Frontier Heritage Fund 10-Q 2013 Q3 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 September 30, 2013

OR

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

Commission File Number 000-51274

THE FRONTIER FUND

FRONTIER DIVERSIFIED SERIES; FRONTIER MASTERS SERIES;

FRONTIER LONG/SHORT COMMODITY SERIES; BALANCED SERIES;

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

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

(Exact Name of Registrant as specified in its Charter)

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

c/o Equinox Fund Management, LLC

1775 Sherman Street, Suite 2500

Denver, Colorado 80203

(Address of Principal Executive Offices)

(303) 837-0600

(Registrant’s Telephone Number)

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

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

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

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

Frontier Long/Short Commodity Series Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a Units;

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

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

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

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

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

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

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

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

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

TABLE OF CONTENTS

PART I – FINANCIAL INFORMATION
Item 1.	Financial Statements
	Statements of Financial Condition as of September 30, 2013 (Unaudited) and December 31, 2012	4
	Condensed Schedules of Investments as of September 30, 2013 (Unaudited) and December 31, 2012	7
	Statements of Operations for the three and nine months ended September 30, 2013 and 2012 (Unaudited)	13
	Statements of Changes in Owners’ Capital for the nine months ended September 30, 2013 (Unaudited)	19
	Statements of Cash Flows for the nine months ended September 30, 2013 and 2012 (Unaudited)	23
	Notes to Financial Statements (Unaudited)	26
	Trust Financial Statements (1)
	Consolidated Statements of Financial Condition as of September 30, 2013 (Unaudited) and December 31, 2012	57
	Consolidated Condensed Schedules of Investments as of September 30, 2013 (Unaudited) and December 31, 2012	58
	Consolidated Statements of Operations for the three and nine months ended September 30, 2013 and 2012 (Unaudited)	60
	Consolidated Statement of Changes in Owners’ Capital for the nine months ended September 30, 2013 (Unaudited)	62
	Consolidated Statements of Cash Flows for the nine months ended September 30, 2013 and 2012 (Unaudited)	63
	Notes to Consolidated Financial Statements (Unaudited)	64
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	79
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	103
Item 4.	Controls and Procedures	110
PART II – OTHER INFORMATION
Item 1.	Legal Proceedings	110
Item 1A.	Risk Factors	110
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	110
Item 3.	Defaults Upon Senior Securities	110
Item 4.	Mine Safety Disclosures	110
Item 5.	Other Information	111
Item 6.	Exhibits	111
SIGNATURES		112

(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 SEPTEMBER 30, 2013, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

PART I. FINANCIAL INFORMATION

ITEM 1. Financial Statements

3

The Series of the Frontier Fund

Statements of Financial Condition

September 30, 2013 and December 31, 2012

	Frontier Diversified Series				Frontier Masters Series				Frontier Long/Short Commodity Series
	9/30/2013 (Unaudited)		12/31/2012		9/30/2013 (Unaudited)		12/31/2012		9/30/2013 (Unaudited)			12/31/2012
ASSETS
Cash and cash equivalents	$	1,381,083	$	2,681,889	$	827,898	$	1,542,661	$	693,230		$	1,710,151
U.S. Treasury securities, at fair value		—		3,853,000		—		2,212,909		—			2,388,540
Custom time deposits		44,968,522		66,875,140		28,180,906		38,288,877		23,596,948			41,327,739
Receivable from futures commission merchants		—		—		—		—		6,922,041			14,770,973
Swap contracts, at fair value		2,413,658		—		—		—		2,819,497			—
Investments in unconsolidated trading companies, at fair value		19,964,338		42,826,426		8,927,278		9,771,797		—			3,675,238
Prepaid service fees - Class 1		9,913		40,235		20,100		57,276		7,871			42,004
Interest receivable		188		54,006		118		31,017		99			33,479
Receivable from related parties		1,388		114,481		—		38,735		2,032			549
Other assets		—		—		—		—		—			—
Total Assets	$	68,739,090	$	116,445,177	$	37,956,300	$	51,943,272	$	34,041,718		$	63,948,673
LIABILITIES & CAPITAL
LIABILITIES
Open trade deficit, at fair value	$	—	$	—	$	—	$	—	$	200,291		$	819,535
Options written, at fair value		—		—		—		—		29,302			928,690
Pending owner additions		62,060		23,900		1,289		15,449		—			62,537
Owner redemptions payable		358,273		521,439		158,560		141,453		53,464			344,538
Incentive fees payable to Managing Owner		—		189,903		—		—		—			—
Management fees payable to Managing Owner		101,464		150,188		98,876		118,274		152,047			277,379
Interest payable to Managing Owner		30,460		41,394		14,883		20,028		19,227			26,319
Trading fees payable to Managing Owner		149,772		228,169		80,808		104,852		42,620			79,400
Service fees payable to Managing Owner		54,639		89,177		39,713		47,423		17,705			24,074
Payables to related parties		—		19,435		1,361		9,635		—			34,037
Other liabilities		—		—		—		—		356			—
Total Liabilities		756,668		1,263,605		395,490		457,114		515,012			2,596,509
CAPITAL
Managing Owner Units - Class 1		21,486		25,959		24,163		27,804		—			—
Managing Owner Units - Class 1a		—		—		—		—		—			12,732
Managing Owner Units - Class 2		1,205,022		1,436,973		533,151		605,508		388,718			449,011
Managing Owner Units - Class 2a		—		—		—		—		224,080			256,560
Managing Owner Units - Class 3a		—		—		—		—		11,039			—
Limited Owner Units - Class 1		33,821,461		58,973,977		26,286,114		34,575,695		—			—
Limited Owner Units - Class 1a		—		—		—		—		11,243,674			18,970,806
Limited Owner Units - Class 2		32,934,453		54,744,663		10,717,382		16,277,151		3,547,618			6,449,774
Limited Owner Units - Class 2a		—		—		—		—		4,082,583			10,625,551
Limited Owner Units - Class 3		—		—		—		—		11,321,675			19,761,047
Limited Owner Units - Class 3a		—		—		—		—		117,179			—
Total Owners’ Capital		67,982,422		115,181,572		37,560,810		51,486,158		30,936,566			56,525,481
Non-Controlling Interests		—		—		—		—		2,590,140			4,826,683
Total Capital		67,982,422		115,181,572		37,560,810		51,486,158		33,526,706			61,352,164
Total Liabilities and Capital	$	68,739,090	$	116,445,177	$	37,956,300	$	51,943,272	$	34,041,718		$	63,948,673
Units Outstanding
Class 1		433,157		625,015		299,434		342,249		N/A			N/A
Class 1a		N/A		N/A		N/A		N/A		120,121			174,830
Class 2		405,160		559,127		118,739		156,889		31,219			47,367
Class 2a		N/A		N/A		N/A		N/A		42,710			94,257
Class 3		N/A		N/A		N/A		N/A		89,767			135,642
Class 3a		N/A		N/A		N/A		N/A		1,271	(2)		N/A
Net Asset Value per Unit
Class 1	$	78.13	$	94.40	$	87.87	$	101.11		N/A		$	135.41	(1)
Class 1a		N/A		N/A		N/A		N/A	$	93.60		$	108.58
Class 2	$	84.26	$	100.48	$	94.75	$	107.61	$	126.09		$	145.65
Class 2a		N/A		N/A		N/A		N/A	$	100.84		$	115.45
Class 3		N/A		N/A		N/A		N/A	$	126.12		$	145.69
Class 3a		N/A		N/A		N/A		N/A	$	100.91	(2)		N/A

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

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

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

4

The Series of the Frontier Fund

Statements of Financial Condition

September 30, 2013 and December 31, 2012

	Balanced Series				Frontier Select Series (1)
	9/30/2013 (Unaudited)		12/31/2012		9/30/2013 (Unaudited)		12/31/2012
ASSETS
Cash and cash equivalents	$	2,438,659	$	4,111,855	$	430,385	$	664,310
U.S. Treasury securities, at fair value		—		5,951,633		—		961,568
Custom time deposits		83,009,823		102,978,191		14,649,926		16,637,538
Receivable from futures commission merchants		20,948,268		92,043,593		—		—
Open trade equity, at fair value		—		—		—		—
Swap contracts, at fair value		7,410,271		22,289,478		—		—
Investments in unconsolidated trading companies, at fair value		17,588,160		20,193,128		4,343,695		7,373,509
Interest receivable		348		83,422		61		13,478
Receivable from related parties		—		17,313		—		—
Prepaid service fees		423		—		—		—
Other assets		50		34,301		—		—
Total Assets	$	131,396,002	$	247,702,914	$	19,424,067	$	25,650,403
LIABILITIES & CAPITAL
LIABILITIES
Open trade deficit, at fair value	$	197,674	$	672,511	$	—	$	—
Options written, at fair value		467,791		165,363		—		—
Pending owner additions		14,800		34,831		940		1,522
Owner redemptions payable		760,835		342,417		15,072		40,093
Incentive fees payable to Managing Owner		—		527,306		—		—
Management fees payable to Managing Owner		92,310		193,155		45,546		103,089
Interest payable to Managing Owner		207,056		330,341		33,837		42,764
Trading fees payable to Managing Owner		79,628		132,875		12,681		16,057
Service fees payable to Managing Owner		202,653		332,942		42,233		54,702
Payables to related parties		6,268		1,490		322		47,535
Other liabilities		1,387		—		—		—
Total Liabilities		2,030,402		2,733,231		150,631		305,762
CAPITAL
Managing Owner Units - Class 2		2,238,810		3,225,784		6,931		7,013
Managing Owner Units - Class 2a		133,769		153,884		—		—
Limited Owner Units - Class 1		86,381,929		143,906,872		17,006,881		22,266,758
Limited Owner Units - Class 2		29,518,614		48,233,784		2,259,624		3,070,870
Limited Owner Units - Class 2a		506,762		855,636		—		—
Limited Owner Units - Class 3a		2,298,925		3,776,790		—		—
Total Owners’ Capital		121,078,809		200,152,750		19,273,436		25,344,641
Non-Controlling Interests		8,286,791		44,816,933		—		—
Total Capital		129,365,600		244,969,683		19,273,436		25,344,641
Total Liabilities and Capital	$	131,396,002	$	247,702,914	$	19,424,067	$	25,650,403
Units Outstanding
Class 1		883,942		1,237,173		223,714		283,073
Class 2		247,726		344,894		23,036		30,918
Class 2a		5,925		8,117		N/A		N/A
Class 3a		21,335		30,469		N/A		N/A
Net Asset Value per Unit
Class 1	$	97.72	$	116.32	$	76.02	$	78.66
Class 2	$	128.20	$	149.20	$	98.39	$	99.55
Class 2a	$	108.11	$	124.36		N/A		N/A
Class 3a	$	107.75	$	123.96		N/A		N/A

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

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

5

The Series of the Frontier Fund

Statements of Financial Condition

September 30, 2013 and December 31, 2012

	Winton Series				Frontier Heritage Series (1)
	9/30/2013 (Unaudited)		12/31/2012		9/30/2013 (Unaudited)		12/31/2012
ASSETS
Cash and cash equivalents	$	858,214	$	1,249,455	$	347,039	$	536,159
U.S. Treasury securities, at fair value		—		1,808,547		—		776,073
Custom time deposits		29,212,841		31,292,395		11,812,899		13,428,015
Investments in unconsolidated trading companies, at fair value		6,712,629		6,865,965		2,958,796		6,174,855
Interest receivable		122		25,350		49		10,878
Receivable from related parties		—		—		—		—
Other assets		—		—		—		—
Total Assets	$	36,783,806	$	41,241,712	$	15,118,783	$	20,925,980
LIABILITIES & CAPITAL
LIABILITIES
Pending owner additions	$	13,280	$	15,044	$	2,732	$	3,976
Owner redemptions payable		165,770		22,467		21,205		18,231
Management fees payable to Managing Owner		87,013		86,138		24,337		63,642
Interest payable to Managing Owner		62,052		69,369		26,236		35,011
Trading fees payable to Managing Owner		23,305		26,041		9,847		13,148
Service fees payable to Managing Owner		52,149		62,556		27,616		38,116
Payables to related parties		2,070		563		861		317
Other liabilities		—		—		—		—
Total Liabilities		405,639		282,178		112,834		172,441
CAPITAL
Managing Owner Units - Class 2		33,179		32,721		53,418		51,683
Limited Owner Units - Class 1		26,594,221		30,645,208		11,974,513		16,680,498
Limited Owner Units - Class 2		9,750,767		10,281,605		2,978,018		4,021,358
Total Owners’ Capital		36,378,167		40,959,534		15,005,949		20,753,539
Non-Controlling Interests		—		—		—		—
Total Capital		36,378,167		40,959,534		15,005,949		20,753,539
Total Liabilities and Capital	$	36,783,806	$	41,241,712	$	15,118,783	$	20,925,980
Units Outstanding
Class 1		205,176		234,414		125,316		176,419
Class 2		60,956		65,159		24,306		33,753
Net Asset Value per Unit
Class 1	$	129.62	$	130.73	$	95.55	$	94.55
Class 2	$	160.51	$	158.30	$	124.72	$	120.67

(1) Formerly the Winton/Graham Series.

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

6

The Series of the Frontier Fund

Condensed Schedules of Investments (Unaudited)

September 30, 2013

	Frontier Diversified Series					Frontier Masters Series					Frontier Long/Short Commodity Series
Description	Value		% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)			Value			% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various currency futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	44,496			0.13	%
Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		(486,354	)		-1.45	%
Crude Oil Settling 3/1/2014 (Number of Contracts: 539)		—		0.00	%		—		0.00	%		848,922			2.53	%
Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		(206,430	)		-0.62	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		(144,638	)		-0.43	%
Corn Settling 3/1/2014 (Number of Contracts: 271)		—		0.00	%		—		0.00	%		(440,575	)		-1.31	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		(730	)		0.00	%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		(21,395	)		-0.06	%
Various base metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		11,188			0.03	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		(7,935	)		-0.02	%
Various precious metal futures contracts (U.S.)		—		0.00	%		—		0.00	%		(43,817	)		-0.13	%
Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	(447,268	)		-1.33	%
OPTIONS PURCHASED *
Various energy futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	3,680			0.01	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		(318,197	)		-0.95	%
Corn Settling 5/1/2014 (Number of Contracts: 317)		—		0.00	%		—		0.00	%		553,800			1.65	%
Total Options Purchased	$	—		0.00	%	$	—		0.00	%	$	239,283			0.71	%
SHORT FUTURES CONTRACTS *
Various currency futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	(75,950	)		-0.23	%
Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		458,454			1.37	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		(62,495	)		-0.19	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		(142,739	)		-0.43	%
Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		(17,492	)		-0.05	%
90 Day Euro Time Deposit Settling 12/1/2015 (Number of Contracts: 627)		—		0.00	%		—		0.00	%		(591,175	)		-1.76	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		618,604			1.85	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		(171,384	)		-0.51	%
Various precious metal futures contracts (U.S.)		—		0.00	%		—		0.00	%		(8,129	)		-0.02	%
Total Short Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	7,694			0.03	%
CURRENCY FORWARDS *
Various currency forwards contracts (NA)	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
Total Currency Forwards	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
Total Open Trade Equity (Deficit)	$	—		0.00	%	$	—		0.00	%	$	(200,291	)		-0.59	%
OPTIONS WRITTEN *
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		(29,302	)		-0.09	%
Total Options Written	$	—		0.00	%	$	—		0.00	%	$	(29,302	)		-0.09	%
Swaps (1)
Frontier XXXV Diversified select swap (U.S.)	$	2,413,658		3.55	%	$	—		0.00	%	$	—			0.00	%
Frontier XXXVII L/S select swap (U.S.)		—		0.00	%		—		0.00	%		2,819,497			8.41	%
Total Swaps	$	2,413,658		3.55	%	$	—		0.00	%	$	2,819,497			8.41	%

* 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 Note 4 to the Financial Statements.

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

7

The Series of the Frontier Fund

Condensed Schedules of Investments (Unaudited)

September 30, 2013

	Balanced Series						Frontier Select Series (1)
Description	Value			% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various currency futures contracts (U.S.)	$	216,281			0.17	%	$	—		0.00	%
Various energy futures contracts (U.S.)		(151,238	)		-0.12	%		—		0.00	%
Various interest rates futures contracts (Canada)		43,947			0.03	%		—		0.00	%
Various interest rates futures contracts (Europe)		418,179			0.32	%		—		0.00	%
Various interest rates futures contracts (Far East)		118,474			0.09	%		—		0.00	%
Various interest rates futures contracts (Oceanic)		46,796			0.04	%		—		0.00	%
Various interest rates futures contracts (U.S.)		446,869			0.35	%		—		0.00	%
Various soft futures contracts (Europe)		7,307			0.01	%		—		0.00	%
Various soft futures contracts (U.S.)		79,426			0.06	%		—		0.00	%
Various stock index futures contracts (Africa)		1,807			0.00	%		—		0.00	%
Various stock index futures contracts (Canada)		(5,391	)		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		(244,889	)		-0.19	%		—		0.00	%
Various stock index futures contracts (Far East)		(102,474	)		-0.08	%		—		0.00	%
Various stock index futures contracts (Oceanic)		(13,202	)		-0.01	%		—		0.00	%
Various stock index futures contracts (U.S.)		(410,914	)		-0.32	%		—		0.00	%
Various base metals futures contracts (U.S.)		4,024			0.00	%		—		0.00	%
Various base metals futures contracts (Europe)		54,036			0.04	%		—		0.00	%
Various precious metal futures contracts (U.S.)		(8,782	)		-0.01	%		—		0.00	%
Total Long Futures Contracts	$	500,256			0.38	%	$	—		0.00	%
OPTIONS PURCHASED *
Various stock index futures contracts (U.S.)		607,025			0.47	%		—		0.00	%
Total Options Purchased	$	607,025			0.47	%	$	—		0.00	%
SHORT FUTURES CONTRACTS *
Various currency futures contracts (U.S.)	$	(144,815	)		-0.11	%	$	—		0.00	%
Various energy futures contracts (U.S.)		12,489			0.01	%		—		0.00	%
Various interest rates futures contracts (Canada)		(16,358	)		-0.01	%		—		0.00	%
Various interest rates futures contracts (Europe)		(367,589	)		-0.28	%		—		0.00	%
Various interest rates futures contracts (Oceanic)		(27,776	)		-0.02	%		—		0.00	%
Various interest rates futures contracts (U.S.)		(107,570	)		-0.08	%		—		0.00	%
Various soft futures contracts (Europe)		34,891			0.03	%		—		0.00	%
Various soft futures contracts (U.S.)		36,966			0.03	%		—		0.00	%
Various stock index futures contracts (Europe)		113			0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		(6,998	)		-0.01	%		—		0.00	%
Various base metals futures contracts (U.S.)		(1,703	)		0.00	%		—		0.00	%
Various base metals futures contracts (Europe)		(757,163	)		-0.59	%		—		0.00	%
Various precious metal futures contracts (U.S.)		40,558			0.03	%		—		0.00	%
Total Short Futures Contracts	$	(1,304,955	)		-1.00	%	$	—		0.00	%
CURRENCY FORWARDS *
Various currency forwards contracts (NA)	$	—			0.00	%	$	—		0.00	%
Total Currency Forwards	$	—			0.00	%	$	—		0.00	%
Total Open Trade Equity (Deficit)	$	(197,674	)		-0.15	%	$	—		0.00	%
OPTIONS WRITTEN *
Various stock index futures contracts (U.S.)	$	(467,791	)		-0.36	%	$	—		0.00	%
Total Options Written	$	(467,791	)		-0.36	%	$	—		0.00	%
Swaps (2)
Frontier XXXIV Balanced select swap (U.S.)	$	7,410,271			5.73	%	$	—		0.00	%
Total Swaps	$	7,410,271			5.73	%	$	—		0.00	%

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

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

(2) See Note 4 to the Financial Statements.

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

8

The Series of the Frontier Fund

Condensed Schedules of Investments (Unaudited)

September 30, 2013

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

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

(1) Formerly the Winton/Graham Series.

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

9

The Series of the Frontier Fund

Condensed Schedules of Investments

December 31, 2012

	Frontier Diversified Series					Frontier Masters Series					Frontier Long/Short Commodity Series
Description	Value		% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)			Value			% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	(22,516	)		-0.04	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		892,015			1.45	%
Various base metals futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		(29,925	)		-0.05	%
Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		857,585			1.40	%
Brent Crude Oil Settling 4/1/2013 (Number of Contracts: 497)		—		0.00	%		—		0.00	%		1,188,750			1.94	%
Brent Crude Oil Settling 9/1/2013 (Number of Contracts: 270)		—		0.00	%		—		0.00	%		729,410			1.19	%
Crude Oil Settling 2/1/2013 (Number of Contracts: 566)		—		0.00	%		—		0.00	%		1,837,974			3.00	%
Crude Oil Settling 2/1/2014 (Number of Contracts: 606)		—		0.00	%		—		0.00	%		1,784,120			2.91	%
Crude Oil Settling 4/1/2014 (Number of Contracts: 428)		—		0.00	%		—		0.00	%		1,628,500			2.65	%
Crude Oil Settling 8/1/2014 (Number of Contracts: 219)		—		0.00	%		—		0.00	%		630,550			1.03	%
Crude Oil Settling 1/1/2015 (Number of Contracts: 191)		—		0.00	%		—		0.00	%		722,766			1.18	%
Various energy futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		16,663			0.03	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		(13,842	)		-0.02	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		37,199			0.06	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		(3,574	)		-0.01	%
Various interest rates futures contracts (Mexico)		—		0.00	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (Oceanic)		—		0.00	%		—		0.00	%		20,049			0.03	%
Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		(357,780	)		-0.58	%
Various precious metals futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		(827	)		0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		285			0.00	%
Various soft futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		(968,793	)		-1.58	%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		2,499			0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		(33,084	)		-0.05	%
Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		83,003			0.14	%
Various stock index futures contracts (Africa)		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Oceanic)		—		0.00	%		—		0.00	%		10,863			0.02	%
Various stock index futures contracts (Mexico)		—		0.00	%		—		0.00	%		—			0.00	%
Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	9,011,890			14.70	%
OPTIONS PURCHASED *
Various energy futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	1,417,280			2.31	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		517,500			0.84	%
Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		966,540			1.58	%
Total Options Purchased	$	—		0.00	%	$	—		0.00	%	$	2,901,320			4.73	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	8,300			0.01	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		(1,111,581	)		-1.81	%
Various base metals futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		99,526			0.16	%
Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		(1,309,564	)		-2.13	%
Brent Crude Oil, Settling 6/1/2013 (Number of Contracts: 424)		—		0.00	%		—		0.00	%		(1,182,720	)		-1.93	%
Crude Oil, Settling 4/1/2013 (Number of Contracts: 323)		—		0.00	%		—		0.00	%		(923,841	)		-1.51	%
Crude Oil, Settling 5/1/2013 (Number of Contracts: 166)		—		0.00	%		—		0.00	%		(669,526	)		-1.09	%
Crude Oil, Settling 6/1/2013 (Number of Contracts: 787)		—		0.00	%		—		0.00	%		(3,500,831	)		-5.71	%
Crude Oil, Settling 7/1/2013 (Number of Contracts: 290)		—		0.00	%		—		0.00	%		(1,400,082	)		-2.28	%
Crude Oil, Settling 3/1/2014 (Number of Contracts: 450)		—		0.00	%		—		0.00	%		(1,446,060	)		-2.36	%
Crude Oil, Settling 6/1/2014 (Number of Contracts: 449)		—		0.00	%		—		0.00	%		(1,477,983	)		-2.41	%
Crude Oil, Settling 9/1/2014 (Number of Contracts: 219)		—		0.00	%		—		0.00	%		(618,510	)		-1.01	%
Various energy futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (US)		—		0.00	%		—		0.00	%		12,197			0.02	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		24,219			0.04	%
Various interest rates futures contracts (Oceanic)		—		0.00	%		—		0.00	%		—			0.00	%
Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		59,128			0.10	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		703,810			1.15	%
Various soft futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		773			0.00	%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Africa)		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Oceanic)		—		0.00	%		—		0.00	%		—			0.00	%
Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
Total Short Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	(12,732,745	)		-20.76	%
CURRENCY FORWARDS *	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
Total Open Trade Equity (Deficit)	$	—		0.00	%	$	—		0.00	%	$	(819,535	)		-1.33	%
OPTIONS WRITTEN *
Various interest rates futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		(155,250	)		-0.25	%
Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		(445,060	)		-0.73	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		(328,380	)		-0.54	%
Total Options Written	$	—		0.00	%	$	—		0.00	%	$	(928,690	)		-1.52	%
U.S. TREASURY SECURITIES		Fair Value					Fair Value					Fair Value
US Treasury Note 4.000% due 02/15/2015 (1)	$	3,853,000		3.35	%	$	2,212,909		4.30	%	$	2,388,540			3.89	%
Additional Disclosure on U.S. Treasury Securities	Face Value					Face Value					Face Value
U.S. Treasury Note 4.000% due 02/15/2015 (1)	$	3,574,465				$	2,052,937				$	2,215,872
	Cost					Cost					Cost
U.S. Treasury Note 4.000% due 02/15/2015 (1)	$	3,702,643				$	2,126,554				$	2,295,332

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

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

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

10

The Series of the Frontier Fund

Condensed Schedules of Investments

December 31, 2012

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

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

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

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

(3) See Note 4 to the Financial Statements.

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

11

The Series of the Frontier Fund

Condensed Schedules of Investments

December 31, 2012

	Winton Series					Frontier Heritage Series (2)
Description	Value		% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%
Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%
Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various precious metals futures contracts (Europe)		—		0.00	%		—		0.00	%
Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%
Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%
Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%
Various base metals futures contracts (Europe)	$	—		0.00	%	$	—		0.00	%
Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%
Various base metals futures contracts (US)		—		0.00	%		—		0.00	%
Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%
Various currency futures contracts (US)		—		0.00	%		—		0.00	%
Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%
Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%
Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%
Various energy futures contracts (US)		—		0.00	%		—		0.00	%
Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (US)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%
Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%
Various precious metals futures contracts (US)		—		0.00	%		—		0.00	%
Various soft futures contracts (US)		—		0.00	%		—		0.00	%
Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%
Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%
Various stock index futures contracts (US)		—		0.00	%		—		0.00	%
Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%
Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%
Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%
Total Short Futures Contracts	$	—		0.00	%	$	—		0.00	%
CURRENCY FORWARDS *	$	—		0.00	%	$	—		0.00	%
Total Open Trade Equity	$	—		0.00	%	$	—		0.00	%
U.S. TREASURY SECURITIES
	Fair Value					Fair Value
US Treasury Note 4.000% due 02/15/2015 (1)	$	1,808,547		4.42	%	$	776,073		3.74	%
Additional Disclosure on U.S. Treasury Securities	Face Value					Face Value
US Treasury Note 4.000% due 02/15/2015 (1)	$	1,677,806				$	719,971
	Cost					Cost
US Treasury Note 4.000% due 02/15/2015 (1)	$	1,737,971				$	745,788

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

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

(2) Formerly the Winton/Graham Series.

