UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM 10-Q

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

For the Period Ended June 30, 2013

OR

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

Commission File Number 000-51274

THE FRONTIER FUND

FRONTIER DIVERSIFIED SERIES; FRONTIER MASTERS SERIES;

FRONTIER LONG/SHORT COMMODITY SERIES; BALANCED SERIES;

FRONTIER SELECT SERIES (FORMERLY TIVERTON/GRAHAM/TRANSTREND SERIES);

WINTON SERIES; FRONTIER HERITAGE SERIES (FORMERLY WINTON/GRAHAM SERIES)

(Exact Name of Registrant as specified in its Charter)

Delaware	36-6815533
(State of Organization)	(IRS Employer Identification No.)

c/o Equinox Fund Management, LLC

1775 Sherman Street, Suite 2500

Denver, Colorado 80203

(Address of Principal Executive Offices)

(303) 837-0600

(Registrant’s Telephone Number)

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

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

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

Frontier Masters 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;

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

Frontier Select Series (formerly Tiverton/Graham/Transtrend Series) Class 1, Class 2 and Class 3 Units;

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

Frontier Heritage Series (formerly Winton/Graham Series) Class 1, Class 2 and Class 3 Units

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

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

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

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

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

TABLE OF CONTENTS

PART I – FINANCIAL INFORMATION
Item 1.	Financial Statements
	Statements of Financial Condition as of June 30, 2013 (Unaudited) and December 31, 2012	4
	Condensed Schedules of Investments as of June 30, 2013 (Unaudited) and December 31, 2012	7
	Statements of Operations for the three and six months ended June 30, 2013 and 2012 (Unaudited)	13
	Statements of Changes in Owners’ Capital for the six months ended June 30, 2013 (Unaudited)	19
	Statements of Cash Flows for the six months ended June 30, 2013 and 2012 (Unaudited)	23
	Notes to Financial Statements (Unaudited)	26
	Trust Financial Statements (1)
	Consolidated Statements of Financial Condition as of June 30, 2013 (Unaudited) and December 31, 2012	54
	Consolidated Condensed Schedules of Investments as of June 30, 2013 (Unaudited) and December 31, 2012	55
	Consolidated Statements of Operations for the three and six months ended June 30, 2013 and 2012 (Unaudited)	57
	Consolidated Statement of Changes in Owners’ Capital for the six months ended June 30, 2013 (Unaudited)	59
	Consolidated Statements of Cash Flows for the six months ended June 30, 2013 and 2012 (Unaudited)	60
	Notes to Consolidated Financial Statements (Unaudited)	61
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	76
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	114
Item 4.	Controls and Procedures	121
PART II – OTHER INFORMATION
Item 1.	Legal Proceedings	121
Item 1A.	Risk Factors	121
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	121
Item 3.	Defaults Upon Senior Securities	121
Item 4.	Mine Safety Disclosures	121
Item 5.	Other Information	122
Item 6.	Exhibits	122
SIGNATURES		123

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

2

Special Note About Forward-Looking Statements

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

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

UNLESS EXPRESSLY STATED OTHERWISE, ALL INFORMATION IN THIS REPORT IS AS OF JUNE 30, 2013, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

PART I. FINANCIAL INFORMATION

ITEM 1. Financial Statements

3

The Series of the Frontier Fund

Statements of Financial Condition

June 30, 2013 and December 31, 2012

	Frontier Diversified Series				Frontier Masters Series				Frontier Long/Short Commodity Series
	6/30/2013 (Unaudited)		12/31/2012		6/30/2013 (Unaudited)		12/31/2012		6/30/2013 (Unaudited)			12/31/2012
ASSETS
Cash and cash equivalents	$	1,012,912	$	2,681,889	$	599,271	$	1,542,661	$	609,160		$	1,710,151
U.S. Treasury securities, at fair value		—		3,853,000		—		2,212,909		—			2,388,540
Custom time deposits		52,557,208		66,875,140		31,094,504		38,288,877		31,607,650			41,327,739
Receivable from futures commission merchants		—		—		—		—		14,142,506			14,770,973
Open trade equity, at fair value		—		—		—		—		—			—
Investments in unconsolidated trading companies, at fair value		37,507,662		42,826,426		12,991,804		9,771,797		1,847,332			3,675,238
Prepaid service fees - Class 1		27,629		40,235		26,773		57,276		18,652			42,004
Interest receivable		119		54,006		70		31,017		71			33,479
Receivable from related parties		22,411		114,481		14,163		38,735		18,333			549
Receivable from other series		—		—		—		—		—			—
Other assets		—		—		—		—		—			—
Total Assets	$	91,127,941	$	116,445,177	$	44,726,585	$	51,943,272	$	48,243,704		$	63,948,673
LIABILITIES & CAPITAL
LIABILITIES
Open trade deficit, at fair value	$	—	$	—	$	—	$	—	$	2,707,217		$	819,535
Options written, at fair value		—		—		—		—		320,050			928,690
Pending owner additions		2,608		23,900		1,292		15,449		—			62,537
Owner redemptions payable		932,831		521,439		44,755		141,453		406,457			344,538
Incentive fees payable to Managing Owner		—		189,903		—		—		—			—
Management fees payable to Managing Owner		121,590		150,188		104,266		118,274		189,068			277,379
Interest payable to Managing Owner		35,874		41,394		17,657		20,028		22,798			26,319
Trading fees payable to Managing Owner		192,678		228,169		90,921		104,852		57,794			79,400
Service fees payable to Managing Owner		72,227		89,177		42,689		47,423		23,374			24,074
Payables to related parties		—		19,435		33,137		9,635		—			34,037
Other liabilities		—		—		—		—		514			—
Total Liabilities		1,357,808		1,263,605		334,717		457,114		3,727,272			2,596,509
CAPITAL
Managing Owner Units - Class 1		23,527		25,959		26,055		27,804		—			—
Managing Owner Units - Class 1a		—		—		—		—		—			12,732
Managing Owner Units - Class 2		1,313,530		1,436,973		572,298		605,508		414,516			449,011
Managing Owner Units - Class 2a		—		—		—		—		238,083			256,560
Managing Owner Units - Class 3a		—		—		—		—		11,721			—
Limited Owner Units - Class 1		45,214,923		58,973,977		30,694,768		34,575,695		—			—
Limited Owner Units - Class 1a		—		—		—		—		14,941,599			18,970,806
Limited Owner Units - Class 2		43,218,153		54,744,663		13,098,747		16,277,151		4,335,915			6,449,774
Limited Owner Units - Class 2a		—		—		—		—		7,261,874			10,625,551
Limited Owner Units - Class 3		—		—		—		—		13,159,058			19,761,047
Limited Owner Units - Class 3a		—		—		—		—		22,658			—
Total Owners’ Capital		89,770,133		115,181,572		44,391,868		51,486,158		40,385,424			56,525,481
Non-Controlling Interests		—		—		—		—		4,131,008			4,826,683
Total Capital		89,770,133		115,181,572		44,391,868		51,486,158		44,516,432			61,352,164
Total Liabilities and Capital	$	91,127,941	$	116,445,177	$	44,726,585	$	51,943,272	$	48,243,704		$	63,948,673
Units Outstanding
Class 1		528,790		625,015		324,250		342,249		N/A			N/A
Class 1a		N/A		N/A		N/A		N/A		149,563			174,830
Class 2		484,835		559,127		134,416		156,889		35,331			47,367
Class 2a		N/A		N/A		N/A		N/A		70,003			94,257
Class 3		N/A		N/A		N/A		N/A		97,842			135,642
Class 3a		N/A		N/A		N/A		N/A		321	(2)		N/A
Net Asset Value per Unit
Class 1	$	85.55	$	94.40	$	94.74	$	101.11		N/A		$	135.41	(1)
Class 1a		N/A		N/A		N/A		N/A	$	99.90		$	108.58
Class 2	$	91.85	$	100.48	$	101.71	$	107.61	$	134.46		$	145.65
Class 2a		N/A		N/A		N/A		N/A	$	107.14		$	115.45
Class 3		N/A		N/A		N/A		N/A	$	134.49		$	145.69
Class 3a		N/A		N/A		N/A		N/A	$	107.15	(2)		N/A

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

(2) Class 3a operations began June 17, 2013.

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

4

The Series of the Frontier Fund

Statements of Financial Condition

June 30, 2013 and December 31, 2012

	Balanced Series					Frontier Select Series (1)
	6/30/2013 (Unaudited)		12/31/2012			6/30/2013 (Unaudited)		12/31/2012
ASSETS
Cash and cash equivalents	$	1,746,479	$	4,111,855		$	323,675	$	664,310
U.S. Treasury securities, at fair value		—		5,951,633			—		961,568
Custom time deposits		90,619,958		102,978,191			16,794,625		16,637,538
Receivable from futures commission merchants		22,019,309		92,043,593			—		—
Open trade equity, at fair value		436,878		—			—		—
Swap contracts, at fair value		16,806,761		22,289,478			—		—
Investments in unconsolidated trading companies, at fair value		35,853,911		20,193,128			5,098,984		7,373,509
Interest receivable		205		83,422			38		13,478
Receivable from related parties		52,651		17,313			6,241		—
Prepaid service fees		612		—			—		—
Other assets		50		34,301			—		—
Total Assets	$	167,536,814	$	247,702,914		$	22,223,563	$	25,650,403
LIABILITIES & CAPITAL
LIABILITIES
Open trade deficit, at fair value	$	—	$	672,511		$	—	$	—
Options written, at fair value		144,318		165,363			—		—
Pending owner additions		19,549		34,831			1,065		1,522
Owner redemptions payable		581,690		342,417			21,147		40,093
Incentive fees payable to Managing Owner		—		527,306			—		—
Management fees payable to Managing Owner		129,298		193,155			44,909		103,089
Interest payable to Managing Owner		256,653		330,341			36,306		42,764
Trading fees payable to Managing Owner		97,612		132,875			13,626		16,057
Service fees payable to Managing Owner		238,795		332,942			43,481		54,702
Payables to related parties		—		1,490			—		47,535
Other liabilities		5,512		—			—		—
Total Liabilities		1,473,427		2,733,231			160,534		305,762
CAPITAL
Managing Owner Units - Class 2		2,909,316		3,225,784			7,329		7,013
Managing Owner Units - Class 2a		141,911		153,884			—		—
Limited Owner Units - Class 1		108,082,752		143,906,872			19,323,354		22,266,758
Limited Owner Units - Class 2		37,337,239		48,233,784			2,732,346		3,070,870
Limited Owner Units - Class 2a		627,841		855,636			—		—
Limited Owner Units - Class 3a		2,597,739		3,776,790			—		—
Total Owners’ Capital		151,696,798		200,152,750			22,063,029		25,344,641
Non-Controlling Interests		14,366,589		44,816,933			—		—
Total Capital		166,063,387		244,969,683			22,063,029		25,344,641
Total Liabilities and Capital	$	167,536,814	$	247,702,914		$	22,223,563	$	25,650,403
Units Outstanding
Class 1		1,030,440		1,237,173			238,543		283,073
Class 2		294,764		344,894			26,334		30,918
Class 2a		6,712		8,117			N/A		N/A
Class 3a		22,725		30,469			N/A		N/A
Net Asset Value per Unit
Class 1	$	104.89	$	116.32		$	81.01	$	78.66
Class 1a		N/A	$	104.32	(2)		N/A		N/A
Class 2	$	136.54	$	149.20		$	104.04	$	99.55
Class 2a	$	114.69	$	124.36			N/A		N/A
Class 3a	$	114.31	$	123.96			N/A		N/A

(1) Formerly the Tiverton/Graham/Transtrend 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.

5

The Series of the Frontier Fund

Statements of Financial Condition

June 30, 2013 and December 31, 2012

	Winton Series				Frontier Heritage Series (1)
	6/30/2013 (Unaudited)		12/31/2012		6/30/2013 (Unaudited)		12/31/2012
ASSETS
Cash and cash equivalents	$	620,384	$	1,249,455	$	282,124	$	536,159
U.S. Treasury securities, at fair value		—		1,808,547		—		776,073
Custom time deposits		32,189,994		31,292,395		14,638,642		13,428,015
Investments in unconsolidated trading companies, at fair value		6,246,046		6,865,965		2,663,149		6,174,855
Interest receivable		73		25,350		33		10,878
Receivable from related parties		44,110		—		3,871		—
Other assets		—		—		—		—
Total Assets	$	39,100,607	$	41,241,712	$	17,587,819	$	20,925,980
LIABILITIES & CAPITAL
LIABILITIES
Pending owner additions	$	13,532	$	15,044	$	3,012	$	3,976
Owner redemptions payable		—		22,467		7,427		18,231
Management fees payable to Managing Owner		85,774		86,138		24,021		63,642
Interest payable to Managing Owner		64,591		69,369		29,482		35,011
Trading fees payable to Managing Owner		24,181		26,041		11,045		13,148
Service fees payable to Managing Owner		52,335		62,556		29,697		38,116
Payables to related parties		—		563		—		317
Other liabilities		—		—		—		—
Total Liabilities		240,413		282,178		104,684		172,441
CAPITAL
Managing Owner Units - Class 2		33,734		32,721		54,409		51,683
Limited Owner Units - Class 1		28,506,866		30,645,208		13,877,265		16,680,498
Limited Owner Units - Class 2		10,319,594		10,281,605		3,551,461		4,021,358
Total Owners’ Capital		38,860,194		40,959,534		17,483,135		20,753,539
Non-Controlling Interests		—		—		—		—
Total Capital		38,860,194		40,959,534		17,483,135		20,753,539
Total Liabilities and Capital	$	39,100,607	$	41,241,712	$	17,587,819	$	20,925,980
Units Outstanding
Class 1		214,647		234,414		141,485		176,419
Class 2		63,442		65,159		28,385		33,753
Net Asset Value per Unit
Class 1	$	132.81	$	130.73	$	98.08	$	94.55
Class 2	$	163.19	$	158.30	$	127.04	$	120.67

(1) Formerly the Winton/Graham Series.

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

6

The Series of the Frontier Fund

Condensed Schedules of Investments (Unaudited)

June 30, 2013

	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	%	$	32,718			0.07	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		(53,846	)		-0.12	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		(137,611	)		-0.31	%
Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		(86,861	)		-0.20	%
Crude Oil Settling 12/01/2013(Number of Contracts: 700)		—		0.00	%		—		0.00	%		1,173,747			2.64	%
Natural Gas Settling 01/01/2014(Number of Contracts: 332)		—		0.00	%		—		0.00	%		(1,709,680	)		-3.84	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		1,735			0.00	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		137,318			0.31	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		(17,753	)		-0.04	%
Various interest rates futures contracts (Oceanic)		—		0.00	%		—		0.00	%		(4,760	)		-0.01	%
Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		(346,307	)		-0.78	%
90 Day Euro Time Deposit Settling 12/01/2017(Number of Contracts: 772)		—		0.00	%		—		0.00	%		(1,660,091	)		-3.73	%
Various precious metal futures contracts (U.S.)		—		0.00	%		—		0.00	%		(51,665	)		-0.12	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		91			0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		(2,750	)		-0.01	%
Various soft futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		103,506			0.23	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		(940	)		0.00	%
Various stock index futures contracts (Oceanic)		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		88,446			0.20	%
Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	(2,534,703	)		-5.69	%
OPTIONS PURCHASED *
Various energy futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	806,244			1.81	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		74,880			0.17	%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		24,250			0.05	%
Total Options Purchased	$	—		0.00	%	$	—		0.00	%	$	905,374			2.03	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	(21,937	)		-0.05	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		10,986			0.02	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		172,676			0.39	%
Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		890,863			2.00	%
Crude Oil Settling 09/01/2013(Number of Contracts: -1968)		—		0.00	%		—		0.00	%		(3,607,599	)		-8.10	%
Natural Gas Settling 09/01/2013(Number of Contracts: -431)		—		0.00	%		—		0.00	%		861,116			1.93	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		(2,478	)		-0.01	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		8,362			0.02	%
Various interest rates futures contracts (Oceanic)		—		0.00	%		—		0.00	%		(44	)		0.00	%
Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		(10,550	)		-0.02	%
90 Day Euro Time Deposit Settling 12/01/2015(Number of Contracts: -972)		—		0.00	%		—		0.00	%		486,678			1.09	%
Various precious metal futures contracts (U.S.)		—		0.00	%		—		0.00	%		(192,604	)		-0.43	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		992			0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		(134	)		0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		(146,225	)		-0.33	%
Sugar Settling 05/01/2014(Number of Contracts: -235)		—		0.00	%		—		0.00	%		490,298			1.10	%
Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		(18,288	)		-0.04	%
Total Short Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	(1,077,888	)		-2.42	%
CURRENCY FORWARDS *
Various currency forwards contracts	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
Total Currency Forwards	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
Total Open Trade Deficit	$	—		0.00	%	$	—		0.00	%	$	(2,707,217	)		-6.08	%
OPTIONS WRITTEN *
Various energy futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	(11,390	)		-0.03	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		(308,660	)		-0.69	%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		—			0.00	%
Total Options Written	$	—		0.00	%	$	—		0.00	%	$	(320,050	)		-0.72	%

* 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.

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

7

The Series of the Frontier Fund

Condensed Schedules of Investments (Unaudited)

June 30, 2013

	Balanced Series						Frontier Select Series (1)
Description	Value			% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various base metals futures contracts (Europe)	$	(781,511	)		-0.47	%	$	—		0.00	%
Various base metals futures contracts (U.S.)		100			0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		(330,835	)		-0.20	%		—		0.00	%
Various energy futures contracts (U.S.)		(28,509	)		-0.02	%		—		0.00	%
Various interest rates futures contracts (Canada)		(4,871	)		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		(37,496	)		-0.02	%		—		0.00	%
Various interest rates futures contracts (Far East)		18,499			0.01	%		—		0.00	%
Various interest rates futures contracts (Oceanic)		2,512			0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		(163,233	)		-0.10	%		—		0.00	%
Various precious metal futures contracts (U.S.)		15,181			0.01	%		—		0.00	%
Various soft futures contracts (Canada)		—			0.00	%		—		0.00	%
Various soft futures contracts (Europe)		17,034			0.01	%		—		0.00	%
Various soft futures contracts (Far East)		(45,983	)		-0.03	%		—		0.00	%
Various soft futures contracts (U.S.)		(317,552	)		-0.19	%		—		0.00	%
Various stock index futures contracts (Canada)		(1,084	)		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		(1,288	)		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		6,936			0.00	%		—		0.00	%
Various stock index futures contracts (Oceanic)		754			0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		(272,667	)		-0.16	%		—		0.00	%
Total Long Futures Contracts	$	(1,924,013	)		-1.16	%	$	—		0.00	%
OPTIONS PURCHASED *
Various energy futures contracts (U.S.)	$	—			0.00	%	$	—		0.00	%
Various soft futures contracts (U.S.)		—			0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		663,779			0.40	%		—		0.00	%
Total Options Purchased	$	663,779			0.40	%	$	—		0.00	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (Europe)	$	778,735			0.47	%	$	—		0.00	%
Various base metals futures contracts (U.S.)		4,187			0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		276,157			0.17	%		—		0.00	%
Various energy futures contracts (U.S.)		19,426			0.01	%		—		0.00	%
Various interest rates futures contracts (Canada)		67,054			0.04	%		—		0.00	%
Various interest rates futures contracts (Europe)		(16,678	)		-0.01	%		—		0.00	%
Various interest rates futures contracts (Far East)		(16,040	)		-0.01	%		—		0.00	%
Various interest rates futures contracts (Oceanic)		(61,114	)		-0.04	%		—		0.00	%
Various interest rates futures contracts (U.S.)		82,659			0.05	%		—		0.00	%
Various precious metal futures contracts (U.S.)		99,771			0.06	%		—		0.00	%
Various soft futures contracts (Canada)		—			0.00	%		—		0.00	%
Various soft futures contracts (Europe)		76,996			0.05	%		—		0.00	%
Various soft futures contracts (U.S.)		678,385			0.41	%		—		0.00	%
Various stock index futures contracts (Europe)		7,243			0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		(217,269	)		-0.13	%		—		0.00	%
Various stock index futures contracts (U.S.)		(82,400	)		-0.05	%		—		0.00	%
Total Short Futures Contracts	$	1,697,112			1.02	%	$	—		0.00	%
CURRENCY FORWARDS *
Various currency forwards contracts	$	—			0.00	%	$	—		0.00	%
Total Currency Forwards	$	—			0.00	%	$	—		0.00	%
Total Open Trade Equity	$	436,878			0.26	%	$	—		0.00	%
OPTIONS WRITTEN *
Various energy futures contracts (U.S.)	$	—			0.00	%	$	—		0.00	%
Various soft futures contracts (U.S.)		—			0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		(144,318	)		-0.09	%		—		0.00	%
Total Options Written	$	(144,318	)		-0.09	%	$	—		0.00	%
Swaps (2)
Frontier Balanced RCW-1 Swap (U.S.)	$	16,806,761			10.12	%	$	—		0.00	%
Total Swaps	$	16,806,761			10.12	%	$	—		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) Formerly the Tiverton/Graham/Transtrend Series.

(2) See Note 4 to the Financial Statements.

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

8

The Series of the Frontier Fund

Condensed Schedules of Investments (Unaudited)

June 30, 2013

	Winton Series					Frontier Heritage Series (1)
Description	Value		% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various base metals futures contracts (Europe)	$	—		0.00	%	$	—		0.00	%
Various base metals futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%
Various energy futures contracts (Far East)		—		0.00	%		—		0.00	%
Various energy 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 interest rates futures contracts (Oceanic)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various precious metal futures contracts (Far East)		—		0.00	%		—		0.00	%
Various precious metal futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%
Various soft futures contracts (Far East)		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various stock index futures contracts (Africa)		—		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	%
Various stock index futures contracts (Oceanic)		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%
Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%
OPTIONS PURCHASED *
Various base metals futures contracts (Europe)	$	—		0.00	%	$	—		0.00	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various precious metal futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%
Total Options Purchased	$	—		0.00	%	$	—		0.00	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (Europe)	$	—		0.00	%	$	—		0.00	%
Various base metals futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%
Various energy futures contracts (Far East)		—		0.00	%		—		0.00	%
Various energy 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 interest rates futures contracts (Oceanic)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various precious metal futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%
Various soft futures contracts (Far East)		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various stock index futures contracts (Africa)		—		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	%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%
Total Short Futures Contracts	$	—		0.00	%	$	—		0.00	%
CURRENCY FORWARDS *
Various currency forward contracts	$	—		0.00	%	$	—		0.00	%
Total Currency Forwards	$	—		0.00	%	$	—		0.00	%
Total Open Trade Equity (Deficit)	$	—		0.00	%	$	—		0.00	%
OPTIONS WRITTEN *
Various base metals futures contracts (Europe)	$	—		0.00	%	$	—		0.00	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various precious metal futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%
Total Options Written	$	—		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) Formerly the Winton/Graham Series.

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

9

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			1.45	%
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	%
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	%
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.

10

The Series of the Frontier Fund

Condensed Schedules of Investments

December 31, 2012

	Balanced Series						Frontier Select Series (2)
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.)	$	7,365			0.00	%	$	—		0.00	%
Various base metals futures contracts (Europe)		1,079,576			0.44	%		—		0.00	%
Various currency futures contracts (U.S.)		(2,013,943	)		-0.82	%		—		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.)		618,362			0.25	%		—		0.00	%
Brent Curde Oil Settling 2/1/2013 (Number of Contracts: 735)		2,850,050			1.16	%		—		0.00	%
Various interest rates futures contracts (U.S.)		(285,562	)		-0.12	%		—		0.00	%
Various interest rates futures contracts (Canada)		(62,247	)		-0.03	%		—		0.00	%
Various interest rates futures contracts (Europe)		1,247,403			0.51	%		—		0.00	%
Various interest rates futures contracts (Far East)		(146,326	)		-0.06	%		—		0.00	%
Various interest rates futures contracts (Oceanic)		298,712			0.12	%		—		0.00	%
Various precious metals futures contracts (U.S.)		76,885			0.03	%		—		0.00	%
Various soft futures contracts (U.S.)		(888,222	)		-0.36	%		—		0.00	%
Various soft futures contracts (Europe)		(131,803	)		-0.05	%		—		0.00	%
Various stock index futures contracts (U.S.)		(494,955	)		-0.20	%		—		0.00	%
Various stock index futures contracts (Canada)		246,124			0.10	%		—		0.00	%
Various stock index futures contracts (Europe)		(1,219,796	)		-0.50	%		—		0.00	%
Various stock index futures contracts (Africa)		82,200			0.03	%		—		0.00	%
Various stock index futures contracts (Oceanic)		132,147			0.05	%		—		0.00	%
Various stock index futures contracts (Far East)		1,111,191			0.45	%		—		0.00	%
Total Long Futures Contracts	$	2,507,161			1.00	%	$	—		0.00	%
OPTIONS PURCHASED *
Various base metals futures contracts (Europe)	$	—			0.00	%	$	—		0.00	%
Various base metals futures contracts (U.S.)		—			0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		—			0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		—			0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		—			0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		439,170			0.18	%		—		0.00	%
Total Options Purchased	$	439,170			0.18	%	$	—		0.00	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	(57,925	)		-0.02	%	$	—		0.00	%
Various base metals futures contracts (Europe)		(3,453,452	)		-1.41	%		—		0.00	%
Various currency futures contracts (US)		1,732,960			0.71	%		—		0.00	%
Various currency futures contracts (Europe)		—			0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		(2,108,322	)		-0.86	%		—		0.00	%
Various energy futures contracts (Europe)		—			0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		(356,406	)		-0.15	%		—		0.00	%
Various interest rates futures contracts (Canada)		79,806			0.03	%		—		0.00	%
Various interest rates futures contracts (Europe)		9,865			0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		172,781			0.07	%		—		0.00	%
Various interest rates futures contracts (Oceanic)		(1,482	)		0.00	%		—		0.00	%
Various precious metals futures contracts (U.S.)		8,095			0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		1,114,717			0.46	%		—		0.00	%
Various soft futures contracts (Europe)		124,047			0.05	%		—		0.00	%
Various soft futures contracts (Far East)		—			0.00	%		—		0.00	%
Various soft futures contracts (Canada)		—			0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		(341,725	)		-0.14	%		—		0.00	%
Various stock index futures contracts (Canada)		—			0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		86,851			0.04	%		—		0.00	%
Various stock index futures contracts (Oceanic)		—			0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		(628,652	)		-0.26	%		—		0.00	%
Total Short Futures Contracts	$	(3,618,842	)		-1.95	%	$	—		0.00	%
CURRENCY FORWARDS *	$	—			0.00	%	$	—		0.00	%
Total Open Trade Equity (Deficit)	$	(672,511	)		-0.27	%	$	—		0.00	%
OPTIONS WRITTEN *
Various base metals futures contracts (Europe)	$	—			0.00	%	$	—		0.00	%
Various base metals futures contracts (U.S)		—			0.00	%		—		0.00	%
Various currency futures contracts (Europe)		—			0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		—			0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		—			0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		(165,363	)		-0.07	%		—		0.00	%
Total Options Written	$	(165,363	)		-0.07	%	$	—		0.00	%
Swaps (3)
Frontier Select CTA TRS Deutsche Bank Swap (U.S.)	$	4,503,745			1.84	%	$	—		0.00	%
Frontier Balanced RCW-1 Swap (U.S.)		17,785,733			7.26	%		—		0.00	%
Total Swaps	$	22,289,478			9.10	%	$	—		0.00	%
U.S. TREASURY SECURITIES
	Fair Value						Fair Value
US Treasury Note 4.000% due 02/15/2015 (1)	$	5,951,633			2.97	%	$	961,568		3.79	%
Additional Disclosure on U.S. Treasury Securities	Face Value						Face Value
US Treasury Note 4.000% due 02/15/2015 (1)	$	5,521,388					$	892,056
	Cost						Cost
US Treasury Note 4.000% due 02/15/2015 (1)	$	5,719,381					$	924,044

* 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 Tiverton/Graham/Tiverton Series.

