Metals	$	(40,954	)	$	(11,439,472	)	$	(512,090	)	$	(1,373,977	)
Currencies		(539,672	)		(35,834	)		419,982			(684,637	)
Energies		(28,579	)		4,399,950			(186,397	)		586,823
Agriculturals		(69,240	)		(7,454,851	)		(958,831	)		588,490
Interest rates		2,236			(642,498	)		298,931			683,742
Stock indices		138,539			286,181			(147,899	)		(363,234	)
Unrealized trading income/(loss) (1)	$	(537,670	)	$	(14,886,524	)	$	(1,086,304	)	$	(562,793	)
Type of contract	Frontier Trading Company XV, LLC			Frontier Trading Company XVIII, LLC (3)			Frontier Trading Company XXI, LLC (4)
Metals	$	19,006,684		$	(53,255	)	$	17,541
Currencies		2,020,971			63,271			439,872
Energies		(1,101,151	)		(69,347	)		101,217
Agriculturals		(2,927,624	)		(43,403	)		(204,311	)
Interest rates		(3,413,034	)		651,461			(893,143	)
Stock indices		(1,291,838	)		47,465			1,331,197
Unrealized trading income/(loss) (1)	$	12,294,008		$	596,192		$	792,373

(1) Amounts recorded in the statements of operations under net change in open trade equity (deficit), at fair value.

(2) Amounts recorded in the statements of operations under net realized gain/(loss) on futures, forwards and options.

(3) Frontier Trading Company XVIII, LLC commenced operations in October 2011.

(4) Frontier Trading Company XXI, LLC commenced operations in March 2011.

F-146

Realized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2010 (2)

Type of contract	Frontier Trading Company I LLC			Frontier Trading Company II LLC		Frontier Trading Company III LLC			Frontier Trading Company V LLC
Metals	$	7,072,534		$	5,503,516	$	—		$	410,013
Currencies		7,774,727			3,798,329		290,954			3,469,334
Energies		(130,447	)		3,319,469		—			(3,365,670	)
Agriculturals		4,354,478			4,770,663		—			1,842,657
Interest rates		(547,946	)		4,405,255		—			8,589,224
Stock indices		4,970,040			4,637,289		—			(5,464,152	)
Realized trading income/(loss) (2)	$	23,493,386		$	26,434,521	$	290,954		$	5,481,406
Type of contract	Frontier Trading Company VI LLC			Frontier Trading Company VII, LLC		Frontier Trading Company IX, LLC			Frontier Trading Company XIV, LLC
Metals	$	1,279,208		$	3,435,419	$	425,278		$	509,045
Currencies		(215,576	)		603,604		(61,362	)		(504,367	)
Energies		160,430			3,185,822		134,906			(543,552	)
Agriculturals		908,815			30,624,139		1,056,061			266,192
Interest rates		10,419			701,354		(857,722	)		(653,108	)
Stock indices		1,167,169			1,280,686		318,805			691,008
Realized trading income/(loss) (2)	$	3,310,465		$	39,831,024	$	1,015,966		$	(234,782	)
Type of contract	Frontier Trading Company XV, LLC
Metals	$	(4,305,416	)
Currencies		4,156,645
Energies		(127,783	)
Agriculturals		1,471,974
Interest rates		2,846,289
Stock indices		(399,724	)
Realized trading income/(loss) (2)	$	3,641,985

F-147

Unrealized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2010 (1)

Type of contract	Frontier Trading Company I LLC			Frontier Trading Company II LLC			Frontier Trading Company III LLC			Frontier Trading Company V LLC
Metals	$	301,912		$	744,333		$	—		$	(2,364,922	)
Currencies		2,424,817			645,472			54,017			8,948,878
Energies		3,386,563			889,357			—			(1,159,361	)
Agriculturals		(2,337,570	)		2,641,055			—			(1,491,247	)
Interest rates		3,103,488			(706,213	)		—			(1,541,855	)
Stock indices		1,374,017			1,753,276			—			(1,774,544	)
Unrealized trading income/(loss) (1)	$	5,505,198		$	5,967,280		$	54,017		$	616,949
Type of contract	Frontier Trading Company VI LLC			Frontier Trading Company VII, LLC			Frontier Trading Company IX, LLC			Frontier Trading Company XIV, LLC
Metals	$	5,210		$	256,571		$	(148,416	)	$	59,801
Currencies		(736,347	)		(225,639	)		1,693,130			(39,060	)
Energies		757,738			27,567,517			73,155			204,825
Agriculturals		478,475			(22,437,145	)		323,105			1,956,523
Interest rates		148,180			(2,612	)		(334,538	)		(564,098	)
Stock indices		651,649			(170,263	)		(113,620	)		1,204,678
Unrealized trading income/(loss) (1)	$	1,304,905		$	4,988,429		$	1,492,816		$	2,822,669
Type of contract	Frontier Trading Company XV, LLC
Metals	$	6,826,650
Currencies		2,548,379
Energies		—
Agriculturals		392,571
Interest rates		2,077,645
Stock indices		90,726
Unrealized trading income/(loss) (1)	$	11,935,971

(1) Amounts recorded in the statements of operations under net change in open trade equity (deficit), at fair value.

(2) Amounts recorded in the statements of operations under net realized gain/(loss) on futures, forwards and options.

7. Trading Activities and Related Risks

The purchase and sale of futures and options on futures contracts require margin deposits with Futures Commodities 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 Statement of Financial Condition, may result in future obligation or loss in excess of the amount paid by the Trading Companies for a particular investment. Each Trading Company expects to trade in futures, options,

F-148

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. Management 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. Management 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.

