Frontier Funds 10-Q 2010 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, 2010

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 DYNAMIC SERIES; FRONTIER LONG/SHORT

COMMODITY SERIES; FRONTIER MASTERS SERIES

BALANCED SERIES; CAMPBELL/GRAHAM/TIVERTON SERIES; CURRENCY SERIES; LONG

ONLY COMMODITY SERIES; MANAGED FUTURES INDEX SERIES; WINTON SERIES;

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

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

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

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

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

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

Long Only Commodity Series Class 1, Class 2 and Class 3 Units;

Managed Futures Index Series Class 1, Class 2 and Class 3 Units

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

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

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

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files)    Yes  ¨    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, 2010 (Unaudited) and December 31, 2009	4
		Condensed Schedule of Investments as of September 30, 2010 (Unaudited) and December 31, 2009	8
		Statements of Operations for the Three and Nine Months Ended September 30, 2010 and 2009 (Unaudited)	20
		Statements of Changes in Owners’ Capital for the Nine Months Ended September 30, 2010 (Unaudited)	28
		Notes to Financial Statements (Unaudited)	34
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	65
	Item 3.	Quantitative and Qualitative Disclosures About Market Risk	102
	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.	Removed and Reserved	110
	Item 5.	Other Information	111
	Item 6.	Exhibits	111
SIGNATURES			112

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, 2010, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

3

The Frontier Fund

PART I. FINANCIAL INFORMATION

ITEM 1. Financial Statements

The Frontier Fund

Statements of Financial Condition

September 30, 2010 and December 31, 2009

	Frontier Diversified Series (1)				Frontier Dynamic Series (1)				Frontier Long/Short Commodity Series (2)
	9/30/2010		12/31/2009		9/30/2010		12/31/2009		9/30/2010		12/31/2009
	(Unaudited)				(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents	$	6,644,304	$	9,509,091	$	772,965	$	2,262,363	$	1,967,041	$	5,387,525
U.S. Treasury securities, at fair value		13,928,307		7,765,643		2,854,162		2,739,153		8,363,346		6,554,990
Custom time deposits		76,744,803		38,386,489		15,726,399		13,539,957		46,081,934		32,402,086
Receivable from futures commission merchants		—		—		—		—		—		23,781,708
Swap contracts		11,065,015		8,550,639		10,440,150		10,027,253		—		—
Investments in unconsolidated trading companies		41,579,883		3,966,809		—		—		13,887,483		1,357,682
Receivable from unconsolidated trading companies		1,326,538		—		—		—		—		—
Prepaid service fees - Class 1		566,557		424,337		10,880		180		25,012		60,881
Interest receivable		62,169		107,790		12,739		38,020		37,329		90,985
Receivable from related parties		—		279,820		44		30		56,021		—
Other assets		4,725		—		1,004		—		1,831		—
Total Assets	$	151,922,301	$	68,990,618	$	29,818,343	$	28,606,956	$	70,419,997	$	69,635,857
LIABILITIES & CAPITAL
LIABILITIES
Inter-series payables	$	—	$	10,962,073	$	27,955,294	$	27,676,116	$	—	$	—
Open trade deficit		—		—		—		—		—		518,490
Pending owner additions		1,084,342		1,461,241		—		—		72,000		—
Owner redemptions payable		127,477		—		107,343		—		53,644		212
Incentive fees payable to Managing Owner		1,292,303		132,434		—		—		623,830		278,267
Management fees payable to Managing Owner		95,875		28,225		—		—		164,749		144,346
Interest payable to Managing Owner		31,938		12,179		5,676		4,048		20,473		9,939
Trading fees payable to Managing Owner		174,591		73,768		33,704		28,591		21,243		15,480
Trailing service fees payable to Managing Owner		13,225		607		308		—		51,849		63,507
Payables to related parties		1,701		—		52,021		—		—		35,524
Other liabilities		66,224		3,972		3,899		1,284		114		2,961
Total Liabilities		2,887,676		12,674,499		28,158,245		27,710,039		1,007,902		1,068,726
CAPITAL
Managing Owner Units - Class 1		27,689		26,621		25,067		25,142		—		—
Managing Owner Units - Class 1a		—		—		—		—		28,934		27,911
Managing Owner Units - Class 2		1,574,848		543,790		25,626		25,370		1,151,015		1,089,327
Managing Owner Units - Class 2a		—		—		—		—		29,593		28,183
Limited Owner Units - Class 1		83,935,676		32,933,919		1,250,949		581,113		35,105,589		45,759,225
Limited Owner Units - Class 1a		—		—		—		—		3,487,305		1,064,105
Limited Owner Units - Class 2		63,496,412		22,811,789		358,456		265,292		13,292,259		13,896,776
Limited Owner Units - Class 2a		—		—		—		—		2,248,397		848,349
Limited Owner Units - Class 3		—		—		—		—		14,069,003		6,140,056
Total Owners’ Capital		149,034,625		56,316,119		1,660,098		896,917		69,412,095		68,853,932
Non-Controlling Interests		—		—		—		—		—		(286,801	)
Total Capital		149,034,625		56,316,119		1,660,098		896,917		69,412,095		68,567,131
Total Liabilities and Capital	$	151,922,301	$	68,990,618	$	29,818,343	$	28,606,956	$	70,419,997	$	69,635,857
Units Outstanding
Class 1		833,905		340,489		13,999		6,631		298,641		402,206
Class 1a		N/A		N/A		N/A		N/A		33,419		10,759
Class 2		631,565		238,874		4,122		3,151		107,215		117,544
Class 2a		N/A		N/A		N/A		N/A		21,169		8,553
Class 3		N/A		N/A		N/A		N/A		104,442		48,162
Net Asset Value per Unit
Class 1	$	100.69	$	96.80	$	91.15	$	91.43	$	117.55	$	113.77
Class 1a		N/A		N/A		N/A		N/A	$	105.22	$	101.49
Class 2	$	103.03	$	97.77	$	93.18	$	92.25	$	134.71	$	127.49
Class 2a		N/A		N/A		N/A		N/A	$	107.61	$	102.48
Class 3		N/A		N/A		N/A		N/A	$	134.71	$	127.49

(1) The Frontier Diversified Series and Frontier Dynamic Series began trading operations on June 9, 2009

(2) The Frontier Long/Short Commodity Class 3 Units began trading operations on May 29, 2009 and the Class 1a and 2a Units began trading on June 8, 2009.

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

4

The Frontier Fund

Statements of Financial Condition

September 30, 2010 and December 31, 2009

	Frontier Masters Series (1)				Balanced Series (2)				Campbell/Graham/Tiverton Series
	9/30/2010		12/31/2009		9/30/2010		12/31/2009		9/30/2010		12/31/2009
	(Unaudited)				(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents	$	951,977	$	5,976,679	$	7,060,850	$	24,729,568	$	2,058,032	$	5,851,963
U.S. Treasury securities, at fair value		2,305,948		3,383,444		28,103,686		31,833,998		7,643,732		7,367,693
Custom time deposits		12,705,748		16,724,760		154,850,974		157,359,203		42,116,872		36,419,374
Receivable from futures commission merchants		—		—		81,637,792		71,161,299		9,488,128		—
Open trade equity		—		—		27,954,057		10,933,646		2,373,979		—
Swap contracts		32,157,236		15,972,156		46,093,947		41,020,535		—		—
Investments in unconsolidated trading companies		14,379,104		1,282,798		29,341,369		303,102		11,853,166		30,057,520
Receivable from unconsolidated trading companies		—		—		1,487,954		—		—		—
Inter-series receivables		—		—		40,967,667		69,089,082		—		—
Prepaid service fees - Class 1		281,978		167,524		—		487,875		96		65,009
Interest receivable		10,293		46,963		125,439		441,867		34,117		102,266
Receivable from related parties		—		179,715		—		296,789		—		200
Other assets		3,378		—		30,795		—		2,933		—
Total Assets	$	62,795,662	$	43,734,039	$	417,654,530	$	407,656,964	$	75,571,055	$	79,864,025
LIABILITIES & CAPITAL
LIABILITIES
Inter-series payables	$	—	$	18,184,135	$	—	$	—	$	—	$	—
Pending owner additions		214,152		2,182,469		—		—		—		—
Owner redemptions payable		12,496		—		199,623		667,616		2,936		—
Incentive fees payable to Managing Owner		253,990		—		3,952,649		1,306,596				—
Management fees payable to Managing Owner		94,571		29,929		128,353		208,736		113,986		94,011
Interest payable to Managing Owner		11,781		6,094		49,708		74,715		71,488		58,113
Trading fees payable to Managing Owner		88,609		40,976		3,698		103,317		14,941		17,084
Trailing service fees payable to Managing Owner		6,329		1,313		208,916		85,599		92,730		86,041
Payables to related parties		128		—		1,906		270,000		407		245,936
Other liabilities		10,410		1,936		1,373		5,689		423		480
Total Liabilities		692,466		20,446,852		4,546,226		2,722,268		296,911		501,665
CAPITAL
Managing Owner Units - Class 1		27,331		25,977		—		—		—		—
Managing Owner Units - Class 1a		—		—		—		—		—		—
Managing Owner Units - Class 2		669,660		210,351		2,562,199		3,697,180		129,551		125,510
Managing Owner Units - Class 2a		—		—		158,575		145,517		—		—
Limited Owner Units - Class 1		37,945,615		14,697,353		284,880,380		286,024,307		63,723,401		69,447,366
Limited Owner Units - Class 1a		—		—		5,161,977		9,150,114		—		—
Limited Owner Units - Class 2		23,460,590		8,353,506		73,159,425		73,674,986		8,103,222		9,789,484
Limited Owner Units - Class 2a		—		—		3,257,211		3,153,049		—		—
Limited Owner Units - Class 3a		—		—		3,802,079		1,170,746		—		—
Total Owners’ Capital		62,103,196		23,287,187		372,981,846		377,015,899		71,956,174		79,362,360
Non-Controlling Interests		—		—		40,126,458		27,918,797		3,317,970		—
Total Capital		62,103,196		23,287,187		413,108,304		404,934,696		75,274,144		79,362,360
Total Liabilities and Capital	$	62,795,662	$	43,734,039	$	417,654,530	$	407,656,964	$	75,571,055	$	79,864,025
Units Outstanding
Class 1		382,075		155,864		2,241,176		2,412,953		603,354		663,631
Class 1a		N/A		N/A		45,918		86,734		N/A		N/A
Class 2		237,318		89,793		496,681		556,577		65,865		81,877
Class 2a		N/A		N/A		26,653		28,048		N/A		N/A
Class 3a		N/A		N/A		29,671		9,955		N/A		N/A
Net Asset Value per Unit
Class 1	$	99.39	$	94.46	$	127.11	$	118.54	$	105.62	$	104.65
Class 1a		N/A		N/A	$	112.42	$	105.50		N/A		N/A
Class 2	$	101.68	$	95.37	$	152.46	$	139.01	$	125.00	$	121.10
Class 2a		N/A		N/A	$	128.16	$	117.60		N/A		N/A
Class 3a		N/A		N/A	$	128.14	$	117.60		N/A		N/A