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

12

The Series of the Frontier Fund

Statements of Operations

For the Three Months Ended September 30, 2013 and 2012

	Frontier Diversified Series						Frontier Masters Series						Frontier Long/Short Commodity Series
	(Unaudited)						(Unaudited)						(Unaudited)
	9/30/2013			9/30/2012			9/30/2013			9/30/2012			9/30/2013			9/30/2012
Investment income:
Interest - net	$	399,992		$	524,861		$	192,004		$	251,275		$	249,355		$	336,190
Total Income		399,992			524,861			192,004			251,275			249,355			336,190
Expenses:
Incentive Fees		—			1,456,640			—			403,573			—			585,049
Management Fees		333,759			443,895			315,200			364,814			518,079			868,971
Service Fees - Class 1		225,937			366,831			156,560			207,528			71,049			112,879
Trading Fees		475,785			735,492			252,770			342,724			146,883			266,738
Total Expenses		1,035,481			3,002,858			724,530			1,318,639			736,011			1,833,637
Investment (loss) - net		(635,489	)		(2,477,997	)		(532,526	)		(1,067,364	)		(486,656	)		(1,497,447	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		—			—			—			626,741			(6,125,553	)		(37,284,952	)
Net change in open trade equity/(deficit)		—			—			—			(158,295	)		3,443,127			39,443,564
Net unrealized gain/(loss) on swap contracts		(986,342	)		—									(60,503	)
Net realized gain/(loss) on U.S. Treasury securities		—			—			—			—			—			—
Net unrealized gain/(loss) on U.S. Treasury securities		—			(35,655	)		—			(17,319	)		—			(22,359	)
Trading commissions		—			—			—			(47,113	)		(309,658	)		(503,103	)
Change in fair value of investments in unconsolidated trading companies		(5,709,980	)		3,123,724			(2,509,310	)		2,394,445			(350,898	)		(647,557	)
Net gain/(loss) on investments		(6,696,322	)		3,088,069			(2,509,310	)		2,798,459			(3,403,485	)		985,593
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(7,331,811	)		610,072			(3,041,836	)		1,731,095			(3,890,141	)		(511,854	)
Less: Operations attributable to non-controlling interests		—			—			—			148,709			(1,606,510	)		(5,316,448	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(7,331,811	)	$	610,072		$	(3,041,836	)	$	1,582,386		$	(2,283,631	)	$	4,804,594
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(7.42	)	$	0.22		$	(6.87	)	$	2.88			N/A		$	7.34
Class 1a		N/A			N/A			N/A			N/A		$	(6.30	)	$	8.16
Class 2	$	(7.59	)	$	0.67		$	(6.96	)	$	3.52		$	(8.37	)	$	11.08
Class 2a		N/A			N/A			N/A			N/A		$	(6.30	)	$	9.10
Class 3		N/A			N/A			N/A			N/A		$	(8.37	)	$	11.15
Class 3a		N/A			N/A			N/A			N/A		$	(6.24	)(1)		N/A

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

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

13

The Series of the Frontier Fund

Statements of Operations

For the Three Months Ended September 30, 2013 and 2012

	Balanced Series						Frontier Select Series (1)
	(Unaudited)						(Unaudited)
	9/30/2013			9/30/2012			9/30/2013			9/30/2012
Investment income:
Interest - net	$	123,819		$	22,120		$	68,662		$	75,086
Total Income/(loss)		123,819			22,120			68,662			75,086
Expenses:
Incentive Fees		—			3,268,561			—			7,136
Management Fees		334,849			601,212			140,444			326,209
Service Fees - Class 1		741,647			1,240,331			141,965			213,767
Trading Fees		261,429			443,728			40,356			60,869
Total Expenses		1,337,925			5,553,832			322,765			607,981
Investment (loss) - net		(1,214,106	)		(5,531,712	)		(254,103	)		(532,895	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		1,183,617			19,443,157			—			—
Net change in open trade equity/(deficit)		(1,457,328	)		(2,873,395	)		—			—
Net realized gain/(loss) on swap contracts		(1,645,980	)		—			—			—
Net unrealized gain/(loss) on swap contracts		(998,324	)		259,527			—			—
Net realized gain/(loss) on U.S. Treasury securities		—			—			—			—
Net unrealized gain/(loss) on U.S. Treasury securities		—			(58,350	)		—			(12,605	)
Trading commissions		(214,905	)		(1,250,434	)		—			—
Change in fair value of investments in unconsolidated trading companies		(6,903,390	)		(2,928,309	)		(1,021,631	)		323,029
Net gain/(loss) on investments		(10,036,310	)		12,592,196			(1,021,631	)		310,424
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(11,250,416	)		7,060,484			(1,275,734	)		(222,471	)
Less: Operations attributable to non-controlling interests		(1,528,637	)		6,167,281			—			—
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(9,721,779	)	$	893,203		$	(1,275,734	)	$	(222,471	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(7.17	)	$	0.14		$	(4.99	)	$	(0.99	)
Class 1a		N/A	(2)	$	4.45			N/A			N/A
Class 2	$	(8.34	)	$	1.29		$	(5.65	)	$	0.08
Class 2a	$	(6.58	)	$	1.16			N/A			N/A
Class 3a	$	(6.56	)(2)	$	1.18			N/A			N/A

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

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

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

14

The Series of the Frontier Fund

Statements of Operations

For the Three Months Ended September, 2013 and 2012

	Winton Series						Frontier Heritage Series (1)
	(Unaudited)						(Unaudited)
	9/30/2013			9/30/2012			9/30/2013			9/30/2012
Investment income:
Interest - net	$	66,992		$	127,814		$	29,602		$	31,821
Total Income		66,992			127,814			29,602			31,821
Expenses:
Management Fees		264,894			259,965			74,121			225,076
Service Fees - Class 1		211,612			257,849			101,377			153,063
Trading Fees		72,271			84,533			31,828			47,300
Total Expenses		548,777			602,347			207,326			425,439
Investment (loss) - net		(481,785	)		(474,533	)		(177,724	)		(393,618	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on U.S. Treasury securities		—			—			—			—
Net unrealized gain/(loss) on U.S. Treasury securities		—			(18,568	)		—			(8,184	)
Change in fair value of investments in unconsolidated trading companies		(380,598	)		602,511			(249,447	)		1,185,902
Net gain/(loss) on investments		(380,598	)		583,943			(249,447	)		1,177,718
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(862,383	)		109,410			(427,171	)		784,100
Less: Operations attributable to non-controlling interests		—			—			—			—
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(862,383	)	$	109,410		$	(427,171	)	$	784,100
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(3.19	)	$	0.01		$	(2.53	)	$	2.75
Class 2	$	(2.68	)	$	1.16		$	(2.32	)	$	4.35

(1) Formerly known as the Winton/Graham Series

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

15

The Series of the Frontier Fund

Statements of Operations

For the Nine Months Ended September 30, 2013 and 2012

	Frontier Diversified Series						Frontier Masters Series						Frontier Long/Short Commodity Series
	(Unaudited)						(Unaudited)						(Unaudited)
	9/30/2013			9/30/2012			9/30/2013			9/30/2012			9/30/2013			9/30/2012
Investment income:
Interest - net	$	1,338,676		$	1,668,101		$	647,376		$	780,501		$	834,637		$	1,047,821
Total Income		1,338,676			1,668,101			647,376			780,501			834,637			1,047,821
Expenses:
Incentive Fees		184,498			3,079,256			—			488,081			—			1,059,204
Management Fees		1,131,997			1,445,371			970,110			1,069,958			1,747,261			2,599,254
Service Fees - Class 1		822,240			1,131,348			508,375			584,434			255,223			352,904
Trading Fees		1,726,597			2,258,377			834,173			979,635			548,982			778,408
Total Expenses		3,865,332			7,914,352			2,312,658			3,122,108			2,551,466			4,789,770
Investment (loss) - net		(2,526,656	)		(6,246,251	)		(1,665,282	)		(2,341,607	)		(1,716,829	)		(3,741,949	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		734,081			—			—			4,064,894			(6,256,541	)		(35,422,568	)
Net change in open trade equity/(deficit)		(566,777	)		—			—			(1,006,677	)		52,457			33,169,426
Net realized gain/(loss) on swap contracts		—			(106,862	)		—			(55,669	)		—			(58,693	)
Net unrealized gain/(loss) on swap contracts		(986,342	)		(23,719	)		—			(2,775	)		(60,503	)		(20,529	)
Net realized gain/(loss) on U.S. Treasury securities		221,284			176,189			107,483			84,120			138,776			110,579
Net unrealized gain/(loss) on U.S. Treasury securities		(236,981	)		(380,530	)		(118,107	)		(179,102	)		(148,620	)		(234,541	)
Trading commissions		(5,416	)		—			—			(119,270	)		(1,093,840	)		(1,401,958	)
Change in fair value of investments in unconsolidated trading companies		(13,058,787	)		5,278,098			(4,193,804	)		2,888,613			(1,010,415	)		(1,826,300	)
Net gain/(loss) on investments		(13,898,938	)		4,943,176			(4,204,428	)		5,674,134			(8,378,686	)		(5,684,584	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(16,425,594	)		(1,303,075	)		(5,869,710	)		3,332,527			(10,095,515	)		(9,426,533	)
Less: Operations attributable to non-controlling interests		—			—			—			676,097			(4,287,954	)		(10,770,288	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(16,425,594	)	$	(1,303,075	)	$	(5,869,710	)	$	2,656,430		$	(5,807,561	)	$	1,343,755
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(16.27	)	$	(1.58	)	$	(13.24	)	$	4.67			N/A		$	0.72
Class 1a		N/A			N/A			N/A			N/A		$	(14.98	)	$	1.71
Class 2	$	(16.22	)	$	(0.30	)	$	(12.86	)	$	6.34		$	(19.56	)	$	3.31
Class 2a		N/A			N/A			N/A			N/A		$	(14.61	)	$	3.41
Class 3		N/A			N/A			N/A			N/A		$	(19.57	)	$	3.37
Class 3a		N/A			N/A			N/A			N/A		$	(8.69	)(1)		N/A

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

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

16

The Series of the Frontier Fund

Statements of Operations

For the Nine Months Ended September 30, 2013 and 2012

	Balanced Series						Frontier Select Series (1)
	(Unaudited)						(Unaudited)
	9/30/2013			9/30/2012			9/30/2013			9/30/2012
Investment income:
Interest - net	$	246,370		$	208,856		$	246,719		$	159,048
Total Income		246,370			208,856			246,719			159,048
Expenses:
Incentive Fees		657,063			6,553,867			—			65,989
Management Fees		1,250,878			1,940,876			487,737			956,639
Service Fees - Class 1		2,658,114			3,845,995			452,617			686,786
Trading Fees		934,900			1,373,998			128,680			193,716
Total Expenses		5,500,955			13,714,736			1,069,034			1,903,130
Investment (loss) - net		(5,254,585	)		(13,505,880	)		(822,315	)		(1,744,082	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(1,691,547	)		33,748,231			—			—
Net change in open trade equity/(deficit)		(257,325	)		(337,037	)		—			—
Net realized gain/(loss) on swap contracts		(3,554,723	)		(175,294	)		—			(34,232	)
Net unrealized gain/(loss) on swap contracts		(225,707	)		1,590,654			—			(2,448	)
Net realized gain/(loss) on U.S. Treasury securities		362,137			290,166			78,233			59,410
Net unrealized gain/(loss) on U.S. Treasury securities		(387,826	)		(632,344	)		(83,782	)		(119,961	)
Trading commissions		(1,361,766	)		(3,926,501	)		—			—
Change in fair value of investments in unconsolidated trading companies		(15,834,449	)		(8,615,816	)		338,654			(122,653	)
Net realized gain/(loss) on investment in Berkeley Quantitative Colorado Fund LLC		—			—			—			(2,172,987	)
Net unrealized gain/(loss) on investment in Berkeley Quantitative Colorado Fund LLC		—			—			—			2,084,880
Net gain/(loss) on investments		(22,951,206	)		21,942,059			333,105			(307,991	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(28,205,791	)		8,436,179			(489,210	)		(2,052,073	)
Less: Operations attributable to non-controlling interests		(2,141,659	)		10,396,433			—			—
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(26,064,132	)	$	(1,960,254	)	$	(489,210	)	$	(2,052,073	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(18.60	)	$	(1.71	)	$	(2.64	)	$	(5.72	)
Class 1a		N/A	(2)	$	4.13			N/A			N/A
Class 2	$	(21.00	)	$	1.28		$	(1.16	)	$	(4.72	)
Class 2a	$	(16.25	)	$	1.80			N/A			N/A
Class 3a	$	(16.21	)(2)	$	1.36			N/A			N/A

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

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

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

17

The Series of the Frontier Fund

Statements of Operations

For the Nine Months Ended September 30, 2013 and 2012

	Winton Series						Frontier Heritage Series (1)
	(Unaudited)						(Unaudited)
	9/30/2013			9/30/2012			9/30/2013			9/30/2012
Investment income:
Interest - net	$	271,603		$	386,507		$	102,598		$	85,811
Total Income		271,603			386,507			102,598			85,811
Expenses:
Management Fees		785,269			787,335			288,326			813,420
Service Fees - Class 1		661,315			806,539			337,523			491,271
Trading Fees		223,928			263,127			105,156			151,266
Total Expenses		1,670,512			1,857,001			731,005			1,455,957
Investment (loss) - net		(1,398,909	)		(1,470,494	)		(628,407	)		(1,370,146	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on swap contracts		—			(57,781	)		—			(30,602	)
Net unrealized gain/(loss) on swap contracts		—			(7,291	)		—			943
Net realized gain/(loss) on U.S. Treasury securities		115,236			90,903			50,795			40,172
Net unrealized gain/(loss) on U.S. Treasury securities		(123,411	)		(193,198	)		(54,398	)		(85,821	)
Change in fair value of investments in unconsolidated trading companies		1,408,825			(1,345,966	)		1,099,875			91,196
Net gain/(loss) on investments		1,400,650			(1,513,333	)		1,096,272			15,888
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		1,741			(2,983,827	)		467,865			(1,354,258	)
Less: Operations attributable to non-controlling interests		—			—			—			—
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	1,741		$	(2,983,827	)	$	467,865		$	(1,354,258	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(1.11	)	$	(9.40	)	$	1.00		$	(5.93	)
Class 2	$	2.21		$	(7.54	)	$	4.05		$	(4.57	)

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

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

18

The Series of the Frontier Fund

Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2013

(Unaudited)

	Frontier Diversified Series															Frontier Masters Series
	Class 1			Class 1			Class 2			Class 2						Class 1			Class 1			Class 2			Class 2
	Managing Owner			Limited Owners			Managing Owner			Limited Owners			Total			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Total
Owners’ Capital, December 31, 2012	$	25,959		$	58,973,977		$	1,436,973		$	54,744,663		$	115,181,572		$	27,804		$	34,575,695		$	605,508		$	16,277,151		$	51,486,158
Sale of Units		—			1,463,020			—			2,709,517			4,172,537			—			2,545,424			—			594,083			3,139,507
Redemption of Units		—			(18,058,110	)		—			(16,887,983	)		(34,946,093	)		—			(6,636,880	)		—			(4,558,265	)		(11,195,145	)
Net increase/(decrease) in Owners’ Capital resulting from operations		(4,473	)		(8,557,426	)		(231,951	)		(7,631,744	)		(16,425,594	)		(3,641	)		(4,198,125	)		(72,357	)		(1,595,587	)		(5,869,710	)
Owners’ Capital, September 30, 2013	$	21,486		$	33,821,461		$	1,205,022		$	32,934,453		$	67,982,422		$	24,163		$	26,286,114		$	533,151		$	10,717,382		$	37,560,810
Owners’ Capital - Units, December 31, 2012		275			624,740			14,301			544,826						275			341,974			5,627			151,262
Sale of Units		—			16,215			—			29,156						—			26,079			—			5,650
Redemption of Units		—			(208,073	)		—			(183,123	)					—			(68,894	)		—			(43,800	)
Owners’ Capital - Units, September 30, 2013		275			432,882			14,301			390,859						275			299,159			5,627			113,112
					(1)						(1)									(1)						(1)
Net asset value per unit at December 31, 2012				$	94.40					$	100.48								$	101.11					$	107.61
Change in net asset value per unit for the period ended September 30, 2013					(16.27	)					(16.22	)								(13.24	)					(12.86	)
Net asset value per unit at September 30, 2013				$	78.13					$	84.26								$	87.87					$	94.75

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

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

19

The Series of the Frontier Fund

Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2013

(Unaudited)

	Frontier Long/Short Commodity Series
	Class 2						Class 3			Class 1a			Class 1a			Class 2a			Class 2a			Class 3a (2)
	Managing Owner			Limited Owners			Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Non-Controlling Interests			Total
Owners’ Capital, December 31, 2012	$	449,011		$	6,449,774		$	19,761,047		$	12,732		$	18,970,806		$	256,560		$	10,625,551		$	—		$	—		$	4,826,683		$	61,352,164
Sale of Units		—			—			—			—			676,187			—			251,400			11,990			121,876			—			1,061,453
Redemption of Units		—			(2,265,262	)		(6,530,834	)		(11,990	)		(6,223,643	)		—			(5,811,078	)		—			—			—			(20,842,807	)
Change in control of ownership - Trading Companies		—			—			—			—			—			—			—			—			—			1,574,902			1,574,902
Contributions		—			—			—			—			—			—			—			—			—			5,619,753			5,619,753
Distributions		—			—			—			—			—			—			—			—			—			(5,143,244	)		(5,143,244	)
Operations attributable to non-controlling interests		—			—			—			—			—			—			—			—			—			(4,287,954	)		(4,287,954	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(60,293	)		(636,894	)		(1,908,538	)		(742	)		(2,179,676	)		(32,480	)		(983,290	)		(951	)		(4,697	)		—			(5,807,561	)
Owners’ Capital, September 30, 2013	$	388,718		$	3,547,618		$	11,321,675		$	—		$	11,243,674		$	224,080		$	4,082,583		$	11,039		$	117,179		$	2,590,140			33,526,706
Owners’ Capital - Units, December 31, 2012		3,083			44,284			135,642			117			174,713			2,222			92,035			—			—
Sale of Units		—			—			—			—			6,334			—			2,208			109			1,162
Redemption of Units		—			(16,148	)		(45,875	)		(117	)		(60,926	)		—			(53,755	)		—			—
Owners’ Capital - Units, September 30, 2013		3,083			28,136			89,767			—			120,121			2,222			40,488			109			1,162
					(1)									(1)						(1)						(1)
Net asset value per unit at December 31, 2012				$	145.65		$	145.69					$	108.58					$	115.45					$	109.60
Change in net asset value per unit for the period ended September 30, 2013					(19.56	)		(19.57	)					(14.98	)					(14.61	)					(8.69	)
Net asset value per unit at September 30, 2013				$	126.09		$	126.12					$	93.60					$	100.84					$	100.91

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

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

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

20

The Series of the Frontier Fund

Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2013

(Unaudited)

	Balanced Series
	Class 1			Class 2						Class 2a						Class 3a
	Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Limited Owners			Non-Controlling Interests			Total
Owners’ Capital, December 31, 2012	$	143,906,872		$	3,225,784		$	48,233,784		$	153,884		$	855,636		$	3,776,790		$	44,816,933		$	244,969,683
Sale of Units		223,025			—			11,513			—			—			—			—			234,538
Redemption of Units		(38,380,811	)		(547,933	)		(12,952,912	)		—			(257,150	)		(1,105,541	)		—			(53,244,347	)
Change in control of ownership - Trading Companies		—			—			—			—			—			—			(51,747,039	)		(51,747,039	)
Contributions		—			—			—			—			—			—			56,807,054			56,807,054
Distributions		—			—			—			—			—			—			(39,448,498	)		(39,448,498	)
Operations attributable to non-controlling interests		—			—			—			—			—			—			(2,141,659	)		(2,141,659	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(19,367,157	)		(439,041	)		(5,773,771	)		(20,115	)		(91,724	)		(372,324	)		—			(26,064,132	)
Owners’ Capital, September 30, 2013	$	86,381,929		$	2,238,810		$	29,518,614		$	133,769		$	506,762		$	2,298,925		$	8,286,791		$	129,365,600
Owners’ Capital - Units, December 31, 2012		1,237,173			21,620			323,274			1,237			6,880			30,469
Sale of Units		2,011			—			80			—			—			—
Redemption of Units		(355,242	)		(4,156	)		(93,092	)		—			(2,192	)		(9,134	)
Owners’ Capital - Units, September 30, 2013		883,942			17,464			230,262			1,237			4,688			21,335
								(1)						(1)
Net asset value per unit at December 31, 2012	$	116.32					$	149.20					$	124.36		$	123.96
Change in net asset value per unit for the period ended September 30, 2013		(18.60	)					(21.00	)					(16.25	)		(16.21	)
Net asset value per unit at September 30, 2013	$	97.72					$	128.20					$	108.11		$	107.75

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

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

21

The Series of the Frontier Fund

Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2013

(Unaudited)

	Frontier Select Series (2)												Winton Series											Frontier Heritage Series (3)
	Class 1			Class 2									Class 1			Class 2								Class 1			Class 2
	Limited Owners			Managing Owner			Limited Owners			Total			Limited Owners			Managing Owner		Limited Owners			Total			Limited Owners			Managing Owner		Limited Owners			Total
Owners’ Capital, December 31, 2012	$	22,266,758		$	7,013		$	3,070,870		$	25,344,641		$	30,645,208		$	32,721	$	10,281,605		$	40,959,534		$	16,680,498		$	51,683	$	4,021,358		$	20,753,539
Sale of Units		12,067			—			—			12,067			134,791			—		—			134,791			32,332			—		—			32,332
Redemption of Units		(4,788,445	)		—			(805,617	)		(5,594,062	)		(4,031,879	)		—		(686,020	)		(4,717,899	)		(5,066,082	)		—		(1,181,705	)		(6,247,787	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(483,499	)		(82	)		(5,629	)		(489,210	)		(153,899	)		458		155,182			1,741			327,765			1,735		138,365			467,865
Owners’ Capital, September 30, 2013	$	17,006,881		$	6,931		$	2,259,624		$	19,273,436		$	26,594,221		$	33,179	$	9,750,767		$	36,378,167		$	11,974,513		$	53,418	$	2,978,018		$	15,005,949
Owners’ Capital - Units, December 31, 2012		283,073			70			30,848						234,414			207		64,952						176,419			428		33,325
Sale of Units		150			—			—						1,003			—		—						326			—		—
Redemption of Units		(59,509	)		—			(7,882	)					(30,241	)		—		(4,203	)					(51,429	)		—		(9,447	)
Owners’ Capital - Units, September 30, 2013		223,714			70			22,966						205,176			207		60,749						125,316			428		23,878
								(1)											(1)											(1)
Net asset value per unit at December 31, 2012	$	78.66					$	99.55					$	130.73				$	158.30					$	94.55				$	120.67
Change in net asset value per unit for the period ended September 30, 2013		(2.64	)					(1.16	)					(1.11	)				2.21						1.00					4.05
Net asset value per unit at September 30, 2013	$	76.02					$	98.39					$	129.62				$	160.51					$	95.55				$	124.72

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

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

(3) Formerly the Winton/Graham Series.

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

22

The Series of the Frontier Fund

Statements of Cash Flows

For the Nine Months Ended September 30, 2013 and 2012

(Unaudited)

	Frontier Diversified Series						Frontier Masters Series						Frontier Long/Short Commodity Series
	9/30/2013			9/30/2012			9/30/2013			9/30/2012			9/30/2013			9/30/2012
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(16,425,594	)	$	(1,303,075	)	$	(5,869,710	)	$	3,332,527		$	(10,095,515	)	$	(9,426,533	)
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		—			—			—			1,006,929			(619,244	)		(34,474,951	)
Net change in options written, at fair value		—			—			—			—			(899,388	)		(465,465	)
Net change in ownership allocation of U.S. Treasury securities		154,070			283,224			413,252			(1,319,471	)		68,797			(1,026,151	)
Net change in ownership allocation of custom time deposits		5,897,177			1,251,670			2,331,811			(9,281,656	)		7,690,645			(4,499,445	)
Net change in ownership allocation of credit default swaps		—			423			—			(1,219	)		—			(4,324	)
Net realized (gain) on swap contracts		—			106,862			—			55,669			—			58,693
Net unrealized (gain)/loss on swap contracts		986,342			23,719			—			2,775			60,503			20,529
Net unrealized (gain)/loss on U.S. Treasury securities		236,981			380,530			118,107			179,102			148,620			234,541
Net realized (gain)/loss on U.S. Treasury securities		(221,284	)		(176,189	)		(107,483	)		(84,120	)		(138,776	)		(110,579	)
(Purchases) sales of:
Purchases of swap contracts		(3,400,000	)		—			—						(2,880,000	)
Sales of custom time deposits		16,009,441			4,380,919			7,776,160			2,418,141			10,040,146			2,122,345
Sales of U.S. Treasury securities		3,683,233			7,795,181			1,789,033			3,735,419			2,309,899			4,973,010
Increase and/or decrease in:
Receivable from futures commission merchants		—			—			—			(1,685,977	)		7,848,932			36,127,410
Change in control of ownership - trading companies		—			—			—			—			1,574,902			7,337,360
Contributions to trading companies		—			—			—			5,101,862			5,619,753			45,161,968
Distributions from trading companies		—			—			—			(3,553,695	)		(5,143,244	)		(43,611,245	)
Investments in unconsolidated trading companies, at fair value		22,862,088			(4,260,887	)		844,519			(3,861,307	)		3,675,238			352,715
Prepaid service fees - Class 1		30,322			113,819			37,176			(22,359	)		34,133			50,008
Interest receivable		53,818			190,012			30,899			77,801			33,380			105,513
Receivable from related parties		113,093			16,362			38,735			—			(1,483	)		(14,489	)
Other assets		—			(19,798	)		—			(12,277	)		—			(15,874	)
Incentive fees payable to Managing Owner		(189,903	)		934,608			—			403,572			—			465,009
Management fees payable to Managing Owner		(48,724	)		(36,038	)		(19,398	)		2,375			(125,332	)		3,300
Interest payable to Managing Owner		(10,934	)		(10,607	)		(5,145	)		(2,697	)		(7,092	)		(2,721	)
Trading fees payable to Managing Owner		(78,397	)		(32,758	)		(24,044	)		7,824			(36,780	)		4,434
Service fees payable to Managing Owner		(34,538	)		14,696			(7,710	)		9,596			(6,369	)		1,397
Payables to related parties		(19,435	)		34,606			(8,274	)		78,305			(34,037	)		5,902
Other liabilities		—			56,315			—			92,658			356			9,639
Net cash provided by (used in) operating activities		29,597,756			9,743,594			7,337,928			(3,320,223	)		19,118,044			3,381,996
Cash Flows from Financing Activities:
Proceeds from sale of units		4,172,537			9,803,970			3,139,507			8,127,497			1,061,453			11,020,642
Payment for redemption of units		(34,946,093	)		(21,802,136	)		(11,195,145	)		(5,750,786	)		(20,842,807	)		(16,082,764	)
Pending owner additions		38,160			519,278			(14,160	)		(1,686	)		(62,537	)		16,320
Owner redemptions payable		(163,166	)		(236,833	)		17,107			10,503			(291,074	)		137,430
Net cash provided by (used in) financing activities		(30,898,562	)		(11,715,721	)		(8,052,691	)		2,385,528			(20,134,965	)		(4,908,372	)
Net increase (decrease) in cash and cash equivalents		(1,300,806	)		(1,972,127	)		(714,763	)		(934,695	)		(1,016,921	)		(1,526,376	)
Cash and cash equivalents, beginning of period		2,681,889			4,976,749			1,542,661			2,234,716			1,710,151			3,045,849
Cash and cash equivalents, end of period	$	1,381,083		$	3,004,622		$	827,898		$	1,300,021		$	693,230		$	1,519,473

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

23

The Series of the Frontier Fund

Statements of Cash Flows

For the Nine Months Ended September 30, 2013 and 2012

(Unaudited)

	Balanced Series						Frontier Select Series (1)
	9/30/2013			9/30/2012			9/30/2013			9/30/2012
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(28,205,791	)	$	8,436,179		$	(489,210	)	$	(2,052,073	)
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		(474,837	)		2,255,152			—			—
Net change in options written, at fair value		302,428			802,305			—			—
Net change in ownership allocation of U.S. Treasury securities		(101,758	)		2,632,734			(346,146	)		(620,043	)
Net change in custom time deposits		(6,231,481	)		9,436,860			(3,672,345	)		(878,775	)
Net change in ownership allocation of credit default swaps		—			9,233			—			(2,283	)
Net change in ownership allocation of total return swaps		3,911			—			—			—
Net unrealized (gain)/loss on swap contracts		225,707			(1,590,654	)		—			2,448
Net realized (gain)/loss on swap contracts		3,554,723			175,294			—			34,232
Net unrealized (gain)/loss on U.S. Treasury securities		387,826			632,344			83,782			119,961
Net realized (gain)/loss on U.S. Treasury securities		(362,137	)		(290,166	)		(78,233	)		(59,410	)
Net realized (gain)/loss on investment in Berkeley Quantitative Colorado Fund LLC		—			—			—			2,172,987
Net unrealized (gain)/loss on investment in Berkeley Quantitative Colorado Fund LLC		—			—			—			(2,084,880	)
(Purchases) sales of:
Purchase of swap contracts		(9,600,000	)		—			—			—
Sales of swap contracts		20,694,866			10,362			—			—
Sales of custom time deposits		26,199,849			8,877,976			5,659,957			2,014,489
Sales of U.S. Treasury securities		6,027,702			12,612,900			1,302,165			2,693,512
Sale (purchase) of Berkeley Quantitative Colorado Fund LLC		—			—			—			6,182,737
Increase and/or decrease in:
Receivable from futures commission merchants		71,095,325			(17,951,575	)		—			—
Change in control of ownership - trading companies		(51,747,039	)		(1,186,925	)		—			—
Investments in unconsolidated trading companies, at fair value		2,604,968			243,627			3,029,814			(545,298	)
Contributions to trading companies		56,807,054			126,650,519			—			—
Distributions from trading companies		(39,448,498	)		(127,498,438	)		—			—
Prepaid service fees - Class 1		(423	)		—			—			—
Interest receivable		83,074			339,415			13,417			49,699
Receivable from related parties		17,313			—			—			—
Other assets		34,251			(21,234	)		—			(67,176	)
Incentive fees payable to Managing Owner		(527,306	)		2,073,529			—			7,136
Management fees payable to Managing Owner		(100,845	)		(50,892	)		(57,543	)		4,760
Interest payable to Managing Owner		(123,285	)		(56,192	)		(8,927	)		(17,634	)
Trading fees payable to Managing Owner		(53,247	)		(29,598	)		(3,376	)		(6,245	)
Service fees payable to Managing Owner		(130,289	)		(76,365	)		(12,469	)		(22,636	)
Payables to related parties		4,778			37,630			(47,213	)		18,229
Other liabilities		1,387			(675	)		—			(229	)
Net cash provided by (used in) operating activities		50,938,226			26,473,345			5,373,673			6,943,508
Cash Flows from Financing Activities:
Proceeds from sale of units		234,538			2,644,851			12,067			26,014
Payment for redemption of units		(53,244,347	)		(35,399,495	)		(5,594,062	)		(7,864,725	)
Pending owner additions		(20,031	)		(6,403	)		(582	)		(1,179	)
Owner redemptions payable		418,418			216,938			(25,021	)		144,984
Net cash provided by (used in) financing activities		(52,611,422	)		(32,544,109	)		(5,607,598	)		(7,694,906	)
Net increase (decrease) in cash and cash equivalents		(1,673,196	)		(6,070,764	)		(233,925	)		(751,398	)
Cash and cash equivalents, beginning of period		4,111,855			9,758,138			664,310			1,352,378
Cash and cash equivalents, end of period	$	2,438,659		$	3,687,374		$	430,385		$	600,980

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

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

24

The Series of the Frontier Fund

Statements of Cash Flows

For the Nine Months Ended September 30, 2013 and 2012

(Unaudited)

	Winton Series						Frontier Heritage Series (1)
	9/30/2013			9/30/2012			9/30/2013			9/30/2012
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	1,741		$	(2,983,827	)	$	467,865		$	(1,354,258	)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in open trade equity, at fair value		—			—			—			—
Net change in ownership allocation of U.S. Treasury securities		(117,717	)		(137,380	)		(73,002	)		142,108
Net change in custom time deposits		(6,257,558	)		1,658,699			(2,059,790	)		(555,628	)
Net change in ownership allocation of credit default swaps		—			(3,184	)		—			722
Net unrealized (gain)/loss on swap contracts		—			7,291			—			(943	)
Net realized (gain)/loss on swap contracts		—			57,781			—			30,602
Net unrealized (gain) loss on U.S. Treasury securities, at fair value		123,411			193,198			54,398			85,821
Net realized (gain) loss on U.S. Treasury securities, at fair value		(115,236	)		(90,903	)		(50,795	)		(40,172	)
(Purchases) sale of:
Sales of custom time deposits		8,337,112			2,095,034			3,674,906			2,476,747
Sales of U.S. Treasury Securities, at fair value		1,918,089			4,077,744			845,472			1,806,127
Increase and/or decrease in:
Investments in unconsolidated trading companies, at fair value		153,336			(2,288,507	)		3,216,059			2,343,965
Interest receivable		25,228			90,374			10,829			44,409
Receivable from related parties		—			—			—			—
Other assets		—			(55,933	)		—			(31,304	)
Management fees payable to Managing Owner		875			(6,162	)		(39,305	)		(35,782	)
Interest payable to Managing Owner		(7,317	)		(12,129	)		(8,775	)		(12,375	)
Trading fees payable to Managing Owner		(2,736	)		(4,268	)		(3,301	)		(4,563	)
Service fees payable to Managing Owner		(10,407	)		(12,076	)		(10,500	)		(13,837	)
Payables to related parties		1,507			77			544			(342	)
Other liabilities		—			267			—			(1,338	)
Net cash provided by (used in) operating activities		4,050,328			2,586,096			6,024,605			4,879,959
Cash Flows from Financing Activities:
Proceeds from sale of units		134,791			158,451			32,332			47,245
Payment for redemption of units		(4,717,899	)		(3,781,990	)		(6,247,787	)		(5,629,301	)
Pending owner additions		(1,764	)		(2,766	)		(1,244	)		(1,043	)
Owner redemptions payable		143,303			15,090			2,974			48,319
Net cash provided by (used in) financing activities		(4,441,569	)		(3,611,215	)		(6,213,725	)		(5,534,780	)
Net increase (decrease) in cash and cash equivalents		(391,241	)		(1,025,119	)		(189,120	)		(654,821	)
Cash and cash equivalents, beginning of period		1,249,455			2,051,272			536,159			1,156,042
Cash and cash equivalents, end of period	$	858,214		$	1,026,153		$	347,039		$	501,221

(1) Formerly the Winton/Graham Series.