(3) See Note 4 to the Financial Statements.

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

11

The Series of the Frontier Fund

Condensed Schedules of Investments

December 31, 2012

	Winton Series					Frontier Heritage Series (2)
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	%
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.

(2) Formerly the Winton/Graham Series.

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

12

The Series of the Frontier Fund

Statements of Operations

For the Three Months Ended June 30, 2013 and 2012

	Frontier Diversified Series						Frontier Masters Series						Frontier Long/Short Commodity Series
	(Unaudited)						(Unaudited)						(Unaudited)
	6/30/2013			6/30/2012			6/30/2013			6/30/2012			6/30/2013			6/30/2012
Investment income:
Interest - net	$	462,159		$	545,961		$	224,184		$	261,367		$	288,183		$	348,055
Total Income		462,159			545,961			224,184			261,367			288,183			348,055
Expenses:
Incentive Fees		—			1,616,858			—			84,508			—			397,085
Management Fees		387,812			485,272			330,187			352,534			590,929			866,092
Service Fees - Class 1		290,900			372,751			176,471			189,579			88,071			115,189
Trading Fees		614,290			749,188			288,777			319,341			190,367			257,297
Total Expenses		1,293,002			3,224,069			795,435			945,962			869,367			1,635,663
Investment income/(loss) - net		(830,843	)		(2,678,108	)		(571,251	)		(684,595	)		(581,184	)		(1,287,608	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(141,927	)		—			—			2,146,959			1,784,593			35,577,284
Net change in open trade equity/(deficit)		141,927			—			—			(522,901	)		(4,849,262	)		(35,876,321	)
Net realized gain/(loss) on U.S. Treasury securities		—			101,433			—			49,269			—			63,612
Net unrealized gain/(loss) on U.S. Treasury securities		—			(133,952	)		—			(65,064	)		—			(84,007	)
Trading commissions		(1,091	)		—			—			(41,493	)		(410,672	)		(475,122	)
Change in fair value of investments in unconsolidated trading companies		(7,088,208	)		6,132,808			(2,575,152	)		303,890			(128,404	)		(143,488	)
Net gain/(loss) on investments		(7,089,299	)		6,100,289			(2,575,152	)		1,870,660			(3,603,745	)		(938,042	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(7,920,142	)		3,422,181			(3,146,403	)		1,186,065			(4,184,929	)		(2,225,650	)
Less: Operations attributable to non-controlling interests		—			—			—			556,867			(855,727	)		702,246
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(7,920,142	)	$	3,422,181		$	(3,146,403	)	$	629,198		$	(3,329,202	)	$	(2,927,896	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(7.66	)	$	2.37		$	(6.90	)	$	1.09			N/A		$	(6.14	)(1)
Class 1a		N/A			N/A			N/A			N/A		$	(8.07	)	$	(5.29	)
Class 2	$	(7.79	)	$	2.95		$	(6.89	)	$	1.63		$	(10.65	)	$	(6.68	)
Class 2a		N/A			N/A			N/A			N/A		$	(8.15	)	$	(5.03	)
Class 3		N/A			N/A			N/A			N/A		$	(10.65	)	$	(6.69	)
Class 3a		N/A			N/A			N/A			N/A		$	(2.45	)(2)		N/A

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

(2) Class 3a operations began June 17, 2013.

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

13

The Series of the Frontier Fund

Statements of Operations

For the Three Months Ended June 30, 2013 and 2012

	Balanced Series						Frontier Select Series (1)
	(Unaudited)						(Unaudited)
	6/30/2013			6/30/2012			6/30/2013			6/30/2012
Investment income:
Interest - net	$	75,270		$	35,188		$	87,463		$	65,518
Total Income/(loss)		75,270			35,188			87,463			65,518
Expenses:
Incentive Fees		397,624			3,107,181			—			58,853
Management Fees		421,392			650,186			138,094			357,444
Service Fees - Class 1		924,919			1,264,776			152,793			218,705
Trading Fees		327,556			452,743			43,541			61,958
Total Expenses		2,071,491			5,474,886			334,428			696,960
Investment (loss) - net		(1,996,221	)		(5,439,698	)		(246,965	)		(631,442	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		4,835,504			17,730,726			—			—
Net change in open trade equity/(deficit)		(879,019	)		4,894,639			—			—
Net realized gain/(loss) on swap contracts		(1,908,743	)		—			—			—
Net unrealized gain/(loss) on swap contracts		1,230,360			682,682			—			—
Net realized gain/(loss) on U.S. Treasury securities		—			165,998			—			33,684
Net unrealized gain/(loss) on U.S. Treasury securities		—			(219,217	)		—			(44,566	)
Trading commissions		(477,420	)		(1,468,701	)		—			—
Change in fair value of investments in unconsolidated trading companies		(11,743,384	)		(1,698,555	)		31,845			(637,185	)
Net gain/(loss) on investments		(8,942,702	)		20,087,572			31,845			(648,067	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(10,938,923	)		14,647,874			(215,120	)		(1,279,509	)
Less: Operations attributable to non-controlling interests		2,191,011			7,272,062			—			—
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(13,129,934	)	$	7,375,812		$	(215,120	)	$	(1,279,509	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(9.31	)	$	3.53		$	(0.85	)	$	(3.34	)
Class 1a		N/A	(2)	$	4.26			N/A			N/A
Class 2	$	(11.01	)	$	5.57		$	(0.31	)	$	(3.88	)
Class 2a	$	(8.77	)	$	5.15			N/A			N/A
Class 3a	$	(8.74	)(2)	$	4.69			N/A			N/A

(1) Formerly known as the Tiverton/Graham/Transtrend 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.

14

The Series of the Frontier Fund

Statements of Operations

For the Three Months Ended June 30, 2013 and 2012

	Winton Series						Frontier Heritage Series (1)
	(Unaudited)						(Unaudited)
	6/30/2013			6/30/2012			6/30/2013			6/30/2012
Investment income:
Interest - net	$	94,585		$	132,557		$	35,758		$	32,021
Total Income		94,585			132,557			35,758			32,021
Expenses:
Management Fees		268,121			259,761			75,144			290,031
Service Fees - Class 1		226,897			266,262			116,307			159,136
Trading Fees		76,915			87,171			36,145			48,908
Total Expenses		571,933			613,194			227,596			498,075
Investment (loss) - net		(477,348	)		(480,637	)		(191,838	)		(466,054	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on U.S. Treasury securities		—			52,823			—			23,284
Net unrealized gain/(loss) on U.S. Treasury securities		—			(69,758	)		—			(30,749	)
Change in fair value of investments in unconsolidated trading companies		(529,952	)		(1,582,723	)		(414,134	)		(1,638,888	)
Net gain/(loss) on investments		(529,952	)		(1,599,658	)		(414,134	)		(1,646,353	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(1,007,300	)		(2,080,295	)		(605,972	)		(2,112,407	)
Less: Operations attributable to non-controlling interests		—			—			—			—
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(1,007,300	)	$	(2,080,295	)	$	(605,972	)	$	(2,112,407	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(3.72	)	$	(6.28	)	$	(3.55	)	$	(8.32	)
Class 2	$	(3.33	)	$	(6.23	)	$	(3.61	)	$	(9.45	)

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

15

The Series of the Frontier Fund

Statements of Operations

For the Six Months Ended June 30, 2013 and 2012

	Frontier Diversified Series						Frontier Masters Series						Frontier Long/Short Commodity Series
	(Unaudited)						(Unaudited)						(Unaudited)
	6/30/2013			6/30/2012			6/30/2013			6/30/2012			6/30/2013			6/30/2012
Investment income:
Interest - net	$	938,684		$	1,143,240		$	455,372		$	529,226		$	585,282		$	711,631
Total Income		938,684			1,143,240			455,372			529,226			585,282			711,631
Expenses:
Incentive Fees		184,498			1,622,616			—			84,508			—			474,155
Management Fees		798,238			1,001,476			654,910			705,144			1,229,182			1,730,283
Service Fees - Class 1		596,303			764,517			351,815			376,906			184,174			240,025
Trading Fees		1,250,812			1,522,885			581,403			636,911			402,099			511,670
Total Expenses		2,829,851			4,911,494			1,588,128			1,803,469			1,815,455			2,956,133
Investment income/(loss) - net		(1,891,167	)		(3,768,254	)		(1,132,756	)		(1,274,243	)		(1,230,173	)		(2,244,502	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		734,081			—			—			3,438,153			(130,988	)		1,862,384
Net change in open trade equity/(deficit)		(566,777	)		—			—			(848,382	)		(3,390,670	)		(6,274,138	)
Net realized gain/(loss) on swap contracts		—			(106,862	)		—			(55,669	)		—			(58,693	)
Net unrealized gain/(loss) on swap contracts		—			(23,719	)		—			(2,775	)		—			(20,529	)
Net realized gain/(loss) on U.S. Treasury securities		221,284			176,189			107,483			84,120			138,776			110,579
Net unrealized gain/(loss) on U.S. Treasury securities		(236,981	)		(344,875	)		(115,107	)		(161,783	)		(148,620	)		(212,182	)
Trading commissions		(5,416	)		—			—			(72,157	)		(784,182	)		(898,855	)
Change in fair value of investments in unconsolidated trading companies		(7,348,507	)		2,154,374			(1,684,494	)		494,168			(659,517	)		(1,178,743	)
Net gain/(loss) on investments		(7,202,316	)		1,855,107			(1,692,118	)		2,875,675			(4,975,201	)		(6,670,177	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(9,093,483	)		(1,913,147	)		(2,824,874	)		1,601,432			(6,205,374	)		(8,914,679	)
Less: Operations attributable to non-controlling interests		—			—			—			527,388			(2,681,444	)		(5,453,840	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(9,093,483	)	$	(1,913,147	)	$	(2,824,874	)	$	1,074,044		$	(3,523,930	)	$	(3,460,839	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(8.85	)	$	(1.80	)	$	(6.37	)	$	1.79			N/A		$	(8.06	)(1)
Class 1a		N/A			N/A			N/A			N/A		$	(8.68	)	$	(6.45	)
Class 2	$	(8.63	)	$	(0.97	)	$	(5.90	)	$	2.82		$	(11.19	)	$	(7.77	)
Class 2a		N/A			N/A			N/A			N/A		$	(8.31	)	$	(5.69	)
Class 3		N/A			N/A			N/A			N/A		$	(11.20	)	$	(7.78	)
Class 3a		N/A			N/A			N/A			N/A		$	(2.45	)(2)		N/A

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

(2) Class 3a operations began June 17, 2013.

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

16

The Series of the Frontier Fund

Statements of Operations

For the Six Months Ended June 30, 2013 and 2012

	Balanced Series						Frontier Select Series (1)
	(Unaudited)						(Unaudited)
	6/30/2013			6/30/2012			6/30/2013			6/30/2012
Investment income:
Interest - net	$	122,551		$	186,736		$	178,057		$	83,962
Total Income		122,551			186,736			178,057			83,962
Expenses:
Incentive Fees		657,063			3,285,306			—			58,853
Management Fees		916,029			1,339,664			347,293			630,430
Service Fees - Class 1		1,916,467			2,605,664			310,652			473,019
Trading Fees		673,471			930,270			88,324			132,847
Total Expenses		4,163,030			8,160,904			746,269			1,295,149
Investment (loss) - net		(4,040,479	)		(7,974,168	)		(568,212	)		(1,211,187	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(2,875,164	)		14,305,074			—			—
Net change in open trade equity/(deficit)		1,200,003			2,536,358			—			—
Net realized gain/(loss) on swap contracts		(1,908,743	)		(175,294	)		—			(34,232	)
Net unrealized gain/(loss) on swap contracts		772,617			1,331,127			—			(2,448	)
Net realized gain/(loss) on U.S. Treasury securities		362,137			290,166			78,233			59,410
Net unrealized gain/(loss) on U.S. Treasury securities		(387,826	)		(573,994	)		(83,782	)		(107,356	)
Trading commissions		(1,146,861	)		(2,676,067	)		—			—
Change in fair value of investments in unconsolidated trading companies		(8,931,059	)		(5,687,507	)		1,360,285			(445,682	)
Net realized gain/(loss) on investment in Berkeley Quantitative Colorado Fund LLC		—			—			—			(2,172,987	)
Net unrealized gain/(loss) on investment in Berkeley Quantitative Colorado Fund LLC		—			—			—			2,084,880
Net gain/(loss) on investments		(12,914,896	)		9,349,863			1,354,736			(618,415	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(16,955,375	)		1,375,695			786,524			(1,829,602	)
Less: Operations attributable to non-controlling interests		(613,022	)		4,229,152			—			—
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(16,342,353	)	$	(2,853,457	)	$	786,524		$	(1,829,602	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(11.43	)	$	(1.85	)	$	2.35		$	(4.73	)
Class 1a		N/A	(2)	$	(0.32	)		N/A			N/A
Class 2	$	(12.66	)	$	(0.01	)	$	4.49		$	(4.80	)
Class 2a	$	(9.67	)	$	0.64			N/A			N/A
Class 3a	$	(9.65	)(2)	$	0.18			N/A			N/A

(1) Formerly known as the Tiverton/Graham/Transtrend 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.

17

The Series of the Frontier Fund

Statements of Operations

For the Six Months Ended June 30, 2013 and 2012

	Winton Series						Frontier Heritage Series (1)
	(Unaudited)						(Unaudited)
	6/30/2013			6/30/2012			6/30/2013			6/30/2012
Investment income:
Interest - net	$	204,611		$	258,693		$	72,996		$	53,990
Total Income		204,611			258,693			72,996			53,990
Expenses:
Management Fees		520,375			527,370			214,205			588,344
Service Fees - Class 1		449,703			548,690			236,146			338,208
Trading Fees		151,657			178,594			73,328			103,966
Total Expenses		1,121,735			1,254,654			523,679			1,030,518
Investment (loss) - net		(917,124	)		(995,961	)		(450,683	)		(976,528	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on swap contracts		—			(57,781	)		—			(30,602	)
Net unrealized gain/(loss) on swap contracts		—			(7,291	)		—			943
Net realized gain/(loss) on U.S. Treasury securities		115,236			90,903			50,795			40,172
Net unrealized gain/(loss) on U.S. Treasury securities		(123,411	)		(174,630	)		(54,398	)		(77,637	)
Change in fair value of investments in unconsolidated trading companies		1,789,423			(1,948,477	)		1,349,322			(1,094,706	)
Net gain/(loss) on investments		1,781,248			(2,097,276	)		1,345,719			(1,161,830	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		864,124			(3,093,237	)		895,036			(2,138,358	)
Less: Operations attributable to non-controlling interests		—			—			—			—
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	864,124		$	(3,093,237	)	$	895,036		$	(2,138,358	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	2.08		$	(9.41	)	$	3.53		$	(8.68	)
Class 2	$	4.89		$	(8.70	)	$	6.37		$	(8.92	)

(1) Formerly the Winton/Graham Series.

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

18

The Series of the Frontier Fund

Statements of Changes in Owners’ Capital

For the Six Months Ended June 30, 2013

(Unaudited)

	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			Total			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Total
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
Sale of Units		—			1,276,358			—			1,277,401			2,553,759			—			1,650,028			—			482,083			2,132,111
Redemption of Units		—			(10,253,451	)		—			(8,618,264	)		(18,871,715	)		—			(3,488,791	)		—			(2,912,736	)		(6,401,527	)
Net increase/(decrease) in Owners’ Capital resulting from operations		(2,432	)		(4,781,961	)		(123,443	)		(4,185,647	)		(9,093,483	)		(1,749	)		(2,042,164	)		(33,210	)		(747,751	)		(2,824,874	)
Owners’ Capital, June 30, 2013	$	23,527		$	45,214,923		$	1,313,530		$	43,218,153		$	89,770,133		$	26,055		$	30,694,768		$	572,298		$	13,098,747		$	44,391,868
Owners’ Capital - Units, December 31, 2012		275			624,740			14,301			544,826						275			341,974			5,627			151,262
Sale of Units		—			13,875			—			12,830						—			16,271			—			4,499
Redemption of Units		—			(110,100	)		—			(87,122	)					—			(34,270	)		—			(26,972	)
Owners’ Capital - Units, June 30, 2013		275			528,515			14,301			470,534						275			323,975			5,627			128,789
					(1)						(1)									(1)						(1)
Net asset value per unit at December 31, 2012				$	94.40					$	100.48								$	101.11					$	107.61
Change in net asset value per unit for the period ended June 30, 2013					(8.85	)					(8.63	)								(6.37	)					(5.90	)
Net asset value per unit at June 30, 2013				$	85.55					$	91.85								$	94.74					$	101.71

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

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

19

The Series of the Frontier Fund

Statements of Changes in Owners’ Capital

For the Six Months Ended June 30, 2013

(Unaudited)

	Frontier Long/Short Commodity Series
	Class 2						Class 3			Class 1a			Class 1a			Class 2a			Class 2a			Class 3a (2)
	Managing Owner			Limited Owners			Limited Owners			Managing Owner			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
Sale of Units		—			—			—			—			639,187			—			226,400			11,990			23,178			—			900,755
Redemption of Units		—			(1,741,073	)		(5,482,870	)		(11,990	)		(3,345,312	)		—			(2,935,637	)		—			—			—			(13,516,882	)
Change in control of ownership - Trading Companies		—			—			—			—			—			—			—			—			—			3,006,720			3,006,720
Contributions to Trading Companies		—			—			—			—			—			—			—			—			—			533,749			533,749
Distributions to Trading Companies		—			—			—			—			—			—			—			—			—			(1,554,700	)		(1,554,700	)
Operations attributable to non-controlling interests		—			—			—			—			—			—			—			—			—			(2,681,444	)		(2,681,444	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(34,495	)		(372,786	)		(1,119,119	)		(742	)		(1,323,082	)		(18,477	)		(654,440	)		(269	)		(520	)		—			(3,523,930	)
Owners’ Capital, June 30, 2013	$	414,516		$	4,335,915		$	13,159,058		$	—		$	14,941,599		$	238,083		$	7,261,874		$	11,721		$	22,658		$	4,131,008		$	44,516,432
Owners’ Capital - Units, December 31, 2012		3,083			44,284			135,642			117			174,713			2,222			92,035			—			—
Sale of Units		—			—			—			—			5,950			—			1,974			109			212
Redemption of Units		—			(12,036	)		(37,800	)		(117	)		(31,100	)		—			(26,228	)		—			—
Owners’ Capital - Units, June 30, 2013		3,083			32,248			97,842			—			149,563			2,222			67,781			109			212
					(1)									(1)						(1)						(1)
Net asset value per unit at December 31, 2012				$	145.65		$	145.69					$	108.58					$	115.45					$	109.60
Change in net asset value per unit for the period ended June 30, 2013					(11.19	)		(11.20	)					(8.68	)					(8.31	)					(2.45	)
Net asset value per unit at June 30, 2013				$	134.46		$	134.49					$	99.90					$	107.14					$	107.15

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

(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.

20

The Series of the Frontier Fund

Statements of Changes in Owners’ Capital

For the Six Months Ended June 30, 2013

(Unaudited)

	Balanced Series
	Class 1			Class 2						Class 2a						Class 3a
	Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Limited Owners			Non-Controlling Interests			Total
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
Sale of Units		168,617			—			7,692			—			—			—			—			176,309
Redemption of Units		(23,762,099	)		(47,933	)		(7,353,211	)		—			(172,020	)		(954,645	)		—			(32,289,908	)
Change in control of ownership - Trading Companies		—			—			—			—			—			—			(32,918,537	)		(32,918,537	)
Contributions to Trading Companies		—			—			—			—			—			—			28,003,136			28,003,136
Distributions to Trading Companies		—			—			—			—			—			—			(24,921,921	)		(24,921,921	)
Operations attributable to non-controlling interests		—			—			—			—			—			—			(613,022	)		(613,022	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(12,230,638	)		(268,535	)		(3,551,026	)		(11,973	)		(55,775	)		(224,406	)		—			(16,342,353	)
Owners’ Capital, June 30, 2013	$	108,082,752		$	2,909,316		$	37,337,239		$	141,911		$	627,841		$	2,597,739		$	14,366,589		$	166,063,387
Owners’ Capital - Units, December 31, 2012		1,237,173			21,620			323,274			1,237			6,880			30,469
Sale of Units		1,466			—			51			—			—			—
Redemption of Units		(208,199	)		(312	)		(49,869	)		—			(1,405	)		(7,744	)
Owners’ Capital - Units, June 30, 2013		1,030,440			21,308			273,456			1,237			5,475			22,725
								(1)						(1)
Net asset value per unit at December 31, 2012	$	116.32					$	149.20					$	124.36		$	123.96
Change in net asset value per unit for the period ended June 30, 2013		(11.43	)					(12.66	)					(9.67	)		(9.65	)
Net asset value per unit at June 30, 2013	$	104.89					$	136.54					$	114.69		$	114.31

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

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

21

The Series of the Frontier Fund

Statements of Changes in Owners’ Capital

For the Six Months Ended June 30, 2013

(Unaudited)

	Frontier Select Series (2)											Winton Series											Frontier Heritage Series (3)
	Class 1			Class 2								Class 1			Class 2								Class 1			Class 2
	Limited Owners			Managing Owner		Limited Owners			Total			Limited Owners			Managing Owner		Limited Owners			Total			Limited Owners			Managing Owner		Limited Owners			Total
Owners’ Capital, December 31, 2012	$	22,266,758		$	7,013	$	3,070,870		$	25,344,641		$	30,645,208		$	32,721	$	10,281,605		$	40,959,534		$	16,680,498		$	51,683	$	4,021,358		$	20,753,539
Sale of Units		8,725			—		—			8,725			91,099			—		—			91,099			23,085			—		—			23,085
Redemption of Units		(3,608,609	)		—		(468,252	)		(4,076,861	)		(2,768,291	)		—		(286,272	)		(3,054,563	)		(3,512,281	)		—		(676,244	)		(4,188,525	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		656,480			316		129,728			786,524			538,850			1,013		324,261			864,124			685,963			2,726		206,347			895,036
Owners’ Capital, June 30, 2013	$	19,323,354		$	7,329	$	2,732,346		$	22,063,029		$	28,506,866		$	33,734	$	10,319,594		$	38,860,194		$	13,877,265		$	54,409	$	3,551,461		$	17,483,135
Owners’ Capital - Units, December 31, 2012		283,073			70		30,848						234,414			207		64,952						176,419			428		33,325
Sale of Units		108			—		—						667			—		—						230			—		—
Redemption of Units		(44,638	)		—		(4,584	)					(20,434	)		—		(1,717	)					(35,164	)		—		(5,368	)
Owners’ Capital - Units, June 30, 2013		238,543			70		26,264						214,647			207		63,235						141,485			428		27,957
							(1)											(1)											(1)
Net asset value per unit at December 31, 2012	$	78.66				$	99.55					$	130.73				$	158.30					$	94.55				$	120.67
Change in net asset value per unit for the period ended June 30, 2013		2.35					4.49						2.08					4.89						3.53					6.37
Net asset value per unit at June 30, 2013	$	81.01				$	104.04					$	132.81				$	163.19					$	98.08				$	127.04

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

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

(3) Formerly the Winton/Graham Series.

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

22

The Series of the Frontier Fund

Statements of Cash Flows

For the Six Months Ended June 30, 2013 and 2012

(Unaudited)

	Frontier Diversified Series						Frontier Masters Series						Frontier Long/Short Commodity Series
	6/30/2013			6/30/2012			6/30/2013			6/30/2012			6/30/2013			6/30/2012
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(9,093,483	)	$	(1,913,147	)	$	(2,824,874	)	$	1,601,432		$	(6,205,374	)	$	(8,914,679	)
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		—			—			—			848,376			1,887,682			5,691,998
Net change in options written, at fair value		—			—			—			—			(608,640	)		662,500
Net change in ownership allocation of U.S. Treasury securities		154,070			48,344			416,252			(880,732	)		68,797			(460,331	)
Net change in ownership allocation of custom time deposits		5,520,176			19,132			2,921,097			(5,206,281	)		4,202,673			671,254
Net change in ownership allocation of credit default swaps		—			423			—			(1,219	)		—			(4,324	)
Net realized (gain) on swap contracts		—			106,862			—			55,669			—			58,693
Net unrealized (gain)/loss on swap contracts		—			23,719			—			2,775			—			20,529
Net unrealized (gain)/loss on U.S. Treasury securities		236,981			344,875			115,107			161,783			148,620			212,182
Net realized (gain)/loss on U.S. Treasury securities		(221,284	)		(176,189	)		(107,483	)		(84,120	)		(138,776	)		(110,579	)
(Purchases) sales of:
Sales of custom time deposits		8,797,756			4,380,919			4,273,276			2,418,141			5,517,416			2,122,345
Sales of U.S. Treasury securities		3,683,233			7,795,181			1,789,033			3,735,419			2,309,899			4,973,010
Increase and/or decrease in:
Receivable from futures commission merchants		—			—			—			(2,220,779	)		628,467			(10,742,946	)
Change in control of ownership - trading companies		—			—			—			—			3,006,720			7,337,360
Contributions to trading companies		—			—			—			2,506,321			533,749			23,164,665
Distributions from trading companies		—			—			—			(565,724	)		(1,554,700	)		(23,882,978	)
Investments in unconsolidated trading companies, at fair value		5,318,764			(4,962,592	)		(3,220,007	)		(3,098,220	)		1,827,906			(313,371	)
Prepaid service fees - Class 1		12,606			115,319			30,503			9,517			23,352			39,084
Interest receivable		53,887			110,603			30,947			40,458			33,408			63,698
Receivable from related parties		92,070			(2,076	)		24,572			(504	)		(17,784	)		3,574
Other assets		—			(6,068	)		—			(3,007	)		—			(4,285	)
Incentive fees payable to Managing Owner		(189,903	)		1,095,141			—			84,508			—			270,321
Management fees payable to Managing Owner		(28,598	)		(37,660	)		(14,008	)		(3,230	)		(88,311	)		(13,722	)
Interest payable to Managing Owner		(5,520	)		(9,942	)		(2,371	)		(2,229	)		(3,521	)		(2,490	)
Trading fees payable to Managing Owner		(35,491	)		(15,190	)		(13,931	)		5,289			(21,606	)		919
Service fees payable to Managing Owner		(16,950	)		11,525			(4,734	)		6,823			(700	)		(3,191	)
Payables to related parties		(19,435	)		—			23,502			550			(34,037	)		20,733
Other liabilities		—			18,897			—			22,590			514			1,201
Net cash provided by (used in) operating activities		14,258,879			6,948,076			3,436,881			(566,394	)		11,515,754			861,170
Cash Flows from Financing Activities:
Proceeds from sale of units		2,553,759			7,784,912			2,132,111			4,251,958			900,755			8,997,501
Payment for redemption of units		(18,871,715	)		(14,799,497	)		(6,401,527	)		(3,588,943	)		(13,516,882	)		(10,211,491	)
Pending owner additions		(21,292	)		(203,104	)		(14,157	)		39,147			(62,537	)		15,207
Owner redemptions payable		411,392			(87,586	)		(96,698	)		(4,996	)		61,919			(52,668	)
Net cash provided by (used in) financing activities		(15,927,856	)		(7,305,275	)		(4,380,271	)		697,166			(12,616,745	)		(1,251,451	)
Net increase (decrease) in cash and cash equivalents		(1,668,977	)		(357,199	)		(943,390	)		130,772			(1,100,991	)		(390,281	)
Cash and cash equivalents, beginning of period		2,681,889			4,976,749			1,542,661			2,234,716			1,710,151			3,045,849
Cash and cash equivalents, end of period	$	1,012,912		$	4,619,550		$	599,271		$	2,365,488		$	609,160		$	2,655,568