(1) The Frontier Masters Series began trading operations on June 9, 2009

(2) The Balanced Series Class 3a Units began trading operations on June 3, 2009

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

5

The Frontier Fund

Statements of Financial Condition

September 30, 2010 and December 31, 2009

	Currency Series				Long Only Commodity Series				Managed Futures Index Series
	9/30/2010		12/31/2009		9/30/2010		12/31/2009		9/30/2010		12/31/2009
	(Unaudited)				(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents	$	567,829	$	2,043,698	$	168,191	$	691,771	$	240,387	$	332,007
U.S. Treasury securities, at fair value		2,085,730		2,514,501		487,833		571,339		677,897		417,851
Custom time deposits		11,492,349		12,429,474		2,687,954		2,824,195		3,735,203		2,065,485
Receivable from futures commission merchants		704,694		489,483		—		—		—		—
Open trade equity		—		19,464		—		—		—		—
Swap Contracts		5,955,127		4,992,959		680,949		584,391		—		—
Investments in unconsolidated trading companies		—		—		—		—		879,534		975,271
Prepaid service fees - Class 1		—		2,852		—		1,065		—		3,342
Interest receivable		9,310		34,902		2,177		7,930		3,026		5,800
Receivable from related parties		—		—		—		—		2		98
Other assets		762		—		195		—		162		—
Total Assets	$	20,815,801	$	22,527,333	$	4,027,299	$	4,680,691	$	5,536,211	$	3,799,854
LIABILITIES & CAPITAL
LIABILITIES
Inter-series payables	$	13,012,373	$	12,266,758	$	—	$	—	$	—	$	—
Open trade deficit		48,439		—		—		—		—		—
Owner redemptions payable		—		—		—		—		4,333		—
Management fees payable to Managing Owner		7,933		8,537		4,010		4,891		10,191		7,105
Interest payable to Managing Owner		13,983		14,271		1,679		1,913		2,074		1,405
Trading fees payable to Managing Owner		4,829		5,570		1,577		1,904		2,219		1,636
Trailing service fees payable to Managing Owner		11,759		13,629		5,100		5,301		2,657		2,083
Payables to related parties		51		10,004		14		152		—		14,235
Other liabilities		614		436		83		205		8		181
Total Liabilities		13,099,981		12,319,205		12,463		14,366		21,482		26,645
CAPITAL
Managing Owner Units - Class 2		2,834		574,384		44,855		133,513		2,295,011		259,205
Limited Owner Units - Class 1		6,918,209		7,934,382		3,232,224		3,711,581		1,619,298		1,831,435
Limited Owner Units - Class 2		794,777		1,699,362		737,757		821,231		1,600,420		1,682,569
Total Owners’ Capital		7,715,820		10,208,128		4,014,836		4,666,325		5,514,729		3,773,209
Non-Controlling Interests		—		—		—		—		—		—
Total Capital		7,715,820		10,208,128		4,014,836		4,666,325		5,514,729		3,773,209
Total Liabilities and Captial	$	20,815,801	$	22,527,333	$	4,027,299	$	4,680,691	$	5,536,211	$	3,799,854
Units Outstanding
Class 1		85,509		101,722		39,017		44,405		14,135		16,274
Class 2		8,232		24,894		8,615		10,574		31,084		16,011
Net Asset Value per Unit
Class 1	$	80.91	$	78.00	$	82.84	$	83.59	$	114.56	$	112.54
Class 2	$	96.89	$	91.34	$	90.84	$	90.30	$	125.32	$	121.28

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

6

Statements of Financial Condition

September 30, 2010 and December 31, 2009

	Winton Series					Winton/Graham Series
	9/30/2010			12/31/2009		9/30/2010		12/31/2009
	(Unaudited)					(Unaudited)
ASSETS
Cash and cash equivalents	$	1,841,114		$	5,299,857	$	2,164,421	$	6,159,468
U.S. Treasury securities, at fair value		7,653,215			7,125,185		6,617,914		7,598,224
Custom time deposits		42,169,123			35,220,629		36,464,626		37,558,918
Receivable from futures commission merchants		—			—		12,460,152		13,010,250
Open trade equity		—			—		2,231,310		810,189
Investments in unconsolidated trading companies		8,150,696			11,033,691		4,646,468		2,889,071
Prepaid service fees - Class 1		—			—		—		105,448
Interest receivable		34,160			98,900		29,540		105,466
Receivable from related parties		—			—		—		470
Other assets		1,907			—		2,813		—
Total Assets	$	59,850,215		$	58,778,262	$	64,617,244	$	68,237,504
LIABILITIES & CAPITAL
LIABILITIES
Owner redemptions payable	$	5,000		$	—	$	30,798	$	—
Incentive fee payable to Managing Owner		38,045	��		—		26,439		—
Management fees payable to Managing Owner		63,517			63,259		92,373		79,384
Interest payable to Managing Owner		56,723			51,341		53,175		54,167
Trading fees payable to Managing Owner		13,375			13,271		12,603		12,080
Trailing service fees payable		79,421			74,866		68,508		52,712
Payables to related parties		457			172,556		241		3,800
Other liabilities		358			790		343		903
Total Liabilities		256,896			376,083		284,480		203,046
CAPITAL
Managing Owner Units - Class 1		—			—		—		—
Managing Owner Units - Class 2		221,025			455,282		58,200		54,990
Limited Owner Units - Class 1		48,700,323			48,198,317		45,454,911		48,168,395
Limited Owner Units - Class 2		10,671,971			9,748,580		12,014,128		12,467,488
Total Owners’ Capital		59,593,319			58,402,179		57,527,239		60,690,873
Non-Controlling Interests		—			—		6,805,525		7,343,585
Total Capital		59,593,319			58,402,179		64,332,764		68,034,458
Total Liabilities and Captial	$	59,850,215		$	58,778,262	$	64,617,244	$	68,237,504
Units Outstanding
Class 1		373,713			409,951		399,075		437,653
Class 2		73,862			78,429		88,842		97,534
Net Asset Value per Unit
Class 1	$	130.31		$	117.57	$	113.90	$	110.06
Class 2	$	147.48		$	130.10	$	135.89	$	128.39

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

7

The Frontier Fund

Condensed Schedule of Investments

September 30, 2010 (Unaudited)

	Description	Frontier Diversified Series					Frontier Dynamic Series					Frontier Long/Short Commodity Series					Frontier Masters Series
		Value		% of Capital (Net Asset Value)			Value		% of Capital (Net Asset Value)			Value		% of Capital (Net Asset Value)			Value		% of Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various energy futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various precious metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
LONG OPTIONS *		$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
SHORT FUTURES CONTRACTS
	Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Total Short Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
SHORT OPTIONS *		$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
CURRENCY FORWARDS *		$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
	Total Open Trade Equity	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
SWAPS (1)		$	11,065,015		7.42	%	$	10,440,150		628.89	%	$	—		0.00	%	$	32,157,236		51.78	%
U.S. TREASURY SECURITIES
FACE VALUE		Fair Value					Fair Value					Fair Value					Fair Value
$36,500,000.00	US Treasury Note 3.875% due 02/15/2013 ( Cost $38,125,391 ) (2)	$	6,806,986		4.57	%	$	1,394,875		84.02	%	$	4,087,301		5.89	%	$	1,126,954		1.81	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 ( Cost $38,016,039 ) (2)		7,121,321		4.78	%		1,459,287		87.90	%		4,276,045		6.16	%		1,178,994		1.90	%
		$	13,928,307		9.35	%	$	2,854,162		171.92	%	$	8,363,346		12.05	%	$	2,305,948		3.71	%
Additional Disclosure on U.S. Treasury Securities		Face Value					Face Value					Face Value					Face Value
	US Treasury Note 3.875% due 02/15/2013	$	6,297,969				$	1,290,568				$	3,781,658				$	1,042,682
	US Treasury Note 4.000% due 02/15/2015		6,332,478					1,297,639					3,802,379					1,048,395
		$	12,630,447				$	2,588,207				$	7,584,037				$	2,091,077
		Cost					Cost					Cost					Cost
	US Treasury Note 3.875% due 02/15/2013	$	6,578,426				$	1,348,038				$	3,950,060				$	1,089,113
	US Treasury Note 4.000% due 02/15/2015		6,559,557					1,344,172					3,938,730					1,085,990
		$	13,137,983				$	2,692,210				$	7,888,790				$	2,175,103

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

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

(2) Assets are allocated to each Series based on their percentage ownership in the pooled cash management assets as of the reporting date.

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

8

The Frontier Fund

Condensed Schedule of Investments

September 30, 2010 (Unaudited)

	Description	Balanced Series						Campbell/Graham/ Tiverton Series						Currency Series						Long Only Series
		Value			% of Capital (Net Asset Value)			Value			% of Capital (Net Asset Value)			Value			% of Capital (Net Asset Value)			Value		% of Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	246,313			0.06	%	$	1,100			0.00	%$		—			0.00	%	$	—		0.00	%
	Various base metals futures contracts (Europe)		2,691,157			0.65	%		220,653			0.29	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (U.S.)		1,022,583			0.25	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (Canada)		—			0.00	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		2,455,475			0.59	%		56,102			0.07	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (Far East)		—			0.00	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various energy futures contracts (U.S.)		142,336			0.03	%		764			0.00	%		—			0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		383,085			0.09	%		67,630			0.09	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (U.S.)		858,308			0.21	%		141,665			0.19	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Canada)		133,936			0.03	%		10,401			0.01	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		(401,662	)		-0.10	%		22,453			0.03	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Far East)		475,805			0.12	%		311,637			0.41	%		—			0.00	%		—		0.00	%
	Various precious metals futures contracts (U.S.)		2,781,121			0.67	%		610,830			0.81	%		—			0.00	%		—		0.00	%
	Various precious metals futures contracts (Europe)		44,265			0.01	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (U.S.)		4,853,700			1.17	%		323,661			0.43	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		(143,993	)		-0.03	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (Far East)		80,085			0.02	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (U.S.)		1,720,088			0.42	%		127,456			0.17	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		(125,349	)		-0.03	%		(48,850	)		-0.06	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Far East)		(222,792	)		-0.05	%		(10,553	)		-0.01	%		—			0.00	%		—		0.00	%
	Total Long Futures Contracts	$	16,994,461			4.11	%	$	1,834,949			2.43	%	$	—			0.00	%	$	—		0.00	%
LONG OPTIONS *		$	4,422,291			1.07	%	$	—			0.00	%	$	—			0.00	%	$	—		0.00	%
SHORT FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	(139,910	)		-0.03	%	$	—			0.00	%$		—			0.00	%	$	—		0.00	%
	Various base metals futures contracts (Europe)		573,273			0.14	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (U.S.)		510,002			0.12	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (Canada)		—			0.00	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		405,867			0.10	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (Far East)		—			0.00	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various energy futures contracts (U.S.)		(16,094	)		0.00	%		(85,230	)		-0.11	%		—			0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		(67,060	)		-0.02	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (U.S.)		(18,904	)		0.00	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Canada)		—			0.00	%		(2,023	)		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		41,475			0.01	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Far East)		(118,821	)		-0.03	%		(698	)		0.00	%		—			0.00	%		—		0.00	%
	Various precious metals futures contracts (U.S.)		(162,397	)		-0.04	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various precious metals futures contracts (Europe)		—			0.00	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (U.S.)		86,085			0.02	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (Canada)		—			0.00	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		223,664			0.05	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (U.S.)		1,602,403			0.39	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Canada)		(6,969	)		0.00	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		19,693			0.00	%		—			0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Far East)		75,988			0.02	%		(838	)		0.00	%		—			0.00	%		—		0.00	%
	Total Short Futures Contracts	$	3,008,295			0.73	%	$	(88,789	)		-0.11	%	$	—			0.00	%	$	—		0.00	%
SHORT OPTIONS *		$	2,411,255			0.58	%	$	—			0.00	%	$	—			0.00	%	$	—		0.00	%
CURRENCY FORWARDS *		$	1,117,755			0.27	%	$	627,819			0.83	%	$	(48,439	)		-0.63	%	$	—		0.00	%
	Total Open Trade Equity / (Deficit)	$	27,954,057			6.76	%	$	2,373,979			3.15	%	$	(48,439	)		-0.63	%	$	—		0.00	%
SWAPS (1)		$	46,093,947			11.16	%	$	—			0.00	%	$	5,955,127			77.18	%	$	680,949		16.96	%
U.S. TREASURY SECURITIES
FACE VALUE		Fair Value						Fair Value						Fair Value						Fair Value
$36,500,000.00	US Treasury Note 3.875% due 02/15/2013 ( Cost $38,125,391 ) (2)	$	13,734,721			3.32	%	$	3,735,614			4.96	%	$	1,019,330			13.21	%	$	238,412		5.94	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 ( Cost $38,016,039 ) (2)		14,368,965			3.48	%		3,908,118			5.19	%		1,066,400			13.82	%		249,421		6.21	%
		$	28,103,686			6.80	%	$	7,643,732			10.15	%	$	2,085,730			27.03	%	$	487,833		12.15	%
Additional Disclosure on U.S. Treasury Securities		Face Value						Face Value						Face Value						Face Value
	US Treasury Note 3.875% due 02/15/2013	$	12,707,657					$	3,456,270					$	943,105					$	220,584
	US Treasury Note 4.000% due 02/15/2015		12,777,288						3,475,208						948,273						221,792
		$	25,484,945					$	6,931,478					$	1,891,378					$	442,376
		Cost						Cost						Cost						Cost
	US Treasury Note 3.875% due 02/15/2013	$	13,273,545					$	3,610,182					$	985,103					$	230,407
	US Treasury Note 4.000% due 02/15/2015		13,235,473						3,599,827						982,278						229,746
		$	26,509,018					$	7,210,009					$	1,967,381					$	460,153

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

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

(2) Assets are allocated to each Series based on their percentage ownership in the pooled cash management assets as of the reporting date.