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

25

The Series of the Frontier Fund

Notes to Financial Statements (Unaudited)

1. Organization and Purpose

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

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

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

The Trust has seven (7) separate and distinct Series of Units issued and outstanding: Frontier Diversified Series, Frontier Masters Series, Balanced Series, Frontier Long/Short Commodity Series, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), Winton Series, and Frontier Heritage Series (formerly Winton/Graham Series) (each a “Series” and collectively, the “Series”). The Currency Series ceased trading on April 18, 2013. The Trust, with respect to the Series, may issue additional Series of Units.

The Trust, with respect to each Series:

• engages in the speculative trading of a diversified portfolio of futures, forward (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts), and may, from time to time, engage in cash and spot transactions;

• allocates funds to a limited liability trading company or companies (“Trading Company”). Except as otherwise described in these notes, each Trading Company has one-year renewable contracts with its own independent commodity trading advisor(s), or each, a Trading Advisor, that will manage all or a portion of such Trading Company’s assets and make the trading decisions for the assets of each Series vested in such Trading Company. Each Trading Company will segregate its assets from any other Trading Company;

• maintains separate, distinct records for each Series, and accounts for the assets of each Series separately from the other Series;

• calculates the Net Asset Value (“NAV”) of its Units for each Series separately from the other Series;

• has an investment objective of increasing the value of each Series’ Units over the long term (capital appreciation), while controlling risk and volatility; further, to offer exposure to the investment programs of individual Trading Advisors and to specific instruments (currencies);

• maintains each Series of Units in three or six sub-classes—Class 1, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of any Series are charged a service fee of up to three percent (3.0%) annually of the NAV of each Unit purchased, for the benefit of Selling Agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to Equinox Fund Management, LLC (the “Managing Owner”) by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 or Class 1a Units of any Series during the first twelve (12) months

26

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

• all payments made to Selling Agents who are members of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and their associated persons that constitute underwriting compensation will be subject to the limitations set forth in Rule 2310(b)(4)(B)(ii) (formerly Rule 2810(b)(4)(B)(ii)) of the Conduct Rules of FINRA (“Rule 2310”). An investor’s Class 1 Units or Class 2 Units of any Series, or Class 1a Units or Class 2a Units of the Frontier Long/Short Commodity Series or Balanced Series will be classified as Class 3 or Class 3a Units of such Series, as applicable, when the Managing Owner determines that the fee limitation set forth in Rule 2310 with respect to such Units has been reached or will be reached. No service fees are paid with respect to Class 3 or Class 3a Units. Units of any Class in a Series may be redeemed, in whole or in part, on a daily basis, at the then current NAV per Unit for such Series on the day of the week after the date the Managing Owner is in receipt of a redemption request for at least one (1) Business Day to be received by the Managing Owner prior to 4:00 PM in New York.

The assets of any particular Series include only those funds and other assets that are paid to, held by or distributed to the Trust, 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 September 30, 2013, the Trust, with respect to the Frontier Diversified Series, Frontier Masters Series, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), Winton Series and Frontier Heritage Series (formerly Winton/Graham Series) separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Balanced Series and the Frontier Long/Short Commodity Series separates Units into six separate Classes—Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a. It is expected that between 10% and 30% of each Series’ assets normally will be invested in one or more Trading Companies to be committed as margin for trading positions, but from time to time these percentages may be substantially more or less. The remainders of each Series’ assets are maintained at the Trust level for cash management. Each of the respective Series has invested monies into pooled cash management assets which have included purchases of certificates of deposit and custom time deposits. Each Series’ ownership in these investments is based on its percentage ownership in the pooled cash management assets on the reporting date.

As of September 30, 2013, Winton Series has invested a portion of its assets in a single Trading Company, and a single Trading Advisor manages 100% of the assets invested in such Trading Company. Each of the Frontier Diversified Series, Frontier Masters Series, Frontier Long/Short Commodity Series, Balanced Series, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), and Frontier Heritage Series (formerly 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 Frontier Select Series (formerly Tiverton/Graham/Transtrend Series) invested a portion of its assets in Berkeley Quantitative Colorado Fund LLC, an unaffiliated company, managed by an affiliate of Berkeley Quantitative L.P. Through this investment, Berkeley Quantitative L.P. became a commodity trading advisor to the Series. This investment was liquidated on March 20, 2012.

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

The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, currency trading companies, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence or bad faith.

2. Significant Accounting Policies

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

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

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

27

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 change in fair value of investments in unconsolidated trading companies.

The consolidated financial statements of the Balanced Series include the assets, liabilities and earnings of its majority-controlled trading companies; Frontier Trading Company I LLC and Frontier Trading Company IX, LLC and the assets and liabilities of its majority owned Trading Companies, and the earnings of Frontier Trading Company XXIII, LLC from July 11, 2012 to March 12, 2013 and from April 29, 2013 to September 30, 2013 and the earnings of Frontier Trading Company XXXIV, LLC from July 31, 2013 to September 30, 2013. Also included in the consolidated financial statements were the earnings of its majority controlled trading company, Frontier Trading Company XVIII, LLC from January 1, 2011 through May 14, 2012, the earnings from Frontier Trading Company XIV, LLC from January 1, 2013 through May 16, 2013, the earnings from Frontier Trading Company XV, LLC from January 1, 2012 through September 30, 2012, and the earnings from Frontier Trading Company XVII, LLC from January 1, 2013 through April 18, 2013. Multiple Series have investment interests in Frontier Trading Company I LLC. The Managing Owner assigns the full ownership and earnings of that swap identified in footnote four as Option/Swap with Societe Generale, owned by Frontier Trading Company I LLC, to the Balanced Series.

The consolidated financial statements of the Frontier Long/Short Commodity Series include the assets, liabilities and earnings of its majority controlled trading companies; Frontier Trading Company VII, LLC, from September 28, 2011 to September 30, 2013, Frontier Trading Company XVIII, LLC from May 15, 2012 through September 30, 2013, and Frontier Trading Company XXXVII, LLC from July 31, 2013 through September 30, 2013.

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

The consolidated financial statements of the Frontier Diversified Series include the assets, liabilities and earnings of its majority owned trading company, Frontier Trading Company V, LLC (earnings from March 9, 2013 through August 26, 2013 (Closed)) and Frontier Trading Company XXXV, LLC from July 31, 2013 through September 30, 2013.

Investment in Berkeley Quantitative Colorado Fund LLC—The Frontier Select Series (formerly 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 Frontier Select Series (formerly Tiverton/Graham/Transtrend Series) because the Trust had no control or transparency over the operations of the trading company. This investment was shown on the statements of financial condition with the change in fair value shown in net unrealized gain/ (loss) on the Berkeley Quantitative Colorado Fund LLC. This investment was liquidated on March 20, 2012.

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

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

Interest Income—Aggregate interest income from all sources, including U.S. Treasuries, custom time deposits and assets held at Futures Commission Merchants (“FCM”), up to two percentage points of the aggregate percentage yield (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), Winton Series and Frontier Heritage Series (formerly Winton/Graham Series). For the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series and Balanced Series (Class 1a, 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. All U.S. Treasury Securities have been liquidated as of September 30, 2013.

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

Custom Time Deposits—Custom time deposits are structured deposit agreements with U.S. Bank National Association that earn a guaranteed fixed interest rate 3.75%, mature nine months from the deposit date and are subject to automatic six-month rollovers through October 2013. Custom time deposits were purchased on April 1, 2010, September 15, 2009, October 21, 2008 and October 30, 2008. Interest is paid monthly or at least every nine months. Unscheduled withdrawals will be subject to certain penalties and other costs of up to 1.0% of the amount deposited if withdrawn within the first nine months from the deposit date. The withdrawal fee is set at 0.225% for the period from nine months to one year subsequent to the deposit date and decreases by ..05% increments for each year thereafter through the maturity date. In May 2011, July 2011, August 2011, January 2012, October 2012, November 2012, April 2013, June 2013, July 2013 and August 2013, the Trust, with respect to the Series, redeemed approximately $25 million, $25 million, $50 million, $25 million, $16 million, $5 million, $35 million, $20 million and $15 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 $100 million of the 3.75% tranche. Custom time deposits are allocated to each Series based on their percentage ownership in the pooled cash management assets as of the reporting date. The Series of the Trust values the custom time deposits at face value plus accrued interest as it is considered a deposit account under paragraph 7.50 of 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 were allocated to each Series based on their percentage ownership in the pooled cash management assets as of the reporting date. Credit Default Swaps were reported at fair value based upon counterparty value per the valuation policy. The Series of the Trust recorded the daily change in fair value in the statements of operations as net unrealized gain/(loss) on swap contracts. All Credit Default Swaps expired during March 2012.

Receivable From Futures Commission Merchants—The Series of the Trust deposits assets with a FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust, with respect to the Series, earns interest income on its assets deposited with the FCM.

Investment Transactions—Futures, options on futures, forward and swap contracts are recorded on a trade date basis and realized gains or losses are recognized when contracts are settled. Unrealized gains or losses on open contracts (the difference between contract trade price and market price) are reported in the statements of financial condition as a net change in open trade equity (deficit) as there exists a right of offset of unrealized gains or losses in accordance with ASC 210,Balance Sheet (“ASC 210”).

Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations. Fair value of exchange-traded contracts is based upon exchange settlement prices. Fair value of non-exchange-traded contracts is based on third party quoted dealer values on the interbank market. For U.S. Treasury securities, interest is recognized in the period earned and the instruments are marked-to-market daily based on third party information. Custom time deposits are valued at face value plus accrued interest and the interest income is recognized in the period earned. Transaction costs are recognized as incurred and reflected separately in the statements of operations.

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

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

Each Series allocates funds to an affiliated Trading Company, or Companies, of the Trust. Each Trading Company allocates all of its daily trading gains or losses to the Series in proportion to each Series’ ownership trading level interest in the Trading Company, adjusted on a daily basis (except for Trading Advisors and other investments such as Swaps that are directly allocated to a specific series). The value of all open contracts and cash held at clearing brokers is similarly allocated to the Series in proportion to each Series’ funds allocated to the Trading Company, or Companies.

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

Investments and Swaps—The Trust, with respect to the Series, records investment transactions on a trade date basis and all investments are recorded at fair value, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the statements of operations. Certain Series of the Trust strategically invest a portion or all of their assets in total return Swaps, selected at the discretion of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more underlying investment products or indices. In a typical Swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined 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 valuations provided by a third party pricing service on a daily basis. The third party pricing service utilizes a Black Scholes pricing model with input adjustments factoring in volatility and liquidity of the instruments. All valuation processes are monitored by the valuation committee of the Managing Owner.

Income Taxes—The Trust, with respect to the Series, applies the provisions of ASC 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. The 2009 through 2012 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

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

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

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

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

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

Recently Issued Accounting Pronouncements—In June of 2013, FASB issued ASU 2013-08 to (i) modify Topic 946 for determining whether an entity is an investment company; (ii) update the measurement requirements for noncontrolling interests in other investment companies; and (iii) require additional disclosures for investment companies under U.S. GAAP. This guidance is effective for annual and interim periods beginning on or after December 15, 2013. An entity should provide the disclosures required by those amendments retrospectively for all comparative periods presented. The adoption of this guidance is not expected to have a material impact on the financial positions or results of operations.

Recently Adopted Accounting Pronouncements —In December of 2011, FASB issued new guidance that requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. FASB issued additional clarification to specify that the guidance applies only to derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset in accordance with specific criteria of the Codification or subject to a master netting arrangement or similar agreement. This guidance is effective for annual and interim periods beginning on or after January 1, 2013. An entity should provide the disclosures required by those amendments retrospectively for all comparative periods presented. The adoption of this guidance is not expected to have a material impact on the Series financial position or results of operations and is disclosed in Note 8.

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

3. Fair Value Measurements

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

Level 1 Inputs

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

Level 2 Inputs

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

Level 3 Inputs

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

The Trust, with respect to the Series, uses the following methodologies to value instruments within its financial asset portfolio at fair value:

Trading Securities.These instruments include U.S. Treasury securities and open trade equity positions (futures contracts) that are actively traded on public markets with quoted pricing for corroboration. U.S. Treasury securities and futures contracts, are reported at fair value using Level 1 inputs. Trading securities instruments further include open trade equity positions (trading options and currency forwards) that are quoted prices for identical or similar assets that are not traded on active markets. Trading options and currency forwards are reported at fair value using Level 2 inputs.

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Swap Contracts. Certain Series of the Trust strategically invest a portion or all of their assets in total return Swaps, selected at the direction of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical Swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. Swap contracts are reported at fair value basis upon daily reports from the counterparty. The valuation requires significant estimates utilizing Level 3 inputs, corroborated by management through the use of a third party pricing service (“pricing service”). The pricing service, utilizing proprietary model-intensive methodologies, selects and implements the pricing model appropriate for each swap valuation. The pricing service does not provide detail of the pricing model to management. The Managing Owner engages, via inquiry and review of methodology documentation, with the service provider to gain an understanding of the valuation model selected, the components of the model, both observable and unobservable; and quality control testing procedures in place. The pricing service’s methodology includes performance of tolerance testing on its valuation models to ensure consistency and reasonableness of the values derived. The tolerance testing includes valuing the components of the product separately, i.e. underlying asset, volatility, financing rates, and so forth. The tolerance testing is part of the initial valuation setup and the ongoing daily valuation process. The pricing service also has several layers of quality control including: engineering / reverse engineering process to understand each Swap and its’ subcomponent parts fully; comparative analysis against other valuations performed with similar composition and characteristics; review of output valuation against expectations based on observable price movements of underlying futures; and lastly, periodic review by senior a financial engineer to ensure the design and function of the model is stable and performs as expected.

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

Investment in Unconsolidated Trading Companies. This investment represents the fair value of the allocation of cash, futures, forwards, options and swaps to each respective Series relative to its trading allocations from unconsolidated Trading Companies. The Series may redeem their investment in the trading companies on a daily basis at the stated net asset value and therefore the inputs qualify for Level 2. However, as the Series, under the same management as the Trading Companies, have access to the underlying positions of the Trading Companies, the level determination are reflected on that basis. As such, the Series report investments in unconsolidated Trading Companies at fair value using the corresponding inputs of the underlying securities of the Trading Companies which results in the Series reporting the corresponding Level determination from the inputs of the Trading Company.

The following table summarizes the instruments that comprise the Trust, with respect to the Series, financial asset portfolio, by Series, measured at fair value on a recurring basis as of September 30, 2013 and December 31, 2012, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

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September 30, 2013	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Frontier Diversified Series
Investment in Unconsolidated Trading Companies	$	19,392,371		$	571,967		$	—	$	19,964,338
Swap Contracts		—			—			2,413,658		2,413,658
Frontier Masters Series
Investment in Unconsolidated Trading Companies		8,512,459			414,819			—		8,927,278
Frontier Long/Short Commodity Series
Open Trade Equity (Deficit)		(439,574	)		239,283			—		(200,291	)
Options Written		—			(29,302	)		—		(29,302	)
Swap Contracts		—			—			2,819,497		2,819,497
Balanced Series
Open Trade Equity (Deficit)		(804,699	)		607,025			—		(197,674	)
Options Written		—			(467,791	)		—		(467,791	)
Swap Contracts		—			—			7,410,271		7,410,271
Investment in Unconsolidated Trading Companies		15,009,328			689,796			1,889,036		17,588,160
Frontier Select Series (1)
Investment in Unconsolidated Trading Companies		3,015,214			165,519			1,162,962		4,343,695
Winton Series
Investment in Unconsolidated Trading Companies		6,471,321			241,308			—		6,712,629
Frontier Heritage Series (2)
Investment in Unconsolidated Trading Companies		1,450,986			54,106			1,453,704		2,958,796

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

(2) Formerly the Winton/Graham Series.

December 31, 2012	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Frontier Diversified Series
Investment in Unconsolidated Trading Companies	$	41,070,543		$	1,755,883		$	—	$	42,826,426
U.S. Treasury Securities		3,853,000			—			—		3,853,000
Frontier Masters Series
Investment in Unconsolidated Trading Companies		8,172,213			1,599,584			—		9,771,797
U.S. Treasury Securities		2,212,909			—			—		2,212,909
Frontier Long/Short Commodity Series
Open Trade Equity (Deficit)		(3,720,855	)		2,901,320			—		(819,535	)
Options Written		—			(928,690	)		—		(928,690	)
Investment in Unconsolidated Trading Companies		3,661,455			13,783			—		3,675,238
U.S. Treasury Securities		2,388,540			—			—		2,388,540
Balanced Series
Open Trade Equity (Deficit)		(1,111,681	)		439,170			—		(672,511	)
Options Written		—			(165,363	)		—		(165,363	)
Swap Contracts		—			—			22,289,478		22,289,478
Investment in Unconsolidated Trading Companies		16,719,672			3,473,456			—		20,193,128
U.S. Treasury Securities		5,951,633			—			—		5,951,633
Frontier Select Series (1)
Investment in Unconsolidated Trading Companies		5,981,225			1,392,284			—		7,373,509
U.S. Treasury Securities		961,568			—			—		961,568
Winton Series
Investment in Unconsolidated Trading Companies		6,820,010			45,955			—		6,865,965
U.S. Treasury Securities		1,808,547			—			—		1,808,547
Frontier Heritage Series (2)
Investment in Unconsolidated Trading Companies		6,070,974			103,881			—		6,174,855
U.S. Treasury Securities		776,073			—			—		776,073

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

(2) Formerly the Winton/Graham Series.

The changes in Level 3 assets measured at fair value on a recurring basis are summarized in the following tables. Swap contract asset gains and losses (realized/unrealized) included in earnings are classified in “realized and unrealized gain (loss) on investments — net unrealized gain/(loss) on swap contracts” on the statements of operations. Investment in unconsolidated trading company asset gains and losses (realized/unrealized) included in earnings are classified in “Change in fair value of investments in unconsolidated trading

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

For the Nine Months Ended September 30, 2013

Swaps:

	Frontier  Diversified Series			Frontier Long/Short Commodity  Series			Balanced Series
Balance of recurring Level 3 assets as of January 1, 2013	$	—		$	—		$	22,289,478
Total gains or losses (realized/unrealized):
Included in earnings-realized		—			—			(3,554,723	)
Included in earnings-unrealized		(986,342	)		(60,503	)		(225,707	)
Purchases of investments		3,400,000			2,880,000			9,600,000
Sales of investments		—			—			(20,694,866	)
Change in ownership allocation of total return swaps		—			—			(3,911	)
Transfers in and/or out of Level 3		—			—			—
Balance of recurring Level 3 assets as of September 30, 2013	$	2,413,658		$	2,819,497		$	7,410,271

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Investments in Unconsolidated Trading Companies:

	Balanced Series		Frontier Select Series (1)
Balance of recurring Level 3 assets as of January 1, 2013	$	—	$	—
Change in fair value of investments in unconsolidated trading companies		489,036		(437,038	)
Proceeds from sales of investments of unconsolidated trading companies		—		—
Purchases of investments of unconsolidated trading companies		1,400,000		1,600,000
Change in ownership allocation		—		—
Transfers in and/or out of Level 3		—		—
Balance of recurring Level 3 assets as of September 30, 2013	$	1,889,036	$	1,162,962

	Frontier Diversified Series			Frontier Heritage Series (2)
Balance of recurring Level 3 assets as of January 1, 2013	$	—		$	—
Change in fair value of investments in unconsolidated trading companies		(369,546	)		(546,296	)
Proceeds from sales of investments of unconsolidated trading companies		—			—
Purchases of investments of unconsolidated trading companies		1,000,000			2,000,000
Change in ownership allocation		(630,454	)		—
Transfers in and/or out of Level 3		—			—
Balance of recurring Level 3 assets as of September 30, 2013	$	—		$	1,453,704

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

(2) Formerly the Winton/Graham Series.

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For the Year Ended December 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	)
Change in ownership allocation of credit default swaps		(423	)		1,219			4,324
Transfers in and/or out of Level 3		—			—			—
Balance of recurring Level 3 assets as of December 31, 2012	$	—		$	—		$	—

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

	Winton Series			Frontier Heritage Series  (2)
Balance of recurring Level 3 assets as of January 1, 2012	$	61,888		$	30,381
Total gains or losses (realized/unrealized):
Included in earnings-realized		(57,781	)		(30,602	)
Included in earnings-unrealized		(7,291	)		943
Change in ownership allocation of credit default swaps		3,184			(722	)
Transfers in and/or out of Level 3		—			—
Balance of recurring Level 3 assets as of December 31, 2012	$	—		$	—

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

(2) Formerly the Winton/Graham Series.

The Series of the Trust assess the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Series’ accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. During the nine months ended September 30, 2013, all identified Level 3 assets are components of the Frontier Diversified Series, Balanced Series, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series) and Frontier Heritage Series (formerly Winton/Graham Series). During the year ended December 31, 2012, the Trust transferred currency forwards from Level 1 assets to Level 2 assets.

4. Swaps

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

36

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

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

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of September 30, 2013 and December 31, 2012, approximately 5.1% and 4.0%, respectively, of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain Swaps and is recorded as cash and cash equivalents on the Statements of Financial Condition of the Trust.

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.

On September 6, 2013, the Balanced Series liquidated the Frontier Balanced RCW-1 Swap in the amount of $16,353,609. On April 18, 2013, the Balanced Series liquidated the Frontier Select CTA TRS Deutsche Bank Swap in the amount of $4,341,257.

The Series had invested in the following Swaps as of and for the nine months ended September 30, 2013:

	Balanced Series
	Balanced Series Option/Swap			Total Return Swap			Total Return Swap
Counterparty		Societe Generale			DeutscheBank			DeutscheBank AG
Notional Amount	$	—		$	—		$	54,591,769
Termination Date		11/21/2014			6/30/2016			8/2/2018
Investee Returns		Total Returns			On Default			On Default
Realized Gain/(Loss)	$	(1,645,980	)	$	(1,908,743	)	$	—
Unrealized Gain/(Loss)	$	215,224		$	1,746,254		$	(2,187,185	)
Fair Value as of 9/30/2013	$	—		$	—		$	7,410,271

	Diversified Series
	Total Return Swap
Counterparty		DeutscheBank AG
Notional Amount	$	25,500,000
Termination Date		8/2/2018
Investee Returns		On Default
Realized Gain/(Loss)	$	—
Unrealized Gain/(Loss)	$	(986,342	)
Fair Value as of 9/30/2013	$	2,413,658
	Frontier Long/Short Commodity Series
	Total Return Swap
Counterparty		DeutscheBank AG
Notional Amount	$	34,400,000
Termination Date		8/7/2018
Investee Returns		On Default
Realized Gain/(Loss)	$	—
Unrealized Gain/(Loss)	$	(60,503	)
Fair Value as of 9/30/2013	$	2,819,497

37

The Series had invested in the following Swaps as and for the year ended December 31, 2012:

	Frontier Diversified Series
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	—		$	—
Termination Date		3/20/2012			3/20/2012
Investee Returns		On Default			On Default
Realized Gain/(Loss)	$	(83,850	)	$	(23,012	)
Unrealized Gain/(Loss)	$	(46,731	)	$	23,012
Fair Value as of 12/31/2012	$	—		$	—
	Frontier Masters Series
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	—		$	—
Termination Date		3/20/2012			3/20/2012
Investee Returns		On Default			On Default
Realized Gain/(Loss)	$	(44,412	)	$	(11,257	)
Unrealized Gain/(Loss)	$	(14,032	)	$	11,257
Fair Value as of 12/31/2012	$	—		$	—
	Frontier Long/Short Commodity Series
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	—		$	—
Termination Date		3/20/2012			3/20/2012
Investee Returns		On Default			On Default
Realized Gain/(Loss)	$	(45,848	)	$	(12,845	)
Unrealized Gain/(Loss)	$	(33,374	)	$	12,845
Fair Value as of 12/31/2012	$	—		$	—

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

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

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

38

	Winton Series
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	—		$	—
Termination Date		3/20/2012			3/20/2012
Investee Returns		On Default			On Default
Realized Gain/(Loss)	$	(45,616	)	$	(12,165	)
Unrealized Gain/(Loss)	$	(19,456	)	$	12,165
Fair Value as of 12/31/2012	$	—		$	—
	Frontier Heritage Series (1)
	Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale
Notional Amount	$	—		$	—
Termination Date		3/20/2012			3/20/2012
Investee Returns		On Default			On Default
Realized Gain/(Loss)	$	(23,131	)	$	(7,471	)
Unrealized Gain/(Loss)	$	(6,528	)	$	7,471
Fair Value as of 12/31/2012	$	—		$	—

(1) Formerly the Winton/Graham Series.

