Frontier Funds 10-Q 2012 Q1 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM 10-Q

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

For the Period Ended March 31, 2012

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; TIVERTON/GRAHAM/TRANSTREND SERIES;

CURRENCY SERIES; WINTON SERIES; WINTON/GRAHAM SERIES;

FRONTIER DYNAMIC SERIES; LONG ONLY COMMODITY SERIES;

MANAGED FUTURES INDEX 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;

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

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

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

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

Indicate by check mark 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.	Series Financial Statements
	Statements of Financial Condition as of March 31, 2012 (Unaudited) and December 31, 2011	4
	Condensed Schedules of Investments as of March 31, 2012 (Unaudited) and December 31, 2011	7
	Statements of Operations for the three months ended March 31, 2012 and 2011 (Unaudited)	13
	Statements of Changes in Capital for the three months ended March 31, 2012 (Unaudited)	16
	Statements of Cash Flows for the three months ended March 31, 2012 and 2011 (Unaudited)	21
	Notes to Financial Statements (Unaudited)	24
	Trust Financial Statements (1)
	Consolidated Statements of Financial Condition as of March 31, 2012 (Unaudited) and December 31, 2011	56
	Consolidated Condensed Schedules of Investments as of March 31, 2012 (Unaudited) and December 31, 2011	57
	Consolidated Statements of Operations for the three months ended March 31, 2012 and 2011 (Unaudited)	59
	Consolidated Statements of Changes in Capital for the three months ended March 31, 2012 (Unaudited)	60
	Consolidated Statements of Cash Flows for the three months ended March 31, 2012 and 2011 (Unaudited)	61
	Consolidated Notes to Financial Statements (Unaudited)	62
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	75
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	96
Item 4.	Controls and Procedures	104
PART II – OTHER INFORMATION
Item 1.	Legal Proceedings	104
Item 1A.	Risk Factors	104
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	104
Item 3.	Defaults Upon Senior Securities	104
Item 4.	Mine Safety Disclosures	104
Item 5.	Other Information	105
Item 6.	Exhibits	105
SIGNATURES		106

(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 MARCH 31, 2012, 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

March 31, 2012 and December 31, 2011

	Frontier Diversified				Frontier Masters				Frontier Long/Short
	Series				Series				Commodity Series
	3/31/2012		12/31/2011		3/31/2012		12/31/2011		3/31/2012		12/31/2011
	(Unaudited)				(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents	$	208,430	$	4,976,749	$	713,343	$	2,234,716	$	217,575	$	3,045,849
U.S. Treasury securities, at fair value		12,887,155		16,557,304		6,259,593		7,232,546		8,082,038		9,466,240
Custom time deposits		69,275,684		75,318,509		33,648,820		32,900,559		43,445,484		43,061,546
Receivable from futures commission merchants		—		—		5,928,797		5,107,749		21,873,657		47,822,021
Open trade equity, at fair value		—		—		466,891		792,372		2,286,023		—
Swap contracts, at fair value		—		131,004		—		57,225		—		74,898
Investments in unconsolidated trading companies, at fair value		43,932,450		38,240,171		9,177,952		4,717,914		5,231,394		4,081,988
Prepaid service fees - Class 1		106,444		162,977		48,707		50,950		80,515		96,503
Interest receivable		60,361		228,877		29,319		99,978		37,855		130,855
Receivable from related parties		216,264		16,362		—		—		154,793		4,071
Other assets		11,167		10,129		6,436		6,162		9,637		9,592
Total Assets	$	126,697,955	$	135,642,082	$	56,279,858	$	53,200,171	$	81,418,971	$	107,793,563
LIABILITIES & CAPITAL
LIABILITIES
Open trade deficit, at fair value	$	—	$	—	$	—	$	—	$	—	$	25,934,678
Options written, at fair value		—		—		—		—		231,913		—
Pending owner additions		55,989		243,088		296,766		22,716		94,093		40,966
Owner redemptions payable		240,212		321,138		3,350		4,996		79,969		84,705
Incentive fees payable to Managing Owner		30,736		522,033		5,203		—		56,419		127,052
Management fees payable to Managing Owner		171,578		180,232		120,761		117,541		305,232		284,677
Interest payable to Managing Owner		49,750		53,915		23,216		23,408		30,669		30,614
Trading fees payable to Managing Owner		258,638		269,021		109,061		105,278		88,043		83,646
Trailing service fees payable to Managing Owner		82,113		76,877		45,100		41,911		15,594		22,920
Payables to related parties		50,000		—		108,265		56		—		—
Other liabilities		8,493		2,174		3,486		856		4,914		—
Total Liabilities		947,509		1,668,478		715,208		316,762		906,846		26,609,258
CAPITAL
Managing Owner Units - Class 1		26,187		27,334		27,761		27,569		—		—
Managing Owner Units - Class 1a		—		—		—		—		14,135		14,271
Managing Owner Units - Class 2		1,430,606		1,486,740		596,591		589,893		495,978		499,336
Managing Owner Units - Class 2a		—		—		—		—		281,260		282,740
Limited Owner Units - Class 1		68,045,766		72,397,572		34,995,171		34,062,567		1,449,541		4,159,047
Limited Owner Units - Class 1a		—		—		—		—		20,078,353		18,877,124
Limited Owner Units - Class 2		56,247,887		60,061,958		17,713,561		18,144,968		8,462,170		8,689,426
Limited Owner Units - Class 2a		—		—		—		—		11,220,111		10,628,724
Limited Owner Units - Class 3		—		—		—		—		27,652,652		27,810,058
Total Owners’ Capital		125,750,446		133,973,604		53,333,084		52,824,997		69,654,200		70,960,726
Non-Controlling Interests		—		—		2,231,566		58,412		10,857,925		10,223,579
Total Capital		125,750,446		133,973,604		55,564,650		52,883,409		80,512,125		81,184,305
Total Liabilities and Capital	$	126,697,955	$	135,642,082	$	56,279,858	$	53,200,171	$	81,418,971	$	107,793,563
Units Outstanding
Class 1		714,839		728,645		346,942		340,052		10,801		30,551
Class 1a		N/A		N/A		N/A		N/A		166,679		155,216
Class 2		576,579		592,037		172,698		178,710		55,682		56,731
Class 2a		N/A		N/A		N/A		N/A		90,872		85,760
Class 3		N/A		N/A		N/A		N/A		171,893		171,708
Net Asset Value per Unit
Class 1	$	95.23	$	99.40	$	100.95	$	100.25	$	134.21	$	136.13
Class 1a		N/A		N/A		N/A		N/A	$	120.55	$	121.71
Class 2	$	100.04	$	103.96	$	106.02	$	104.83	$	160.88	$	161.97
Class 2a		N/A		N/A		N/A		N/A	$	126.57	$	127.23
Class 3		N/A		N/A		N/A		N/A	$	160.87	$	161.96

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

4

The Series of the Frontier Fund

Statements of Financial Condition

March 31, 2012 and December 31, 2011

	Balanced Series				Tiverton/Graham/Transtrend Series (1)				Currency Series
	3/31/2012		12/31/2011		3/31/2012		12/31/2011		3/31/2012		12/31/2011
	(Unaudited)				(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents	$	852,821	$	9,758,138	$	194,842	$	1,352,378	$	17,513	$	182,875
U.S. Treasury securities, at fair value		21,090,149		29,168,216		4,279,651		4,347,398		236,656		326,517
Custom time deposits		113,371,372		132,685,042		23,005,524		19,776,137		1,272,156		1,485,313
Receivable from futures commission merchants		93,698,529		74,736,294		—		—		—		—
Open trade equity, at fair value		12,254,991		13,104,541		—		—		—		—
Swap contracts, at fair value		24,282,681		23,819,312		—		34,397		—		2,583
Investments in unconsolidated trading companies, at fair value		20,977,069		18,255,809		9,129,543		8,234,047		2,219,131		2,352,121
Investment in Berkeley Quantitative Colorado Fund LLC, at fair value		—		—		—		6,270,844		—		—
Interest receivable		98,783		403,201		20,045		60,095		1,108		4,514
Receivable from related parties		500,436		—		—		—		—		—
Other assets		57,570		48,273		8,710		7,914		549		497
Total Assets	$	287,184,401	$	301,978,826	$	36,638,315	$	40,083,210	$	3,747,113	$	4,354,420
LIABILITIES & CAPITAL
LIABILITIES
Options written, at fair value	$	2,212,417	$	3,326,453	$	—	$	—	$	—	$	—
Pending owner additions		40,709		45,208		3,113		3,396		4,241		4,509
Owner redemptions payable		362,838		84,710		51,371		182,552		1,672		15,694
Incentive fees payable to Managing Owner		—		1,195,031		—		—		—		—
Management fees payable to Managing Owner		228,444		241,525		87,029		101,400		—		—
Interest payable to Managing Owner		367,519		397,864		63,302		68,021		4,442		5,681
Trading fees payable to Managing Owner		157,680		176,398		23,514		25,212		2,429		2,727
Trailing service fees payable to Managing Owner		400,112		435,380		80,660		87,016		5,365		6,285
Payables to related parties		2,900		2,408		47,558		268		135		52
Other liabilities		26,343		8,437		1,943		1,373		136		115
Total Liabilities		3,798,962		5,913,414		358,490		469,238		18,420		35,063
CAPITAL
Managing Owner Units - Class 2		3,230,815		3,351,608		7,813		7,878		2,468		2,563
Managing Owner Units - Class 2a		153,241		158,814		—		—		—		—
Limited Owner Units - Class 1		167,728,802		183,785,318		32,122,523		35,180,631		3,654,394		4,228,350
Limited Owner Units - Class 1a		480,341		2,536,559		—		—		—		—
Limited Owner Units - Class 2		55,237,206		60,020,959		4,149,489		4,425,463		71,831		88,444
Limited Owner Units - Class 2a		1,373,108		2,626,016		—		—		—		—
Limited Owner Units - Class 3a		4,136,098		2,952,802		—		—		—		—
Total Owners’ Capital		232,339,611		255,432,076		36,279,825		39,613,972		3,728,693		4,319,357
Non-Controlling Interests		51,045,828		40,633,336		—		—		—		—
Total Capital		283,385,439		296,065,412		36,279,825		39,613,972		3,728,693		4,319,357
Total Liabilities and Capital	$	287,184,401	$	301,978,826	$	36,638,315	$	40,083,210	$	3,747,113	$	4,354,420
Units Outstanding
Class 1		1,408,020		1,476,131		358,404		386,533		54,247		59,997
Class 1a		4,625		23,388		N/A		N/A		N/A		N/A
Class 2		391,256		408,793		37,482		39,641		881		1,039
Class 2a		12,325		21,697		N/A		N/A		N/A		N/A
Class 3a		33,395		23,005		N/A		N/A		N/A		N/A
Net Asset Value per Unit
Class 1	$	119.12	$	124.50	$	89.63	$	91.02	$	67.37	$	70.48
Class 1a	$	103.87	$	108.45		N/A		N/A		N/A		N/A
Class 2	$	149.44	$	155.02	$	110.92	$	111.84	$	84.37	$	87.61
Class 2a	$	123.84	$	128.35		N/A		N/A		N/A		N/A
Class 3a	$	123.85	$	128.36		N/A		N/A		N/A		N/A

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

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

5

The Series of the Frontier Fund

Statements of Financial Condition

March 31, 2012 and December 31, 2011

	Winton Series				Winton/Graham Series
	3/31/2012 (Unaudited)		12/31/2011		3/31/2012 (Unaudited)		12/31/2011
ASSETS
Cash and cash equivalents	$	161,765	$	2,051,272	$	113,819	$	1,156,042
U.S. Treasury securities, at fair value		6,711,143		7,821,927		2,958,197		3,839,855
Custom time deposits		36,076,155		35,581,630		15,901,969		17,467,347
Swap Contracts, at fair value		—		61,888		—		30,381
Investments in unconsolidated trading companies, at fair value		5,458,137		4,731,916		9,152,173		8,473,424
Interest receivable		31,434		108,125		13,856		53,079
Other assets		9,285		6,890		7,981		6,520
Total Assets	$	48,447,919	$	50,363,648	$	28,147,995	$	31,026,648
LIABILITIES & CAPITAL
LIABILITIES
Pending owner additions	$	18,463	$	18,811	$	5,605	$	5,763
Owner redemptions payable		10,299		10,618		180,576		15,451
Management fees payable to Managing Owner		90,713		90,559		102,358		100,311
Interest payable to Managing Owner		82,785		84,494		48,855		52,268
Trading fees payable to Managing Owner		30,741		31,302		18,203		19,427
Trailing service fees payable		75,542		78,044		53,365		57,141
Payables to related parties		627		319		340		356
Other liabilities		2,542		1,377		1,501		2,244
Total Liabilities		311,712		315,524		410,803		252,961
CAPITAL
Managing Owner Units - Class 2		33,766		34,276		55,776		55,553
Limited Owner Units - Class 1		36,610,938		38,345,799		22,496,784		24,783,519
Limited Owner Units - Class 2		11,491,503		11,668,049		5,184,632		5,934,615
Total Owners’ Capital		48,136,207		50,048,124		27,737,192		30,773,687
Non-Controlling Interests		—		—		—		—
Total Capital		48,136,207		50,048,124		27,737,192		30,773,687
Total Liabilities and Capital	$	48,447,919	$	50,363,648	$	28,147,995	$	31,026,648
Units Outstanding
Class 1		265,304		271,704		215,549		236,649
Class 2		70,555		70,575		40,241		46,183
Net Asset Value per Unit
Class 1	$	138.00	$	141.13	$	104.37	$	104.73
Class 2	$	163.35	$	165.82	$	130.23	$	129.70

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

6

The Series of the Frontier Fund

Condensed Schedules of Investments (Unaudited)

March 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	%	$	(40,589	)		-0.07	%	$	(308,917	)		-0.38	%
Various base metals futures contracts (Europe)			—		0.00	%		(13,540	)		-0.02	%		(1,244,983	)		-1.55	%
Various currency futures contracts (U.S.)			—		0.00	%		(18,926	)		-0.03	%		(72,705	)		-0.09	%
Various currency futures contracts (Europe)			—		0.00	%		3,450			0.01	%		(42,656	)		-0.05	%
Various currency futures contracts (Far East)			—		0.00	%		—			0.00	%		—			0.00	%
Various energy futures contracts (U.S.)			—		0.00	%		(43,941	)		-0.08	%		1,614,105			2.00	%
Light Crude Oil Settling 9/1/13 (Number of Contracts: 1,002)			—		0.00	%		—			0.00	%		3,444,480			4.28	%
Heating Oil Settling 9/1/12 (Number of Contracts: 383)			—		0.00	%		—			0.00	%		4,098,091			5.09	%
Heating Oil Settling 12/1/12 (Number of Contracts: 386)			—		0.00	%		—			0.00	%		2,055,949			2.55	%
NYM RBOB Gas Settling 7/1/12 (Number of Contracts: 370)			—		0.00	%		—			0.00	%		(1,857,719	)		-2.31	%
NYM RBOB Gas Settling 10/1/12 (Number of Contracts: 243)			—		0.00	%		—			0.00	%		1,980,426			2.46	%
NYM RBOB Gas Settling 12/1/12 (Number of Contracts: 689)			—		0.00	%		—			0.00	%		4,767,845			5.92	%
Various energy futures contracts (Europe)			—		0.00	%		41,990			0.08	%		673,810			0.84	%
ICE Brent Crude Oil Settling 5/1/12 (Number of Contracts: 421)			—		0.00	%		—			0.00	%		(890,730	)		-1.11	%
ICE Brent Crude Oil Settling 6/1/12 (Number of Contracts: 89)			—		0.00	%		—			0.00	%		1,377,720			1.71	%
ICE Brent Crude Oil Settling 9/1/12 (Number of Contracts: 476)			—		0.00	%		—			0.00	%		3,059,200			3.80	%
ICE Brent Crude Oil Settling 6/1/13 (Number of Contracts: 152)			—		0.00	%		—			0.00	%		1,244,040			1.55	%
ICE Brent Crude Oil Settling 12/1/13 (Number of Contracts: 541)			—		0.00	%		—			0.00	%		5,004,860			6.22	%
Various energy futures contracts (Far East)			—		0.00	%		(3,289	)		-0.01	%					0.00	%
Various interest rates futures contracts (U.S.)			—		0.00	%		(5,816	)		-0.01	%		—			0.00	%
Various interest rates futures contracts (Canada)			—		0.00	%		(2,115	)		0.00	%		—			0.00	%
Various interest rates futures contracts (Europe)			—		0.00	%		192,460			0.35	%		—			0.00	%
Various interest rates futures contracts (Far East)			—		0.00	%		(17,865	)		-0.03	%		—			0.00	%
Various precious metals futures contracts (U.S.)			—		0.00	%		(9,910	)		-0.02	%		(122,088	)		-0.15	%
Various precious metals futures contracts (Far East)			—		0.00	%		(19,530	)		-0.04	%		—			0.00	%
Various soft futures contracts (U.S.)			—		0.00	%		137,637			0.25	%		743,449			0.92	%
Coffee @ CSCE Settling 5/1/12 (Number of Contracts: 254)			—		0.00	%		—			0.00	%		(2,211,844	)		-2.75	%
Corn Setttling 12/1/12 (Number of Contracts: 1,350)			—		0.00	%		—			0.00	%		(7,040,541	)		-8.74	%
Various soft futures contracts (Far East)					0.00	%		2,773			0.00	%		—			0.00	%
Various stock index futures contracts (U.S.)			—		0.00	%		23,055			0.04	%		339,895			0.42	%
Various stock index futures contracts (Canada)			—		0.00	%		(2,149	)		0.00	%		—			0.00	%
Various stock index futures contracts (Europe)			—		0.00	%		(29,279	)		-0.05	%		21,015			0.03	%
Various stock index futures contracts (Far East)			—		0.00	%		46,069			0.08	%		—			0.00	%
Total Long Futures Contracts			—		0.00	%		240,485			0.45	%		16,632,702			20.66	%
OPTIONS PURCHASED *			—		0.00	%		—			0.00	%		749,205			0.93	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)			—		0.00	%		(3,345	)		-0.01	%		151,994			0.19	%
Various base metals futures contracts (Europe)			—		0.00	%		26,254			0.05	%		1,067,098			1.33	%
Various currency futures contracts (U.S.)			—		0.00	%		(36,153	)		-0.07	%		(31,638	)		-0.04	%
Various currency futures contracts (Europe)			—		0.00	%		(76,808	)		-0.14	%		(175,509	)		-0.22	%
Various currency futures contracts (Far East)			—		0.00	%		(2,756	)		0.00	%		—			0.00	%
Various energy futures contracts (U.S.)			—		0.00	%		353,920			0.64	%		1,002,655			1.25	%
Light Crude Oil Settling 12/1/12 (Number of Contracts: 524)			—		0.00	%		—			0.00	%		2,117,596			2.63	%
Light Crude Oil Settling 12/1/13 (Number of Contracts: 2,553)			—		0.00	%		—			0.00	%		(1,180,682	)		-1.47	%
Heating Oil Settling 6/1/12 (Number of Contracts: 730)			—		0.00	%		—			0.00	%		(5,762,636	)		-7.16	%
NYM RBOB Gas Settling 6/1/12 (Number of Contracts: 1,253)			—		0.00	%		—			0.00	%		2,159,304			2.68	%
NYM RBOB Gas Settling 8/1/12 (Number of Contracts: 169)			—		0.00	%		—			0.00	%		880,085			1.09	%
Various energy futures contracts (Europe)			—		0.00	%		—			0.00	%		(728,748	)		-0.91	%
ICE Brent Crude Oil Settling 7/1/12 (Number of Contracts: 291)			—		0.00	%		—			0.00	%		(1,123,260	)		-1.40	%
ICE Brent Crude Oil Settling 8/1/12 (Number of Contracts: 185)			—		0.00	%		—			0.00	%		(2,261,960	)		-2.81	%
ICE Brent Crude Oil Settling 12/1/12 (Number of Contracts: 1,245)			—		0.00	%		—			0.00	%		(15,272,920	)		-18.97	%
Various energy futures contracts (Far East)			—		0.00	%		—			0.00	%		—			0.00	%
Various interest rates futures contracts (US)			—		0.00	%		(58,652	)		-0.11	%		(7,016	)		-0.01	%
Various interest rates futures contracts (Canada)			—		0.00	%		2,030			0.00	%		—			0.00	%
Various interest rates futures contracts (Europe)			—		0.00	%		(12,357	)		-0.02	%		—			0.00	%
Various interest rates futures contracts (Far East)			—		0.00	%		(14,872	)		-0.03	%		(7,582	)		-0.01	%
Various precious metals futures contracts (U.S.)			—		0.00	%		—			0.00	%		(36,370	)		-0.05	%
Various soft futures contracts (U.S.)			—		0.00	%		5,388			0.01	%		617,023			0.77	%
Cattle Live Settling 6/1/12 (Number of Contracts: 208)			—		0.00	%		—			0.00	%		852,075			1.06	%
Coffee @ CSCE Settling 7/1/12 (Number of Contracts: 250)			—		0.00	%		—			0.00	%		2,185,290			2.71	%
Corn Settling 7/1/12 (Number of Contracts: 1,064)			—		0.00	%		—			0.00	%		1,383,838			1.72	%
Corn Settling 9/1/12 (Number of Contracts: 1,097)			—		0.00	%		—			0.00	%		1,439,559			1.79	%
Soybeans Settling 11/1/12 (Number of Contracts: 965)			—		0.00	%		—			0.00	%		(2,364,080	)		-2.94	%
Various soft futures contracts (Far East)			—		0.00	%		—			0.00	%		—			0.00	%
Various stock index futures contracts (U.S.)			—		0.00	%		55,128			0.10	%		—			0.00	%
Various stock index futures contracts (Canada)			—		0.00	%		—			0.00	%		—			0.00	%
Various stock index futures contracts (Europe)			—		0.00	%		6,513			0.01	%		—			0.00	%
Various stock index futures contracts (Far East)			—		0.00	%		(18,134	)		-0.03	%		—			0.00	%
Total Short Futures Contracts			—		0.00	%		226,156			0.40	%		(15,095,884	)		-18.77	%
CURRENCY FORWARDS *			—		0.00	%		250			0.00	%		—			0.00	%
Total Open Trade Equity (Deficit)		$	—		0.00	%	$	466,891			0.84	%	$	2,286,023			2.82	%
OPTIONS WRITTEN *		$	—		0.00	%	$	—			0.00	%	$	(231,913	)		-0.29	%
U.S. TREASURY SECURITIES
FACE VALUE		Fair Value					Fair Value						Fair Value
$21,500,000.00	US Treasury Note 3.875% due 02/15/2013 (Cost $21,675,697) (1)	$	4,572,603		3.64	%	$	2,221,020			4.00	%	$	2,867,658			3.56	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $37,247,315) (1)		8,314,552		6.61	%		4,038,573			7.27	%		5,214,380			6.48	%
			$12,887,155		10.25	%	$	6,259,593			11.27	%	$	8,082,038			10.04	%
Additional Disclosure on U.S. Treasury Securities		Face Value					Face Value						Face Value
U.S. Treasury Note 3.875% due 02/15/2013 (1)		$	4,432,856				$	2,153,142					$	2,780,017
U.S. Treasury Note 4.000% due 02/15/2015 (1)			7,566,783					3,675,364						4,745,425
		$	11,999,639				$	5,828,506					$	7,525,442
		Cost					Cost						Cost
U.S. Treasury Note 3.875% due 02/15/2013 (1)		$	4,630,257				$	2,249,024					$	2,903,815
U.S. Treasury Note 4.000% due 02/15/2015 (1)			7,838,123					3,807,160						4,915,593
		$	12,468,380				$	6,056,184					$	7,819,408

* 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.