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

9

The Frontier Fund

Condensed Schedule of Investments

September 30, 2010 (Unaudited)

		Managed Futures Index Series					Winton Series					Winton/Graham Series
	Description	Value		% of Capital (Net Asset Value)			Value		% of Capital (Net Asset Value)			Value			% of Capital (Net Asset Value)
LONG FUTURES CONTRACTS
	Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	103,372			0.16	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		342,041			0.53	%
	Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		3,899			0.01	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		452,328			0.70	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
	Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		502,569			0.78	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		347,950			0.54	%
	Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		62,121			0.10	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		(38,263	)		-0.06	%
	Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		36,281			0.06	%
	Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		237,922			0.37	%
	Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		304,382			0.47	%
	Various soft futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
	Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
	Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		47,642			0.07	%
	Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		(265,521	)		-0.41	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		39,399			0.06	%
	Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	2,176,122			3.38	%
LONG OPTIONS *		$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
SHORT FUTURES CONTRACTS
	Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		3,864			0.01	%
	Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		—			0.00	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		(60,918	)		-0.09	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
	Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		(579,114	)		-0.90	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		(265,325	)		-0.41	%
	Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		(281	)		0.00	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		(3,836	)		-0.01	%
	Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		24,193			0.04	%
	Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		(20,007	)		-0.03	%
	Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		—			0.00	%
	Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		(13,150	)		-0.02	%
	Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		(1,387	)		0.00	%
	Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		144,771			0.23	%
	Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		(4,915	)		-0.01	%
	Total Short Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	(776,105	)		-1.19	%
SHORT OPTIONS *		$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
CURRENCY FORWARDS *		$	—		0.00	%	$	—		0.00	%	$	831,293			1.29	%
	Total Open Trade Equity	$	—		0.00	%	$	—		0.00	%	$	2,231,310			3.48	%
SWAPS (1)		$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
U.S. TREASURY SECURITIES
FACE VALUE		Fair Value					Fair Value					Fair Value
$36,500,000.00	US Treasury Note 3.875% due 02/15/2013 ( Cost $38,125,391 ) (2)	$	331,299		6.01	%	$	3,740,249		6.28	%	$	3,234,280			5.03	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 ( Cost $38,016,039 ) (2)		346,598		6.28	%		3,912,966		6.57	%		3,383,634			5.26	%
		$	677,897		12.29	%	$	7,653,215		12.85	%	$	6,617,914			10.29	%
Additional Disclosure on U.S. Treasury Securities		Face Value					Face Value					Face Value
	US Treasury Note 3.875% due 02/15/2013	$	306,525				$	3,460,558				$	2,992,425
	US Treasury Note 4.000% due 02/15/2015		308,205					3,479,520					3,008,822
		$	614,730				$	6,940,078				$	6,001,247
		Cost					Cost					Cost
	US Treasury Note 3.875% due 02/15/2013	$	320,175				$	3,614,661				$	3,125,682
	US Treasury Note 4.000% due 02/15/2015		319,257					3,604,293					3,116,717
		$	639,432				$	7,218,954				$	6,242,399

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

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

(2) Assets are allocated to each Series based on their percentage ownership in the pooled cash management assets as of the reporting date.

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

10

The Frontier Fund

Condensed Schedule of Investments

December 31, 2009

		Frontier Diversified Series					Frontier Dynamic Series					Frontier Long/Short Commodity Series						Frontier Masters Series
	Description	Value		% of Capital (Net Asset Value)			Value		% of Capital (Net Asset Value)			Value			% of Capital (Net Asset Value)			Value		% of Capital (Net Asset Value)
LONG FUTURESCONTRACTS *
	Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	(156,407	)		-0.23	%	$	—		0.00	%
	Silver @ Comex Settling 5/1/2010 (Number of Contracts: 500)		—		0.00	%		—		0.00	%		1,090,000			1.59	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		1,150,643			1.68	%		—		0.00	%
	Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		(6,050	)		-0.01	%		—		0.00	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		(39,963	)		-0.06	%		—		0.00	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		(2,068,184	)		-3.02	%		—		0.00	%
	Crude Oil, Light Settling 3/1/2010 (Number of Contracts: 1,281)		—		0.00	%		—		0.00	%		3,305,111			4.82	%		—		0.00	%
	Natural Gas Settling 5/1/2010 (Number of Contracts: 699)		—		0.00	%		—		0.00	%		(1,204,616	)		-1.76	%		—		0.00	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		23,935			0.03	%		—		0.00	%
	Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		(159,796	)		-0.23	%		—		0.00	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		(228,947	)		-0.33	%		—		0.00	%
	Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		52,229			0.08	%		—		0.00	%
	Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		(269,865	)		-0.39	%		—		0.00	%
	Various precious metals futures contracts (Europe)		—		0.00	%		—		0.00	%		15			0.00	%		—		0.00	%
	Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		495,577			0.72	%		—		0.00	%
	Coffee @ CSCE Settling 12/1/2010 (Number of Contracts: 2,014)		—		0.00	%		—		0.00	%		(5,962,294	)		-8.70	%		—		0.00	%
	Coffee @ CSCE Settling 9/1/2010 (Number of Contracts: 1,703)		—		0.00	%		—		0.00	%		(6,875,963	)		-10.03	%		—		0.00	%
	Various soft futures contracts (Far East)		—		0.00	%		—		0.00	%		8,290			0.01	%		—		0.00	%
	Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		5,313			0.01	%		—		0.00	%
	Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		111,835			0.16	%		—		0.00	%
	Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%					0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		(7,766	)		-0.01	%		—		0.00	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	(10,736,903	)		-15.66	%	$	—		0.00	%
LONG OPTIONS *		$	—		0.00	%	$	—		0.00	%	$	(205,075	)		-0.30	%	$	—		0.00	%
SHORT FUTURES CONTRACTS
	Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	(13,613	)		-0.02	%	$	—		0.00	%
	Silver @ Comex Settling 3/1/2010 (Number of Contracts: 500)		—		0.00	%		—		0.00	%		(1,075,000	)		-1.57	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		(799,966	)		-1.17	%		—		0.00	%
	Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		5,488			0.01	%		—		0.00	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%		—		0.00	%

11

	Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		10,638		0.02	%		—	0.00	%
	Various currency futures contracts (Far East)		—	0.00	%		—	0.00	%		21,703		0.03	%		—	0.00	%
	Various energy futures contracts (U.S.)		—	0.00	%		—	0.00	%		694,557		1.01	%		—	0.00	%
	Crude Oil, Light Settling 2/1/2010 (Number of Contracts: 650)		—	0.00	%		—	0.00	%		(1,812,713	)	-2.64	%		—	0.00	%
	Crude Oil, Light Settling 4/1/2010 (Number of Contracts: 613)		—	0.00	%		—	0.00	%		(1,370,558	)	-2.00	%		—	0.00	%
	Natural Gas Settling 4/1/2010 (number of Contracts: 747)		—	0.00	%		—	0.00	%		1,627,470		2.37	%		—	0.00	%
	Natural Gas Settling 5/1/2010 (number of Contracts: 1,387)		—	0.00	%		—	0.00	%		941,441		1.37	%		—	0.00	%
	Various energy futures contracts (Europe)		—	0.00	%		—	0.00	%		(69,230	)	-0.10	%		—	0.00	%
	Various interest rates futures contracts (US)		—	0.00	%		—	0.00	%		361,042		0.53	%		—	0.00	%
	Various interest rates futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
	Various interest rates futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
	Various interest rates futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
	Various precious metals futures contracts (U.S.)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
	Various soft futures contracts (U.S.)		—	0.00	%		—	0.00	%		(1,126,898	)	-1.64	%		—	0.00	%
	Coffee @ CSCE Settling 3/1/2010 (Number of Contracts: 2,562)		—	0.00	%		—	0.00	%		7,791,994		11.36	%		—	0.00	%
	Coffee @ CSCE Settling 5/1/2010 (Number of Contracts: 456)		—	0.00	%		—	0.00	%		2,061,450		3.01	%		—	0.00	%
	Coffee @ CSCE Settling 7/1/2010 (Number of Contracts: 718)		—	0.00	%		—	0.00	%		3,021,281		4.41	%		—	0.00	%
	Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		5,063		0.01	%		—	0.00	%
	Various stock index futures contracts (U.S.)		—	0.00	%		—	0.00	%		(16,665	)	-0.02	%		—	0.00	%
	Various stock index futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%		—	0.00	%
	Various stock index futures contracts (Far East)		—	0.00	%		—	0.00	%		(1,461	)	0.00	%		—	0.00	%
	Total Short Futures Contracts	$	—	0.00	%	$	—	0.00	%	$	10,256,023		14.96	%	$	—	0.00	%
SHORT OPTIONS *		$	—	0.00	%	$	—	0.00	%	$	167,465		0.24	%	$	—	0.00	%
CURRENCY FORWARDS *		$	—	0.00	%	$	—	0.00	%	$	—		0.00	%	$	—	0.00	%
	Total Open Trade Equity	$	—	0.00	%	$	—	0.00	%	$	(518,490	)	-0.76	%	$	—	0.00	%
SWAPS (1)		$	8,550,639	15.18	%	$	10,027,253	1117.97	%	$	—		0.00	%	$	15,972,156	68.59	%
U.S. TREASURY SECURITIES
FACE VALUE		Fair Value				Fair Value				Fair Value					Fair Value
$36,500,000.00	US Treasury Note 3.875% due 02/15/2013 (Cost $38,125,391) (2)		3,875,920	6.88	%		1,367,142	152.43	%		3,271,669		4.77	%		1,688,715	7.25	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		3,889,723	6.91	%		1,372,011	152.97	%		3,283,321		4.79	%		1,694,729	7.28	%
		$	7,765,643	13.79	%	$	2,739,153	305.40	%	$	6,554,990		9.56	%	$	3,383,444	14.53	%

12

Additional Disclosure on U.S. Treasury Securities		Face Value		Face Value		Face Value		Face Value
	US Treasury Note 3.875% due 02/15/2013		3,639,895		1,283,890		3,072,440		1,585,880
	US Treasury Note 4.000% due 02/15/2015		3,659,840		1,290,925		3,089,276		1,594,570
		$	7,299,735	$	2,574,815	$	6,161,716	$	3,180,450
		Cost		Cost		Cost		Cost
	US Treasury Note 3.875% due 02/15/2013		3,801,984		1,341,063		3,209,260		1,656,502
	US Treasury Note 4.000% due 02/15/2015		3,791,079		1,337,216		3,200,055		1,651,750
		$	7,593,063	$	2,678,279	$	6,409,315	$	3,308,252

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

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

(2) Assets have been allocated to Series based on net assets which include inter-Series investments.

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

13

The Frontier Fund

Condensed Schedule of Investments

December 31, 2009

		Balanced Series						Campbell/Graham/Tiverton Series					Currency Series					Long Only Series
	Description	Value			% of Capital (Net Asset Value)			Value		% of Capital (Net Asset Value)			Value		% of Capital (Net Asset Value)			Value		% of Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	(102,978	)		-0.03	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
	Various base metals futures contracts (Europe)		22,207,995			5.48	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (U.S.)		81,706			0.02	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Canada)		—			0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		(97,838	)		-0.02	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (Far East)		32,904			0.01	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various energy futures contracts (U.S.)		572,173			0.14	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		155,870			0.04	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (U.S.)		(794,718	)		-0.20	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (Canada)		(31,250	)		-0.01	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		(477,750	)		-0.12	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (Far East)		24,871			0.01	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various precious metals futures contracts (U.S.)		(209,115	)		-0.05	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various precious metals futures contracts (Europe)		19,570			0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (U.S.)		913,853			0.23	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (Far East)		389,458			0.10	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		4,769			0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (Canada)		—			0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (U.S.)		1,067,750			0.26	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Canada)		—			0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		241,919			0.06	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Far East)		183,153			0.05	%		—		0.00	%		—		0.00	%		—		0.00	%
	Total Long Futures Contracts	$	24,182,342			5.97	%	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%

14

LONG OPTIONS *		$	(1,304,319	)	-0.32	%	$	—	0.00	%	$	—	0.00	%	$	—	0.00	%
SHORT FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	(170,634	)	-0.04	%	$	—	0.00	%	$	—	0.00	%	$	—	0.00	%
	Various base metals futures contracts (Europe)		5,803,306		1.43	%		—	0.00	%		—	0.00	%		—	0.00	%
	Copper @ LME Settling 3/17/2010 (Number of Contracts: 744)		(14,032,634	)	-3.47	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various currency futures contracts (US)		(41,610	)	-0.01	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various currency futures contracts (Canada)		—		0.00	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various currency futures contracts (Europe)		934,027		0.23	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various currency futures contracts (Far East)		—		0.00	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various energy futures contracts (U.S.)		(798,293	)	-0.20	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various energy futures contracts (Europe)		(203,350	)	-0.05	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various interest rates futures contracts (U.S.)		553,520		0.14	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various interest rates futures contracts (Canada)		(3,329	)	0.00	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various interest rates futures contracts (Europe)		1,038,814		0.26	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various interest rates futures contracts (Far East)		59,775		0.01	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various precious metals futures contracts (U.S.)		3,503,876		0.87	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various precious metals futures contracts (Europe)		(4,850,464	)	-1.20	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various soft futures contracts (U.S.)		68,903		0.02	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various soft futures contracts (Canada)		—		0.00	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various soft futures contracts (Europe)		(568,685	)	-0.14	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various stock index futures contracts (U.S.)		5,095		0.00	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various stock index futures contracts (Canada)		—		0.00	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various stock index futures contracts (Europe)		(11,061	)	0.00	%		—	0.00	%		—	0.00	%		—	0.00	%
	Various stock index futures contracts (Far East)		(282,798	)	-0.07	%		—	0.00	%		—	0.00	%		—	0.00	%
	Total Short Futures Contracts	$	(8,995,542	)	-2.22	%	$	—	0.00	%	$	—	0.00	%	$	—	0.00	%