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

23

The Series of the Frontier Fund

Statements of Cash Flows

For the Six Months Ended June 30, 2013 and 2012

(Unaudited)

	Balanced Series						Frontier Select Series (1)
	6/30/2013			6/30/2012			6/30/2013			6/30/2012
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(16,955,375	)	$	1,375,695		$	786,524		$	(1,829,602	)
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		(1,109,389	)		(5,212,272	)		—			—
Net change in options written, at fair value		(21,045	)		982,158			—			—
Net change in ownership allocation of U.S. Treasury securities		(101,758	)		2,126,630			(346,146	)		(894,064	)
Net change in custom time deposits		(2,039,513	)		6,414,370			(3,267,434	)		(2,986,681	)
Net change in ownership allocation of credit default swaps		—			9,783			—			(2,283	)
Net change in ownership allocation of total return swaps		5,334			—			—			—
Net unrealized (gain)/loss on swap contracts		(772,617	)		(1,331,127	)		—			2,448
Net realized (gain)/loss on swap contracts		1,908,743			175,294			—			34,232
Net unrealized (gain)/loss on U.S. Treasury securities		387,826			573,994			83,782			107,356
Net realized (gain)/loss on U.S. Treasury securities		(362,137	)		(290,166	)		(78,233	)		(59,410	)
Net realized (gain)/loss on investment in Berkeley Quantitative Colorado Fund LLC		—			—			—			2,172,987
Net unrealized (gain)/loss on investment in Berkeley Quantitative Colorado Fund LLC		—			—			—			(2,084,880	)
(Purchases) sales of:
Sales of swap contracts		4,341,257			10,362			—			—
Sales of custom time deposits		14,397,746			8,877,976			3,110,347			2,014,489
Sales of U.S. Treasury securities		6,027,702			12,612,900			1,302,165			2,693,512
Sale (purchase) of Berkeley Quantitative Colorado Fund LLC		—			—			—			6,182,737
Increase and/or decrease in:
Receivable from futures commission merchants		70,024,284			(9,836,454	)		—			—
Change in control of ownership - trading companies		(32,918,537	)		(4,147,463	)		—			—
Investments in unconsolidated trading companies, at fair value		(15,660,783	)		632,986			2,274,525			(266,021	)
Contributions to trading companies		28,003,136			80,675,516			—			—
Distributions from trading companies		(24,921,921	)		(72,990,346	)		—			—
Prepaid service fees - Class 1		(612	)		—			—			—
Interest receivable		83,217			207,419			13,440			25,492
Receivable from related parties		(35,338	)		(46,426	)		(6,241	)		(10,598	)
Other assets		34,251			(19,591	)		—			(13,981	)
Incentive fees payable to Managing Owner		(527,306	)		1,912,622			—			58,853
Management fees payable to Managing Owner		(63,857	)		(54,547	)		(58,180	)		11,931
Interest payable to Managing Owner		(73,688	)		(59,149	)		(6,458	)		(13,707	)
Trading fees payable to Managing Owner		(35,263	)		(30,870	)		(2,431	)		(15,451	)
Service fees payable to Managing Owner		(94,147	)		(56,704	)		(11,221	)		(15,605	)
Payables to related parties		(1,490	)		(1,512	)		(47,535	)		111
Other liabilities		5,512			6,002			—			943
Net cash provided by (used in) operating activities		29,524,232			22,517,080			3,746,904			5,112,808
Cash Flows from Financing Activities:
Proceeds from sale of units		176,309			2,256,421			8,725			18,031
Payment for redemption of units		(32,289,908	)		(27,279,525	)		(4,076,861	)		(4,991,423	)
Pending owner additions		(15,282	)		(4,332	)		(457	)		(713	)
Owner redemptions payable		239,273			339,456			(18,946	)		(150,091	)
Net cash provided by (used in) financing activities		(31,889,608	)		(24,687,980	)		(4,087,539	)		(5,124,196	)
Net increase (decrease) in cash and cash equivalents		(2,365,376	)		(2,170,900	)		(340,635	)		(11,388	)
Cash and cash equivalents, beginning of period		4,111,855			9,758,138			664,310			1,352,378
Cash and cash equivalents, end of period	$	1,746,479		$	7,587,238		$	323,675		$	1,340,990

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

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

24

The Series of the Frontier Fund

Statements of Cash Flows

For the Six Months Ended June 30, 2013 and 2012

(Unaudited)

	Winton Series						Frontier Heritage Series (1)
	6/30/2013			6/30/2012			6/30/2013			6/30/2012
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	864,124		$	(3,093,237	)	$	895,036		$	(2,138,358	)
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		—			—			—			—
Net change in ownership allocation of U.S. Treasury securities		(117,717	)		(342,280	)		(73,002	)		337,466
Net change in custom time deposits		(5,479,138	)		266,609			(3,230,118	)		1,223,716
Net change in ownership allocation of credit default swaps		—			(3,184	)		—			722
Net unrealized (gain)/loss on swap contracts		—			7,291			—			(943	)
Net realized (gain)/loss on swap contracts		—			57,781			—			30,602
Net unrealized (gain) loss on U.S. Treasury securities, at fair value		123,411			174,630			54,398			77,637
Net realized (gain) loss on U.S. Treasury securities, at fair value		(115,236	)		(90,903	)		(50,795	)		(40,172	)
(Purchases) sale of:
Sales of custom time deposits		4,581,539			2,095,034			2,019,491			2,476,747
Sales of U.S. Treasury Securities, at fair value		1,918,089			4,077,744			845,472			1,806,127
Increase and/or decrease in:
Investments in unconsolidated trading companies, at fair value		619,919			(1,009,532	)		3,511,706			266,141
Interest receivable		25,277			52,722			10,845			30,119
Receivable from related parties		(44,110	)		—			(3,871	)		—
Other assets		—			(17,710	)		—			(13,047	)
Management fees payable to Managing Owner		(364	)		(8,329	)		(39,621	)		(8,631	)
Interest payable to Managing Owner		(4,778	)		(11,466	)		(5,529	)		(11,697	)
Trading fees payable to Managing Owner		(1,860	)		(3,996	)		(2,103	)		(4,308	)
Service fees payable to Managing Owner		(10,221	)		(8,491	)		(8,419	)		(11,300	)
Payables to related parties		(563	)		95			(317	)		(120	)
Other liabilities		—			1,737			—			(514	)
Net cash provided by (used in) operating activities		2,358,372			2,144,515			3,923,173			4,020,187
Cash Flows from Financing Activities:
Proceeds from sale of units		91,099			107,528			23,085			31,984
Payment for redemption of units		(3,054,563	)		(2,252,999	)		(4,188,525	)		(4,344,915	)
Pending owner additions		(1,512	)		(2,296	)		(964	)		(833	)
Owner redemptions payable		(22,467	)		99,030			(10,804	)		27,306
Net cash provided by (used in) financing activities		(2,987,443	)		(2,048,737	)		(4,177,208	)		(4,286,458	)
Net increase (decrease) in cash and cash equivalents		(629,071	)		95,778			(254,035	)		(266,271	)
Cash and cash equivalents, beginning of period		1,249,455			2,051,272			536,159			1,156,042
Cash and cash equivalents, end of period	$	620,384		$	2,147,050		$	282,124		$	889,771

(1) Formerly the Winton/Graham Series.

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

25

The Series of the Frontier Fund

Notes to Financial Statements (Unaudited)

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 quarterly 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 the combined Series of the Trust.

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 seven (7) separate and distinct Series of Units issued and outstanding: Frontier Diversified Series, Frontier Masters Series, Balanced Series, Frontier Long/Short Commodity Series, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), Winton Series, and Frontier Heritage Series (formerly 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;

• 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

26

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 June 30, 2013, the Trust, with respect to the Frontier Diversified Series, Frontier Masters Series, Frontier Select Series, Winton Series and Frontier Heritage 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 and custom time deposits. Each Series’ ownership in these investments is based on its percentage ownership in the pooled cash management assets on the reporting date.

As of June 30, 2013, 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. Each of the Frontier Diversified Series, Frontier Masters Series, Frontier Long/Short Commodity Series, Balanced Series, Frontier Select Series, and Frontier Heritage 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 Frontier Select 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 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.

These financial statements should be read in conjunction with the audited financial statements and notes thereto included in our 2012 Annual Report on Form 10-K as filed with the SEC.

Consolidation—The Series, through investing in the Trading Companies, authorize certain Trading Advisors to place trades and manage assets at pre-determined investment levels. The Trading Companies were organized by the Managing Owner for the purpose of investing in commodities interests and derivative instruments, and have no operating income or expenses, except for trading income and expenses, all of which is allocated to the Series. Trading Companies in which a Series has a controlling and majority equity interest are consolidated by such Series. Investments in Trading Companies in which a Series does not have a controlling and majority

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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 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 and Frontier Trading Company IX, LLC and the assets and liabilities of its majority owned Trading Companies, and the earnings of Trading Company XXIII, LLC from July 11, 2012 to March 12, 2013. Also included in the consolidated financial statements were the earnings of its majority controlled trading company, Trading Company XVIII, LLC from January 1, 2011 through May 14, 2012, the earnings from Frontier Trading Company XIV, LLC from January 1, 2013 through May 16, 2013, the earnings from Frontier Trading Company XV, LLC from January 1, 2012 through June 30, 2012, the earnings from Frontier Trading Company XVII, LLC from January 1, 2013 through April 18, 2013 and the earnings from Frontier Trading Company XXIII, LLC from April 29, 2013 through June 30, 2013. 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 Societe Generale, owned by Frontier Trading Company I LLC, to the Balanced Series.

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 to June 30, 2013 and Frontier Trading Company XVIII, LLC from May 15, 2012 through June 30, 2013.

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). The consolidated financial statements of the Frontier Diversified Series include the assets, liabilities and earnings of its majority owned trading company, Frontier Trading Company V, LLC (earnings from March 9, 2013 through June 30, 2013).

The consolidated financial statements of the Frontier Diversified Series include the assets, liabilities and earnings of its majority owned trading company, Frontier Trading Company V, LLC (earnings from March 9, 2013 through June 30, 2013).

Investment in Berkeley Quantitative Colorado Fund LLC—The Frontier Select 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 Frontier Select 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. 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.

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), Frontier Select Series, Winton Series and Frontier Heritage 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), 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. All U.S. Treasury Securities have been liquidated as of June 30, 2013.

U.S. Treasury Securities—U.S. Treasury Securities were 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 were reported at fair value as Level 1 inputs under ASC 820, Fair Value Measurements and Disclosures (“ASC 820”). The Series of the Trust valued U.S. Treasury Securities at fair value and recorded the daily change in value in the statements of operations as net unrealized gain/(loss) on U.S. Treasury securities. Accrued interest was 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 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

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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, January 2012, October 2012, November 2012, April 2013 and June 2013 the Trust, with respect to the Series, redeemed approximately $25 million, $25 million, $50 million, $25 million, $16 million, $5 million and $35 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 $65 million of the 3.75% 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-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 as applicable to the classes maintained by the Series.

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 trading level interest in the Trading Company, adjusted on a daily basis (except for Trading Advisors and other investments such as swap that are directly allocated to a specific series). 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.

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 or instrument. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount”

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(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 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 Issued Accounting Pronouncements—In June of 2013, FASB issued ASU 2013-08 to (i) modify Topic 946 for determining whether an entity is an investment company; (ii) update the measurement requirements for noncontrolling interests in other investment companies; and (iii) require additional disclosures for investment companies under U.S. GAAP. This guidance is effective

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for annual and interim periods beginning on or after December 15, 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 financial positions or results of operations.

Recently Adopted Accounting Pronouncements —In December 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. FASB issued additional clarification to specify that the guidance applies only to derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset in accordance with specific criteria of the Codification or subject to a master netting arrangement or similar agreement. 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 and is disclosed in Note 8.

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.

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. 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

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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 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.

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 June 30, 2013 and December 31, 2012, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

June 30, 2013	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Frontier Diversified Series
Investment in Unconsolidated Trading Companies	$	36,421,672		$	455,536		$	630,454	$	37,507,662
Frontier Masters Series
Investment in Unconsolidated Trading Companies		11,676,330			1,315,474			—		12,991,804
Frontier Long/Short Commodity Series
Open Trade Equity (Deficit)		(3,612,591	)		905,374			—		(2,707,217	)
Options Written		—			(320,050	)		—		(320,050	)
Investment in Unconsolidated Trading Companies		1,821,453			25,879			—		1,847,332
Balanced Series
Open Trade Equity (Deficit)		(226,901	)		663,779			—		436,878
Options Written		—			(144,318	)		—		(144,318	)
Swap Contracts		—			—			16,806,761		16,806,761
Investment in Unconsolidated Trading Companies		33,557,357			132,616			2,163,938		35,853,911
Frontier Select Series (1)
Investment in Unconsolidated Trading Companies		2,601,342			1,488,916			1,008,726		5,098,984
Winton Series
Investment in Unconsolidated Trading Companies		6,323,621			(77,575	)		—		6,246,046
Frontier Heritage Series (2)
Investment in Unconsolidated Trading Companies		1,419,658			(17,416	)		1,260,907		2,663,149

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

(2) Formerly the Winton/Graham Series.

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December 31, 2012	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Frontier Diversified Series
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
Frontier Select Series (1)
Investment in Unconsolidated Trading Companies		5,981,225			1,392,284			—		7,373,509
U.S. Treasury Securities		961,568			—			—		961,568
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
Frontier Heritage Series (2)
Investment in Unconsolidated Trading Companies		6,070,974			103,881			—		6,174,855
U.S. Treasury Securities		776,073			—			—		776,073

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

(2) Formerly the Winton/Graham Series.

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 six months ended June 30, 2013, all identified Level 3 assets are components of the Frontier Diversified Series, Balanced Series, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), and Winton Series and Frontier Heritage Series (formerly Winton/Graham Series) Series.

For the Six Months Ended June 30, 2013

Swaps:

	Balanced Series
Balance of recurring Level 3 assets as of January 1, 2013	$	22,289,478
Total gains or losses (realized/unrealized):
Included in earnings-realized		(1,908,743	)
Included in earnings-unrealized		772,617
Sales of investments		(4,341,257	)
Change in ownership allocation of total return swaps		(5,334	)
Transfers in and/or out of Level 3		—
Balance of recurring Level 3 assets as of June 30, 2013	$	16,806,761

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Investments in Unconsolidated Trading Companies:

	Balanced Series		Frontier Select Series (1)
Balance of recurring Level 3 assets as of January 1, 2013	$	—	$	—
Change in fair value of investments in unconsolidated trading companies		763,938		(591,274	)
Proceeds from sales of investments of unconsolidated trading companies		—		—
Purchases of investments of unconsolidated trading companies		1,400,000		1,600,000
Change in ownership allocation		—		—
Transfers in and/or out of Level 3		—		—
Balance of recurring Level 3 assets as of June 30, 2013	$	2,163,938	$	1,008,726

	Frontier Diversified Series			Frontier Heritage Series (2)
Balance of recurring Level 3 assets as of January 1, 2013	$	—		$	—
Change in fair value of investments in unconsolidated trading companies		(369,546	)		(739,093	)
Proceeds from sales of investments of unconsolidated trading companies		—			—
Purchases of investments of unconsolidated trading companies		1,000,000			2,000,000
Change in ownership allocation		—			—
Transfers in and/or out of Level 3		—			—
Balance of recurring Level 3 assets as of June 30, 2013	$	630,454		$	1,260,907

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

(2) Formerly the Winton/Graham Series.

For the Year Ended December 31, 2012

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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	$	—		$	—		$	—

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

	Winton Series			Frontier Heritage Series  (2)
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	$	—		$	—

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

(2) Formerly the 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 six months ended June 30, 2013, all identified Level 3 assets are components of the Frontier Diversified Series, Balanced Series, Frontier Select Series, and Frontier Heritage Series. During the year ended December 31, 2012, the Trust 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 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.

35

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 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 June 30, 2013 and December 31, 2012, approximately 5.3% and 4.0%, respectively, of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain Swaps and is recorded as cash and cash equivalents on the Statements of Financial Condition.

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 invested in the following swaps as of and for the six months ended June 30, 2013:

	Balanced Series Option/Swap			Total Return Swap
Counterparty		Societe Generale			DeutscheBank
Notional Amount	$	52,651,671		$	0
Termination Date		11/21/2014			6/30/2016
Investee Returns		Total Returns			Total Returns
Realized Gain/(Loss)	$	—		$	(1,908,743	)
Unrealized Gain/(Loss)	$	(973,637	)	$	1,746,254
Fair Value as of 6/30/13	$	16,806,761		$	—

36

The Series had invested in the following Swaps as of and for 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

	Frontier Select 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 Tiverton/Graham/Transtrend Series

37

	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	$	—		$	—
	Frontier Heritage 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)	$	(23,131	)	$	(7,471	)
Unrealized Gain/(Loss)	$	(6,528	)	$	7,471
Fair Value as of 12/31/2012	$	—		$	—

(1) Formerly the Winton/Graham Series.

5. Investments in Unconsolidated Trading Companies

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

The following table summarizes the Balanced Series, Winton Series, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), Frontier Heritage Series (formerly Winton/Graham Series), Frontier Long/Short Commodity Series, Frontier Diversified Series, and Frontier Masters Series investments in unconsolidated Trading Companies as of June 30, 2013 and December 31, 2012.

	As of June 30, 2013					As of December 31, 2012
	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, VII, IX, XIV, XV and XXXIX		41.78	%	$	37,507,662		37.18	%	$	42,826,426
Frontier Masters Series —
Frontier Trading Companies II, XIV and XV		29.27	%	$	12,991,804		18.98	%	$	9,771,797
Frontier Long/Short Commodity Series —
Frontier Trading Company I		4.15	%	$	1,847,332		6.00	%	$	3,675,238
Balanced Series —
Frontier Trading Companies II, VII, XIV, XV, XVIII, XXIII and XXXIX		21.59	%		35,853,911		8.24	%	$	20,193,128
Frontier Select Series (1) —
Frontier Trading Companies XV and XXXIX		23.11	%	$	5,098,984		29.09	%	$	7,373,509
Winton Series —
Frontier Trading Company II		16.07	%	$	6,246,046		16.76	%	$	6,865,965
Frontier Heritage Series (2) —
Frontier Trading Companies II and XXXIX		15.23	%	$	2,663,149		29.75	%	$	6,174,855

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

(1) Formerly known as the Winton/Graham Series.

38

The following tables summarize the Balanced Series, Winton Series, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), Frontier Heritage Series (formerly Winton/Graham Series), Frontier Long/Short Commodity Series, Frontier Diversified Series and Frontier Masters Series equity in earnings from unconsolidated Trading Companies for the three and six months ended June 30, 2013 and 2012.

	Three Months Ended June 30, 2013												Three Months Ended June 30, 2012
							Change in												Change in
	Trading			Realized			Unrealized			Net Income			Trading			Realized			Unrealized			Net Income
	Commissions			Gain/(Loss)			Gain/(Loss)			(Loss)			Commissions			Gain/(Loss)			Gain/(Loss)			(Loss)
Trading Company
Balanced Series —
Frontier Trading Company II LLC	$	(12,946	)	$	(539,578	)	$	62,863		$	(489,661	)	$	(17,916	)	$	(1,852,805	)	$	(71,726	)	$	(1,942,447	)
Frontier Trading Company V LLC		—			—			—			—			(35,526	)		(635,141	)		(13,754	)		(684,421	)
Frontier Trading Company VII, LLC		(159,810	)		2,081,836			(2,295,710	)		(373,684	)		(166,377	)		19,776,151			(19,154,575	)		455,199
Frontier Trading Company XIV, LLC		(279,927	)		(9,105,539	)		(2,336,599	)		(11,722,065	)
Frontier Trading Company XV, LLC		(39,203	)		(1,020,514	)		2,734,056			1,674,339			—			—			—			—
Frontier Trading Company XVIII, LLC		(4,876	)		(189,505	)		(79,789	)		(274,170	)		—			—			—			—
Frontier Trading Company XXIII, LLC		(2,345	)		(207,732	)		(29,113	)		(239,190	)		(5,104	)		81,914			(89,226	)		(12,416	)
Frontier Trading Company XXXIX, LLC		—			—			(318,953	)		(318,953	)		(11,402	)		595,621			(98,689	)		485,530
Total	$	(499,107	)	$	(8,981,032	)	$	(2,263,245	)	$	(11,743,384	)	$	(236,325	)	$	17,965,740		$	(19,427,970	)	$	(1,698,555	)
Winton Series —
Frontier Trading Company II LLC	$	(13,821	)	$	(576,780	)	$	60,649		$	(529,952	)	$	(15,481	)	$	(1,390,213	)	$	(177,029	)	$	(1,582,723	)
Frontier Select Series (1) —
Frontier Trading Company V LLC	$	—		$	—		$	—		$	—		$	(40,729	)	$	(632,368	)	$	(139,511	)	$	(812,608	)
Frontier Trading Company XV, LLC		(24,461	)		(375,851	)		668,464			268,152			(20,623	)		(252,670	)		(4,022	)		(277,315	)
Frontier Trading Company XXI, LLC		—			—			—			—			(11,707	)		599,571			(135,126	)		452,738
Frontier Trading Company XXXIX, LLC		—			—			(236,307	)		(236,307	)		—			—			—			—
Total	$	(24,461	)	$	(375,851	)	$	432,157		$	31,845		$	(73,059	)	$	(285,467	)	$	(278,659	)	$	(637,185	)
Frontier Heritage Series (2) —
Frontier Trading Company II LLC	$	(3,105	)	$	(129,407	)	$	13,762		$	(118,750	)	$	(5,678	)	$	(509,980	)	$	(64,805	)	$	(580,463	)
Frontier Trading Company V LLC		—			—			—			—			(53,093	)		(824,003	)		(181,329	)		(1,058,425	)
Frontier Trading Company XXXIX, LLC		—			—			(295,384	)		(295,384	)		—			—			—			—
Total	$	(3,105	)	$	(129,407	)	$	(281,622	)	$	(414,134	)	$	(58,771	)	$	(1,333,983	)	$	(246,134	)	$	(1,638,888	)
Frontier Long/Short Commodity Series —
Frontier Trading Company I LLC	$	(15,290	)	$	(142,958	)	$	116,200		$	(42,048	)	$	(16,133	)	$	(34,582	)	$	(47,556	)	$	(98,271	)
Frontier Trading Companies XVIII, LLC		—			—			—			—			(3,657	)		(355,892	)		23,731			(335,818	)
Frontier Trading Companies XXIII, LLC		(847	)		(85,317	)		(192	)		(86,356	)		(6,833	)		357,505			(60,071	)		290,601
Total	$	(16,137	)	$	(228,275	)	$	116,008		$	(128,404	)	$	(26,623	)	$	(32,969	)	$	(83,896	)	$	(143,488	)
Frontier Diversified Series —
Frontier Trading Company I LLC	$	(103,240	)	$	(1,415,475	)	$	324,957		$	(1,193,758	)	$	(205,715	)	$	5,205,460		$	435,571		$	5,435,316
Frontier Trading Company II LLC		(7,249	)		(303,448	)		31,245			(279,452	)		(9,897	)		(888,290	)		(114,024	)		(1,012,211	)
Frontier Trading Company V LLC		—			—			—			—			(21,456	)		(332,944	)		(73,698	)		(428,098	)
Frontier Trading Company VI LLC		—			—			—			—			—			—			—			—
Frontier Trading Company VII, LLC		(104,230	)		1,326,190			(1,436,873	)		(214,913	)		(88,559	)		10,211,301			(9,920,508	)		202,234
Frontier Trading Company IX, LLC		—			—			—			—			(679	)		(119,840	)		99,267			(21,252	)
Frontier Trading Company XIV, LLC		(266,843	)		(4,027,108	)		(2,097,543	)		(6,391,494	)		(164,949	)		2,218,611			903,120			2,956,782
Frontier Trading Company XV, LLC		(31,200	)		(812,235	)		2,175,783			1,332,348			(44,583	)		(547,849	)		(7,737	)		(600,169	)
Frontier Trading Company XVIII, LLC		—			—			—			—			(8,651	)		(662,245	)		18,261			(652,635	)
Frontier Trading Company XXI, LLC		—			—			—			—			(271	)		14,101			(3,565	)		10,265
Frontier Trading Company XXIII, LLC		(1,895	)		(190,888	)		(464	)		(193,247	)		(5,699	)		297,819			(49,544	)		242,576
Frontier Trading Company XXXIX, LLC		—			—			(147,692	)		(147,692	)		—			—			—			—
Total	$	(514,657	)	$	(5,422,964	)	$	(1,150,587	)	$	(7,088,208	)	$	(550,459	)	$	15,396,124		$	(8,712,857	)	$	6,132,808
Frontier Masters Series —
Frontier Trading Company II LLC	$	(4,095	)	$	(170,489	)	$	16,711		$	(157,873	)	$	(4,580	)	$	(411,358	)	$	(52,424	)	$	(468,362	)
Frontier Trading Company XIV, LLC		(106,640	)		(1,602,756	)		(841,813	)		(2,551,209	)		(69,982	)		805,362			231,363			966,743
Frontier Trading Company XV, LLC		(37,892	)		(487,520	)		659,342			133,930			(14,453	)		(177,239	)		(2,799	)		(194,491	)
Total	$	(148,627	)	$	(2,260,765	)	$	(165,760	)	$	(2,575,152	)	$	(89,015	)	$	216,765		$	176,140		$	303,890

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

(2) Formerly known as the Winton/Graham Series.