7

The Series of the Frontier Fund

Condensed Schedules of Investments (Unaudited)

March 31, 2012

	Balanced Series						Tiverton/Graham/ Transtrend Series (2)					Currency Series
Description	Value			% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	(1,728,732	)		-0.61	%	$	—		0.00	%	$	—		0.00	%
Various base metals futures contracts (Europe)		(1,410,896	)		-0.50	%		—		0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		(253,722	)		-0.09	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		121,534			0.04	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Far East)		—			0.00	%		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		(1,643,979	)		-0.58	%		—		0.00	%		—		0.00	%
Various energy futures contracts (Europe)		(1,076,865	)		-0.38	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		127,168			0.04	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		(40,667	)		-0.01	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		947,112			0.33	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		207,196			0.07	%		—		0.00	%		—		0.00	%
Various precious metals futures contracts (U.S.)		(36,147	)		-0.01	%		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		693,736			0.24	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)		51,521			0.02	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Far East)		41,864			0.01	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		1,184,669			0.42	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)		(11,488	)		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		(1,307,065	)		-0.46	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		145,166			0.05	%		—		0.00	%		—		0.00	%
Total Long Futures Contracts		(3,989,595	)		-1.42	%		—		0.00	%		—		0.00	%
OPTIONS PURCHASED *		7,334,590			2.59	%		—		0.00	%		—		0.00	%
Copper @ LME Settling 12/1/12, Put @ 8,500 (Number of Contracts: 230)		4,608,108			1.63	%		—		0.00	%		—		0.00	%
Total Options Purchased		11,942,698			4.22	%		—		0.00	%		—		0.00	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)		1,967,989			0.69	%		—		0.00	%		—		0.00	%
Various base metals futures contracts (Europe)		2,772,487			0.97	%		—		0.00	%		—		0.00	%
Various currency futures contracts (US)		(9,941	)		0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		(18,141	)		-0.01	%		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		2,089,475			0.74	%		—		0.00	%		—		0.00	%
Various energy futures contracts (Europe)		484,420			0.17	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		(940,761	)		-0.33	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		(44,859	)		-0.02	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		(55,241	)		-0.02	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		(409,963	)		-0.14	%		—		0.00	%		—		0.00	%
Various precious metals futures contracts (U.S.)		8,815			0.00	%		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		520,130			0.18	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)		37,059			0.01	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Far East)		—			0.00	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Canada)		—			0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		(22,809	)		-0.01	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)		(6,033	)		0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		106,785			0.04	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		(20,771	)		-0.01	%		—		0.00	%		—		0.00	%
Total Short Futures Contracts		6,458,641			2.26	%		—		0.00	%		—		0.00	%
CURRENCY FORWARDS *		(2,156,753	)		-0.76	%		—		0.00	%		—		0.00	%
Total Open Trade Equity	$	12,254,991			4.30	%	$	—		0.00	%	$	—		0.00	%
OPTIONS WRITTEN *	$	(2,212,417	)		-0.78	%	$	—		0.00	%	$	—		0.00	%
SWAPS (3)
Total Return Option Basket Swap (Termination date 11/6/12)	$	24,282,681			8.57	%	$	—		0.00	%	$	—		0.00	%
Total Swaps	$	24,282,681			8.57	%	$	—		0.00	%	$	—		0.00	%
U.S. TREASURY SECURITIES
FACE VALUE	Fair Value						Fair Value					Fair Value
$21,500,000.00       US Treasury Note 3.875% due 02/15/2013                               (Cost $21,675,697) (1)	$	7,483,178			2.64	%	$	1,518,500		4.19	%	$	83,970		2.25	%
$36,700,000.00       US Treasury Note 4.000% due 02/15/2015                               (Cost $37,247,315) (1)		13,606,971			4.80	%		2,761,151		7.61	%		152,686		4.09	%
		$21,090,149			7.44	%	$	4,279,651		11.80	%	$	236,656		6.34	%
Additional Disclosure on U.S. Treasury Securities	Face Value						Face Value					Face Value
US Treasury Note 3.875% due 02/15/2013 (1)	$	7,254,479					$	1,472,092				$	81,404
US Treasury Note 4.000% due 02/15/2015 (1)		12,383,228						2,512,827					138,954
	$	19,637,707					$	3,984,919				$	220,358
	Cost						Cost					Cost
US Treasury Note 3.875% due 02/15/2013 (1)	$	7,577,531					$	1,537,646				$	85,029
US Treasury Note 4.000% due 02/15/2015 (1)		12,827,283						2,602,935					143,937
	$	20,404,814					$	4,140,581				$	228,966

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

(1) Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.

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

(3) See Note 4 to the Financial Statements.

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

8

The Series of the Frontier Fund

Condensed Schedules of Investments (Unaudited)

March 31, 2012

	Winton Series					Winton/Graham Series
Description	Value		% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%
Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various precious metals futures contracts (Europe)		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%
Total Long Futures Contracts		—		0.00	%		—		0.00	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (US)		—		0.00	%		—		0.00	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%
Various currency futures contracts (US)		—		0.00	%		—		0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%
Various energy futures contracts (US)		—		0.00	%		—		0.00	%
Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (US)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%
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
FACE VALUE	Fair Value					Fair Value
$21,500,000.00    US Treasury Note 3.875% due 02/15/2013 (Cost $21,675,697) (1)	$	2,381,239		4.95	%	$	1,049,623		3.78	%
$36,700,000.00        US Treasury Note 4.000% due 02/15/2015 (Cost $37,247,315) (1)		4,329,904		9.00	%		1,908,574		6.88	%
	$	6,711,143		13.95	%	$	2,958,197		10.66	%
Additional Disclosure on U.S. Treasury Securities	Face Value					Face Value
US Treasury Note 3.875% due 02/15/2013 (1)	$	2,308,464				$	1,017,545
US Treasury Note 4.000% due 02/15/2015 (1)		3,940,494					1,736,926
	$	6,248,958				$	2,754,471
	Cost					Cost
US Treasury Note 3.875% due 02/15/2013 (1)	$	2,411,262				$	1,062,858
US Treasury Note 4.000% due 02/15/2015 (1)		4,081,798					1,799,211
	$	6,493,060				$	2,862,069

* 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.

9

The Series of the Frontier Fund

Condensed Schedules of Investments

December 31, 2011

	Frontier Diversified Series					Frontier Masters Series						Frontier Long/Short Commodity Series
Description	Value		% of Total Capital (Net Asset Value)			Value			% of Total Capital (Net Asset Value)			Value			% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	—		0.00	%	$	(40,664	)		-0.08	%	$	(49,183	)		-0.06	%
Various base metals futures contracts (Europe)		—		0.00	%		(37,959	)		-0.07	%		(206,400	)		-0.25	%
Various currency futures contracts (U.S.)		—		0.00	%		22,523			0.04	%		179,573			0.22	%
Various currency futures contracts (Europe)		—		0.00	%		4,733			0.01	%		416,924			0.51	%
Various currency futures contracts (Far East)		—		0.00	%		—			0.00	%		—			0.00	%
Various energy futures contracts (U.S.)		—		0.00	%		13,625			0.03	%		(272,223	)		-0.34	%
Light Crude Oil Settling 11/1/12 (Number of Contracts: 841)		—		0.00	%		—			0.00	%		(3,555,016	)		-4.38	%
Light Crude Oil Settling 1/1/13 (Number of Contracts: 841)		—		0.00	%		—			0.00	%		(3,802,753	)		-4.68	%
Light Crude Oil Settling 9/1/13 (Number of Contracts: 1,002)		—		0.00	%		—			0.00	%		(4,371,122	)		-5.38	%
Heating Oil Settling 9/1/12 (Number of Contracts: 393)		—		0.00	%		—			0.00	%		(1,647,299	)		-2.03	%
NYM RBOB Gas Settling 5/1/12 (Number of Contracts: 238)		—		0.00	%		—			0.00	%		892,954			1.10	%
NYM RBOB Gas Settling 6/1/12 (Number of Contracts: 330)		—		0.00	%		—			0.00	%		(836,209	)		-1.03	%
Various energy futures contracts (Europe)		—		0.00	%		1,520			0.00	%		(26,290	)		-0.03	%
ICE Brent Crude Oil Settling 12/1/13 (Number of Contracts: 1,357		—		0.00	%		—			0.00	%		(3,069,350	)		-3.78	%
Various interest rates futures contracts (U.S.)		—		0.00	%		20,708			0.04	%		19,602			0.02	%
Various interest rates futures contracts (Canada)		—		0.00	%		(2,284	)		0.00	%		—			0.00	%
Various interest rates futures contracts (Europe)		—		0.00	%		229,378			0.43	%		—			0.00	%
Various interest rates futures contracts (Far East)		—		0.00	%		2,876			0.01	%		—			0.00	%
Various precious metals futures contracts (U.S.)		—		0.00	%		—			0.00	%		(194,462	)		-0.24	%
Silver @ COMEX Settling 12/1/13 (Number of Contracts: 152)		—		0.00	%					0.00	%		(11,121,080	)		-13.70	%
Various precious metals futures contracts (Far East)		—		0.00	%		—			0.00	%		—			0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		31,011			0.06	%		(1,017,374	)		-1.25	%
Coffee @ CSCE Settling 12/1/12 (Number of Contracts: 151)		—		0.00	%		—			0.00	%		(2,559,548	)		-3.15	%
Corn Setttling 12/1/12 (Number of Contracts: 1,525)		—		0.00	%		—			0.00	%		(4,790,794	)		-5.90	%
Various stock index futures contracts (U.S.)		—		0.00	%		6,731			0.01	%		111,130			0.14	%
Various stock index futures contracts (Europe)		—		0.00	%		31,302			0.06	%		(4,720	)		-0.01	%
Various stock index futures contracts (Far East)		—		0.00	%		—			0.00	%		—			0.00	%
Total Long Futures Contracts		—		0.00	%		283,500			0.54	%		(35,903,640	)		-44.22	%
OPTIONS PURCHASED *		—		0.00	%		—			0.00	%		—			0.00	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)		—		0.00	%		18,428			0.03	%		13,843			0.02	%
Various base metals futures contracts (Europe)		—		0.00	%		57,511			0.11	%		290,936			0.36	%
Various currency futures contracts (U.S.)		—		0.00	%		19,290			0.04	%		(3,375	)		0.00	%
Various currency futures contracts (Europe)		—		0.00	%		76,986			0.15	%		(918,634	)		-1.13	%
Various currency futures contracts (Far East)		—		0.00	%		3,727			0.01	%		—			0.00	%
Various energy futures contracts (U.S.)		—		0.00	%		—			0.00	%		1,070,542			1.32	%
Light Crude Oil Settling 12/1/12 (Number of Contracts: 218)		—		0.00	%		—			0.00	%		(1,842,322	)		-2.27	%
Light Crude Oil Settling 12/1/13 (Number of Contracts: 842)		—		0.00	%		—			0.00	%		(1,910,259	)		-2.35	%
Heating Oil Settling 6/1/12 (Number of Contracts: 373)		—		0.00	%		—			0.00	%		1,591,665			1.96	%
NYM RBOB Gas Settling 4/1/12 (Number of Contracts: 2,123)		—		0.00	%		—			0.00	%		869,669			1.07	%
Various energy futures contracts (Europe)		—		0.00	%		(100	)		0.00	%		573,850			0.71	%
ICE Brent Crude Oil Settling 12/1/12 (Number of Contracts: 78)		—		0.00	%		—			0.00	%		2,835,790			3.49	%
Various energy futures contracts (Far East)		—		0.00	%		(1,195	)		0.00	%		—			0.00	%
Various interest rates futures contracts (US)		—		0.00	%		(24,881	)		-0.05	%		—			0.00	%
Various interest rates futures contracts (Canada)		—		0.00	%		2,100			0.00	%		—			0.00	%
Various interest rates futures contracts (Europe)		—		0.00	%		(31	)		0.00	%		—			0.00	%
Various interest rates futures contracts (Far East)		—		0.00	%		(173	)		0.00	%		(75,712	)		-0.09	%
Various precious metals futures contracts (U.S.)		—		0.00	%		20,200			0.04	%		82,675			0.10	%
Silver @ COMEX Settling 12/1/12 (Number of Contracts: 152)		—		0.00	%		—			0.00	%		2,879,260			3.55	%
Various soft futures contracts (U.S.)		—		0.00	%		314,855			0.60	%		273,765			0.34	%
Corn Settling 7/1/12 (Number of Contracts: 1,123)		—		0.00	%		—			0.00	%		2,867,576			3.53	%
Corn Settling 9/1/12 (Number of Contracts: 288)		—		0.00	%		—			0.00	%		1,370,557			1.69	%
Various soft futures contracts (Far East)		—		0.00	%		1,074			0.00	%		—			0.00	%
Various stock index futures contracts (U.S.)		—		0.00	%		(3,693	)		-0.01	%		(864	)		0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		—			0.00	%		—			0.00	%
Various stock index futures contracts (Europe)		—		0.00	%		18,129			0.03	%		—			0.00	%
Various stock index futures contracts (Far East)		—		0.00	%		6,645			0.01	%		—			0.00	%
Total Short Futures Contracts		—		0.00	%		508,872			0.96	%		9,968,962			12.30	%
CURRENCY FORWARDS *		—		0.00	%		—			0.00	%		—			0.00	%
Total Open Trade Equity (Deficit)	$	—		0.00	%	$	792,372			1.50	%	$	(25,934,678	)		-31.92	%
SWAPS (1)	$	131,004		0.10	%	$	57,225			0.11	%	$	74,898			0.09	%
U.S. TREASURY SECURITIES
FACE VALUE	Fair Value					Fair Value						Fair Value
$36,500,000.00       U.S. Treasury Note 3.875% due 02/15/2013                               (Cost $38,125,391) (2)	$	7,976,700		5.95	%	$	3,484,374			6.59	%	$	4,560,486			5.66	%
$36,700,000.00       U.S. Treasury Note 4.000% due 02/15/2015                               (Cost $38,016,039) (2)		8,580,604		6.40	%		3,748,172			7.09	%		4,905,754			6.09	%
	$	16,557,304		12.35	%	$	7,232,546			13.68	%	$	9,466,240			11.76	%
Additional Disclosure on U.S. Treasury Securities	Face Value					Face Value						Face Value
U.S. Treasury Note 3.875% due 02/15/2013 (2)	$	7,673,204				$	3,351,802					$	4,386,970
U.S. Treasury Note 4.000% due 02/15/2015 (2)		7,715,249					3,370,168						4,411,008
	$	15,388,453				$	6,721,970					$	8,797,978
	Cost					Cost						Cost
U.S. Treasury Note 3.875% due 02/15/2013 (2)	$	8,014,902				$	3,501,062					$	4,582,327
U.S. Treasury Note 4.000% due 02/15/2015 (2)		7,991,913					3,491,020						4,569,184
	$	16,006,815				$	6,992,082					$	9,151,511

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

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

(2) Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.

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

10

The Series of the Frontier Fund

Condensed Schedules of Investments

December 31, 2011

		Balanced Series						Tiverton/Graham/ Transtrend Series (3)					Currency Series
Description		Value			% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)		$	(1,930,354	)		-0.65	%	$	—		0.00	%	$	—		0.00	%
Various base metals futures contracts (Europe)			(3,533,012	)		-1.19	%		—		0.00	%		—		0.00	%
Various currency futures contracts (U.S.)			122,059			0.04	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)			11,380			0.00	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Far East)			—			0.00	%		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)			(23,315	)		-0.01	%		—		0.00	%		—		0.00	%
Various energy futures contracts (Europe)			(300,490	)		-0.10	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)			407,889			0.14	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)			56,394			0.02	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)			1,984,386			0.67	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)			57,916			0.02	%		—		0.00	%		—		0.00	%
Various precious metals futures contracts (U.S.)			(152,208	)		-0.05	%		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)			230,760			0.08	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)			1,440			0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)			185,788			0.06	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)			5,579			0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)			67,663			0.02	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)			(171,692	)		-0.06	%		—		0.00	%		—		0.00	%
Total Long Futures Contracts			(2,979,817	)		-1.01	%		—		0.00	%		—		0.00	%
OPTIONS PURCHASED *			11,928,779			4.02	%		—		0.00	%		—		0.00	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)			1,630,955			0.55	%		—		0.00	%		—		0.00	%
Various base metals futures contracts (Europe)			4,181,645			1.41	%		—		0.00	%		—		0.00	%
Various currency futures contracts (US)			(56,702	)		-0.02	%		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)			442,669			0.15	%		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)			(95,263	)		-0.03	%		—		0.00	%		—		0.00	%
Various energy futures contracts (Europe)			22,315			0.01	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)			(1,508,797	)		-0.51	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)			896			0.00	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)			(134,897	)		-0.05	%		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)			(22,100	)		-0.01	%		—		0.00	%		—		0.00	%
Various precious metals futures contracts (U.S.)			293,052			0.10	%		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)			(451,002	)		-0.15	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)			471,246			0.16	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Far East)			(30,196	)		-0.01	%		—		0.00	%		—		0.00	%
Various soft futures contracts (Canada)			—			0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)			3,585			0.00	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)			(22,258	)		-0.01	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)			(396,702	)		-0.13	%		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)			110,866			0.04	%		—		0.00	%		—		0.00	%
Total Short Futures Contracts			4,439,312			1.50	%		—		0.00	%		—		0.00	%
CURRENCY FORWARDS *			(283,733	)		-0.27	%		—		0.00	%		—		0.00	%
Total Open Trade Equity		$	13,104,541			4.24	%	$	—		0.00	%	$	—		0.00	%
OPTIONS WRITTEN *		$	(3,326,453	)		-1.12	%	$	—		0.00	%	$	—		0.00	%
SWAPS (1)		$	230,783			0.08	%	$	34,397		0.09	%	$	2,583		0.06	%
Total Return Option Basket Swap (Termination date 11/6/12)			17,706,757			5.97	%		—		0.00	%		—		0.00	%
Total Return Option Basket Swap (Termination date 6/30/16)			5,881,772			1.98	%		—		0.00	%		—		0.00	%
Total Swaps		$	23,819,312			8.03	%	$	34,397		0.09	%	$	2,583		0.06	%
Investment in Berkeley Quantitative Colorado Fund, LLC (Cost of $8,487,603)		$	—			0.00	%	$	6,270,844		15.83	%	$	—		0.00	%
U.S. TREASURY SECURITIES
FACE VALUE		Fair Value						Fair Value					Fair Value
$36,500,000.00	US Treasury Note 3.875% due 02/15/2013 (Cost $38,125,391) (2)	$	14,052,173			4.74	%	$	2,094,416		5.29	%	$	157,304		3.64	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		15,116,043			5.10	%		2,252,982		5.69	%		169,213		3.92	%
		$	29,168,216			9.84	%	$	4,347,398		10.98	%	$	326,517		7.56	%
Additional Disclosure on U.S. Treasury Securities		Face Value						Face Value					Face Value
US Treasury Note 3.875% due 02/15/2013 (2)		$	13,517,520					$	2,014,729				$	151,319
US Treasury Note 4.000% due 02/15/2015 (2)			13,591,588						2,025,768					152,148
		$	27,109,108					$	4,040,497				$	303,467
		Cost						Cost					Cost
US Treasury Note 3.875% due 02/15/2013 (2)		$	14,119,472					$	2,104,447				$	158,057
US Treasury Note 4.000% due 02/15/2015 (2)			14,078,974						2,098,411					157,604
		$	28,198,446					$	4,202,858				$	315,661

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

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

(2) Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.

(3) Formerly the Berkeley/Graham/Tiverton Series

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

11

The Series of the Frontier Fund

Condensed Schedules of Investments

December 31, 2011

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

* Except for those items disclosed, no individual futures, forwards and option on futures contract position constituted greater than 1 percent of Net Asset Value.

Accordingly, the number of contracts and expiration dates are not presented.

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

(2) Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.

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

12

The Frontier Fund

Statements of Operations

For the Three Months Ended March 31, 2012 and 2011

	Frontier Diversified Series						Frontier Masters Series						Frontier Long/Short Commodity Series
	(Unaudited)						(Unaudited)						(Unaudited)
	3/31/2012			3/31/2011			3/31/2012			3/31/2011			3/31/2012			3/31/2011
Investment Income:
Interest - net	$	597,279		$	590,028		$	267,859		$	170,966		$	363,576		$	316,290
Total Income		597,279			590,028			267,859			170,966			363,576			316,290
Expenses:
Incentive Fees		5,758			1,719,673			—			266,535			77,070			1,629,861
Management Fees		516,204			481,720			352,610			907,921			864,191			945,859
Service Fees - Class 1		391,766			516,049			187,327			225,527			124,836			273,551
Trading Fees		773,697			978,666			317,570			400,110			254,373			153,893
Total Expenses		1,687,425			3,696,108			857,507			1,800,093			1,320,470			3,003,164
Investment income/(loss) - net		(1,090,146	)		(3,106,080	)		(589,648	)		(1,629,127	)		(956,894	)		(2,686,874	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		—			—			1,291,194			(1,391,560	)		(33,714,900	)		—
Net change in open trade equity/(deficit)		—			—			(325,481	)		630,311			29,602,183			—
Net realized gain/(loss) on swap contracts		(106,862	)		—			(55,669	)		2,629,262			(58,693	)		—
Net unrealized gain/(loss) on swap contracts		(23,719	)		(132,267	)		(2,775	)		(1,600,211	)		(20,529	)		12,237
Net realized gain/(loss) on U.S. Treasury securities		74,756			—			34,851			—			46,967			—
Net unrealized gain/(loss) on U.S. Treasury securities		(210,923	)		(109,445	)		(96,719	)		(50,690	)		(128,175	)		(72,459	)
Trading commissions		—			—			(30,664	)		(14,738	)		(423,733	)		—
Change in fair value of investments in unconsolidated trading companies		(3,978,434	)		8,240,407			190,278			1,597,339			(1,035,255	)		12,140,566
Net gain/(loss) on investments		(4,245,182	)		7,998,695			1,005,015			1,799,713			(5,732,135	)		12,080,344
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(5,335,328	)		4,892,615			415,367			170,586			(6,689,029	)		9,393,470
Less: Operations attributable to non-controlling interests		—			—			(29,479	)		(7,648	)		(6,156,086	)		—
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(5,335,328	)	$	4,892,615		$	444,846		$	178,234		$	(532,943	)	$	9,393,470
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(4.17	)	$	2.98		$	0.70		$	0.15		$	(1.92	)	$	15.59
Class 1a		N/A			N/A			N/A			N/A		$	(1.16	)	$	13.56
Class 2	$	(3.92	)	$	3.54		$	1.19		$	0.61		$	(1.09	)	$	19.28
Class 2a		N/A			N/A			N/A			N/A		$	(0.66	)	$	14.51
Class 3		N/A			N/A			N/A			N/A		$	(1.09	)	$	19.27