Management has established procedures to actively monitor and minimize market and credit risks. Investors in units of the Frontier Fund Series 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.

8. Indemnifications and Guarantees

The Trading Companies have 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 Trading Companies have had no prior claims or payments pursuant to these agreements. The Trading Companies’ individual maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trading Companies that have not yet occurred. However, based on experience the Trading Companies expect the risk of loss to be remote.

Each of the Trading Companies have guaranteed the obligations of the trading companies under the customer agreements with UBS Securities as Clearing Broker. In the event that one Trading Company is unable to meet its obligations to UBS Securities, the assets of the other Trading Companies will be available to UBS Securities as part of the guarantee, but only to the extent of such Trading Company’s pro rata allocation to the trading company.

9. Subsequent Events

None.

F-149

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: April 1, 2013	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

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

BY:	/s/	Robert J. Enck	April 1, 2013
		Robert J. Enck, Chairman and Member of the Executive Committee of The Frontier Fund
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	Brent Bales	April 1, 2013
		Brent Bales, Principal Financial Officer and Principal Accounting Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	Richard E. Bornhoft	April 1, 2013
		Richard E. Bornhoft, Member of the Executive Committee of The Frontier Fund
		Chief Investment Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	David P. DeMuth	April 1, 2013
		David P. DeMuth, Member of the Executive Committee of The Frontier Fund

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: April 1, 2013	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

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

BY:	/s/	Robert J. Enck	April 1, 2013
		Robert J. Enck, Chairman and Member of the Executive Committee of The Frontier Fund
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	Brent Bales	April 1, 2013
		Brent Bales, Principal Financial Officer and Principal Accounting Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	Richard E. Bornhoft	April 1, 2013
		Richard E. Bornhoft, Member of the Executive Committee of The Frontier Fund
		Chief Investment Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	David P. DeMuth	April 1, 2013
		David P. DeMuth, Member of the Executive Committee of The Frontier Fund

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

	Winton/Graham Series, a Series of The Frontier Fund (Registrant)
Date: April 1, 2013	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

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

BY:	/s/	Robert J. Enck	April 1, 2013
		Robert J. Enck, Chairman and Member of the Executive Committee of The Frontier Fund
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	Brent Bales	April 1, 2013
		Brent Bales, Principal Financial Officer and Principal Accounting Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	Richard E. Bornhoft	April 1, 2013
		Richard E. Bornhoft, Member of the Executive Committee of The Frontier Fund
		Chief Investment Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	David P. DeMuth	April 1, 2013
		David P. DeMuth, Member of the Executive Committee of The Frontier Fund

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: April 1, 2013	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

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

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.

	Tiverton/Graham/Transtrend Series, a Series of The Frontier Fund (Registrant)
Date: April 1, 2013	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

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

BY:	/s/	Robert J. Enck	April 1, 2013
		Robert J. Enck, Chairman and Member of the Executive Committee of The Frontier Fund
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	Brent Bales	April 1, 2013
		Brent Bales, Principal Financial Officer and Principal Accounting Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	Richard E. Bornhoft	April 1, 2013
		Richard E. Bornhoft, Member of the Executive Committee of The Frontier Fund
		Chief Investment Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	David P. DeMuth	April 1, 2013
		David P. DeMuth, Member of the Executive Committee of The Frontier Fund

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: April 1, 2013	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

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

BY:	/s/	Robert J. Enck	April 1, 2013
		Robert J. Enck, Chairman and Member of the Executive Committee of The Frontier Fund
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	Brent Bales	April 1, 2013
		Brent Bales, Principal Financial Officer and Principal Accounting Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	Richard E. Bornhoft	April 1, 2013
		Richard E. Bornhoft, Member of the Executive Committee of The Frontier Fund
		Chief Investment Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	David P. DeMuth	April 1, 2013
		David P. DeMuth, Member of the Executive Committee of The Frontier Fund

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: April 1, 2013	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

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

BY:	/s/	Robert J. Enck	April 1, 2013
		Robert J. Enck, Chairman and Member of the Executive Committee of The Frontier Fund
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	Brent Bales	April 1, 2013
		Brent Bales, Principal Financial Officer and Principal Accounting Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	Richard E. Bornhoft	April 1, 2013
		Richard E. Bornhoft, Member of the Executive Committee of The Frontier Fund
		Chief Investment Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	David P. DeMuth	April 1, 2013
		David P. DeMuth, Member of the Executive Committee of The Frontier Fund

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: April 1, 2013	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

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

BY:	/s/	Robert J. Enck	April 1, 2013
		Robert J. Enck, Chairman and Member of the Executive Committee of The Frontier Fund
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	Brent Bales	April 1, 2013
		Brent Bales, Principal Financial Officer and Principal Accounting Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	Richard E. Bornhoft	April 1, 2013
		Richard E. Bornhoft, Member of the Executive Committee of The Frontier Fund
		Chief Investment Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	David P. DeMuth	April 1, 2013
		David P. DeMuth, Member of the Executive Committee of The Frontier Fund

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: April 1, 2013	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

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

BY:	/s/	Robert J. Enck	April 1, 2013
		Robert J. Enck, Chairman and Member of the Executive Committee of The Frontier Fund
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	Brent Bales	April 1, 2013
		Brent Bales, Principal Financial Officer and Principal Accounting Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	Richard E. Bornhoft	April 1, 2013
		Richard E. Bornhoft, Member of the Executive Committee of The Frontier Fund
		Chief Investment Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund
	/s/	David P. DeMuth	April 1, 2013
		David P. DeMuth, Member of the Executive Committee of The Frontier Fund