5. Investments in Unconsolidated Trading Companies

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

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

	As of September 30, 2013					As of December 31, 2012
	Percentage of Series Net Assets Invested in Unconsolidated Trading Companies			Fair Value		Percentage of Series Net Assets Invested in Unconsolidated Trading Companies			Fair Value
Series
Frontier Diversified Series —
Frontier Trading Companies I, II, VII, IX, XIV, XV, XXXIII and XXXIX		29.37	%	$	19,964,338		37.18	%	$	42,826,426
Frontier Masters Series —
Frontier Trading Companies II, XIV and XV		23.77	%	$	8,927,278		18.98	%	$	9,771,797
Frontier Long/Short Commodity Series —
Frontier Trading Company I		—			—		6.00	%	$	3,675,238
Balanced Series —
Frontier Trading Companies II, VII, XIV, XV, XVIII, XXIII and XXXIX		13.60	%	$	17,588,160		8.24	%	$	20,193,128
Frontier Select Series (1) —
Frontier Trading Companies XV and XXXIX		22.54	%	$	4,343,695		29.09	%	$	7,373,509
Winton Series —
Frontier Trading Company II		18.45	%	$	6,712,629		16.76	%	$	6,865,965
Frontier Heritage Series (2) —
Frontier Trading Companies II and XXXIX		19.72	%	$	2,958,796		29.75	%	$	6,174,855

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

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

39

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

	Three Months Ended September 30, 2013												Three Months Ended September 30, 2012
							Change in												Change in
	Trading			Realized			Unrealized			Net Income			Trading			Realized			Unrealized			Net Income
	Commissions			Gain/(Loss)			Gain/(Loss)			(Loss)			Commissions			Gain/(Loss)			Gain/(Loss)			(Loss)
Trading Company
Balanced Series —
Frontier Trading Company I LLC
Frontier Trading Company II LLC	$	(9,318	)	$	(560,883	)	$	223,628		$	(346,573	)	$	(14,301	)	$	70,125		$	373,430		$	429,254
Frontier Trading Company V LLC		—			—			—			—			(17,266	)		845,162			(665,782	)		162,114
Frontier Trading Company VII, LLC		(92,999	)		(3,300,304	)		2,074,995			(1,318,308	)		(192,209	)		(24,332,527	)		20,896,332			(3,628,403	)
Frontier Trading Company XIV, LLC		(192,816	)		(5,398,107	)		2,531,471			(3,059,452	)		—			—			—			—
Frontier Trading Company XV, LLC		(33,508	)		371,848			(2,216,125	)		(1,877,785	)		—			—			—			—
Frontier Trading Company XVIII, LLC		(1,048	)		(33,791	)		—			(34,839	)		(5,348	)		185,413			46,345			226,410
Frontier Trading Company XXIII, LLC		—			—			—			—			(872	)		(136,395	)		19,584			(117,683	)
Frontier Trading Company XXXIX, LLC		(1,468	)		—			(264,965	)		(266,433	)		—			—			—			—
Total	$	(331,157	)	$	(8,921,237	)	$	2,349,004		$	(6,903,390	)	$	(229,996	)	$	(23,368,222	)	$	20,669,909		$	(2,928,309	)
Winton Series —
Frontier Trading Company II LLC	$	(11,655	)	$	(666,174	)	$	297,231		$	(380,598	)	$	(11,442	)	$	24,971		$	588,982		$	602,511
Frontier Select Series (1) —
Frontier Trading Company V LLC	$	—		$	—		$	—		$	—		$	(22,533	)	$	1,102,656		$	(865,374	)	$	214,749
Frontier Trading Company XV, LLC		(24,262	)		85,305			(951,521	)		(890,478	)		(20,157	)		62,519			(55,047	)		(12,684	)
Frontier Trading Company XXI, LLC		—			—						—			(13,232	)		174,405			(40,209	)		120,964
Frontier Trading Company XXXIX, LLC		(903	)		—			(130,250	)		(131,153	)		—			—			—			—
Total	$	(25,165	)	$	85,305		$	(1,081,771	)	$	(1,021,631	)	$	(55,922	)	$	1,339,580		$	(960,630	)	$	323,029
Frontier Heritage Series (2) —
Frontier Trading Company II LLC	$	(2,614	)	$	(149,499	)	$	66,609		$	(85,504	)	$	(3,363	)	$	326		$	426,552		$	423,516
Frontier Trading Company V LLC		—			—			—			—			(21,237	)		834,906			(51,282	)		762,386
Frontier Trading Company XXXIX, LLC		(1,129	)		(162,814	)		—			(163,943	)		—			—			—			—
Total	$	(3,743	)	$	(312,313	)	$	66,609		$	(249,447	)	$	(24,600	)	$	835,232		$	375,270		$	1,185,902
Frontier Long/Short Commodity Series —
Frontier Trading Company I LLC	$	(4,748	)	$	(478,294	)	$	132,144		$	(350,898	)	$	(18,573	)	$	(370,180	)	$	2,936		$	(385,817	)
Frontier Trading Companies XVIII, LLC		—			—			—			—			—			—			—			—
Frontier Trading Companies XXIII, LLC		—			—			—			—			(6,502	)		(323,461	)		68,223			(261,740	)
Total	$	(4,748	)	$	(478,294	)	$	—		$	(350,898	)	$	(25,075	)	$	(693,641	)	$	71,159		$	(647,557	)
Frontier Diversified Series —
Frontier Trading Company I LLC	$	(82,715	)	$	(95,717	)	$	(814,937	)	$	(993,369	)	$	(147,606	)	$	(191,391	)	$	(393,000	)	$	(731,997	)
Frontier Trading Company II LLC		(5,469	)		(310,367	)		140,441			(175,395	)		(6,875	)		7,849			420,549			421,524
Frontier Trading Company V LLC		—			—			—			—			(11,924	)		583,700			(459,899	)		111,876
Frontier Trading Company VI LLC		—			—			—			—			—			—			—			—
Frontier Trading Company VII, LLC		(91,413	)		(1,364,053	)		1,202,102			(253,364	)		(107,417	)		(12,417,915	)		10,661,492			(1,863,839	)
Frontier Trading Company IX, LLC		—			(6	)					(6	)		(19	)		532			—			513
Frontier Trading Company XIV, LLC		(163,648	)		(4,745,349	)		2,016,387			(2,892,610	)		(161,652	)		6,242,591			(542,495	)		5,538,445
Frontier Trading Company XV, LLC		(25,366	)		244,658			(1,593,532	)		(1,374,240	)		(34,788	)		92,877			(43,252	)		14,837
Frontier Trading Company XVIII, LLC		—			—			—			—			(1,662	)		57,605			14,262			70,205
Frontier Trading Company XXI, LLC		—			—			—			—			(309	)		4,122			(1,108	)		2,705
Frontier Trading Company XXIII, LLC		(1,893	)		7,569			(29,894	)		(24,218	)		(12,364	)		(550,605	)		122,426			(440,544	)
Frontier Trading Company XXXIX, LLC		—			—			3,222			3,222			—			—			—			—
Total	$	(370,504	)	$	(6,263,265	)	$	923,789		$	(5,709,980	)	$	(484,616	)	$	(6,170,635	)	$	9,778,975		$	3,123,724
Frontier Masters Series —
Frontier Trading Company II LLC	$	(3,449	)	$	(197,161	)	$	87,980		$	(112,630	)	$	(3,386	)	$	7,390		$	174,274		$	178,278
Frontier Trading Company XIV, LLC		(72,982	)		(2,210,977	)		1,025,721			(1,258,238	)		(65,090	)		2,513,002			(222,782	)		2,225,130
Frontier Trading Company XV, LLC		(35,063	)		99,114			(1,202,493	)		(1,138,442	)		(14,120	)		44,241			(39,084	)		(8,963	)
Total	$	(111,494	)	$	(2,309,024	)	$	(88,792	)	$	(2,509,310	)	$	(82,596	)	$	2,564,633		$	(87,592	)	$	2,394,445

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

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

40

	Nine Months Ended September 30, 2013												Nine Months Ended September 30, 2012
	Trading Commissions			Realized Gain/(Loss)			Change in Unrealized Gain/(Loss)			Net Income (Loss)			Trading Commissions			Realized Gain/(Loss)			Change in Unrealized Gain/(Loss)			Net Income (Loss)
Trading Company
Balanced Series —
Frontier Trading Company II LLC	$	(33,765	)	$	1,282,222		$	316,134		$	1,564,591		$	(49,697	)	$	(652,377	)	$	(1,302,487	)	$	(2,004,561	)
Frontier Trading Company V LLC		(13,876	)		1,530,384			(272,459	)		1,244,049			(103,975	)		769,589			(636,783	)		28,831
Frontier Trading Company VII, LLC		(396,883	)		(2,545,172	)		35,837			(2,906,218	)		(545,241	)		(22,610,306	)		16,047,057			(7,108,490	)
Frontier Trading Company XV, LLC		(472,744	)		(14,503,646	)		194,875			(14,781,515	)
Frontier Trading Company XVI, LLC		(109,397	)		(556,817	)		773,099			106,885
Frontier Trading Company XVIII, LLC		(9,693	)		(192,512	)		(91,675	)		(293,880	)		(10,452	)		267,327			(42,881	)		213,994
Frontier Trading Company XXIII, LLC		(3,526	)		(194,695	)		546			(197,675	)		(20,804	)		229,730			45,494			254,420
Frontier Trading Company XXXIX, LLC		(1,468	)		—			(569,218	)		(570,686	)
Total	$	(1,041,352	)	$	(15,180,236	)	$	387,139		$	(15,834,449	)	$	(730,169	)	$	(21,996,037	)	$	14,110,400		$	(8,615,806	)
Winton Series —
Frontier Trading Company II LLC	$	(37,129	)	$	1,261,438		$	184,516		$	1,408,825		$	(39,805	)	$	(531,851	)	$	(774,310	)	$	(1,345,966	)
Frontier Select Series (1) —
Frontier Trading Company V LLC	$	(12,346	)	$	1,188,592		$	(78,854	)	$	1,097,392		$	(113,007	)	$	2,510,500		$	(2,450,908	)	$	(53,415	)
Frontier Trading Company VI LLC		—			—			—
Frontier Trading Company XV, LLC		(71,581	)		(158,898	)		(177,597	)		(408,076	)		(53,677	)		(399,398	)		(135,117	)		(588,192	)
Frontier Trading Company XXI, LLC		—			—			—						(28,537	)		1,173,471			(625,981	)		518,953
Frontier Trading Company XXXIX, LLC		(903	)		—			(349,759	)		(350,662	)
Total	$	(84,830	)	$	1,029,694		$	(606,210	)	$	338,654		$	(195,221	)	$	3,284,573		$	(3,212,006	)	$	(122,654	)
Frontier Heritage Series (2) —
Frontier Trading Company II LLC	$	(8,383	)	$	276,041		$	84,440		$	352,098		$	(13,788	)	$	(203,332	)	$	(72,990	)	$	(290,110	)
Frontier Trading Company V LLC		(13,268	)		1,404,612			(205,240	)		1,186,104			(141,659	)		703,045			(180,080	)		381,306
Frontier Trading Company XXXIX, LLC		(1,129	)		—			(437,198	)		(438,327	)
Total	$	(22,780	)	$	1,680,653		$	(557,998	)	$	1,099,875		$	(155,447	)	$	499,713		$	(253,070	)	$	91,196
Frontier Long/Short Commodity Series —
Frontier Trading Company I LLC	$	(35,831	)	$	(778,371	)	$	98,091		$	(716,111	)	$	(48,910	)	$	(1,444,726	)	$	(350,054	)	$	(1,843,690	)
Frontier Trading Companies XVIII, LLC		—			—									(11,271	)		116,615			(48,976	)		56,368
Frontier Trading Companies XXIII, LLC		(7,153	)		(263,068	)		(24,083	)		(294,304	)		(18,453	)		(103,400	)		82,874			(38,979	)
Total	$	(42,984	)	$	(1,041,439	)	$	74,008		$	(1,010,415	)	$	(78,634	)	$	(1,431,511	)	$	(316,156	)	$	(1,826,301	)
Frontier Diversified Series —
Frontier Trading Company I LLC	$	(314,471	)	$	(1,868,764	)	$	(1,162,025	)	$	(3,345,260	)	$	(548,081	)	$	2,682,665		$	43,648		$	2,178,232
Frontier Trading Company II LLC		(18,815	)		697,242			79,465			757,892			(24,988	)		(349,717	)		(446,860	)		(821,565	)
Frontier Trading Company V LLC		(380,661	)		(10,547,784	)		281,573			(10,646,872	)		(60,488	)		520,005			(511,640	)		(52,123	)
Frontier Trading Company VI LLC
Frontier Trading Company VII, LLC		(283,574	)		(571,954	)		(186,485	)		(1,042,013	)		(292,225	)		(11,523,540	)		8,122,052			(3,693,713	)
Frontier Trading Company IX, LLC														(12,383	)		(279,001	)		(62,409	)		(353,793	)
Frontier Trading Company XIV, LLC		(137,819	)		1,604,571			387,887			1,854,639			(422,308	)		9,598,657			134,134			9,310,483
Frontier Trading Company XV, LLC		(75,052	)		(534,948	)		730,530			120,530			(109,628	)		(1,024,135	)		(99,522	)		(1,233,285	)
Frontier Trading Company XVIII, LLC														(24,995	)		306,715			(105,758	)		175,962
Frontier Trading Company XXI, LLC														(834	)		26,658			(3,205	)		22,619
Frontier Trading Company XXIII, LLC		(16,989	)		(511,401	)		(95,340	)		(623,730	)		(22,330	)		(367,519	)		135,130			(254,719	)
Frontier Trading Company XXXIX, LLC								(133,973	)		(133,973	)
Total	$	(1,227,381	)	$	(11,733,038	)	$	(98,368	)	$	(13,058,787	)	$	(1,518,260	)	$	(409,212	)	$	7,205,570		$	5,278,098
Frontier Masters Series —
Frontier Trading Company II LLC	$	(10,993	)	$	373,507		$	53,367		$	415,881		$	(11,779	)	$	(157,423	)	$	(229,350	)	$	(398,552	)
Frontier Trading Company XIV, LLC		(211,038	)		(4,305,339	)		559,649			(3,956,728	)		(195,378	)		4,036,881			(139,982	)		3,701,521
Frontier Trading Company XV, LLC		(110,645	)		(311,409	)		(230,903	)		(652,957	)		(38,432	)		(318,002	)		(57,922	)		(414,356	)
Total	$	(332,676	)	$	(4,243,241	)	$	382,113		$	(4,193,804	)	$	(245,589	)	$	3,561,456		$	(427,254	)	$	2,888,613

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

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

41

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

Statements of Financial Condition - September 30, 2013	Frontier Trading Company II LLC			Frontier Trading Company XV LLC			Frontier Trading Company XIV LLC			Frontier Trading Company XXXIX LLC
Receivable from commission merchants	$	14,873,923		$	11,728,864		$	12,260,120		$	5,996,500
Open trade equity/(deficit)		2,217,360			3,540,384			493,826			-1,490,149
Interest receivable/(payable)		485			1,172			(1,325	)		0
Total assets	$	17,091,768		$	15,270,420			12,752,621		$	4,506,351
Members’ equity	$	17,091,768		$	15,270,420		$	12,752,621		$	4,506,351
Condensed Statement of Income - For the Three Months Ended September 30, 2013
Interest income	$	1,296		$	14,902		$	(6,289	)	$	—
Net realized gain/(loss) on investments, less commissions		(1,917,886	)		667,824			(12,615,137	)		(3,500	)
Change in open trade equity/(deficit)		815,889			(5,963,669	)		5,229,959			(554,809	)
Net income/(loss)	$	(1,100,701	)	$	(5,280,943	)	$	(7,391,467	)	$	(558,309	)
Condensed Statement of Income - For the Nine Months Ended September 30, 2013
Interest income	$	13,010		$	7,946		$	(11,934	)	$	—
Net realized gain/(loss) on investments, less commissions		3,768,357			(1,935,423	)		(31,744,045	)		(3,500	)
Change in open trade equity/(deficit)		717,922			1,289,421			441,921			(1,490,149	)
Net income/(loss)	$	4,499,289		$	(638,056	)	$	(31,314,058	)	$	(1,493,649	)

Statements of Financial Condition - December 31, 2012	Frontier Trading Company II LLC			Frontier Trading Company V LLC			Frontier Trading Company XXIII, LLC
Receivable from commission merchants	$	20,525,159		$	14,732,606		$	3,343,890
Open trade equity/(deficit)		1,499,438			1,311,171		$	231,181
Interest receivable/(payable)		2,882			2,181			(7	)
Total assets	$	22,027,479		$	16,045,958		$	3,575,064
Members’ equity	$	22,027,479		$	16,045,958		$	3,575,064
Condensed Statement of Income - For the Three Months Ended September 30, 2012
Interest income	$	7,977		$	7,318		$	—
Net realized gain/(loss) on investments, less commissions		71,295			3,293,463			—
Change in open trade equity/(deficit)		1,983,787			(2,042,336	)		—
Net income/(loss)	$	2,063,059		$	1,258,445		$	—
Condensed Statement of Income - For the Nine Months Ended September 30, 2012
Interest income	$	24,381		$	9,471		$	—
Net realized gain/(loss) on investments, less commissions		(2,034,756	)		4,084,001			—
Change in open trade equity/(deficit)		(2,825,996	)		(3,779,410	)		—
Net income/(loss)	$	(4,836,371	)	$	314,062		$	—

42

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 1a Units and Balanced Series Class 2a Units, aggregated, and each of the Frontier Long/Short Commodity Series, Frontier Diversified Series and Frontier Masters Series. The 1% interest in these specific Series is included in computing the Minimum Purchase Commitment in aggregate capital. In addition to the General Units the Managing Owner receives in respect of its Minimum Purchase Commitment, the Managing Owner may purchase Limited Units in any Series as a Limited Owner. Principals of the Managing Owner or affiliates are allowed to own beneficial interests in the Trust, with respect to the Series, as well. All Units purchased by the Managing Owner are held for investment purposes only and not for resale. The Managing Owner may make purchases or redemptions at any time on the same terms as any Limited Owner. The Trust has and will continue to have certain relationships with the Managing Owner and its affiliates.

Expenses

Management Fees—Each Series of Units pays to the Managing Owner a monthly management fee equal to a certain percentage of such Series’ assets attributable to such Series (including notional assets), calculated on a daily basis. The annual rate of the management fee is 0.5% for the Balanced Series Class 1, Class 2 and Class 3, 1.0% for the Balanced Series Class 1a and Class 2a, 2.0% for the Winton Series, Frontier Long/Short Commodity Series Class 1a and Class 2a and Frontier Masters Series, 0.75% for Frontier Diversified Series, 2.5% for the Frontier Heritage Series (formerly Winton/Graham Series) and Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), and 3.5% for the Frontier Long/Short Commodity Series Class 1 and Class 2. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) for such Series.

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

Incentive Fees—Some Series pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated by such Series, monthly or quarterly. Because the Balanced Series, Frontier Heritage Series (formerly Winton/Graham Series), Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), and Frontier Long/Short Commodity Series may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee is 25% for the Balanced Series and the Frontier Diversified Series and 20% for the Winton Series, Frontier Heritage Series (formerly Winton/Graham Series), Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), Frontier Long/Short Commodity Series and Frontier Masters Series. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series.

Service Fees—In addition, with respect to Class 1 and Class 1a Units of each Series, as applicable, the Series pays monthly or service fees to the Managing Owner up to 3% annually, which the Managing Owner pays to selling agents of the Trust, with respect to the Series.

43

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

Three Months Ended September 30, 2013	Incentive Fee		Management Fee		Service Fee		Trading Fee
Frontier Diversified Series	$	—	$	333,759	$	225,937	$	475,785
Frontier Masters Series		—		315,200		156,560		252,770
Frontier Long/Short Commodity Series		—		518,079		71,049		146,883
Balanced Series		—		334,849		741,647		261,429
Frontier Select Series (1)		—		140,444		141,965		40,356
Winton Series		—		264,894		211,612		72,271
Frontier Heritage Series (2)		—		74,121		101,377		31,828
Three Months Ended September 30, 2012	Incentive Fee		Management Fee		Service Fee		Trading Fee
Frontier Diversified Series	$	443,895	$	735,492	$	1,456,640	$	366,831
Frontier Masters Series		364,814		342,724		403,573		207,528
Frontier Long/Short Commodity Series		868,971		266,738		585,049		112,879
Balanced Series		601,212		443,728		3,268,561		1,240,331
Frontier Select Series (1)		326,209		60,869		7,136		213,767
Winton Series		259,965		84,533		—		257,849
Frontier Heritage Series (2)		225,076		47,300		—		153,063

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

(2) Formerly the Winton/Graham Series.

Nine Months Ended September 30, 2013	Incentive Fee		Management Fee		Service Fee		Trading Fee
Frontier Diversified Series	$	184,498	$	1,131,997	$	822,240	$	1,726,597
Frontier Masters Series		—		970,110		508,375		834,173
Frontier Long/Short Commodity Series		—		1,747,261		255,223		548,982
Balanced Series		657,063		1,250,878		2,658,114		934,900
Frontier Select Series (1)		—		487,737		452,617		128,680
Winton Series		—		785,269		661,315		223,928
Frontier Heritage Series (2)		—		288,326		337,523		105,156
Nine Months Ended September 30, 2012	Incentive Fee		Management Fee		Service Fee		Trading Fee
Frontier Diversified Series	$	1,445,371	$	2,258,377	$	3,079,256	$	1,131,348
Frontier Masters Series		1,069,958		979,635		488,081		584,434
Frontier Long/Short Commodity Series		2,599,254		778,408		1,059,204		352,904
Balanced Series		1,940,876		1,373,998		6,553,867		3,845,995
Frontier Select Series (1)		956,639		193,716		65,989		686,786
Winton Series		787,335		263,127		—		806,539
Frontier Heritage Series (2)		813,420		151,266		—		491,271

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

(2) Formerly the Winton/Graham Series.

44

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

As of September 30, 2013

	Incentive Fees		Management Fees		Trading Fees		Service Fees
Frontier Diversified Series	$	—	$	101,464	$	149,772	$	54,639
Frontier Masters Series		—		98,876		80,808		39,713
Frontier Long/Short Commodity Series		—		152,047		42,620		17,705
Balanced Series		—		92,310		79,628		202,653
Frontier Select Series (1)		—		45,546		12,681		42,233
Winton Series		—		87,013		23,305		52,149
Frontier Heritage Series (2)		—		24,337		9,847		27,616

As of December 31, 2012

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

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

(2) Formerly the Winton/Graham Series.

With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed therefore by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk and the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. For the nine months ended September 30, 2013, amounts paid or owed to the Managing Owner for the difference in monthly service fees from prepaid initial service fees were ($1,956) for the Balanced Series, $370 for the Frontier Long/Short Commodity Series, ($1,424) for the Frontier Diversified Series, ($137) for the Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), ($434) for the Frontier Heritage Series (formerly Winton/Graham Series), ($692) for the Winton Series and ($2,196) for the Frontier Masters Series.

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

Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), and Frontier Heritage Series (formerly Winton/Graham Series). For the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series, and Balanced Series (Class 1a and Class 2a only), 20% of the total interest allocated to each Series is paid to the Managing Owner. During the three months ended September 30, 2013 and 2012, the Trust paid $1,279,912, and $1,840,120, respectively, of such interest income to the Managing Owner Such expenses are not included in the statements of operations of the Series. During the nine months ended September 30, 2013 and 2012, the Trust paid $4,369,611, and $5,748,014, respectively, of such interest income to the Managing Owner. Such expenses are not included in the statements of operations of the Series. All other interest income is recorded by the respective Series on the statements of operations.

The Managing Owner paid to The Bornhoft Group Corporation, an affiliate of the Trust, a monthly fee of 0.25% (annualized) of the NAV of the Trust, for services in connection with the daily valuation of each Series and Class. The amount paid under this agreement was $77,196 and $465,858 for the three and nine months ended September 30, 2012. As of April 20, 2012, the contract with The Bornhoft Group Corporation was amended to provide for an annual payment of $600,000 for investment and advisor services and 0.1% annually of the trading level with the Balanced Series in lieu of a monthly service fee. The Managing Owner paid $232,150 and $889,524, respectively under this agreement for the three and nine months ended September 30, 2013.

Equinox Financial Group, LLC, an affiliate of the Trust, provides management services for the Managing Owner who paid $115,000 and $795,000, for the three and nine months ended September 30, 2013.

Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $412,265, and $665,478, respectively, for the three months ended September 30, 2013 and 2012 and $1,460,009, and $2,030,547, respectively, for the nine months ended September 30, 2013 and 2012.

During the nine months ended September 30, 2013, the Currency Series was advanced $987,152 from the other Series of the Trust to pay investor redemptions prior to the Currency Series receiving payment from the liquidation of it’s an investment in the unconsolidated trading company.

45

Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $412,265, and $665,478, respectively, for the three months ended September 30, 2013 and 2012 and $1,460,009, and $2,030,547, respectively, for the nine months ended September 30, 2013 and 2012 .

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

7. Financial Highlights

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

	Frontier Diversified Series						Frontier Masters Series						Frontier Long/Short Commodity Series (7)
	Class 1			Class 2			Class 1			Class 2			Class 2			Class 3			Class 1a			Class 2a			Class 3a
Per unit operating performance (1)
Net asset value, June 30, 2013	$	85.55		$	91.85		$	94.74		$	101.71		$	134.46		$	134.49		$	99.90		$	107.14		$	107.15
Net operating results:
Interest income		0.41			0.45			0.43			0.46			0.92			0.92			0.68			0.74			0.73
Expenses		(1.31	)		(0.90	)		(1.76	)		(1.36	)		(2.45	)		(2.45	)		(1.82	)		(1.96	)		(1.94	)
Net gain/(loss) on investments, net of non-controlling interests		(6.52	)		(7.14	)		(5.54	)		(6.06	)		(6.84	)		(6.84	)		(5.16	)		(5.08	)		(5.03	)
Net income/(loss)		(7.42	)		(7.59	)		(6.87	)		(6.96	)		(8.37	)		(8.37	)		(6.30	)		(6.30	)		(6.24	)
Net asset value, September 30, 2013	$	78.13		$	84.26		$	87.87		$	94.75		$	126.09		$	126.12		$	93.60		$	100.84		$	100.91
Ratios to average net assets (3)
Net investment income/(loss)		-4.41	%		-2.10	%		-5.77	%		-3.61	%		-4.68	%		-4.68	%		-4.68	%		-4.68	%		-4.68	%
Expenses before incentive fees (6)		6.45	%		4.14	%		7.62	%		5.46	%		7.48	%		7.48	%		7.48	%		7.48	%		7.48	%
Expenses after incentive fees (6)		6.45	%		4.14	%		7.62	%		5.46	%		7.48	%		7.48	%		7.48	%		7.48	%		7.48	%
Total return before incentive fees (2)		-8.67	%		-8.26	%		-7.25	%		-6.84	%		-6.22	%		-6.22	%		-6.31	%		-5.88	%		-5.82	%
Total return after incentive fees (2)		-8.67	%		-8.26	%		-7.25	%		-6.84	%		-6.22	%		-6.22	%		-6.31	%		-5.88	%		-5.82	%

	Balanced Series												Frontier Select Series (4)
	Class 1			Class 2			Class 2a			Class 3a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, June 30, 2013	$	104.89		$	136.54		$	114.69		$	114.31		$	81.01		$	104.04
Net operating results:
Interest income		0.09			0.12			0.10			0.10			0.26			0.34
Expenses		(1.22	)		(0.58	)		(0.49	)		(0.48	)		(1.30	)		(0.89	)
Net gain/(loss) on investments, net of non-controlling interests		(6.04	)		(7.88	)		(6.19	)		(6.18	)		(3.95	)		(5.10	)
Net income/(loss)		(7.17	)		(8.34	)		(6.58	)		(6.56	)		(4.99	)		(5.65	)
Net asset value, September 30, 2013	$	97.72		$	128.20		$	108.11		$	107.75		$	76.02		$	98.39
Ratios to average net assets (3)
Net investment income/(loss)		-4.47	%		-1.39	%		-1.39	%		-1.39	%		-5.20	%		-2.13	%
Expenses before incentive fees (6)		4.83	%		1.76	%		1.76	%		1.76	%		6.51	%		3.44	%
Expenses after incentive fees (6)		4.83	%		1.76	%		1.76	%		1.76	%		6.51	%		3.44	%
Total return before incentive fees (2)		-6.84	%		-6.11	%		-5.74	%		-5.74	%		-6.16	%		-5.43	%
Total return after incentive fees (2)		-6.84	%		-6.11	%		-5.74	%		-5.74	%		-6.16	%		-5.43	%

	Winton Series						Frontier Heritage Series (5)
	Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, June 30, 2013	$	132.81		$	163.19		$	98.08		$	127.04
Net operating results:
Interest income		0.23			0.29			0.17			0.23
Expenses		(2.18	)		(1.44	)		(1.37	)		(0.81	)
Net gain/(loss) on investments, net of non-controlling interests		(1.24	)		(1.53	)		(1.33	)		(1.74	)
Net income/(loss)		(3.19	)		(2.68	)		(2.53	)		(2.32	)
Net asset value, September 30, 2013	$	129.62		$	160.51		$	95.55		$	124.72
Ratios to average net assets (3)
Net investment income/(loss)		-5.94	%		-2.87	%		-4.92	%		-1.84	%
Expenses before incentive fees (6)		6.65	%		3.58	%		5.63	%		2.56	%
Expenses after incentive fees (6)		6.65	%		3.58	%		5.63	%		2.56	%
Total return before incentive fees (2)		-2.40	%		-1.64	%		-2.58	%		-1.83	%
Total return after incentive fees (2)		-2.40	%		-1.64	%		-2.58	%		-1.83	%

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

(2) Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling transactions. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized.

(3) Annualized with the exception of incentive fees.

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

(5) Formerly the Winton/Graham Series.