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

13

The Frontier Fund

Statements of Operations

For the Three Months Ended March 31, 2012 and 2011

	Balanced Series						Tiverton/Graham/Transtrend Series (1)						Currency Series
	(Unaudited)						(Unaudited)						(Unaudited)
	3/31/2012			3/31/2011			3/31/2012			3/31/2011			3/31/2012			3/31/2011
Investment Income:
Interest - net	$	151,548		$	35,973		$	18,444		$	5,309		$	—		$	29,652
Total Income/(loss)		151,548			35,973			18,444			5,309			—			29,652
Expenses:
Incentive Fees		178,125			4,270,189			—			—			—			—
Management Fees		689,478			642,865			272,986			377,970			—			39,855
Service Fees - Class 1		1,340,888			2,219,967			254,314			455,038			29,910			45,170
Trading Fees		477,527			486,163			70,889			85,253			7,497			23,565
Total Expenses		2,686,018			7,619,184			598,189			918,261			37,407			108,590
Investment income/(loss) - net		(2,534,470	)		(7,583,211	)		(579,745	)		(912,952	)		(37,407	)		(78,938	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(3,425,652	)		16,774,640			—			—			—			(153,538	)
Net change in open trade equity/(deficit)		(2,358,281	)		(14,766,839	)		—			—			—			(5,778	)
Net realized gain/(loss) on swap contracts		(175,294	)		—			(34,232	)		—			(6,104	)		—
Net unrealized gain/(loss) on swap contracts		648,445			(1,012,456	)		(2,448	)		9,684			3,603			(526,568	)
Net realized gain/(loss) on U.S. Treasury securities		124,168			—			25,726			—			1,336			—
Net unrealized gain/(loss) on U.S. Treasury securities		(354,777	)		(208,005	)		(62,790	)		(52,133	)		(3,833	)		(14,711	)
Trading commissions		(1,207,366	)		(1,289,786	)		—			—			—			—
Net change in inter-series receivables		—			(1,040,637	)		—			—			—			—
Net change in inter-series payables		—			—			—			—			—			476,691
Change in fair value of investments in unconsolidated trading companies		(3,988,952	)		22,430,253			191,503			(489,915	)		(132,912	)		—
Net realized gain/(loss) on the Berkeley Quantitative Colorado Fund LLC		—			—			(2,172,987	)		—			—			—
Net unrealized gain/(loss) on the Berkeley Quantitative Colorado Fund LLC		—			—			2,084,880			397,671			—			—
Net gain/(loss) on investments		(10,737,709	)		20,887,170			29,652			(134,693	)		(137,910	)		(223,904	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(13,272,179	)		13,303,959			(550,093	)		(1,047,645	)		(175,317	)		(302,842	)
Less: Operations attributable to non-controlling interests		(3,042,910	)		7,748			—			—			—			—
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(10,229,269	)	$	13,296,211		$	(550,093	)	$	(1,047,645	)	$	(175,317	)	$	(302,842	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(5.38	)	$	4.42		$	(1.39	)	$	(1.83	)	$	(3.11	)	$	(3.50	)
Class 1a	$	(4.58	)	$	3.63			N/A			N/A			N/A			N/A
Class 2	$	(5.58	)	$	6.56		$	(0.92	)	$	(1.23	)	$	(3.24	)	$	(3.55	)
Class 2a	$	(4.51	)	$	5.18			N/A			N/A			N/A			N/A
Class 3a	$	(4.51	)	$	5.19			N/A			N/A			N/A			N/A

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

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

14

The Frontier Fund

Statements of Operations

For the Three Months Ended March 31, 2012 and 2011

	Winton Series						Winton/Graham Series
	(Unaudited)						(Unaudited)
	3/31/2012			3/31/2011			3/31/2012			3/31/2011
Investment Income:
Interest - net	$	126,136		$	103,733		$	21,969		$	57,929
Total Income		126,136			103,733			21,969			57,929
Expenses:
Incentive Fees		—			248,590			—			70,874
Management Fees		267,609			332,638			298,313			445,869
Service Fees - Class 1		282,428			364,021			179,072			335,672
Trading Fees		91,423			73,838			55,058			69,313
Total Expenses		641,460			1,019,087			532,443			921,728
Investment (loss) - net		(515,324	)		(915,354	)		(510,474	)		(863,799	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		—			—			—			210,826
Net change in open trade equity/(deficit)		—			—			—			(841,207	)
Net realized gain/(loss) on swap contracts		(57,781	)		—			(30,602	)		—
Net unrealized gain/(loss) on swap contracts		(7,291	)		11,718			943			9,432
Net realized gain/(loss) on U.S. Treasury securities		38,080						16,888
Net unrealized gain/(loss) on U.S. Treasury securities		(104,872	)		(62,094	)		(46,888	)		(50,460	)
Trading commissions		—			—			—			(177,430	)
Change in fair value of investments in unconsolidated trading companies		(365,754	)		1,658,168			544,182			896,801
Net gain/(loss) on investments		(497,618	)		1,607,792			484,523			47,962
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(1,012,942	)		692,438			(25,951	)		(815,837	)
Less: Operations attributable to non-controlling interests		—			—			—			(368,433	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(1,012,942	)	$	692,438		$	(25,951	)	$	(447,404	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(3.13	)	$	1.36		$	(0.36	)	$	(1.16	)
Class 2	$	(2.47	)	$	2.71		$	0.53		$	(0.34	)

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

15

The Frontier Fund

Statements of Changes in Capital

For the Three Months Ended March 31, 2012

	Frontier Diversified Series															Frontier Masters Series
							(Unaudited)														(Unaudited)
	Class 1			Class 1			Class 2			Class 2						Class 1		Class 1			Class 2		Class 2
	Managing Owner			Limited Owners			Managing Owner			Limited Owners			Total			Managing Owner		Limited Owners			Managing Owner		Limited Owners			Non- Controlling Interests			Total
Capital (Net Asset Value), December 31, 2011	$	27,334		$	72,397,572		$	1,486,740		$	60,061,958		$	133,973,604		$	27,569	$	34,062,567		$	589,893	$	18,144,968		$	58,412		$	52,883,409
Sale of Units		—			1,875,533			—			2,116,760			3,992,293			—		1,805,536			—		214,000			—			2,019,536
Redemption of Units		—			(3,220,386	)		—			(3,659,737	)		(6,880,123	)		—		(1,105,134	)		—		(851,161	)		—			(1,956,295	)
Change in control of ownership - Trading Companies		—			—			—			—			—			—		—			—		—			—			—
Contributions		—			—			—			—			—			—		—			—		—			2,399,103			2,399,103
Distributions		—			—			—			—			—			—		—			—		—			(196,470	)		(196,470	)
Operations attributable to non-controlling interests		—			—			—			—			—			—		—			—		—			(29,479	)		(29,479	)
Net increase/(decrease) in Owners’ Capital resulting from operations		(1,147	)		(3,006,953	)		(56,134	)		(2,271,094	)		(5,335,328	)		192		232,202			6,698		205,754			—			444,846
Capital (Net Asset Value), March 31, 2012	$	26,187		$	68,045,766		$	1,430,606		$	56,247,887		$	125,750,446		$	27,761	$	34,995,171		$	596,591	$	17,713,561		$	2,231,566		$	55,564,650
Capital - Units, December 31, 2011		275			728,370			14,301			577,736			1,320,682			275		339,777			5,627		173,083			—			518,762
Sale of Units		—			19,211			—			20,407			39,618			—		17,670			—		1,977			—			19,647
Redemption of Units		—			(33,017	)		—			(35,865	)		(68,882	)		—		(10,780	)		—		(7,989	)		—			(18,769	)
Capital - Units, March 31, 2012		275			714,564			14,301			562,278			1,291,418			275		346,667			5,627		167,071			—			519,640
					(1	)					(1	)							(1	)				(1	)
Net asset value per unit at December 31, 2011				$	99.40					$	103.96							$	100.25				$	104.83
Change in net asset value per unit for three months ended March 31, 2012					(4.17	)					(3.92	)							0.70					1.19
Net asset value per unit at March 31, 2012				$	95.23					$	100.04							$	100.95				$	106.02

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

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

16

The Frontier Fund

Statements of Changes in Capital

For the Three Months Ended March 31, 2012

	Frontier Long/Short Commodity Series
													(Unaudited)
	Class 1			Class 2						Class 3			Class 1a			Class 1a			Class 2a			Class 2a
	Limited Owners			Managing Owner			Limited Owners			Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Non-Controlling Interests			Total
Capital (Net Asset Value), December 31, 2011	$	4,159,047		$	499,336		$	8,689,426		$	27,810,058		$	14,271		$	18,877,124		$	282,740		$	10,628,724		$	10,223,579		$	81,184,305
Sale of Units		5,473			—			—			2,628,674			—			1,854,807			—			868,153			—			5,357,107
Redemption of Units		(2,690,064	)		—			(170,040	)		(2,590,599	)		—			(462,534	)		—			(217,453	)		—			(6,130,690	)
Change in control of ownership - Trading Companies		—			—			—			—			—			—			—			—			—			—
Contributions		—			—			—			—			—			—			—			—			11,701,255			11,701,255
Distributions		—			—			—			—			—			—			—			—			(4,910,823	)		(4,910,823	)
Operations attributable to non-controlling interests		—			—			—			—			—			—			—			—			(6,156,086	)		(6,156,086	)
Net increase/(decrease) in Owners’ Capital resulting from operations		(24,915	)		(3,358	)		(57,216	)		(195,481	)		(136	)		(191,044	)		(1,480	)		(59,313	)		—			(532,943	)
Capital (Net Asset Value), March 31, 2012	$	1,449,541		$	495,978		$	8,462,170		$	27,652,652		$	14,135		$	20,078,353		$	281,260		$	11,220,111		$	10,857,925		$	80,512,125
Capital - Units, December 31, 2011		30,551			3,083			53,648			171,708			117			155,099			2,222			83,538			—			499,966
Sale of Units		40			—			—			16,198			—			15,245			—			6,823						38,306
Redemption of Units		(19,790	)		—			(1,049	)		(16,013	)		—			(3,782	)		—			(1,711	)					(42,345	)
Capital - Units, March 31, 2012		10,801			3,083			52,599			171,893			117			166,562			2,222			88,650			—			495,927
								(1	)								(1	)					(1	)
Net asset value per unit at December 31, 2011	$	136.13					$	161.97		$	161.96					$	121.71					$	127.23
Change in net asset value per unit for three months ended March 31, 2012		(1.92	)					(1.09	)		(1.09	)					(1.16	)					(0.66	)
Net asset value per unit at March 31, 2012	$	134.21					$	160.88		$	160.87					$	120.55					$	126.57

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

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

17

The Frontier Fund

Statements of Changes in Capital

For the Three Months Ended March 31, 2012

	Balanced Series
	(Unaudited)
	Class 1			Class 1a			Class 2						Class 2a						Class 3a
	Limited Owners			Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Limited Owners			Non-Controlling Interests			Total
Capital (Net Asset Value), December 31, 2011	$	183,785,318		$	2,536,559		$	3,351,608		$	60,020,959		$	158,814		$	2,626,016		$	2,952,802		$	40,633,336		$	296,065,412
Sale of Units		124,903			271			—			3,990			—			—			1,757,420			—			1,886,584
Redemption of Units		(8,447,051	)		(2,011,673	)		—			(2,678,547	)		—			(1,184,974	)		(427,535	)		—			(14,749,780	)
Change in control of ownership - Trading Companies		—			—			—			—			—			—			—			—			—
Contributions		—			—			—			—			—			—			—			47,191,603			47,191,603
Distributions		—			—			—			—			—			—			—			(33,736,201	)		(33,736,201	)
Operations attributable to non-controlling interests		—			—			—			—			—			—			—			(3,042,910	)		(3,042,910	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(7,734,368	)		(44,816	)		(120,793	)		(2,109,196	)		(5,573	)		(67,934	)		(146,589	)		—			(10,229,269	)
Capital (Net Asset Value), March 31, 2012	$	167,728,802		$	480,341		$	3,230,815		$	55,237,206		$	153,241		$	1,373,108		$	4,136,098		$	51,045,828		$	283,385,439
Capital - Units, December 31, 2011		1,476,131			23,388			21,620			387,173			1,237			20,460			23,005			—			1,953,014
Sale of Units		1,010			3			—			25			—			—			13,761						14,799
Redemption of Units		(69,121	)		(18,766	)		—			(17,562	)		—			(9,372	)		(3,371	)					(118,192	)
Capital - Units, March 31, 2012		1,408,020			4,625			21,620			369,636			1,237			11,088			33,395			—			1,849,621
											(1	)					(1	)
Net asset value per unit at December 31, 2011	$	124.50		$	108.45					$	155.02					$	128.35		$	128.36
Change in net asset value per unit for three months ended March 31, 2012		(5.38	)		(4.58	)					(5.58	)					(4.51	)		(4.51	)
Net asset value per unit at March 31, 2012	$	119.12		$	103.87					$	149.44					$	123.84		$	123.85

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

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

18

The Frontier Fund

Statements of Changes in Capital

For the Three Months Ended March 31, 2012

	Tiverton/Graham/Transtrend Series (2)												Currency Series
				(Unaudited)												(Unaudited)
	Class 1			Class 2									Class 1			Class 2
	Limited			Managing			Limited						Limited			Managing			Limited
	Owners			Owner			Owners			Total			Owners			Owner			Owners			Total
Capital (Net Asset Value), December 31, 2011	$	35,180,631		$	7,878		$	4,425,463		$	39,613,972		$	4,228,350		$	2,563		$	88,444		$	4,319,357
Sale of Units		9,489			—			—			9,489			12,662			—			—			12,662
Redemption of Units		(2,550,838	)		—			(242,705	)		(2,793,543	)		(414,172	)		—			(13,837	)		(428,009	)
Net increase/(decrease) in Owners’ Capital resulting from operations		(516,759	)		(65	)		(33,269	)		(550,093	)		(172,446	)		(95	)		(2,776	)		(175,317	)
Capital (Net Asset Value), March 31, 2012	$	32,122,523		$	7,813		$	4,149,489		$	36,279,825		$	3,654,394		$	2,468		$	71,831		$	3,728,693
Capital - Units, December 31, 2011		386,533			70			39,571			426,174			59,997			29			1,010			61,036
Sale of Units		104			—			—			104			180			—			—			180
Redemption of Units		(28,233	)		—			(2,159	)		(30,392	)		(5,930	)		—			(158	)		(6,088	)
Capital - Units, March 31, 2012		358,404			70			37,412			395,886			54,247			29			852			55,128
								(1	)											(1	)
Net asset value per unit at December 31, 2011	$	91.02					$	111.84					$	70.48					$	87.61
Change in net asset value per unit for three months ended March 31, 2012		(1.39	)					(0.92	)					(3.11	)					(3.24	)
Net asset value per unit at March 31, 2012	$	89.63					$	110.92					$	67.37					$	84.37

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

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

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

19

The Frontier Fund

Statements of Changes in Capital

For the Three Months Ended March 31, 2012

	Winton Series												Winton/Graham Series
	(Unaudited)												(Unaudited)
	Class 1			Class 2									Class 1			Class 2
	Limited			Managing			Limited						Limited			Managing		Limited
	Owners			Owner			Owners			Total			Owners			Owner		Owners			Total
Capital (Net Asset Value), December 31, 2011	$	38,345,799		$	34,276		$	11,668,049		$	50,048,124		$	24,783,519		$	55,553	$	5,934,615		$	30,773,687
Sale of Units		54,670			—			—			54,670			16,185			—		—			16,185
Redemption of Units		(950,434	)		—			(3,211	)		(953,645	)		(2,238,081	)		—		(788,648	)		(3,026,729	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(839,097	)		(510	)		(173,335	)		(1,012,942	)		(64,839	)		223		38,665			(25,951	)
Capital (Net Asset Value), March 31, 2012	$	36,610,938		$	33,766		$	11,491,503		$	48,136,207		$	22,496,784		$	55,776	$	5,184,632		$	27,737,192
Capital - Units, December 31, 2011		271,704			207			70,368			342,279			236,649			428		45,755			282,832
Sale of Units		388			—			—			388			153			—		—			153
Redemption of Units		(6,788	)		—			(20	)		(6,808	)		(21,253	)		—		(5,942	)		(27,195	)
Capital - Units, March 31, 2012		265,304			207			70,348			335,859			215,549			428		39,813			255,790
								(1	)										(1	)
Net asset value per unit at December 31, 2011	$	141.13					$	165.82					$	104.73				$	129.70
Change in net asset value per unit for three months ended March 31, 2012		(3.13	)					(2.47	)					(0.36	)				0.53
Net asset value per unit at March 31, 2012	$	138.00					$	163.35					$	104.37				$	130.23

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

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

20

The Series of the Frontier Fund

Statements of Cash Flows

For the Three Months Ended March 31, 2012 and 2011

	Frontier Diversified Series						Frontier Masters Series						Frontier Long/Short Commodity Series
	(Unaudited)						(Unaudited)						(Unaudited)
	3/31/2012			3/31/2011			3/31/2012			3/31/2011			3/31/2012			3/31/2011
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(5,335,328	)	$	4,892,615		$	415,367		$	170,586		$	(6,689,029	)	$	9,393,470
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		—			—			325,481			(630,309	)		(28,220,701	)		—
Net change in options written, at fair value		—			—			—			—			231,913			—
Net change in ownership allocation of U.S. Treasury Securities		337,697			(220,841	)		(571,973	)		(3,170,902	)		(734,629	)		(745,176	)
Net change in custom time deposits		1,661,906			(2,024,071	)		(3,166,402	)		(18,290,868	)		(2,506,283	)		(4,567,034	)
Net change in ownership allocation of credit default swaps		423			—			(1,219	)		—			(4,324	)		—
Net change in ownership allocation of certificates of deposit		—			—			—			—			—			—
Net realized (gain) on swap contracts		106,862			—			55,669			(2,629,262	)		58,693			—
Net unrealized (gain)/loss on swap contracts		23,719			132,267			2,775			1,600,211			20,529			(12,237	)
Net unrealized (gain)/loss on U.S. Treasury securities		210,923			109,445			96,719			50,690			128,175			72,459
Net realized (gain)/loss on U.S. Treasury securities		(74,756	)		—			(34,851	)		—			(46,967	)		—
(Purchases) sales of:
Sales of swap contracts		—			—			—			27,385,221			—			—
(Purchases) of swap contracts		—			(110,125	)		—			(177,811	)		—			(59,415	)
Sales of custom time deposits		4,380,919			—			2,418,141			—			2,122,345			—
(Purchases) of custom time deposits		—			—			—			—			—			—
Sales of U.S. Treasury securities		3,196,285			—			1,483,058			—			2,037,623			—
Increase and/or decrease in:
Receivable from futures commission merchants		—			—			(821,048	)		(5,593,702	)		25,948,364			—
Change in control of ownership - trading companies		—			—			—			—			—			—
Contributions to trading companies		—			—			2,399,103			70,000			11,701,255			—
Distributions from trading companies		—			—			(196,470	)		—			(4,910,823	)		—
Investments in unconsolidated trading companies, at fair value		(5,692,279	)		(5,849,408	)		(4,460,038	)		(1,496,340	)		(1,149,406	)		(2,206,977	)
Prepaid service fees - Class 1		56,533			47,131			2,243			—			15,988			(32,161	)
Interest receivable		168,516			124,545			70,659			15			93,000			59,430
Receivable from related parties		(199,902	)		(110,000	)		—			—			(150,722	)		(23,916	)
Other assets		(1,038	)		60			(274	)		32,012			(45	)		212
Inter-series payables/receivables, at fair value		—			—			—			18,592			—			—
Incentive fees payable to Managing Owner		(491,297	)		233,313			5,203			38,286			(70,633	)		(124,484	)
Management fees payable to Managing Owner		(8,654	)		24,740			3,220			5,943			20,555			31,856
Interest payable to Managing Owner		(4,165	)		(2,380	)		(192	)		7,725			55			6,640
Trading fees payable to Managing Owner		(10,383	)		32,351			3,783			11,721			4,397			10,422
Trailing service fees payable to Managing Owner		5,236			33,053			3,189			(77,684	)		(7,326	)		2,446
Payables to related parties		50,000			51,209			108,209			(4,136	)		—			37,578
Other liabilities		6,319			(14,157	)		2,630			—			4,914			(10,308	)
Net cash provided by (used in) operating activities		(1,612,464	)		(2,650,253	)		(1,857,018	)		(2,680,012	)		(2,103,082	)		1,832,805
Cash Flows from Financing Activities:
Proceeds from sale of units		3,992,293			15,395,598			2,019,536			4,836,235			5,357,107			8,606,874
Payment for redemption of units		(6,880,123	)		(6,142,851	)		(1,956,295	)		(1,254,520	)		(6,130,690	)		(8,783,401	)
Pending owner additions		(187,099	)		203,200			274,050			(5,200	)		53,127			183,033
Owner redemptions payable		(80,926	)		(63,160	)		(1,646	)		(183,222	)		(4,736	)		(86,895	)
Net cash provided by (used in) financing activities		(3,155,855	)		9,392,787			335,645			3,393,293			(725,192	)		(80,389	)
Net increase (decrease) in cash and cash equivalents		(4,768,319	)		6,742,534			(1,521,373	)		713,281			(2,828,274	)		1,752,416
Cash and cash equivalents, beginning of year or period		4,976,749			4,647,422			2,234,716			1,207,290			3,045,849			1,114,912
Cash and cash equivalents, end of year or period	$	208,430		$	11,389,956		$	713,343		$	1,920,571		$	217,575		$	2,867,328

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

21

The Series of the Frontier Fund

Statements of Cash Flows

For the Three Months Ended March 31, 2012 and 2011

	Balanced Series						Tiverton/Graham/Transtrend Series (1)						Currency Series
	(Unaudited)						(Unaudited)						(Unaudited)
	3/31/2012			3/31/2011			3/31/2012			3/31/2011			3/31/2012			3/31/2011
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(13,272,179	)	$	13,303,959		$	(550,093	)	$	(1,047,645	)	$	(175,317	)	$	(302,842	)
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		849,550			6,278,634			—			—			—			7,002
Net change in options written, at fair value		(1,114,036	)		2,285,155			—			—			—			(1,292	)
Net change in ownership allocation of U.S. Treasury Securities		2,560,311			1,873,065			(1,076,814	)		4,654,901			29,392			216,352
Net change in custom time deposits		10,435,694			9,228,062			(5,243,876	)		—			(401,191	)		1,127,723
Net change in ownership allocation of credit default swaps		9,782			—			(2,283	)		—			82			—
Net change in ownership allocation of certificates of deposit		—			—			—			—			—			—
Net change in ownership allocation of total return swaps		—			—			—			—			—			—
Net unrealized (gain)/loss on swap contracts		(648,445	)		1,012,456			2,448			(9,684	)		(3,603	)		526,568
Net realized (gain)/loss on swap contracts		175,294			—			34,232			—			6,104			—
Net unrealized (gain)/loss on U.S. Treasury securities		354,777			208,005			(25,726	)		52,133			(1,336	)		14,711
Net realized (gain)/loss on U.S. Treasury securities		(124,168	)					62,790						3,833
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	)		(397,671	)		—			—
(Purchases) sales of:
Sales of swap contracts		—			—			—			—			—			—
(Purchases) of swap contracts		—			(202,931	)		—			(49,981	)		—			(14,286	)
Sales of custom time deposits		8,877,976			—			2,014,489			—			614,348			—
(Purchases) of custom time deposits		—			—			—			—			—			—
Sales of U.S. Treasury securities		5,287,147			—			1,107,497			—			57,972			—
Sale of Berkeley Quantitative Colorado Fund LLC		—			—			6,182,737			—			—			—
Increase and/or decrease in:
Receivable from futures commission merchants		(18,962,235	)		(20,076,017	)		—			—			—			(566,722	)
Change in control of ownership - trading companies		—			—			—			—			—			—
Investments in unconsolidated trading companies, at fair value		(2,721,260	)		(4,940,391	)		(895,496	)		(276,090	)		132,990			—
Contributions to trading companies		47,191,603			12,034,000			—			—			—			—
Distributions from trading companies		(33,736,201	)		(7,954,365	)		—			—			—			—
Inter-series payables/receivables, at fair value		—			259,493			—			16			—			(476,691	)
Prepaid service fees - Class 1		—			—			—			68,070			—			—
Interest receivable		304,418			(3,616	)		40,050			—			3,406			19,482
Receivable from related parties		(500,436	)		1,040,636			—			(874	)		—			—
Other assets		(9,297	)		766,215			(796	)		—			(52	)		(194	)
Incentive fees payable to Managing Owner		(1,195,031	)		144,641			—			(270,557	)		—			—
Management fees payable to Managing Owner		(13,081	)		(130,721	)		(14,371	)		(27,774	)		—			(300	)
Interest payable to Managing Owner		(30,345	)		94,190			(4,719	)		(5,415	)		(1,239	)		(973	)
Trading fees payable to Managing Owner		(18,718	)		(73,838	)		(1,698	)		(973	)		(298	)		(458	)
Trailing service fees payable to Managing Owner		(35,268	)		31,321			(6,356	)		(3,954	)		(920	)		(1,354	)
Payables to related parties		492			2,071			47,290			(785	)		83			(144	)
Other liabilities		17,906			—			570			340			21			141
Net cash provided by (used in) operating activities		3,684,250			15,180,024			1,757,982			2,684,057			264,275			546,723
Cash Flows from Financing Activities:
Proceeds from sale of units		1,886,584			248,569			9,489			27,253			12,662			15,176
Payment for redemption of units		(14,749,780	)		(11,932,046	)		(2,793,543	)		(2,093,749	)		(428,009	)		(281,902	)
Pending owner additions		(4,499	)		—			(283	)		—			(268	)		—
Owner redemptions payable		278,128			(27,314	)		(131,181	)		(15,006	)		(14,022	)		(41,598	)
Net cash provided by (used in) financing activities		(12,589,567	)		(11,710,791	)		(2,915,518	)		(2,081,502	)		(429,637	)		(308,324	)
Net increase (decrease) in cash and cash equivalents		(8,905,317	)		3,469,233			(1,157,536	)		602,555			(165,362	)		238,399
Cash and cash equivalents, beginning of year or period		9,758,138			5,375,950			1,352,378			1,341,151			182,875			275,485
Cash and cash equivalents, end of year or period	$	852,821		$	8,845,183		$	194,842		$	1,943,706		$	17,513		$	513,884