39

	Six Months Ended June 30, 2013												Six Months Ended June 30, 2012
	Trading Commissions			Realized Gain/(Loss)			Change in Unrealized Gain/(Loss)			Net Income (Loss)			Trading Commissions			Realized Gain/(Loss)			Change in Unrealized Gain/(Loss)			Net Income (Loss)
Trading Company
Balanced Series —
Frontier Trading Company II LLC	$	(24,447	)	$	1,843,105		$	92,506		$	1,911,164		$	(35,396	)	$	(722,502	)	$	(1,675,917	)	$	(2,433,815	)
Frontier Trading Company V LLC		(13,876	)		1,530,384			(272,459	)		1,244,049			(86,709	)		(75,583	)		28,999			(133,293	)
Frontier Trading Company VII, LLC		(303,885	)		755,131			(2,039,158	)		(1,587,912	)		(353,032	)		1,722,221			(4,849,275	)		(3,480,086	)
Frontier Trading Company XV, LLC		(279,928	)		(9,105,539	)		(2,336,596	)		(11,722,063	)		—			—			—			—
Frontier Trading Company XVI, LLC		(75,888	)		(928,664	)		2,989,224			1,984,672			—			—			—			—
Frontier Trading Company XVIII, LLC		(8,645	)		(141,517	)		(108,880	)		(259,042	)		(5,104	)		81,914			(89,226	)		(12,416	)
Frontier Trading Company XXIII, LLC		(3,524	)		(194,695	)		546			(197,673	)		(19,932	)		366,125			25,910			372,103
Frontier Trading Company XXXIX, LLC		—			—			(304,254	)		(304,254	)		—			—			—			—
Total	$	(710,193	)	$	(6,241,795	)	$	(1,979,071	)	$	(8,931,059	)	$	(500,173	)	$	1,372,175		$	(6,559,509	)	$	(5,687,507	)
Winton Series —
Frontier Trading Company II LLC	$	(25,474	)	$	1,927,612		$	(112,715	)	$	1,789,423		$	(28,363	)	$	(556,822	)	$	(1,363,292	)	$	(1,948,477	)
Frontier Select Series (1) —
Frontier Trading Company V LLC	$	(12,346	)	$	1,188,592		$	(78,854	)	$	1,097,392		$	(90,474	)	$	1,407,844		$	(1,585,534	)	$	(268,164	)
Frontier Trading Company VI LLC		—			—			—			—			—			—			—			—
Frontier Trading Company XV, LLC		(47,319	)		(244,203	)		773,923			482,401			(33,520	)		(461,917	)		(80,070	)		(575,507	)
Frontier Trading Company XXI, LLC		—			—			—			—			(15,305	)		999,066			(585,772	)		397,989
Frontier Trading Company XXXIX, LLC		—			—			(219,508	)		(219,508	)		—			—			—			—
Total	$	(59,665	)	$	944,389		$	475,561		$	1,360,285		$	(139,299	)	$	1,944,993		$	(2,251,376	)	$	(445,682	)
Frontier Heritage Series (2) —
Frontier Trading Company II LLC	$	(5,769	)	$	425,541		$	17,831		$	437,603		$	(10,425	)	$	(203,658	)	$	(499,542	)	$	(713,625	)
Frontier Trading Company V LLC		(13,268	)		1,404,612			(205,240	)		1,186,104			(120,422	)		(131,861	)		(128,798	)		(381,081	)
Frontier Trading Company XXXIX, LLC		—			—			(274,385	)		(274,385	)		—			—			—			—
Total	$	(19,037	)	$	1,830,153		$	(461,794	)	$	1,349,322		$	(130,847	)	$	(335,519	)	$	(628,340	)	$	(1,094,706	)
Frontier Long/Short Commodity Series —
Frontier Trading Company I LLC	$	(31,084	)	$	(300,076	)	$	(34,052	)	$	(365,212	)	$	(30,337	)	$	(1,074,546	)	$	(352,990	)	$	(1,457,873	)
Frontier Trading Companies XVIII, LLC		—			—			—			—			(11,271	)		116,615			(48,976	)		56,368
Frontier Trading Companies XXIII, LLC		(7,155	)		(265,826	)		(21,324	)		(294,305	)		(11,951	)		220,061			14,652			222,762
Total	$	(38,239	)	$	(565,902	)	$	(55,376	)	$	(659,517	)	$	(53,559	)	$	(737,870	)	$	(387,314	)	$	(1,178,743	)
Frontier Diversified Series —
Frontier Trading Company I LLC	$	(231,756	)	$	(1,773,046	)	$	(347,089	)	$	(2,351,891	)	$	(400,475	)	$	2,874,056		$	436,648		$	2,910,229
Frontier Trading Company II LLC		(13,345	)		1,007,609			(60,975	)		933,289			(18,113	)		(357,566	)		(867,409	)		(1,243,088	)
Frontier Trading Company V LLC		(9,571	)		1,055,495			(187,841	)		858,083			(48,564	)		(63,695	)		(51,741	)		(164,000	)
Frontier Trading Company VI LLC		—			—			—			—			—			—			—			—
Frontier Trading Company VII, LLC		(192,161	)		792,098			(1,388,587	)		(788,650	)		(184,808	)		894,375			(2,539,440	)		(1,829,873	)
Frontier Trading Company IX, LLC		—			—			—			—			(12,366	)		(279,533	)		(62,409	)		(354,308	)
Frontier Trading Company XIV, LLC		(345,261	)		(5,253,059	)		(1,159,086	)		(6,757,406	)		(260,656	)		3,356,066			676,628			3,772,038
Frontier Trading Company XV, LLC		(49,686	)		(779,606	)		2,324,062			1,494,770			(74,840	)		(1,117,012	)		(56,270	)		(1,248,122	)
Frontier Trading Company XVIII, LLC		—			—			—			—			(23,333	)		249,110			(120,020	)		105,757
Frontier Trading Company XXI, LLC		—			—			—			—			(525	)		22,536			(2,097	)		19,914
Frontier Trading Company XXIII, LLC		(15,095	)		(518,968	)		(65,447	)		(599,510	)		(9,965	)		183,087			12,705			185,827
Frontier Trading Company XXXIX, LLC		—			—			(137,192	)		(137,192	)		—			—			—			—
Total	$	(856,875	)	$	(5,469,477	)	$	(1,022,155	)	$	(7,348,507	)	$	(1,033,645	)	$	5,761,424		$	(2,573,405	)	$	2,154,374
Frontier Masters Series —
Frontier Trading Company II LLC	$	(7,544	)	$	570,668		$	(34,613	)	$	528,511		$	(8,393	)	$	(164,813	)	$	(403,624	)	$	(576,830	)
Frontier Trading Company XIV, LLC		(138,056	)		(2,094,361	)		(466,073	)		(2,698,490	)		(130,287	)		1,523,879			82,800			1,476,392
Frontier Trading Company XV, LLC		(75,581	)		(410,523	)		971,589			485,485			(24,285	)		(362,271	)		(18,838	)		(405,394	)
Total	$	(221,181	)	$	(1,934,216	)	$	470,903		$	(1,684,494	)	$	(162,965	)	$	996,795		$	(339,662	)	$	494,168

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

(2) Formerly known as the Winton/Graham Series.

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The statements of financial condition as of June 30, 2013 and December 31, 2012 and the Condensed Statement of Income for the three and six months ended June 30, 2013 and 2012 for the unconsolidated Trading Companies are as follows:

Statements of Financial Condition - June 30, 2013	Frontier Trading Company II LLC			Frontier Trading Company XIV LLC			Frontier Trading Company XV LLC			Frontier Trading Company XXXIX LLC
Receivable from commission merchants	$	17,226,194		$	40,160,305		$	12,461,448		$	—
Open trade equity/(deficit)		1,401,471			(4,736,133	)		12,145,018			5,064,660
Interest receivable/(payable)		(195	)		(5,084	)		(103	)		—
Total assets	$	18,627,470		$	35,419,088		$	24,606,363		$	5,064,660
Members’ equity	$	18,627,470		$	35,419,088		$	24,606,363		$	5,064,660
Condensed Statement of Income - For the Three Months Ended June 30, 2013
Interest income	$	4,489		$	(5,645	)	$	(3,780	)	$	—
Net realized gain/(loss) on investments, less commissions		(1,765,407	)		(19,128,908	)		(2,845,992	)		—
Change in open trade equity/(deficit)		185,230			(4,788,038	)		6,400,468			(998,336	)
Net income/(loss)	$	(1,575,688	)	$	(23,922,591	)	$	3,550,696		$	(998,336	)
Condensed Statement of Income - For the Six Months Ended June 30, 2013
Interest income	$	11,714		$	(5,645	)	$	(6,956	)	$	—
Net realized gain/(loss) on investments, less commissions		5,686,242			(19,128,908	)		(2,603,247	)		—
Change in open trade equity/(deficit)		(97,966	)		(4,788,038	)		7,253,090			(935,339	)
Net income/(loss)	$	5,599,990		$	(23,922,591	)	$	4,642,887		$	(935,339	)

Statements of Financial Condition - December 31, 2012	Frontier Trading Company II LLC			Frontier Trading Company V LLC			Frontier Trading Company XXIII, LLC
Receivable from commission merchants	$	20,525,159		$	14,732,606		$	3,343,890
Open trade equity/(deficit)		1,499,438			1,311,171			231,181
Interest receivable/(payable)		2,882			2,181			(7	)
Total assets	$	22,027,479		$	16,045,958		$	3,575,064
Members’ equity	$	22,027,479		$	16,045,958		$	3,575,064
Condensed Statement of Income - For the Three Months Ended June 30, 2012
Interest income	$	7,597		$	1,418		$	—
Net realized gain/(loss) on investments, less commissions		(5,106,197	)		(2,575,258	)		1,256,221
Change in open trade equity/(deficit)		(480,006	)		(408,292	)		(213,344	)
Net income/(loss)	$	(5,578,606	)	$	(2,982,132	)	$	1,042,877
Condensed Statement of Income - For the Six Months Ended June 30, 2012
Interest income	$	16,404		$	2,153		$	—
Net realized gain/(loss) on investments, less commissions		(2,106,051	)		790,538			744,714
Change in open trade equity/(deficit)		(4,809,783	)		(1,737,074	)		54,463
Net income/(loss)	$	(6,899,430	)	$	(944,383	)	$	799,177

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%

41

interest specifically in the Balanced Series Class 1a 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.

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 Class 1, Class 2 and Class 3, 1.0% for the Balanced Series Class 1a and Class 2a, 2.0% for the Winton Series, Frontier Long/Short Commodity Series Class 1a and Class 2a and Frontier Masters Series, 0.75% for Frontier Diversified Series, 2.5% for the Frontier Heritage Series (formerly Winton/Graham Series) and Frontier Select Series (formerly 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, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), Winton Series and Frontier Heritage Series (formerly 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, Frontier Heritage Series (formerly Winton/Graham Series), Frontier Select Series (formerly Tiverton/Graham/Transtrend 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, Frontier Heritage Series (formerly Winton/Graham Series), Frontier Select Series (formerly 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, 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.

42

The following table summarizes fees earned by the Managing Owner for the three and six months ended June 30, 2013 and 2012.

Three Months Ended June 30, 2013	Incentive Fee		Management Fee		Service Fee		Trading Fee
Frontier Diversified Series	$	—	$	387,812	$	290,900	$	614,290
Frontier Masters Series		—		330,187		176,471		288,777
Frontier Long/Short Commodity Series		—		590,929		88,071		190,367
Balanced Series		397,624		421,392		924,919		327,556
Frontier Select Series (1)		—		138,094		152,793		43,541
Winton Series		—		268,121		226,897		76,915
Frontier Heritage Series (2)		—		75,144		116,307		36,145
Three Months Ended June 30, 2012	Incentive Fee		Management Fee		Service Fee		Trading Fee
Frontier Diversified Series	$	1,616,858	$	485,272	$	372,751	$	749,188
Frontier Masters Series		84,508		352,534		189,579		319,341
Frontier Long/Short Commodity Series		397,085		866,092		115,189		257,297
Balanced Series		3,107,181		650,186		1,264,776		452,743
Frontier Select Series (1)		58,853		357,444		218,705		61,958
Winton Series		—		259,761		266,262		87,171
Frontier Heritage Series (2)		—		290,031		159,136		48,908

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

(2) Formerly the Winton/Graham Series.

Six Months Ended June 30, 2013	Incentive Fee		Management Fee		Service Fee		Trading Fee
Frontier Diversified Series	$	184,498	$	798,238	$	596,303	$	1,250,812
Frontier Masters Series		—		654,910		351,815		581,403
Frontier Long/Short Commodity Series		—		1,229,182		184,174		402,099
Balanced Series		657,063		916,029		1,916,467		673,471
Frontier Select Series (1)		—		347,293		310,652		88,324
Winton Series		—		520,375		449,703		151,657
Frontier Heritage Series (2)		—		214,205		236,146		73,328
Six Months Ended June 30, 2012	Incentive Fee		Management Fee		Service Fee		Trading Fee
Frontier Diversified Series	$	1,622,616	$	1,001,476	$	764,517	$	1,522,885
Frontier Masters Series		84,508		705,144		376,906		636,911
Frontier Long/Short Commodity Series		474,155		1,730,283		240,025		511,670
Balanced Series		3,285,306		1,339,664		2,605,664		930,270
Frontier Select Series (1)		58,853		630,430		473,019		132,847
Winton Series		—		527,370		548,690		178,594
Frontier Heritage Series (2)		—		588,344		338,208		103,966

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

(2) Formerly the Winton/Graham Series.

The following table summarizes fees payable to the Managing Owner as of June 30, 2013 and December 31, 2012.

As of June 30, 2013

	Incentive Fees		Management Fees		Trading Fees		Service Fees
Frontier Diversified Series	$	—	$	121,590	$	192,678	$	72,227
Frontier Masters Series		—		104,266		90,921		42,689
Frontier Long/Short Commodity Series		—		189,068		57,794		23,374
Balanced Series		—		129,298		97,612		238,795
Frontier Select Series (1)		—		44,909		13,626		43,481
Winton Series		—		85,774		24,181		52,335
Frontier Heritage Series (2)		—		24,021		11,045		29,697

As of December 31, 2012

	Incentive Fees		Management Fees		Trading Fees		Service Fees
Frontier Diversified Series	$	189,903	$	150,188	$	228,169	$	89,177
Frontier Masters Series		—		118,274		104,852		47,423
Frontier Long/Short Commodity Series		—		277,379		79,400		24,074
Balanced Series		527,306		193,155		132,875		332,942
Frontier Select Series (1)		—		103,089		16,057		54,702
Winton Series		—		86,138		26,041		62,556
Frontier Heritage Series (2)		—		63,642		13,148		38,116

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

(2) Formerly the Winton/Graham Series.

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 six

43

months ended June 30, 2013, amounts paid or owed to the Managing Owner for the difference in monthly service fees from prepaid initial service fees were $1,328 for the Balanced Series, ($1,843) for the Frontier Long/Short Commodity Series, ($1,657) for the Frontier Diversified Series, $67 for the Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), $63 for the Frontier Heritage Series (formerly Winton/Graham Series), $776 for the Winton Series and ($416) for the Frontier Masters Series.

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, ($7,427) for the Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), $4,064 for the Frontier Heritage Series (formerly Winton/Graham Series), $6,938 for the Winton Series and $1,336 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, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), and Frontier Heritage Series (formerly 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 three months ended June 30, 2013 and 2012, the Trust paid $1,507,617 and $1,893,692, respectively, of such interest income to the Managing Owner Such expenses are not included in the statements of operations of the Series. During the six months ended June 30, 2013 and 2012, the Trust paid $3,089,699 and $3,907,894, respectively, of such interest income to the Managing Owner Such expenses are not included in the statements of operations of the Series.

The Managing Owner 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 $77,196 and $465,830 for the three and six months ended June 30, 2012. As of April 20, 2012, the contract with The Bornhoft Group Corporation was amended to provide for an annual payment of $600,000 for investment and advisor services and 0.1% annually of the trading level with the Balanced Series in lieu of a monthly service fee. The Managing Owner paid $274,246 and $657,374, respectively under this agreement for the three and six months ended June 30, 2013. The Managing Owner paid $324,029 under this agreement for the three and six months ended June 30, 2012.

Equinox Financial Group, LLC, an affiliate of the Trust, provides management services for the Managing Owner who paid $430,000 and $680,000, respectively, for the three and six months ended June 30, 2013.

Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $499,652 and $665,478, respectively, for the three months ended June 30, 2013 and 2012 and $1,047,744 and $1,365,020, respectively, for the six months ended June 30, 2013 and 2012.

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.

44

7. Financial Highlights

The following information presents the financial highlights of the Trust, with respect to the Series, for the three and six months ended June 30, 2013 and 2012.

	Frontier Diversified Series						Frontier Masters Series						Frontier Long/Short Commodity Series (7)
	Class 1			Class 2			Class 1			Class 2			Class 2			Class 3			Class 1a			Class 2a			Class 3a
Per unit operating performance (1)
Net asset value, December 31, 2012	$	94.40		$	100.48		$	101.11		$	107.61		$	145.65		$	145.69		$	108.58		$	115.45		$	109.60
Net operating results:
Interest income		0.82			0.87			0.92			0.99			1.70			1.70			1.27			1.35			1.26
Expenses		(2.97	)		(2.08	)		(3.57	)		(2.68	)		(4.75	)		(4.75	)		(3.53	)		(3.77	)		(3.53	)
Net gain/(loss) on investments, net of non-controlling interests		(6.70	)		(7.42	)		(3.72	)		(4.21	)		(8.14	)		(8.15	)		(6.42	)		(5.89	)		(0.18	)
Net income/(loss)		(8.85	)		(8.63	)		(6.37	)		(5.90	)		(11.19	)		(11.20	)		(8.68	)		(8.31	)		(2.45	)
Net asset value, June 30, 2013	$	85.55		$	91.85		$	94.74		$	101.71		$	134.46		$	134.49		$	99.90		$	107.14		$	107.15
Ratios to average net assets (3)
Net investment income/(loss) (8)		-4.48	%		-2.26	%		-5.25	%		-3.15	%		-4.26	%		-4.26	%		-4.26	%		-4.26	%		-4.26	%
Expenses before incentive fees (6)		6.08	%		3.85	%		7.09	%		4.99	%		6.64	%		6.64	%		6.64	%		6.64	%		6.64	%
Expenses after incentive fees (6)		6.25	%		4.02	%		7.09	%		4.99	%		6.64	%		6.64	%		6.64	%		6.64	%		6.64	%
Total return before incentive fees (2)		-9.20	%		-8.42	%		-6.30	%		-5.48	%		-7.68	%		-7.69	%		-7.99	%		-7.20	%		-2.24	%
Total return after incentive fees (2)		-9.38	%		-8.59	%		-6.30	%		-5.48	%		-7.68	%		-7.69	%		-7.99	%		-7.20	%		-2.24	%

	Balanced Series												Frontier Select Series (4)
	Class 1			Class 2			Class 2a			Class 3a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2012	$	116.32		$	149.20		$	124.36		$	123.96		$	78.66		$	99.55
Net operating results:
Interest income		0.08			0.10			0.08			0.08			0.60			0.77
Expenses		(3.10	)		(1.83	)		(1.53	)		(1.52	)		(2.66	)		(1.88	)
Net gain/(loss) on investments, net of non-controlling interests		(8.41	)		(10.93	)		(8.22	)		(8.21	)		4.41			5.60
Net income/(loss)		(11.43	)		(12.66	)		(9.67	)		(9.65	)		2.35			4.49
Net asset value, June 30, 2013	$	104.89		$	136.54		$	114.69		$	114.31		$	81.01		$	104.04
Ratios to average net assets (3)
Net investment income/(loss) (8)		-4.96	%		-1.98	%		-1.98	%		-1.98	%		-5.14	%		-2.17	%
Expenses before incentive fees (6)		4.73	%		1.76	%		1.76	%		1.76	%		6.64	%		3.67	%
Expenses after incentive fees (6)		5.09	%		2.12	%		2.12	%		2.12	%		6.64	%		3.67	%
Total return before incentive fees (2)		-9.47	%		-8.12	%		-7.42	%		-7.42	%		2.99	%		4.51	%
Total return after incentive fees (2)		-9.83	%		-8.49	%		-7.78	%		-7.78	%		2.99	%		4.51	%

	Winton Series						Frontier Heritage Series (5)
	Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2012	$	130.73		$	158.30		$	94.55		$	120.67
Net operating results:
Interest income		0.68			0.83			0.37			0.47
Expenses		(4.23	)		(2.71	)		(2.92	)		(1.86	)
Net gain/(loss) on investments, net of non-controlling interests		5.63			6.77			6.08			7.76
Net income/(loss)		2.08			4.89			3.53			6.37
Net asset value, June 30, 2013	$	132.81		$	163.19		$	98.08		$	127.04
Ratios to average net assets (3)
Net investment income/(loss) (8)		-5.26	%		-2.29	%		-5.15	%		-2.18	%
Expenses before incentive fees (6)		6.26	%		3.29	%		5.89	%		2.92	%
Expenses after incentive fees (6)		6.26	%		3.29	%		5.89	%		2.92	%
Total return before incentive fees (2)		1.59	%		3.09	%		3.73	%		5.28	%
Total return after incentive fees (2)		1.59	%		3.09	%		3.73	%		5.28	%

(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) Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling interest transactions. 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 Tiverton/Graham/Transtrend Series.

(5) Formerly the Winton/Graham Series.

(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.

(7) Class 3a operations began June 17, 2013

(8) Includes the effect of incentive fees recorded during the period.

45

	Frontier Diversified Series						Frontier Masters Series						Frontier Long/Short Commodity Series (7)
	Class 1			Class 2			Class 1			Class 2			Class 2			Class 3			Class 1a			Class 2a			Class 3a
Per unit operating performance (1)
Net asset value, March 31, 2013	$	93.21		$	99.64		$	101.64		$	108.60		$	145.11		$	145.14		$	107.97		$	115.29		$	109.60
Net operating results:
Interest income		0.42			0.45			0.47			0.50			0.90			0.90			0.67			0.71			0.68
Expenses		(1.43	)		(0.97	)		(1.83	)		(1.38	)		(2.43	)		(2.43	)		(1.81	)		(1.94	)		(1.83	)
Net gain/(loss) on investments, net of non-controlling interests		(6.65	)		(7.27	)		(5.54	)		(6.01	)		(9.12	)		(9.12	)		(6.93	)		(6.92	)		(1.30	)
Net income/(loss)		(7.66	)		(7.79	)		(6.90	)		(6.89	)		(10.65	)		(10.65	)		(8.07	)		(8.15	)		(2.45	)
Net asset value, June 30, 2013	$	85.55		$	91.85		$	94.74		$	101.71		$	134.46		$	134.49		$	99.90		$	107.14		$	107.15
Ratios to average net assets (3)
Net investment income/(loss) (8)		-4.36	%		-2.09	%		-5.37	%		-3.25	%		-4.34	%		-4.34	%		-4.34	%		-4.34	%		-4.34	%
Expenses before incentive fees (6)		6.15	%		3.89	%		7.22	%		5.10	%		6.87	%		6.87	%		6.87	%		6.87	%		6.87	%
Expenses after incentive fees (6)		6.15	%		3.89	%		7.22	%		5.10	%		6.87	%		6.87	%		6.87	%		6.87	%		6.87	%
Total return before incentive fees (2)		-8.22	%		-7.82	%		-6.79	%		-6.34	%		-7.34	%		-7.34	%		-7.47	%		-7.07	%		-2.24	%
Total return after incentive fees (2)		-8.22	%		-7.82	%		-6.79	%		-6.34	%		-7.34	%		-7.34	%		-7.47	%		-7.07	%		-2.24	%

	Balanced Series												Frontier Select Series (4)
	Class 1			Class 2			Class 2a			Class 3a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, March 31, 2013	$	114.20		$	147.55		$	123.46		$	123.05		$	81.86		$	104.35
Net operating results:
Interest income		0.05			0.06			0.05			0.05			0.31			0.40
Expenses		(1.61	)		(0.98	)		(0.82	)		(0.82	)		(1.26	)		(0.82	)
Net gain/(loss) on investments, net of non-controlling interests		(7.75	)		(10.09	)		(8.00	)		(7.97	)		0.10			0.11
Net income/(loss)		(9.31	)		(11.01	)		(8.77	)		(8.74	)		(0.85	)		(0.31	)
Net asset value, June 30, 2013	$	104.89		$	136.54		$	114.69		$	114.31		$	81.01		$	104.04
Ratios to average net assets (3)
Net investment income/(loss) (8)		-4.80	%		-1.79	%		-1.79	%		-1.79	%		-4.64	%		-1.63	%
Expenses before incentive fees (6)		4.75	%		1.73	%		1.73	%		1.73	%		6.15	%		3.14	%
Expenses after incentive fees (6)		4.98	%		1.96	%		1.96	%		1.96	%		6.15	%		3.14	%
Total return before incentive fees (2)		-7.92	%		-7.23	%		-6.87	%		-6.87	%		-1.04	%		-0.30	%
Total return after incentive fees (2)		-8.15	%		-7.46	%		-7.10	%		-7.10	%		-1.04	%		-0.30	%
Incentive fee per share		0.26			0.34			0.28			0.28			—			—
Incentive Fee to ANA		0.23	%		0.23	%		0.23	%		0.23	%		0.00	%		0.00	%

	Winton Series						Frontier Heritage Series (5)
	Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, March 31, 2013	$	136.53		$	166.52		$	101.63		$	130.65
Net operating results:
Interest income		0.32			0.39			0.19			0.24
Expenses		(2.20	)		(1.42	)		(1.35	)		(0.76	)
Net gain/(loss) on investments, net of non-controlling interests		(1.84	)		(2.30	)		(2.39	)		(3.09	)
Net income/(loss)		(3.72	)		(3.33	)		(3.55	)		(3.61	)
Net asset value, June 30, 2013	$	132.81		$	163.19		$	98.08		$	127.04
Ratios to average net assets (3)
Net investment income/(loss) (8)		-5.45	%		-2.45	%		-4.59	%		-1.57	%
Expenses before incentive fees (6)		6.37	%		3.37	%		5.34	%		2.32	%
Expenses after incentive fees (6)		6.37	%		3.37	%		5.34	%		2.32	%
Total return before incentive fees (2)		-2.72	%		-2.00	%		-3.49	%		-2.76	%
Total return after incentive fees (2)		-2.72	%		-2.00	%		-3.49	%		-2.76	%
Incentive fee per share		—			—			—			—
Incentive Fee to ANA		0.00	%		0.00	%		0.00	%		0.00	%

(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) Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling interest transactions. 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 Tiverton/Graham/Transtrend Series.

(5) Formerly the Winton/Graham Series.

(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.

(7) Class 3a operations began June 17, 2013.

(8) Includes the effect of incentive fees recorded during the period.

46

	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, 2011	$	99.40		$	103.96		$	100.25		$	104.83		$	136.13		$	161.97		$	161.96		$	121.71		$	127.23
Net operating results:
Interest income		0.87			0.91			1.00			1.05			1.35			1.64			1.64			1.23			1.29
Expenses		(4.23	)		(3.30	)		(3.80	)		(2.83	)		(6.62	)		(6.25	)		(6.25	)		(6.02	)		(4.92	)
Net gain/(loss) on investments, net of non-controlling interests		1.56			1.42			4.59			4.60			(2.79	)		(3.16	)		(3.17	)		(1.66	)		(2.06	)
Net income/(loss)		(1.80	)		(0.97	)		1.79			2.82			(8.06	)		(7.77	)		(7.78	)		(6.45	)		(5.69	)
Net asset value, June 30, 2012	$	97.60		$	102.99		$	102.04		$	107.65		$	128.07		$	154.20		$	154.18		$	115.26		$	121.54
Ratios to average net assets (3)
Net investment income/(loss) (7)		-5.58	%		-3.39	%		-5.62	%		-3.42	%		-7.15	%		-5.07	%		-5.07	%		-7.27	%		-5.08	%
Expenses before incentive fees (6)		6.08	%		3.90	%		7.31	%		5.12	%		8.47	%		6.42	%		6.43	%		8.62	%		6.44	%
Expenses after incentive fees (6)		7.34	%		5.16	%		7.63	%		5.44	%		9.15	%		7.11	%		7.11	%		9.30	%		7.12	%
Total return before incentive fees (2)		-0.55	%		0.33	%		2.10	%		3.01	%		-5.24	%		-4.12	%		-4.12	%		-4.62	%		-3.79	%
Total return after incentive fees (2)		-1.81	%		-0.93	%		1.79	%		2.69	%		-5.92	%		-4.80	%		-4.80	%		-5.30	%		-4.47	%

	Balanced Series															Frontier Select Series (4)
	Class 1			Class 1a			Class 2			Class 2a			Class 3a			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
Net operating results:
Interest income		0.10			0.08			0.12			0.10			0.10			0.21			0.26
Expenses		(4.68	)		(4.00	)		(3.57	)		(2.93	)		(2.97	)		(3.33	)		(2.50	)
Net gain/(loss) on investments, net of non-controlling interests		2.73			3.60			3.44			3.47			3.05			(1.61	)		(2.56	)
Net income/(loss)		(1.85	)		(0.32	)		(0.01	)		0.64			0.18			(4.73	)		(4.80	)
Net asset value, June 30, 2012	$	122.65		$	108.13		$	155.01		$	128.99		$	128.54		$	86.29		$	107.04
Ratios to average net assets (3)
Net investment income/(loss) (7)		-6.08	%		-5.99	%		-3.11	%		-3.10	%		-3.12	%		-6.77	%		-3.89	%
Expenses before incentive fees (6)		4.86	%		4.77	%		1.90	%		1.88	%		1.91	%		7.07	%		4.19	%
Expenses after incentive fees (6)		6.23	%		6.14	%		3.27	%		3.25	%		3.28	%		7.23	%		4.35	%
Total return before incentive fees (2)		-0.11	%		1.08	%		1.37	%		1.87	%		1.51	%		-5.04	%		-4.13	%
Total return after incentive fees (2)		-1.49	%		-0.30	%		-0.01	%		0.50	%		0.14	%		-5.20	%		-4.29	%

	Winton Series						Frontier Heritage Series (5)
	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		0.74			0.88			0.20			0.25
Expenses		(4.09	)		(2.40	)		(4.12	)		(3.20	)
Net gain/(loss) on investments, net of non-controlling interests		(6.06	)		(7.18	)		(4.76	)		(5.97	)
Net income/(loss)		(9.41	)		(8.70	)		(8.68	)		(8.92	)
Net asset value, June 30, 2012	$	131.72		$	157.12		$	96.05		$	120.78
Ratios to average net assets (3)
Net investment income/(loss) (7)		-4.78	%		-1.85	%		-7.54	%		-4.59	%
Expenses before incentive fees (6)		5.84	%		2.92	%		7.93	%		4.98	%
Expenses after incentive fees (6)		5.84	%		2.92	%		7.93	%		4.98	%
Total return before incentive fees (2)		-6.67	%		-5.25	%		-8.29	%		-6.88	%
Total return after incentive fees (2)		-6.67	%		-5.25	%		-8.29	%		-6.88	%

(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) Impact of incentive fee computed using average net assets, otherwise computed using average units 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 Tiverton/Graham/Transtrend Series.