15

SHORT OPTIONS *		$	(394,585	)	-0.10	%		$	—	0.00	%	$	201	0.00	%	$	—	0.00	%
CURRENCY FORWARDS *		$	(2,554,250	)	-0.63	%	��	$	—	0.00	%	$	19,263	0.19	%	$	—	0.00	%
	Total Open Trade Equity	$	10,933,646		2.70	%		$	—	0.00	%	$	19,464	0.19	%	$	—	0.00	%
SWAPS (1)		$	41,020,535		10.13	%		$	—	0.00	%	$	4,992,959	48.91	%	$	584,391	12.52	%
U.S. TREASURY SECURITIES
FACE VALUE		Fair Value						Fair Value				Fair Value				Fair Value
$36,500,000.00	US Treasury Note 3.875% due 02/15/2013 (Cost $38,125,391) (2)		15,888,706		3.92	%			3,677,298	4.63	%		1,255,016	12.29	%		285,162	6.11	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		15,945,292		3.94	%			3,690,395	4.65	%		1,259,485	12.34	%		286,177	6.13	%
		$	31,833,998		7.86	%		$	7,367,693	9.28	%	$	2,514,501	24.63	%	$	571,339	12.24	%
Additional Disclosure on U.S. Treasury Securities		Face Value						Face Value				Face Value				Face Value
	US Treasury Note 3.875% due 02/15/2013		14,921,160						3,453,369				1,178,591				267,797
	US Treasury Note 4.000% due 02/15/2015		15,002,920						3,472,291				1,185,049				269,264
		$	29,924,080					$	6,925,660			$	2,363,640			$	537,061
		Cost						Cost				Cost				Cost
	US Treasury Note 3.875% due 02/15/2013		15,585,618						3,607,152				1,231,075				279,722
	US Treasury Note 4.000% due 02/15/2015		15,540,915						3,596,805				1,227,544				278,920
		$	31,126,533					$	7,203,957			$	2,458,619			$	558,642

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

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

(2) Assets have been allocated to Series based on net assets which include inter-Series investments.

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

16

The Frontier Fund

Condensed Schedule of Investments

December 31, 2009

		Managed Futures Index Series					Winton Series					Winton/Graham Series
	Description	Value		% of Capital (Net Asset Value)			Value		% of Capital (Net Asset Value)			Value			% of Capital (Net Asset Value)
LONG FUTURES CONTRACTS
	Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	1,403			0.00	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		1,132,371			1.66	%
	Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		(60	)		0.00	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		(49,882	)		-0.07	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
	Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		78,236			0.11	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		46,060			0.07	%
	Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		(738	)		0.00	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		(22,874	)		-0.03	%
	Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		(404,032	)		-0.59	%
	Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		9,295			0.01	%
	Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		(62,250	)		-0.09	%
	Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		213,979			0.31	%
	Various soft futures contracts (Far East)		—		0.00	%		—		0.00	%		39,774			0.06	%
	Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
	Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		(52,431	)		-0.08	%
	Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		17,967			0.03	%

17

	Various stock index futures contracts (Europe)		—	0.00	%		—	0.00	%		17,477		0.03	%
	Various stock index futures contracts (Far East)		—	0.00	%		—	0.00	%		94,269		0.14	%
	Total Long Futures Contracts	$	—	0.00	%	$	—	0.00	%	$	1,058,564		1.56	%
LONG OPTIONS *		$	—	0.00	%	$	—	0.00	%	$	—		0.00	%
SHORT FUTURES CONTRACTS
	Various base metals futures contracts (U.S.)	$	—	0.00	%	$	—	0.00	%	$	7,800		0.01	%
	Various base metals futures contracts (Europe)		—	0.00	%		—	0.00	%		(508,727	)	-0.75	%
	Various currency futures contracts (U.S.)		—	0.00	%		—	0.00	%		4,708		0.01	%
	Various currency futures contracts (Canada)		—	0.00	%		—	0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		—	0.00	%		—	0.00	%		(1,907	)	0.00	%
	Various currency futures contracts (Far East)		—	0.00	%		—	0.00	%		(3,276	)	0.00	%
	Various energy futures contracts (U.S.)		—	0.00	%		—	0.00	%		18,764		0.03	%
	Various interest rates futures contracts (US)		—	0.00	%		—	0.00	%		—		0.00	%
	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	%		35,289		0.05	%
	Various precious metals futures contracts (U.S.)		—	0.00	%		—	0.00	%		—		0.00	%
	Various soft futures contracts (U.S.)		—	0.00	%		—	0.00	%		16,048		0.02	%
	Various soft futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%
	Various stock index futures contracts (U.S.)		—	0.00	%		—	0.00	%		(2,250	)	0.00	%
	Various stock index futures contracts (Europe)		—	0.00	%		—	0.00	%		—		0.00	%
	Various stock index futures contracts (Far East)		—	0.00	%		—	0.00	%		—		0.00	%
	Total Short Futures Contracts	$	—	0.00	%	$	—	0.00	%	$	(433,551	)	-0.64	%

18

SHORT OPTIONS *		$	—	0.00	%	$	—	0.00	%	$	—	0.00	%
CURRENCY FORWARDS *		$	—	0.00	%	$	—	0.00	%	$	185,176	0.27	%
	Total Open Trade Equity	$	—	0.00	%	$	—	0.00	%	$	810,189	1.19	%
SWAPS (1)		$	—	0.00	%	$	—	0.00	%	$	—	0.00	%
FACE VALUE		Fair Value				Fair Value				Fair Value
$36,500,000.00	US Treasury Note 3.875% due 02/15/2013 (Cost $38,125,391) (2)		208,554	5.53	%		3,556,260	6.09	%		3,792,359	5.57	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039 (2)		209,297	5.55	%		3,568,925	6.11	%		3,805,865	5.59	%
		$	417,851	11.08	%	$	7,125,185	12.20	%	$	7,598,224	11.16	%
Additional Disclosure on U.S. Treasury Securities		Face Value				Face Value				Face Value
	US Treasury Note 3.875% due 02/15/2013		195,854				3,339,701				3,561,423
	US Treasury Note 4.000% due 02/15/2015		196,927				3,358,001				3,580,937
		$	392,781			$	6,697,702			$	7,142,360
		Cost				Cost				Cost
	US Treasury Note 3.875% due 02/15/2013		204,576				3,488,422				3,720,017
	US Treasury Note 4.000% due 02/15/2015		203,989				3,478,416				3,709,347
		$	408,565			$	6,966,838			$	7,429,364

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

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

(2) Assets have been allocated to Series based on net assets which include inter-Series investments.

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

19

The Frontier Fund

Statements of Operations

For the Three Months Ended September 30, 2010 and 2009

	Frontier Diversified Series						Frontier Dynamic Series						Frontier Long/Short Commodity Series
	(Unaudited)						(Unaudited)						(Unaudited)
	9/30/2010			9/30/2009			9/30/2010			9/30/2009			9/30/2010			9/30/2009
Investment Income:
Interest - net	$	646,659		$	173,574		$	116,249		$	129,833		$	322,967		$	292,640
Total Income		646,659			173,574			116,249			129,833			322,967			292,640
Expenses:
Incentive Fees		1,267,393			103,872			—			—			671,536			394,978
Management Fees		346,547			61,573			—			—			848,660			756,119
Service Fees - Class 1		413,129			37,029			24,121			19,136			278,215			355,681
Trading Fees		767,690			238,385			173,065			175,705			105,479			84,684
Total Expenses		2,794,759			440,859			197,186			194,841			1,903,890			1,591,462
Investment gain/(loss) - net		(2,148,100	)		(267,285	)		(80,937	)		(65,008	)		(1,580,923	)		(1,298,822	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		—			—			—			—			—			53,306,171
Net change in open trade equity		—			—			—			—			—			(51,160,135	)
Net unrealized gain/(loss) on swap contracts		471,177			129,598			615,909			8,640			—			—
Net unrealized gain/(loss) on U.S. Treasury Securities		172,284			44,283			30,626			28,009			83,741			65,992
Trading commissions		—			—			—			—			—			(819,160	)
Net change in inter-series payables		—			(451,702	)		(538,834	)		26,501						—
Equity in earnings/(loss) from unconsolidated trading companies		6,514,961			693,855			—			—			7,810,165			266,024
Net gain/(loss) on investments		7,158,422			416,034			107,701			63,150			7,893,906			1,658,892
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		5,010,322			148,749			26,764			(1,858	)		6,312,983			360,070
Less: Operations attributable to Non-controlling interests		—			—			—			—			—			(424,637	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	5,010,322		$	148,749		$	26,764		$	(1,858	)	$	6,312,983		$	784,707
NET INCOME/(LOSS) PER UNIT
Class 1	$	3.18		$	0.84		$	1.36		$	(0.51	)	$	10.30		$	1.04
Class 1a		N/A			N/A			N/A			N/A		$	9.14		$	1.04
Class 2	$	3.69		$	1.29		$	1.79		$	(0.09	)	$	12.73		$	2.06
Class 2a		N/A			N/A			N/A			N/A		$	9.77		$	1.45
Class 3		N/A			N/A			N/A			N/A		$	12.74		$	2.07

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

20

The Frontier Fund

Statements of Operations

For the Three Months Ended September 30, 2010 and 2009

	Frontier Masters Series						Balanced Series						Campbell/Graham/Tiverton Series
	(Unaudited)						(Unaudited)						(Unaudited)
	9/30/2010			9/30/2009			9/30/2010			9/30/2009			9/30/2010			9/30/2009
Investment Income:
Interest - net	$	296,656		$	127,057		$	68,974		$	304,459		$	2,477		$	70,057
Total Income		296,656			127,057			68,974			304,459			2,477			70,057
Expenses:
Incentive Fees		251,849			—			4,587,441			1,617,711			—			218,702
Management Fees		323,238			114,063			708,595			258,424			595,454			577,342
Service Fees - Class 1		194,727			22,973			2,108,525			2,346,679			466,266			537,325
Trading Fees		436,490			173,101			452,155			426,936			87,185			101,597
Total Expenses		1,206,304			310,137			7,856,716			4,649,750			1,148,905			1,434,966
Investment gain/(loss) - net		(909,648	)		(183,080	)		(7,787,742	)		(4,345,291	)		(1,146,428	)		(1,364,909	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		—			—			1,328,223			(173,572	)		1,458,228			—
Net change in open trade equity		—			—			13,136,854			11,495,083			2,312,451			—
Net unrealized gain/(loss) on swap contracts		1,678,264			(191,513	)		3,777,564			463,817			—			—
Net unrealized gain/(loss) on U.S. Treasury Securities		79,808			28,097			265,923			268,598			65,319			76,368
Trading commissions		—			—			(1,137,704	)		(440,022	)		(30,991	)		—
Net change in inter-series receivables		—			—			1,604,697			141,506			—			—
Net change in inter-series payables		(826,991	)		(222,585	)		—			—			—			—
Equity in earnings/(loss) from unconsolidated trading companies		3,670,520			651,946			12,676,981			220,063			1,741,382			3,933,641
Net gain/(loss) on investments		4,601,601			265,945			31,652,538			11,975,473			5,546,389			4,010,009
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		3,691,953			82,865			23,864,796			7,630,182			4,399,961			2,645,100
Less: Operations attributable to Non-controlling interests		—			—			5,049,405			2,478,828			1,045,155			—
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	3,691,953		$	82,865		$	18,815,391		$	5,151,354		$	3,354,806		$	2,645,100
NET INCOME/(LOSS) PER UNIT
Class 1	$	5.73		$	0.35		$	6.22		$	1.39		$	4.84		$	3.26
Class 1a		N/A			N/A		$	5.25		$	1.07			N/A			N/A
Class 2	$	6.29		$	0.79		$	8.56		$	2.68		$	6.63		$	4.63
Class 2a		N/A			N/A		$	6.90		$	2.09			N/A			N/A
Class 3a		N/A			N/A		$	6.87		$	2.08			N/A			N/A