(1) Formerly the Berkeley/Graham/Tiverton 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 Three Months Ended March 31, 2012 and 2011

	Winton Series						Winton/Graham Series
	(Unaudited)						(Unaudited)
	3/31/2012			3/31/2011			3/31/2012			3/31/2011
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(1,012,942	)	$	692,438		$	(25,951	)	$	(815,837	)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in open trade equity, at fair value		—			—			—			841,206
Net change in ownership allocation of U.S. Treasury Securities		(608,100	)		427,084			126,646			930,293
Net change in custom time deposits		(2,589,559	)		2,005,353			(911,369	)		4,937,308
Net change in ownership allocation of credit default swaps		(3,184	)		—			722			—
Net unrealized (gain)/loss on swap contracts		7,291			(11,718	)		(943	)		—
Net realized (gain)/loss on swap contracts		57,781			—			30,602			(9,432	)
Net unrealized (gain) loss on U.S. Treasury Securities, at fair value		104,872			62,094			46,888			50,460
Net realized (gain) loss on U.S. Treasury Securities, at fair value		(38,080	)		—			(16,888	)		—
(Purchases) sale of:
(Purchases) of swap contracts		—			(60,486	)		—			(48,710	)
Sales of custom time deposits		2,095,034			—			2,476,747			—
(Purchases) of custom time deposits		—			—			—			—
Sales of U.S. Treasury Securities, at fair value		1,652,092			—			725,012			—
Increase and/or decrease in:
Receivable from futures commission merchants		—			—			—			(4,035,283	)
Change in control of ownership of trading companies		—			—			—			—
Contributions to trading companies		—			—			—			1,825,000
Distributions from trading companies		—			—			—			(4,000	)
Investments in unconsolidated trading companies, at fair value		(726,221	)		(1,669,249	)		(678,749	)		(890,801	)
Prepaid service fees - Class 1		—			—			—			—
Interest receivable		76,691			75,816			39,223			69,060
Receivable from related parties		—			—			—			—
Other assets		(2,395	)		(874	)		(1,461	)		(809	)
Incentive fees payable to Managing Owner		—			(184,413	)		—			(553,337	)
Management fees payable to Managing Owner		154			(7,943	)		2,047			(15,669	)
Interest payable to Managing Owner		(1,709	)		337			(3,413	)		(3,278	)
Trading fees payable to Managing Owner		(561	)		99			(1,224	)		(814	)
Trailing service fees payable to Managing Owner		(2,502	)		(527	)		(3,776	)		(2,427	)
Payables to related parties		308			976			(16	)		302
Other liabilities		1,165			505			(743	)		65
Net cash provided by (used in) operating activities		(989,865	)		1,329,492			1,803,354			2,273,297
Cash Flows from Financing Activities:
Proceeds from sale of units		54,670			74,523			16,185			36,256
Payment for redemption of units		(953,645	)		(939,447	)		(3,026,729	)		(1,863,868	)
Pending owner additions		(348	)		—			(158	)		—
Owner redemptions payable		(319	)		(1,973	)		165,125			(33,096	)
Net cash provided by (used in) financing activities		(899,642	)		(866,897	)		(2,845,577	)		(1,860,708	)
Net Increase (Decrease) in cash and cash equivalents		(1,889,507	)		462,595			(1,042,223	)		412,589
Cash and cash equivalents, beginning of year or period		2,051,272			1,808,624			1,156,042			1,352,481
Cash and cash equivalents, end of year or period	$	161,765		$	2,271,219		$	113,819		$	1,765,070

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

23

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 annual report. The Trust is a multi-advisor commodity pool, as described in Commodity Futures Trading Commission (the “CFTC”) Regulation § 4.10(d)(2). The Trust has authority to issue separate series, or each, a Series, of units of beneficial interest (the “Units”) pursuant to the requirements of the Delaware Statutory Trust Act, as amended (the “Trust Act”). The assets of each Series are valued and accounted for separately from the assets of other Series. The Trust is not registered as an investment company under the Investment Company Act of 1940, as amended (the “Investment Company Act”). It is managed by its Managing Owner, Equinox Fund Management, LLC.

Purchasers of Units are limited owners of the Trust (“Limited Owners”) with respect to beneficial interests of the Series’ Units purchased. The Trust Act provides that, except as otherwise provided in the amended and restated declaration of trust and trust agreement of the Trust dated as of August 8, 2003, by and among the Managing Owner, Wilmington Trust Company as trustee and the unitholders from time to time (the “Trust Agreement”), unitholders in a Delaware statutory trust will have the same limitation of liability as do stockholders of private corporations organized under the General Corporation Law of the State of Delaware. The Trust Agreement confers substantially the same limited liability, and contains the same limited exceptions thereto, as would a limited partnership agreement for a Delaware limited partnership engaged in like transactions as the Trust. In addition, pursuant to the Trust Agreement, the Managing Owner of the Trust is liable for obligations of a Series in excess of that Series’ assets. Limited Owners do not have any such liability. The Managing Owner will make contributions to the Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of all Series.

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

The Trust has eight (8) separate and distinct Series of Units issued and outstanding: Frontier Diversified Series, Frontier Masters Series, Frontier Long/Short Commodity Series, Balanced Series, Tiverton/Graham/Transtrend Series (formerly Berkeley/Graham/Tiverton Series), Currency Series, Winton Series and Winton/Graham Series (each a “Series” and collectively, the “Series”). The Trust financial statements are comprised of unitized Series which are consolidated into the Trust financial statements. However, the consolidated Trust does not issue units.

In addition to the above eight (8) Series of the Trust, a separate and distinct TBG Institutional Series (“TBGI”) is a private offering under the Trust made only pursuant to exemptions provided by Section 4(2) of the Securities Act, Rule 506 promulgated there under, and applicable state securities laws. As part of the Trust, TBGI’s financial position and results of operations are included in the Consolidated Financial Statements of the Trust and it participates pari passu in the trading results and other activities of the Trust through investments in the Trading Companies. TBGI commenced operations on January 20, 2012. As a private offering the Managing Owner has determined that TBGI’s position and results of operations are not required to be presented separately within the Consolidated Financial Statements of the Trust.

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

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following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the NAV at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to Selling Agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series or Class 2a Units of the Frontier Long/Short Commodity Series) sold until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series. The Managing Owner may also pay Selling Agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such Selling Agents; and

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

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

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

In November 2010, the Tiverton/Graham/Transtrend Series invested a portion of its assets in Berkeley Quantitative Colorado Fund LLC, an unaffiliated company, managed by an affiliate of Berkeley Quantitative L.P. Through this investment, Berkeley Quantitative L.P. became a commodity trading advisor to the Series. This investment was liquidated March 20, 2012.

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

During July, 2011, Frontier Dynamic Series ceased trading operations and liquidated all positions and investor accounts. The Series is closed as of March 31, 2012.

During December, 2011, Long Only Commodity Series and Managed Futures Index Series ceased trading operations and liquidated all positions and investor accounts. The Series are closed as of March 31, 2012.

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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 2011 Annual report on Form 10-K as filed with the SEC.

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

The consolidated financial statements of the Balanced Series include the assets, liabilities and earnings of its majority-owned Trading Companies; Frontier Trading Company I LLC, Frontier Trading Company IX, LLC, Frontier Trading Company XIV, LLC, Frontier Trading Company XV, LLC, Frontier Trading Company XVII, LLC and Frontier Trading Company XVIII, LLC. Also included in the consolidated financial statements were the earnings of its majority owned trading company, Frontier Trading Company VI, LLC, from January 1, 2011 through March 18, 2011.

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

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

The consolidated financial statements of the Frontier Long/Short Commodity Series include the assets, liabilities and earnings of its majority owned trading company, Frontier Trading Company VII, LLC, from September 28, 2011 through March 31, 2012.

The consolidated financial statements of the Frontier Diversified Series include the earnings of its wholly owned trading company, Frontier Trading Company X, LLC from January 1, 2011 through October 11, 2011.

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 31, 2011). Also included in the consolidated financial statements were the earnings of its wholly owned trading company, Frontier Trading Company XI, LLC from January 1, 2011 through March 11, 2011.

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

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

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

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

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

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

Custom Time Deposits—Custom time deposits are structured deposit agreements with U.S. Bank National Association that earn a guaranteed fixed interest rate between 2.17% and 3.75% , mature nine months from the deposit date and are subject to automatic six-month rollovers through October 2015. Custom time deposits were purchased on 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, the Trust, with respect to the Series, redeemed approximately $25 million, $25 million, $50 million and $25 million, respectively, in custom time deposits held with U.S. Bank N.A which represented a full liquidation of the 2.17% investment tranche and an additional $25 million of the 3.17% tranche. Custom time deposits are allocated to each Series based on their percentage ownership in the pooled cash management assets as of the reporting date. The Series of the Trust values the custom time deposits at face value plus accrued interest as it is considered a deposit account under paragraph 7.50 of theInvestment 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 are 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 had expired as of March 31, 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 unrealized gain or loss, 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. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the statements of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income. 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.

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Each Series allocates funds to an affiliated Trading Company, or Companies, of the Trust. Each Trading Company allocates all of its daily trading gains or losses to the Series in proportion to each Series’ ownership interest in the Trading Company, adjusted on a daily basis. As of March 31, 2012, the value of all open contracts and cash held at clearing brokers is similarly allocated to the Series in proportion to each Series’ funds allocated to the Trading Company, or Companies.

Inter-Series Receivables/Payables—The Balanced Series, for the purposes of diversification of investments and trading advisors through the other Series’ access to trading companies in which the Balanced Series did not have a direct interest, advanced funds to the Currency Series and the Frontier Dynamic Series. The amount of the funds advanced by the Balanced Series to each of the Currency Series and the Frontier Dynamic Series participated on apari passu basis with Class 2 Units of such investee Series. The Balanced Series and investee Series reflected the changes in values of these investments as “net change in inter-series receivables/payables” in the statements of operations. The Balanced Series was subject to the same allocations of income and fees as the Limited Owners of such Series. As a result of fees charged by the investee Series, fees were not charged by the Balanced Series on the capital allocated to advances in affiliated Series. The Managing Owner monitored such allocations so that aggregate fees of the investee Series on the Balanced Series advances did not exceed the allowable fees of the Balanced Series as provided in the Trust’s Prospectus. Interest was not credited to the Balanced Series on the capital allocated to its inter-series advances to avoid the duplication of interest charged or received. These investments were liquidated during the third quarter of 2011.

Payments by the Managing Owner— The 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 in its financial statements, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the statements of operations. Certain Series of the Trust strategically invest a portion or all of their assets in total return Swaps, selected at the discretion of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more underlying investment products or indices. In a typical Swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. The valuation of swap contracts requires significant estimates. Swap contracts 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 a daily range of valuations provided by a third party pricing service. The third party pricing service utilizes a Black Scholes pricing model with input adjustments factoring in volatility and liquidity of the instruments. All valuation processes are monitored by the valuation committee of the Managing Owner.

Income Taxes—The Trust, with respect to the Series, applies the provisions of ASC 740Income 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, for the years ended December 31, 2011 and 2010. The 2008 through 2011 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, are 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.

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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 enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months.

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

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

In May 2011, the FASB issued ASU No. 2011-04 which provides guidance pertaining to fair value measurement that included a common definition of fair value and information to assist reporting entities to measure and disclose fair value with regards to U.S. GAAP and International Financial Reporting Standards (“IFRS”) convergence issues. This guidance became effective for interim and annual periods beginning on or after December 15, 2011, with early adoption prohibited. Adoption of ASU 2011-04 on January 1, 2012 did not have a material impact on the Series’ statements of financial condition, results of operations and cash flows.

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

Reclassification—Certain amounts in the 2011 financial statements have been reclassified to conform to the 2012 presentation. None of the reclassifications had an impact on the NAV or performance of any of the Series.

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.

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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. Each Series also owned a portion of the Credit Default Swaps (“CDS”) based upon ownership percentages of the cash management pool. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical Swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. Swap contracts are reported at fair value basis upon daily reports from the counterparty. The valuation requires significant estimates utilizing Level 3 inputs, corroborated by management through the use of a third party pricing service. The third party pricing service utilizes a Black Scholes pricing model with significant unobservable input adjustment. The significant unobservable inputs used in the fair value measurement include measurements of 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 could result in a significantly lower (higher) fair value measurement. All valuation processes are monitored by the valuation committee of the Managing Owner.

Investment in Unconsolidated Trading Companies. This investment represents the fair value of the allocation of cash, futures, forwards, options and swaps to each respective Series relative to its trading allocations from unconsolidated Trading Companies. The 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.

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Investment in the Berkeley Quantitative Colorado Fund LLC. Investment in Berkeley Quantitative Colorado Fund LLC was valued based on the daily net asset value as reported by the managing member of the Berkeley Quantitative Colorado Fund, LLC. The reported net asset value represented fair value based on observable data such as ongoing redemption and/or subscription activity, which was reported as a Level 2 input. The Berkeley Quantitative Colorado Fund LLC began operations on November 1, 2010 and was liquidated on March 20, 2012.

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

March 31, 2012	Level 1 Inputs		Level 2 Inputs			Level 3 Inputs		Total Fair Value
Frontier Diversified Series
Investment in Unconsolidated Trading Companies	$	36,905,964	$	1,859,796		$	5,166,690	$	43,932,450
U.S. Treasury Securities		12,887,155		—			—		12,887,155
Frontier Masters Series
Open Trade Equity		466,641		250			—		466,891
Investment in Unconsolidated Trading Companies		8,712,230		465,722			—		9,177,952
U.S. Treasury Securities		6,259,593		—			—		6,259,593
Frontier Long/Short Commodity Series
Open Trade Equity		1,536,818		749,205			—		2,286,023
Options Written		—		(231,913	)		—		(231,913	)
Investment in Unconsolidated Trading Companies		4,170,858		5,842			1,054,694		5,231,394
U.S. Treasury Securities		8,082,038		—			—		8,082,038
Balanced Series
Open Trade Equity		2,469,046		9,785,945			—		12,254,991
Options Written		—		(2,212,417	)		—		(2,212,417	)
Swap Contracts		—		—			24,282,681		24,282,681
Investment in Unconsolidated Trading Companies		21,054,686		(77,617	)		—		20,977,069
U.S. Treasury Securities		21,090,149		—			—		21,090,149
Tiverton/Graham/Transtrend Series
Investment in Unconsolidated Trading Companies		8,172,095		957,448			—		9,129,543
U.S. Treasury Securities		4,279,651		—			—		4,279,651
Currency Series
U.S. Treasury Securities		236,656		—			—		236,656
Investment in Unconsolidated Trading Companies		—		—			2,219,131		2,219,131
Winton Series
Investment in Unconsolidated Trading Companies		5,495,985		(37,848	)		—		5,458,137
U.S. Treasury Securities		6,711,143		—			—		6,711,143
Winton/Graham Series
Investment in Unconsolidated Trading Companies		9,398,151		(245,978	)		—		9,152,173
U.S. Treasury Securities		2,958,197		—			—		2,958,197

31

									Total
December 31, 2011	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Fair Value
Frontier Diversified Series
Swap Contracts	$	—		$	—		$	131,004	$	131,004
Investment in Unconsolidated Trading Companies		30,885,365			2,212,764			5,142,042		38,240,171
U.S. Treasury Securities		16,557,304			—			—		16,557,304
Frontier Long/Short Commodity Series
Open Trade Deficit		(25,934,678	)		—			—		(25,934,678	)
Swap Contracts		—			—			74,898		74,898
Investment in Unconsolidated Trading Companies		3,221,324			5,428			855,236		4,081,988
U.S. Treasury Securities		9,466,240			—			—		9,466,240
Frontier Masters Series
Open Trade Equity		792,372		��	—			—		792,372
Swap Contracts		—			—			57,225		57,225
Investment in Unconsolidated Trading Companies		4,009,449			708,465			—		4,717,914
U.S. Treasury Securities		7,232,546			—			—		7,232,546
Balanced Series
Open Trade Equity		1,175,762			11,928,779			—		13,104,541
Options Written		—			(3,326,453	)		—		(3,326,453	)
Swap Contracts		—			—			23,819,312		23,819,312
Investment in Unconsolidated Trading Companies		18,257,754			(1,945	)		—		18,255,809
U.S. Treasury Securities		29,168,216			—			—		29,168,216
Tiverton/Graham/Transtrend Series
Swap Contracts		—			—			34,397		34,397
Investment in Unconsolidated Trading Companies		7,219,498			1,014,549			—		8,234,047
Investment in Berkeley Quantitative Colorado Fund LLC		—			6,270,844			—		6,270,844
U.S. Treasury Securities		4,347,398			—			—		4,347,398
Currency Series
Swap Contracts		—			—			2,583		2,583
U.S. Treasury Securities		326,517			—			—		326,517
Investment in Unconsolidated Trading Companies		—			—			2,352,121		2,352,121
Winton Series
Swap Contracts		—			—			61,888		61,888
Investment in Unconsolidated Trading Companies		4,733,423			(1,507	)		—		4,731,916
U.S. Treasury Securities		7,821,927			—			—		7,821,927
Winton/Graham Series
Swap Contracts		—			—			30,381		30,381
Investment in Unconsolidated Trading Companies		8,474,102			(678	)		—		8,473,424
U.S. Treasury Securities		3,839,855			—			—		3,839,855

The changes in Level 3 assets measured at fair value on a recurring basis are summarized in the following tables. Swap contract asset gains and losses (realized/unrealized) included in earnings are classified in “realized and unrealized gain (loss) on investments – net unrealized gain/(loss) on swap contracts” on the statements of operations. Investment in unconsolidated trading company asset gains and losses (realized/unrealized) included in earnings are classified in “Change in fair value of investments in unconsolidated trading companies.” During the three months ended March 31, 2012 and year ended December 31, 2011, all identified Level 3 assets are components of the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series, Tiverton/Graham/Transtrend Series, Currency Series, Winton Series and Winton/Graham Series.

32

For the Three Months Ended March 31, 2012

Swaps:

	Frontier Diversified Series			Frontier Masters Series			Frontier Long/Short Commodity Series
Balance of recurring Level 3 assets as of January 1, 2012	$	131,004		$	57,225		$	74,898
Total gains or losses (realized/unrealized):
Included in earnings-realized		(106,862	)		(55,669	)		(58,693	)
Included in earnings-unrealized		(23,719	)		(2,775	)		(20,529	)
Purchases of investments		—			—			—
Sales of investments		—			—			—
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 March 31, 2012	$	—		$	—		$	—
	Balanced Series			Tiverton/Graham/ Transtrend Series			Currency Series
Balance of recurring Level 3 assets as of January 1, 2012	$	23,819,312		$	34,397		$	2,583
Total gains or losses (realized/unrealized):
Included in earnings-realized		(175,294	)		(34,232	)		(6,104	)
Included in earnings-unrealized		648,445			(2,448	)		3,603
Purchases of investments		—			—			—
Sales of investments		—			—			—
Change in ownership allocation of credit default swaps		(9,782	)		2,283			(82	)
Change in ownership allocation of total return swaps		—			—			—
Transfers in and/or out of Level 3		—			—			—
Balance of recurring Level 3 assets as of March 31, 2012	$	24,282,681		$	—		$	—

	Winton Series			Winton/Graham Series
Balance of recurring Level 3 assets as of January 1, 2012	$	61,888		$	30,381
Total gains or losses (realized/unrealized):
Included in earnings-realized		(57,781	)		(30,602	)
Included in earnings-unrealized		(7,291	)		943
Purchases of investments		—			—
Sales of investments		—			—
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 March 31, 2012	$	—		$	—

33

Investments in Unconsolidated Trading Companies:

	Frontier Diversified Series			Frontier Long/Short Commodity Series			Currency Series
Balance of recurring Level 3 assets as of January 1, 2012	$	5,142,042		$	855,236		$	2,352,121
Change in fair value of investments in unconsolidated trading companies		(1,097,252	)		(58,285	)		(132,912	)
Proceeds from sales of investments of unconsolidated trading companies		(4,478,768	)		(770,847	)		(78	)
Purchases of investments of unconsolidated trading companies		4,547,856			1,263,498			—
Change in ownership allocation		1,052,812			(234,908	)		—
Transfers in and/or out of Level 3		—			—			—
Balance of recurring Level 3 assets as of March 31, 2012	$	5,166,690		$	1,054,694		$	2,219,131

For the Year Ended December 31, 2011

Swaps:

	Frontier Diversified Series			Frontier Long/Short Commodity Series			Frontier Masters Series
Balance of recurring Level 3 assets as of January 1, 2011	$	11,407,905		$	—		$	26,242,246
Total gains or losses (realized/unrealized):
Included in earnings-realized		(5,621,987	)		(11,411	)		2,061,339
Included in earnings-unrealized		1,315,339			20,529			(1,607,804	)
Purchases of investments		45,929			78,248			142,819
Sales of investments		(7,096,699	)		—			(26,826,316	)
Change in ownership allocation of credit default swaps		80,517			(12,468	)		44,941
Transfers in and/or out of Level 3		—			—			—
Balance of recurring Level 3 assets as of December 31, 2011	$	131,004		$	74,898		$	57,225
	Balanced Series			Tiverton/Graham/ Transtrend Series			Currency Series
Balance of recurring Level 3 assets as of January 1, 2011	$	49,811,462		$	—		$	5,668,768
Total gains or losses (realized/unrealized):
Included in earnings-realized		(19,161,366	)		(6,252	)		(6,958,362	)
Included in earnings-unrealized		4,529,039			2,447			6,327,609
Purchases of investments		19,527,925			71,712			23,489
Sales of investments		(27,897,084	)		—			(5,043,086	)
Change in ownership allocation of credit default swaps		(34,673	)		(33,510	)		(15,835	)
Change in ownership allocation of total return swaps		(2,955,991	)		—			—
Transfers in and/or out of Level 3		—			—			—
Balance of recurring Level 3 assets as of December 31, 2011	$	23,819,312		$	34,397		$	2,583

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

34

Investments in Unconsolidated Trading Companies:

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

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 three months ended March 31, 2012, the Series transferred currency forwards from Level 1 to Level 2. During the three months ended March 31, 2012 and year ended December 31, 2011, all identified Level 3 assets are components of the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series and Currency Series.