(5) Formerly the Winton/Graham Series.

(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.

(7) Includes the effect of incentive fees recorded during the period.

47

	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, March 31, 2012	$	95.23		$	100.04		$	100.95		$	106.02		$	134.21		$	160.88		$	160.87		$	120.55		$	126.57
Net operating results:
Interest income		0.42			0.44			0.49			0.52			0.67			0.81			0.81			0.60			0.63
Expenses		(2.75	)		(2.32	)		(1.97	)		(1.50	)		(3.65	)		(3.52	)		(3.52	)		(3.28	)		(2.77	)
Net gain/(loss) on investments, net of non-controlling interests		4.70			4.83			2.57			2.61			(3.16	)		(3.97	)		(3.98	)		(2.61	)		(2.89	)
Net income/(loss)		2.37			2.95			1.09			1.63			(6.14	)		(6.68	)		(6.69	)		(5.29	)		(5.03	)
Net asset value, June 30, 2012	$	97.60		$	102.99		$	102.04		$	107.65		$	128.07		$	154.20		$	154.18		$	115.26		$	121.54
Ratios to average net assets (3)
Net investment income/(loss) (7)		-5.81	%		-3.52	%		-5.38	%		-3.24	%		-7.19	%		-5.06	%		-5.06	%		-7.21	%		-5.06	%
Expenses before incentive fees (6)		6.31	%		4.02	%		7.19	%		5.05	%		8.61	%		6.49	%		6.49	%		8.64	%		6.49	%
Expenses after incentive fees (6)		7.59	%		5.30	%		7.34	%		5.21	%		9.19	%		7.07	%		7.07	%		9.22	%		7.07	%
Total return before incentive fees (2)		3.77	%		4.23	%		1.24	%		6.79	%		-3.99	%		-3.57	%		-3.58	%		-3.81	%		-3.39	%
Total return after incentive fees (2)		2.49	%		2.95	%		1.08	%		1.54	%		-4.57	%		-4.15	%		-4.16	%		-4.39	%		-3.97	%

	Balanced Series															Frontier Select Series (4)
	Class 1			Class 1a			Class 2			Class 2a			Class 3a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, March 31, 2012	$	119.12		$	103.87		$	149.44		$	123.84		$	123.85		$	89.63		$	110.92
Net operating results:
Interest income		0.02			0.02			0.02			0.02			0.02			0.17			0.21
Expenses		(3.14	)		(2.73	)		(2.80	)		(2.32	)		(2.32	)		(1.86	)		(1.52	)
Net gain/(loss) on investments, net of non-controlling interests		6.65			6.97			8.35			7.45			6.99			(1.65	)		(2.57	)
Net income/(loss)		3.53			4.26			5.57			5.15			4.69			(3.34	)		(3.88	)
Net asset value, June 30, 2012	$	122.65		$	108.13		$	155.01		$	128.99		$	128.54		$	86.29		$	107.04
Ratios to average net assets (3)
Net investment income/(loss) (7)		-6.33	%		-6.31	%		-3.24	%		-3.24	%		-3.24	%		-7.07	%		-4.24	%
Expenses before incentive fees (6)		5.06	%		5.04	%		1.97	%		1.97	%		1.97	%		7.65	%		4.83	%
Expenses after incentive fees (6)		6.40	%		6.37	%		3.30	%		3.30	%		3.31	%		7.82	%		5.00	%
Total return before incentive fees (2)		4.30	%		5.44	%		5.06	%		5.49	%		5.12	%		-3.56	%		-3.33	%
Total return after incentive fees (2)		2.96	%		4.10	%		3.73	%		4.16	%		3.79	%		-3.73	%		-3.50	%

	Winton Series						Frontier Heritage Series (5)
	Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, March 31, 2012	$	138.00		$	163.35		$	104.37		$	130.23
Net operating results:
Interest income		0.38			0.46			0.12			0.16
Expenses		(2.02	)		(1.20	)		(2.07	)		(1.65	)
Net gain/(loss) on investments, net of non-controlling interests		(4.64	)		(5.49	)		(6.37	)		(7.96	)
Net income/(loss)		(6.28	)		(6.23	)		(8.32	)		(9.45	)
Net asset value, June 30, 2012	$	131.72		$	157.12		$	96.05		$	120.78
Ratios to average net assets (3)
Net investment income/(loss) (7)		-4.75	%		-1.82	%		-7.48	%		-4.59	%
Expenses before incentive fees (6)		5.87	%		2.94	%		7.96	%		5.07	%
Expenses after incentive fees (6)		5.87	%		2.94	%		7.96	%		5.07	%
Total return before incentive fees (2)		-4.55	%		-3.81	%		-7.97	%		-7.26	%
Total return after incentive fees (2)		-4.55	%		-3.81	%		-7.97	%		-7.26	%

(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) Impact of incentive fee computed using average net assets, otherwise computed using average units 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 Tiverton/Graham/Transtrend Series.

(5) Formerly the Winton/Graham Series.

(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.

(7) Includes the effect of incentive fees recorded during the period.

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 June 30, 2013 and December 31, 2012 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to each Series’ position in swap contracts.

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

For The Three Months Ended June 30, 2013

Monthly average contracts:	Bought		Sold
Frontier Long/Short Commodity Series		3,670		3,741
Balanced Series		6,978		7,692

For The Six Months Ended June 30, 2013

Monthly average contracts:	Bought		Sold
Frontier Long/Short Commodity Series		7,163		7,146
Balanced Series		15,942		16,826
Diversified Series		8		29

48

For The Three Months Ended June 30, 2012

Monthly average contracts:	Bought		Sold
Frontier Long/Short Commodity Series		4,900		5,200
Balanced Series		22,800		24,800
Frontier Masters Series		600		850

For The Six Months Ended June 30, 2012

Monthly average contracts:	Bought		Sold
Frontier Long/Short Commodity Series		9,500		10,800
Balanced Series		19,300		22,300
Diversified Series		900		700

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2013

	Frontier Long/Short
Type of contract	Commodity Series			Balanced Series			Diversified Series
Metals	$	32,204		$	7,011,103		$	(141,927	)
Currencies		(609,122	)		(1,953,068	)		—
Energies		1,049,306			(4,808,497	)		—
Agriculturals		(351,544	)		(2,116,456	)		—
Interest rates		1,441,317			2,643,275			—
Stock indices		222,432			4,059,147			—
Realized trading income/(loss)(2)	$	1,784,593		$	4,835,504		$	(141,927	)

Realized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2013

	Frontier Long/Short
Type of contract	Commodity Series			Balanced Series			Diversified Series
Metals	$	(843,216	)	$	4,284,296		$	(630,122	)
Currencies		718,813			(2,263,103	)		1,300,655
Energies		(2,647,045	)		(4,777,890	)		(3,465	)
Agriculturals		(520,986	)		(3,589,227	)		8,936
Interest rates		1,679,296			(10,548,944	)		(88,186	)
Stock indices		1,482,150			14,019,704			146,263
Realized trading income/(loss)(2)	$	(130,988	)	$	(2,875,164	)	$	734,081

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

for the Three Months Ended June 30, 2013

	Frontier Long/Short
Type of contract	Commodity Series			Balanced Series			Diversified Series
Metals	$	(96,233	)	$	1,695,301		$	141,927
Currencies		95,841			(2,201,380	)		—
Energies		(3,316,552	)		(326,412	)		—
Agriculturals		(34,697	)		891,699			—
Interest rates		(1,436,420	)		(1,783,752	)		—
Stock indices		(61,201	)		845,525			—
Change in unrealized trading income/(loss)(3)	$	(4,849,262	)	$	(879,019	)	$	141,927

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

for the Six Months Ended June 30, 2013

	Frontier Long/Short
Type of contract	Commodity Series			Balanced Series			Diversified0 Series
Metals	$	256,087		$	4,059,514		$	608,392
Currencies		(211,781	)		(2,768,785	)		(1,191,389	)
Energies		(1,720,406	)		(1,656,463	)		2,210
Agriculturals		407,787			506,151			(21,226	)
Interest rates		(1,751,060	)		(344,748	)		79,060
Stock indices		(371,297	)		1,404,334			(43,824	)
Change in unrealized trading income/(loss)(3)	$	(3,390,670	)	$	1,200,003		$	(566,777	)

49

(1) The Frontier Diversified Series, Frontier Masters Series, Frontier Select Series (formerly known as Tiverton/Graham/Transtrend), Frontier Winton Series, and Frontier Heritage Series (formerly known as Winton/Graham Series) participate in trading activities through equity in earnings/(loss) from trading companies. The Diversified Series began consolidating the Frontier Trading Company V as of March 8, 2013.

(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 Three Months Ended June 30, 2012 ⁽¹⁾

	Frontier Masters			Frontier Long/Short
Type of contract	Series			Commodity Series			Balanced Series
Metals	$	99,291		$	(1,677,876	)	$	2,332,233
Currencies		(473,164	)		(235,066	)		(2,388,145	)
Energies		14,790			34,352,451			(4,231,063	)
Agriculturals		425,957			2,686,329			(520,012	)
Interest rates		2,859,124			2,176,263			27,168,392
Stock indices		(779,039	)		(1,724,817	)		(4,630,679	)
Realized trading income/(loss)(2)	$	2,146,959		$	35,577,284		$	17,730,726

Realized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2012 ⁽¹⁾

	Frontier Masters			Frontier Long/Short
Type of contract	Series			Commodity Series			Balanced Series
Metals	$	816,013		$	(20,393,846	)	$	430,705
Currencies		(147,672	)		(8,733,333	)		(3,251,701	)
Energies		181,404			30,002,301			(4,673,106	)
Agriculturals		689,127			(4,184,798	)		(1,218,225	)
Interest rates		3,335,231			(10,254,458	)		25,905,238
Stock indices		(1,435,950	)		15,426,518			(2,887,837	)
Realized trading income/(loss)(2)	$	3,438,153		$	1,862,384		$	14,305,074

50

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

for the Three Months Ended June 30, 2012 ⁽¹⁾

	Frontier Long/Short			Frontier Masters
Type of contract	Commodity Series			Series			Balanced Series
Metals	$	73,309		$	1,459,679		$	1,533,584
Currencies		126,798			(264,914	)		3,530,131
Energies		(530,107	)		(37,248,330	)		(708,342	)
Agriculturals		(200,335	)		2,054,984			(1,493,002	)
Interest rates		(98,472	)		(2,523,016	)		1,398,865
Stock indices		105,906			645,276			633,403
Change in unrealized trading income/(loss)(3)		(522,901	)	$	(35,876,321	)	$	4,894,639

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

for the Six Months Ended June 30, 2012 ⁽¹⁾

	Frontier Masters			Frontier Long/Short
Type of contract	Series			Commodity Series			Balanced Series
Metals	$	31,892		$	5,226,482		$	1,233,499
Currencies		(72,360	)		17,848,325			2,087,126
Energies		(601,387	)		(30,765,512	)		(1,224,801	)
Agriculturals		(222,467	)		4,067,889			(1,653,362	)
Interest rates		(84,647	)		(3,780,373	)		1,499,033
Stock indices		100,587			1,129,051			594,863
Change in unrealized trading income/(loss)(3)		(848,382	)	$	(6,274,138	)	$	2,536,358

(1) The Frontier Diversified Series, Frontier Select Sereis (formerly known as Tiverton/Graham/Transtrend Series), Frontier Heritage Series (formerly known as Winton/Graham Series) and Winton Series participate in trading activities through equity in earnings/(loss) from trading companies. The Frontier Long/Short Commodity Series consolidated Frontier Trading Company XVIII as of May 15, 2012 and the Balanced Series consolidated the Frontier Trading Company XVIII prior to May 15, 2012. The Balanced Series consolidated Frontier Trading Company XIV, LLC as of June 20, 2011 and Frontier Trading Company VI, LLC as of April 18, 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.

Certain financial instruments and derivative instruments are eligible for offset in the statements of financial condition under U.S. GAAP. The Series’ open trade equity/(deficit), options written, and receivable from Futures Commissions Merchants are subject to master netting arrangements and collateral arrangements and meet the U.S. GAAP guidance to qualify for offset. A master netting arrangement with a counterparty creates a right of offset for amounts due to and from that same counterparty that is enforceable in the event of a default or bankruptcy. The Series’ policy is to recognize amounts subject to master netting arrangements on a net basis on the statements of financial condition.

51

The following tables present gross and net information about the Series’ assets and liabilities subject to master netting arrangements as disclosed on the statements of financial condition as of June 30, 2013 and December 31, 2012.

Offsetting of Derivative Assets and Liabilities

As of June 30, 2013

	Gross Amounts of recognized Derivative Assets		Gross Amounts of recognized Derivative Liabilities			Net Amounts of Derivative Assets and Liabilities Presented in the Statements of Financial Condition
Frontier Long/Short Commodity Series
Open Trade Equity/(Deficit)	$	12,043,993	$	(14,751,210	)	$	(2,707,217	)
Options Written		—		(320,050	)		(320,050	)
Receivable from Futures Commissions Merchants		21,217,269		(7,074,763	)		14,142,506
Balanced Series
Open Trade Equity/(Deficit)	$	4,962,501	$	(4,525,623	)	$	436,878
Options Written		—		(144,318	)		(144,318	)
Receivable from Futures Commissions Merchants		27,807,069		(5,787,760	)		22,019,309

As of December 31, 2012

	Gross Amounts of recognized Derivative Assets		Gross Amounts of recognized Derivative Liabilities			Net Amounts of Derivative Assets and Liabilities Presented in the Statements of Financial Condition
Frontier Long/Short Commodity Series
Open Trade Equity/(Deficit)	$	3,314,175	$	(4,133,710	)	$	(819,535	)
Options Written		—		(928,690	)		(928,690	)
Receivable from Futures Commissions Merchants		22,276,098		(7,505,125	)		14,770,973
Balanced Series
Open Trade Equity/(Deficit)	$	4,215,436	$	(4,887,947	)	$	(672,511	)
Options Written		—		(165,363	)		(165,363	)
Receivable from Futures Commissions Merchants		98,277,094		(6,233,501	)		92,043,593

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.

52

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. Maximum exposure is unfulfilled obligations of the Series up to the amount of equity at risk with UBS of the referenced Series as allocated from the Trading Company. The Series have not recorded any liability for the guarantees in the accompanying financial statements as it expects any possibility of losses 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. The Series have not recorded any liability for the indemnifications in the accompanying financial statement, as it expects any possibility of losses to be remote.

11. Subsequent Events

None.

53

The Frontier Fund

Consolidated Statements of Financial Condition

June 30, 2013 and December 31, 2012

	6/30/2013		12/31/2012
	(unaudited)
ASSETS
Cash and cash equivalents	$	5,194,516	$	17,094,782
U.S. Treasury securities, at fair value		—		18,001,322
Custom time deposits		269,529,099		311,468,033
Receivable from futures commission merchants		106,016,204		148,029,229
Open trade equity, at fair value		8,452,103		12,116,649
Swap contracts, at fair value		21,876,339		22,289,479
Prepaid service fees		73,666		140,203
Interest receivable		609		251,630
Receivables from related parties		161,795		—
Other assets		50		35,043
Total Assets	$	411,304,381	$	529,426,370
LIABILITIES & CAPITAL
LIABILITIES
Written options, at fair value	$	2,376,367	$	4,199,198
Pending owner additions		41,064		160,672
Owner redemptions payable		1,994,477		1,430,638
Incentive fees payable to Managing Owner		—		732,119
Management fees payable to Managing Owner		698,964		1,003,663
Interest payable to Managing Owner		463,436		569,115
Trading fees payable to Managing Owner		487,886		602,333
Service fees payable to Managing Owner		502,668		652,500
Payables to related parties		33,137		38,925
Other liabilities		11,411		51,484
Total Liabilities		6,609,410		9,440,647
CAPITAL
Managing Owner Units		5,790,819		6,287,766
Limited Owner Units		398,904,152		513,697,957
Total Capital		404,694,971		519,985,723
Total Liabilities and Capital	$	411,304,381	$	529,426,370

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

54

The Frontier Fund

Consolidated Condensed Schedule of Investments

June 30, 2013 (Unaudited)

Description	Value			% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various base metals futures contracts (Europe)	$	261,145			0.06	%
Various base metals futures contracts (U.S.)		33,680			0.01	%
Various currency futures contracts (Far East)		(1,334	)		0.00	%
Various currency futures contracts (U.S.)		(1,533,630	)		-0.38	%
Various energy futures contracts (U.S.)		(2,119,324	)		-0.52	%
Various interest rates futures contracts (Canada)		14,022			0.00	%
Various interest rates futures contracts (Europe)		(1,792,323	)		-0.44	%
Various interest rates futures contracts (Far East)		1,760			0.00	%
Various interest rates futures contracts (Oceanic)		1,316			0.00	%
Various interest rates futures contracts (U.S.)		(2,667,730	)		-0.66	%
Various precious metal futures contracts (U.S.)		110,360			0.03	%
Various soft futures contracts (Canada)		(3,489	)		0.00	%
Various soft futures contracts (Europe)		13,439			0.00	%
Various soft futures contracts (Far East)		(45,996	)		-0.01	%
Various soft futures contracts (U.S.)		(1,092,693	)		-0.27	%
Various stock index futures contracts (Canada)		(1,084	)		0.00	%
Various stock index futures contracts (Europe)		43,033			0.01	%
Various stock index futures contracts (Far East)		309,033			0.08	%
Various stock index futures contracts (Oceanic)		(822	)		0.00	%
Various stock index futures contracts (U.S.)		(592,604	)		-0.15	%
Total Long Futures Contracts	$	(9,063,241	)		-2.24	%
OPTIONS PURCHASED *
Various base metals futures contracts (Europe)	$	6,668,785			1.65	%
Various currency futures contracts (U.S.)		557,680			0.14	%
Various energy futures contracts (U.S.)		1,263,194			0.31	%
Various soft futures contracts (U.S.)		1,358,386			0.34	%
Various stock index futures contracts (U.S.)		1,660,224			0.41	%
Total Options Purchased	$	11,508,269			2.85	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (Europe)	$	4,307,692			1.06	%
Various base metals futures contracts (U.S.)		121,363			0.03	%
Various currency futures contracts (U.S.)		2,193,961			0.54	%
Various energy futures contracts (Europe)		14,559			0.00	%
Various energy futures contracts (U.S.)		(1,684,351	)		-0.42	%
Various interest rates futures contracts (Canada)		53,986			0.01	%
Various interest rates futures contracts (Europe)		(305,931	)		-0.08	%
Various interest rates futures contracts (Far East)		(7,595	)		0.00	%
Various interest rates futures contracts (Oceanic)		(68,115	)		-0.02	%
Various interest rates futures contracts (U.S.)		696,049			0.17	%
Various precious metal futures contracts (U.S.)		4,055,710			1.00	%
Various soft futures contracts (Canada)		557			0.00	%
Various soft futures contracts (Europe)		147,116			0.04	%
Various soft futures contracts (U.S.)		2,119,822			0.52	%
Various stock index futures contracts (Africa)		6,481			0.00	%
Various stock index futures contracts (Canada)		323			0.00	%
Various stock index futures contracts (Europe)		(126,473	)		-0.03	%
Various stock index futures contracts (Far East)		(267,090	)		-0.07	%
Various stock index futures contracts (Oceanic)		(16,472	)		0.00	%
Various stock index futures contracts (U.S.)		(111,945	)		-0.03	%
Total Short Futures Contracts	$	11,129,647			2.72	%
CURRENCY FORWARDS *
Various currency forward contracts	$	(5,122,572	)		-1.27	%
Total Currency Forwards	$	(5,122,572	)		-1.27	%
Total Open Trade Equity	$	8,452,103			2.06	%
OPTIONS WRITTEN *
Various base metals futures contracts (Europe)	$	(1,126,947	)		-0.28	%
Various currency futures contracts (U.S.)		(82,650	)		-0.02	%
Various energy futures contracts (U.S.)		(56,030	)		-0.01	%
Various precious metal futures contracts (U.S.)		(421,920	)		-0.10	%
Various soft futures contracts (U.S.)		(364,460	)		-0.09	%
Various stock index futures contracts (U.S.)		(324,360	)		-0.08	%
Total Options Written	$	(2,376,367	)		-0.58	%
SWAPS (1)
Frontier Balanced RCW-1 Swap	$	16,811,679			4.15	%
Frontier Brevan Howard DB Swap		5,064,660			1.25	%
Total Swaps	$	21,876,339			5.40	%

* Except for those items discloses, 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 will not presented.

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

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

55

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	%
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		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 the Consolidated Financial Statements, Note 4.

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

56

The Frontier Fund

Consolidated Statements of Operations

For the Three Months Ended June 30, 2013 and June 30, 2012 (Unaudited)

	6/30/2013			6/30/2012
Investment income:
Interest - net	$	1,264,444		$	1,406,920
Total Income		1,264,444			1,406,920
Expenses:
Incentive Fees		433,445			5,389,883
Management Fees		2,224,373			3,290,628
Service Fees - Class 1		1,979,570			2,631,478
Trading Fees		1,585,219			1,983,352
Total Expenses		6,222,607			13,295,341
Investment income/(loss) - net		(4,958,163	)		(11,888,421	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(16,977,918	)		49,258,596
Net change in open trade equity/(deficit)		(3,856,110	)		(32,606,226	)
Net realized gain/(loss) on swap contracts		(1,908,743	)		—
Net unrealized gain/(loss) on swap contracts		231,605			682,682
Net realized gain/(loss) on U.S. Treasury securities		—			491,966
Net unrealized gain/(loss) on U.S. Treasury securities		—			(649,773	)
Trading commissions		(1,642,520	)		(2,214,178	)
Net realized gain/(loss) on investment in Berkeley Quantitative Colorado Fund LLC		—			—
Net unrealized gain/(loss) on investment in Berkeley Quantitative Colorado Fund LLC		—			3,894
Net gain/(loss) on investments		(24,153,686	)		14,966,961
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	(29,111,849	)	$	3,078,540

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

57

The Frontier Fund

Consolidated Statements of Operations

For the Six Months Ended June 30, 2013 and June 30, 2012 (Unaudited)

	6/30/2013			6/30/2012
Investment income:
Interest - net	$	2,562,817		$	2,957,625
Total Income		2,562,817			2,957,625
Expenses:
Incentive Fees		889,025			5,673,583
Management Fees		4,727,150			6,567,116
Service Fees - Class 1		4,067,740			5,439,667
Trading Fees		3,251,764			4,031,386
Total Expenses		12,935,679			21,711,752
Investment income/(loss) - net		(10,372,862	)		(18,754,127	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(12,672,241	)		19,524,518
Net change in open trade equity/(deficit)		(1,136,263	)		(11,078,556	)
Net realized gain/(loss) on swap contracts		(1,908,743	)		(525,237	)
Net unrealized gain/(loss) on swap contracts		(163,140	)		1,278,911
Net realized gain/(loss) on U.S. Treasury securities		1,078,008			854,738
Net unrealized gain/(loss) on U.S. Treasury securities		(1,154,477	)		(1,658,750	)
Trading commissions		(2,897,887	)		(4,136,787	)
Net realized gain/(loss) on investment in Berkeley Quantitative Colorado Fund LLC		—			(2,172,987	)
Net unrealized gain/(loss) on investment in Berkeley Quantitative Colorado Fund LLC		—			2,084,880
Net gain/(loss) on investments		(18,854,743	)		4,170,730
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	(29,227,605	)	$	(14,583,397	)

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

58

The Frontier Fund

Consolidated Statement of Changes in Owners’ Capital

For the Six Months Ended June 30, 2013 (Unaudited)

	Managing Owner			Limited Owners			Total
Owners’ Capital, December 31, 2012	$	6,287,766		$	513,697,957		$	519,985,723
Sale of Units		61,988			5,880,903			5,942,891
Redemption of Units		(61,990	)		(91,944,048	)		(92,006,038	)
Net increase/(decrease) in Owners’ Capital resulting from operations		(496,945	)		(28,730,660	)		(29,227,605	)
Owners’ Capital, June 30, 2013	$	5,790,819		$	398,904,152		$	404,694,971

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.

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The Frontier Fund

Consolidated Statements of Cash Flows

For the Six Months Ended June 30, 2013 and 2012

(Unaudited)

	2013			2012
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(29,227,605	)	$	(14,583,397	)
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		3,664,546			7,925,259
Net change in options written		(1,822,831	)		1,640,111
Net unrealized gain/(loss) on swap contracts		163,140			(1,278,911	)
Net realized gain/(loss) on swap contracts		1,908,743			525,237
Net unrealized gain/(loss) on U.S. Treasury securities		1,154,477			1,658,750
Net realized gain/(loss) on U.S. Treasuries securities		(1,078,008	)		(854,738	)
Net realized gain/(loss) on investment in Berkeley Colorado Quantitative Fund LLC		—			2,172,987
Net unrealized gain/loss on investment in Berkeley Colorado Quantitative Fund LLC		—			(2,084,880	)
(Purchases) sales of:
Sales of swap contracts		4,341,257			10,362
(Purchases) of swap contracts		(6,000,000	)		—
Sales of U.S. Treasury securities		17,924,853			37,817,176
Sales of custom time deposits		41,938,934			25,151,234
Interest rollover of custom time deposits		—			—
Sales of Berkeley Colorado Quantitative Fund LLC		—			6,182,737
Increase and/or decrease in:
Receivable from futures commission merchants		42,013,025			(29,230,081	)
Control of ownership of trading companies		—			—
Contributions to trading companies		—			—
Distributions from trading companies		—			—
Prepaid service fees		66,537			163,920
Interest receivable		251,021			533,154
Receivable from related parties		(161,795	)		(8,994	)
Other assets		34,993			(78,951	)
Incentive fees payable to Managing Owner		(732,119	)		3,557,713
Management fees payable to Managing Owner		(304,699	)		(108,704	)
Interest payable to Managing Owner		(105,679	)		(113,893	)
Trading fees payable to Managing Owner		(114,447	)		(34,619	)
Service fees payable to Managing Owner		(149,832	)		(79,800	)
Payables to related parties		(5,788	)		(1,733	)
Other liabilities		(40,073	)		50,882
Net cash provided by (used in) operating activities		73,718,650			38,930,821
Cash Flows from Financing Activities:
Proceeds from sale of capital		5,942,891			30,899,325
Payment for redemption of capital		(92,006,038	)		(68,073,443	)
Pending owner additions		(119,608	)		(157,508	)
Redemptions payable		563,839			(2,505,055	)
Net cash provided by (used in) financing activities		(85,618,916	)		(39,836,681	)
Net increase (decrease) in cash and cash equivalents		(11,900,266	)		(905,860	)
Cash and cash equivalents, beginning of period		17,094,782			27,452,803
Cash and cash equivalents, end of period	$	5,194,516		$	26,546,943

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

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The Frontier Fund

Notes to Consolidated Financial Statements (Unaudited)

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 eight (8) separate and distinct Series of Units issued and outstanding: Frontier Diversified Series, Frontier Masters Series, Frontier Long/Short Commodity Series, Balanced Series, Currency Series (ceased trading on April 18, 2013), Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), Winton Series, and Frontier Heritage Series (formerly Winton/Graham Series) (each a “Series” and collectively, the “Series”). 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;

• 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

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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 June 30, 2013, the Trust, with respect to the Frontier Diversified Series, Frontier Masters Series, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), Winton Series and Frontier Heritage Series (formerly 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 and custom time deposits. Each Series’ ownership in these investments is based on its percentage ownership in the pooled cash management assets on the reporting date.