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

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

46

	Frontier Diversified Series						Frontier Masters Series						Frontier Long/Short Commodity Series (7)
	Class 1			Class 2			Class 1			Class 2			Class 2			Class 3			Class 1a			Class 2a			Class 3a
Per unit operating performance (1)
Net asset value, December 31, 2012	$	94.40		$	100.48		$	101.11		$	107.61		$	145.65		$	145.69		$	108.58		$	115.45		$	109.60
Net operating results:
Interest income		1.23			1.32			1.35			1.45			2.61			2.61			1.94			2.09			1.92
Expenses		(4.30	)		(3.00	)		(5.32	)		(4.05	)		(7.17	)		(7.19	)		(7.00	)		(5.75	)		(5.29	)
Net gain/(loss) on investments, net of non-controlling interests		(13.20	)		(14.54	)		(9.27	)		(10.26	)		(15.00	)		(14.99	)		(9.92	)		(10.95	)		(5.32	)
Net income/(loss)		(16.27	)		(16.22	)		(13.24	)		(12.86	)		(19.56	)		(19.57	)		(14.98	)		(14.61	)		(8.69	)
Net asset value, September 30, 2013	$	78.13		$	84.26		$	87.87		$	94.75		$	126.09		$	126.12		$	93.60		$	100.84		$	100.91
Ratios to average net assets (3)
Net investment income/(loss)		-4.53	%		-2.28	%		-5.41	%		-3.29	%		-4.36	%		-4.36	%		-6.50	%		-4.36	%		-4.36	%
Expenses before incentive fees (6)		6.17	%		3.93	%		7.25	%		5.13	%		6.86	%		6.86	%		8.99	%		6.86	%		6.86	%
Expenses after incentive fees (6)		6.36	%		4.12	%		7.25	%		5.13	%		6.86	%		6.86	%		8.99	%		6.86	%		6.86	%
Total return before incentive fees (2)		-17.05	%		-15.95	%		-13.09	%		-11.95	%		-13.43	%		-13.43	%		-13.80	%		-12.65	%		-7.93	%
Total return after incentive fees (2)		-17.24	%		-16.14	%		-13.09	%		-11.95	%		-13.43	%		-13.43	%		-13.80	%		-12.65	%		-7.93	%

	Balanced Series												Frontier Select Series (4)
	Class 1			Class 2			Class 2a			Class 3a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2012	$	116.32		$	149.20		$	124.36		$	123.96		$	78.66		$	99.55
Net operating results:
Interest income		0.16			0.21			0.18			0.18			0.87			1.11
Expenses		(4.36	)		(2.44	)		(2.05	)		(2.04	)		(3.97	)		(2.77	)
Net gain/(loss) on investments, net of non-controlling interests		(14.40	)		(18.77	)		(14.38	)		(14.35	)		0.46			0.50
Net income/(loss)		(18.60	)		(21.00	)		(16.25	)		(16.21	)		(2.64	)		(1.16	)
Net asset value, September 30, 2013	$	97.72		$	128.20		$	108.11		$	107.75		$	76.02		$	98.39
Ratios to average net assets (3)
Net investment income/(loss)		-4.96	%		-1.95	%		-1.95	%		-1.95	%		-5.16	%		-2.16	%
Expenses before incentive fees (6)		4.76	%		1.76	%		1.76	%		1.76	%		6.60	%		3.60	%
Expenses after incentive fees (6)		5.15	%		2.15	%		2.15	%		2.15	%		6.60	%		3.60	%
Total return before incentive fees (2)		-15.59	%		-13.68	%		-12.67	%		-12.68	%		-3.36	%		-1.17	%
Total return after incentive fees (2)		-15.99	%		-14.07	%		-13.07	%		-13.08	%		-3.36	%		-1.17	%

		Winton Series						Frontier Heritage Series (5)
		Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2012		$	130.73		$	158.30		$	94.55		$	120.67
Net operating results:
Interest income			0.91			1.12			0.54			0.70
Expenses			(6.41	)		(4.15	)		(4.30	)		(2.68	)
Net gain/(loss) on investments, net of non-controlling interests			4.39			5.24			4.76			6.03
Net income/(loss)			(1.11	)		2.21			1.00			4.05
Net asset value, September 30, 2013		$	129.62		$	160.51		$	95.55		$	124.72
Ratios to average net assets (3)
Net investment income/(loss)			-5.47	%		-2.47	%		-5.08	%		-2.08	%
Expenses before incentive fees (6)			6.38	%		3.38	%		5.81	%		2.81	%
Expenses after incentive fees (6)	��		6.38	%		3.38	%		5.81	%		2.81	%
Total return before incentive fees (2)			-0.85	%		1.40	%		1.06	%		3.36	%
Total return after incentive fees (2)			-0.85	%		1.40	%		1.06	%		3.36	%

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

(2) Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling transactions. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized.

(3) Annualized with the exception of incentive fees.

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

(5) Formerly the Winton/Graham Series.

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

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

47

	Frontier Diversified Series						Frontier Masters Series						Frontier Long/Short Commodity Series (8)
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 3			Class 1a			Class 2a
Per unit operating performance (1)
Net asset value, June 30, 2012	$	97.60		$	102.99		$	102.04		$	107.65		$	128.07		$	154.20		$	154.18		$	115.26		$	121.54
Net operating results:
Interest income		0.42			0.44			0.46			0.49			0.63			0.59			0.79			0.62			0.79
Expenses		(2.66	)		(2.23	)		(2.61	)		(2.16	)		(4.30	)		(3.03	)		(4.05	)		(4.27	)		(4.05	)
Net gain/(loss) on investments, net of non-controlling interests		2.46			2.46			5.03			5.19			11.01			13.52			14.41			11.81			12.36
Net income/(loss)		0.22			0.67			2.88			3.52			7.34			11.08			11.15			8.16			9.10
Net asset value, September 30, 2012	$	97.82		$	103.66		$	104.92		$	111.17		$	135.41		$	165.28		$	165.33		$	123.42		$	130.64
Ratios to average net assets (3)
Net investment income/(loss)		-5.53	%		-3.30	%		-6.15	%		-3.96	%		-41.61	%		-4.46	%		-5.68	%		-9.63	%		-6.98	%
Expenses before incentive fees (6)		6.07	%		3.84	%		7.25	%		5.07	%		50.73	%		5.14	%		6.87	%		10.94	%		8.73	%
Expenses after incentive fees (6)		7.24	%		5.01	%		7.95	%		5.77	%		51.57	%		5.98	%		7.71	%		11.78	%		9.56	%
Total return before incentive fees (2)		1.39	%		1.82	%		3.52	%		15.90	%		6.57	%		8.03	%		8.07	%		7.92	%		8.33	%
Total return after incentive fees (2)		0.23	%		0.65	%		2.82	%		3.27	%		5.73	%		7.19	%		7.23	%		7.08	%		7.49	%

	Balanced Series (7)															Frontier Select Series (4)
	Class 1			Class 1a			Class 2			Class 2a			Class 3a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, June 30, 2012	$	122.65		$	108.13		$	155.01		$	128.99		$	128.54		$	86.29		$	107.04
Net operating results:
Interest income		0.01			0.01			0.02			0.01			0.01			0.21			0.26
Expenses		(3.30	)		(2.90	)		(2.99	)		(2.49	)		(2.48	)		(1.74	)		(1.35	)
Net gain/(loss) on investments, net of non-controlling interests		3.43			7.34			4.26			3.64			3.65			0.54			1.17
Net income/(loss)		0.14			4.45			1.29			1.16			1.18			(0.99	)		0.08
Net asset value, September 30, 2012	$	122.79		$	112.58		$	156.30		$	130.15		$	129.72		$	85.30		$	107.12
Ratios to average net assets (3)
Net investment income/(loss)		-6.26	%		-27.55	%		-3.24	%		-3.24	%		-3.24	%		-7.00	%		-3.98	%
Expenses before incentive fees (6)		4.88	%		26.34	%		1.86	%		1.86	%		6.24	%		7.92	%		4.91	%
Expenses after incentive fees (6)		6.30	%		27.76	%		3.28	%		3.28	%		7.67	%		7.95	%		4.93	%
Total return before incentive fees (2)		1.54	%		5.54	%		2.25	%		2.32	%		2.34	%		-1.13	%		0.10	%
Total return after incentive fees (2)		0.11	%		4.12	%		0.83	%		0.90	%		0.92	%		-1.15	%		0.07	%

	Winton Series						Frontier Heritage Series (5)
	Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, June 30, 2012	$	131.72		$	157.12		$	96.05		$	120.78
Net operating results:
Interest income		0.38			0.46			0.13			0.16
Expenses		(2.03	)		(1.23	)		(1.87	)		(1.39	)
Net gain/(loss) on investments, net of non-controlling interests		1.66			1.93			4.49			5.58
Net income/(loss)		0.01			1.16			2.75			4.35
Net asset value, September 30, 2012	$	131.73		$	158.28		$	98.80		$	125.13
Ratios to average net assets (3)
Net investment income/(loss)		-4.98	%		-1.95	%		-7.19	%		-4.04	%
Expenses before incentive fees (6)		6.13	%		3.10	%		7.72	%		4.57	%
Expenses after incentive fees (6)		6.13	%		3.10	%		7.72	%		4.57	%
Total return before incentive fees (2)		0.01	%		0.74	%		2.86	%		3.60	%
Total return after incentive fees (2)		0.01	%		0.74	%		2.86	%		3.60	%

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

(2) Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling transactions. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized.

(3) Annualized with the exception of incentive fees.

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

(5) Formerly the Winton/Graham Series.

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

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

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

48

	Frontier Diversified Series						Frontier Masters Series						Frontier Long/Short Commodity Series (8)
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 3			Class 1a			Class 2a
Per unit operating performance (1)
Net asset value, December 31, 2011	$	99.40		$	103.96		$	100.25		$	104.83		$	136.13		$	161.97		$	161.96		$	121.71		$	127.23
Net operating results:
Interest income		1.29			1.35			1.46			1.54			2.01			2.06			2.41			1.83			2.15
Expenses		(6.87	)		(5.51	)		(6.40	)		(5.00	)		(10.98	)		(8.71	)		(10.19	)		(9.98	)		(9.09	)
Net gain/(loss) on investments, net of non-controlling interests		4.00			3.85			9.61			9.79			8.24			9.96			11.15			9.86			10.36
Net income/(loss)		(1.58	)		(0.30	)		4.67			6.34			(0.72	)		3.31			3.37			1.71			3.41
Net asset value, September 30, 2012	$	97.82		$	103.66		$	104.92		$	111.17		$	135.41		$	165.28		$	165.33		$	123.42		$	130.64
Ratios to average net assets (3)
Net investment income/(loss)		-6.71	%		-4.53	%		-6.23	%		-4.06	%		-10.80	%		-5.27	%		-5.91	%		-8.41	%		-6.51	%
Expenses before incentive fees (6)		6.02	%		3.85	%		7.29	%		5.13	%		11.99	%		5.45	%		6.38	%		8.90	%		7.25	%
Expenses after incentive fees (6)		8.43	%		6.27	%		8.17	%		6.01	%		13.50	%		6.96	%		7.89	%		10.41	%		8.76	%
Total return before incentive fees (2)		0.82	%		2.12	%		5.54	%		6.93	%		0.98	%		3.56	%		3.59	%		2.92	%		4.19	%
Total return after incentive fees (2)		-1.59	%		-0.29	%		4.66	%		6.05	%		-0.53	%		2.04	%		2.08	%		1.40	%		2.68	%

	Balanced Series (7)															Frontier Select Series (4)						Currency Series
	Class 1			Class 1a			Class 2			Class 2a			Class 3a			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2011	$	124.50		$	108.45		$	155.02		$	128.35		$	128.36		$	91.02		$	111.84		$	70.48		$	87.61
Net operating results:
Interest income		0.11			0.09			0.14			0.11			0.11			0.40			0.50			0.00			0.00
Expenses		(7.93	)		(6.87	)		(6.50	)		(5.37	)		(5.40	)		(5.07	)		(3.84	)		(1.90	)		(0.48	)
Net gain/(loss) on investments, net of non-controlling interests		6.11			10.89			7.63			7.05			6.64			(1.05	)		(1.37	)		(4.44	)		(5.54	)
Net income/(loss)		(1.71	)		4.13			1.28			1.80			1.36			(5.72	)		(4.72	)		(6.34	)		(6.02	)
Net asset value, September 30, 2012	$	122.79		$	112.58		$	156.30		$	130.15		$	129.72		$	85.30		$	107.12		$	64.14		$	81.59
Ratios to average net assets (3)
Net investment income/(loss)		-7.47	%		-9.21	%		-4.53	%		-4.52	%		-4.53	%		-6.78	%		-3.92	%		-3.59	%		-0.72	%
Expenses before incentive fees (6)		4.82	%		6.59	%		1.88	%		1.87	%		1.88	%		7.18	%		4.33	%		3.59	%		0.72	%
Expenses after incentive fees (6)		7.59	%		9.37	%		4.65	%		4.64	%		4.65	%		7.37	%		4.52	%		3.59	%		0.72	%
Total return before incentive fees (2)		1.40	%		6.58	%		3.60	%		4.17	%		3.83	%		-6.10	%		-4.03	%		-9.00	%		-6.87	%
Total return after incentive fees (2)		-1.37	%		3.81	%		0.83	%		1.40	%		1.06	%		-6.28	%		-4.22	%		-9.00	%		-6.87	%

	Winton Series						Frontier Heritage Series (5)
	Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2011	$	141.13		$	165.82		$	104.73		$	129.70
Net operating results:
Interest income		1.12			1.33			0.33			0.41
Expenses		(6.13	)		(3.63	)		(6.00	)		(4.61	)
Net gain/(loss) on investments, net of non-controlling interests		(4.40	)		(5.25	)		(0.26	)		(0.37	)
Net income/(loss)		(9.40	)		(7.54	)		(5.93	)		(4.57	)
Net asset value, September 30, 2012	$	131.73		$	158.28		$	98.80		$	125.13
Ratios to average net assets (3)
Net investment income/(loss)		-4.72	%		-1.84	%		-7.22	%		-4.32	%
Expenses before incentive fees (6)		5.78	%		2.91	%		7.63	%		4.74	%
Expenses after incentive fees (6)		5.78	%		2.91	%		7.63	%		4.74	%
Total return before incentive fees (2)		-6.66	%		-4.55	%		-5.66	%		-3.52	%
Total return after incentive fees (2)		-6.66	%		-4.55	%		-5.66	%		-3.52	%

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

(2) Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling transactions. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized.

(3) Annualized with the exception of incentive fees.

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

(5) Formerly the Winton/Graham Series.

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

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

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

49

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

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

For The Three Months Ended September 30, 2013

Monthly average contracts:	Bought		Sold
Frontier Long/Short Commodity Series		2,500		2,879
Balanced Series		3,338		3,090

For The Nine Months Ended September 30, 2013

Monthly average contracts:	Bought		Sold
Frontier Long/Short Commodity Series		9,663		10,026
Balanced Series		19,280		19,916
Diversified Series		8		29

For The Three Months Ended September 30, 2012

Monthly average contracts:	Bought		Sold
Frontier Long/Short Commodity Series		3,308		3,232
Balanced Series		16,100		15,192
Frontier Masters Series		728		692

For The Nine Months Ended September 30, 2012

Monthly average contracts:	Bought		Sold
Frontier Long/Short Commodity Series		12,808		14,032
Balanced Series		35,400		37,492
Diversified Series		1,628		1,392

50

The following tables summarize the trading revenues for the nine and three months ended September 30, 2013 and 2012 by contract type:

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended September 30, 2013

	Frontier Long/Short
Type of contract	Commodity Series			Balanced Series			Diversified Series
Metals	$	(578,871	)	$	(510,734	)	$	—
Currencies		(107,754	)		(763,525	)		—
Energies		(4,807,731	)		143,757			—
Agriculturals		(235,520	)		(602,859	)		—
Interest rates		(933,919	)		2,847,561			—
Stock indices		538,242			69,417			—
Realized trading income/(loss)(2)	$	(6,125,553	)	$	1,183,617		$	—
Realized Trading Revenue from Futures, Forwards and Options for the Nine Months Ended September, 2013
	Frontier Long/Short
Type of contract	Commodity Series			Balanced Series			Diversified Series
Metals	$	(1,422,087	)	$	3,773,562		$	(630,122	)
Currencies		611,059			(3,026,628	)		1,300,655
Energies		(7,454,776	)		(4,634,133	)		(3,465	)
Agriculturals		(756,506	)		(4,192,086	)		8,936
Interest rates		745,377			(7,701,383	)		(88,186	)
Stock indices		2,020,392			14,089,121			146,263
Realized trading income/(loss)(2)	$	(6,256,541	)	$	(1,691,547	)	$	734,081

51

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

for the Three Months Ended September 30, 2013

	Frontier Long/Short
Type of contract	Commodity Series			Balanced Series			Diversified Series
Metals	$	11,852		$	(782,565	)	$	—
Currencies		(79,163	)		47,821			—
Energies		3,968,251			(249,184	)		—
Agriculturals		(485,107	)		(314,017	)		—
Interest rates		193,720			660,515			—
Stock indices		(166,426	)		(819,898	)		—
Change in unrealized trading income/(loss)(3)	$	3,443,127		$	(1,457,328	)	$	—
Net Change in Open Trade Equity from Futures, Forwards and Options for the Nine Months Ended September 30, 2013
	Frontier Long/Short
Type of contract	Commodity Series			Balanced Series			Diversified Series
Metals	$	267,939		$	3,276,949		$	608,392
Currencies		(290,944	)		(2,720,964	)		(1,191,389	)
Energies		2,247,845			(1,905,647	)		2,210
Agriculturals		(77,320	)		192,134			(21,226	)
Interest rates		(1,557,340	)		315,767			79,060
Stock indices		(537,723	)		584,436			(43,824	)
Change in unrealized trading income/(loss)(3)	$	52,457		$	(257,325	)	$	(566,777	)

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

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

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

52

Realized Trading Revenue from Futures, Forwards and Options

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

	Frontier Long/Short			Frontier Masters
Type of contract	Commodity Series			Series			Balanced Series
Metals	$	1,035,617		$	(83,958	)	$	(999,514	)
Currencies		(223,060	)		644,753			7,244,212
Energies		(36,916,109	)		(1,030,886	)		(2,887,295	)
Agriculturals		(1,784,729	)		(160,749	)		(153,297	)
Interest rates		(463,226	)		479,790			12,318,263
Stock indices		1,066,555			777,791			3,920,788
Realized trading income/(loss)(2)	$	(37,284,952	)	$	626,741		$	19,443,157
Realized Trading Revenue from Futures, Forwards and Options for the Nine Months Ended September 30, 2012(1)
	Frontier Long/Short			Frontier Masters
Type of contract	Commodity Series			Series			Balanced Series
Metals	$	(19,358,229	)	$	732,055		$	(568,809	)
Currencies		(8,956,393	)		497,081			3,992,511
Energies		(6,913,808	)		(849,482	)		(7,560,401	)
Agriculturals		(5,969,527	)		528,378			(1,371,522	)
Interest rates		(10,717,684	)		3,815,021			38,223,501
Stock indices		16,493,073			(658,159	)		1,032,951
Realized trading income/(loss)(2)	$	(35,422,568	)	$	4,064,894		$	33,748,231

53

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

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

	Frontier Long/Short			Frontier Masters
Type of contract	Commodity Series			Series			Balanced Series
Metals	$	977,265		$	198,371		$	(1,564,940	)
Currencies		(49,765	)		(57,024	)		(2,430,043	)
Energies		33,718,036			(105,715	)		192,441
Agriculturals		6,164,516			(8,816	)		(994,834	)
Interest rates		(367,133	)		210,079			4,121,352
Stock indices		(999,355	)		(395,190	)		(2,197,371	)
Change in unrealized trading income/(loss)(3)	$	39,443,564		$	(158,295	)	$	(2,873,395	)
Net Change in Open Trade Equity from Futures, Forwards and Options for the Nine Months Ended September 30, 2012(1)
	Frontier Long/Short			Frontier Masters
Type of contract	Commodity Series			Series			Balanced Series
Metals	$	6,203,747		$	230,263		$	(331,441	)
Currencies		17,798,560			(129,384	)		(342,917	)
Energies		2,952,524			(707,102	)		(1,032,360	)
Agriculturals		10,232,405			(231,283	)		(2,648,196	)
Interest rates		(4,147,506	)		125,432			5,620,385
Stock indices		129,696			(294,603	)		(1,602,508	)
Change in unrealized trading income/(loss)(3)	$	33,169,426		$	(1,006,677	)	$	(337,037	)

(1) The Frontier Diversified Series, Tiverton/Graham/Transtrend Series (formerly known as Berkeley/Graham/Tiverton Series), Winton/Graham Series and Winton Series participate in trading activities through equity in earnings/(loss) from trading companies. The Frontier Long/Short Commodity Series consolidated Frontier Trading Company XVIII as of May 15, 2012 and the Balanced Series consolidated the Frontier Trading Company XVIII prior to May 15, 2012. The Balanced Series consolidated Frontier Trading Company XIV, LLC as of June 20, 2011, Frontier Trading Company VI, LLC as of April 18, 2011 and Frontier Trading Company XXIII, LLLC as of July 7, 2012.

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

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

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

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

54

Offsetting of Derivative Assets and Liabilities

As of September 30, 2013

	Gross Amounts of recognized Derivative Assets		Gross Amounts of recognized Derivative Liabilities			Net Amounts of Derivative Assets and Liabilities Presented in the Statements of Financial Condition
Frontier Long/Short Commodity Series
Open Trade Equity/(Deficit)	$	324,075	$	(524,366	)	$	(200,291	)
Options Written		—		(29,302	)		(29,302	)
Receivable from Futures Commissions Merchants		11,641,316		(4,719,275	)		6,922,041
Balanced Series
Open Trade Equity/(Deficit)	$	954,671	$	(1,152,345	)	$	(197,674	)
Options Written		—		(467,791	)		(467,791	)
Receivable from Futures Commissions Merchants		26,647,861		(5,699,593	)		20,948,268
As of December 31, 2012
	Gross Amounts of recognized Derivative Assets		Gross Amounts of recognized Derivative Liabilities			Net Amounts of Derivative Assets and Liabilities Presented in the Statements of Financial Condition
Frontier Long/Short Commodity Series
Open Trade Equity/(Deficit)	$	3,314,175	$	(4,133,710	)	$	(819,535	)
Options Written		—		(928,690	)		(928,690	)
Receivable from Futures Commissions Merchants		22,276,098		(7,505,125	)		14,770,973
Balanced Series
Open Trade Equity/(Deficit)	$	4,215,436	$	(4,887,947	)	$	(672,511	)
Options Written		—		(165,363	)		(165,363	)
Receivable from Futures Commissions Merchants		98,277,094		(6,233,501	)		92,043,593

Trading Activities and Related Risks

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

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

55

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

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

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

10. Indemnifications and Guarantees

The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence or bad faith. The Trust has had no prior claims or payments pursuant to these agreements. The Trust’s individual maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. However, based on experience the Trust expects the risk of loss to be remote. Maximum exposure is unfulfilled obligations of the Series up to the amount of equity at risk with UBS of the referenced Series as allocated from the Trading Company. The Series have not recorded any liability for the guarantees in the accompanying financial statements as it expects any possibility of losses to be remote.

The Trust has guaranteed the obligations of the Trading Companies under the customer agreements with UBS Securities as Clearing Broker. In the event that one Series of the Trust is unable to meet its obligations to UBS Securities, the assets of the other Series will be available to UBS Securities as part of the guarantee, but only to the extent of such Series’ pro rata allocation to the Trading Company. The Series have not recorded any liability for the indemnifications in the accompanying financial statement, as it expects any possibility of losses to be remote.

11. Subsequent Events

None.

56

The Frontier Fund

Consolidated Statements of Financial Condition

September 30, 2013 and December 31, 2012

	9/30/2013		12/31/2012
	(unaudited)
ASSETS
Cash and cash equivalents	$	6,977,345	$	17,094,782
U.S. Treasury securities, at fair value		—		18,001,322
Custom time deposits		235,460,358		311,468,033
Receivable from futures commission merchants		66,740,407		148,029,229
Open trade equity, at fair value		6,943,192		12,116,649
Swap contracts, at fair value		17,152,321		22,289,479
Prepaid service fees		38,307		140,203
Interest receivable		985		251,630
Receivables from related parties		3,420		—
Other assets		50		35,043
Total Assets	$	333,316,385	$	529,426,370
LIABILITIES & CAPITAL
LIABILITIES
Open trade deficit, at fair value	$	—	$	—
Written options, at fair value		1,586,908		4,199,198
Pending owner additions		95,106		160,672
Owner redemptions payable		1,533,440		1,430,638
Incentive fees payable to Managing Owner		—		732,119
Management fees payable to Managing Owner		601,625		1,003,663
Interest payable to Managing Owner		393,822		569,115
Trading fees payable to Managing Owner		398,688		602,333
Service fees payable to Managing Owner		436,778		652,500
Payables to related parties		10,884		38,925
Other liabilities		1,414		51,484
Total Liabilities		5,058,665		9,440,647
CAPITAL
Managing Owner Units		4,915,327		6,287,766
Limited Owner Units		323,342,393		513,697,957
Total Capital		328,257,720		519,985,723
Total Liabilities and Capital	$	333,316,385	$	529,426,370

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

57

The Frontier Fund

Consolidated Condensed Schedule of Investments

September 30, 2013 (Unaudited)

Description	Value			% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various base metals futures contracts (Europe)	$	6,997,426			2.13	%
Various base metals futures contracts (U.S.)		2,792			0.00	%
Various currency futures contracts (U.S.)		1,773,185			0.54	%
Various energy futures contracts (U.S.)		(1,119,566	)		-0.34	%
Various energy futures contracts (Europe)		19,780			0.01	%
Various energy futures contracts (Far East)		(2,800	)		0.00	%
Various interest rates futures contracts (Canada)		80,532			0.02	%
Various interest rates futures contracts (Europe)		1,027,305			0.31	%
Various interest rates futures contracts (Far East)		555,465			0.17	%
Various interest rates futures contracts (Oceanic)		110,699			0.03	%
Various interest rates futures contracts (U.S.)		999,496			0.30	%
Various precious metal futures contracts (Far East)		(4,376	)		0.00	%
Various precious metal futures contracts (U.S.)		(67,985	)		-0.02	%
Various soft futures contracts (Europe)		45,212			0.01	%
Various soft futures contracts (U.S.)		(446,825	)		-0.14	%
Various stock index futures contracts (Africa)		11,856			0.00	%
Various stock index futures contracts (Canada)		(16,543	)		-0.01	%
Various stock index futures contracts (Europe)		(650,446	)		-0.20	%
Various stock index futures contracts (Far East)		(166,418	)		-0.05	%
Various stock index futures contracts (Oceanic)		(50,568	)		-0.02	%
Various stock index futures contracts (U.S.)		(865,840	)		-0.26	%
Total Long Futures Contracts	$	8,232,381			2.48	%
OPTIONS PURCHASED *
Various base metals futures contracts (Europe)	$	1,954,644			0.60	%
Various energy futures contracts (U.S.)		3,680			0.00	%
Various interest rates futures contracts (U.S.)		30,188			0.01	%
Various precious metal futures contracts (U.S.)		158,760			0.05	%
Various soft futures contracts (U.S.)		385,991			0.12	%
Various stock index futures contracts (U.S.)		607,233			0.19	%
Total Options Purchased	$	3,140,496			0.97	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (Europe)	$	(5,397,548	)		-1.64	%
Various base metals futures contracts (U.S.)		(2,179	)		0.00	%
Various currency futures contracts (Far East)		11,513			0.00	%
Various currency futures contracts (U.S.)		(849,817	)		-0.26	%
Various energy futures contracts (Europe)		(32,829	)		-0.01	%
Various energy futures contracts (U.S.)		1,128,135			0.34	%
Various interest rates futures contracts (Canada)		(118,726	)		-0.04	%
Various interest rates futures contracts (Europe)		(630,632	)		-0.19	%
Various interest rates futures contracts (Far East)		(143,487	)		-0.04	%
Various interest rates futures contracts (Oceanic)		(69,238	)		-0.02	%
Various interest rates futures contracts (U.S.)		(811,364	)		-0.25	%
Various precious metal futures contracts (U.S.)		208,919			0.06	%
Various soft futures contracts (Canada)		2,045			0.00	%
Various soft futures contracts (Europe)		100,762			0.03	%
Various soft futures contracts (U.S.)		1,386,530			0.42	%
Various stock index futures contracts (Europe)		1,068			0.00	%
Various stock index futures contracts (Far East)		39,169			0.01	%
Various stock index futures contracts (U.S.)		(36,084	)		-0.01	%
Total Short Futures Contracts	$	(5,213,763	)		-1.60	%
CURRENCY FORWARDS *
Various currency forward contracts	$	784,078			0.24	%
Total Currency Forwards	$	784,078			0.24	%
Total Open Trade Equity	$	6,943,192			2.09	%
OPTIONS WRITTEN *
Various base metals futures contracts (Europe)	$	(606,485	)		-0.18	%
Various currency futures contracts (U.S.)		(247,325	)		-0.08	%
Various precious metal futures contracts (U.S.)		(215,530	)		-0.07	%
Various soft futures contracts (U.S.)		(49,615	)		-0.02	%
Various stock index futures contracts (U.S.)		(467,953	)		-0.14	%
Total Options Written	$	(1,586,908	)		-0.49	%
SWAPS (1)
Frontier XXXIV Balanced select swap (U.S.)	$	7,412,815			2.26	%
Frontier Brevan Howard swap (U.S.)		4,506,351			1.37	%
Frontier XXXV Diversified select swap (U.S.)		2,413,658			0.74	%
Frontier XXXVII L/S select swap (U.S.)		2,819,497			0.86	%
Total Swaps	$	17,152,321			5.23	%