35

Investment in Berkeley Quantitative Colorado Fund LLC

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

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

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

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

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

36

4. Swaps

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

Each Series 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 have expired as of March 31, 2012.

Each Series’ investment in Swaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements. For the Balanced Series, Currency Series, and Frontier Diversified Series, the Swaps serve to diversify the investment holdings of each Series and to provide access to programs and advisors that would not be otherwise available to the Series, and are not used for hedging purposes.

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of March 31, 2012, approximately 5.0% of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain Swaps.

The Series may strategically invest assets in one or more swaps linked to certain underlying investments or indices at the direction of the Managing Owner. The Trading Company in which the assets of these Series will be invested will not own any of the investments or indices referenced by any Swap entered into by these Series. In addition, neither the swap counterparty to the Trading Company of these Series nor any advisor referenced by any such Swap is a Trading Advisor to these Series.

37

The Trust, with respect to the Series, has invested in the following Swaps as of March 31, 2012:

	Frontier Diversified Series
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	0		$	0
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 3/31/2012	$	—		$	—
	Frontier Long/Short Commodity Series
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	0		$	0
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 3/31/2012	$	—		$	—
	Frontier Masters Series
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	0		$	0
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 3/31/2012	$	—		$	—

	Balanced Series
	Credit Default Swap			Credit Default Swap			Option Basket		Option Basket
Counterparty		BNP Paribas			Societe Generale			Company A		Deutsche Bank
Notional Amount	$	0		$	0		$	14,973,637	$	23,551,287
Termination Date		3/20/2012			3/20/2012			11/6/2012		6/30/2016
Investee Returns		On Default			On Default			Total Returns		Total Returns
Realized Gain/(Loss)	$	(133,362	)	$	(41,932	)	$	—	$	—
Unrealized Gain/(Loss)	$	(87,639	)	$	41,932		$	1,026,708	$	(332,556	)
Fair Value as of 3/31/2012	$	—		$	—		$	18,733,465	$	5,549,216

	Tiverton/Graham/Transtrend Series (1)
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	34,397		$	0
Termination Date		3/20/2012			3/20/2012
Investee Returns		On Default			On Default
Realized Gain/(Loss)	$	(26,333	)	$	(7,899	)
Unrealized Gain/(Loss)	$	(10,347	)	$	7,899	��
Fair Value as of 3/31/2012	$	—		$	—

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

38

	Currency Series
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	0		$	0
Termination Date		3/20/2012			3/20/2012
Investee Returns		On Default			On Default
Realized Gain/(Loss)	$	(4,730	)	$	(1,374	)
Unrealized Gain/(Loss)	$	2,229		$	1,374
Fair Value as of 3/31/2012	$	—		$	—

	Winton Series
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	0		$	0
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 3/31/2012	$	—		$	—

	Winton/Graham Series
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	0		$	0
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 3/31/2012	$	—		$	—

39

The Trust, with respect to the Series, has invested in the following Swaps as of December 31, 2011:

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

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

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

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

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

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

40

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

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

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

5. Investments in Unconsolidated Trading Companies

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

The following table summarizes the Balanced Series, Winton Series, Currency Series, Tiverton/Graham/Transtrend Series, Winton/Graham Series, Frontier Long/Short Commodity Series, Frontier Diversified Series, and Frontier Masters Series investments in unconsolidated Trading Companies as of March 31, 2012 and December 31, 2011.

41

	As of March 31, 2012					As of December 31, 2011
	Percentage of					Percentage of
	Series Net					Series Net
	Assets Invested					Assets Invested
	in Unconsolidated					in Unconsolidated
	Trading Companies			Fair Value		Trading Companies			Fair Value
Series
Frontier Diversified Series —
Frontier Trading Companies I, II, V, VII, IX, XIV, XV, XVIII, XXI and XXIII		34.94	%	$	43,932,450		28.54	%	$	38,240,171
Frontier Masters Series —
Frontier Trading Companies II, XIV and XV		16.52	%	$	9,177,952		8.92	%	$	4,717,914
Frontier Long/Short Commodity Series —
Frontier Trading Company I, XVIII and XXIII		6.50	%	$	5,231,394		5.03	%	$	4,081,988
Balanced Series —
Frontier Trading Companies II, V, VII and XXIII		7.40	%	$	20,977,069		6.17	%	$	18,255,809
Tiverton/Graham/Transtrend Series (1) —
Frontier Trading Companies V, XV and XXI		25.16	%	$	9,129,543		20.79	%	$	8,234,047
Currency Series —
Frontier Trading Company XVII		59.51	%	$	2,219,131		54.46	%	$	2,352,121
Winton Series —
Frontier Trading Company II		11.34	%	$	5,458,137		9.45	%	$	4,731,916
Winton/Graham Series —
Frontier Trading Companies II and V		33.00	%	$	9,152,173		27.53	%	$	8,473,424

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

42

The following tables summarize the Balanced Series, Winton Series, Currency Series, Tiverton/Graham/Transtrend Series, Winton/Graham Series, Frontier Long/Short Commodity Series, Frontier Diversified Series and Frontier Masters Series equity in earnings from unconsolidated Trading Companies for the three months ended March 31, 2012 and 2011.

	Three Months Ended March 31, 2012												Three Months Ended March 31, 2011
							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	$	(17,480	)	$	1,130,303		$	(1,604,191	)	$	(491,368	)	$	(11,377	)	$	2,371,909		$	(832,415	)	$	1,528,117
Frontier Trading Company V LLC		(51,183	)		559,558			42,753			551,128			—			—			—			—
Frontier Trading Company VII, LLC		(186,655	)		(18,053,930	)		14,305,300			(3,935,285	)		(410,313	)		(31,670,535	)		51,792,175			19,711,327
Frontier Trading Company XIV, LLC		—			—			—			—			(30,271	)		935,337			285,743			1,190,809
Frontier Trading Company XXIII, LLC		(8,530	)		(229,496	)		124,599			(113,427	)		—			—			—			—
Total	$	(263,848	)	$	(16,593,565	)	$	12,868,461		$	(3,988,952	)	$	(451,961	)	$	(28,363,289	)	$	51,245,503		$	22,430,253
Winton Series —
Frontier Trading Company II LLC	$	(12,882	)	$	833,391		$	(1,186,263	)	$	(365,754	)	$	(12,369	)	$	2,578,557		$	(908,020	)	$	1,658,168
Currency Series —
Frontier Trading Company XVII LLC	$	—		$	—		$	(132,912	)	$	(132,912	)	$	—		$	—		$	—		$	—
Tiverton/Graham/Transtrend Series (1) —
Frontier Trading Company V LLC	$	(49,745	)	$	2,040,212		$	(1,446,023	)	$	544,444		$	(72,210	)	$	86,416		$	(344,056	)	$	(329,850	)
Frontier Trading Company VI LLC		—			—			—			—			(1,331	)		259,550			(127,648	)		130,571
Frontier Trading Company XV, LLC		(12,897	)		(209,247	)		(76,048	)		(298,192	)		(15,872	)		1,330,183			(1,604,947	)		(290,636	)
Frontier Trading Company XXI, LLC		(3,598	)		399,495			(450,646	)		(54,749	)		—			—			—			—
Total	$	(66,240	)	$	2,230,460		$	(1,972,717	)	$	191,503		$	(89,413	)	$	1,676,149		$	(2,076,651	)	$	(489,915	)
Winton/Graham Series —
Frontier Trading Company II LLC	$	(4,747	)	$	306,322		$	(434,737	)	$	(133,162	)	$	(6,703	)	$	1,397,178		$	(493,674	)	$	896,801
Frontier Trading Company V LLC		(67,329	)		692,142			52,531			677,344			—			—			—			—
	$	(72,076	)	$	998,464		$	(382,206	)	$	544,182		$	(6,703	)	$	1,397,178		$	(493,674	)	$	896,801
Frontier Long/Short Commodity Series —
Frontier Trading Company I LLC	$	(14,204	)	$	(1,039,964	)	$	(305,434	)	$	(1,359,602	)	$	(6,983	)	$	505,526		$	(241,372	)	$	257,171
Frontier Trading Companies VII, LLC		—			—			—			—			(160,486	)		(4,708,661	)		16,752,542			11,883,395
Frontier Trading Companies XVIII, LLC		(7,614	)		472,507			(72,707	)		392,186			—			—			—			—
Frontier Trading Companies XXIII, LLC		(5,118	)		(137,444	)		74,723			(67,839	)		—			—			—			—
Total	$	(26,936	)	$	(704,901	)	$	(303,418	)	$	(1,035,255	)	$	(167,469	)	$	(4,203,135	)	$	16,511,170		$	12,140,566
Frontier Diversified Series —
Frontier Trading Company I LLC	$	(194,760	)	$	(2,331,404	)	$	1,077		$	(2,525,087	)	$	(337,157	)	$	1,508,585		$	(323,778	)	$	847,650
Frontier Trading Company II LLC		(8,216	)		530,724			(753,385	)		(230,877	)		(4,828	)		1,005,677			(357,374	)		643,475
Frontier Trading Company V LLC		(27,108	)		269,249			21,957			264,098			(8,340	)		9,575			(39,818	)		(38,583	)
Frontier Trading Company VI LLC		—			—			—			—			(985	)		192,259			(95,556	)		95,718
Frontier Trading Company VII, LLC		(96,249	)		(9,316,926	)		7,381,068			(2,032,107	)		(145,703	)		(10,971,719	)		17,972,558			6,855,136
Frontier Trading Company IX, LLC		(11,687	)		(159,693	)		(161,676	)		(333,056	)		(4,146	)		79,224			(264,110	)		(189,032	)
Frontier Trading Company XIV, LLC		(95,707	)		1,137,455			(226,492	)		815,256			(12,526	)		386,957			121,710			496,141
Frontier Trading Company XV, LLC		(30,257	)		(569,163	)		(48,533	)		(647,953	)		(25,078	)		2,108,998			(2,546,370	)		(462,450	)
Frontier Trading Company XVIII, LLC		(14,682	)		911,355			(138,281	)		758,392			—			—			—			—
Frontier Trading Company XXI, LLC		(254	)		8,435			1,468			9,649			(146	)		(13,779	)		6,277			(7,648	)
Frontier Trading Company XXIII, LLC		(4,266	)		(114,732	)		62,249			(56,749	)		—			—			—			—
Total	$	(483,186	)	$	(9,634,700	)	$	6,139,452		$	(3,978,434	)	$	(538,909	)	$	(5,694,223	)	$	14,473,539		$	8,240,407
Frontier Masters Series —
Frontier Trading Company II LLC	$	(3,813	)	$	246,545		$	(351,200	)	$	(108,468	)	$	(3,774	)	$	786,194		$	(279,545	)	$	502,875
Frontier Trading Company XIV, LLC		(60,305	)		718,517			(148,563	)	$	509,649			(32,438	)		1,000,632			314,362		$	1,282,556
Frontier Trading Company XV, LLC		(9,832	)		(185,032	)		(16,039	)	$	(210,903	)		(10,198	)		857,776			(1,035,670	)	$	(188,092	)
Total	$	(73,950	)	$	780,030		$	(515,802	)	$	190,278		$	(46,410	)	$	2,644,602		$	(1,000,853	)	$	1,597,339

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

43

The statements of financial condition as of March 31, 2012 and December 31, 2011 and the Condensed Statement of Income for the three months ended March 31, 2012 and 2011 for the unconsolidated Trading Companies are as follows:

Statements of Financial Condition - March 31, 2012	Frontier Trading Company II LLC			Frontier Trading Company V LLC			Frontier Trading Company XXIII LLC
Cash held at futures commission merchants	$	20,325,758		$	20,787,077		$	2,246,305
Open trade equity/(deficit)		(332,332	)		109,484			273,995
Total assets	$	19,993,426		$	20,896,561		$	2,520,300
Members’ equity	$	19,993,426		$	20,896,561		$	2,520,300
Condensed Statement of Income - For the Three Months Ended March 31, 2012	Frontier Trading Company II LLC			Frontier Trading Company V LLC			Frontier Trading Company XXIII LLC
Interest income	$	8,807		$	735		$	—
Net realized gain/(loss) on investments, less commissions		3,000,146			3,365,796			(511,507	)
Change in open trade equity		(4,329,777	)		(1,328,782	)		267,807
Net income/(loss)	$	(1,320,824	)	$	2,037,749		$	(243,700	)

Statements of Financial Condition - December 31, 2011	Frontier Trading Company II LLC		Frontier Trading Company V LLC
Cash held at futures commission merchants	$	13,281,317	$	19,419,555
Open trade equity/(deficit)		4,032,935		1,438,257
Total assets	$	17,314,252	$	20,857,812
Members’ equity	$	17,314,252	$	20,857,812

Condensed Statement of Income - For the Three Months Ended March 31, 2011	Frontier Trading Company II LLC			Frontier Trading Company VII LLC			Frontier Trading Company XIV, LLC
Interest income	$	1,081		$	2,411		$	(7,862	)
Net realized gain/(loss) on investments, less commissions		8,100,464			(48,067,417	)		2,249,050
Change in open trade equity		(2,871,029	)		86,517,275			722,262
Net income	$	5,230,516		$	38,452,269		$	2,963,450

44

6. Transactions with Affiliates

The Managing Owner contributes funds to the Trust, with respect to the Series, in order to have a 1% interest in the aggregate capital, profits and losses of all Series and in return will receive units designated as general units in the Series in which the Managing Owner invests such funds. The general units may only be purchased by the Managing Owner and may be subject to no advisory fees or advisory fees at reduced rates. Otherwise, the general units hold the same rights as the limited units. The Managing Owner is required to maintain at least a 1% interest (“Minimum Purchase Commitment”) in the aggregate capital, profits and losses of all Series so long as it is acting as the Managing Owner of the Trust. Such contribution was made by the Managing Owner before trading commenced for the Trust and will be maintained throughout the existence of the Trust, and the Managing Owner will make such purchases as are necessary to effect this requirement. Additionally, the Managing Owner agreed with certain regulatory bodies to maintain a 1% interest specifically in the Balanced Series Class 1 a Units and Balanced Series Class 2a Units, aggregated, and each of the Long Only Commodity Series, Frontier Long/Short Commodity Series, Frontier Diversified Series and Frontier Masters Series. The 1% interest in these specific Series is included in computing the Minimum Purchase Commitment in aggregate capital. In addition to the General Units the Managing Owner receives in respect of its Minimum Purchase Commitment, the Managing Owner may purchase Limited Units in any Series as a Limited Owner. Principals of the Managing Owner or affiliates are allowed to own beneficial interests in the Trust, with respect to the Series, as well. All Units purchased by the Managing Owner are held for investment purposes only and not for resale. The Managing Owner may make purchases or redemptions at any time on the same terms as any Limited Owner. The Trust has and will continue to have certain relationships with the Managing Owner and its affiliates.

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

The following table summarizes the Balanced Series advances to and reductions from the Currency Series, Frontier Diversified Series and Frontier Masters Series of the Trust for the year ended December 31, 2011. All such advances were liquidated in 2011.

45

Balanced Series

Summary by Quarter

For the Year Ended December 31, 2011

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

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

Expenses

Management Fees -Each Series of Units pays to the Managing Owner a monthly management fee equal to a certain percentage of such Series’ assets attributable to such Series (including notional assets), calculated on a daily basis. The annual rate of the management fee is 0.5% for the Balanced Series, 2.0% for the Winton Series, Currency Series, Frontier Long/Short Commodity Series Class 1 a and Class 2a, Frontier Diversified Series and Frontier Masters Series, 2.5% for the Winton/Graham Series and Tiverton/Graham/Transtrend Series, and 3.5% for the Frontier Long/Short Commodity Series Class 1 and Class 2. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) for such Series.

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

46

Incentive Fees -Some Series pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated by such Series, monthly or quarterly. Because the Balanced Series, Winton/Graham Series, Tiverton/Graham/Transtrend Series, Currency Series and Frontier Long/Short Commodity Series may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Balanced Series or the Frontier Long/Short Commodity Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee is 25% for the Balanced Series and the Frontier Diversified Series and 20% for the Winton Series, Currency Series, Winton/Graham Series, 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 quarterly to the Managing Owner a service fee at an annualized rate, as described in more detail above, which the Managing Owner pays to selling agents of the Trust, with respect to the Series.

The following table summarizes fees earned by the Managing Owner for the three months ended March 31, 2012 and 2011.

Series: Three Months Ended March 31, 2012	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified Series	$	516,204	$	773,697	$	5,758	$	391,766
Frontier Masters Series		352,610		317,570		—		187,327
Frontier Long/Short Commodity Series		864,191		254,373		77,070		124,836
Balanced Series		689,478		477,527		178,125		1,340,888
Tiverton/Graham/Transtrend Series		272,986		70,889		—		254,314
Currency Series		—		7,497		—		29,910
Winton Series		267,609		91,423		—		282,428
Winton/Graham Series		298,313		55,058		—		179,072
Series: Three Months Ended March 31, 2011	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified Series	$	481,720	$	978,666	$	1,719,673	$	516,049
Frontier Masters Series		907,921		400,110		266,535		225,527
Frontier Long/Short Commodity Series		945,859		153,893		1,629,861		273,551
Balanced Series		642,865		486,163		4,270,189		2,219,967
Tiverton/Graham/Transtrend Series		377,970		85,253		—		455,038
Currency Series		39,855		23,565		—		45,170
Winton Series		332,638		73,838		248,590		364,021
Winton/Graham Series		445,869		69,313		70,874		335,672

47

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

Series:	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified Series	$	171,578	$	258,638	$	30,736	$	82,113
Frontier Masters Series		120,761		109,061		5,203		45,100
Frontier Long/Short Commodity Series		305,232		88,043		56,419		15,594
Balanced Series		228,444		157,680		—		400,112
Tiverton/Graham/Transtrend Series		87,029		23,514		—		80,660
Currency Series		—		2,429		—		5,365
Winton Series		90,713		30,741		—		75,542
Winton/Graham Series		102,358		18,203		—		53,365

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

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

With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed therefore by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. For the three months ended March 31, 2012, amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees were $3,393 for the Frontier Diversified Series, $2,199 for the Frontier Long/Short Commodity Series and $1,115 for the Frontier Masters Series. For the three months ended March 31, 2012, amounts paid or owing the Managing Owner for the difference in monthly service fees from prepaid initial service fees were $10,810 for the Balanced Series, $608 for the Currency Series, $1,470 for the Tiverton/Graham/Transtrend Series, $1,616 for the Winton/Graham Series and $2,389 for the Winton Series.

For the year ended December 31, 2011, amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees were $2,752 for the Frontier Dynamic Series, $77 for the Long/Only Commodity Series and $81 for the Managed Futures Index Series. For the year ended December 31, 2011, amounts paid or owed to the Managing Owner for the difference in monthly service fees from prepaid initial service fees were $34,141 for the Balanced Series, $16,508 for the Frontier Long/Short Commodity Series, $23,473 for the Frontier Diversified Series, $755 for the Currency Series, $6,607 for the Tiverton Series, $5,102 for the Winton/Graham Series, $9,011 for the Winton Series and $12,444 for the Frontier Masters Series.

Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Tiverton/Graham/Transtrend Series, Currency Series and Winton/Graham Series. For the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series and Balanced Series (Class 1a and Class 2a only) 20% of the total interest allocated to each Series is paid to the Managing Owner. During the three months ended March 31, 2012, and 2011 the Trust, with respect to the Series, paid $2,014,194 and $2,663,321, respectively, of such interest income to the Managing Owner. Such expenses are not included in the statements of operations of the Series.

The Managing Owner pays to The Bornhoft Group Corporation, an affiliate of the Trust, a monthly fee of 0.25% (annualized) of the NAV of the Trust, for services in connection with the daily valuation of each Series and Class. The amount paid under this agreement was $388,634 and $561,139, respectively for the three months ended March 31, 2012 and 2011.

Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $699,541 and $1,010,051, respectively, for the three months ended March 31, 2012 and 2011.

48

Bornhoft Group Securities Corporation, a subsidiary of the Managing Owner, serves as wholesaler of the Trust by marketing to broker/dealer organizations. Its results are consolidated with the Managing Owner.

49

7. Financial Highlights

The following information presents the financial highlights of the Trust, with respect to the Series, for the three months ended March 31, 2012 and 2011.

	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		0.44			0.47			0.51			0.53			0.70			0.83			0.83			0.62			0.65
Expenses		(1.50	)		(1.01	)		(1.81	)		(1.33	)		(3.05	)		(2.74	)		(2.74	)		(2.74	)		(2.15	)
Net gain/(loss) on investments, net of non-controlling interests		(3.11	)		(3.38	)		2.00			1.99			0.43			0.82			0.82			0.96			0.84
Net income/(loss)		(4.17	)		(3.92	)		0.70			1.19			(1.92	)		(1.09	)		(1.09	)		(1.16	)		(0.66	)
Net asset value, March 31, 2012	$	95.23		$	100.04		$	100.95		$	106.02		$	134.21		$	160.88		$	160.87		$	120.55		$	126.57
Ratios to average net assets (3)
Net investment income/(loss)		-4.26	%		-2.08	%		-5.22	%		-3.06	%		-6.50	%		4.28	%		-4.28	%		-6.52	%		-4.28	%
Expenses before incentive fees		6.05	%		3.88	%		7.25	%		5.09	%		8.55	%		6.34	%		6.34	%		8.58	%		6.34	%
Expenses after incentive fees		6.07	%		3.90	%		7.25	%		5.09	%		8.99	%		6.77	%		6.77	%		9.01	%		6.78	%
Total return before incentive fees (2)		-4.19	%		-3.77	%		0.70	%		4.55	%		-1.30	%		-0.56	%		-0.56	%		-0.84	%		-0.41	%
Total return after incentive fees (2)		-4.20	%		-3.77	%		0.70	%		1.14	%		-1.41	%		-0.67	%		-0.67	%		-0.95	%		-0.52	%

	Balanced Series															Tiverton/Graham/Transtrend Series (1)						Currency Series
	Class 1			Class 1a			Class 2			Class 2a			Class 3a			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2011	$	124.50		$	108.45		$	155.02		$	128.35		$	128.36		$	91.02		$	111.84		$	70.48		$	87.61
Net operating results:
Interest income		0.08			0.07			0.09			0.08			0.08			0.04			0.05			0.00			0.00
Expenses		(1.58	)		(1.37	)		(0.84	)		(0.69	)		(0.69	)		(1.49	)		(1.00	)		(0.65	)		(0.16	)
Net gain/(loss) on investments, net of non-controlling interests		(3.88	)		(3.28	)		(4.85	)		(3.90	)		(3.90	)		0.06			0.03			(2.46	)		(3.08	)
Net income/(loss)		(5.38	)		(4.58	)		(5.58	)		(4.51	)		(4.51	)		(1.39	)		(0.92	)		(3.11	)		(3.24	)
Net asset value, March 31, 2012	$	119.12		$	103.87		$	149.44		$	123.84		$	123.85		$	89.63		$	110.92		$	67.37		$	84.37
Ratios to average net assets (3)
Net investment income/(loss)		-4.58	%		-4.59	%		-1.63	%		-1.63	%		-1.63	%		-6.37	%		-3.40	%		-3.71	%		-0.731	%
Expenses before incentive fees		4.82	%		4.82	%		1.87	%		1.88	%		1.87	%		6.56	%		3.59	%		3.71	%		0.73	%
Expenses after incentive fees		5.11	%		5.12	%		2.16	%		2.17	%		2.16	%		6.56	%		3.59	%		3.71	%		0.73	%
Total return before incentive fees (2)		-4.25	%		-4.15	%		-3.53	%		-3.44	%		-3.44	%		-1.53	%		-0.82	%		-4.41	%		-3.70	%
Total return after incentive fees (2)		-4.32	%		-4.22	%		-3.60	%		-3.51	%		-3.51	%		-1.53	%		-0.82	%		-4.41	%		-3.70	%

	Winton Series						Winton/Graham Series
	Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2011	$	141.13		$	165.82		$	104.73		$	129.70
Net operating results:
Interest income		0.36			0.42			0.08			0.10
Expenses		(2.07	)		(1.20	)		(2.05	)		(1.56	)
Net gain/(loss) on investments, net of non-controlling interests		(1.42	)		(1.69	)		1.61			1.99
Net income/(loss)		(3.13	)		(2.47	)		(0.36	)		0.53
Net asset value, March 31, 2012	$	138.00		$	163.35		$	104.37		$	130.23
Ratios to average net assets (3)
Net investment income/(loss)		-4.86	%		-1.89	%		-7.55	%		-4.54	%
Expenses before incentive fees		5.88	%		2.91	%		7.85	%		4.84	%
Expenses after incentive fees		5.88	%		2.91	%		7.85	%		4.84	%
Total return before incentive fees (2)		-2.22	%		-1.49	%		-0.34	%		0.41	%
Total return after incentive fees (2)		-2.22	%		-1.49	%		-0.34	%		0.41	%

(1) Interest income and expenses per unit are calculated by dividing these amounts by the average number of units outstanding during the period. The net gain/(loss) on investments, net of non-controlling interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

(2) Computed using average net assets outstanding during the period. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized.