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

21

The Frontier Fund

Statements of Operations

For the Three Months Ended September 30, 2010 and 2009

	Currency Series						Long Only Commodity Series						Managed Futures Index Series
	(Unaudited)						(Unaudited)						(Unaudited)
	9/30/2010			9/30/2009			9/30/2010			9/30/2009			9/30/2010			9/30/2009
Investment Income:
Interest - net	$	29,500		$	21,513		$	19,768		$	19,060		$	11,074		$	19,088
Total Income		29,500			21,513			19,768			19,060			11,074			19,088
Expenses:
Management Fees		41,317			38,751			12,434			13,603			31,077			21,711
Service Fees - Class 1		52,636			72,949			15,600			17,712			8,259			10,670
Trading Fees		25,650			31,210			4,735			5,423			6,860			5,491
Total Expenses		119,603			142,910			32,769			36,738			46,196			37,872
Investment gain/(loss) - net		(90,103	)		(121,397	)		(13,001	)		(17,678	)		(35,122	)		(18,784	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		(40,159	)		(103,475	)		—			—			—			—
Net realized gain/(loss) on swap contracts		—			—			384,577			152,294			—			—
Net change in open trade equity		29,630			32,902			—			—			—			—
Net unrealized gain/(loss) on swap contracts		409,049			(892,495	)		—			—			—			—
Net unrealized gain/(loss) on U.S. Treasury Securities		22,056			22,748			5,199			4,481			2,088			3,933
Net change in inter-series payables		(238,872	)		506,280			—			—			—			—
Equity in earnings/(loss) from unconsolidated trading companies		—			—			—			—			27,078			(86,313	)
Net gain/(loss) on investments		181,704			(434,040	)		389,776			156,775			29,166			(82,380	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	91,601		$	(555,437	)	$	376,775		$	139,097		$	(5,956	)	$	(101,164	)
NET INCOME/(LOSS) PER UNIT
Class 1	$	0.89		$	(3.91	)	$	7.63		$	2.35		$	(0.45	)	$	(3.08	)
Class 2	$	1.78		$	(3.77	)	$	8.79		$	2.75		$	0.14		$	(2.65	)

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

22

The Frontier Fund

Statements of Operations

For the Three Months Ended September 30, 2010 and 2009

	Winton Series						Winton/Graham Series
	(Unaudited)						(Unaudited)
	9/30/2010			9/30/2009			9/30/2010			9/30/2009
Investment Income:
Interest - net	$	98,828		$	53,124		$	69,885		$	55,724
Total Income		98,828			53,124			69,885			55,724
Expenses:
Incentive Fees		66,904			—			97,195			256,842
Management Fees		381,662			328,132			488,971			438,658
Service Fees - Class 1		361,796			387,216			336,344			367,929
Trading Fees		72,608			76,757			70,396			76,851
Total Expenses		882,970			792,105			992,906			1,140,280
Investment gain/(loss) - net		(784,142	)		(738,981	)		(923,021	)		(1,084,556	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		—			—			(184,898	)		4,142,722
Net change in open trade equity		—			—			2,653,269			1,987,351
Net unrealized gain/(loss) on U.S. Treasury Securities		80,813			54,429			73,311			58,162
Trading commissions		—			—			(134,492	)		(156,002	)
Equity in earnings/(loss) from unconsolidated trading companies		2,345,578			1,101,443			1,299,044			492,187
Net gain/(loss) on investments		2,426,391			1,155,872			3,706,234			6,524,420
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		1,642,249			416,891			2,783,213			5,439,864
Less: Operations attributable to Non-controlling interests		—			—			1,083,498			2,782,172
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	1,642,249		$	416,891		$	1,699,715		$	2,657,692
NET INCOME/(LOSS) PER UNIT
Class 1	$	3.43		$	0.68		$	3.20		$	4.49
Class 2	$	4.98		$	1.72		$	4.82		$	6.14

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

23

The Frontier Fund

Statements of Operations

For the Nine Months Ended September 30, 2010 and 2009

	Frontier Diversified Series (1)						Frontier Dynamic Series (1)						Frontier Long/Short Commodity Series (2)
	(Unaudited)						(Unaudited)						(Unaudited)
	9/30/2010			9/30/2009			9/30/2010			9/30/2009			9/30/2010			9/30/2009
Investment Income:
Interest - net	$	1,574,200		$	208,849		$	339,411		$	160,028		$	824,875		$	936,679
Total Income		1,574,200			208,849			339,411			160,028			824,875			936,679
Expenses:
Incentive Fees		2,307,523			145,898			—			—			1,337,973			1,660,433
Management Fees		751,117			74,811			—			—			2,461,217			2,056,185
Service Fees - Class 1		981,435			42,281			66,679			23,633			899,900			1,083,458
Trading Fees		1,809,334			287,854			509,687			218,030			298,406			259,232
Total Expenses		5,849,409			550,844			576,366			241,663			4,997,496			5,059,308
Investment gain/(loss) - net		(4,275,209	)		(341,995	)		(236,955	)		(81,635	)		(4,172,621	)		(4,122,629	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		59,525			—			—			—			(24,029,653	)		41,623,183
Net change in open trade equity		(705,094	)		—			—			—			18,487,270			(20,647,197	)
Net unrealized gain/(loss) on swap contracts		73,268			(243,013	)		412,897			(873,491	)		—			—
Net unrealized gain/(loss) on U.S. Treasury Securities		509,695			102,544			111,227			77,722			314,203			(299,932	)
Trading commissions		(13,917	)		—			—			—			(444,193	)		(1,827,550	)
Net change in inter-series payables		(177,180	)		173,849			(279,178	)		873,964			—			—
Equity in earnings/(loss) from unconsolidated trading companies		11,139,010			456,353			—			—			9,729,242			233,271
Net gain/(loss) on investments		10,885,307			489,733			244,946			78,195			4,056,869			19,081,775
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		6,610,098			147,738			7,991			(3,440	)		(115,752	)		14,959,146
Less: Operations attributable to Non-controlling interests		(157,005	)		—			—			—			(2,913,121	)		8,757,728
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	6,767,103		$	147,738		$	7,991		$	(3,440	)	$	2,797,369		$	6,201,418
NET INCOME/(LOSS) PER UNIT
Class 1	$	3.89		$	(1.05	)	$	(0.28	)	$	(3.44	)	$	3.78		$	9.83
Class 1a		N/A			N/A			N/A			N/A		$	3.73		$	(1.43	)
Class 2	$	5.26		$	(0.50	)	$	0.93		$	(2.91	)	$	7.22		$	13.30
Class 2a		N/A			N/A			N/A			N/A		$	5.13		$	(0.91	)
Class 3		N/A			N/A			N/A			N/A		$	7.22		$	(0.12	)

(1) The Frontier Diversified Series and Frontier Dynamic Series began trading operations on June 9, 2009

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

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

24

The Frontier Fund

Statements of Operations

For the Nine Months Ended September 30, 2010 and 2009

	Frontier Masters Series (1)						Balanced Series (2)						Campbell/Graham/Tiverton Series
	(Unaudited)						(Unaudited)						(Unaudited)
	9/30/2010			9/30/2009			9/30/2010			9/30/2009			9/30/2010			9/30/2009
Investment Income:
Interest - net	$	775,234		$	155,405		$	356,093		$	707,619		$	3,071		$	267,239
Total Income		775,234			155,405			356,093			707,619			3,071			267,239
Expenses:
Incentive Fees		274,130			9,073			10,520,127			5,567,945			—			216,562
Management Fees		767,223			139,150			1,607,205			1,115,570			1,771,056			1,677,638
Service Fees - Class 1		456,099			27,199			6,380,801			6,776,656			1,441,933			1,606,061
Trading Fees		1,117,972			212,853			1,324,659			1,489,970			270,272			319,092
Total Expenses		2,615,424			388,275			19,832,792			14,950,141			3,483,261			3,819,353
Investment gain/(loss) - net		(1,840,190	)		(232,870	)		(19,476,699	)		(14,242,522	)		(3,480,190	)		(3,552,114	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		—			—			2,214,079			7,833,223			2,536,629			(1,617,478	)
Net change in open trade equity		—			—			13,608,273			(1,580,619	)		2,115,828			(760,231	)
Net unrealized gain/(loss) on swap contracts		1,858,000			(381,111	)		5,073,412			(1,772,033	)		—			—
Net unrealized gain/(loss) on U.S. Treasury Securities		250,954			75,024			1,089,019			(2,012,107	)		262,708			(405,814	)
Trading commissions		—			—			(2,836,771	)		(1,023,480	)		(62,407	)		(99,835	)
Net change in inter-series receivables		—			—			2,031,314			(2,952,965	)		—			—
Net change in inter-series payables		(829,341	)		316,111			—			—			—			—
Equity in earnings/(loss) from unconsolidated trading companies		4,212,559			304,624			30,561,875			6,916,896			496,916			1,327,034
Net gain/(loss) on investments		5,492,172			314,648			51,741,201			5,408,915			5,349,674			(1,556,324	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		3,651,982			81,778			32,264,502			(8,833,607	)		1,869,484			(5,108,438	)
Less: Operations attributable to Non-controlling interests		—			—			5,259,087			(1,443,690	)		1,281,754			(1,336,526	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	3,651,982		$	81,778		$	27,005,415		$	(7,389,917	)	$	587,730		$	(3,771,912	)
NET INCOME/(LOSS) PER UNIT
Class 1	$	4.93		$	(1.68	)	$	8.57		$	(2.72	)	$	0.97		$	(5.25	)
Class 1a		N/A			N/A		$	6.92		$	(2.88	)		N/A			N/A
Class 2	$	6.31		$	(1.13	)	$	13.45		$	0.08		$	3.90		$	(3.22	)
Class 2a		N/A			N/A		$	10.56		$	(0.48	)		N/A			N/A
Class 3a		N/A			N/A		$	10.54		$	(1.15	)		N/A			N/A

(1) The Frontier Masters Series began trading operations on June 9, 2009

(2) The Balanced Series Class 3 Units began trading operations on June 3, 2009

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

25

The Frontier Fund

Statements of Operations

For the Nine Months Ended September 30, 2010 and 2009

	Currency Series						Long Only Commodity Series						Managed Futures Index Series
	(Unaudited)						(Unaudited)						(Unaudited)
	9/30/2010			9/30/2009			9/30/2010			9/30/2009			9/30/2010			9/30/2009
Investment Income:
Interest - net	$	97,266		$	56,439		$	63,350		$	55,508		$	26,488		$	51,136
Total Income		97,266			56,439			63,350			55,508			26,488			51,136
Expenses:
Management Fees		122,172			120,235			39,424			38,594			88,027			56,805
Service Fees - Class 1		166,131			236,328			48,657			50,304			25,598			31,533
Trading Fees		77,390			110,991			14,996			15,413			19,813			14,694
Total Expenses		365,693			467,554			103,077			104,311			133,438			103,032
Investment gain/(loss) - net		(268,427	)		(411,115	)		(39,727	)		(48,803	)		(106,950	)		(51,896	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		252,605			(190,562	)		—			—			—			—
Net realized gain/(loss) on swap contracts		—			—			(47,004	)		510,253			—			—
Net change in open trade equity		43,722			7,757			—			—			—			—
Net unrealized gain/(loss) on swap contracts		962,169			(2,642,481	)		—			—			—			—
Net unrealized gain/(loss) on U.S. Treasury Securities		87,264			(140,507	)		20,877			(18,199	)		6,633			(18,568	)
Net change in inter-series payables		(745,615	)		1,589,041			—			—			—			—
Equity in earnings/(loss) from unconsolidated trading companies		—			—			—			—			219,536			(324,097	)
Net gain/(loss) on investments		600,145			(1,376,752	)		(26,127	)		492,054			226,169			(342,665	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	331,718		$	(1,787,867	)	$	(65,854	)	$	443,251		$	119,219		$	(394,561	)
NET INCOME/(LOSS) PER UNIT
Class 1	$	2.91		$	(12.32	)	$	(0.75	)	$	7.17		$	2.02		$	(14.45	)
Class 2	$	5.55		$	(11.83	)	$	0.54		$	8.64		$	4.04		$	(13.46	)