(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 Condensed Schedule of Investments

December 31, 2012

Description	Value			% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various stock index futures contracts (U.S.)	$	(708,671	)		-0.14	%
Various stock index futures contracts (Oceanic)		190,826			0.04	%
Various stock index futures contracts (Mexico)		1,548			0.00	%
Various stock index futures contracts (Far East)		3,549,518			0.68	%
Various stock index futures contracts (Europe)		(1,746,507	)		-0.34	%
Various stock index futures contracts (Canada)		272,823			0.05	%
Various stock index futures contracts (Africa)		97,909			0.02	%
Various soft futures contracts (U.S.)		(2,211,954	)		-0.43	%
Various soft futures contracts (Europe)		(145,288	)		-0.03	%
Various soft futures contracts (Canada)		(335	)		0.00	%
Various precious metal futures contracts (U.S.)		(756,478	)		-0.15	%
Various interest rates futures contracts (U.S.)		(609,966	)		-0.12	%
Various interest rates futures contracts (Oceanic)		298,169			0.06	%
Various interest rates futures contracts (Far East)		(428,542	)		-0.08	%
Various interest rates futures contracts (Europe)		2,592,153			0.50	%
Various interest rates futures contracts (Canada)		(120,227	)		-0.02	%
Various energy futures contracts (U.S.)		13,149,004			2.53	%
Various energy futures contracts (Far East)		462			0.00	%
Various currency futures contracts (U.S.)		(2,156,861	)		-0.41	%
Various base metals futures contracts (U.S.)		(9,439	)		0.00	%
Various base metals futures contracts (Europe)		3,463,404			0.67	%
Total Long Futures Contracts	$	14,721,548			2.83	%
OPTIONS PURCHASED *
Various stock index futures contracts (U.S.)	$	439,170			0.08	%
Various soft futures contracts (U.S.)		1,320,884			0.25	%
Various precious metals futures contracts (U.S.)		711,000			0.14	%
Various energy futures contracts (U.S.)		6,285,280			1.21	%
Various currency futures contracts (U.S.)		2,901,488			0.56	%
Various base metals futures contracts (Europe)		2,277,291			0.44	%
Total Options Purchased	$	13,935,113			2.68	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	(76,900	)		-0.01	%
Various base metals futures contracts (Europe)		(7,712,906	)		-1.48	%
Various currency futures contracts (U.S.)		3,852,251			0.74	%
Various currency futures contracts (Canada)		—			0.00	%
Various currencey futures contracts (Far East)		684			0.00	%
Various stock index futures contracts (U.S.)		(373,552	)		-0.07	%
Various stock index futures contracts (Europe)		86,644			0.02	%
Various stock index futures contracts (Far East)		(630,695	)		-0.12	%
Various stock index futures contracts (Canada)		(6,159	)		0.00	%
Various soft futures contracts (U.S.)		2,445,673			0.47	%
Various soft futures contracts (Europe)		122,990			0.02	%
Various interest rates futures contracts (U.S.)		(385,887	)		-0.07	%
Various interest rates futures contracts (Oceanic)		(17,218	)		0.00	%
Various interest rates futures contracts (Far East)		197,000			0.04	%
Various interest rates futures contracts (Europe)		(1,273	)		0.00	%
Various interest rates futures contracts (Canada)		81,091			0.02	%
Various precious metal futures contracts (U.S.)		476,388			0.09	%
Various energy futures contracts (U.S.)		(15,297,097	)		-2.94	%
Various energy futures contracts (Europe)		7,109			0.00	%
Total Short Futures Contracts	$	(17,231,857	)		-3.29	%
CURRENCY FORWARDS *
Various currency futures contracts	$	691,845			0.13	%
Total Currency Forwards	$	691,845			0.13	%
Total Open Trade Equity	$	12,116,649			2.35	%
OPTIONS WRITTEN *
Various stock index futures contracts (U.S.)	$	(165,363	)		-0.03	%
Various soft futures contracts (U.S.)		(447,693	)		-0.09	%
Various precious metal futures contracts (U.S.)		(540,330	)		-0.10	%
Various currency futures contracts (U.S.)		(1,340,750	)		-0.26	%
Various base metals futures contracts(Europe)		(261,172	)		-0.05	%
Various energy futures contracts (U.S.)		(1,443,890	)		-0.28	%
Total Options Written	$	(4,199,198	)		-0.81	%
SWAPS (1)
Frontier Balanced RCW-1 Swap(U.S.)	$	17,785,733			3.42	%
Frontier Balanced DB Swap(U.S.)		2,702,247			0.52	%
Frontier Currency DB Swap(U.S.)		1,801,498			0.35	%
Total Swaps	$	22,289,478			4.29	%
U.S. TREASURY SECURITIES

FACE VALUE		Fair Value		Fair Value
$36,700,000	U.S. Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039)		18,001,322		3.46	%
	Total U.S. Treasury Securities		18,001,322		3.46	%

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

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

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

59

The Frontier Fund

Consolidated Statements of Operations

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

	9/30/2013			9/30/2012
Investment income:
Interest - net	$	1,140,637		$	1,377,089
Total Income		1,140,637			1,377,089
Expenses:
Incentive Fees		—			5,789,666
Management Fees		1,981,543			3,191,672
Service Fees - Class 1		1,650,323			2,540,950
Trading Fees		1,281,476			1,987,736
Total Expenses		4,913,342			13,510,024
Investment income/(loss) - net		(3,772,705	)		(12,132,935	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(18,537,056	)		(14,031,019	)
Net change in open trade equity/(deficit)		2,716,062			36,395,403
Net realized gain/(loss) on swap contracts		(1,646,391	)		—
Net unrealized gain/(loss) on swap contracts		(2,600,517	)		259,527
Net realized gain/(loss) on U.S. Treasury securities		—			—
Net unrealized gain/(loss) on U.S. Treasury securities		—			(173,695	)
Trading commissions		(1,106,569	)		(1,914,850	)
Net gain/(loss) on investments		(21,174,471	)		20,535,366
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	(24,947,176	)	$	8,402,431

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

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The Frontier Fund

Consolidated Statements of Operations

For the Nine Months Ended September 30, 2013 and September 30, 2012 (Unaudited)

	9/30/2013			9/30/2012
Investment income:
Interest - net	$	3,703,455		$	4,334,714
Total Income		3,703,455			4,334,714
Expenses:
Incentive Fees		889,025			11,463,249
Management Fees		6,708,693			9,758,788
Service Fees - Class 1		5,718,063			7,980,617
Trading Fees		4,533,240			6,019,122
Total Expenses		17,849,021			35,221,776
Investment income/(loss) - net		(14,145,566	)		(30,887,062	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(31,209,297	)		5,493,499
Net change in open trade equity/(deficit)		1,579,799			25,316,847
Net realized gain/(loss) on swap contracts		(3,555,134	)		(525,237	)
Net unrealized gain/(loss) on swap contracts		(2,763,657	)		1,538,438
Net realized gain/(loss) on U.S. Treasury securities		1,078,008			854,738
Net unrealized gain/(loss) on U.S. Treasury securities		(1,157,776	)		(1,832,445	)
Trading commissions		(4,004,456	)		(6,051,637	)
Net realized gain/(loss) on investment in Berkeley Quantitative Colorado Fund LLC		—			(2,172,987	)
Net unrealized gain/(loss) on investment in Berkeley Quantitative Colorado Fund LLC		—			2,084,880
Net gain/(loss) on investments		(40,032,513	)		24,706,096
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	(54,178,079	)	$	(6,180,966	)

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

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The Frontier Fund

Consolidated Statement of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2013 (Unaudited)

	Managing Owner			Limited Owners			Total
Owners’ Capital, December 31, 2012	$	6,287,766		$	513,697,957		$	519,985,723
Sale of Units		61,988			8,782,285			8,844,273
Redemption of Units		(561,990	)		(145,832,207	)		(146,394,197	)
Net increase/(decrease) in Owners’ Capital resulting from operations		(872,437	)		(53,305,642	)		(54,178,079	)
Owners’ Capital, September 30, 2013	$	4,915,327		$	323,342,393		$	328,257,720

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

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

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The Frontier Fund

Consolidated Statements of Cash Flows

For the Nine Months Ended September 30, 2013 and 2012

(Unaudited)

	2013			2012
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(54,178,079	)	$	(6,180,966	)
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		5,173,457			(25,416,521	)
Net change in options written		(2,612,290	)		1,285,103
Net change in allocation of total return swaps		3,501
Net unrealized gain/(loss) on swap contracts		2,763,657			(1,538,438	)
Net realized gain/(loss) on swap contracts		3,555,134			525,237
Net unrealized gain/(loss) on U.S. Treasury securities		1,157,776			1,832,445
Net realized gain/(loss) on U.S. Treasuries securities		(1,078,008	)		(854,738	)
Net realized gain/(loss) on investment in Berkeley Colorado Quantitative Fund LLC		—			2,172,987
Net unrealized gain/loss on investment in Berkeley Colorado Quantitative Fund LLC		—			(2,084,880	)
(Purchases) sales of:
Sales of swap contracts		20,694,866			9,812
(Purchases) of swap contracts		(21,880,000	)		—
Sales of U.S. Treasury securities		17,921,554			37,864,769
Sales of custom time deposits		76,007,675			25,000,000
Interest rollover of custom time deposits		—			(2,897,700	)
Sales of Berkeley Colorado Quantitative Fund LLC		—			6,182,737
Increase and/or decrease in:
Receivable from futures commission merchants		81,288,822			8,116,123
Control of ownership of trading companies		—			—
Contributions to trading companies		—			—
Distributions from trading companies		—			—
Prepaid service fees		101,896			141,468
Interest receivable		250,645			901,235
Receivable from related parties		(3,420	)		—
Other assets		34,993			(230,951	)
Incentive fees payable to Managing Owner		(732,119	)		3,953,375
Management fees payable to Managing Owner		(402,038	)		(113,885	)
Interest payable to Managing Owner		(175,293	)		(117,504	)
Trading fees payable to Managing Owner		(203,645	)		(129,642	)
Service fees payable to Managing Owner		(215,722	)		(41,149	)
Payables to related parties		(28,041	)		42,580
Other liabilities		(50,070	)		217,665
Net cash provided by (used in) operating activities		127,395,251			48,639,162
Cash Flows from Financing Activities:
Proceeds from sale of capital		8,844,273			39,291,798
Payment for redemption of capital		(146,394,197	)		(97,178,756	)
Pending owner additions		(65,566	)		521,765
Redemptions payable		102,802			(2,346,525	)
Net cash provided by (used in) financing activities		(137,512,688	)		(59,711,718	)
Net increase (decrease) in cash and cash equivalents		(10,117,437	)		(11,072,556	)
Cash and cash equivalents, beginning of period		17,094,782			27,452,803
Cash and cash equivalents, end of period	$	6,977,345		$	16,380,247

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

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The Frontier Fund

Notes to Consolidated Financial Statements (Unaudited)

1. Organization and Purpose

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

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

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

The Trust has seven (7) separate and distinct Series of Units issued and outstanding: Frontier Diversified Series, Frontier Masters Series, Frontier Long/Short Commodity Series, Balanced Series, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), Winton Series, and Frontier Heritage Series (formerly Winton/Graham Series) (each a “Series” and collectively, the “Series”). The Currency Series ceased trading on April 18, 2013 and the TBG Institutional Series ceased trading on May 23, 2013. The Trust financial statements are comprised of unitized Series which are consolidated into the Trust financial statements. However, the consolidated Trust does not issue units.

The Trust, with respect to each Series:

• engages in the speculative trading of a diversified portfolio of futures, forward (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts), and may, from time to time, engage in cash and spot transactions;

• allocates funds to a limited liability trading company or companies (“Trading Company”). Except as otherwise described in these notes, each Trading Company has one-year renewable contracts with its own independent commodity trading advisor(s), or each, a Trading Advisor, that will manage all or a portion of such Trading Company’s assets and make the trading decisions for the assets of each Series vested in such Trading Company. Each Trading Company will segregate its assets from any other Trading Company;

• maintains separate, distinct records for each Series, and accounts for the assets of each Series separately from the other Series;

• calculates the Net Asset Value (“NAV”) of its Units for each Series separately from the other Series;

• has an investment objective of increasing the value of each Series’ Units over the long term (capital appreciation), while controlling risk and volatility; further, to offer exposure to the investment programs of individual Trading Advisors and to specific instruments (currencies);

• maintains each Series of Units in three or six sub-classes—Class 1, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of any Series are charged a service fee of up to three percent (3.0%) annually of the NAV of each Unit purchased, for the benefit of Selling Agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to Equinox Fund Management, LLC (the “Managing Owner”) by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 or Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the NAV at

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

• all payments made to Selling Agents who are members of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and their associated persons that constitute underwriting compensation will be subject to the limitations set forth in Rule 2310(b)(4)(B)(ii) (formerly Rule 2810(b)(4)(B)(ii)) of the Conduct Rules of FINRA (“Rule 2310”). An investor’s Class 1 Units or Class 2 Units of any Series, or Class 1a Units or Class 2a Units of the Frontier Long/Short Commodity Series or Balanced Series will be classified as Class 3 or Class 3a Units of such Series, as applicable, when the Managing Owner determines that the fee limitation set forth in Rule 2310 with respect to such Units has been reached or will be reached. No service fees are paid with respect to Class 3 or Class 3a Units. Units of any Class in a Series may be redeemed, in whole or in part, on a daily basis, at the then current NAV per Unit for such Series on the day of the week after the date the Managing Owner is in receipt of a redemption request for at least one (1) Business Day to be received by the Managing Owner prior to 4:00 PM in New York.

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

As of September 30, 2013, the Trust, with respect to the Frontier Diversified Series, Frontier Masters Series, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), Winton Series and Frontier Heritage Series (formerly Winton/Graham Series) separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Balanced Series and the Frontier Long/Short Commodity Series separates Units into six separate Classes—Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a. It is expected that between 10% and 30% of each Series’ assets normally will be invested in one or more Trading Companies to be committed as margin for trading positions, but from time to time these percentages may be substantially more or less. The remainders of each Series’ assets are maintained at the Trust level for cash management. Each of the respective Series has invested monies into pooled cash management assets which have included purchases of certificates of deposit and custom time deposits. Each Series’ ownership in these investments is based on its percentage ownership in the pooled cash management assets on the reporting date.

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

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

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

The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, currency trading companies, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence or bad faith.

2. Significant Accounting Policies

The following are the significant accounting policies of the Trust.

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

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

Consolidation—Each Series of the Trust invests in Trading Companies who authorize certain Trading Advisors to place trades and manage assets at pre-determined investment levels. The Trading Companies were organized by the Managing Owner for the purpose of investing in commodities interests and derivative instruments, and have no operating income or expenses, except for trading income and expenses, all of which is allocated to the Series. The Trading Companies and Series of the Trust are consolidated by the Trust.

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

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

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

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

U.S. Treasury Securities—U.S. Treasury Securities are reported at fair value as Level 1 inputs under ASC 820,Fair Value Measurements and Disclosures (“ASC 820”). The Trust values U.S. Treasury Securities at fair value and records the daily change in value in the consolidated statements of operations as net unrealized gain/(loss) on U.S. Treasury securities. Accrued interest is reported on the consolidated statements of financial condition as interest receivable. All U.S. Treasury Securities have been liquidated as of September 30, 2013.

Custom Time Deposits—Custom time deposits are structured deposit agreements with U.S. Bank National Association that earn a guaranteed fixed interest rate between 3.75%, mature nine months from the deposit date and are subject to automatic six-month rollovers through October 2013. Custom time deposits were purchased on April 1, 2010, September 15, 2009, October 21, 2008 and October 30, 2008. Interest is paid monthly or at least every nine months. Unscheduled withdrawals will be subject to certain penalties and other costs of up to 1.0% of the amount deposited if withdrawn within the first nine months from the deposit date. The withdrawal fee is set at 0.225% for the period from nine months to one year subsequent to the deposit date and decreases by .05% increments for each year thereafter through the maturity date. In May 2011, July 2011, August 2011, January 2012, October 2012, November 2012, April 2013, June 2013, July 2013 and August 2013, the Trust, with respect to the Series, redeemed approximately $25 million, $25 million, $50 million, $25 million, $16 million, $5 million, $35 million, $20 million and $15 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 $100 million of the 3.75% tranche. Custom time deposits are allocated to each Series based on their percentage ownership in the pooled cash management assets as of the reporting date. The Trust values the custom time deposits at face value plus accrued interest as it is considered a deposit account under paragraph 7.50 of 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 were allocated to each Series based on their percentage ownership in the pooled cash management assets as of the reporting date. Credit Default Swaps were reported at fair value based upon counterparty value per the valuation policy. The Series of the Trust recorded the daily change in fair value in the statements of operations as net unrealized gain/(loss) on swap contracts. All Credit Default Swaps expired during March 2012.

Receivable From Futures Commission Merchants—The Trust deposits assets with a FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust earns interest income on its assets deposited with the FCM.

Investment Transactions—Futures, options on futures, forward and swap contracts are recorded on a trade date basis and realized gains or losses are recognized when contracts are settled. Unrealized gains or losses on open contracts (the difference between contract trade price and market price) are reported in the consolidated statements of financial condition as a net unrealized gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with FASB ASC 210,Balance Sheet (“ASC 210”).

Any change in net unrealized gain or loss from the preceding period is reported in the consolidated statements of operations. Fair value of exchange-traded contracts is based upon exchange settlement prices. Fair value of non-exchange-traded contracts is based on third party quoted dealer values on the interbank market. For U.S. Treasury securities, interest was recognized in the period earned and the instruments were marked-to-market daily based on third party information. Custom time deposits are valued at face value plus accrued interest and the interest income is recognized in the period earned. Transaction costs are recognized as incurred and reflected separately in the consolidated statements of operations.

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

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

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

Investments and Swaps—The Trust records investment transactions on a trade date basis and all investments are recorded at fair value, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the statements of operations. The Trust strategically invests a portion or all of its assets in total return Swaps, selected at the discretion of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more underlying investment products or indices. In a typical Swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investment or instrument. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. The valuation of swap contracts requires significant estimates. Swap contracts are reported utilizing Level 3 Inputs. The significant unobservable inputs used in the fair value measurement of the Trust’s Swap contracts are asset liquidity, debt valuation, credit risk, volatility, market risk, distributions, dividends, risk premiums, and other risk management tools. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. Swap Contracts are reported at fair value based upon a weekly indicative value that is calculated by management using bid/ask prices from the counterparty. This fair value is corroborated by valuations provided by a third party pricing service. The third party pricing service utilizes a Black Scholes pricing model with input adjustments factoring in volatility and liquidity of the instruments. All valuation processes are monitored by the valuation committee of the Managing Owner. Please refer to Note 3Fair Value Measurements.

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, 2012, 2011 and 2010. The 2009 through 2012 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

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

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

Service Fees—The Trust may maintain 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

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

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

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

Recently Issued Accounting Pronouncements—In June of 2013, FASB issued ASU 2013-08 to (i) modify Topic 946 for determining whether an entity is an investment company; (ii) update the measurement requirements for noncontrolling interests in other investment companies; and (iii) require additional disclosures for investment companies under GAAP. This guidance is effective for annual and interim periods beginning on or after December 15, 2013. An entity should provide the disclosures required by those amendments retrospectively for all comparative periods presented. The adoption of this guidance is not expected to have a material impact on the financial positions or results of operations.

Recently Adopted Accounting Pronouncements—In December of 2011, FASB issued new guidance that requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. FASB issued additional clarification to specify that the guidance applies only to derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset in accordance with specific criteria of the Codification or subject to a master netting arrangement or similar agreement. This guidance is effective for annual and interim periods beginning on or after January 1, 2013. An entity should provide the disclosures required by those amendments retrospectively for all comparative periods presented. The adoption of this guidance is not expected to have a material impact on the Trust’s financial position or results of operations and is discussed in Note 7.

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

3. Fair Value Measurements

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

Level 1 Inputs

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

Level 2 Inputs

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

Level 3 Inputs

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

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The Trust uses the following methodologies to value instruments within its financial asset portfolio at fair value:

Trading Securities.These instruments include U.S. Treasury securities and open trade equity positions (futures contracts) that are actively traded on public markets with quoted pricing for corroboration. U.S. Treasury securities and futures contracts are reported at fair value using Level 1 inputs. Trading securities instruments further include open trade equity positions (trading options and currency forwards) that are quoted prices for identical or similar assets that are not traded on active markets. Trading options and currency forwards are reported at fair value using Level 2 inputs.

Swap Contracts. Certain Series of the Trust strategically invest a portion or all of their assets in total return Swaps, selected at the direction of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical Swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. Swap contracts are reported at fair value based upon daily reports from the counterparty. The valuation of swap contracts requires significant estimates utilizing Level 3 Inputs corroborated by management through the use of a third party pricing service (“pricing service”). The pricing service, utilizing proprietary model-intensive methodologies, selects and implements the pricing model appropriate for each swap valuation. The pricing service does not provide detail of the pricing model to management. The Managing Owner through the valuation committee charted by the Executive Committee of the Trust, engages, via inquiry and review of methodology documentation, with the service provider to gain an understanding of the valuation model selected; the components of the model, both observable and unobservable; and quality control testing procedures in place. The valuation committee meets on a monthly basis and as needed to discuss any updates or changes in the valuation process, reporting to the Executive Committee. The pricing service’s methodology includes performance of tolerance testing on its valuation models to ensure consistency and reasonableness of the values derived. The tolerance testing includes valuing the components of the product separately, i.e. underlying asset, volatility, financing rates, and so forth. The tolerance testing is part of the initial valuation setup and throughout the ongoing daily valuation process. The pricing service also has several layers of quality control including: engineering / reverse engineering process to understand each swap and it’s subcomponent parts fully; comparative analysis against other valuations performed with similar composition and characteristics; review of output valuation against expectations based on observable price movements of underlying futures; and lastly, periodic review by senior financial engineer to ensure design and function of model is stable and perform as expected.

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

The following table summarizes the instruments that comprise the Trust’s financial asset portfolio, by Series, measured at fair value on a recurring basis as of September 30, 2013 and December 31, 2012, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

September 30, 2013	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Open Trade Equity (Deficit)	$	3,018,619		$	3,924,573		$	—	$	6,943,192
Swap Contracts		—			—			17,152,321		17,152,321
Written Options		—			(1,586,908	)		—		(1,586,908	)
December 31, 2012	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Open Trade Equity (Deficit)	$	(2,510,310	)	$	14,626,959		$	—	$	12,116,649
Swap Contracts		—			—			22,289,478		22,289,478
U.S. Treasury Securities		18,001,322			—			—		18,001,322
Written Options		—			(4,199,198	)		—		(4,199,198	)

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	For the nine Months Ended September 30, 2013
Balance of recurring Level 3 assets as of January 1, 2013	$	22,289,479
Total gains or losses (realized/unrealized):
Included in earnings-realized		(3,555,134	)
Included in earnings-unrealized		(2,763,657	)
Purchases of investments		21,880,000
Sales of investments		(20,694,866	)
Transfers in and/or out of Level 3		—
Net change in allocation of total return swap		(3,501	)
Balance of recurring Level 3 assets as of September 30, 2013	$	17,152,321
	For the Year Ended December 31, 2012
Balance of recurring Level 3 assets as of January 1, 2012	$	24,211,688
Total gains or losses (realized/unrealized):		—
Included in earnings-realized		(525,237	)
Included in earnings-unrealized		(1,387,160	)
Purchases of investments		—
Sales of investments		(9,812	)
Transfers in and/or out of Level 3		—
Balance of recurring Level 3 assets as of December 31, 2012	$	22,289,479

The Trust assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Trust’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy.

4. Swaps

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

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

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

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of September 30, 2013 and December 31, 2012, approximately 5.1% and 4.0%, respectively, of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain Swaps.

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

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

	Total Return Swap			Total Return Swap			Total Return Swap
Counterparty		DeutscheBank			DeutscheBank			DeutscheBank
Notional Amount	$	31,180,925		$	54,591,769		$	25,500,000
Termination Date		3/26/2018			8/2/2018			8/2/2018
Investee Returns		On Default			On Default			On Default
Realized Gain/(Loss)	$	—		$	—		$	—
Unrealized Gain/(Loss)	$	(1,490,148	)	$	(2,187,185	)	$	(986,342	)
Fair Value as of 9/30/2013	$	4,506,351		$	7,412,815		$	2,413,658

	Total Return Swap			Balanced Series Option/Swap			Total Return Swap
Counterparty		Deutsche Bank AG			Societe Generale			DeutscheBank
Notional Amount		34,400,000		$	—		$	—
Termination Date		8/7/2018			11/21/2014			6/30/2016
Investee Returns		On Default			Total Returns			On Default
Realized Gain/(Loss)		—		$	(1,645,980	)	$	(1,909,154	)
Unrealized Gain/(Loss)		(60,503	)	$	215,224		$	1,745,297
Fair Value as of 9/30/2013		2,819,497		$	—		$	—

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

	Credit Default Swap			Credit Default Swap			Option/Swap		Total Return Swap
Counterparty		BNP Paribas			Societe Generale			Societe Generale		DeutscheBank
Notional Amount	$	—		$	—		$	20,486,403	$	23,551,287
Termination Date		3/20/2012			3/20/2012			11/21/2014		6/30/2016
Investee Returns		On Default			On Default			Total Returns		Total Returns
Realized Gain/(Loss)	$	(407,283	)	$	(117,954	)	$	—	$	—
Unrealized Gain/(Loss)	$	(215,874	)	$	117,954		$	78,977	$	(1,378,028	)
Fair Value as of 12/31/2012	$	—		$	—		$	17,785,733	$	4,503,745

5. Transactions with Affiliates

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

Expenses

Management Fees—Each Series of the Trust pays to the Managing Owner a monthly management fee equal to a certain percentage of such Series’ assets attributable to such Series (including notional assets), calculated on a daily basis. The annual rate of the management fee is 0.5% for the Balanced Series, 2.0% for the Winton Series, Frontier Long/Short Commodity Series Class 1a and Class 2a and Frontier Masters Series, 0.75% for Frontier Diversified Series, 2.5% for the Frontier Heritage Series (formerly Winton/Graham Series) and Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), and 3.5% for the Frontier Long/Short Commodity Series Class 1 and Class 2. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) for such Series.

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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, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), Winton Series and Frontier Heritage Series (formerly Winton/Graham Series) pays to the Managing Owner a trading fee, or FCM Fee, up to 0.75% of such Series’ NAV, calculated daily. The Frontier Diversified Series, Frontier Long/Short Commodity Series (Classes 1a and 2a) and Frontier Masters Series pays to the Managing Owner a trading fee, or FCM Fee, up to 2.25% and a custodial/due diligence fee of 0.12% of such Series’ NAV, calculated daily.

Incentive Fees—Some Series of the Trust pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated by such Series, monthly or quarterly. Because the Balanced Series, Frontier Heritage Series (formerly Winton/Graham Series), Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), and Frontier Long/Short Commodity Series may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee is 25% for the Balanced Series and the Frontier Diversified Series and 20% for the Winton Series, Frontier Heritage Series (formerly Winton/Graham Series), Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), Frontier Long/Short Commodity Series and Frontier Masters Series. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series.

Service Fees—In addition, with respect to Class 1 and Class 1a Units of each Series of the Trust, as applicable, the Series pays monthly or quarterly to the Managing Owner a service fee up to 3% annually, which the Managing Owner pays to selling agents of the Trust.

As of September 30, 2013, the Trust has a payable to the Managing Owner in the amounts of $0, $601,625, $393,822, $398,688 and $436,778 for incentive fees, management fees, interest, trading fees, and service fees, respectively.

As of December 31, 2012, the Trust has a payable to the Managing Owner in the amounts of $732,119, $1,003,663, $569, 115, $602,333 and $652,500 for incentive fees, management fees, interest, trading fees, and trailing service fees, respectively.

For the three months ended September 30, 2013, the Trust paid the Managing Owner $0, $1,981,543, $1,650,323 and $1,281,476 for incentive fees, management fees, service fees, and trading fees, respectively.

For the three months ended September 30, 2012, the Trust paid the Managing Owner $5,789,666, $3,191,672, $2,540,950 and $1,987,736 for incentive fees, management fees, service fees, and trading fees, respectively.

For the nine months ended September 30, 2013, the Trust paid the Managing Owner $889,025, $6,708,693, $5,718,063 and $4,533,240 for incentive fees, management fees, service fees, and trading fees, respectively.

For the nine months ended September 30, 2012, the Trust paid the Managing Owner $11,463,249, $9,758,788, $7,980,617 and $6,019,122 for incentive fees, management fees, service fees, and trading fees, respectively.

With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed therefore by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. For the nine months ended September 30, 2013 amounts paid or owed to the Managing Owner for the difference in monthly service fees from the prepaid initial service fees were ($6,469). For the year ended December 31, 2012 amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees were $2,096.

Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Select Series (formerly Berkeley/Graham/Tiverton Series) and Frontier Heritage Series (formerly Winton/Graham Series). For the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series, and Balanced Series (Class 1a and Class 2a only), 20% of the total interest allocated to each Series is paid to the Managing Owner. During the three months ended September 30, 2013 and 2012 the Trust, with respect to the Series, paid $1,279,912 and $1,840,120, respectively, of such interest income to the Managing Owner. Such expenses are not included in the statements of operations of the Series. During the nine months ended September 30, 2013 and 2012 the Trust, with respect to the Series, paid $4,369,611 and $5,748,014, respectively, of such interest income to the Managing Owner. Such expenses are not included in the statements of operations of the Series. All other interest income is recorded on the respective Series statements of operations.

The Managing Owner paid to The Bornhoft Group Corporation, an affiliate of the Trust, a monthly fee of 0.25% (annualized) of the NAV of the Trust, for services in connection with the daily valuation of each Series and Class. The amount paid under this agreement was $77,196 and $465,858 for the three and nine months ended September 30, 2012. As of April 20, 2012, the contract with The Bornhoft Group Corporation was amended to provide for an annual payment of $600,000 for investment and advisor services and 0.1% annually of the trading level with the Balanced Series in lieu of a monthly service fee. The Managing Owner paid $232,150 and $889,524, respectively under this agreement for the three and nine months ended September 30, 2013.

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Equinox Financial Group, LLC, an affiliate of the Trust, provides management services for the Managing Owner who paid $115,000 and $795,000, respectively, for the three and nine months ended September 30, 2013.

Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $412,265, and $665,478, respectively, for the three months ended September 30, 2013 and 2012 and $1,460,009, and $2,030,547, respectively, for the nine months ended September 30, 2013 and 2012.

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

6. Financial Highlights

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

	2013			2012
Nine Months Ended
Ratios to average net assets (1)
Net investment gain/(loss) (1)		-4.29	%		-6.23	%
Expenses before incentive fees (3)		-5.23	%		-5.29	%
Expenses after incentive fees (3)		-5.43	%		-7.20	%
Total return before incentive fees (2)		-12.28	%		0.88	%
Total return after incentive fees (2)		-12.48	%		-1.03	%
	2013			2012
Three Months Ended
Ratios to average net assets (1)
Net investment gain/(loss) (1)		-4.08	%		-5.43	%
Expenses before incentive fees (3)		-5.32	%		-5.28	%
Expenses after incentive fees (3)		-5.32	%		-6.28	%
Total return before incentive fees (2)		-6.81	%		2.45	%
Total return after incentive fees (2)		-6.81	%		1.45	%

(1) Annualized with the exception of incentive fees.

(2) Total returns are not annualized.

(3) Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Statements of Operations of the Series. See footnore 5.

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

7. Derivative Instruments and Hedging Activities

The Trust’s primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Trust does not enter into or hold positions for hedging purposes as defined under ASC 815. The detail of the fair value of the Trust’s derivatives by instrument types as of September 30, 2013 and December 31, 2012 is included in the Consolidated Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trust’s positions in swap contracts.

For the three months ended September 30, 2013, the monthly average of futures contracts bought and sold was approximately 10,766 and 10,686, respectively. For the three months ended September 30, 2012, the monthly average of futures contracts bought and sold was approximately 20,100 and 19,100, respectively. For the nine months ended September 30, 2013, the monthly average of futures contracts bought and sold was approximately 66,741 and 73,229, respectively. For the nine months ended September 30, 2012, the monthly average of futures contracts bought and sold was approximately 49,800 and 52,900, respectively. The following tables summarize the trading revenues for the three and nine months ended September 30, 2013 and 2012 by contract type:

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

for the Three Months Ended September 30, 2013

Type of contract
Metals	$	(9,845,278	)
Currencies		5,886,547
Energies		4,049,891
Agriculturals		(189,046	)
Interest rates		4,704,003
Stock indices		(1,890,055	)
Change in unrealized trading income/(loss)(1)	$	2,716,062

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

for the Nine Months Ended September 30, 2013

Type of contract
Metals	$	6,049,692
Currencies		227,765
Energies		(409,807	)
Agriculturals		1,089,106
Interest rates		(1,408,414	)
Stock indices		(3,968,543	)
Change in unrealized trading income/(loss)(1)	$	1,579,799

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

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Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended September 30, 2013

Type of contract
Metals	$	(1,256,538	)
Currencies		(12,540,668	)
Energies		(4,070,454	)
Agriculturals		(525,818	)
Interest rates		(7,030,426	)
Stock indices		6,886,848
Realized trading income/(loss)(1)	$	(18,537,056	)

Realized Trading Revenue from Futures, Forwards and Options

for the Nine Months Ended September 30, 2013

Type of contract
Metals	$	4,605,553
Currencies		(19,298,175	)
Energies		(15,517,220	)
Agriculturals		(3,694,199	)
Interest rates		(33,752,578	)
Stock indices		36,447,322
Realized trading income/(loss)(1)	$	(31,209,297	)

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

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Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended September 30, 2012⁽²⁾

Type of contract
Metals	$	(649,307	)
Currencies		7,835,846
Energies		(42,758,157	)
Agriculturals		324,580
Interest rates		12,963,102
Stock indices		8,252,917
Realized trading income/(loss)(1)	$	(14,031,019	)

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

for the Three Months Ended September 30, 2012⁽²⁾

Type of contract
Metals	$	(2,999,805	)
Currencies		(2,974,438	)
Energies		35,116,173
Agriculturals		3,858,004
Interest rates		8,135,147
Stock indices		(4,739,678	)
Change in unrealized trading income/(loss)(2)	$	36,395,403

(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 Nine Months Ended September 30, 2012⁽¹⁾

Type of contract
Metals	$	(15,791,452	)
Currencies		(6,365,741	)
Energies		(23,685,527	)
Agriculturals		(2,695,834	)
Interest rates		47,939,795
Stock indices		6,092,258
Realized trading income/(loss)(1)	$	5,493,499

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

for the Nine Months Ended September 30, 2012⁽²⁾

Type of contract
Metals	$	3,720,493
Currencies		14,487,416
Energies		529,216
Agriculturals		5,288,536
Interest rates		5,776,926
Stock indices		(4,485,740	)
Change in unrealized trading income/(loss)(2)	$	25,316,847

(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.

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

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

Offsetting of Derivative Assets and Liabilities

As of September 30, 2013

	Gross Amounts of recognized Derivative Assets		Gross Amounts of recognized Derivative Liabilities			Net Amounts of Derivative Assets and Liabilities Presented in the Statements of Financial Condition
Open Trade Equity/(Deficit)	$	7,790,953	$	(847,761	)	$	6,943,192
Options Written		—		(1,586,908	)		(1,586,908	)
Receivable from Futures Commissions Merchants		150,657,924		(83,917,517	)		66,740,407

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As of December 31, 2012

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

8. Trading Activities and Related Risks

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

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

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

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

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

9. Indemnifications and Guarantees

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

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The Trust has guaranteed the obligations of the trading companies under the customer agreements with UBS Securities as Clearing Broker. In the event that one Series of the Trust is unable to meet its obligations to UBS Securities, the assets of the other Series will be available to UBS Securities as part of the guarantee, but only to the extent of such Series’ pro rata allocation to the trading company. The Trust has not recorded any liability for the indemnifications in the accompanying financial statements as it expects any possibility of losses to be remote.

10. Subsequent Events

None.

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

Introduction

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

Overview

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

The Trust, with respect to each Series of Units, engages in the speculative trading of a diversified portfolio of futures, forward (including interbank foreign currencies) and options contracts and other derivative instruments (including Swaps) and may, from time to time, engage in cash and spot transactions and allocates funds to an affiliated limited liability trading company (each a “Trading Company”). Each Trading Company has one-year renewable contracts with its own independent Trading Advisor(s) that will manage all or a portion of the applicable Trading Company’s assets, and make the trading decisions for the assets of each Series vested in such Trading Company. The assets of each Trading Company will be segregated from the assets of each other Trading Company. The Trust has an investment objective of increasing the value of the Units over the long term (capital appreciation), while controlling risk and volatility; further, to offer exposure to the investment programs of individual Trading Advisors and to specific instruments (currencies).

The Trust has seven (7) separate and distinct Series of Units issued and outstanding: Frontier Diversified Series, Frontier Masters Series, Frontier Long/Short Commodity Series, Balanced Series, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), Winton Series, and Frontier Heritage Series (formerly Winton/Graham Series) (each a “Series” and collectively, the “Series”). The Currency Series ceased trading and liquidated on April 18, 2013 and the TBG Institutional Series ceased trading and liquidated on May 23, 2013. Each Series of Units has between two and six separate classes issued and/or outstanding – Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a as applicable to the Series.

Critical Accounting Policies and Estimates

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

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

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Investment Transactions and Valuation

The Managing Owner has evaluated the nature and type of transactions processed and estimates that it makes in preparing the Trust’s financial statements and related disclosures 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 analytical software system applies a variety of statistical measures towards the evaluation of current and historical advisor performance data. Statistical measures include but are not limited to: (1) risk/reward analysis, (2) time window analysis, (3) risk analysis, (4) correlation analysis, (5) statistical overlays and (6) performance cycle analysis.

Qualitative Analysis

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

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Multi-Manager Approach

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

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

Major Commodity Trading Advisor	Trading System Style
Beach Horizon LLP		Systematic
Cantab Capital Partners LLP		Systematic
Doherty trading Advisors		Systematic
Emil van Essen LLC		Systematic
Fort LP		Systematic
Global Advisors (Jersey) Limited		Systematic
Mesirow Financial Commodities Management, LLC		Discretionary
Quantitative Investment Management, LLC		Systematic
QuantMetrics Capital Management LLP		Systematic
Quest Partners LLC		Systematic
Red Oak Commodity Advisors, Inc.		Discretionary
Rosetta Capital Management, LLC		Discretionary
Skyline Management, Inc.		Discretionary
Tiverton Trading		Discretionary
Transtrend B.V.		Systematic
Winton Capital Management Ltd.		Systematic

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

	Allocation as of September 30, 2013 (expressed as a percentage of aggregate notional exposure to commodity trading programs)
Advisor	Frontier Diversified Series			Frontier Long/Short Commodity Series			Frontier Masters Series			Balanced Series			Frontier Select Series			Winton Series			Frontier Heritage Series
Beach Horizon LLP		—			—	%		—			2	%		—			—			—
Cantab Capital Partners LLP		13	%		—			26	%		11	%		—			—			—
Doherty Trading Advisors		—			—			—			4	%		—			—			—
Emil Van Essen LLC		—			7	%					3	%		—			—			—
Fort LP		—			—			—			13	%		—			—			—
Global Advisors (Jersey) Limited		—			8	%		—			—			—			—			—
Mesirow Financial Commodities Management, LLC		6	%		11	%		—			—			—			—			—
Quantitative Investment Management, LLC		9	%		—			—			12	%		—			—			—
QuantMetrics Capital Management LLP		10	%		—			—			10	%		—			—			—
Quest Partners LLC		8	%
Red Oak Commodity Advisors, Inc.		—			10	%		—			—			—			—			—
Rosetta Capital Management, LLC		—			9	%		—			—			—			—			—
Skyline Management, Inc.		—			10	%		—			—			—			—			—
Tiverton Trading		13	%		—			23	%		10	%		41	%		—			—
Transtrend B.V.		—			—			25	%		—			32	%		—			—
Winton Capital Management Ltd.		11	%		—			26	%		12	%		—			100	%		55	%

* Formerly the Tiverton/Graham/Transtrend Series. Formerly Tiverton/Graham/Transtrend Series.

** Formerly the Winton/Graham Series. Formerly 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.

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A portion of each Trading Company’s assets is used as margin to maintain that Trading Company’s forward currency contract positions, and another portion is deposited in cash in segregated accounts in the name of each Trading Company maintained for each Trading Company at the clearing brokers in accordance with CFTC segregation requirements. At September 30, 2013, cash deposited at the clearing brokers was $20,948,268 for the Balanced Series and $6,922,041 for the Frontier Long/Short Commodity Series. At December 31, 2012, cash deposited at the clearing brokers was $92,043,593 for the Balanced Series and $14,770,973 for the Frontier Long/Short Commodity Series. The clearing brokers are expected to credit each Trading Company with approximately 80%-100% of the interest earned on its average net assets on deposit with the clearing brokers each month. Currently, with the Federal Funds target rate at 0.00% to 0.25%, this amount is estimated to be 0.00%. In an attempt to increase interest income earned, the Managing Owner also may invest the non-margin assets in U.S. government securities which include any security issued or guaranteed as to principal or interest by the U.S., or by a person controlled by or supervised by and acting as an instrumentality of the government of the U.S. pursuant to authority granted by Congress or any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the U.S. government, and certain cash items such as money market funds, certificates of deposit (under nine months) and time deposits. Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), and Frontier Heritage Series (formerly Winton/Graham Series). For the Balanced Series (Class 1a and Class 2a only) and Frontier Long/Short Commodity Series 20% of the total interest allocated to each Series is paid to the Managing Owner. Such expenses are not included in the statements of operations of the series.

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 September 30, 2013, total cash and cash equivalents and custom time deposits held at banking institutions were $46,349,605 for the Frontier Diversified Series, $29,008,804 for the Frontier Masters Series, $24,290,178 for the Frontier Long/Short Commodity Series, $85,448,482 for the Balanced Series, $15,080,311 for the Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), $30,071,055 for the Winton Series, and $12,159,938 for the Frontier Heritage Series (formerly Winton/Graham Series). As of December 31, 2012, total cash and cash equivalents and custom time deposits held at banking institutions were $69,557,079 for the Frontier Diversified Series, $43,037,890 for the Frontier Long/Short Commodity Series, $39,831,538 for the Frontier Masters Series, $107,090,046 for the Balanced Series, $17,301,848 for the Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), $32,541,850 for the Winton Series, and $13,964,174 for the Frontier Heritage Series (formerly Winton/Graham Series). During the nine months of 2013, the Trust experienced redemptions in excess of subscriptions due primarily to five of the eight Series being closed to new investments and to the termination of a selling agent relationship. The Managing Owner does not expect any impact on the investment mix of any Series due to the high level of liquidity maintained in the Trust.

As a commodity pool, the Trust has large cash positions. Such cash positions are used to pay margin for the trading of futures, forwards and options, and also to pay redemptions. Generally, the Trust has not been forced to liquidate positions to fund redemptions. During the period ending September 30, 2013, the Trust was able to pay all redemptions.

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

Off-Balance Sheet Risk

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

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

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

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

Disclosure of Contractual Obligations

The business of the Trust is the speculative trading of commodity interests. The majority of the Trust’s futures and forward positions, which may be categorized as “purchase obligations” under Item 303 of Regulation S-K, are short-term. That is, they are held for less than one year. Because the Trust does not enter into other long-term debt obligations, capital lease obligations, operating lease obligations or other long-term liabilities that would otherwise be reflected on the Trust’s Statement of Financial Condition, a table of contractual obligations has not been presented.

Results of Operations

Series Returns and Other Information

The returns for each Series and Class of Units for the three and nine months ended September 30, 2013 and September 30, 2012, and related information, are discussed below. The activities of the Trust on a consolidated basis are explained through the activity of the underlying Series. Please refer to the discussion of the Series activities in relation to the Trust on a consolidated basis.

Each Series had exposure to commodity interest positions within one or more sectors during fiscal 2013 and 2012. The performance of each Series was impacted over the course of the periods by, among other things, the relative performance of the relevant sector or sectors and the commodities within those sectors, the changing allocations among, and the specific positions taken by the Series’ Trading Advisors in, the relevant sector(s) and commodities, and the timing of entries and exits. For certain of the Series, a sector attribution chart has been included at the end of the relevant discussion. Each chart depicts the performance of the relevant Series’ positions within each of the relevant sectors (determined by the Managing Owner using monthly gross return and NAV figures, with various adjustments to net out a proportional allocation of the fees and expenses chargeable to the Series) during the periods presented.

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

Frontier Diversified Series

The Frontier Diversified Series—Class 1 NAV lost 8.7% and gained 0.2%, respectively, for the three months ended September 30, 2013 and 2012, net of fees and expenses; the Frontier Diversified Series—Class 2 NAV lost 8.3% and gained 0.7%, respectively for the three months ended September 30, 2013 and 2012, net of fees and expenses.

For the three months ended September 30, 2013, the Frontier Diversified Series recorded net loss on investments of $6,696,322, net investment income of $399,992, and total expenses of $1,035,481, resulting in a net decrease in Owners’ capital from operations of $7,331,811. For the three months ended September 30, 2012, the Frontier Diversified Series recorded net gain on investments of $3,088,069, net investment income of $524,861, and total expenses of $3,002,858, resulting in a net increase in Owners’ capital from operations of $610,072.

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Please see additional discussion under “Nine Months Ended September 30, 2013 Compared to Nine Months Ended September 30, 2012 – Frontier Diversified Series.”

Frontier Masters Series

The Frontier Masters Series – Class 1 NAV lost 7.3% and 2.8%, respectively, for the three months ended September 30, 2013 and 2012, net of fees and expenses; the Frontier Masters Series – Class 2 NAV lost 6.8% and 3.3%, respectively for the three months ended September 30, 2013 and 2012, net of fees and expenses.

For the three months ended September 30, 2013, the Frontier Masters Series recorded net loss on investments of $2,509,310, net investment income of $192,004, and total expenses of $724,530, resulting in a net decrease in Owners’ capital from operations of $3,041,836. For the three months ended September 30, 2012, the Frontier Masters Series recorded net gain on investments of $2,798,459, net investment income of $251,275, and total expenses of $1,318,639, resulting in a net increase in Owners’ capital from operations of $1,582,386, after non-controlling interests of ($148,709).

Please see additional discussion under “Nine Months Ended September 30, 2013 Compared to Nine Months Ended September 30, 2012 – Frontier Masters Series.”

Frontier Long/Short Commodity Series

The Frontier Long/Short Commodity Series – Class 1 NAV lost 5.7%, for the three months ended September 30, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 NAV lost 6.2% and gained 7.2%, respectively, for the three months ended September 30, 2013 and 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV lost 6.2% and gained 7.2%, respectively for the three month period ended September 30, 2013 and 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1a NAV lost 6.3% and gained 7.1%, respectively, for the three month period ended September 30, 2013 and 2012, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV lost 5.9% and gained 7.5%, respectively, for the three month period ended September 30, 2013 and 2012, net of fees and expenses; the Frontier Long/Short Commodity Series Class 3a NAV lost 5.8%, for the three month period ended September 30, 2013, net of fees and expenses.

For the three months ended September 30, 2013, the Frontier Long/Short Commodity Series recorded net loss on investments of $3,403,485, net investment income of $249,355, and total expenses of $736,011, resulting in a net decrease in Owners’ capital from operations of $2,283,631, after non-controlling interests of ($1,606,510). For the three months ended September 30, 2012, the Frontier Long/Short Commodity Series recorded net gain on investments of $985,593, net investment income of $336,190, and total expenses of $1,833,637, resulting in a net decrease in Owners’ capital from operations of $4,804,594, after non-controlling interests of $5,316,448.

Please see additional discussion under “Nine Months Ended September 30, 2013 Compared to Nine Months Ended September 30, 2012 – Frontier Long/Short Commodity Series.”

Balanced Series

The Balanced Series – Class 1 NAV lost 6.8% and gained 0.1%, respectively, for the three months ended September 30, 2013 and 2012, net of fees and expenses; the Balanced Series – Class 1a NAV gained 4.1%, for the three months ended September 30, 2012, net of fees and expenses; the Balanced Series – Class 2 NAV lost -6.1% and gained 0.8%, respectively, for the three months ended September 30, 2013 and 2012, net of fees and expenses; the Balanced Series – Class 2a NAV lost 5.7% and gained 0.9%, respectively, for the three months ended September 30, 2013 and 2012, net of fees and expenses; the Balanced Series – Class 3a NAV lost -5.7% and gained 0.9% for the three months ended September 30, 2013 and 2012, respectively, net of fees and expenses.

For the three months ended September 30, 2013, the Balanced Series recorded net loss on investments of $9,721,779, net investment income of $123,819, and total expenses of $1,337,925, resulting in a net decrease in Owners’ capital from operations of $9,721,779 after non-controlling interests of ($1,528,637). For the three months ended September 30, 2012, the Balanced Series recorded net gain on investments of $12,592,196, net investment income of $22,120, and total expenses of $5,553,832, resulting in a net increase in Owners’ capital from operations of $893,203 after non-controlling interests of ($6,167,281).

Please see additional discussion under “Nine Months Ended September 30, 2013 Compared to Nine Months Ended September 30, 2012 – Balanced Series.”

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

The Frontier Select Series – Class 1 NAV lost -6.2% and 1.2%, respectively, for the three months ended September 30, 2013 and 2012, net of fees and expenses; the Frontier Select Series – Class 2 NAV lost 5.4% and 0.1%, respectively for the three months ended September 30, 2013 and 2012, net of fees and expenses.

For the three months ended September 30, 2013, the Frontier Select Series recorded net loss on investments of $1,021,631, net investment income of $68,662, and total expenses of $322,765, resulting in a net decrease in Owners’ capital from operations of $1,275,734. For the three months ended September 30, 2012, the Frontier Select Series recorded net gain on investments of $310,424, net investment income of $75,086, and total expenses of $607,981, resulting in a net decrease in Owners’ capital from operations of $222,471.

Please see additional discussion under “Nine Months Ended September 30, 2013 Compared to Nine Months Ended September 30, 2012 – Frontier Select Series.”

Winton Series

The Winton Series – Class 1 NAV lost 2.4% and 0.0%, respectively, for the three months ended September 30, 2013 and 2011, net of fees and expenses; the Winton Series – Class 2 NAV lost -1.6% and 0.7%, respectively, for the three months ended September 30, 2013 and 2012, net of fees and expenses.

For the three months ended September 30, 2013, the Winton Series recorded net loss on investments of $380,598, net investment income of $66,92, and total expenses of $548,777, resulting in a net decrease in Owners’ capital from operations of $862,383. For the three months ended September 30, 2012, the Winton Series recorded net gain on investments of $583,943, net investment income of $127,814, and total expenses of $602,347, resulting in a net increase in Owners’ capital from operations of $109,410.

Please see additional discussion under “Nine Months Ended September 30, 2013 Compared to Nine Months Ended September 30, 2012 – Winton Series.”

Frontier Heritage Series (formerly Winton/Graham Series)

The Frontier Heritage Series – Class 1 NAV lost 2.6% and gained 2.9%, respectively, for the three months ended September 30, 2013 and 2012 net of fees and expenses; the Winton/Graham Series – Class 2 NAV lost 1.8% and gained 3.6%, respectively for the three months ended September 30, 2013 and 2012, net of fees and expenses.

For the three months ended September 30, 2013, the Frontier Heritage Series recorded net loss on investments of $249,447, net investment income of $29,602, and total expenses of $207,326, resulting in a net decrease in Owners’ capital from operations of $427,171. For the three months ended September 30, 2012, the Frontier Heritage Series recorded net gain on investments of $1,177,718, net investment income of $31,821, and total expenses of $425,439, resulting in a net increase in Owners’ capital from operations of $784,100.

Please see additional discussion under “Nine Months Ended September 30, 2013 Compared to Nine Months Ended September 30, 2012 – Frontier Heritage Series.”

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Nine Months Ended September 30, 2013 Compared to Nine Months Ended September 30, 2012.

Frontier Diversified Series

2013

The Frontier Diversified Series – Class 1 NAV lost -17.24% for the nine months ended September 30, 2013, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV lost -16.14% for the nine months ended September 30, 2013, net of fees and expenses.

For the nine months ended September 30, 2013 the Frontier Diversified Series recorded a net loss on investments of $13,898,938, net investment income of $1,338,676, and total expenses of $3,865,332, resulting in a net decrease in Owners’ capital from operations of $16,425,594. The NAV per Unit, Class 1, decreased from $94.40 at December 31, 2012, to $78.13 as of September 30, 2013. The NAV per Unit, Class 2, decreased from $100.48 at December 31, 2012, to $84.26 as of September 30, 2013. Total Class 1 subscriptions and redemptions for the period were $1,463,020 and $18,058,110, respectively. Total Class 2 subscriptions and redemptions for the period were $2,709,517 and $16,887,983, respectively. Ending capital at September 30, 2013, was $33,842,947 for Class 1 and $34,139,475 for Class 2. Ending capital at December 31, 2012, was $58,999,936 for Class 1 and $56,181,636 for Class 2.

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

Three of the six sectors traded in the Frontier Diversified Series were profitable in 3Q 2013. Stock Indices, Agriculturals and Energies were profitable while Interest Rates, Currencies and Metals finished negative for the quarter.

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

In terms of major CTA performance QIM, Quantmetrics and Fort (GC) finished positive for the quarter. Cantab, Mesirow, Tiverton, Brevan Howard, Winton, Crabel, Emil Van Essen and Quest Partners finished negative for the quarter. In terms of YTD performance Mesirow, Quantmetrics, Winton, Crabel and Fort (GC) are positive YTD while Cantab, QIM, Tiverton, Brevan Howard, Emil Van Essen and Quest Partners are negative YTD.

2012

The Frontier Diversified Series – Class 1 NAV lost 1.2% for the nine months ended September 30, 2012, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV lost 0.3% for the nine months ended September 30, 2012, net of fees and expenses.

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For the nine months ended September 30, 2012 the Frontier Diversified Series recorded a net gain on investments of $4,943,176, net investment income of $1,668,101, and total expenses of $7,914,352, resulting in a net decrease in Owners’ capital from operations of $1,303,075. The NAV per Unit, Class 1, decreased from $99.40 at December 31, 2011, to $97.82 as of September 30, 2012. The NAV per Unit, Class 2, decreased from $103.96 at December 31, 2011, to $103.66 as of September 30, 2012. Total Class 1 subscriptions and redemptions for the period were $4,342,057 and $11,099,447, respectively. Total Class 2 subscriptions and redemptions for the period were $5,461,913 and $10,702,689, respectively. Ending capital at September 30, 2012, was $64,525,103 for Class 1 and $56,147,260 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.

Three of the six sectors traded in the Frontier Diversified Series were profitable in 3Q 2012. Currencies, Stock Indices and Interest Rates were profitable while Metals, Agriculturals and Energies finished negative for the quarter.

Two of the six sectors traded in the Frontier Diversified Series are profitable year to date. The Interest Rates and Stock Indices sectors are profitable while Currencies, Metals, Agriculturals and Energies are negative year to date.

In terms of major CTA performance, five of the seven major CTAs in the Frontier Diversified Series were profitable in 3Q 2012. Cantab, Graham, Quantmetrics, Winton and Transtrend were profitable while Tiverton and QIM finished negative for the quarter. Four of the seven major CTAs in the Frontier Diversified Series are profitable year to date. Cantab, QIM, Quantmetrics and Transtrend are profitable while Tiverton, Graham and Winton are negative year to date.

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Frontier Masters Series

2013

The Frontier Masters Series – Class 1 NAV lost 13.09% for the nine months ended September 30, 2013, net of fees and expenses; the Frontier Masters Series – Class 2 NAV lost 11.95% for the nine months ended September 30, 2013, net of fees and expenses.

For the nine months ended September 30, 2013 the Frontier Masters Series recorded a net loss on investments of $4,204,428, net investment income of $647,376, and total expenses of $2,312,658, resulting in a net decrease in Owners’ capital from operations of $5,869,710. The NAV per Unit, Class 1, decreased from $101.11 at December 31, 2012, to $87.87 as of September 30, 2013. The NAV per Unit, Class 2, decreased from $107.61 at December 31, 2012, to $94.75 as of September 30, 2013. Total Class 1 subscriptions and redemptions for the period were $2,545,424 and $6,636,880, respectively. Total Class 2 subscriptions and redemptions for the period were $594,083 and $4,558,265, respectively. Ending capital at September 30, 2013, was $26,810,277 for Class 1 and $11,250,533 for Class 2. Ending capital at December 31, 2012, was $34,603,499 for Class 1 and $16,882,659 for Class 2.

Three of the six sectors traded in the Frontier Masters Series were profitable in 3Q 2013. Stock Indices, Agriculturals and Energies were positive while Currencies, Interest Rates and Metals were negative for the quarter.

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

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

2012

The Frontier Masters Series – Class 1 NAV gained 4.7% for the nine months ended September 30, 2012, net of fees and expenses; the Frontier Masters Series – Class 2 NAV gained 6.1% for the nine months ended September 30, 2012, net of fees and expenses.

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For the nine months ended September 30, 2012 the Frontier Masters Series recorded a net gain on investments of $5,674,134, net investment income of $780,501, and total expenses of $3,122,108, resulting in a net increase in Owners’ capital from operations of $2,656,430 after non-controlling interests of ($676,097). The NAV per Unit, Class 1, increased from $100.25 at December 31, 2011, to $104.92 as of September 30, 2012. The NAV per Unit, Class 2, increased from $104.83 at December 31, 2011, to $111.17 as of September 30, 2012. Total Class 1 subscriptions and redemptions for the period were $6,542,621 and $2,699,710, respectively. Total Class 2 subscriptions and redemptions for the period were $1,584,876 and $3,051,076, respectively. Ending capital at September 30, 2012, was $39,500,593 for Class 1 and $18,357,545 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.