(3) Annualized

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

50

	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, 2010	$	103.58		$	106.46		$	102.96		$	105.81		$	132.73		$	153.26		$	153.26		$	117.96		$	121.18
Net operating results:
Interest income		0.37			0.39			0.26			0.27			0.55			0.63			0.63			0.49			0.50
Expenses		(2.59	)		(2.08	)		(2.93	)		(2.45	)		(5.71	)		(5.46	)		(5.46	)		(5.09	)		(4.31	)
Net gain/(loss) on investments, net of non-controlling interests		5.20			5.23			2.82			2.79			20.75			24.11			24.10			18.16			18.32
Net income/(loss)		2.98			3.54			0.15			0.61			15.59			19.28			19.27			13.56			14.51
Net asset value, March 31, 2011	$	106.56		$	110.00		$	103.11		$	106.42		$	148.32		$	172.54		$	172.53		$	131.52		$	135.69
Ratios to average net assets (3)
Net investment gain/(loss)		-8.44	%		-6.25	%		-10.43	%		-8.28	%		-14.66	%		-11.82	%		-11.82	%		-14.66	%		-11.82	%
Expenses before incentive fees		5.71	%		3.52	%		9.87	%		7.71	%		8.23	%		5.38	%		5.38	%		8.23	%		5.38	%
Expenses after incentive fees		9.86	%		7.67	%		11.44	%		9.29	%		16.21	%		13.36	%		13.36	%		16.21	%		13.36	%
Total return before incentive fees (2)		3.71	%		4.22	%		0.49	%		0.91	%		13.04	%		13.62	%		13.82	%		12.37	%		12.96	%
Total return after incentive fees (2)		2.69	%		3.20	%		0.10	%		0.52	%		11.07	%		11.66	%		11.85	%		10.40	%		10.99	%

	Balanced Series															Tiverton/Graham/ Transtrend Series (4)						Currency Series
	Class 1			Class 1a			Class 2			Class 2a			Class 3a			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2010	$	131.95		$	116.36		$	159.46		$	133.66		$	133.66		$	110.46		$	131.73		$	79.09		$	95.43
Net operating results:
Interest income		0.01			0.01			0.02			0.01			0.01			0.01			0.01			0.34			0.41
Expenses		(2.92	)		(2.57	)		(2.32	)		(1.94	)		(1.94	)		(1.56	)		(0.88	)		(1.29	)		(0.87	)
Net gain/(loss) on investments, net of non-controlling interests		7.33			6.19			8.86			7.11			7.12			(0.28	)		(0.36	)		(2.55	)		(3.09	)
Net income/(loss)		4.42			3.63			6.56			5.18			5.19			(1.83	)		(1.23	)		(3.50	)		(3.55	)
Net asset value, March 31, 2011	$	136.37		$	119.99		$	166.02		$	138.84		$	138.85		$	108.63		$	130.50		$	75.59		$	91.88
Ratios to average net assets (3)
Net investment gain/(loss)		-8.64	%		-8.64	%		-5.64	%		-5.64	%		-5.64	%		-5.66	%		-2.66	%		-5.00	%		-2.00	%
Expenses before incentive fees		4.19	%		4.19	%		1.19	%		1.19	%		1.19	%		5.69	%		2.69	%		6.76	%		3.76	%
Expenses after incentive fees		8.68	%		8.68	%		5.68	%		5.68	%		5.68	%		5.69	%		2.69	%		6.76	%		3.76	%
Total return before incentive fees (2)		4.39	%		4.32	%		5.14	%		4.84	%		4.92	%		-1.59	%		-0.86	%		-4.50	%		-3.78	%
Total return after incentive fees (2)		3.29	%		3.21	%		4.03	%		3.74	%		3.81	%		-1.59	%		-0.86	%		-4.50	%		-3.78	%

	Winton Series						Winton/Graham Series
	Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2010	$	135.04		$	153.99		$	119.83		$	144.04
Net operating results:
Interest income		0.23			0.27			0.12			0.15
Expenses		(2.47	)		(1.68	)		(2.12	)		(1.49	)
Net gain/(loss) on investments, net of non-controlling interests		3.59			4.12			0.84			1.00
Net income/(loss)		1.36			2.71			(1.16	)		(0.34	)
Net asset value, March 31, 2011	$	136.40		$	156.70		$	118.67		$	143.70
Ratios to average net assets (3)
Net investment gain/(loss)		-6.69	%		-3.69	%		-6.78	%		-3.78	%
Expenses before incentive fees		5.72	%		2.72	%		6.68	%		3.69	%
Expenses after incentive fees		7.38	%		4.38	%		7.19	%		4.19	%
Total return before incentive fees (2)		1.42	%		2.14	%		-0.83	%		0.02	%
Total return after incentive fees (2)		1.01	%		1.73	%		-0.96	%		-0.11	%

(1) Interest income and expenses per unit are calculated by dividing these amounts by the average number of units outstanding during the period. The net gain/(loss) on investments, net of minority interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

(2) Computed using average net assets outstanding during the period. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized.

(3) Annualized

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

51

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 March 31, 2012 and December 31, 2011 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to each Series’ position in swap contracts. This activity was performed by affiliated Trading Companies and does not include activity of unaffiliated trading Company investments.

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

For The Three Months Ended March 31, 2012

Monthly average contracts:

	Bought		Sold
Frontier Long/Short Commodity Series		26,250		23,275
Balanced Series		6,325		8,575
Frontier Masters Series		1,375		700

For The Three Months Ended March 31, 2011

Monthly average contracts:

	Bought		Sold
Frontier Diversified Series		1,000		250
Frontier Long/Short Commodity Series		23,750		16,250
Balanced Series		5,750		6,050
Berkeley/Graham/Tiverton Series		1,250		500
Currency Series		375		3,750
Winton/Graham		3,750		625

The following tables summarize the trading revenues for the three months ended March 31, 2012 and 2011 by sector:

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended March 31, 2012⁽¹⁾

Type of contract	Frontier Long/Short Commodity Series			Frontier Masters Series			Balanced Series
Metals	$	(18,715,970	)	$	716,722		$	(1,901,528	)
Currencies		(8,498,267	)		325,491			(863,556	)
Energies		(4,350,150	)		166,614			(442,043	)
Agriculturals		(6,871,127	)		263,170			(698,213	)
Interest rates		(12,430,721	)		476,107			(1,263,154	)
Stock indices		17,151,335			(656,911	)		1,742,842
Realized trading income/(loss)(2)	$	(33,714,900	)	$	1,291,193		$	(3,425,652	)

52

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

for the Three Months Ended March 31, 2012⁽¹⁾

Type of contract	Frontier Long/Short Commodity Series			Frontier Masters Series			Balanced Series
Metals	$	3,766,803		$	(41,417	)	$	(300,085	)
Currencies		18,113,239			(199,158	)		(1,443,005	)
Energies		6,482,818			(71,280	)		(516,459	)
Agriculturals		2,012,905			(22,132	)		(160,360	)
Interest rates		(1,257,357	)		13,825			100,168
Stock indices		483,775			(5,319	)		(38,540	)
Change in unrealized trading income/(loss)(3)	$	29,602,183		$	(325,481	)	$	(2,358,281	)

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

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

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

53

Realized Trading Revenue from Futures, Forwards and Options

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

Type of contract	Frontier Masters Series			Balanced Series			Currency Series
Metals	$	(5,630	)	$	1,608,035		$	—
Currencies		(316,989	)		13,164,312			(153,538	)
Energies		(317,873	)		636,692			—
Agriculturals		(432,091	)		2,637,992			—
Interest rates		15,631			(2,502,489	)		—
Stock indices		(334,608	)		1,230,098			—
Realized trading income/(loss)(2)	$	(1,391,560	)	$	16,774,640		$	(153,538	)

Type of contract	Winton/Graham Series
Metals	$	696,848
Currencies		(436,956	)
Energies		521,500
Agriculturals		693,321
Interest rates		(812,372	)
Stock indices		(451,515	)
Realized trading income/(loss)(2)	$	210,826

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

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

Type of contract	Frontier Masters Series			Balanced Series			Currency Series
Metals	$	71,235		$	(2,273,274	)	$	—
Currencies		384			(9,266,331	)		(5,778	)
Energies		23,360			591,534			—
Agriculturals		43,275			(2,103,406	)		—
Interest rates		(212,850	)		(562,730	)		—
Stock indices		704,907			(1,152,632	)		—
Change in unrealized trading income/(loss)(3)	$	630,311		$	(14,766,839	)	$	(5,778	)

Type of contract	Winton/Graham Series
Metals	$	(294,519	)
Currencies		(945,878	)
Energies		104,003
Agriculturals		(237,561	)
Interest rates		317,143
Stock indices		215,605
Change in unrealized trading income/(loss)(3)	$	(841,207	)

(1) The Frontier Diversified Series, and Winton Series participate in trading activities through equity in earnings/(loss) from trading companies. The Frontier Diversified Series, Balanced Series and Long/Short Series participate in trading activities through equity in earnings(loss) from the aforementioned deconsolidated trading companies.

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

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

9. Trading Activities and Related Risks

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

54

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

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

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

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

10. Indemnifications

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

11. Subsequent Events

None.

55

The Frontier Fund

Consolidated Statements of Financial Condition

March 31, 2012 and December 31, 2011

	3/31/2012		12/31/2011
	(Unaudited)
ASSETS
Cash and cash equivalents	$	7,672,040	$	27,452,803
U.S. Treasury securities, at fair value		62,504,582		78,760,003
Custom time deposits		335,997,164		358,276,083
Receivable from futures commission merchants		164,860,123		160,366,935
Open trade equity, at fair value		15,070,714		—
Swap contracts, at fair value		24,282,681		24,211,688
Investments in Berkeley Quantitative Colorado Fund, LLC at fair value		—		6,270,844
Prepaid service fees		235,666		310,430
Interest receivable		292,761		1,088,724
Receivable from related parties		432,458		—
Other assets		111,335		96,247
Total Assets	$	611,459,524	$	656,833,757
LIABILITIES & CAPITAL
LIABILITIES
Open trade deficit, at fair value	$	—	$	6,556,700
Options written, at fair value		2,455,992		3,336,326
Pending owner additions		518,979		384,457
Owner redemptions payable		930,287		3,387,126
Incentive fees payable to Managing Owner		115,105		1,844,116
Management fees payable to Managing Owner		1,115,148		1,120,495
Interest payable to Managing Owner		670,538		717,850
Trading fees payable to Managing Owner		705,955		715,113
Trailing service fees payable to Managing Owner		757,851		806,690
Payables to related parties		—		1,733
Other liabilities		49,358		16,608
Total Liabilities		7,319,213		18,887,214
CAPITAL
Managing Owner Units		6,356,397		6,538,575
Limited Owner Units		597,783,914		631,407,968
Total Owners’ Capital		604,140,311		637,946,543
Total Liabilities and Capital	$	611,459,524	$	656,833,757

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

56

The Frontier Fund

Consolidated Condensed Schedule of Investments

March 31, 2012

(Unaudited)

Description	Value			% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	(2,164,369	)		-0.36	%
Various base metals futures contracts (Europe)		(3,211,328	)		-0.53	%
Various currency futures contracts (U.S.)		(501,038	)		-0.08	%
Various currency futures contracts (Canada)		—			0.00	%
Various currency futures contracts (Europe)		103,523			0.02	%
Various currency futures contracts (Far East)		—			0.00	%
Various energy futures contracts (U.S.)		13,472,918			2.23	%
Various energy futures contracts (Europe)		8,980,240			1.49	%
Various energy futures contracts (Far East)		(3,289	)		0.00	%
Various interest rates futures contracts (U.S.)		(57,171	)		-0.01	%
Various interest rates futures contracts (Canada)		(145,188	)		-0.02	%
Various interest rates futures contracts (Europe)		2,083,541			0.34	%
Various interest rates futures contracts (Far East)		188,908			0.03	%
Various precious metals futures contracts (U.S.)		(193,840	)		-0.03	%
Various precious metals futures contracts (Far East)		(19,530	)		0.00	%
Various soft futures contracts (U.S.)		81,654			0.01	%
Corn Settling 12/1/12 (Number of Contracts: 1,350)		(7,040,541	)		-1.17	%
Various soft futures contracts (Europe)		49,161			0.01	%
Various soft futures contracts (Far East)		44,936			0.01	%
Various stock index futures contracts (U.S.)		2,961,538			0.49	%
Various stock index futures contracts (Canada)		(11,194	)		0.00	%
Various stock index futures contracts (Europe)		(2,157,066	)		-0.36	%
Various stock index futures contracts (Far East)		771,240			0.13	%
Total Long Futures Contracts		13,233,105			2.19	%
OPTIONS PURCHASED *		12,696,704			2.10	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (US)		2,214,212			0.34	%
Various base metals futures contracts (Europe)		4,193,374			0.69	%
Various currency futures contracts (US)		(85,842	)		-0.01	%
Various currency futures contracts (Canada)		—			0.00	%
Various currency futures contracts (Europe)		(729,938	)		0.12	%
Various currency futures contracts (Far East)		(2,756	)		0.00	%
Various energy futures contracts (US)		2,331,706			0.39	%
Various energy futures contracts (Europe)		(3,613,583	)		-0.60	%
ICE Brent Crude Oil Settling 12/1/12 (Number of Contracts: 1,245)		(15,272,920	)		-2.53	%
Various energy futures contracts (Far East)		—			0.00	%
Various interest rates futures contracts (US)		(995,085	)		-0.16	%
Various interest rates futures contracts (Canada)		(39,952	)		-0.01	%
Various interest rates futures contracts (Europe)		(67,997	)		-0.01	%
Various interest rates futures contracts (Far East)		(468,114	)		-0.08	%
Various precious metals futures contracts (US)		(67,911	)		-0.01	%
Various soft futures contracts (US)		4,497,630			0.74	%
Various soft futures contracts (Europe)		120,382			0.02	%
Various soft futures contracts (Far East)		—			0.00	%
Various stock index futures contracts (US)		36,989			0.01	%
Various stock index futures contracts (Canada)		(1,430	)		0.00	%
Various stock index futures contracts (Europe)		113,298			0.02	%
Various stock index futures contracts (Far East)		(54,030	)		-0.01	%
Total Short Futures Contracts		(7,891,967	)		-1.31	%
CURRENCY FORWARDS *		(2,967,128	)		-0.49	%
Total Open Trade Deficit	$	15,070,714			2.49	%
OPTIONS WRITTEN *	$	(2,455,992	)		-0.41	%
SWAPS (1)
Total Return Option Basket Swap (Termination date 11/6/12)		24,282,681			4.02	%
Total Swaps	$	24,282,681			4.02	%
U.S. TREASURY SECURITIES
FACE VALUE	Fair Value
$21,500,000.00 US Treasury Note 3.875% due 02/15/2013 (Cost $22,457,422)	$	22,177,790			3.67	%
$36,700,000.00 US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039)		40,326,792			6.68	%
	$	62,504,582			10.35	%

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

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

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

57

The Frontier Fund

Consolidated Condensed Schedules of Investments

December 31, 2011

Description	Value			% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	(1,511,157	)		-0.24	%
Various base metals futures contracts (Europe)		(4,401,353	)		-0.69	%
Various currency futures contracts (U.S.)		891,115			0.14	%
Various currency futures contracts (Canada)		—			0.00	%
Various currency futures contracts (Europe)		353,570			0.06	%
Various currency futures contracts (Far East)		—			0.00	%
Various energy futures contracts (U.S.)		(13,430,017	)		-2.11	%
Various energy futures contracts (Europe)		(3,481,430	)		-0.55	%
Various interest rates futures contracts (U.S.)		1,352,108			0.21	%
Various interest rates futures contracts (Canada)		78,923			0.01	%
Various interest rates futures contracts (Europe)		4,207,802			0.66	%
Various interest rates futures contracts (Far East)		666,559			0.10	%
Various precious metals futures contracts (U.S.)		(1,105,701	)		-0.17	%
Silver @ COMEX Settling 12/1/13 (Number of Contracts: 152)		(11,121,080	)		-1.74	%
Various precious metals futures contracts (Europe)		—			0.00	%
Various soft futures contracts (U.S.)		(8,190,181	)		-1.28	%
Various soft futures contracts (Europe)		(3,750	)		0.00	%
Various soft futures contracts (Canada)		—			0.00	%
Various stock index futures contracts (U.S.)		483,160			0.08	%
Various stock index futures contracts (Canada)		5,579			0.00	%
Various stock index futures contracts (Europe)		252,897			0.04	%
Various stock index futures contracts (Far East)		(187,635	)		-0.03	%
Total Long Futures Contracts		(35,140,591	)		-5.51	%
OPTIONS PURCHASED *		11,933,138			1.87	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (US)		1,266,138			0.20	%
Various base metals futures contracts (Europe)		5,601,385			0.88	%
Various currency futures contracts (US)		70,134			0.01	%
Various currency futures contracts (Canada)		—			0.00	%
Various currency futures contracts (Europe)		851,771			0.13	%
Various currency futures contracts (Far East)		3,727			0.00	%
Various energy futures contracts (US)		(423,746	)		-0.07	%
Various energy futures contracts (Europe)		3,495,760			0.55	%
Various energy futures contracts (Far East)		(1,195	)		0.00	%
Various interest rates futures contracts (US)		(1,533,678	)		-0.24	%
Various interest rates futures contracts (Canada)		4,052			0.00	%
Various interest rates futures contracts (Europe)		(134,928	)		-0.02	%
Various interest rates futures contracts (Far East)		(94,959	)		-0.01	%
Various precious metals futures contracts (US)		3,257,794			0.51	%
Various soft futures contracts (US)		3,561,139			0.56	%
Various soft futures contracts (Europe)		575,766			0.09	%
Various soft futures contracts (Far East)		(29,121	)		0.00	%
Various stock index futures contracts (US)		(2,153	)		0.00	%
Various stock index futures contracts (Canada)		(27,463	)		0.00	%
Various stock index futures contracts (Europe)		(398,770	)		-0.06	%
Various stock index futures contracts (Far East)		137,100			0.02	%
Total Short Futures Contracts		16,178,751			2.52	%
CURRENCY FORWARDS *		472,001			0.07	%
Total Open Trade Equity	$	(6,556,700	)		-1.05	%
OPTIONS WRITTEN*		(3,336,326	)		-0.52	%
SWAPS (1)	$	6,504,931			1.02	%
Total Return Option Basket Swap (Termination date 11/6/12)		17,706,757			2.78	%
Total Swaps	$	24,211,688			3.80	%
Investment in Berkeley Quantitative Colorado Fund LLC (Cost of $8,487,603)	$	6,270,844			0.98	%
U.S. TREASURY SECURITIES
FACE VALUE	Fair Value
$36,500,000.00   US Treasury Note 3.875% due 02/15/2013 (Cost $38,125,391) (2)	$	37,943,670			5.95	%
$36,700,000.00   US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		40,816,333			6.40	%
	$	78,760,003			12.35	%

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

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

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

58

The Frontier Fund

Consolidated Statements of Operations

For the Three Months Ended March 31, 2012 and 2011 (Unaudited)

	3/31/2012			3/31/2011
Investment income:
Interest - net	$	1,550,705		$	1,468,919
Total Income		1,550,705			1,468,919
Expenses:
Incentive Fees		283,700			8,205,722
Management Fees		3,276,488			4,214,002
Service Fees - Class 1		2,808,189			4,480,450
Trading Fees		2,048,034			2,457,379
Total Expenses		8,416,411			19,357,553
Investment income/(loss) - net		(6,865,706	)		(17,888,634	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(29,734,078	)		(21,446,702	)
Net change in open trade equity/(deficit)		21,527,670			69,384,996
Net realized gain/(loss) on swap contracts		(525,237	)		2,887,137
Net unrealized gain/(loss) on swap contracts		596,229			(3,720,399	)
Net realized gain/(loss) on U.S. Treasury securities		362,772			—
Net unrealized gain/(loss) on U.S. Treasury securities		(1,008,977	)		(650,680	)
Trading commissions		(1,922,612	)		(2,312,788	)
Net increase from payments by managing owner		—			—
Change in fair value of investments in unconsolidated trading companies		—			—
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		2,080,986			397,671
Net gain/(loss) on investments		(10,796,234	)		44,539,235
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(17,661,940	)		26,650,601
Less: Operations attributable to non-controlling interests		—			4,926
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(17,661,940	)	$	26,645,675

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

59

The Frontier Fund

Consolidated Statement of Changes in Owners’ Capital

For the Three Months Ended March 31, 2012 (Unaudited)

	Managing Owner			Limited Owners			Total
Owners’ Capital, December 31, 2011	$	6,538,575		$	631,407,968		$	637,946,543
Sale of Units		—			20,774,522			20,774,522
Redemption of Units		—			(36,918,814	)		(36,918,814	)
Net increase/(decrease) in Owners’ Capital resulting from operations		(182,178	)		(17,479,762	)		(17,661,940	)
Owners’ Capital, March 31, 2012	$	6,356,397		$	597,783,914		$	604,140,311

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

60

The Frontier Fund

Consolidated Statements of Cash Flows

For the Three Months Ended March 31, 2012 and 2011 (Unaudited)

	2012			2011
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(17,661,940	)	$	26,650,601
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		(21,627,414	)		(61,849,946	)
Net change in options written, at fair value		(880,333	)		(12,537,554	)
Net unrealized gain/(loss) on swap contracts		(596,229	)		(3,720,399	)
Net realized gain/(loss) on swap contracts		525,237			2,887,137
Net unrealized gain/(loss) on U.S . Treasury securities		1,008,977			650,680
Net realized gain/(loss) on U.S . Treasuries securities		(362,772	)		—
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		(2,080,986	)		(397,671	)
(Purchases ) sales of:
Sales of swap contracts		—			28,832,144
(Purchases) of swap contracts		—			—
Sales of U.S . Treasury securities		15,609,216			4,310,774
(Purchases ) of U.S . Treasury securities		—			(4,183,575	)
Sales of custom time deposits		22,278,919			—
(Purchases ) of custom time deposits		—			(3,553,217	)
Sales of certificates of deposit		—			—
Sales of Berkeley Colorado Quantitative Fund LLC		6,178,843			—
(Purchases ) of Berkeley Colorado Quantitative Fund LLC		—			—
Increase and/or decrease in:
Receivable from futures commission merchants		(4,493,188	)		41,250,935
Control of ownership of trading companies		—			—
Contributions to trading companies		—			—
Distributions from trading companies		—			(1,344	)
Prepaid service fees		74,764			67,034
Interest receivable		795,963			730,547
Receivable from related parties		(432,458	)		—
Other assets		(15,089	)		(6,056	)
Incentive fees payable to Managing Owner		(1,729,011	)		(101,251	)
Management fees payable to Managing Owner		(5,347	)		185,749
Interest payable to Managing Owner		(47,312	)		(130,237	)
Trading fees payable to Managing Owner		(9,158	)		142,580
Trailing service fees payable to Managing Owner		(48,839	)		(35,606	)
Payables to related parties		(1,733	)		110,254
Other liabilities		32,749			(25,347	)
Net cash provided by (used in) operating activities		(1,314,154	)		19,276,232
Cash Flows from Financing Activities:
Proceeds from sale of capital		20,774,522			29,791,843
Payment for redemption of capital		(36,918,814	)		(34,413,602	)
Pending owner additions		134,522			319,593
Redemptions payable		(2,456,839	)		(444,855	)
Net cash provided by (used in) financing activities		(18,466,609	)		(4,747,021	)
Net increase (decrease) in cash and cash equivalents		(19,780,763	)		14,529,211
Cash and cash equivalents, beginning of period		27,452,803			17,992,550
Cash and cash equivalents, end of period	$	7,672,040		$	32,521,761

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

61

The Frontier Fund

Notes to Consolidated Financial Statements

1. Organization and Purpose

The Frontier Fund, which is referred to in this report as “the Trust,” was formed on August 8, 2003, as a Delaware statutory trust. The Trust is a multi-advisor commodity pool, as described in Commodity Futures Trading Commission (the “CFTC”) Regulation § 4.10(d)(2). The Trust has authority to issue separate series, or each, a Series, of units of beneficial interest (the “Units”) pursuant to the requirements of the Delaware Statutory Trust Act, as amended (the “Trust Act”). The assets of each Series are valued and accounted for separately from the assets of other Series. The Trust is not registered as an investment company under the Investment Company Act of 1940, as amended (the “Investment Company Act”). It is managed by its Managing Owner, Equinox Fund Management, LLC.