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

26

The Frontier Fund

Statements of Operations

For the Nine Months Ended September 30, 2010 and 2009

	Winton Series						Winton/Graham Series
	(Unaudited)						(Unaudited)
	9/30/2010			9/30/2009			9/30/2010			9/30/2009
Investment Income:
Interest - net	$	191,277		$	296,808		$	208,357		$	199,524
Total Income		191,277			296,808			208,357			199,524
Expenses:
Incentive Fees		66,904			(21,347	)		97,195			251,038
Management Fees		1,155,722			1,049,242			1,444,104			1,093,344
Service Fees - Class 1		1,082,808			1,249,973			1,021,445			1,031,526
Trading Fees		216,584			255,442			213,476			207,959
Total Expenses		2,522,018			2,533,310			2,776,220			2,583,867
Investment gain/(loss) - net		(2,330,741	)		(2,236,502	)		(2,567,863	)		(2,384,343	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		—			(4,684,999	)		(523,400	)		4,592,315
Net change in open trade equity		—			(3,608,807	)		1,421,122			2,233,216
Net unrealized gain/(loss) on U.S. Treasury Securities		301,766			(361,497	)		281,246			(286,546	)
Trading commissions		—			(36,659	)		(435,200	)		(229,556	)
Equity in earnings/(loss) from unconsolidated trading companies		8,304,191			316,100			4,339,120			(3,259,357	)
Net gain/(loss) on investments		8,605,957			(8,375,862	)		5,082,888			3,050,072
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		6,275,216			(10,612,364	)		2,515,025			665,729
Less: Operations attributable to Non-controlling interests		—			(4,066,993	)		328,811			3,081,608
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	6,275,216		$	(6,545,371	)	$	2,186,214		$	(2,415,879	)
NET INCOME/(LOSS) PER UNIT
Class 1	$	12.74		$	(12.29	)	$	3.84		$	(5.24	)
Class 2	$	17.38		$	(10.32	)	$	7.50		$	(3.05	)

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

27

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2010

	Frontier Diversified Series																Frontier Dynamic Series
	(Unaudited)																(Unaudited)
	Class 1		Class 1			Class 2		Class 2									Class 1			Class 1			Class 2		Class 2
	Managing Owner		Limited Owners			Managing Owner		Limited Owners			Non-Controlling Interests			Total			Managing Owner			Limited Owners			Managing Owner		Limited Owners			Total
Capital (Net Asset Value), December 31, 2009	$	26,621	$	32,933,919		$	543,790	$	22,811,789		$	—		$	56,316,119		$	25,142		$	581,113		$	25,370	$	265,292		$	896,917
Sale of Units		—		48,657,844			965,000		38,643,141			—			88,265,985			—			830,542			—		108,167			938,709
Redemption of Units		—		(1,309,369	)		—		(1,005,213	)		—			(2,314,582	)		—			(164,115	)		—		(19,404	)		(183,519	)
Change in control of ownership - Trading Companies		—		—			—		—			172,237			172,237			—			—			—		—			—
Contributions		—		—			—		—			—			—			—			—			—		—			—
Distributions		—		—			—		—			(15,232	)		(15,232	)		—			—			—		—			—
Operations attributable to Non-controlling interests		—		—			—		—			(157,005	)		(157,005	)		—			—			—		—			—
Net increase/(decrease) in Owners’ Capital resulting from operations		1,068		3,653,282			66,058		3,046,695			—			6,767,103			(75	)		3,409			256		4,401			7,991
Capital (Net Asset Value), September 30, 2010	$	27,689	$	83,935,676		$	1,574,848	$	63,496,412		$	—		$	149,034,625		$	25,067		$	1,250,949		$	25,626	$	358,456		$	1,660,098
Capital - Units, December 31, 2009		275		340,214			5,562		233,312			—			579,363			275			6,356			275		2,876			9,782
Sale of Units		—		506,899			9,723		393,122			—			909,744			—			9,189			—		1,183			10,372
Redemption of Units		—		(13,483	)		—		(10,154	)		—			(23,637	)		—			(1,821	)		—		(212	)		(2,033	)
Capital - Units, September 30, 2010		275		833,630			15,285		616,280			—			1,465,470			275			13,724			275		3,847			18,121
				(1	)				(1	)											(1	)				(1	)
Net asset value per unit at December 31, 2009			$	96.80				$	97.77											$	91.43				$	92.25
Change in net asset value per unit for three months ended March 31, 2010				(1.31	)				(0.91	)											(0.82	)				(0.43	)
Net asset value per unit at March 31, 2010				95.49					96.86												90.61					91.82
Change in net asset value per unit for three months ended June 30, 2010				2.02					2.48												(0.82	)				(0.43	)
Net asset value per unit at June 30, 2010				97.51					99.34												89.79					91.39
Change in net asset value per unit for three months ended September 30, 2010				3.18					3.69												1.36					1.79
Net asset value per unit at September 30, 2010			$	100.69				$	103.03											$	91.15				$	93.18

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

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

28

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2010

	Frontier Long/Short Commodity Series
	(Unaudited)
	Class 1			Class 2					Class 3			Class 1a		Class 1a			Class 2a		Class 2a
	Limited Owners			Managing Owner		Limited Owners			Limited Owners			Managing Owner		Limited Owners			Managing Owner		Limited Owners			Non-Controlling Interests			Total
Capital (Net Asset Value), December 31, 2009	$	45,759,225		$	1,089,327	$	13,896,776		$	6,140,056		$	27,911	$	1,064,105		$	28,183	$	848,349		$	(286,801	)	$	68,567,131
Sale of Units		90,657			—		—			8,134,168			—		2,368,157			—		1,402,955			—			11,995,937
Redemption of Units		(11,418,605	)		—		(1,300,178	)		(1,231,045	)		—		(138,666	)		—		(146,649	)		—			(14,235,143	)
Change in control of ownership - Trading Companies		—			—		—			—			—		—			—		—			3,199,922			3,199,922
Contributions		—			—		—			—			—		—			—		—			—			—
Distributions		—			—		—			—			—		—			—		—			—			—
Operations attributable to Non-controlling interests		—			—		—			—			—		—			—		—			(2,913,121	)		(2,913,121	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		674,312			61,688		695,661			1,025,824			1,023		193,709			1,410		143,742			—			2,797,369
Capital (Net Asset Value), September 30, 2010	$	35,105,589		$	1,151,015	$	13,292,259		$	14,069,003		$	28,934	$	3,487,305		$	29,593	$	2,248,397		$	—		$	69,412,095
Capital - Units, December 31, 2009		402,206			8,544		109,000			48,162			275		10,484			275		8,278			—			587,224
Sale of Units		817			—		—			66,073			—		24,039			—		14,075			—			105,004
Redemption of Units		(104,382	)		—		(10,329	)		(9,793	)		—		(1,379	)		—		(1,459	)		—			(127,342	)
Capital - Units, September 30, 2010		298,641			8,544		98,671			104,442			275		33,144			275		20,894			—			564,886
							(1	)							(1	)				(1	)
Net asset value per unit at December 31, 2009	$	113.77				$	127.49		$	127.49				$	101.49				$	102.48
Change in net asset value per unit for three months ended March 31, 2010		(2.61	)				(2.00	)		(2.01	)				(2.18	)				(1.80	)
Net asset value per unit at March 31, 2010		111.16					125.49			125.48					99.31					100.68
Change in net asset value per unit for three months ended June 30, 2010		(3.91	)				(3.51	)		(3.51	)				(3.23	)				(2.84	)
Net asset value per unit at June 30, 2010		107.25					121.98			121.97					96.08					97.84
Change in net asset value per unit for three months ended September 30, 2010		10.30					12.73			12.74					9.14					9.77
Net asset value per unit at September 30, 2010	$	117.55				$	134.71		$	134.71				$	105.22				$	107.61

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

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

29

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2010

	Frontier Masters Series													Balanced Series
	(Unaudited)													(Unaudited)
	Class 1		Class 1			Class 2		Class 2						Class 1			Class 1a			Class 2						Class 2a					Class 3a
	Managing Owner		Limited Owners			Managing Owner		Limited Owners			Total			Limited Owners			Limited Owners			Managing Owner			Limited Owners			Managing Owner		Limited Owners			Limited Owners			Non- Controlling Interests			Total
Capital (Net Asset Value), December 31, 2009	$	25,977	$	14,697,353		$	210,351	$	8,353,506		$	23,287,187		$	286,024,307		$	9,150,114		$	3,697,180		$	73,674,986		$	145,517	$	3,153,049		$	1,170,746		$	27,918,797		$	404,934,696
Sale of Units		—		22,545,994			425,000		14,807,494			37,778,488			535,394			23,736			—			14,425			—		—			3,223,780			—			3,797,335
Redemption of Units		—		(1,334,087	)		—		(1,280,374	)		(2,614,461	)		(21,007,752	)		(4,291,430	)		(1,310,000	)		(7,136,555	)		—		(163,315	)		(927,751	)		—			(34,836,803	)
Change in control of ownership - Trading Companies		—		—			—		—			—			—			—			—			—			—		—			—			(16,037,285	)		(16,037,285	)
Contributions		—		—			—		—			—			—			—			—			—			—		—			—			22,987,641			22,987,641
Distributions		—		—			—		—			—			—			—			—			—			—		—			—			(1,782	)		(1,782	)
Operations attributable to Non-controlling interests		—		—			—		—			—			—			—			—			—			—		—			—			5,259,087			5,259,087
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		1,354		2,036,355			34,309		1,579,964			3,651,982			19,328,431			279,557			175,019			6,606,569			13,058		267,477			335,304			—			27,005,415
Capital (Net Asset Value), September 30, 2010	$	27,331	$	37,945,615		$	669,660	$	23,460,590		$	62,103,196		$	284,880,380		$	5,161,977		$	2,562,199		$	73,159,425		$	158,575	$	3,257,211		$	3,802,079		$	40,126,458		$	413,108,304
Capital - Units, December 31, 2009		275		155,589			2,206		87,587			245,657			2,412,953			86,734			26,596			529,981			1,237		26,811			9,955			—			3,094,267
Sale of Units		—		240,414			4,380		156,465			401,259			4,500			227			—			103			—		—			27,402			—			32,232
Redemption of Units		—		(14,203	)		—		(13,320	)		(27,523	)		(176,277	)		(41,043	)		(9,790	)		(50,209	)		—		(1,395	)		(7,686	)		—			(286,400	)
Capital - Units, September 30, 2010		275		381,800			6,586		230,732			619,393			2,241,176			45,918			16,806			479,875			1,237		25,416			29,671			—			2,840,099
				(1	)				(1	)														(1	)				(1	)
Net asset value per unit at December 31, 2009			$	94.46				$	95.37					$	118.54		$	105.50					$	139.01				$	117.60		$	117.60
Change in net asset value per unit for three months ended March 31, 2010				0.24					0.66						(0.73	)		(0.84	)					0.17					(0.07	)		(0.06	)
Net asset value per unit at March 31, 2010				94.70					96.03						117.81			104.66						139.18					117.53			117.54
Change in net asset value per unit for three months ended June 30, 2010				(1.04	)				(0.64	)					3.08			2.51						4.72					3.73			3.73
Net asset value per unit at June 30, 2010				93.66					95.39						120.89			107.17						143.90					121.26			121.27
Change in net asset value per unit for three months ended September 30, 2010				5.73					6.29						6.22			5.25						8.56					6.90			6.87
Net asset value per unit at September 30, 2010			$	99.39				$	101.68					$	127.11		$	112.42					$	152.46				$	128.16		$	128.14

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

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

30

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2010

	Campbell/Graham/Tiverton Series														Currency Series
	(Unaudited)														(Unaudited)
	Class 1			Class 2											Class 1			Class 2
	Limited Owners			Managing Owner		Limited Owners			Non-Controlling Interests			Total			Limited Owners			Managing Owner			Limited Owners			Total
Capital (Net Asset Value), December 31, 2009	$	69,447,366		$	125,510	$	9,789,484		$	—		$	79,362,360		$	7,934,382		$	574,384		$	1,699,362		$	10,208,128
Sale of Units		94,551			—		—			—			94,551			50,013			—			—			50,013
Redemption of Units		(6,200,049	)		—		(1,888,418	)		—			(8,088,467	)		(1,348,840	)		(570,000	)		(955,199	)		(2,874,039	)
Change in control of ownership - Trading Companies		—			—		—			(4,603,732	)		(4,603,732	)		—			—			—			—
Contributions		—			—		—			6,639,948			6,639,948			—			—			—			—
Distributions		—			—		—			—			—			—			—			—			—
Operations attributable to Non-controlling interests		—			—		—			1,281,754			1,281,754			—			—			—			—
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		381,533			4,041		202,156			—			587,730			282,654			(1,550	)		50,614			331,718
Capital (Net Asset Value), September 30, 2010	$	63,723,401		$	129,551	$	8,103,222		$	3,317,970		$	75,274,144		$	6,918,209		$	2,834		$	794,777		$	7,715,820
Capital - Units, December 31, 2009		663,631			1,036		80,841			—			745,508			101,722			6,289			18,605			126,616
Sale of Units		930			—		—			—			930			629			—			—			629
Redemption of Units		(61,207	)		—		(16,012	)		—			(77,219	)		(16,842	)		(6,260	)		(10,402	)		(33,504	)
Capital - Units, September 30, 2010		603,354			1,036		64,829			—			669,219			85,509			29			8,203			93,741
							(1	)														(1	)
Net asset value per unit at December 31, 2009	$	104.65				$	121.10								$	78.00					$	91.34
Change in net asset value per unit for three months ended March 31, 2010		(3.40	)				(3.07	)								1.50						2.45
Net asset value per unit at March 31, 2010		101.25					118.03									79.50						93.79
Change in net asset value per unit for three months ended June 30, 2010		(0.47	)				0.34									0.52						1.32
Net asset value per unit at June 30, 2010		100.78					118.37									80.02						95.11
Change in net asset value per unit for three months ended September 30, 2010		4.84					6.63									0.89						1.78
Net asset value per unit at September 30, 2010	$	105.62				$	125.00								$	80.91					$	96.89