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 Frontier Select Series (formerly 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.

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.

These financial statements should be read in conjunction with the audited financial statements and notes thereto included in our 2012 Annual Report on Form 10-K as filed with the SEC.

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 Frontier Select Series (formerly 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.

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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 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. All U.S. Treasury Securities have been liquidated as of June 30, 2013.

Custom Time Deposits—Custom time deposits are structured deposit agreements with U.S. Bank National Association that earn a guaranteed fixed interest rate between 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, November 2012, April 2013 and June 2013, the Trust, redeemed approximately $25 million, $25 million, $50 million $25 million, $16 million, $5 million and $35 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 $65 million of the 3.75% 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 iwas recognized in the period earned and the instruments were 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 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.

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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 as applicable to the classes maintained by the Series.

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.

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.

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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 Issued Accounting Pronouncements—In June of 2013, FASB issued ASU 2013-08 to (i) modify Topic 946 for determining whether an entity is an investment company; (ii) update the measurement requirements for noncontrolling interests in other investment companies; and (iii) require additional disclosures for investment companies under U.S. GAAP. This guidance is effective for annual and interim periods beginning on or after December 15, 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 financial positions or results of operations.

Recently Adopted Accounting Pronouncements—In December 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. FASB issued additional clarification to specify that the guidance applies only to derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset in accordance with specific criteria of the Codification or subject to a master netting arrangement or similar agreement. 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 and is discussed in Note 7.

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.

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Swap Contracts. Certain Series of the Trust strategically invest a portion or all of their assets in total return Swaps, selected at the direction of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical Swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. 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.

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 June 30, 2013 and December 31, 2012, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

June 30, 2013	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Open Trade Equity (Deficit)	$	13,574,675		$	(5,122,572	)	$	—	$	8,452,103
Swap Contracts		—			—			21,876,339		21,876,339
Written Options		—			(2,376,367	)		—		(2,376,367	)
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	)

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	For the Six Months Ended June 30, 2013
Balance of recurring Level 3 assets as of January 1, 2013	$	22,289,479
Total gains or losses (realized/unrealized):
Included in earnings-realized		(1,908,743	)
Included in earnings-unrealized		(163,140	)
Purchases of investments		6,000,000
Sales of investments		(4,341,257	)
Transfers in and/or out of Level 3		—
Balance of recurring Level 3 assets as of June 30, 2013	$	21,876,339
	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		(1,387,160	)
Purchases of investments		—
Sales of investments		(9,812	)
Transfers in and/or out of Level 3		—
Balance of recurring Level 3 assets as of December 31, 2012	$	22,289,479

The Trust assesses 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.

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 invested 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 June 30, 2013 and December 31, 2012, approximately 5.3% and 4.0%, 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.

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The Trust had invested in the following swaps as of and for the six months ended June 30, 2013:

	Total Return Swap			Balanced Series Option/Swap			Option
Counterparty		DeutscheBank			Societe Generale			DeutscheBank
Notional Amount	$	40,000,000		$	52,651,671		$	—
Termination Date		3/26/2018			11/21/2014			6/30/2016
Investee Returns		On Default			Total Returns			Total Returns
Realized Gain/(Loss)	$	—		$	—		$	(1,908,743	)
Unrealized Gain/(Loss)	$	(935,340	)	$	(974,054	)	$	1,746,254
Fair Value as of 6/30/13	$	5,064,660		$	16,811,679		$	—

The Trust had invested in the following swaps as of and for the year ended December 31, 2012:

	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)	$	(407,283	)	$	(117,954	)	$	—	$	—
Unrealized Gain/(Loss)	$	(215,874	)	$	117,954		$	78,977	$	(1,378,028	)
Fair Value as of 12/31/2012	$	—		$	—		$	17,785,733	$	4,503,745

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, 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 Frontier Heritage Series (formerly Winton/Graham Series) and Frontier Select Series (formerly 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, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), Winton Series and Frontier Heritage Series (formerly 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.

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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, Frontier Heritage Series (formerly Winton/Graham Series), Frontier Select Series (formerly Tiverton/Graham/Transtrend 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, Frontier Heritage Series (formerly Winton/Graham Series), Frontier Select Series (formerly 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 June 30, 2013, the Trust has a payable to the Managing Owner in the amounts of $0, $698,964, $463,436, $487,886 and $502,668 for incentive fees, management fees, interest, trading fees, and service fees, respectively.

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.

For the three months ended June 30, 2013, the Trust paid the Managing Owner $433,445, $2,224,373, $1,979,570 and $1,585,219 for incentive fees, management fees, service fees, and trading fees, respectively.

For the three months ended June 30, 2012, the Trust paid the Managing Owner $5,389,883, $3,290,628, $2,631,478 and $1,983,352 for incentive fees, management fees, service fees, and trading fees, respectively.

For the six months ended June 30, 2013, the Trust paid the Managing Owner $889,025, $4,727,150, $4,067,740 and $3,251,764 for incentive fees, management fees, service fees, and trading fees, respectively.

For the six months ended June 30, 2012, the Trust paid the Managing Owner $5,673,583, $6,567,116, $5,439,667 and $4,031,386 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 six months ended June 30, 2013 amounts paid or owed to the Managing Owner for the difference in monthly service fees from the prepaid initial service fees were ($1,574). 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, Select Series (formerly Berkeley/Graham/Tiverton Series), Currency Series and Frontier Heritage Series (formerly 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 three months ended June 30, 2013 and 2012 the Trust, with respect to the Series, paid $1,507,617 and $1,893,692, respectively, of such interest income to the Managing Owner. Such expenses are not included in the statements of operations of the Series. During the six months ended June 30, 2013 and 2012 the Trust, with respect to the Series, paid $3,089,699 and $3,907,894, respectively, of such interest income to the Managing Owner. Such expenses are not included in the statements of operations of the Series.

The Managing Owner 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 $77,196 and $465,830 for the three and six months ended June 30, 2012. As of April 20, 2012, the contract with The Bornhoft Group Corporation was amended to provide for an annual payment of $600,000 for investment and advisor services and 0.1% annually of the trading level with the Balanced Series in lieu of a monthly service fee. The Managing Owner paid $274,246 and $657,374, respectively under this agreement for the three and six months ended June 30, 2013. The Managing Owner paid $324,029 under this agreement for the three and six months ended June 30, 2012.

Equinox Financial Group, LLC, an affiliate of the Trust, provides management services for the Managing Owner who paid $430,000 and $680,000, respectively, for the three and six months ended June 30, 2013.

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Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $499,652 and $665,478, respectively, for the three months ended June 30, 2013 and 2012 and $1,047,744 and $1,365,020, respectively, for the six months ended June 30, 2013 and 2012.

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.

6. Financial Highlights

The following information presents the financial highlights of the Trust for the three and six months ended June 30, 2013 and 2012. This data has been derived from the information presented in the consolidated financial statements.

	2013			2012
Six Months Ended
Ratios to average net assets (1)
Net investment gain/(loss) (1)		-4.27	%		-5.26	%
Expenses before incentive fees (3)		-5.18	%		-5.31	%
Expenses after incentive fees (3)		-5.37	%		-6.24	%
Total return before incentive fees (2)		-6.04	%		-1.46	%
Total return after incentive fees (2)		-6.23	%		-2.39	%
	2013			2012
Three Months Ended
Ratios to average net assets (1)
Net investment gain/(loss) (1)		-4.19	%		-5.33	%
Expenses before incentive fees (3)		-5.23	%		-5.39	%
Expenses after incentive fees (3)		-5.33	%		-6.29	%
Total return before incentive fees (2)		-6.46	%		-1.42	%
Total return after incentive fees (2)		-6.56	%		-0.52	%

(1) Annualized with the exception of incentive fees.

(2) Total returns are not annualized.

(3) 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 footnore 5.

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 June 30, 2013 and December 31, 2012 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 three months ended June 30, 2013, the monthly average of futures contracts bought and sold was approximately 101,645 and 111,301, respectively. For the three months ended June 30, 2012, the monthly average of futures contracts bought and sold was approximately 29,700 and 33,800, respectively. For the six months ended June 30, 2013, the monthly average of futures contracts bought and sold was approximately 55,975 and 62,543, respectively. For the six months ended June 30, 2012, the monthly average of futures contracts bought and sold was approximately 28,300 and 30,850, respectively. The following tables summarize the trading revenues for the three and six months ended June 30, 2013 and 2012 by contract type:

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Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2013

Type of contract
Metals	$	10,793,629
Currencies		(14,334,634	)
Energies		(5,877,152	)
Agriculturals		(1,379,232	)
Interest rates		(10,154,625	)
Stock indices		3,974,096
Realized trading income/(loss)(1)	$	(16,977,918	)

Realized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2013

Type of contract
Metals	$	5,862,091
Currencies		(6,757,507	)
Energies		(11,446,766	)
Agriculturals		(3,168,381	)
Interest rates		(26,722,152	)
Stock indices		29,560,474
Realized trading income/(loss)(1)	$	(12,672,241	)

(1) Amounts recorded in the Consolidated Statements of Operations under net realized gain/(loss) on futures, forwards and options

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

for the Three Months Ended June 30, 2013

Type of contract
Metals	$	12,338,949
Currencies		(1,954,682	)
Energies		(5,026,396	)
Agriculturals		368,254
Interest rates		(8,205,502	)
Stock indices		(1,376,733	)
Change in unrealized trading income/(loss)(1)	$	(3,856,110	)

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

for the Six Months Ended June 30, 2013

Type of contract
Metals	$	15,894,969
Currencies		(5,658,782	)
Energies		(4,459,698	)
Agriculturals		1,278,153
Interest rates		(6,112,416	)
Stock indices		(2,078,489	)
Change in unrealized trading income/(loss)(1)	$	(1,136,263	)

(1) Amounts recorded in the Consolidate Statement of Operations under net change in open trade equity (deficit), at fair value.

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Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2012 ⁽¹⁾

Type of contract
Metals	$	1,362,795
Currencies		(6,706,070	)
Energies		22,909,484
Agriculturals		3,039,957
Interest rates		45,940,658
Stock indices		(17,288,228	)
Realized trading income/(loss)(1)	$	49,258,596

Realized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2012 ⁽¹⁾

Type of contract
Metals	$	3,980,957
Currencies		4,289,317
Energies		(39,301,473	)
Agriculturals		(33,318	)
Interest rates		(1,443,830	)
Stock indices		(97,879	)
Realized trading income/(loss)(1)	$	(32,606,226	)

(1) Amounts recorded in the Consolidated Statement of Operations under net realized gain/(loss) on futures, forwards and options.

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

for the Three Months Ended June 30, 2012 ⁽¹⁾

Type of contract
Metals	$	(15,142,145	)
Currencies		(14,201,587	)
Energies		19,072,628
Agriculturals		(3,020,414	)
Interest rates		34,976,693
Stock indices		(2,160,657	)
Change in unrealized trading income/(loss)(1)	$	19,524,518

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

for the Six Months Ended June 30, 2012 ⁽¹⁾

Type of contract
Metals	$	6,720,298
Currencies		17,461,854
Energies		(34,586,957	)
Agriculturals		1,430,532
Interest rates		(2,358,221	)
Stock indices		253,938
Change in unrealized trading income/(loss)(1)	$	(11,078,556	)

(1) Amounts recorded in the Consolidated Statement of Operations under net change in open trade equity (deficit), at fair value.

Certain financial instruments and derivative instruments are eligible for offset in the statements of financial condition under U.S. GAAP. The Trust’s open trade equity/(deficit), options written, and receivable from Futures Commissions Merchants are subject to master netting arrangements and collateral arrangements and meet the U.S. GAAP guidance to qualify for offset. A master netting arrangement with a counterparty creates a right of offset for amounts due to and from that same counterparty that is enforceable in the event of a default or bankruptcy. The Trust’s policy is to recognize amounts subject to master netting arrangements on a net basis on the statements of financial condition.

The following tables present gross and net information about the Trust’s assets and liabilities subject the master netting arrangements as disclosed on the statements of financial condition as of June 30, 2013 and December 31, 2012:

Offsetting of Derivative Assets and Liabilities

As of June 30, 2013

	Gross Amounts of recognized Derivative Assets		Gross Amounts of recognized Derivative Liabilities			Net Amounts of Derivative Assets and Liabilities Presented in the Statements of Financial Condition
Open Trade Equity/(Deficit)	$	75,672,703	$	(67,220,600	)	$	8,452,103
Options Written		—		(2,376,367	)		(2,376,367	)
Receivable from Futures Commissions Merchants		198,013,272		(91,997,068	)		106,016,204

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As of December 31, 2012

	Gross Amounts of recognized Derivative Assets		Gross Amounts of recognized Derivative Liabilities			Net Amounts of Derivative Assets and Liabilities Presented in the Statements of Financial Condition
Open Trade Equity/(Deficit)	$	22,637,635	$	(10,520,986	)	$	12,116,649
Options Written		—		(4,199,198	)		(4,199,198	)
Receivable from Futures Commissions Merchants		225,653,255		(77,624,026	)		148,029,229

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.

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. Maximum exposure is unfulfilled obligations of the Trust up to the amount of equity at risk with UBS. The Trust has not recorded any liability for the guarantees in the accompanying financial statements as it expects any possibility of losses to be remote.

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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. The Trust has not recorded any liability for the indemnifications in the accompanying financial statements as it expects any possibility of losses to be remote.

10. Subsequent Events

None.

Item 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Introduction

The following discussion and tables should be read in conjunction with our unaudited consolidated financial statements and notes thereto included in this quarterly report and our 2012 Annual Report on Form 10-K for the year ended December 31, 2012.

Overview

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

The Trust, with respect to each Series of Units, engages in the speculative trading of a diversified portfolio of futures, forward (including interbank foreign currencies) and options contracts and other derivative instruments (including Swaps) and may, from time to time, engage in cash and spot transactions and allocates funds to an affiliated limited liability trading company (each a “Trading Company”). Each Trading Company has one-year renewable contracts with its own independent Trading Advisor(s) that will manage all or a portion of the applicable Trading Company’s assets, and make the trading decisions for the assets of each Series vested in such Trading Company. 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).

The Trust has eight (8) separate and distinct Series of Units issued and outstanding: Frontier Diversified Series, Frontier Masters Series, Frontier Long/Short Commodity Series, Balanced Series, Currency Series (ceased trading on April 18, 2013), Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), Winton Series, and Frontier Heritage Series (formerly Winton/Graham Series) (each a “Series” and collectively, the “Series”). Each Series of Units has between two and six separate classes issued and/or outstanding – Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a as applicable to the Series.

Critical Accounting Policies and Estimates

The financial statements of the Trust in this Quarterly Report on Form 10-Q have not been audited by an independent registered public accounting firm, but in the opinion of management, reflect all adjustments necessary for a fair presentation of the Trust’s financial position and results of operations. The financial statements have been prepared in accordance with generally accepted accounting principles (“GAAP”). These interim financial statements have been prepared in accordance with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X and serve to update the Trust’s 2012 Annual Report on Form 10-K (“Form 10-K”). These financial statements do not include all of the information and notes necessary to constitute a complete set of financial statements under GAAP applicable to annual periods. Accordingly, they should be read in conjunction with the financial information contained in the Form 10-K. In the opinion of management, all adjustments necessary for a fair presentation have been included. The results of operations for the interim periods disclosed herein are not necessarily indicative of results that may be expected for the full year or any future period.

The Trust’s other significant accounting policies are described in detail in Note 2 of the financial statements.

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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 under 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.

Selection and Replacement of Trading Advisors

The managing owner is responsible for the selection, retention and termination of the trading advisors and swap reference trading programs on behalf of each series. 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 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 managing owner utilizes certain quantitative and qualitative analysis in connection with the identification, evaluation and selection of the trading advisors. The managing owner’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, Richard Bornhoft, the Chief Investment Officer of the managing owner, 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 managing owner’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 managing owner’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

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 managing owner’s top decile universe initially undergoes extensive qualitative review by the managing owner’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.

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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

As of June 30, 2013, the allocation of the assets of each applicable Series of the Trust between the Trading Advisors was as follows:

	Allocation as of June 30, 2013 (expressed as a percentage of aggregate notional exposure to commodity trading programs)
Advisor	Frontier Diversified Series			Frontier Long/Short Commodity Series			Frontier Masters Series			Balanced Series			Frontier Select Series*			Winton Series			Frontier Heritage Series**
Beach Horizon LLP		13	%		13	%		—			7	%		—			—			—
Cantab Capital Partners LLP		21	%		—			26	%		17	%		—			—			—
Global Advisors (Jersey) Limited		—			14	%		—			—			—			—			—
Brevan Howard Systematic Trading		2	%		—			—			—			26	%		—			45	%
Mesirow Financial Commodities Management, LLC		5	%		14	%		—			—			—			—			—
Quantitative Investment Management, LLC		11	%		—			—			19	%		—			—			—
QuantMetrics Capital Management LLP		8	%		—			—			—			—			—			—
Red Oak Commodity Advisors, Inc.		—			16	%		—			—			—			—			—
Rosetta Capital Management, LLC		—			11	%		—			—			—			—			—
Skyline Management, Inc.		—			10	%		—			—			—			—			—
Tiverton Trading		17	%		—			22	%		13	%		42	%		—			—
Transtrend B.V.		—			—			28	%		—			32	%		—			—
Winton Capital Management Ltd.		13	%		—			24	%		14	%		—			100	%		55	%

* Formerly the Tiverton/Graham/Transtrend Series.

** Formerly the Winton/Graham Series.

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.

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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 June 30, 2013, cash deposited at the clearing brokers was $22,019,309 for the Balanced Series and $14,142,506 for the Frontier Long/Short Commodity Series. 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, certificates of deposit (under nine months) and time deposits. Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), Currency Series, and Frontier Heritage Series (formerly Winton/Graham Series). For the Balanced Series (Class 1a and Class 2a only) and 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 74% to 88% of the Trust’s assets will normally be invested in cash equivalents and short-term investments, such as money market funds and time deposits and held by the clearing broker, the over-the-counter counterparties and by U.S. federally chartered banks. As of June 30, 2013, total cash and cash equivalents and custom time deposits held at banking institutions were $53,570,120 for the Frontier Diversified Series, $31,693,775 for the Frontier Masters Series, $32,216,810 for the Frontier Long/Short Commodity Series, $92,366,437 for the Balanced Series, $17,118,300 for the Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), $32,810,378 for the Winton Series, and $14,920,766 for the Frontier Heritage Series (formerly Winton/Graham Series). 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 Frontier Select Series (formerly the Tiverton/Graham/Transtrend Series), $32,541,850 for the Winton Series, and $13,964,174 for the Frontier Heritage Series (formerly the Winton/Graham Series). During the six months of 2013, the Trust experienced redemptions in excess of subscriptions due primarily to five of the eight Series being closed to new investments and to the termination of a selling agent relationship. The Managing Owner does not expect any impact on the investment mix of any Series due to the high level of liquidity maintained in the Trust.

As a commodity pool, the Trust 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 Trust has not been forced to liquidate positions to fund redemptions. During the period ending June 30, 2013, the Trust was able to pay all redemptions.

There are no other known trends or demands, commitments, events or uncertainties that will result in or that are reasonably likely to result in the Trust’s liquidity increasing or decreasing in any material way. There are no known material trends, favorable or unfavorable in the Trust’s capital resources.

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

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Managing Owner seeks to minimize market risk through real-time monitoring of open positions and the level of diversification of each Trading Advisor’s portfolio. It is anticipated that any Trading Advisor’s margin-to-equity ratio will typically not exceed approximately 35% although the actual ratio could be higher or lower from time to time.

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

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

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

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 three and six months ended June 30, 2013 and June 30, 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 2013 and 2012. The performance of each Series was impacted over the course of the periods 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 periods presented.

Three Months Ended June 30, 2013 Compared to Three Months Ended June 30, 2012.

Frontier Diversified Series

2013

The Frontier Diversified Series – Class 1 NAV lost 8.25% for the three months ended June 30, 2013, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV lost 7.84% for the three months ended June 30, 2013, net of fees and expenses.

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For the three months ended June 30, 2013 the Frontier Diversified Series recorded a net loss on investments of $7,089,299, net investment income of $462,159, and total expenses of $1,293,002, resulting in a net decrease in Owners’ capital from operations of $7,920,142. The NAV per Unit, Class 1, decreased from $93.21 at March 31, 2013, to $85.55 as of June 30, 2013. The NAV per Unit, Class 2, decreased from $99.64 at March 31, 2013, to $91.85 as of June 30, 2013. Total Class 1 subscriptions and redemptions for the period were $579,744 and $5,428,635, respectively. Total Class 2 subscriptions and redemptions for the period were $431,750 and $5,992,906, respectively. Ending capital at June 30, 2013, was $45,238,450 for Class 1 and $44,531,683 for Class 2. Ending capital at March 31, 2013, was $54,151,338 for Class 1 and $53,948,984 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.

Two of the six sectors traded in the Frontier Diversified Series were profitable in Q2 2013. Stock Indices and Metals were profitable while Interest Rates, Currencies, Agriculturals and Energies finished negative for the quarter.

The Stock Indices and Metals sectors are positive YTD while Interest Rates, Currencies, Agriculturals and Energies are negative YTD.

In terms of major CTA performance, One of the eight major CTAs in the Frontier Diversified Series was profitable in Q2 2013 . Tiverton was profitable while Cantab, QIM, Beach Horizon, Mesirow, Quantmetrics, Brevan Howard and Winton finished negative in the quarter. In terms of YTD performance Mesirow, Tiverton and Winton are positive YTD while Cantab, QIM, Quantmetrics, Beach Horizon and Brevan Howard are negative YTD.

2012

The Frontier Diversified Series – Class 1 NAV gained 2.5%, for the three months ended June 30, 2012, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV gained 3.0% for the three months ended June 30, 2012, net of fees and expenses.

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For the three months ended June 30, 2012, the Frontier Diversified Series recorded net gain on investments of $6,100,289, net investment income of $545,961, and total expenses of $3,224,069, resulting in a net increase in Owners’ capital from operations of $3,422,181. The NAV per Unit, Class 1, decreased from $95.23 at March 31, 2012, to $97.60 as of June 30, 2012. The NAV per Unit, Class 2, decreased from $100.04 at March 31, 2012, to $102.99 as of June 30, 2012. Total Class 1 subscriptions and redemptions for the period were $1,784,124 and $5,051,617, respectively. Total Class 2 subscriptions and redemptions for the period were $2,008,495 and $2,867,757, respectively. Ending capital at June 30, 2012, was $66,465,756 for Class 1 and $58,580,116 for Class 2. Ending capital at March 31, 2012, was $68,071,953 for Class 1 and $57,678,493 for Class 2.

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

Frontier Diversified Series

Two of the six sectors traded in the Frontier Diversified Series were profitable in Q2 2012. Metals and Interest Rates were profitable while Stock Indices, Currencies, Agriculturals and Energies finished negative for the quarter.

In terms of major CTA performance, four of the seven major CTAs in the Frontier Diversified Series were profitable in Q2 2012. Cantab, Quantmetrics, QIM and Transtrend were profitable while Graham, Tiverton and Winton finished negative for the quarter.

Frontier Masters Series

2013

The Frontier Masters Series – Class 1 NAV lost 6.76% for the three months ended June 30, 2013, net of fees and expenses; the Frontier Masters Series – Class 2 NAV lost 6.34% for the three months ended June 30, 2013, net of fees and expenses.

For the three months ended June 30, 2013 the Frontier Masters Series recorded a net loss on investments of $2,575,152, net investment income of $224,184, and total expenses of $795,435, resulting in a net decrease in Owners’ capital from operations of $3,146,403. The NAV per Unit, Class 1, decreased from $101.64 at March 31, 2013, to $94.74 as of June 30, 2013. The NAV per Unit, Class 2, decreased from $108.60 at March 31, 2013, to $101.71 as of June 30, 2013. Total Class 1 subscriptions and redemptions for the period were $501,889 and $1,512,505, respectively. Total Class 2 subscriptions and redemptions for the period were $10,000 and $1,316,272, respectively. Ending capital at June 30, 2013, was $30,720,823 for Class 1 and $13,671,045 for Class 2. Ending capital at March 31, 2013, was $33,943,369 for Class 1 and $15,911,790 for 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.

Two of the six sectors traded in the Frontier Masters Series were profitable in Q2 2013. Metals and Stock Indices were positive while Currencies, Interest Rates, Energies and Agriculturals were negative for the quarter.

Metals, Agriculturals and Stock Indices are positive for the year while Interest Rates, Energies and Currencies are negative for the year.

In terms of major CTA performance, Tiverton finished positive for the quarter while Cantab, Transtrend and Winton finished negative for the quarter. Tiverton and Winton are positive YTD while Cantab and Transtrend are negative YTD.

2012

The Frontier Masters Series – Class 1 NAV gained 1.1% for the three months ended June 30, 2012, net of fees and expenses; the Frontier Masters Series – Class 2 NAV gained 1.5% for the three months ended June 30, 2012, net of fees and expenses.

For the three months ended June 30, 2012, the Frontier Masters Series recorded net gain on investments of $1,870,660, net investment income of $261,367, and total expenses of $945,962, resulting in a net increase in Owners’ capital from operations of $629,198, after non-controlling interests of ($556,867). The NAV per Unit, Class 1, increased from $100.95 at March 31, 2012, to $102.04 as of June 30, 2012. The NAV per Unit, Class 2, increased from $106.02 at March 31, 2012, to $107.65 as of June 30, 2012. Total Class 1 subscriptions and redemptions for the period were $1,984,416 and $979,842, respectively. Total Class 2 subscriptions and redemptions for the period were $248,006 and $652,806, respectively. Ending capital at June 30, 2012, was $36,383,500 for Class 1 and $18,178,556 for Class 2. Ending capital at December 31, 2011, was $35,022,932 for Class 1 and $18,310,152 for Class 2.

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

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Frontier Masters Series

Three of the six sectors traded in the Frontier Masters Series were profitable in Q2 2012. Metals, Interest Rates and Agriculturals were positive while Energies, Currencies and Stock Indices were negative for the quarter.

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

Frontier Long/Short Commodity Series

2013

The Frontier Long/Short Commodity Series – Class 2 NAV lost 7.34% for the three months ended June 30, 2013, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV lost 7.34% for the three months ended June 30, 2013, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1a NAV 7.47% for the three months ended June 30, 2013, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV lost 7.07% for the three months ended June 30, 2013, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3a NAV lost 2.24% for the period ended June 30, 2013, net of fees and expenses.