Purchasers of Units are limited owners of the Trust (“Limited Owners”) with respect to beneficial interests of the Series’ Units purchased. The Trust Act provides that, except as otherwise provided in the amended and restated declaration of trust and trust agreement of the Trust dated as of August 8, 2003, by and among the Managing Owner, Wilmington Trust Company as trustee and the unitholders from time to time (the “Trust Agreement”), unitholders in a Delaware statutory trust will have the same limitation of liability as do stockholders of private corporations organized under the General Corporation Law of the State of Delaware. The Trust Agreement confers substantially the same limited liability, and contains the same limited exceptions thereto, as would a limited partnership agreement for a Delaware limited partnership engaged in like transactions as the Trust. In addition, pursuant to the Trust Agreement, the Managing Owner of the Trust is liable for obligations of a Series in excess of that Series’ assets. Limited Owners do not have any such liability. The Managing Owner will make contributions to Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of all Series.

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

The Trust has eight (8) separate and distinct Series of Units issued and outstanding: Frontier Diversified Series, Frontier Masters Series, Frontier Long/Short Commodity Series, Balanced Series, Tiverton/Graham/Transtrend Series (formerly Berkeley/Graham/Tiverton Series), Currency Series, Winton Series and 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.

In addition to the above eight (8) Series of the Trust, a separate and distinct TBG Institutional Series (“TBGI”) is a private offering under the Trust made only pursuant to exemptions provided by Section 4(2) of the Securities Act, Rule 506 promulgated there under, and applicable state securities laws. As part of the Trust, TBGI’s financial position and results of operations are included in the Consolidated Financial Statements of the Trust and it participates pari passu in the trading results and other activities of the Trust through investments in the Trading Companies. TBGI commenced operations on January 20, 2012. As a private offering the Managing Owner has determined that TBGI’s position and results of operations are not required to be presented separately within the Consolidated Financial Statements of the Trust.

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

62

which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to Selling Agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series or Class 2a Units of the Frontier Long/Short Commodity Series) sold until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series. The Managing Owner may also pay Selling Agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such Selling Agents; and

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

The assets of any particular Series include only those funds and other assets that are paid to, held by or distributed to the Trust on account of and for the benefit of that Series. Under the “Inter-Series Limitation on Liability” expressly provided for under Section 3804(a) of the Trust Act, separate and distinct records of the cash and equivalents, although pooled for maximizing returns, is maintained in the books and records of each Series.

As of March 31, 2012 and December 31, 2011, the Trust, with respect to the Frontier Diversified Series, Frontier Dynamic Series, Frontier Masters Series, Tiverton/Graham/Transtrend Series, Currency Series, Long Only Commodity Series, Managed Futures Index Series, Winton Series and Winton/Graham Series, separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Balanced Series, and Frontier Long/Short Commodity Series separates Units into six separate Classes – Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a. It is expected that between 10% and 30% of each Series’ assets normally will be invested in one or more Trading Companies to be committed as margin for trading positions, but from time to time these percentages may be substantially more or less. The remainders of each Series’ assets are maintained at the Trust level for cash management. Each of the respective Series has invested monies into pooled cash management assets which have included purchases of certificates of deposit, custom time deposits and U.S. Treasury securities. Each Series’ ownership in these investments is based on its percentage ownership in the pooled cash management assets on the reporting date.

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

In November 2010, the Tiverton/Graham/Transtrend Series of the Trust invested a portion of its assets in Berkeley Quantitative Colorado Fund LLC, an unaffiliated company, managed by an affiliate of Berkeley Quantitative L.P. Through this investment, Berkeley Quantitative L.P. became a commodity trading advisor to the Trust. The investment was liquidated March 20, 2012

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

During July, 2011, Frontier Dynamic Series ceased trading operations and liquidated all positions and investor accounts. The Series is closed as of March 31, 2012.

During December, 2011, Long Only Commodity Series and Managed Futures Index Series ceased trading operations and liquidated all positions and investor accounts. The Series are closed as of March 31, 2012.

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.

63

These financial statements should be read in conjunction with the audited financial statements and notes thereto included in our 2011 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 which have a controlling interest are consolidated by the Trust.

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

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

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

Interest Income—Aggregate interest income from all sources, including assets held at Futures Commission Merchants (“FCM”), up to two percentage points of the aggregate percentage yield (annualized) is paid to the Managing Owner. 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 statements of operations as net unrealized gain/(loss) on U.S. Treasury securities. Accrued interest is reported on the consolidated statements of financial condition as interest receivable.

Custom Time Deposits— Custom time deposits are structured deposit agreements with U.S. Bank National Association that earn a guaranteed fixed interest rate between 2.17% and 3.75% , mature nine months from the deposit date and are subject to automatic six-month rollovers through October 2015. Custom time deposits were purchased on 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, the Trust redeemed approximately $25 million, $25 million, $50 million and $25 million, respectively, in custom time deposits held with U.S. Bank N.A which represented a full liquidation of the 2.17% investment tranche and an additional $25 million of the 3.17% tranche. Custom time deposits are allocated to each Series based on their percentage ownership in the pooled cash management assets as of the reporting date. The Trust values the custom time deposits at face value plus accrued interest as it is considered a deposit account under paragraph 7.50 of theInvestment Company Audit Guide, and accordingly, this deposit is not subject to ASC 820.

Credit Default Swaps—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 reported at fair value based upon daily valuations provided by a third party pricing service. The Trust recorded the daily change in fair value in the consolidated statements of operations as net unrealized gain/(loss) on swap contracts. All Credit Default Swaps had expired as of March 31, 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”).

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Any change in net unrealized gain or loss from the preceding period is reported in the consolidated statements of operations. Fair value of exchange-traded contracts is based upon exchange settlement prices. Fair value of non-exchange-traded contracts is based on third party quoted dealer values on the interbank market. For U.S. Treasury securities, interest is recognized in the period earned and the instruments are marked-to-market daily based on third party information. Custom time deposits are valued at face value plus accrued interest and the 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. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the statements of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income. The Series of the Trust do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.

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

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

Investments and Swaps—The Trust records investment transactions on a trade date basis and all investments are recorded at fair value in its financial statements, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the consolidated statements of operations. Certain Series of the Trust strategically invest a portion or all of their assets in total return Swaps, selected at the discretion of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more underlying investment products or indices. In a typical Swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. The valuation of swap contracts requires significant estimates corroborated by management and 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. 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. All valuation processes are monitored by the valuation committee of the Managing Owner.

Income Taxes—The Trust applies the provisions of ASC 740Income 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, 2011 and 2010. The 2008 through 2011 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.

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

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

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

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

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

In May 2011, the FASB issued ASU No. 2011-04 which provides guidance pertaining to fair value measurement that included a common definition of fair value and information to assist reporting entities to measure and disclose fair value with regards to U.S. GAAP and International Financial Reporting Standards (“IFRS”) convergence issues. This guidance became effective for interim and annual periods beginning on or after December 15, 2011, with early adoption prohibited. Adoption of ASU 2011-04 on January 1, 2012 did not have a material impact on the Series’ statements of financial condition, results of operations and cash flows.

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

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

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3. Fair Value Measurements

In connection with the valuation of investments the Trust applies 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, futures contracts, and currency forwards are reported at fair value using Level 1 inputs. Trading securities instruments further include open trade equity positions (trading options) that are quoted prices for identical or similar assets that are not traded on active markets. Trading options are reported at fair value using Level 2 inputs.

Swap Contracts. Certain Series of the Trust strategically invest a portion or all of their assets in total return Swaps, selected at the direction of the Managing Owner. Each Series also owned a portion of the Credit Default Swaps (“CDS”) based upon ownership percentages of the cash management pool. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical Swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. The valuation of swap contracts requires significant estimates utilizing Level 3 Inputs corroborated by management through the use of a third party pricing service. The third party pricing service utilizes a Black Scholes pricing model with significant unobservable input adjustments. The significant unobservable inputs used in the fair value measurement include measurements of 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 could result in a significantly lower (higher) fair value measurement. All valuation processes are monitored by the valuation committee of the Managing Owner.

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

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

March 31, 2012	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Open Trade Equity (Deficit)	$	5,341,138		$	9,729,576		$	—	$	15,070,714
Swap Contracts		—			—			24,282,681		24,282,681
U.S. Treasury Securities		62,504,582			—			—		62,504,582
Written Options		—			(2,455,992	)		—		(2,455,992	)
December 31, 2011	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Open Trade Equity (Deficit)	$	(18,489,839	)	$	11,933,138		$	—	$	(6,556,701	)
Swap Contracts		—			—			24,211,688		24,211,688
U.S. Treasury Securities		78,760,003			—			—		78,760,003
Written Options		—			(3,336,325	)		—		(3,336,325	)

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.

	For The Three Months
	Ended March 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		596,230
Purchases of investments		—
Sales of investments		—
Transfers in and/or out of Level 3		—
Balance of recurring Level 3 assets as of March 31, 2012	$	24,282,681

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

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

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4. Swaps

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

The Trust invests in Credit Default Swaps (“CDS”) with highly-rated counterparties as part of its portfolio. CDSs are over-the-counter investment instruments designed to mitigate counterparty risk and generally pay upon the happening of a credit default of a counterparty. The CDS were allocated to each Series based on their percentage ownership in the pooled cash management assets at U.S. Bank National Association as of the reporting date. All Credit Default Swaps had expired as of March 31, 2012.

The Trust’s investment in Swaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements. The Swaps serve to diversify the investment holdings of the Trust and to provide access to programs and advisors that would not be otherwise available to the Trust, and are not used for hedging purposes.

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of March 31, 2012 and December 31, 2011, approximately 5.0% 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 has invested in the following Swaps as of and for the three months ended March 31, 2012:

	Credit Default Swap			Credit Default Swap			Option Basket		Option Basket
Counterparty		BNP Paribas			Societe Generale			Company A		Deutsche Bank
Notional Amount	$	0		$	0		$	14,973,637	$	23,551,287
Termination Date		3/20/2012			3/20/2012			11/6/2012		6/30/2016
Investee Returns		On Default			On Default			Total Returns		Total Returns
Realized Gain/(Loss)	$	(407,283	)	$	(117,954	)	$	—	$	—
Unrealized Gain/(Loss)	$	(215,874	)	$	117,954		$	1,026,705	$	(332,556	)
Fair Value as of 3/31/2012	$	—		$	—		$	18,733,465	$	5,549,216

The Trust has invested in the following Swaps as of and for the year ended December 31, 2011:

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

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

Expenses

Management Fees—Each Series of the Trust pays to the Managing Owner a monthly management fee equal to a certain percentage of such Series’ assets attributable to such Series (including notional assets), calculated on a daily basis. The annual rate of the management fee is 0.5% for the Balanced Series, 2.0% for the Winton Series, Currency Series, Long Only Commodity Series, Frontier Long/Short Commodity Series Class 1 a and Class 2a, Managed Futures Index Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series, 2.5% for the Winton/Graham Series and Tiverton/Graham/Transtrend Series, and 3.5% for the Frontier Long/Short Commodity Series Class 1 and Class 2. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) for such Series.

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

Incentive Fees—Some Series of the Trust pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated by such Series, monthly or quarterly. Because the Balanced Series, Winton/Graham Series, Berkeley/Graham/Tiverton Series, Currency Series and Frontier Long/Short Commodity Series may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Balanced Series or the Frontier Long/Short Commodity Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee is 25% for the Balanced Series and the Frontier Diversified Series and 20% for the Winton Series, Currency Series, Winton/Graham Series, Tiverton/Graham/Transtrend Series, Frontier Long/Short Commodity Series, Frontier Dynamic Series and Frontier Masters Series. There is no incentive fee for the Long Only Commodity Series or the Managed Futures Index Series. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series.

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

With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed therefore by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. For the three months ended March 31, 2012, amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees were $6,707. For the three months ended March 31, 2012, amounts paid or owing the Managing Owner for the difference in monthly service fees from prepaid initial service fees were $16,893.

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For the year ended December 31, 2011, amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees were $2,910. For the year ended December 31, 2011, amounts paid or owed to the Managing Owner for the difference in monthly service fees from prepaid initial service fees were $108,041.

Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Berkeley/Graham/Tiverton Series, Currency Series and Winton/Graham Series. For the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series and Managed Futures Index Series 20% of the total interest allocated to each Series is paid to the Managing Owner. During the three months ended March 31, 2012, and 2011 the Trust paid $2,014,194 and $2,663,321, respectively, of such interest income to the Managing Owner. Such expenses are not included in the statements of operations of the Series.

The Managing Owner pays to The Bornhoft Group Corporation, an affiliate of the Trust, a monthly fee of 0.25% (annualized) of the NAV of the Trust, for services in connection with the daily valuation of each Series and Class. The amount paid under this agreement was $388,634 and $561,139, respectively for the three months ended March 31, 2012 and 2011.

Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $699,541 and $1,010,051, respectively, for the three months ended March 31, 2012 and 2011.

Bornhoft Group Securities Corporation, a subsidiary of the Managing Owner, serves as wholesaler of the Trust by marketing to broker/dealer organizations. Its results are consolidated with the Managing Owner.

6. Financial Highlights

The following information presents the financial highlights of the Trust for the three months ended March 31, 2012 and 2011. This data has been derived from the information presented in the financial statements.

	2012			2011
Ratios to average net assets
Net investment income (loss) (1)		-4.43	%		-1.99	%
Expenses before incentive fees (1)		-5.25	%		-5.00	%
Expenses after incentive fees (1)		-5.44	%		-8.68	%
Total return before incentive fees		-2.80	%		3.88	%
Total return after incentive fees		-2.84	%		2.97	%

(1) Annualized

The Trust financial highlights are calculated based upon the Trust’s financial statements. The consolidated Trust does not issue units and therefore the financial highlights do not disclose any unitized data.

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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 March 31, 2012 and December 31, 2011 is included in the Consolidated Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trust’s positions in swap contracts.

For the three months ended March 31, 2012 and 2011, the monthly average of futures contracts bought was approximately 33,950 and 35,875, respectively and sold was approximately 32,250 and 27,425, respectively. The following tables summarize the trading revenues for the three months ended March 31, 2012 and 2011 by contract:

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended March 31, 2012⁽¹⁾

Type of contract
Metals	$	(16,504,940	)
Currencies		(7,495,517	)
Energies		(3,836,856	)
Agriculturals		(6,060,371	)
Interest rates		(10,963,963	)
Stock indices		15,127,571
Realized trading income/(loss)(1)	$	(29,734,078	)

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

for the Three Months Ended March 31, 2012⁽²⁾

Type of contract
Metals	$	2,739,341
Currencies		13,172,537
Energies		4,714,516
Agriculturals		1,463,850
Interest rates		(914,391	)
Stock indices		351,817
Change in unrealized trading income/(loss)(2)	$	21,527,670

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

(2) In the Consolidated 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 March 31, 2011⁽¹⁾

Type of contract
Metals	$	(4,598,506	)
Currencies		(15,079,624	)
Energies		(1,680,638	)
Agriculturals		(5,798,444	)
Interest rates		6,598,460
Stock indices		(887,950	)
Realized trading income/(loss)(1)	$	(21,446,702	)

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

for the Three Months Ended March 31, 2011⁽²⁾

Type of contract
Metals	$	4,953,760
Currencies		61,292,532
Energies		(1,437,794	)
Agriculturals		3,195,384
Interest rates		916,874
Stock indices		464,240
Change in unrealized trading income/(loss)(2)	$	69,384,996

(1) In the Consolidate Statement of Operations under net realized gain/(loss) on futures, forwards and options

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

8. Trading Activities and Related Risks

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

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the statements of financial condition, may result in future obligation or loss in excess of the amount paid by the Series for a particular investment. Each Trading Company expects to trade in futures, options, forward and swap contracts and will therefore be a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures positions held by a Trading Company in respect of any Series at the same time, and if the Trading Advisor(s) of such Trading Company are unable to offset such futures interests positions, such Trading

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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

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.

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 2011 Annual Report on Form 10-K for the year ended December 31, 2011.

Overview

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

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

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Swaps). The assets of each Trading Company will be segregated from the assets of each other Trading Company. The Trust has an investment objective of increasing the value of the Units over the long term (capital appreciation), while controlling risk and volatility; further, to offer exposure to the investment programs of individual Trading Advisors and to specific instruments (currencies).

As of March 31, 2012, the Trust had eight separate Series of Units issued and outstanding: the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series, Tiverton/Graham/Transtrend Series, Currency Series, Winton Series and Winton/Graham Series. Each Series of Units has between three and six separate classes issued and/or outstanding—Class 1, Class 2, Class 3, Class 1a, Class 2a, and Class 3a.

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 2011 Annual Report on Form 10-K (“Form 10-K”). These financial statements do not include all of the information and notes necessary to constitute a complete set of financial statements under GAAP applicable to annual periods. Accordingly, they should be read in conjunction with the financial information contained in the Form 10-K. In the opinion of management, all adjustments necessary for a fair presentation have been included. The results of operations for the interim periods disclosed herein are not necessarily indicative of results that may be expected for the full year or any future period.

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

Investment Transactions and Valuation

The Managing Owner has evaluated the nature and type of transactions processed and estimates that it makes in preparing the Trust’s financial statements and related disclosures and has adoptedAccounting 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.

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

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

	Allocation as of March 31, 2012 (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			Tiverton/ Graham/ Transtrend Series*			Winton Series			Winton/ Graham Series
Beach Horizon LLP		5	%		14	%		—			4	%		—			—			—
Cantab Capital Partners LLP		11	%		—			24	%		10	%		—			—			—
Global Advisors (Jersey) Limited		—			15	%		—			—			—			—			—
Graham Capital Management, L.P.		4	%		—			—			—			41	%		—			59	%
Mesirow Financial Commodities Management, LLC		—			13	%		—			—			—			—			—
Quantitative Investment Management, LLC		14	%		—			—			17	%		—			—			—
QuantMetrics Capital Management LLP		5	%		—			—			—			—			—			—
Red Oak Commodity Advisors, Inc.		—			14	%		—			—			—			—			—
Rosetta Capital Management, LLC		—			9	%		—			—			—			—			—
Skyline Management, Inc.		—			9	%		—			—			—			—			—
Tiverton Trading		18	%		—			21	%		17	%		40	%		—			—
Transtrend B.V.		—			—			32	%		—			18	%		—			—
Winton Capital Management Ltd.		13	%		—			22	%		13	%		—			100	%		41	%

* As of February 29, 2012, Berkeley Quantitative L.P. no longer provides trading advisory services to The Frontier Fund or any trading company managed by the Managing Owner of The Frontier Fund, and as of March 1, 2012 the Berkeley/Graham/Tiverton Series of The Frontier Fund was renamed Tiverton/Graham/Transtrend 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.

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

A portion of each Trading Company’s assets is used as margin to maintain that Trading Company’s forward currency contract positions, and another portion is deposited in cash in segregated accounts in the name of each Trading Company maintained for each Trading Company at the clearing brokers in accordance with CFTC segregation requirements. At March 31, 2012, cash deposited at the clearing brokers was $93,698,529 for the Balanced Series, $21,873,657 for the Frontier Long/Short Commodity Series and $5,928,797 for the Frontier Masters Series. At December 31, 2011, cash deposited at the clearing brokers was $74,736,294 for the

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Balanced Series, $47,822,021 for the Frontier Long/Short Commodity Series and $5,107,749 for the Frontier Masters 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, Tiverton/Graham/Transtrend Series, Currency Series, and Winton/Graham Series. For the Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series, Frontier Long/Short Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner.

Approximately 10% to 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 March 31, 2012, total cash and cash equivalents and custom time deposits held at banking institutions were $69,484,114 for the Frontier Diversified Series, $34,362,163 for the Frontier Masters Series, $43,663,059 for the Frontier Long/Short Commodity Series, $114,224,193 for the Balanced Series, $23,200,366 for the Tiverton/Graham/Transtrend Series, $1,289,669 for the Currency Series, $36,237,920, for the Winton Series, and $16,015,788 for the Winton/Graham Series. As of December 31, 2011, total cash and cash equivalents and custom time deposits held at banking institutions were $80,295,258 for the Frontier Diversified Series, $35,135,275 for the Frontier Masters Series, $46,107,395 for the Frontier Long/Short Commodity Series, $142,443,180 for the Balanced Series, $21,128,515 for the Tiverton/Graham/Transtrend Series, $1,668,188 for the Currency Series, $37,632,902, for the Winton Series, and $18,623,389 for the Winton/Graham Series.