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

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

31

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2010

	Long Only Commodity Series												Managed Futures Index Series
	(Unaudited)												(Unaudited)
	Class 1			Class 2									Class 1				Class 2
	Limited Owners			Managing Owner			Limited Owners			Total			Limited Owners				Managing Owner		Limited Owners			Total
Capital (Net Asset Value), December 31, 2009	$	3,711,581		$	133,513		$	821,231		$	4,666,325		$	1,831,435			$	259,205	$	1,682,569		$	3,773,209
Sale of Units		690			—			—			690			—				2,000,000		—			2,000,000
Redemption of Units		(423,936	)		(80,000	)		(82,389	)		(586,325	)		(241,883	)			—		(135,816	)		(377,699	)
Net increase/(decrease) in Owners’ Capital resulting from operations		(56,111	)		(8,658	)		(1,085	)		(65,854	)		29,746				35,806		53,667			119,219
																��
Capital (Net Asset Value), September 30, 2010	$	3,232,224		$	44,855		$	737,757		$	4,014,836		$	1,619,298			$	2,295,011	$	1,600,420		$	5,514,729
Capital - Units, December 31, 2009		44,405			1,479			9,095			54,979			16,274				2,137		13,874			32,285
Sale of Units		9			—			—			9			—				16,177		—			16,177
Redemption of Units		(5,397	)		(985	)		(974	)		(7,356	)		(2,139	)			—		(1,104	)		(3,243	)
Capital - Units, September 30, 2010		39,017			494			8,121			47,632			14,135				18,314		12,770			45,219
								(1	)											(1	)
Net asset value per unit at December 31, 2009	$	83.59					$	90.30					$	112.54					$	121.28
Change in net asset value per unit for three months ended March 31, 2010		(3.39	)					(3.24	)					(1.00	)					(0.48	)
Net asset value per unit at March 31, 2010		80.20						87.06						111.54						120.80
Change in net asset value per unit for three months ended June 30, 2010		(4.99	)					(5.01	)					3.47						4.38
Net asset value per unit at June 30, 2010		75.21						82.05						115.01						125.18
Change in net asset value per unit for three months ended September 30, 2010		7.63						8.79						(0.45	)					0.14
Net asset value per unit at September 30, 2010	$	82.84					$	90.84					$	114.56					$	125.32

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

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

32

The Frontier Fund

Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2010

	Winton Series												Winton/Graham Series
	(Unaudited)												(Unaudited)
	Class 1			Class 2									Class 1			Class 2
	Limited Owners			Managing Owner			Limited Owners			Total			Limited Owners			Managing Owner		Limited Owners			Non-Controlling Interests			Total
Capital (Net Asset Value), December 31, 2009	$	48,198,317		$	455,282		$	9,748,580		$	58,402,179		$	48,168,395		$	54,990	$	12,467,488		$	7,343,585		$	68,034,458
Sale of Units		203,365			—			—			203,365			107,736			—		—			—			107,736
Redemption of Units		(4,678,415	)		(250,000	)		(359,026	)		(5,287,441	)		(4,320,572	)		—		(1,137,012	)		—			(5,457,584	)
Change in control of ownership - Trading Companies		—			—			—			—			—			—		—			—			—
Contributions		—			—			—			—			—			—		—			4,133,129			4,133,129
Distributions		—			—			—			—			—			—		—			(5,000,000	)		(5,000,000	)
Operations attributable to Non-controlling interests		—			—			—			—			—			—		—			328,811			328,811
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		4,977,056			15,743			1,282,417			6,275,216			1,499,352			3,210		683,652			—			2,186,214
Capital (Net Asset Value), September 30, 2010	$	48,700,323		$	221,025		$	10,671,971		$	59,593,319		$	45,454,911		$	58,200	$	12,014,128		$	6,805,525		$	64,332,764
Capital - Units, December 31, 2009		409,951			3,499			74,930			488,380			437,653			428		97,106			—			535,187
Sale of Units		1,654			—			—			1,654			989			—		—			—			989
Redemption of Units		(37,892	)		(2,000	)		(2,567	)		(42,459	)		(39,567	)		—		(8,692	)		—			(48,259	)
Capital - Units, September 30, 2010		373,713			1,499			72,363			447,575			399,075			428		88,414			—			487,917
								(1	)										(1	)
Net asset value per unit at December 31, 2009	$	117.57					$	130.10					$	110.06				$	128.39
Change in net asset value per unit for three months ended March 31, 2010		5.78						7.41						(0.59	)				0.26
Net asset value per unit at March 31, 2010		123.35						137.51						109.47					128.65
Change in net asset value per unit for three months ended June 30, 2010		3.53						4.99						1.23					2.42
Net asset value per unit at June 30, 2010		126.88						142.50						110.70					131.07
Change in net asset value per unit for three months ended September 30, 2010		3.43						4.98						3.20					4.82
Net asset value per unit at September 30, 2010	$	130.31					$	147.48					$	113.90				$	135.89

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

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

33

Notes to Financial Statements

As of September 30, 2010 (Unaudited)

1. Organization

The Frontier Fund (the “Trust”), was formed as a Delaware statutory trust on August 8, 2003, with separate series (“Series”) of units (the “Units”). The Trust’s term will expire on December 31, 2053 (unless terminated earlier in certain circumstances). The Trust is a multi-advisor commodity pool as described in Commodity Futures Trading Commission, or CFTC Regulation § 4.10(d)(2).

The Trust has eleven (11) separate and distinct Series of Units issued and outstanding: Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series, Campbell/Graham/Tiverton Series, Currency Series, Long Only Commodity Series, Managed Futures Index Series, Winton Series and Winton/Graham Series (each a “Series” and collectively, the “Series”). The Trust may issue additional Series of Units. The Units of each Series are separated into different sub-classes 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) may, from time to time, engages in cash and spot transactions;

• allocates funds to an affiliated 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, 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); and

• maintains each Series of Units in different sub-classes including—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 1 a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the NAV at which such investor redeemed to reimburse the Trust for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to Selling Agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series or Class 2a Units of the Frontier Long/Short Commodity Series) sold until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series for administrative purposes. The Managing Owner may also pay Selling Agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such Selling Agents.

• 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 (formerly Rule 2810) of the Conduct Rules of FINRA (“Rule 2310”). An investor’s Class 1 Units or Class 2 Units of any Series, or Class 1 a Units or Class 2a Units of the Frontier Long/Short Commodity Series or Balanced Series will be classified as Class 3 Units of such Series, or Class 3a Units of the Frontier Long/Short Commodity Series or Balanced Series, as applicable for administrative purposes as of any business day when the Managing Owner determines, in its sole discretion, that the service fee limit with respect to such Units has been reached.

• 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.

34

As of September 30, 2010, the Trust, with respect to the Frontier Diversified Series, Frontier Dynamic Series, Frontier Masters Series, Campbell/Graham/Tiverton Series, Currency Series, Long Only Commodity Series, Managed Futures Index Series, Winton Series and Winton/Graham Series separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Balanced Series, and Frontier Long/Short Commodity Series separates Units into six separate Classes – Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a. It is expected that between 10% and 30% of each Series’ assets normally will be invested in one or more Trading Companies to be committed as margin for trading positions, but from time to time these percentages may be substantially more or less. The remainders of each Series’ assets are maintained at the Trust level for cash management. Each of the respective Series has invested monies into pooled cash management assets which have included purchases of custom time deposits and U.S. Treasury securities. Each Series’ ownership in these investments is based on its percentage ownership in the pooled cash management assets on the reporting date.

As of September 30, 2010, each of the Frontier Dynamic Series, Long Only Commodity Series, Managed Futures Index Series and 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 each such Trading Company, except the Trading Company for the Frontier Dynamic Series and for the Long Only Commodity Series allocate assets only to Swaps. The Currency Series invests a portion of its assets in a single Trading Company, which allocates assets to one Trading Advisor and one Swap. The Frontier Long/Short Commodity Series invests its assets in a single Trading Company and has multiple Trading Advisors that manage the assets invested in such Trading Company. Each of the Frontier Diversified Series, Frontier Masters Series, Balanced Series, Campbell/Graham/Tiverton Series, and Winton/Graham Series has invested a portion of its assets in several different Trading Companies and has multiple Trading Advisors that manage the assets invested in such Trading Companies.

2. Significant Accounting Policies

The following are the significant accounting policies of the Trust.

Basis of presentation—The financial statements include the accounts of the Trust and were prepared without audit according to the rules and regulations of the SEC. The Trust follows accounting standards set by the Financial Accounting Standards Board (“FASB”). The FASB sets generally accepted accounting principles (“GAAP”) that the Trust follows to ensure consistent reporting. References to GAAP issued by the FASB in these footnotes are to the FASB Accounting Standards Codification, (the “Codification” or “ASC”). Certain information and footnote disclosures normally included in the financial statements prepared in accordance with GAAP may be omitted pursuant to such rules and regulations. In our opinion, the accompanying interim, unaudited, financial statements contain all adjustments (consisting of normal recurring accruals) necessary and adequate disclosures to present fairly the financial position as of September 30, 2010 and the results of operations for the three and nine months ended September 30, 2010, and 2009.

These financial statements should be read in conjunction with the audited financial statements and notes thereto included in our 2009 Annual Report on Form 10-K as filed with the SEC.

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

Investments in Trading Companies in which a Series does not have a controlling or majority interest are carried in the statement of financial condition of such Series at fair value. Fair value represents the proportionate share of the Series’ interest in the NAV of a Trading Company.

The consolidated financial statements of the Frontier Diversified Series include the assets, liabilities and earnings of its wholly-owned trading company, Frontier Trading Company X, LLC and the earnings of Beach Horizon Trading Company – Horizon Program, LLC through September 29, 2010.

The consolidated financial statements of the Frontier Dynamic Series include the assets, liabilities and earnings of it’s wholly- owned trading company, Frontier Trading Company XII, LLC.

The consolidated financial statements of the Frontier Long/Short Commodity Series include the earnings of its majority owned trading company, Frontier Trading Company VII, LLC, through January 31, 2010.

35

The consolidated financial statements of the Frontier Masters Series include the assets, liabilities and earnings of its wholly-owned trading company, Frontier Trading Company XI, LLC.

The consolidated financial statements of the Balanced Series include the assets, liabilities and earnings of its majority owned Trading Companies, Frontier Trading Company I, LLC, Frontier Trading Company IX, LLC, Frontier Trading Company XV, LLC, as well as earnings of Frontier Trading Company VI, LLC through March 19, 2010 , earnings from Frontier Trading Company XIV through January 25, 2010 , earnings from QIM Trading Company-Global Program, LLC, through September 29, 2010, earnings from Tiverton Trading Company-Discretionary Program, LLC, through September 2, 2010, Winton Trading Company-Diversified Program, LLC through July 21, 2010 and Cantab Trading Company-Aristarchus Program, LLC through August 31, 2010

The consolidated financial statements of the Campbell/Graham/Tiverton Series include the assets, liabilities and earnings of its majority owned trading company, Frontier Trading Company VI, LLC and the earnings from this trading company after March 19, 2010.

The consolidated financial statements of the Currency Series include the assets, liabilities and earnings of its wholly owned trading company, Frontier Trading Company III, LLC.

The consolidated financial statements of the Long Only Commodity Series include the assets and liabilities of it’s wholly- owned trading company, Frontier Trading Company VIII, LLC.

The consolidated financial statements of the Winton/Graham Series include the assets, liabilities and earnings of its majority owned trading company, Frontier Trading Company V, LLC.

Use of Estimates—The preparation of financial statements in conformity with generally accepted accounting principles 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. Swap contracts may require significant estimates. Swap contracts are reported at fair value. Certain fair values are based on daily reports from the swap counterparty that may be corroborated against independent valuation/rate of return information published and available on a daily recurring frequency. Other swap contracts fair values are based upon returns/values that are provided on less than a daily frequency from the swap counterparty, require additional internal financial modeling to develop pricing, and these swaps may not be corroborated against independent valuation/rate of return information published and available on a daily recurring frequency. Actual results could materially differ from those estimates.