Four of the six sectors traded in the Frontier Masters Series were profitable in 3Q 2012. Currencies, Agriculturals, Interest Rates and Stock Indices were positive while Energies and Metals were negative for the quarter.

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

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

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Frontier Long/Short Commodity Series

2013

The Frontier Long/Short Commodity Series –Class 2 NAV lost 13.43% for the nine months ended September 30, 2013, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV lost 13.43% for the nine months ended September 30, 2013, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1a NAV lost 13.80% for the nine months ended September 30, 2013, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV lost 12.65% for the nine months ended September 30, 2013, net of fees and expenses– Class 3a NAV lost 7.93% for the nine months ended September 30, 2013, net of fees and expenses.

For the nine months ended September 30, 2013, the Frontier Long/Short Commodity Series recorded net loss on investments of $8,378,686, net investment income of $834,637, and total expenses of $2,551,466, resulting in a net decrease in Owners’ capital from operations of $5,807,561, after non-controlling interests of $4,287,954. The NAV per Unit, Class 2, decreased from $145.65 at December 31, 2012, to $126.09 as of September 30, 2013. The NAV per Unit, Class 3, decreased from $145.69 at December 31, 2012, to $126.12 as of September 30, 2012. The NAV per Unit, Class 1a, decreased from $108.58 at December 31, 2012, to $93.60 as of September 30, 2013. The NAV per Unit, Class 2a decreased from $115.45 at December 31, 2012, to $100.84 as of September 30, 2013. The NAV per Unit, Class 3a, decreased from $109.60 at September 17, 2013 (Inception), to $100.91 as of September 30, 2013. Total Class 2 redemptions for the period were $2,265,262. There were no subscriptions. Total Class 3 redemptions for the period were $6,530,834. There were no subscriptions. Total Class 1a subscriptions and redemptions for the period were $676,187 and $6,223,643, respectively. Total Class 2a subscriptions and redemptions for the period were $251,400 and $5,811,078, respectively. Total Class 3a subscriptions for the period were $133,866. There were no Class 3a redemptions. Ending capital at September 30, 2013, was $3,936,336 for Class 2, $11,321,675 for Class 3, $11,243,674 for Class 1a, $4,306,663 for Class 2a and $128,218 for Class 3a. Ending capital at December 31, 2012, was $6,898,785 for Class 2, $19,761,047 for Class 3, $18,983,538 for Class 1a and $10,882,111 for Class 2a.

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

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Two of the seven sectors traded in the Frontier Long/Short Commodity Series was profitable in 3Q 2013. Energies and Meats finished positive for the quarter while Base Metals, Financials, Grains, Precious Metals and Softs finished negative for the quarter.

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

In terms of major CTA performance Abraham and JE Moody finished positive for the quarter while Global Advisors, Mesirow, Red Oak, Rosetta, Strategic Ag, Commodity Strategies, Emil Van Essen and Krom River were negative for the quarter.

In terms of YTD performance Mesirow, Red Oak, Abraham, and JE Moody are positive YTD while Global Advisors, Rosetta, Strategic Ag, Commodity Strategies, Emil Van Essen and Krom River are negative YTD.

2012

The Frontier Long/Short Commodity Series—Class 1 NAV lost 0.5% for the nine months ended September 30, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series—Class 2 NAV gained 2.0% for the nine months ended September 30, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series—Class 3 NAV gained 2.1% for the nine months ended September 30, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series—Class 1a NAV gained 1.4% for the nine months ended September 30, 2012, net of fees and expenses; the Frontier Long/Short Commodity Series—Class 2a NAV gained 2.7% for the nine months ended September 30, 2012, net of fees and expenses.

For the nine months ended September 30, 2012, the Frontier Long/Short Commodity Series recorded net loss on investments of $5,684,584, net investment income of $1,047,821, and total expenses of $4,789,770, resulting in a net increase in Owners’ capital from operations of $1,343,755, after non-controlling interests of $10,770,288. The NAV per Unit, Class 1, decreased from $136.13 at December 31, 2011, to $135.41 as of September 30, 2012. The NAV per Unit, Class 2, increased from $161.97 at December 31, 2011, to $165.28 as of September 30, 2012. The NAV per Unit, Class 3, increased from $161.96 at December 31, 2011, to $165.33 as of September 30, 2012. The NAV per Unit, Class 1a, increased from $121.71 at December 31, 2011, to $123.42 as of September 30, 2012. The NAV per Unit, Class 2a, increased from $127.23 at December 31, 2011, to $130.64 as of September 30, 2012. Total Class 1 subscriptions and redemptions for the period were $9,530 and $4,103,565, respectively. Total Class 2 redemptions for the period were $403,979. There were no subscriptions. Total Class 3 subscriptions and redemptions for the period were $3,925,506 and $7,604,158, respectively. Total Class 1a subscriptions and redemptions for the period were $3,763,103 and $1,759,072, respectively. Total Class 2a subscriptions and redemptions for the period were $3,322,503 and $2,211,990, respectively. Ending capital at September 30, 2012, was $0 for Class 1, $8,962,935 for Class 2, $24,676,215 for Class 3, $21,208,126 for Class 1a and $12,395,083 for Class 2a. Ending capital at December 31, 2011, was $4,159,047 for Class 1, $9,188,762 for Class 2, $27,810,058 for Class 3, $18,891,395 for Class 1a and $10,911,464 for Class 2a.

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

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Five of the seven sectors traded in the Frontier Long/Short Commodity Series were profitable in 3Q 2012. Base Metals, Grains, Precious Metals, Financials and Softs were positive while Energies and Meats were negative for the quarter.

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

In terms of major CTA performance, three of the six major CTAs in the Frontier Long/Short Commodity Series was profitable in 3Q 2012. Global Advisors, Red Oak and Rosetta finished positive while Beach Horizon, Strategic Ag and Mesirow were negative for the quarter.

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

The Frontier Long/Short Commodity Series Class 1 ceased trading operations in July, 2012.

Balanced Series

2013

The Balanced Series – Class 1 NAV lost 15.99% for the nine months ended September 30, 2013, net of fees and expenses; the Balanced Series – Class 2 NAV lost 14.07% for the nine months ended September 30, 2013, net of fees and expenses; the Balanced Series – Class 2a NAV lost 12.67% for the nine months ended September 30, 2013, net of fees and expenses; the Balanced Series – Class 3a NAV lost 13.08% for the nine months ended September 30, 2013, net of fees and expenses.

For the nine months ended September 30, 2013, the Balanced Series recorded net loss on investments of $22,951,206, net investment income of $246,370, and total expenses of $5,500,955, resulting in a net decrease in Owners’ capital from operations of $26,064,132 after non- controlling interests of $2,141,659. The NAV per Unit, Class 1, decreased from $116.32 at December 31, 2012, to $97.72 at September 30, 2013. The NAV per Unit, Class 2, decreased from $149.20 at December 31, 2012, to $128.20 at September 30, 2013. For Class 2a, the NAV per Unit increased from $124.36 at December 31, 2012, to $108.11 at September 30, 2013. For Class 3a, the NAV per Unit decreased from $123.96 at December 31, 2012, to $107.75 at September 30, 2013. Total Class 1 subscriptions and redemptions for the period were $223,025 and $38,380,811, respectively. Total Class 2 subscriptions and redemptions for the period were $11,513 and $13,500,845, respectively. Total Class 2a redemptions for the period were $257,150. There were no subscriptions. Total Class 3a redemptions for the period were $1,105,541. There were no subscriptions. Ending capital at September 30, 2013, was $86,381,929 for Class 1, $31,757,424 for Class 2, $640,531 for Class 2a and $2,298,925 for Class 3a. At December 31, 2012, ending capital was $143,906,872 for Class 1, $51,459,568 for Class 2, $1,009,520 for Class 2a, and $3,776,790 for Class 3a.

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

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Two of the six sectors traded in the Balanced Series were profitable in 3Q 2013. Stock Indices and Energies were profitable while Metals, Currencies, Agriculturals and Interest Rates finished negative for the quarter.

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

In terms of major CTA performance Fort, QIM, Quantica and Quantmetrics finished positive for the quarter. Winton, Campbell, Fort (GC), Quantica and Quantmetrics are positive YTD. Cantab, Tiverton, Beach Horizon, Winton, Campbell and Brevan Howard finished negative for the quarter. QIM, Cantab, Tiverton, Beach Horizon, Brevan Howard and Fort (GD) are negative YTD.

2012

The Balanced Series – Class 1 NAV lost 1.4% for the nine months ended September 30, 2012, net of fees and expenses; the Balanced Series – Class 1a NAV gained 3.8% for the nine months ended September 30, 2012, net of fees and expenses; the Balanced Series – Class 2 NAV gained 0.8% for the nine months ended September 30, 2012, net of fees and expenses; the Balanced Series – Class 2a NAV gained 1.4% for the nine months ended September 30, 2012, net of fees and expenses; the Balanced Series – Class 3a NAV gained 1.1% for the nine months ended September 30, 2012, net of fees and expenses.

For the nine months ended September 30, 2012, the Balanced Series recorded net gain on investments of $21,942,059, net investment income of $208,856, and total expenses of $13,714,736, resulting in a net decrease in Owners’ capital from operations of $1,960,254 after non- controlling interests of ($10,396,433). The NAV per Unit, Class 1, decreased from $124.50 at December 31, 2011, to $122.79 at September 30, 2012. For Class 1a, the NAV per Unit increased from $108.45 at December 31, 2011, to $112.58 at September 30, 2012. The NAV per Unit, Class 2, increased from $155.02 at December 31, 2011, to $156.30 at September 30, 2012. For Class 2a, the NAV per Unit increased from $128.35 at December 31, 2011, to $130.15 at September 30, 2012. For Class 3a, the NAV per Unit increased from $128.36 at December 31, 2011, to $129.72 at September 30, 2012. Total Class 1 subscriptions and redemptions for the period were $367,799 and $22,241,622, respectively. Total Class 1a subscriptions and redemptions for the period were $482 and $2,524,092, respectively. Total Class 2 subscriptions and redemptions for the period were $11,968 and $7,771,998, respectively. Total Class 2a redemptions for the period were $1,675,156. There were no subscriptions. Total Class 3a subscriptions and redemptions for the period were $2,264,602 and $1,186,627, respectively. Ending capital at September 30, 2012, was $159,486,336 for Class 1, $0 for Class 1a, $56,046,060 for Class 2, $1,118,686 for Class 2a and $4,066,096 for Class 3a. At December 31, 2011, ending capital was $183,785,318 for Class 1, $2,536,559 for Class 1a, $63,372,567 for Class 2, $2,784,830 for Class 2a, and $2,952,802 for Class 3a.

The Balanced Series, through Frontier Trading Company XVII, LLC has invested in a Swap whereby the Balanced Series obtains exposure to the performance of additional currency programs held by a counterparty to the Swap for the purpose of further diversification among trading advisors.

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

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Three of the six sectors traded in the Balanced Series were profitable in 3Q 2012. Currencies, Stock Indices and Interest Rates were profitable while Metals, Agriculturals and Energies finished negative for the quarter.

Two of the six sectors traded in the Balanced Series are profitable year to date. The Interest Rates and Stock Indices sectors are profitable while Currencies, Metals, Agriculturals and Energies are negative year to date.

In terms of major CTA performance, two of the five major CTAs in the Balanced Series were profitable in 3Q 2012. Winton and Cantab were profitable while QIM, Tiverton and Beach Horizon finished negative for the quarter.

Two of the five major CTAs in the Balanced Series are profitable year to date. QIM and Cantab are profitable while Tiverton, Beach Horizon and Winton are negative year to date.

The Balanced Series Class 1A ceased trading operations in July, 2012.

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

2013

The Frontier Select Series (formerly Tiverton/Graham/Transtrend Series) – Class 1 NAV lost 3.36% for the nine months ended September 30, 2013, net of fees and expenses; the Frontier Select Series (formerly Tiverton/Graham/Transtrend Series) – Class 2 NAV lost 1.17% for the nine months ended September 30, 2013, net of fees and expenses.

For the nine months ended September 30, 2013, the Frontier Select Series (formerly Tiverton/Graham/Transtrend Series) recorded net loss on investments of $333,105, net investment income of $246,719, and total expenses of $1,069,034, resulting in a net decrease in Owners’ capital from operations of $489,210. The NAV per Unit, Class 1, decreased from $78.66 at December 31, 2012, to $76.02 as of September 30, 2013. The NAV per Unit, Class 2, decreased from $99.55 at December 31, 2012, to $98.39 as of September 30, 2013. Total Class 1 subscriptions and redemptions for the period were $12,067 and $4,788,445, respectively. Total Class 2 redemptions for the period were $805,617. There were no subscriptions. Ending capital at September 30, 2013, was $17,006,881 for Class 1 and $2,266,555 for Class 2. Ending capital at December 31, 2012, was $22,266,758 for Class 1 and $3,077,883 for Class 2.

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

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Two of the six sectors traded in the Select Series were profitable in 3Q 2013. Agriculturals and Stock Indices were positive while Metals, Interest Rates, Currencies and Energies were negative for the quarter.

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

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

2012

The Frontier Select Series – Class 1 NAV lost 6.3% for the nine months ended September 30, 2012, net of fees and expenses; the Tiverton/Graham/Transtrend Series – Class 2 NAV lost 4.2% for the nine months ended September 30, 2012, net of fees and expenses.

For the nine months ended September 30, 2012, the Frontier Select Series recorded net loss on investments of $307,991, net investment income of $159,048, and total expenses of $1,903,130, resulting in a net decrease in Owners’ capital from operations of $2,052,073. The NAV per Unit, Class 1, decreased from $91.02 at December 31, 2011, to $85.30 as of September 30, 2012. The NAV per Unit, Class 2, decreased from $111.84 at December 31, 2011, to $107.12 as of September 30, 2012. Total Class 1 subscriptions and redemptions for the period were $26,014 and $7,239,792, respectively. Total Class 2 redemptions for the period were $624,933. There were no subscriptions. Ending capital at September 30, 2012, was $26,076,936 for Class 1 and $3,646,252 for Class 2. Ending capital at December 31, 2011, was $35,180,631 for Class 1 and $4,433,341 for Class 2.

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

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Four of the nine sectors traded in the Tiverton/Graham/Transtrend Series were profitable in 3Q 2012. Currencies, Agriculturals, Stock Indices and Interest Rates were positive while Metals and Energies were negative for the quarter.

Two of the nine sectors traded in the Tiverton/Graham/Transtrend Series is profitable year to date. The Interest Rates and Stock Indices sectors are profitable while Currencies, Metals, Agriculturals and Energies are negative year to date.

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

Winton Series

2013

The Winton Series – Class 1 NAV lost .85% for the nine months ended September 30, 2013, net of fees and expenses; the Winton Series – Class 2 NAV gained 1.40% for the nine months ended September 30, 2013, net of fees and expenses.

For the nine months ended September 30, 2013, the Winton Series recorded net gain on investments of $1,400,650, net investment income of $271,603, and total expenses of $1,670,512, resulting in a net increase in Owners’ capital from operations of $1,741. The NAV per Unit, Class 1, decreased from $130.73 at December 31, 2012, to $129.62 as of September 30, 2013. The NAV per Unit, Class 2, increased from $158.30 at December 31, 2012, to $160.51 as of September 30, 2013. Total Class 1 subscriptions for the period were $134,791 and redemptions were $4,031,879. Total Class 2 redemptions for the period were $686,020. There were no subscriptions. Ending capital at September 30, 2013, was $26,594,221 for Class 1 and $9,783,946 for Class 2. Ending capital at December 31, 2012, was $30,645,208 for Class 1 and $10,314,326 for Class 2.

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

100

Two of the six sectors traded in the Winton Series were profitable in 3Q 2013. Agriculturals and Stock Indices were positive while Currencies, Metals, Energies and Interest Rates were negative for the quarter.

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

2012

The Winton Series – Class 1 NAV lost 6.7% for the nine months ended September 30, 2012, net of fees and expenses; the Winton Series – Class 2 NAV lost 4.5% for the nine months ended September 30, 2012, net of fees and expenses.

For the nine months ended September 30, 2012, the Winton Series recorded net loss on investments of $1,513,333, net investment income of $386,507, and total expenses of $1,857,001, resulting in a net decrease in Owners’ capital from operations of $2,983,827. The NAV per Unit, Class 1, decreased from $141.13 at December 31, 2011, to $131.73 as of September 30, 2012. The NAV per Unit, Class 2, decreased from $165.82 at December 31, 2011, to $158.28 as of September 30, 2012. Total Class 1 subscriptions for the period were $158,451 and redemptions were $3,104,434. Total Class 2 redemptions for the period were $677,556. There were no subscriptions. Ending capital at September 30, 2012, was $32,937,034 for Class 1 and $10,503,724 for Class 2. Ending capital at December 31, 2011, was $38,345,799 for Class 1 and $11,702,325 for Class 2.

Two of the nine sectors traded in the Winton Series were profitable in 3Q 2012. Stock Indices and Interest Rates were positive while Metals, Currencies, Agriculturals and Energies were negative for the quarter.

Two of the nine sectors traded in the Winton Series is profitable year to date. The Stock Indices and Interest Rates sectors are profitable while Currencies, Metals, Agriculturals and Energies are negative year to date.

Frontier Heritage Series (formerly Winton/Graham Series)

2013

The Frontier Heritage Series (formerly Winton/Graham Series) – Class 1 NAV gained 1.06% for the nine months ended September 30, 2013, net of fees and expenses; the Frontier Heritage Series (formerly Winton/Graham Series) – Class 2 NAV gained 3.36% for the nine months ended September 30, 2013, net of fees and expenses.

For the nine months ended September 30, 2013, the Frontier Heritage Series (formerly Winton/Graham Series) recorded net loss on investments of $1,096,272, net investment income of $102,598, and total expenses of $731,005, resulting in a net increase in Owners’ capital from operations of $467,865. The NAV per Unit, Class 1, increased from $94.55 at December 31, 2012, to $95.55 as of September 30, 2013. The NAV per Unit, Class 2, increased from $120.67 at December 31, 2012, to $124.72 as of September 30, 2013. Total Class 1 subscriptions for the period were $32,332 and redemptions were $5,066,082. Total Class 2 redemptions for the period were $1,181,705. There were no subscriptions. Ending capital at September 30, 2013, was $11,974,513 for Class 1 and $3,031,436 for Class 2. Ending capital at December 31, 2012, was $16,680,498 for Class 1 and $4,073,041 for Class 2.

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

101

Two of the six sectors traded in the Heritage Series were profitable in 3Q 2013. Agriculturals and Stock Indices were positive while Metals, Interest Rates, Currencies and Energies were negative for the quarter.

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

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

2012

The Frontier Heritage Series – Class 1 NAV lost 5.7% for the nine months ended September 30, 2012, net of fees and expenses; the Heritage Series – Class 2 NAV lost 3.5% for the nine months ended September 30, 2012, net of fees and expenses.

For the nine months ended September 30, 2012, the Frontier Heritage Series recorded net gain on investments of $15,888, net investment income of $85,811, and total expenses of $1,455,957, resulting in a net decrease in Owners’ capital from operations of $1,354,258. The NAV per Unit, Class 1, decreased from $104.73 at December 31, 2011, to $98.80 as of September 30, 2012. The NAV per Unit, Class 2, decreased from $129.70 at December 31, 2011, to $125.13 as of September 30, 2012. Total Class 1 subscriptions for the period were $47,245 and redemptions were $4,355,759. Total Class 2 redemptions for the period were $1,273,542. There were no subscriptions. Ending capital at September 30, 2012, was $19,275,024 for Class 1 and $4,562,349 for Class 2. Ending capital at December 31, 2011, was $24,783,519 for Class 1 and $5,990,168 for Class 2.

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

102

Four of the nine sectors traded in the Frontier Heritage Series were profitable in 3Q 2012. Currencies, Agriculturals, Stock Indices and Interest Rates were positive while Metals and Energies were negative for the quarter.

Two of the nine sectors traded in the Frontier Heritage Series are profitable year to date. The Interest Rates and the Stock Indices sectors are profitable while Currencies, Metals, Agriculturals and Energies are negative year to date.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

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

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

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

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

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.

103

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

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

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

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

Value at Risk by Market Sectors

The following table presents the trading value at risk associated with each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of September 30, 2013 and December 31, 2012. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

104

Frontier Diversified Series (1)

MARKET SECTOR	September 30, 2013					December 31, 2012
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	2,114,559		3.10	%	$	10,668,213		9.30	%
Currencies	$	4,718,564		6.90	%	$	6,944,890		6.00	%
Stock Indices	$	3,638,607		5.40	%	$	6,884,232		6.00	%
Metals	$	200,396		0.30	%	$	529,904		0.50	%
Agriculturals/Softs	$	1,629,322		2.40	%	$	2,106,237		1.80	%
Energy	$	336,587		0.50	%	$	826,602		0.70	%
Total:	$	12,638,035		18.60	%	$	27,960,078		24.30	%

Frontier Long/Short Commodity Series (1)

MARKET SECTOR	September 30, 2013					December 31, 2012
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	41,522		0.10	%	$	1,456,457		2.60	%
Currencies	$	377,849		1.10	%	$	649,353		1.10	%
Stock Indices	$	220,915		0.60	%	$	915,438		1.60	%
Metals	$	104,942		0.30	%	$	430,652		0.80	%
Agriculturals/Softs	$	1,418,836		4.00	%	$	2,128,861		3.80	%
Energy	$	254,624		0.70	%	$	1,768,300		3.10	%
Total:	$	2,418,688		6.80	%	$	7,349,062		13.00	%

105

Frontier Masters Series

MARKET SECTOR	September 30, 2013					December 31, 2012
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
Interest Rates	$	946,740		2.50	%	$	2,289,229		4.40	%
Currencies	$	2,005,911		5.30	%	$	2,293,953		4.50	%
Stock Indices	$	732,721		2.00	%	$	1,147,721		2.20	%
Metals	$	90,483		0.20	%	$	74,930		0.10	%
Agriculturals/Softs	$	434,010		1.20	%	$	182,665		0.40	%
Energy	$	110,905		0.30	%	$	83,701		0.20	%��
Total:	$	4,320,770		11.50	%	$	6,072,199		11.80	%

Balanced Series (1):

	September 30, 2013					December 31, 2012
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	2,964,663		1.80	%	$	21,555,846		10.80	%
Currencies	$	8,677,334		5.20	%	$	15,370,708		7.70	%
Stock Indices	$	4,934,732		3.0	%	$	13,812,873		6.90	%
Metals	$	247,584		0.10	%	$	1,031,714		0.50	%
Agriculturals/Softs	$	1,771,934		1.10	%	$	4,076,766		2.00	%
Energy	$	379,774		0.20	%	$	1,493,380		0.70	%
Total:	$	18,976,021		11.40	%	$	57,341,288		28.60	%

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

	September 30, 2013					December 31, 2012
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	76,503		0.40	%	$	1,108,185		4.40	%
Currencies	$	458,982		2.40	%	$	1,324,364		5.20	%
Stock Indices				0.00	%	$	864,109		3.40	%
Metals	$	18,392		0.10	%	$	71,543		0.30	%
Agriculturals/Softs	$	82,473		0.40	%	$	206,823		0.80	%
Energy	$	19,822		0.10	%	$	116,831		0.50	%
Total:	$	656,172		3.40	%	$	3,691,855		14.60	%

106

Winton Series:

MARKET SECTOR	September 30, 2013					December 31, 2012
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
Interest Rates	$	713,567		2.00	%	$	1,355,328		3.30	%
Currencies	$	3,744,989		10.30	%	$	2,941,414		7.20	%
Stock Indices	$	1,154,713		3.20	%	$	992,759		2.40	%
Metals	$	80,919		0.20	%	$	70,872		0.20	%
Agriculturals/Softs	$	499,606		1.40	%	$	241,874		0.60	%
Energy	$	92,377		0.30	%	$	85,535		0.20	%
Total:	$	6,286,171		17.40	%	$	5,687,781		13.90	%

Frontier Heritage Series (formerly Winton/Graham Series):

	September 30, 2013					December 31, 2012
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	160,085		1.10	%	$	1,660,955		8.00	%
Currencies	$	840,167		5.60	%	$	2,207,110		10.60	%
Stock Indices	$	259,053		1.70	%	$	1,031,543		5.00	%
Metals	$	18,154		0.10	%	$	104,133		0.50	%
Agriculturals/Softs	$	112,084		0.80	%	$	311,136		1.50	%
Energy	$	20,724		0.10	%	$	161,051		0.80	%
Total:	$	1,410,267		9.40	%	$	5,475,927		26.40	%

(1) As of September 30, 2013, a portion of the assets of the Balanced Series, Frontier Diversified Series, and Frontier Long/Short Commodity Series are invested in Swap contracts (Please refer to Note 4 in the Series Financial Statements). 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.

107

Non-Trading Risk

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

Qualitative Market Risk

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

Interest rates

Interest rate risk is one of the principal market exposures of each Series. Interest rate movements directly affect the price of interest rate futures positions held and indirectly the value of a Trading Company’s stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact profitability. The primary interest rate exposure is to interest rate fluctuations in the U.S. and the other G-7 countries. However, the Trading Companies also may take futures positions on the government debt of smaller nations. The Managing Owner anticipates that G-7 interest rates will remain the primary market exposure of each Trading Company and accordingly of each Series for the foreseeable future. The changes in interest rates which are expected to have the most effect on the Series are changes in long-term, as opposed to short-term rates. Most of the speculative positions to be held by the Trading Companies will be in medium- to long-term instruments. Consequently, even a material change in short-term rates is expected to have little effect on the Series if the medium- to long-term rates remain steady. Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Frontier Select Series (formerly Tiverton/Graham/Transtrend Series), and Frontier Heritage Series (formerly Winton/Graham Series). For the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series and Balanced Series (Class 1a and Class 2a only), 20% of the total interest allocated to each Series is paid to the Managing Owner. 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. For each Series of the Trust in general, 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 , its primary equity exposure is equity price risk in the G-7 countries as well as other smaller jurisdictions. Each Series of the Trust 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, 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 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.

108

Energy

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

Other Trading Risks

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

The Trading Companies’ trading is subject to execution risks. Market conditions may make it impossible for the Trading Advisors to execute a buy or sell order at the desired price, or to close out an open position. Daily price fluctuation limits are established by the exchanges and approved by the CFTC. When the market price of a contract reaches its daily price fluctuation limit, no trades can be executed at prices outside the limit. The holder of a contract may therefore be locked into an adverse price movement for several days or more and lose considerably more than the initial margin put up to establish the position. Thinly traded or illiquid markets also can make it difficult or impossible to execute trades. The Trading Advisor’s positions are subject to speculative limits. The CFTC and domestic exchanges have established speculative position limits on the maximum futures position which any person, or group of persons acting in concert, may hold or control in particular futures contracts or options on futures contracts traded on U.S. commodity exchanges. Under current regulations, other accounts of the Trading Advisors are combined with the positions held by them on behalf of the applicable Trading Company for position limit purposes. This trading could preclude additional trading in these commodities by the Trading Advisors for the accounts of the Series.

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

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

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ITEM 4. CONTROLS AND PROCEDURES

Evaluation of Disclosure Controls and Procedures

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

Changes in Internal Control Over Financial Reporting

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

Scope of Exhibit 31 Certifications

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

PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS.

None

ITEM 1A. RISK FACTORS.

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

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

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

SERIES	DATE	UNITS	CONSIDERATION
NONE

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

ITEM 3. DEFAULTS UPON SENIOR SECURITIES.

None

ITEM 4. MINE SAFETY DISCLOSURES.

Not applicable.

110

ITEM 5. OTHER INFORMATION.

None

ITEM 6. EXHIBITS.

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

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

**** Previously filed and incorporated by reference from the Prospectus filed pursuant to Rule 424(b)(3) filed May 2, 2013.

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.

	The Frontier Fund
	(Registrant)
Date: November 13, 2013
	By:	/s/ ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

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.

	Balanced Series,
	a Series of The Frontier Fund (Registrant)
Date: November 13, 2013
	By:	/s/ ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

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.

	Frontier Heritage Series (formerly Winton/Graham Series),
	a Series of The Frontier Fund
	(Registrant)
Date: November 13, 2013
	By:	/s/ ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

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.

	Winton Series,
	a Series of The Frontier Fund
	(Registrant)
Date: November 13, 2013
	By:	/s/ ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

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 Select Series (formerly Tiverton/Graham/Transtrend Series),
	a Series of The Frontier Fund (Registrant)
Date: November 13, 2013
	By:	/s/ ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

116

SIGNATURES

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

	Frontier Long/Short Commodity Series,
	a Series of The Frontier Fund
	(Registrant)
Date: November 13, 2013
	By:	/s/ ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

117

SIGNATURES

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

	Frontier Diversified Series,
	a Series of The Frontier Fund
	(Registrant)
Date: November 13, 2013
	By:	/s/ ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

118

SIGNATURES

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

	Frontier Masters Series,
	a Series of The Frontier Fund
	(Registrant)
Date: November 13, 2013
	By:	/s/ ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

119