During the first quarter of 2012 and 2011, the Trust experienced redemptions in excess of subscriptions due primarily to seven of the eleven Series being closed to new investments and to the termination of a selling agent relationship. The Managing Owner does not expect any impact on the investment mix of any Series due to the high level of liquidity maintained in the Trust.

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 March 31, 2012, 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 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.

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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 months ended March 31, 2012 and March 31, 2011, and related information, are discussed below. The activities of the Trust on a consolidated basis are explained through the activity of the underlying Series. Please refer to the discussion of the Series activities in relation to the Trust on a consolidated basis.

Each Series had exposure to commodity interest positions within one or more sectors during fiscal 2012 and 2011. 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 March 31, 2012 Compared to Three Months Ended March 31, 2011.

Frontier Diversified Series

2012

The Frontier Diversified Series – Class 1 NAV lost 4.20% for the three months ended March 31, 2012, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV lost 3.77% for the three months ended March 31, 2012, net of fees and expenses.

For the three months ended March 31, 2012 the Frontier Diversified Series recorded a net loss on investments of $4,245,182, net investment income of $597,279, and total expenses of $1,687,425, resulting in a net decrease in Owners’ capital from operations of $5,335,328. The NAV per Unit, Class 1, decreased from $99.40 at December 31, 2011, to $95.23 as of March 31, 2012. The NAV per Unit, Class 2, decreased from $103.96 at December 31, 2011, to $100.04 as of March 31, 2012. Total Class 1 subscriptions and redemptions for the period were $1,875,533 and $3,220,386, respectively. Total Class 2 subscriptions and redemptions for the period were $2,116,760 and $3,659,737, respectively. Ending capital at March 31, 2012, was $68,071,953 for Class 1 and $57,678,493 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.

Frontier Diversified Series

78

Two of the six sectors traded in the Frontier Diversified Series were profitable in 1Q 2012. Energies and Stock Indices were profitable while Metals, Currencies, Agriculturals and Interest Rates finished negative for the quarter.

In terms of major CTA performance, three of the seven major CTAs in the Frontier Diversified Series were profitable in 1Q 2012. Cantab, Graham and Transtrend were profitable while QIM, Quantmetrics, Tiverton and Winton finished negative for the quarter.

2011

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

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

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

Frontier Diversified Series

79

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

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

Frontier Masters Series

2012

The Frontier Masters Series – Class 1 NAV gained 0.70% for the three months ended March 31, 2012, net of fees and expenses; the Frontier Masters Series – Class 2 NAV gained 1.14% for the three months ended March 31, 2012, net of fees and expenses.

For the three months ended March 31, 2012 the Frontier Masters Series recorded a net gain on investments of $1,005,015, net investment income of $267,859, and total expenses of $857,507, resulting in a net increase in Owners’ capital from operations of $444,846 after non-controlling interests of $29,479. The NAV per Unit, Class 1, increased from $100.25 at December 31, 2011, to $100.95 as of March 31, 2012. The NAV per Unit, Class 2, increased from $104.83 at December 31, 2011, to $106.02 as of March 31, 2012. Total Class 1 subscriptions and redemptions for the period were $1,805,536 and $1,105,134, respectively. Total Class 2 subscriptions and redemptions for the period were $214,000 and $851,161, respectively. Ending capital at March 31, 2012, was $35,022,932 for Class 1 and $18,310,152 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.

Frontier Masters Series

80

Two of the six sectors traded in the Frontier Masters Series were profitable in 1Q 2012. Energies and Stock Indices were positive while Metals, Currencies, Agriculturals and Interest Rates 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.

2011

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

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

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

Frontier Masters Series

81

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

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

Frontier Long/Short Commodity Series

2012

The Frontier Long/Short Commodity Series – Class 1 NAV lost 1.41% for the three months ended March 31, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 NAV lost 0.67% for the three months ended March 31, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV lost 0.67% for the three months ended March 31, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1a NAV lost 0.95% for the three months ended March 31, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV lost 0.52% for the three months ended March 31, 2012, net of fees and expenses.

For the three months ended March 31, 2012, the Frontier Long/Short Commodity Series recorded net loss on investments of $5,732,135, net investment income of $363,576, and total expenses of $1,320,470, resulting in a net decrease in Owners’ capital from operations of $532,943, after non-controlling interests of $6,156,086. The NAV per Unit, Class 1, decreased from $136.13 at December 31, 2011, to $134.21 as of March 31, 2012. The NAV per Unit, Class 2, decreased from $161.97 at December 31, 2011, to $160.88 as of March 31, 2012. The NAV per Unit, Class 3, decreased from $161.96 at December 31, 2011, to $160.87 as of March 31, 2012. The NAV per Unit, Class 1a, decreased from $121.71 at December 31, 2011, to $120.55 as of March 31, 2012. The NAV per Unit, Class 2a, decreased from $127.23 at December 31, 2011, to $126.57 as of March 31, 2012. Total Class 1 subscriptions and redemptions for the period were $5,473 and $2,690,064, respectively. Total Class 2 redemptions for the period were $170,040. There were no subscriptions. Total Class 3 subscriptions and redemptions for the period were $2,628,674 and $2,590,599, respectively. Total Class 1a subscriptions and redemptions for the period were $1,854,807 and $462,534, respectively. Total Class 2a subscriptions and redemptions for the period were $868,153 and $217,453, respectively. 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. 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.

82

Frontier Long/Short Commodity Series

83

Four of the seven sectors traded in the Frontier Long/Short Commodity Series were profitable in 1Q 2012. Energies, Grains, Meats and Financials were positive while Base Metals, Precious Metals and Softs were negative for the quarter.

In terms of major CTA performance, three of the six major CTAs in the Frontier Long/Short Commodity Series were profitable in 1Q 2012. Red Oak, Rosetta and Strategic Ag were positive while Beach Horizon, Global Advisors and Mesirow were negative for the quarter.

Frontier Long/Short Commodity Series

2011

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

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

84

The Frontier Long/Short Commodity Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors, although the majority of the exposure will typically be in the Energies, Metals, and Commodities sectors.

Frontier Long/Short Commodity Series

85

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

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

Balanced Series

2012

The Balanced Series – Class 1 NAV lost 4.32% for the three months ended March 31, 2012, net of fees and expenses; the Balanced Series – Class 1a NAV lost 4.22% for the three months ended March 31, 2012, net of fees and expenses; the Balanced Series – Class 2 NAV lost 3.60% for the three months ended March 31, 2012, net of fees and expenses; the Balanced Series – Class 2a NAV lost 3.51% for the three months ended March 31, 2012, net of fees and expenses; the Balanced Series – Class 3a NAV lost 3.51% for the three months ended March 31, 2012, net of fees and expenses.

For the three months ended March 31, 2011, the Balanced Series recorded net loss on investments of $10,734,709, net investment income of $151,548, and total expenses of $2,686,018, resulting in a net decrease in Owners’ capital from operations of $10,229,269 after non- controlling interests of $3,042,910. The NAV per Unit, Class 1, decreased from $124.50 at December 31, 2011, to $119.12 at March 31, 2012. For Class 1a, the NAV per Unit decreased from $108.45 at December 31, 2011, to $103.87 at March 31, 2012. The NAV per Unit, Class 2, decreased from $155.02 at December 31, 2011, to $149.44 at March 31, 2012. For Class 2a, the NAV per Unit decreased from $128.35 at December 31, 2011, to $123.84 at March 31, 2011. For Class 3a, the NAV per Unit decreased from $128.36 at December 31, 2011, to $123.85 at March 31, 2012. Total Class 1 subscriptions and redemptions for the period were $124,903 and $8,447,051, respectively. Total Class 1a subscriptions and redemptions for the period were $271 and $2,011,673, respectively. Total Class 2 subscriptions and redemptions for the period were $3,990 and $2,678,547, respectively. Total Class 2a redemptions for the period were $1,184,974. There were no subscriptions. Total Class 3a subscriptions and redemptions for the period were $1,757,420 and $427,535, respectively. Ending capital at March 31, 2012, 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. 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.

86

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

Balanced Series

87

Two of the six sectors traded in the Balanced Series were profitable in 1Q 2012. Energies and Stock Indices were profitable while Metals, Currencies, Agriculturals and Interest Rates finished negative for the quarter.

In terms of major CTA performance, two of the five major CTAs in the Balanced Series were profitable in 1Q 2012. Transtrend and Cantab were profitable while Winton, Tiverton and QIM finished negative for the quarter.

Balanced Series

2011

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

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

88

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

Balanced Series

89

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

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

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

2012

The Tiverton/Graham/Transtrend Series – Class 1 NAV lost 1.53% for the three months ended March 31, 2011, net of fees and expenses; the Tiverton/Graham/Transtrend Series – Class 2 NAV lost 0.82% for the three months ended March 31, 2011, net of fees and expenses.

For the three months ended March 31, 2012, the Tiverton/Graham/Transtrend Series recorded net gain on investments of $29,652, net investment income of $18,444, and total expenses of $598,189, resulting in a net decrease in Owners’ capital from operations of $550,093. The NAV per Unit, Class 1, decreased from $91.02 at December 31, 2011, to $89.63 as of March 31, 2012. The NAV per Unit, Class 2, decreased from $111.84 at December 31, 2011, to $110.92 as of March 31, 2012. Total Class 1 subscriptions and redemptions for the period were $9,489 and $2,550,838, respectively. Total Class 2 redemptions for the period were $242,705. There were no subscriptions. Ending capital at March 31, 2012, was $32,122,523 for Class 1 and $4,157,302 for Class 2. Ending capital at December 31, 2011, was $35,180,631 for Class 1 and $4,433,341 for Class 2.

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

90

Tiverton/Graham/Transtrend Series

Two of the six sectors traded in the Tiverton/Graham/Transtrend Series were profitable in 1Q 2012. Energies and Stock Indices were positive while Metals, Currencies, Agriculturals and Interest Rates were negative for the quarter.

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

Please note that February 2012 was the last full trading month for Berkeley Quantitative.

2011

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

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

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

91

Berkeley/Graham/Tiverton Series

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

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

Currency Series

2012

The Currency Series – Class 1 NAV lost 4.41% for the three months ended March 31, 2012, net of fees and expenses; the Currency Series – Class 2 NAV lost 3.70% for the three months ended March 31, 2012, net of fees and expenses.

For the three months ended March 31, 2012, the Currency Series recorded net loss on investments of $137,910, net investment income of $0, and total expenses of $37,407, resulting in a net decrease in Owners’ capital from operations of $175,317. The NAV per Unit, Class 1, decreased from $70.48 at December 31, 2011, to $67.37 as of March 31, 2012. The NAV per Unit, Class 2, decreased from $87.61 at December 31, 2011, to $84.37 as of March 31, 2012. Total Class 1 subscriptions and redemptions for the period were $12,662, and $414,172, respectively. Total Class 2 redemptions for the period were $13,837. There were no subscriptions. Ending capital at March 31, 2012, was $3,654,394 for Class 1 and $74,299 for Class 2. Ending capital at December 31, 2011, was $4,228,350 for Class 1 and $91,007 for Class 2.

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

92

2011

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

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

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

Currency Series

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

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

Winton Series

2012

The Winton Series – Class 1 NAV lost 2.22% for the three months ended March 31, 2012, net of fees and expenses; the Winton Series – Class 2 NAV lost 1.49% for the three months ended March 31, 2012, net of fees and expenses.

For the three months ended March 31, 2012, the Winton Series recorded net loss on investments of $497,618, net investment income of $126,136, and total expenses of $641,460, resulting in a net decrease in Owners’ capital from operations of $1,012,942. The NAV per Unit, Class 1, decreased from $141.13 at December 31, 2011, to $138.00 as of March 31, 2012. The NAV per Unit, Class 2, decreased from $165.82 at December 31, 2011, to $163.35 as of March 31, 2012. Total Class 1 subscriptions for the period were $54,670 and redemptions were $950,434. Total Class 2 redemptions for the period were $3,211. There were no subscriptions. Ending capital at March 31, 2012, was $36,610,938 for Class 1 and $11,525,269 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.

93

Winton Series

Two of the six sectors traded in the Winton Series were profitable in 1Q 2012. Energies and Stock Indices were positive while Metals, Currencies, Agriculturals and Interest Rates were negative for the year.

Winton Series

2011

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

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

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

Winton Series

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

94

Winton/Graham Series

2012

The Winton/Graham Series – Class 1 NAV lost 0.34% for the three months ended March 31, 2012, net of fees and expenses; the Winton/Graham Series – Class 2 NAV gained 0.41% for the three months ended March 31, 2012, net of fees and expenses.

For the three months ended March 31, 2012, the Winton/Graham Series recorded net gain on investments of $484,523, net investment income of $21,969, and total expenses of $532,443, resulting in a net decrease in Owners’ capital from operations of $25,951. The NAV per Unit, Class 1, decreased from $104.73 at December 31, 2011, to $104.37 as of March 31, 2012. The NAV per Unit, Class 2, increased from $129.70 at December 31, 2011, to $130.23 as of March 31, 2012. Total Class 1 subscriptions for the period were $16,185 and redemptions were $2,238,081. Total Class 2 redemptions for the period were $788,648. There were no subscriptions. Ending capital at March 31, 2012, was $22,496,784 for Class 1 and $5,240,408 for Class 2. Ending capital at December 31, 2011, was $24,783,519 for Class 1 and $5,990,168 for Class 2.

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

Winton/Graham Series

Two of the six sectors traded in the Winton/Graham Series were profitable in 1Q 2012. Energies and Stock Indices were positive while Metals, Interest Rates, Agriculturals and Currencies were negative for the quarter.

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

Winton/Graham Series

2011

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

For the three months ended March 31, 2011, the Winton/Graham Series recorded net gain on investments of $47,962, net investment income of $57,929, and total expenses of $921,728, resulting in a net decrease in Owners’ capital from operations of $447,404, after non-controlling interest of $368,433. The NAV per Unit, Class 1, decreased from $119.83 at December 31, 2010, to $118.67 as of

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March 31, 2011. The NAV per Unit, Class 2, decreased from $144.04 at December 31, 2010, to $143.70 as of March 31, 2011. Total Class 1 subscriptions and redemptions for the period were $36,256 and $831,806, respectively. Total Class 2 redemptions for the period were $1,032,062. There were no subscriptions. Ending capital at March 31, 2011, was $44,667,189 for Class 1 and $10,568,233 for Class 2. Ending capital at December 31, 2010, was $45,898,246 for Class 1 and $11,612,192 for Class 2.

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

Winton/Graham Series

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

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

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.

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

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

Quantitative Market Risk

Trading Risk

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

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

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

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

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

Value at Risk by Market Sectors

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

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Frontier Diversified Series:

MARKET SECTOR	March 31, 2012					December 31, 2011
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	7,564,068		6.0	%	$	5,973,146		4.5	%
Currencies	$	8,686,445		6.9	%	$	4,110,056		3.1	%
Stock Indices	$	5,701,304		4.5	%	$	2,947,326		2.2	%
Metals	$	1,645,350		1.3	%	$	267,495		0.2	%
Agriculturals/Softs	$	2,627,628		2.1	%	$	2,06,0410		1.5	%
Energy	$	3,822,187		3.0	%	$	2,137,689		1.6	%
Total:	$	30,046,982		23.8	%	$	17,496,122		13.1	%

Frontier Long/Short Commodity Series:

MARKET SECTOR	March 31, 2012					December 31, 2011
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	968,133		1.4	%	$	1,033,509		1.5	%
Currencies	$	640,773		0.9	%	$	460,279		0.6	%
Stock Indices	$	1,287,301		1.8	%	$	681,982		1.0	%
Metals	$	467,427		0.7	%	$	406,988		0.6	%
Agriculturals/Softs	$	3,133,704		4.5	%	$	2,736,200		3.9	%
Energy	$	7,121,552		10.2	%	$	4,843,829		6.8	%
Total:	$	13,618,890		19.5	%	$	10,162,787		14.4	%

Frontier Masters Series:

MARKET SECTOR	March 31, 2012					December 31, 2011
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	3,015,548		5.7	%	$	1,517,381		2.9	%
Currencies	$	4,453,034		8.3	%	$	1,168,162		2.2	%
Stock Indices	$	1,570,540		2.9	%	$	551,850		1.0	%
Metals	$	610,862		1.1	%	$	224,102		0.4	%
Agriculturals/Softs	$	629,082		1.2	%	$	612,343		1.2	%
Energy	$	1,020,968		1.9	%	$	499,134		0.9	%
Total:	$	11,300,034		21.1	%	$	4,572,972		8.6	%

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Balanced Series: (1)

	March 31, 2012					December 31, 2011
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	16,249,740		7.0	%	$	12,658,095		5.0	%
Currencies	$	19,948,348		8.6	%	$	9,980,695		3.9	%
Stock Indices	$	12,383,706		5.3	%	$	6,408,240		2.5	%
Metals	$	3,512,625		1.5	%	$	530,322		0.2	%
Agriculturals/Softs	$	5,469,655		2.4	%	$	4,171,096		1.6	%
Energy	$	7,768,770		3.3	%	$	4,239,430		1.7	%
Total:	$	65,332,844		28.1	%	$	37,987,878		14.9	%

Tiverton/Graham/Transtrend Series:

	March 31, 2012					December 31, 2011
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,836,907		5.1	%	$	1,987,350		5.0	%
Currencies	$	976,573		2.7	%	$	2,181,879		5.5	%
Stock Indices	$	1,372,457		3.8	%	$	821,477		2.1	%
Metals	$	254,758		0.7	%	$	20,795		0.1	%
Agriculturals/Softs	$	567,109		1.6	%	$	693,002		1.7	%
Energy	$	589,215		1.6	%	$	323,096		0.8	%
Total:	$	5,597,019		15.5	%	$	6,027,599		15.2	%

Currency Series:

	March 31, 2012					December 31, 2011
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—		0	%	$	—		0	%
Currencies	$	941,804		25.3	%	$	940,205		21.8	%
Stock Indices	$	—		0	%	$	—		0	%
Metals	$	—		0	%	$	—		0	%
Agriculturals/Softs	$	—		0	%	$	—		0	%
Energy	$	—		0	%	$	—		0	%
Total:	$	941,804		25.3	%	$	940,205		21.8	%

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Winton Series:

MARKET SECTOR	March 31, 2012					December 31, 2011
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	845,567		1.8	%	$	1,435,740		2.9	%
Currencies	$	2,221,878		4.6	%	$	1,562,233		3.1	%
Stock Indices	$	787,959		1.6	%	$	346,133		0.7	%
Metals	$	97,763		0.2	%	$	153,107		0.3	%
Agriculturals/Softs	$	348,930		0.7	%	$	411,136		0.8	%
Energy	$	270,328		0.6	%	$	80,743		0.2	%
Total:	$	4,572,425		9.5	%	$	3,989,092		8.0	%

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Winton/Graham Series:

	March 31, 2012					December 31, 2011
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	2,211,533		8.0	%	$	2,634,892		8.6	%
Currencies	$	1,542,839		5.6	%	$	2,502,412		8.1	%
Stock Indices	$	1,680,189		6.1	%	$	933,122		3.0	%
Metals	$	189,035		0.7	%	$	226,400		0.7	%
Agriculturals/Softs	$	882,920		3.2	%	$	845,163		2.7	%
Energy	$	610,688		2.2	%	$	325,600		1.1	%
Total:	$	7,117,204		25.8	%	$	7,467,589		24.2	%

(1) As of March 31, 2012 and December 31, 2011, a portion of the assets of the Balanced Series was invested in Option basket(s) of futures contracts with a notional value of $14,973,637 and $14,129,540, 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 March 31, 2012, 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, Tiverton/Graham/Transtrend Series, Currency Series and Winton/Graham Series. For the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series and Managed Futures Index Series, 20%

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of the total interest allocated to each Series is paid to the Managing Owner. In addition, if interest rates fall below 0.75%, the Managing Owner is paid the difference between the Trust’s annualized interest income that is allocated to each of such Series and 0.75%. Interest income above what is paid to the Managing Owner is retained by the Series.

Currencies

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

Stock Indices

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

Metals

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

Agriculturals/Softs

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

Energy

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

Other Trading Risks

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

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

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execute similar trades at or about the same time, altering trading patterns and affecting market liquidity. Furthermore, the profit potential of trend-following systems may be diminished by the changing character of the markets, which may make historical price data (on which technical programs are based) only marginally relevant to future market patterns. Systematic strategies are developed on the basis of a statistical analysis of market prices. Consequently, any factor external to the market itself that dominates prices that a discretionary decision maker may take into account may cause major losses for a systematic strategy. For example, a pending political or economic event may be very likely to cause a major price movement, but a systematic strategy may continue to maintain positions indicated by its trading method that might incur major losses if the event proved to be adverse.

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

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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 Accounting Officer, the Trust evaluated the effectiveness of the design and operation of the disclosure controls and procedures (as defined in Rule 13(a)-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), for the Trust and each Series as of March 31, 2012 (the “Evaluation Date”). Any control system, no matter how well designed and operated, can provide only reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected. Based upon our evaluation, the Chief Executive Officer and Chief Accounting Officer of the Managing Owner concluded that, as of the Evaluation Date, the disclosure controls and procedures for the Trust and each Series were effective to provide reasonable assurance that they are timely alerted to the material information relating to the Trust and each Series required to be included in the Trust’s periodic SEC filings.

Changes in Internal Control Over Financial Reporting

There were no changes in the Trust’s internal control over financial reporting during the three months ended March 31, 2012, that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.

Scope of Exhibit 31 Certifications

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

PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS.

None

ITEM 1A. RISK FACTORS.

The section entitled “Risk Factors” beginning on page 19 of the Definitive Prospectus filed pursuant to Rule 424(b)(3) (File No. 333-164629) is incorporated by reference into this section.

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

The following table provides information regarding the sale of unregistered Units by the Registrant for the three months ended March 31, 2012. 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)
32.9	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.10	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.11	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.12	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
101	Financials in XBRL format

**** Previously filed and incorporated by reference from exhibit 4.1 from the Definitive Prospectus filed pursuant to Rule 424(b)(3) filed May 4, 2012.

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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: May 15, 2012
	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

106

SIGNATURES

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

	Balanced Series, a Series of The Frontier Fund (Registrant)
Date: May 15, 2012
	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

107

SIGNATURES

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

	Winton/Graham Series, a Series of The Frontier Fund (Registrant)
Date: May 15, 2012
	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

108

SIGNATURES

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

	Winton Series, a Series of The Frontier Fund (Registrant)
Date: May 15, 2012
	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

109

SIGNATURES

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

	Tiverton/Graham/Transtrend Series, a Series of The Frontier Fund (Registrant)
Date: May 15, 2012
	By:	/s/    ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

110

SIGNATURES

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

	Currency Series, a Series of The Frontier Fund (Registrant)
Date: May 15, 2012
	By:	/s/    ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

111

SIGNATURES

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

	Long Only Commodity Series, a Series of The Frontier Fund (Registrant)
Date: May 15, 2012
	By:	/s/    ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

112

SIGNATURES

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

	Frontier Long/Short Commodity Series, a Series of The Frontier Fund (Registrant)
Date: May 15, 2012
	By:	/s/    ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

113

SIGNATURES

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

	Managed Futures Index Series, a Series of The Frontier Fund (Registrant)
Date: May 15, 2012
	By:	/s/    ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

114

SIGNATURES

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

	Frontier Diversified Series, a Series of The Frontier Fund (Registrant)
Date: May 15, 2012
	By:	/s/    ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

115

SIGNATURES

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

	Frontier Dynamic Series, a Series of The Frontier Fund (Registrant)
Date: May 15, 2012
	By:	/s/    ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

116

SIGNATURES

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

	Frontier Masters Series, a Series of The Frontier Fund (Registrant)
Date: May 15, 2012
	By:	/s/    ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

117