For the three months ended June 30, 2013, the Frontier Long/Short Commodity Series recorded net loss on investments of $3,603,745, net investment income of $288,183, and total expenses of $869,367, resulting in a net decrease in Owners’ capital from operations of $3,329,202, after non-controlling interests of $855,727. The NAV per Unit, Class 2, decreased from $145.11 at March 31, 2013, to $134.46 as of June 30, 2013. The NAV per Unit, Class 3, decreased from $145.14 at March 31, 2013, to $134.49 as of June 30, 2013. The NAV per Unit, Class 1a, decreased from $107.97 at March 31, 2013, to $99.90 as of June 30, 2013. The NAV per Unit, Class 2a, decreased from $115.29 at March 31, 2013, to $107.14 as of June 30, 2013. The NAV per Unit, Class 3a, decreased from $109.60 at June 17, 2013 (Inception) to $107.14 as of June 30, 2013. Total Class 2 redemptions for the period were $573,095. There were no subscriptions. Total Class 3 redemptions for the period were $2,032,280. There were no subscriptions. Total Class 1a subscriptions

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and redemptions for the period were $284,877 and $1,734,830, respectively. Total Class 2a subscriptions and redemptions for the period were $5,000 and $1,971,429, respectively. Ending capital at June 30, 2013, was $4,750,431 for Class 2, $13,159,058 for Class 3, $14,941,599 for Class 1a, $7,499,957 for Class 2a and $34,379 for Class 3a. Ending capital at March 31, 2013, was $5,702,855 for Class 2, $16,256,087 for Class 3, $17,621,991 for Class 1a and $10,120,282 for Class 2a.

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One of the seven sectors traded in the Frontier Long/Short Commodity Series was profitable in Q2 2013. Base Metals finished positive for the quarter while Energies, Financials, Grains, Meats, Precious Metals and Softs finished negative for the quarter.

Financials are positive YTD while Energies, Base Metals, Grains, Meats, Precious Metals and Softs are negative YTD.

In terms of major CTA performance, one of the six major CTAs in the Frontier Long/Short Commodity Series was profitable in Q2 2013. Red Oak finished positive for the quarter while Global Advisors, Beach Horizon, Rosetta, Strategic Ag and Mesirow were negative for the quarter.

Global Advisors, Mesirow and Red Oak are positive YTD while Beach Horizon, Rosetta and Strategic Ag are negative YTD.

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.

2012

The Frontier Long/Short Commodity Series – Class 1 NAV lost 4.6% for the three months ended June 30, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 NAV lost 4.2% for the three months ended June 30, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV lost 4.2% for the three months ended June 30, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1a NAV lost 4.4% for the three months ended June 30, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV lost 4.0% for the three months ended June 30, 2012, net of fees and expenses.

For the three months ended June 30, 2012, the Frontier Long/Short Commodity Series recorded net loss on investments of $938,042, net investment income of $348,055, and total expenses of $1,635,663, resulting in a net decrease in Owners’ capital from operations of $2,927,896, after non-controlling interests of ($702,246). The NAV per Unit, Class 1, decreased from $134.21 at March 31, 2012, to $128.07 as of June 30, 2012. The NAV per Unit, Class 2, decreased from $160.88 at March 31, 2012, to $154.20 as of June 30, 2012. The NAV per Unit, Class 3, decreased from $160.87 at March 31, 2012, to $154.18 as of June 30, 2012. The NAV per Unit, Class 1a, decreased from $120.55 at March 31, 2012, to $115.26 as of June 30, 2012. The NAV per Unit, Class 2a, decreased from $126.57 at March 31, 2012, to $121.54 as of June 30, 2012. Total Class 1 subscriptions and redemptions for the period were $3,616 and $975,091, respectively. Total Class 2 redemptions for the period were $210,496. There were no subscriptions. Total Class 3 subscriptions and redemptions for the period were $858,421 and $1,997,496, respectively. Total Class 1a subscriptions and redemptions for the period were $1,012,507 and $646,287, respectively. Total Class 2a subscriptions and redemptions for the period were $1,765,850 and $251,431, respectively. Ending capital at June 30, 2012, was $417,015 for Class 1, $8,383,574 for Class 2, $25,411,238 for Class 3, $19,564,499 for Class 1a and $12,509,571 for Class 2a. Ending capital at March 31, 2012 was $1,449,541 for Class 1, $8,958,148 for Class 2, $27,652,652 for Class 3, $20,092,488 for Class 1a and $11,501,371 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.

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Frontier Long/Short Commodity Series

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Three of the seven sectors traded in the Frontier Long/Short Commodity Series were profitable in Q2 2012. Base Metals, Grains and Softs were positive while Precious Metals, Energies, Meats and Financials were negative for the quarter.

In terms of major CTA performance, one of the six major CTAs in the Frontier Long/Short Commodity Series was profitable in Q2 2012. Rosetta finished positive while Beach Horizon, Global Advisors, Strategic Ag, Red Oak and Mesirow were negative for the quarter.

Balanced Series

2013

The Balanced Series – Class 1 NAV lost 8.15% for the three months ended June 30, 2013, net of fees and expenses; the Balanced Series – Class 2 NAV lost 7.46% for the three months ended June 30, 2013, net of fees and expenses; the Balanced Series – Class 2a NAV lost 7.10% for the three months ended June 30, 2013, net of fees and expenses; the Balanced Series – Class 3a NAV lost 7.10% for the three months ended June 30, 2013, net of fees and expenses.

For the three months ended June 30, 2013, the Balanced Series recorded net loss on investments of $8,942,702, net investment income of $75,270, and total expenses of $2,071,491, resulting in a net decrease in Owners’ capital from operations of $13,129,934 after non- controlling interests of $2,191,011. The NAV per Unit, Class 1, decreased from $114.20 at March 31, 2013, to $104.89 at June 30, 2013. The NAV per Unit, Class 2, decreased from $147.55 at March 31, 2013, to $136.54 at June 30, 2013. For Class 2a, the NAV per Unit decreased from $123.46 at March 31, 2013, to $114.69 at June 30, 2013. For Class 3a, the NAV per Unit decreased from $123.05 at March 31, 2013, to $114.31at June 30, 2013. Total Class 1 subscriptions and redemptions for the period were $75,683 and $11,942,286, respectively. Total Class 2 subscriptions and redemptions for the period were $3,836 and $5,273,677, respectively. Total Class 2a redemptions for the period were $77,242. There were no subscriptions. Total Class 3a redemptions for the period were $175,416. There were no subscriptions. Ending capital at June 30, 2013, was $108,082,752 for Class 1, $40,246,655 for Class 2, $769,852 for Class 2a and $2,597,739 for Class 3a. Ending capital at March 31, 2013, was $129,567,330 for Class 1, $48,774,407 for Class 2, $906,350 for Class 2a and $2,967,747 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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89

Three of the six sectors traded in the Balanced Series were profitable in Q2 2013. The Stock Indices, Metals and Agriculturals were profitable while Interest Rates, Currencies and Energies finished negative for the quarter.

The Metals and Stock Indices sectors are positive YTD while Interest Rates, Agriculturals, Currencies and Energies are negative YTD.

In terms of major CTA performance, Tiverton was positive for the quarter. Tiverton and Winton are positive YTD. Beach, Cantab, QIM and Winton finished negative for the quarter. QIM, Cantab and Beach Horizon are negative YTD.

2012

The Balanced Series – Class 1 NAV gained 3.0% for the three months ended June 30, 2012, net of fees and expenses; the Balanced Series – Class 1a NAV gained 4.1% for the three months ended June 30, 2012, net of fees and expenses; the Balanced Series – Class 2 NAV gained 3.7% for the three months ended June 30, 2012, net of fees and expenses; the Balanced Series – Class 2a NAV gained 4.2% for the three months ended June 30, 2012, net of fees and expenses; the Balanced Series – Class 3a NAV gained 3.8% for the three months ended June 30, 2012, net of fees and expenses.

For the three months ended June 30, 2012, the Balanced Series recorded net gain on investments of $20,087,572, net investment income of $35,188, and total expenses of $5,474,886, resulting in a net increase in Owners’ capital from operations of $7,375,812 after non-controlling interests of ($7,272,062). The NAV per Unit, Class 1, increased from $119.12 at March 31, 2012, to $122.65 at June 30, 2012. For Class 1a, the NAV per Unit increased from $103.87 at March 31, 2012, to $108.13 at June 30, 2012. The NAV per Unit, Class 2, increased from $149.44 at March 31, 2012, to $155.01 at June 30, 2012. For Class 2a, the NAV per Unit increased from $123.84 at March 31, 2012, to $128.99 at June 30, 2012. For Class 3a, the NAV per Unit increased from $123.85 at March 31, 2012, to $128.54 at June 30, 2012. Total Class 1 subscriptions and redemptions for the period were $118,925 and $8,018,675, respectively. Total Class 1a subscriptions and redemptions for the period were $143 and $252,069, respectively. Total Class 2 subscriptions and redemptions for the period were $3,937 and $3,284,044, respectively. Total Class 2a redemptions for the period were $487,201. There were no subscriptions. Total Class 3a subscriptions and redemptions for the period were $246,832 and $487,756, respectively. Ending capital at June 30, 2012, was $164,804,193 for Class 1, $249,991 for Class 1a, $57,348,959 for Class 2, $1,111,687 for Class 2a and $4,040,685 for Class 3a. At March 31, 2012, ending capital was $167,728,802 for Class 1, $480,341 for Class 1a, $58,468,021 for Class 2, $1,526,349 for Class 2a, and $4,136,098 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.

Balanced Series

90

91

Two of the six sectors traded in the Balanced Series were profitable in Q2 2012. Metals and Interest Rates were profitable while Stock Indices, Currencies, Agriculturals and Energies finished negative for the quarter.

In terms of major CTA performance, two of the five major CTAs in the Balanced Series were profitable in Q2 2012. QIM and Cantab were profitable while Winton, Tiverton and Beach Horizon finished negative for the quarter.

Frontier Select Series (formerly Tiverton/Graham/Transtrend Series)

2013

The Frontier Select Series – Class 1 NAV lost 1.04% for the three months ended June 30, 2013, net of fees and expenses; the Frontier Select Series – Class 2 NAV lost 0.30% for the three months ended June 30, 2013, net of fees and expenses.

For the three months ended June 30, 2013, the Frontier Select Series recorded net gain on investments of $31,845, net investment income of $87,463, and total expenses of $334,428, resulting in a net decrease in Owners’ capital from operations of $215,120. The NAV per Unit, Class 1, increased from $81.86 at March 31, 2013, to $81.01 as of June 30, 2013. The NAV per Unit, Class 2, increased from $104.35 at March 31, 2013, to $104.04 as of June 30, 2013. Total Class 1 subscriptions and redemptions for the period were $4,345 and $1,866,358, respectively. Total Class 2 redemptions for the period were $198,703. There were no subscriptions. Ending capital at June 30, 2013, was $19,323,354 for Class 1 and $2,739,675 for Class 2. Ending capital at March 31, 2013, was $21,393,158 for Class 1 and $2,945,707 for Class 2.

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

Three of the six sectors traded in the Frontier Select Series were profitable in Q2 2013. Metals, Agriculturals and Stock Indices were positive while Interest Rates, Currencies and Energies were negative for the quarter.

Currencies, Metals, Agriculturals and Stock Indices are positive YTD while Interest Rates and Energies are negative YTD.

92

In terms of major CTA performance Tiverton finished positive for the quarter and is positive YTD while Brevan Howard and Transtrend finished negative for the quarter and are negative YTD.

The “Tiverton/Graham/Transtrend Series” name was changed to the “Frontier Select Series.” Graham was replaced by Brevan Howard as a major advisor in the Frontier Select Series.

2012

The Frontier Select Series – Class 1 NAV lost 3.7% for the three months ended June 30, 2012, net of fees and expenses; the Frontier Select Series – Class 2 NAV lost 3.5% for the three months ended June 30, 2012, net of fees and expenses.

For the three months ended June 30, 2012, the Frontier Select Series recorded net loss on investments of $648,067, net investment income of $65,518, and total expenses of $696,960, resulting in a net decrease in Owners’ capital from operations of $1,279,509. The NAV per Unit, Class 1, decreased from $89.63 at March 31, 2012, to $86.29 as of June 30, 2012. The NAV per Unit, Class 2, decreased from $110.92 at March 31, 2012, to $107.04 as of June 30, 2012. Total Class 1 subscriptions and redemptions for the period were $8,542 and $2,080,907, respectively. Total Class 2 redemptions for the period were $116,973. There were no subscriptions. Ending capital at June 30, 2012, was $28,912,334 for Class 1 and $3,898,644 for Class 2. Ending capital at March 31, 2012, was $32,122,523 for Class 1 and $4,157,302 for Class 2.

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

Frontier Select Series (formerly Tiverton/Graham/Transtrend Series)

Three of the six sectors traded in the Frontier Select Series were profitable in Q2 2012. Metals, Agriculturals and Interest Rates were positive while Stock Indices, Currencies and Energies were negative for the quarter.

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

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Winton Series

2013

The Winton Series – Class 1 NAV lost 2.72% for the three months ended June 30, 2013, net of fees and expenses; the Winton Series – Class 2 NAV lost 2.00% for the three months ended June 30, 2013, net of fees and expenses.

For the three months ended June 30, 2013, the Winton Series recorded net loss on investments of $529,952, net investment income of $94,585, and total expenses of $571,933, resulting in a net decrease in Owners’ capital from operations of $1,007,300. The NAV per Unit, Class 1, decreased from $136.53 at March 31, 2013, to $132.81 as of June 30, 2013. The NAV per Unit, Class 2, decreased from $166.52 at March 31, 2013, to $163.19 as of June 30, 2013. Total Class 1 subscriptions for the period were $47,149 and redemptions were $1,000,918. Total Class 2 redemptions for the period were $168,928. There were no subscriptions. Ending capital at June 30, 2013, was $28,506,866 for Class 1 and $10,353,328 for Class 2. Ending capital at March 31, 2013, was $30,262,765 for Class 1 and $10,727,426 for Class 2.

Two of the six sectors traded in the Winton Series were profitable in Q2 2013. Metals and Stock Indices were positive while Currencies, Agriculturals, Energies and Interest Rates were negative for the quarter.

Metals, Agriculturals and Stock Indices are positive YTD while Currencies, Energies and Interest Rates are negative YTD.

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

2012

The Winton Series – Class 1 NAV lost 4.6% for the three months ended June 30, 2012, net of fees and expenses; the Winton Series – Class 2 NAV lost 3.8% for the three months ended June 30, 2012, net of fees and expenses.

For the three months ended June 30, 2012, the Winton Series recorded net loss on investments of $1,599,658, net investment income of $132,557, and total expenses of $613,194, resulting in a net decrease in Owners’ capital from operations of $2,080,295. The NAV per Unit, Class 1, decreased from $138.00 at March 31, 2012, to $131.72 as of June 30, 2012. The NAV per Unit, Class 2, decreased from $163.35 at March 31, 2012, to $157.12 as of June 30, 2012. Total Class 1 subscriptions for the period were $52,858 and redemptions were $835,659. Total Class 2 redemptions for the period were $463,695. There were no subscriptions. Ending capital at June 30, 2012, was $34,178,150 for Class 1 and $10,631,266 for Class 2. Ending capital at March 31, 2012, was $36,610,938 for Class 1 and $11,525,269 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.

94

Winton Series

Two of the six sectors traded in the Winton Series were profitable in Q2 2012. Metals and Interest Rates were positive while Stock Indices, Currencies, Agriculturals and Energies were negative for the quarter.

Frontier Heritage Series (formerly Winton/Graham Series)

2013

The Frontier Heritage Series – Class 1 NAV lost 3.49% for the three months ended June 30, 2013, net of fees and expenses; the Frontier Heritage Series – Class 2 NAV lost 2.76% for the three months ended June 30, 2013, net of fees and expenses.

For the three months ended June 30, 2013, the Frontier Heritage Series recorded net loss on investments of $414,134, net investment income of $35,758, and total expenses of $227,596, resulting in a net decrease in Owners’ capital from operations of $605,972. The NAV per Unit, Class 1, decreased from $101.63 at March 31, 2013, to $98.08 as of June 30, 2013. The NAV per Unit, Class 2, decreased from $130.65 at March 31, 2013, to $127.04 as of June 30, 2013. Total Class 1 subscriptions for the period were $11,676 and redemptions were $1,993,164. Total Class 2 redemptions for the period were $112,013. There were no subscriptions. Ending capital at June 30, 2013, was $13,877,265 for Class 1 and $3,605,870 for Class 2. Ending capital at March 31, 2013, was $16,362,182 for Class 1 and $3,820,426 for Class 2.

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

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Two of the six sectors traded in the Frontier Heritage Series were profitable in Q2 2013. Metals and Stock Indices were positive while Agriculturals, Interest Rates, Currencies and Energies were negative for the quarter.

Currencies, Metals, Agriculturals and Stock Indices are positive YTD while Interest Rates and Energies are negative YTD.

In terms of major CTA performance, both Brevan Howard and Winton finished negative for the quarter . Winton is positive YTD while Brevan Howard is negative YTD.

In terms of major CTA performance, both Brevan Howard and Winton finished positive for the quarter and are positive YTD.

The “Winton/Graham Series” name was changed to the “Frontier Heritage Series.” Graham was replaced by Brevan Howard as a major advisor in the Frontier Heritage Series.

2012

The Frontier Heritage Series – Class 1 NAV lost 8.0% for the three months ended June 30, 2012, net of fees and expenses; the Frontier Heritage Series – Class 2 NAV lost 7.3% for the three months ended June 30, 2012, net of fees and expenses.

For the three months ended June 30, 2012, the Frontier Heritage Series recorded net loss on investments of $1,646,353, net investment income of $32,021, and total expenses of $498,075, resulting in a net decrease in Owners’ capital from operations of $2,112,407. The NAV per Unit, Class 1, decreased from $104.37 at March 31, 2012, to $96.05 as of June 30, 2012. The NAV per Unit, Class 2, decreased from $130.23 at March 31, 2012, to $120.78 as of June 30, 2012. Total Class 1 subscriptions for the period were $15,799 and redemptions were $1,034,117. Total Class 2 redemptions for the period were $284,069. There were no subscriptions. Ending capital at June 30, 2012, was $19,729,727 for Class 1 and $4,592,671 for Class 2. Ending capital at March 31, 2012, was $22,496,784 for Class 1 and $5,240,408 for Class 2.

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

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Frontier Heritage Series (formerly Winton/Graham Series)

Two of the six sectors traded in the Frontier Heritage Series were profitable in Q2 2012. Metals and Interest Rates were positive while Stock Indices, Energies, Agriculturals and Currencies were negative for the quarter.

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

Six Months Ended June 30, 2013 Compared to Six Months Ended June 30, 2012.

Frontier Diversified Series

2013

The Frontier Diversified Series – Class 1 NAV lost 9.38% for the six months ended June 30, 2013, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV lost 8.59% for the six months ended June 30, 2012, net of fees and expenses.

For the six months ended June 30, 2013 the Frontier Diversified Series recorded a net loss on investments of $7,202,316, net investment income of $938,684, and total expenses of $2,829,851, resulting in a net decrease in Owners’ capital from operations of $9,093,483. The NAV per Unit, Class 1, decreased from $94.40 at December 31, 2012, to $85.55 as of June 30, 2013. The NAV per Unit, Class 2, decreased from $100.48 at December 31, 2012, to $91.85 as of June 30, 2013. Total Class 1 subscriptions and redemptions for the period were $1,276,358 and $10,253,451, respectively. Total Class 2 subscriptions and redemptions for the period were $1,277,401 and $8,618,264, respectively. Ending capital at June 30, 2013, was $45,238,450 for Class 1 and $44,531,683 for Class 2. 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.

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Two of the six sectors traded in the Frontier Diversified Series were profitable in Q2 2013. Stock Indices and Metals were profitable while Interest Rates, Currencies, Agriculturals and Energies finished negative for the quarter.

The Stock Indices and Metals sectors are positive YTD while Interest Rates, Currencies, Agriculturals and Energies are negative YTD.

In terms of major CTA performance, One of the eight major CTAs in the Frontier Diversified Series was profitable in Q2 2013 . Tiverton was profitable while Cantab, QIM, Beach Horizon, Mesirow, Quantmetrics, Brevan Howard and Winton finished negative in the quarter. In terms of YTD performance Mesirow, Tiverton and Winton are positive YTD while Cantab, QIM, Quantmetrics, Beach Horizon and Brevan Howard are negative YTD.

Graham was replaced by Brevan Howard as a major advisor in the Diversified Series. Mesirow was added as a major advisor to the Diversified Series.

2012

The Frontier Diversified Series – Class 1 NAV lost 1.8% for the six months ended June 30, 2012, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV lost 0.9% for the six months ended June 30, 2012, net of fees and expenses.

For the six months ended June 30, 2012 the Frontier Diversified Series recorded a net gain on investments of $1,855,107, net investment income of $1,143,240, and total expenses of $4,911,494, resulting in a net decrease in Owners’ capital from operations of $1,913,147. The NAV per Unit, Class 1, decreased from $99.40 at December 31, 2011, to $97.60 as of June 30, 2012. The NAV per Unit, Class 2, decreased from $103.96 at December 31, 2011, to $102.99 as of June 30, 2012. Total Class 1 subscriptions and redemptions for the period were $3,659,657 and $8,272,003, respectively. Total Class 2 subscriptions and redemptions for the period were $4,125,255 and $6,527,494, respectively. Ending capital at June 30, 2012, was $66,465,756 for Class 1 and $58,580,116 for Class 2. 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.

98

Frontier Diversified Series

Two of the six sectors traded in the Frontier Diversified Series were profitable in Q2 2012. Metals and Interest Rates were profitable while Stock Indices, Currencies, Agriculturals and Energies finished negative for the quarter. One of the six sectors traded in the Frontier Diversified Series is profitable year to date. The Interest Rates sector is profitable while Stock Indices, Currencies, Metals, Agriculturals and Energies are negative year to date.

In terms of major CTA performance, four of the seven major CTAs in the Frontier Diversified Series were profitable in Q2 2012. Cantab, Quantmetrics, QIM and Transtrend were profitable while Graham, Tiverton and Winton finished negative for the quarter. Four of the seven major CTAs in the Frontier Diversified Series are profitable year to date. Quantmetrics, Transtrend, QIM and Cantab are profitable while Graham, Tiverton and Winton are negative year to date.

Frontier Masters Series

2013

The Frontier Masters Series – Class 1 NAV lost 6.30% for the six months ended June 30, 2013, net of fees and expenses; the Frontier Masters Series – Class 2 NAV gained 5.48% for the six months ended June 30, 2013, net of fees and expenses.

For the six months ended June 30, 2013 the Frontier Masters Series recorded a net loss on investments of $1,692,118, net investment income of $455,372, and total expenses of $1,588,128, resulting in a net decrease in Owners’ capital from operations of $2,824,874. The NAV per Unit, Class 1, decreased from $101.11 at December 31, 2012, to $94.74 as of June 30, 2013. The NAV per Unit, Class 2, increased from $107.61 at December 31, 2012, to $101.71 as of June 30, 2013. Total Class 1 subscriptions and redemptions for the period were $1,650,028 and $3,488,791, respectively. Total Class 2 subscriptions and redemptions for the period were $482,028 and $2,912,736, respectively. Ending capital at June 30, 2013, was $30,720,823 for Class 1 and $13,671,045 for Class 2. 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.

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Two of the six sectors traded in the Frontier Masters Series were profitable in Q2 2013. Metals and Stock Indices were positive while Currencies, Interest Rates, Energies and Agriculturals were negative for the quarter.

Metals, Agriculturals and Stock Indices are positive for the year while Interest Rates, Energies and Currencies are negative for the year.

In terms of major CTA performance, Tiverton finished positive for the quarter while Cantab, Transtrend and Winton finished negative for the quarter. Tiverton and Winton are positive YTD while Cantab and Transtrend are negative YTD.

2012

The Frontier Masters Series – Class 1 NAV gained 1.8% for the six months ended June 30, 2012, net of fees and expenses; the Frontier Masters Series – Class 2 NAV gained 2.7% for the six months ended June 30, 2012, net of fees and expenses.

For the six months ended June 30, 2012 the Frontier Masters Series recorded a net gain on investments of $2,875,675, net investment income of $529,226, and total expenses of $1,803,469, resulting in a net increase in Owners’ capital from operations of $1,074,044 after non-controlling interests of ($527,388). The NAV per Unit, Class 1, increased from $100.25 at December 31, 2011, to $102.04 as of June 30, 2012. The NAV per Unit, Class 2, increased from $104.83 at December 31, 2011, to $107.65 as of June 30, 2012. Total Class 1 subscriptions and redemptions for the period were $3,789,952 and $2,084,976, respectively. Total Class 2 subscriptions and redemptions for the period were $462,006 and $1,503,967, respectively. Ending capital at June 30, 2012, was $36,383,500 for Class 1 and $18,178,556 for Class 2. Ending capital at December 31, 2011, was $34,090,136 for Class 1 and $18,734,861 for Class 2.

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

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Frontier Masters Series

Three of the six sectors traded in the Frontier Masters Series were profitable in Q2 2012. Metals, Interest Rates and Agriculturals were positive while Energies, Currencies and Stock Indices were negative for the quarter. Two of the six sectors traded in the Frontier Masters Series are profitable year to date. Interest Rates and Energies are profitable while Stock Indices, Currencies, Metals and Agriculturals are negative year to date.

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

Frontier Long/Short Commodity Series

2013

The Frontier Long/Short Commodity Series –Class 2 NAV lost 7.68% for the six months ended June 30, 2013, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV lost 7.69% for the six months ended June 30, 2013, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1a NAV lost 7.99% for the six months ended June 30, 2013, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV lost 7.20% for the six months ended June 30, 2013, net of fees and expenses– Class 3a NAV lost 2.24% for the six months ended June 30, 2013, net of fees and expenses.

For the six months ended June 30, 2013, the Frontier Long/Short Commodity Series recorded net loss on investments of $4,975,201, net investment income of $585,282, and total expenses of $1,815,455, resulting in a net decrease in Owners’ capital from operations of $3,523,930, after non-controlling interests of $2,681,444. The NAV per Unit, Class 2, decreased from $145.65 at December 31, 2012, to $134.46 as of June 30, 2013. The NAV per Unit, Class 3, decreased from $145.69 at December 31, 2012, to $134.49 as of June 30, 2012. The NAV per Unit, Class 1a, decreased from $108.58 at December 31, 2012, to $99.90 as of June 30, 2013. The NAV per Unit, Class 2a decreased from $115.45 at December 31, 2012, to $107.15 as of June 30, 2013. The NAV per Unit, Class 3a, decreased from $109.60 at June 17, 2013 (Inception), to $107.15 as of June 30, 2013. Total Class 2 redemptions for the period were

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$1,741,073. There were no subscriptions. Total Class 3 redemptions for the period were $5,482,870, respectively. There were no subscriptions. Total Class 1a subscriptions and redemptions for the period were $639,187 and $3,357,302, respectively. Total Class 2a subscriptions and redemptions for the period were $226,400 and $2,935,637, respectively. Total Class 3a subscriptions for the period were $35,168. There were no Class 3a redemptions. Ending capital at June 30, 2013, was $4,750,431 for Class 2, $13,159,058 for Class 3, $14,941,599 for Class 1a, $7,499,957 for Class 2a and $34,379 for Class 3a. Ending capital at December 31, 2012, was $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. negative YTD.

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One of the seven sectors traded in the Frontier Long/Short Commodity Series was profitable in Q2 2013. Base Metals finished positive for the quarter while Energies, Financials, Grains, Meats, Precious Metals and Softs finished negative for the quarter.

Financials are positive YTD while Energies, Base Metals, Grains, Meats, Precious Metals and Softs are negative YTD.

In terms of major CTA performance, one of the six major CTAs in the Frontier Long/Short Commodity Series was profitable in Q2 2013. Red Oak finished positive for the quarter while Global Advisors, Beach Horizon, Rosetta, Strategic Ag and Mesirow were negative for the quarter.

Global Advisors, Mesirow and Red Oak are positive YTD while Beach Horizon, Rosetta and Strategic Ag are negative YTD.

2012

The Frontier Long/Short Commodity Series – Class 1 NAV lost 5.9% for the six months ended June 30, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 NAV lost 4.8% for the six months ended June 30, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV lost 4.8% for the six months ended June 30, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1a NAV lost 5.3% for the six months ended June 30, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV lost 4.5% for the six months ended June 30, 2012, net of fees and expenses.

For the six months ended June 30, 2012, the Frontier Long/Short Commodity Series recorded net loss on investments of $6,670,177, net investment income of $711,631, and total expenses of $2,956,133, resulting in a net decrease in Owners’ capital from operations of $3,460,839, after non-controlling interests of $5,453,840. The NAV per Unit, Class 1, decreased from $136.13 at December 31, 2011, to $128.07 as of June 30, 2012. The NAV per Unit, Class 2, decreased from $161.97 at December 31, 2011, to $154.20 as of June 30, 2012. The NAV per Unit, Class 3, decreased from $161.96 at December 31, 2011, to $154.18 as of June 30, 2012. The NAV per Unit, Class 1a, decreased from $121.71 at December 31, 2011, to $115.26 as of June 30, 2012. The NAV per Unit, Class 2a, decreased from $127.23 at December 31, 2011, to $121.54 as of June 30, 2012. Total Class 1 subscriptions and redemptions for the period were $9,089 and $3,665,155, respectively. Total Class 2 redemptions for the period were $380,536. There were no subscriptions. Total Class 3 subscriptions and redemptions for the period were $3,487,095 and $4,588,095, respectively. Total Class 1a subscriptions and redemptions for the period were $2,867,314 and $1,108,821, respectively. Total Class 2a subscriptions and redemptions for the period were $2,634,003 and $468,884, respectively. Ending capital at June 30, 2012, was $417,015 for Class 1, $8,383,574 for Class 2, $25,411,238 for Class 3, $19,564,499 for Class 1a and $12,509,571 for Class 2a. 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.

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Frontier Long/Short Commodity Series

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Three of the seven sectors traded in the Frontier Long/Short Commodity Series were profitable in Q2 2012. Base Metals, Grains and Softs were positive while Precious Metals, Energies, Meats and Financials were negative for the quarter. Two of the seven sectors traded in the Frontier Long/Short Commodity Series are profitable year to date. The Grains and Softs sectors are profitable while the Base Metals, Energies, Metals, Precious Metals and Financial sectors are negative year to date.

In terms of major CTA performance, one of the six major CTAs in the Frontier Long/Short Commodity Series was profitable in Q2 2012. Rosetta finished positive while Beach Horizon, Global Advisors, Strategic Ag, Red Oak and Mesirow were negative for the quarter. One of the six major CTAs in the Frontier Long/Short Commodity Series is profitable year to date. Rosetta is profitable while Beach Horizon, Global Advisors, Mesirow, Red Oak and Strategic Ag are negative year to date.

Balanced Series

2013

The Balanced Series – Class 1 NAV lost 9.83% for the six months ended June 30, 2013, net of fees and expenses; the Balanced Series – Class 2 NAV lost 8.49% for the six months ended June 30, 2013, net of fees and expenses; the Balanced Series – Class 2a NAV lost 8.02% for the six months ended June 30, 2013, net of fees and expenses; the Balanced Series – Class 3a NAV lost 7.78% for the six months ended June 30, 2013, net of fees and expenses.

For the six months ended June 30, 2013, the Balanced Series recorded net loss on investments of $12,914,896, net investment income of $122,551, and total expenses of $4,163,030, resulting in a net decrease in Owners’ capital from operations of $16,342,353 after non- controlling interests of $613,022. The NAV per Unit, Class 1, decreased from $116.32 at December 31, 2012, to $104.89 at June 30, 2013. The NAV per Unit, Class 2, decreased from $149.20 at December 31, 2012, to $136.54 at June 30, 2013. For Class 2a, the NAV per Unit increased from $124.36 at December 31, 2012, to $114.69 at June 30, 2013. For Class 3a, the NAV per Unit decreased from $123.96 at December 31, 2012, to $114.31 at June 30, 2013. Total Class 1 subscriptions and redemptions for the period were $168,617 and $23,762,099, respectively. Total Class 2 subscriptions and redemptions for the period were $7,692 and $7,401,144, respectively. Total Class 2a redemptions for the period were $172,020. There were no subscriptions. Total Class 3a redemptions for the period were $954,645. There were no subscriptions. Ending capital at June 30, 2013, was $108,082,752 for Class 1, $40,246,655 for Class 2, $769,852 for Class 2a and $2,597,739 for Class 3a. At December 31, 2012, ending capital was $143,906,872 for Class 1, $51,459,568 for Class 2, $1,009,520 for Class 2a, and $3,776,790 for Class 3a.

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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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Three of the six sectors traded in the Balanced Series were profitable in Q2 2013. The Stock Indices, Metals and Agriculturals were profitable while Interest Rates, Currencies and Energies finished negative for the quarter.

The Metals and Stock Indices sectors are positive YTD while Interest Rates, Agriculturals, Currencies and Energies are negative YTD.

In terms of major CTA performance, Tiverton was positive for the quarter. Tiverton and Winton are positive YTD. Beach, Cantab, QIM and Winton finished negative for the quarter. QIM, Cantab and Beach Horizon are negative YTD.

2012

The Balanced Series – Class 1 NAV lost 1.5% for the six months ended June 30, 2012, net of fees and expenses; the Balanced Series – Class 1a NAV lost 0.3% for the six months ended June 30, 2012, net of fees and expenses; the Balanced Series – Class 2 NAV lost 0.0% for the six months ended June 30, 2012, net of fees and expenses; the Balanced Series – Class 2a NAV gained 0.5% for the six months ended June 30, 2012, net of fees and expenses; the Balanced Series – Class 3a NAV gained 0.1% for the six months ended June 30, 2012, net of fees and expenses.

For the six months ended June 30, 2012, the Balanced Series recorded net gain on investments of $9,349,863, net investment income of $186,736, and total expenses of $8,160,904, resulting in a net decrease in Owners’ capital from operations of $2,853,457 after non- controlling interests of ($4,229,152). The NAV per Unit, Class 1, decreased from $124.50 at December 31, 2011, to $122.65 at June 30, 2012. For Class 1a, the NAV per Unit decreased from $108.45 at December 31, 2011, to $108.13 at June 30, 2012. The NAV per Unit, Class 2, decreased from $155.02 at December 31, 2011, to $155.01 at June 30, 2012. For Class 2a, the NAV per Unit increased from $128.35 at December 31, 2011, to $128.99 at June 30, 2012. For Class 3a, the NAV per Unit increased from $128.36 at December 31, 2011, to $128.54 at June 30, 2012. Total Class 1 subscriptions and redemptions for the period were $243,828 and $16,465,726, respectively. Total Class 1a subscriptions and redemptions for the period were $414 and $2,263,742, respectively. Total Class 2 subscriptions and redemptions for the period were $7,927 and $5,962,591, respectively. Total Class 2a redemptions for the period were $1,672,175. There were no subscriptions. Total Class 3a subscriptions and redemptions for the period were $2,004,252 and $915,291, respectively. Ending capital at June 30, 2012, was $164,804,193 for Class 1, $249,991 for Class 1a, $57,348,959 for Class 2, $1,111,687 for Class 2a and $4,040,685 for Class 3a. At December 31, 2011, ending capital 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, through Frontier Trading Company XVII, LLC has invested in a swap whereby the Balanced Series obtains exposure to the performance of additional currency programs held by a counterparty to the swap for the purpose of further diversification among trading advisors. The Balanced Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors.

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Balanced Series

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Two of the six sectors traded in the Balanced Series were profitable in Q2 2012. Metals and Interest Rates were profitable while Stock Indices, Currencies, Agriculturals and Energies finished negative for the quarter. One of the six sectors traded in the Balanced Series is profitable year to date. The Interest Rates sector is profitable while Stock Indices, Currencies, Metals, Agriculturals and Energies are negative year to date.

In terms of major CTA performance, two of the five major CTAs in the Balanced Series were profitable in Q2 2012. QIM and Cantab were profitable while Winton, Tiverton and Beach Horizon finished negative for the quarter. Two of the five major CTAs in the Balanced Series are profitable year to date. QIM and Cantab are profitable while Tiverton, Beach Horizon and Winton are negative year to date.

Frontier Select Series (formerly Tiverton/Graham/Transtrend Series)

2013

The Frontier Select Series – Class 1 NAV gained 2.99% for the six months ended June 30, 2013, net of fees and expenses; the Frontier Select Series – Class 2 NAV gained 4.51% for the six months ended June 30, 2013, net of fees and expenses.

For the six months ended June 30, 2013, the Frontier Select Series recorded net gain on investments of $1,354,736, net investment income of $178,057, and total expenses of $746,269, resulting in a net increase in Owners’ capital from operations of $786,524. The NAV per Unit, Class 1, increased from $78.66 at December 31, 2012, to $81.01 as of June 30, 2013. The NAV per Unit, Class 2, increased from $99.55 at December 31, 2012, to $104.04 as of June 30, 2013. Total Class 1 subscriptions and redemptions for the period were $8,725 and $3,608,609, respectively. Total Class 2 redemptions for the period were $468,252. There were no subscriptions. Ending capital at June 30, 2013, was $19,323,354 for Class 1 and $2,739,675 for Class 2. Ending capital at December 31, 2012, was $22,266,758 for Class 1 and $3,077,883 for Class 2.

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

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Three of the six sectors traded in the Frontier Select Series were profitable in Q2 2013. Metals, Agriculturals and Stock Indices were positive while Interest Rates, Currencies and Energies were negative for the quarter.

Currencies, Metals, Agriculturals and Stock Indices are positive YTD while Interest Rates and Energies are negative YTD.

In terms of major CTA performance Tiverton finished positive for the quarter and is positive YTD while Brevan Howard and Transtrend finished negative for the quarter and are negative YTD.

The “Tiverton/Graham/Transtrend Series” name was changed to the “Frontier Select Series.” Graham was replaced by Brevan Howard as a major advisor in the Frontier Select Series.

2012

The Frontier Select Series – Class 1 NAV lost 5.2% for the six months ended June 30, 2012, net of fees and expenses; the Frontier Select Series – Class 2 NAV lost 4.3% for the six months ended June 30, 2012, net of fees and expenses.

For the six months ended June 30, 2012, the Frontier Select Series recorded net loss on investments of $618,415, net investment income of $83,962, and total expenses of $1,295,149, resulting in a net decrease in Owners’ capital from operations of $1,829,602. The NAV per Unit, Class 1, decreased from $91.02 at December 31, 2011, to $86.29 as of June 30, 2012. The NAV per Unit, Class 2, decreased from $111.84 at December 31, 2011, to $107.04 as of June 30, 2012. Total Class 1 subscriptions and redemptions for the period were $18,031 and $4,631,745, respectively. Total Class 2 redemptions for the period were $359,678. There were no subscriptions. Ending capital at June 30, 2012, was $28,912,334 for Class 1 and $3,898,644 for Class 2. Ending capital at December 31, 2011, was $35,180,631 for Class 1 and $4,433,341 for Class 2.

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

Frontier Select Series (formerly Tiverton/Graham/Transtrend Series)

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Three of the six sectors traded in the Frontier Select Series were profitable in Q2 2012. Metals, Agriculturals and Interest Rates were positive while Stock Indices, Currencies and Energies were negative for the quarter. One of the six sectors traded in the Frontier Select Series is profitable year to date. The Interest Rates sector is profitable while Stock Indices, Currencies, Metals, Agriculturals and Energies are negative year to date.

In terms of major CTA performance Transtrend finished positive while Tiverton and Graham finished negative for the quarter. One of the three major CTAs in the Frontier Select Series is profitable year to date. Transtrend is profitable while Tiverton and Graham are negative year to date.

Winton Series

2013

The Winton Series – Class 1 NAV gained 1.59% for the six months ended June 30, 2013, net of fees and expenses; the Winton Series – Class 2 NAV gained 3.09% for the six months ended June 30, 2013, net of fees and expenses.

For the six months ended June 30, 2013, the Winton Series recorded net gain on investments of $1,781,248, net investment income of $204,611, and total expenses of $1,121,735, resulting in a net increase in Owners’ capital from operations of $864,124. The NAV per Unit, Class 1, decreased from $130.73 at December 31, 2012, to $132.81 as of June 30, 2013. The NAV per Unit, Class 2, decreased from $158.30 at December 31, 2012, to $163.19 as of June 30, 2013. Total Class 1 subscriptions for the period were $91,099 and redemptions were $2,768,291. Total Class 2 redemptions for the period were $286,272. There were no subscriptions. Ending capital at June 30, 2013, was $28,506,866 for Class 1 and $10,353,328 for Class 2. Ending capital at December 31, 2012, was $30,645,208 for Class 1 and $10,314,326 for Class 2.

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

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Two of the six sectors traded in the Winton Series were profitable in Q2 2013. Metals and Stock Indices were positive while Currencies, Agriculturals, Energies and Interest Rates were negative for the quarter.

Metals, Agriculturals and Stock Indices are positive YTD while Currencies, Energies and Interest Rates are negative YTD.

2012

The Winton Series – Class 1 NAV lost 6.7% for the six months ended June 30, 2012, net of fees and expenses; the Winton Series – Class 2 NAV lost 5.3% for the six months ended June 30, 2012, net of fees and expenses.

For the six months ended June 30, 2012, the Winton Series recorded net loss on investments of $2,097,276, net investment income of $258,693, and total expenses of $1,254,654, resulting in a net decrease in Owners’ capital from operations of $3,093,237. The NAV per Unit, Class 1, decreased from $141.13 at December 31, 2011, to $131.72 as of June 30, 2012. The NAV per Unit, Class 2, decreased from $165.82 at December 31, 2011, to $157.12 as of June 30, 2012. Total Class 1 subscriptions for the period were $107,528 and redemptions were $1,786,093. Total Class 2 redemptions for the period were $466,906. There were no subscriptions. Ending capital at June 30, 2012, was $34,178,150 for Class 1 and $10,631,266 for Class 2. 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.

Winton Series

Two of the six sectors traded in the Winton Series were profitable in Q2 2012. Metals and Interest Rates were positive while Stock Indices, Currencies, Agriculturals and Energies were negative for the quarter. One of the six sectors traded in the Winton Series is profitable year to date. The Interest Rates sector is profitable while Stock Indices, Currencies, Metals, Agriculturals and Energies are negative year to date.

Frontier Heritage Series (formerly Winton/Graham Series)

2013

The Frontier Heritage Series – Class 1 NAV gained 3.73% for the six months ended June 30, 2013, net of fees and expenses; the Frontier Heritage Series – Class 2 NAV gained 5.28% for the six months ended June 30, 2013, net of fees and expenses.

For the six months ended June 30, 2013, the Frontier Heritage Series recorded net gain on investments of $1,345,719, net investment income of $72,996, and total expenses of $523,679, resulting in a net increase in Owners’ capital from operations of $895,036. The NAV per Unit, Class 1, increased from $94.55 at December 31, 2012, to $98.08 as of June 30, 2013. The NAV per Unit, Class 2, increased from $120.67 at December 31, 2012, to $127.04 as of June 30, 2013. Total Class 1 subscriptions for the period were $23,085 and redemptions were $3,512,281. Total Class 2 redemptions for the period were $676,244. There were no subscriptions. Ending capital at June 30, 2013, was $13,877,265 for Class 1 and $3,605,870 for Class 2. Ending capital at December 31, 2012, was $16,680,498 for Class 1 and $4,073,041 for Class 2.

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

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Two of the six sectors traded in the Frontier Heritage Series were profitable in Q2 2013. Metals and Stock Indices were positive while Agriculturals, Interest Rates, Currencies and Energies were negative for the quarter.

Currencies, Metals, Agriculturals and Stock Indices are positive YTD while Interest Rates and Energies are negative YTD.

In terms of major CTA performance, both Brevan Howard and Winton finished negative for the quarter . Winton is positive YTD while Brevan Howard is negative YTD.

The “Winton/Graham Series” name was changed to the “Frontier Heritage Series.” Graham was replaced by Brevan Howard as a major advisor in the Frontier Heritage Series.

2012

The Frontier Heritage Series – Class 1 NAV lost 8.3% for the six months ended June 30, 2012, net of fees and expenses; the Frontier Heritage Series – Class 2 NAV lost 6.9% for the six months ended June 30, 2012, net of fees and expenses.

For the six months ended June 30, 2012, the Frontier Heritage Series recorded net loss on investments of $1,161,830, net investment income of $53,990, and total expenses of $1,030,518, resulting in a net decrease in Owners’ capital from operations of $2,138,358. The NAV per Unit, Class 1, decreased from $104.73 at December 31, 2011, to $96.05 as of June 30, 2012. The NAV per Unit, Class 2, decreased from $129.70 at December 31, 2011, to $120.78 as of June 30, 2012. Total Class 1 subscriptions for the period were $31,984 and redemptions were $3,272,198. Total Class 2 redemptions for the period were $1,072,717. There were no subscriptions. Ending capital at June 30, 2012, was $19,729,727 for Class 1 and $4,592,671 for Class 2. Ending capital at December 31, 2011, was $24,783,519 for Class 1 and $5,990,168 for Class 2.

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

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Frontier Heritage Series (formerly Winton/Graham Series)

Two of the six sectors traded in the Frontier Heritage Series were profitable in Q2 2012. Metals and Interest Rates were positive while Stock Indices, Energies, Agriculturals and Currencies were negative for the quarter.

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

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

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

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

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

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

Quantitative Market Risk

Trading Risk

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

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

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

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

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

Value at Risk by Market Sectors

The following table presents the trading value at risk associated with each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of June 30, 2013 and December 31, 2012. 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	June 30, 2013					December 31, 2012
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	3,045,742		3.40	%	$	10,668,213		9.30	%
Currencies		9,709,050		10.80	%		6,944,890		6.00	%
Stock Indices		2,842,806		3.20	%		6,884,232		6.00	%
Metals		1,030,652		1.20	%		529,904		0.50	%
Agriculturals/Softs		2,691,273		3.00	%		2,106,237		1.80	%
Energy		970,239		1.10	%		826,602		0.70	%
Total:	$	20,289,763		22.60	%	$	27,960,078		24.30	%

Frontier Long/Short Commodity Series

MARKET SECTOR	June 30, 2013					December 31, 2012
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	454,141		1.00	%	$	1,456,457		2.60	%
Currencies		489,519		1.10	%		649,353		1.10	%
Stock Indices		543,384		1.20	%		915,438		1.60	%
Metals		376,222		0.90	%		430,652		0.80	%
Agriculturals/Softs		1,974,538		4.40	%		2,128,861		3.80	%
Energy		2,188,335		4.90	%		1,768,300		3.10	%
Total:	$	6,026,139		13.50	%	$	7,349,062		13.00	%

Frontier Masters Series

MARKET SECTOR	June 30, 2013					December 31, 2012
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	932,426		2.10	%	$	2,289,229		4.40	%
Currencies		6,812,779		15.40	%		2,293,953		4.50	%
Stock Indices		822,239		1.90	%		1,147,721		2.20	%
Metals		413,281		0.90	%		74,930		0.10	%
Agriculturals/Softs		567,651		1.30	%		182,665		0.40	%
Energy		146,937		0.30	%		83,701		0.20	%
Total:	$	9,695,313		21.80	%	$	6,072,199		11.80	%

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Balanced Series (1):

	June 30, 2013					December 31, 2012
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	4,623,636		2.80	%	$	21,555,846		10.80	%
Currencies		13,576,883		8.20	%		15,370,708		7.70	%
Stock Indices		4,520,873		2.70	%		13,812,873		6.90	%
Metals		1,541,914		0.90	%		1,031,714		0.50	%
Agriculturals/Softs		4,265,789		2.60	%		4,076,766		2.00	%
Energy		1,310,069		0.80	%		1,493,380		0.70	%
Total:	$	29,839,163		18.00	%	$	57,341,288		28.60	%

Frontier Select Series (formerly Frontier Select Series (formerly Tiverton/Graham/Transtrend Series)):

	June 30, 2013					December 31, 2012
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
MARKET SECTOR	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
Interest Rates	$	56,595		0.30	%	$	1,108,185		4.40	%
Currencies		3,561,273		16.10	%		1,324,364		5.20	%
Stock Indices		196,008		0.90	%		864,109		3.40	%
Metals		146,657		0.70	%		71,543		0.30	%
Agriculturals/Softs		76,806		0.40	%		206,823		0.80	%
Energy		11,530		0.10	%		116,831		0.50	%
Total:	$	4,048,868		18.40	%	$	3,691,855		14.60	%

Winton Series:

MARKET SECTOR	June 30, 2013					December 31, 2012
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	407,601		1.10	%	$	1,355,328		3.30	%
Currencies		2,860,147		7.40	%		2,941,414		7.20	%
Stock Indices		638,024		1.60	%		992,759		2.40	%
Metals		236,665		0.60	%		70,872		0.20	%
Agriculturals/Softs		641,489		1.70	%		241,874		0.60	%
Energy		206,779		0.50	%		85,535		0.20	%
Total:	$	4,990,706		12.80	%	$	5,687,781		13.90	%

Frontier Heritage Series (formerly Winton/Graham Series):

	June 30, 2013					December 31, 2012
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
MARKET SECTOR	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
Interest Rates	$	91,507		0.50	%	$	1,660,955		8.00	%
Currencies		642,105		3.70	%		2,207,110		10.60	%
Stock Indices		143,237		0.80	%		1,031,543		5.00	%
Metals		53,132		0.30	%		104,133		0.50	%
Agriculturals/Softs		144,015		0.82	%		311,136		1.50	%
Energy		46,422		0.30	%		161,051		0.80	%
Total:	$	1,120,417		6.40	%	$	5,475,927		26.40	%

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(1) As of June 30, 2013 and December 31, 2012, a portion of the assets of the Balanced Series was invested in an Option of futures contracts with a notional value of $52,651,671 and $20,486,403, respectively. Margin information is not available for these contracts therefore no value at risk calculations were included in the table for these investments.

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

The face value of the market sector instruments held on behalf of the Series is typically many times the applicable maintenance margin requirement, which generally ranges between approximately 1% and 10% of contract face value, as well as many times the capitalization of the Series. The magnitude of each Series’ open positions creates a risk of ruin not typically found in most other investment vehicles. Because of the size of their positions, certain market conditions, although unusual, but historically recurring from time to time, could cause a Series to incur severe losses over a short period of time. The value at risk table above, as well as the past performance of the Series, gives no indication of this risk of ruin.

Non-Trading Risk

The Series have non-trading market risk on their foreign cash balances not needed for margin. However, these balances, as well as the market risk they represent, are immaterial. The Series also have non-trading market risk as a result of investing a portion of their available assets in U.S. government securities which include any security issued or guaranteed as to principal or interest by the U.S., or by a person controlled by or supervised by and acting as an instrumentality of the government of the U.S. pursuant to authority granted by Congress of the U.S. or any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the U.S. government, and certain cash items such as money market funds, certificates of deposit (under nine months) and time deposits. The market risk represented by these investments is also immaterial.

Qualitative Market Risk

The following are the primary trading risk exposures of the Series of the Trust as of June 30, 2013, by market sector.

Interest rates

Interest rate risk is one of the principal market exposures of each Series. Interest rate movements directly affect the price of interest rate futures positions held and indirectly the value of a Trading Company’s stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact profitability. The primary interest rate exposure is to interest rate fluctuations in the U.S. and the other G-7 countries. However, the Trading Companies also may take futures positions on the government debt of smaller nations. The Managing Owner anticipates that G-7 interest rates will remain the primary market exposure of each Trading Company and accordingly of each Series for the foreseeable future. The changes in interest rates which are expected to have the most effect on the Series are changes in long-term, as opposed to short-term rates. Most of the speculative positions to be held by the Trading Companies will be in medium- to long-term instruments. Consequently, even a material change in short-term rates is expected to have little effect on the Series if the medium- to long-term rates remain steady. Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Frontier Select Series Series (formerly Tiverton/Graham/Transtrend Series), Currency Series and Frontier Heritage Series (formerly 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.

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Stock Indices

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

Metals

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

Agriculturals/Softs

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

Energy

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

Other Trading Risks

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

The Trading Companies’ trading is subject to execution risks. Market conditions may make it impossible for the Trading Advisors to execute a buy or sell order at the desired price, or to close out an open position. Daily price fluctuation limits are established by the 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

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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.

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ITEM 4. CONTROLS AND PROCEDURES

Evaluation of disclosure controls and procedures

Under the supervision and with the participation of the management of the Managing Owner, including its Chief Executive Officer and Chief Financial Officer, the Trust evaluated the effectiveness of the design and operation of the disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), for the Trust and each Series as of June 30, 2013 (the “Evaluation Date”). Any control system, no matter how well designed and operated, can provide only reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected. Based upon our evaluation, the Chief Executive Officer and Chief Financial Officer of the Managing Owner concluded that, as of the Evaluation Date, the disclosure controls and procedures for the Trust and each Series were effective to provide reasonable assurance that they are timely alerted to the material information relating to the Trust and each Series required to be included in the Trust’s periodic SEC filings.

Changes in Internal Control Over Financial Reporting

There were no changes in the Trust’s internal control over financial reporting during the six months ended June 30, 2013, that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.

Scope of Exhibit 31 Certifications

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

PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS.

None

ITEM 1A. RISK FACTORS.

The section entitled “Risk Factors” beginning on page 20 of the Prospectus filed pursuant to Rule 424(b)(3) (File No. 333-185695) is incorporated by reference into this section.

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

The following table provides information regarding the sale of unregistered Units by the Registrant for the three months ended June 30, 2013. The number of Units listed below for each transaction is the aggregate number of Units in the particular Series of the Trust purchased in such transaction. The consideration listed below for each transaction is, except as otherwise noted, the aggregate amount of cash paid for the Units purchased. For each transaction reported below, the price per Unit was NAV per Unit at the time of the transaction and the Managing Owner of the Trust was the purchaser of the Units. No underwriting discount or sales commission was paid or received with respect to any of the transactions reported below. The Registrant claims an exemption from registration of each of the transactions listed below under Section 4(2) of the Securities Act, as a sale by an issuer not involving a public offering.

SERIES	DATE	UNITS	CONSIDERATION
NONE

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

ITEM 3. DEFAULTS UPON SENIOR SECURITIES.

None

ITEM 4. MINE SAFETY DISCLOSURES.

Not applicable.

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ITEM 5. OTHER INFORMATION.

None

ITEM 6. EXHIBITS.

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

4.1	Declaration of Trust and Amended and Restated Trust Agreement of the Registrant (annexed to the prospectus as Exhibit A) ****
31.1	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 1 3a-14(a) and 15(d)-14(a) of the Securities Exchange Act of 1934 (furnished herewith)
31.2	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 1 3a-14(a) and 1 5(d)-14(a) of the Securities Exchange Act of 1934 (furnished herewith)
32.1	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.2	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.3	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.4	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.5	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.6	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.7	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.8	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
101	Financials in XBRL format

**** Previously filed and incorporated by reference from the Prospectus filed pursuant to Rule 424(b)(3) filed May 24, 2013.

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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: August 14, 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

123

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: August 14, 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

124

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 Heritage Series (formerly Winton/Graham Series),
	a Series of The Frontier Fund
	(Registrant)
Date: August 14, 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

125

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: August 14, 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

126

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 Select Series (formerly Tiverton/Graham/Transtrend Series),
	a Series of The Frontier Fund (Registrant)
Date: August 14, 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

127

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: August 14, 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

128

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: August 14, 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

129

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: August 14, 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

130