Cash and Cash Equivalents—Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with banks and cash managers with maturities of three months or less. The Trust maintains deposits with high quality financial institutions in amounts that are in excess of federally insured limits.

Interest Income—Aggregate interest income from all sources, including assets held at clearing brokers, up to two percentage points of the aggregate percentage yield based on each Series NAV (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Campbell/Graham/Tiverton Series, Currency Series, Winton Series and Winton/Graham Series. For the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series (Class 1a, Class 2a and Class 3a only), Long Only Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner. All interest not paid to the Managing Owner is interest income to the Series.

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

U.S. Treasury Securities—U.S. Treasury Securities are allocated to each Series based on their percentage ownership in the pooled cash management assets as of the reporting date. They are reported at fair value as Level 1 inputs under ASC 820,Fair Value Measurements and Disclosures(“ASC 820”). Accrued interest is reported on the Statements of Financial Condition as interest receivable.

Custom Time Deposits—Custom time deposits are structured deposit agreements with U.S. Bank National Association that earn a guaranteed fixed interest rate between 2.17% and 3.75% and will mature nine months from the deposit date and are subject to automatic six-month rollovers through October 2013. 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. Custom time deposits were purchased on September 15, 2009, October 21, 2008 and October 30, 2008. 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. 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 7.44 of theInvestment Company Audit Guide, and accordingly, this deposit is not subject to ASC 820.

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Swaps—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. The Trust valued the Swaps at fair value and reports these instruments as either Level 2 or Level 3 inputs, as appropriate, under ASC 820.

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

Receivable From Unconsolidated Trading Companies—Cash in excess of allocated assets of the trading companies is remitted to the series and amounts outstanding as of the reporting date are reflected as receivables.

Revenue recognition—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 liquidated. Unrealized gains or losses on open contracts (the difference between contract trade price and market price) are reported in the statement 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 815,Derivatives and Hedging (“ASC 815”).

Any change in net unrealized gain or loss from the preceding period is reported in the statement 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. Certificates of Deposit and 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 Statement of Operations.

Allocation of Earnings—Each Series of the Trust maintains different sub-classes of Units including—Class 1, Class 2, Class 3, Class 1 a, 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 profits and losses of each Series are allocated daily to Class 1, Class 1 a, Class 2, Class 2a, Class 3 and Class 3a Units based on each Class’ respective owners’ capital balances.

Each Series allocates funds to an affiliated Trading Company, or Trading Companies, of the Trust. Each Trading Company allocates all of its daily trading profits or losses to the Series in proportion to each Series’ ownership interest in the Trading Company, adjusted on a daily basis. As of September 30, 2010, 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 Trading Companies.

Inter-Series Receivables/Payables—The Balanced Series, for the purposes of diversification of investments and trading advisors through the other Series’ access to trading companies in which the Balanced Series does not have a direct interest, advances funds to the Currency Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series. The amount of the funds advanced by the Balanced Series to each of the Currency Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series participates on apari passu basis with the Class 2 Units of such investee Series. The Balanced Series and investee Series reflect the changes in values of these investments as “net change in inter-series receivables/payables” in the Statements of Operations. The Balanced Series is subject to the same allocations of income and fees as the Limited Owners of such Series. As a result of fees charged by the investee Series, fees are not charged by the Balanced Series on the capital allocated to advances in affiliated Series, and the Managing Owner monitors such allocations so that aggregate fees of the investee Series on the Balanced Series advances do not exceed the allowable fees of the Balanced Series as provided in the Trust’s Prospectus. Pertaining to interest credited to the investee Series, interest is not credited to the Balanced Series on the capital allocated to its inter-series advances to avoid the duplication of interest charged or received.

Foreign Currency Transactions—The Trust’s functional currency is the U.S. Dollar, however, it transacts business in currencies other than the U.S. Dollar. Assets and liabilities denominated in currencies other than the U.S. Dollar are translated into U.S. Dollars at the rates in effect at the date of the statement of financial condition. Income and expense items denominated in currencies other than the U.S. Dollar are translated into U.S. Dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. Dollars are reported in income.

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Investments and Swaps—The Trust records investment transactions on trade date and all investments are recorded at fair value in its financial statements, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the Statements of Operations. Swap contracts may require significant estimates. Swap contracts are reported at fair value. Certain fair values are based on daily reports from the swap counterparty that may be corroborated against independent valuation/rate of return information published and available on a daily recurring frequency. Other swap contracts fair values are based upon returns/values that are provided on less than a daily frequency from the swap counterparty, require additional internal financial modeling to develop pricing, and these swaps may not be corroborated against independent valuation/rate of return information published and available on a daily recurring frequency. Actual results could differ from those estimates. As of September 30, 2010 all investments in futures and forward contracts were based on quoted market prices.

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 year ended December 31, 2009. The 2007 through 2009 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, and service fees of the Trust are paid to the Managing Owner. Additionally, the trading fees are paid to the Managing Owner. It is the responsibility of the Managing Owner to pay all Trading Advisor management and incentive fees, Selling Agent Service fees and all other operating expenses and continuing offering costs of the Trust.

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

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

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

Statement of Cash Flows—ASC 230—formerly recognized as Statement of Financial Accounting Standards, Statements of Cash Flows – Exemption of Certain Enterprises and Classification of Cash Flows from Certain Securities Acquired for Resale, allows certain entities an exemption from presenting statements of cash flows. The Trust has not provided statements of cash flows as permitted by FASB ASC 230.

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Recently Adopted Accounting Pronouncements—In September 2009, the FASB issued ASC 860,Transfers and Servicing(“ASC 860”)formerly recognized as SFAS No. 166, Accounting for Transfers of Financial Assets.ASC 860 requires more information about transfers of financial assets and where companies have continuing exposure to the risk related to transferred financial assets. ASC 860 eliminates the concept of a qualifying special purpose entity, changes the requirements for derecognizing financial assets and requires additional disclosure. ASC 860 is effective as of the beginning of each reporting entity’s first annual reporting period that begins after November 15, 2009, for interim periods within that first annual reporting period, and for interim and annual reporting periods thereafter. Earlier application is prohibited. The recognition and measurement provisions of ASC 860 shall be applied to transfers that occur on or after the effective date. The adoption of ASC 860 did not have a material effect on the financial statements of the Series.

In March 2010, the FASB issued Accounting Standards Update 2010-11,Derivatives and Hedging (Topic 815: Scope Exception Related to Embedded Credit Derivatives) (“ASU 2010-11”). ASU 2010-11 contains amendments that clarify the type of embedded credit derivative that is exempt from embedded derivative bifurcation requirements. Only one form of embedded credit derivative qualifies for the exemption; one that is related only to the subordination of one financial instrument to another. As a result, certain entities that have contracts which contain an embedded credit derivative feature in a form other than such subordination may need to separately account for the embedded credit derivative feature. The amendments in this update are effective in a respective reporting entity’s first fiscal quarter beginning after September 15, 2010. Early adoption is permitted at the beginning of an entity’s first fiscal quarter. The early adoption of ASU 2010-11 did not have a material effect on the financial statements of the Series.

In February 2010, the FASB issued ASU 2010-10,Consolidation (Topic 810: Amendments for Certain Investment Funds) (“ASU 2010-10”). ASU 2010-10 defers the effective date of the amendments to the consolidation requirements made by ASC 810 to a reporting entity’s interest in certain types of entities. FASB concluded that entities that may meet conditions of the deferral include mutual funds, hedge funds, real estate investment funds, private equity funds and venture capital funds. The deferral is intended to allow more time for the FASB to develop consistent guidance on principal and agent relationships as part of their joint consolidation project. The amendments in this update are effective as of the beginning of a reporting entity’s first annual period that begins after November 15, 2009, and for interim periods within that first annual reporting period. The effective date coincides with the effective date for the Statement 167 amendments to ASC 810. Early application is not permitted. The adoption of ASU 2010-10 did not have a material effect on the financial statements of the Series.

In February 2010, the FASB issued ASU 2010-09,Subsequent Events (ASC 855): Amendments to Certain Recognition and Disclosure Requirements (“ASU 2010-09”).The amendments within ASU 2010-09 were issued by FASB due to questions that were raised in practice that the requirements to disclose the date that the financial statements are issued potentially conflict with some of the SEC’s guidance. FASB’s update addresses both the interaction of the requirements of this Topic with the SEC’s reporting requirements and the intended breadth of the reissuance disclosure related to subsequent events. All of the amendments in this update are effective upon issuance of the final update, except for the use of the issued date for conduit debt obligors which is effective for interim or annual periods ending after September 15, 2010. The adoption of ASU 2010-09 did not have a material effect on the financial statements of the Series.

In January 2010, the FASB issued ASU 2010-06,Fair Value Measurements and Disclosures (ASC 820): Improving Disclosures about Fair Value Measurements (“ASU 2010-06”). ASU 2010-06 adds new disclosure requirements about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). The update also clarifies existing disclosure requirements related to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2009 except for disclosures about purchases, sales, issuances and settlements in the roll forward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. The disclosure requirements of ASU 2010-06 which are effective for fiscal years and interim periods beginning after December 15, 2009 did not have a material impact on the financial statements of the Series. The disclosure requirements of ASU 2010-06 which are effective for fiscal years and interim periods beginning after December 15, 2010 will require additional disclosures in note 3 Fair Value Measurements.

In January 2010, the FASB issued ASU 2010-02,Consolidation (ASC 810): Accounting and Reporting for Decreases in Ownership of a Subsidiary – a Scope Clarification (“ASU 2010-02”).The objective of ASU 2010-02 is to address implementation issues related to changes in ownership provisions. ASU 2010-02 clarifies that decreases in ownership provisions within ASC 810 apply to (a) a subsidiary or group of assets that is a business or nonprofit activity, (b) a subsidiary that is a business or nonprofit activity that is transferred to an equity method investee or joint venture, and (c) an exchange of a group of assets that constitutes a business or nonprofit activity for a non-controlling interest in an entity. ASU 2010-02 also expands disclosure requirements for the deconsolidation of a subsidiary or derecognition of a group of assets within the scope of ASC 810. The amendments in this update are effective beginning in the first interim or annual reporting period ending on or after December 15, 2009. The adoption of ASU 2010-02 did not have a material effect on the financial statements of the Series.

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Reclassification—Certain amounts in the financial statements have been reclassified to conform to the 2010 presentation. These reclasses have no impact on Capital or NAV.

3. Fair Value Measurements

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

Level 1 Inputs

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

Level 2 Inputs

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

Level 3 Inputs

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

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

Trading Securities.These instruments include U.S. Treasury Securities and Open Trade Equity Positions (Futures Contracts and Currency Forwards) that are actively traded on public markets with quoted pricing for corroboration. U.S. Treasury Securities, Futures Contracts, and Currency Forwards are reported at fair value using Level 1 inputs. Trading Securities instruments further include Open Trade Equity that are quoted prices for identical or similar assets that are not traded on active markets. Trading Options are reported at fair value using Level 2 inputs.

Swap Contracts. Certain Swap Contracts are reported utilizing Level 2 inputs. These Swap Contracts are reported at fair value based on daily reports from the swap counterparty that may be corroborated against independent valuation/rate of return information published and available on a daily recurring frequency. Other Swap Contracts are reported utilizing Level 3 Inputs. These Swap Contracts are reported at fair value based upon returns/values that are provided on less than a daily frequency from the swap counterparty, require additional internal financial modeling to develop pricing, and these swaps may not be corroborated against independent valuation/rate of return information published and available on a daily recurring frequency.

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 Trust, under the same management as the Trading Companies, has access to published NAV’s with daily liquidity including the assets’ underlying positions listed in the following table as“Investment in Unconsolidated Trading Companies”, and as such maintains these line items as Level 1 assets. There have been no transfers made between level 1 and level 2.

Inter-Series Receivables and Payables. The Balanced Series, for the purposes of diversification of investments and trading advisors through the other Series’ access to trading companies in which the Balanced Series does not have a direct interest, advances funds to the Currency Series and Frontier Dynamic Series. These items are recorded using level 1 inputs.

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The following table summarizes the instruments that comprise the Trust’s financial asset portfolio, by Series, measured at fair value on a recurring basis as of September 30, 2010 and December 31, 2009, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

September 30, 2010	Level 1 Inputs			Level 2 Inputs		Level 3 Inputs		Total Fair Value
Frontier Diversified Series
Swap Contracts		—			—		11,065,015		11,065,015
Investment in Unconsolidated Trading Companies		41,579,883			—		—		41,579,883
U.S. Treasury Securities		13,928,307			—		—		13,928,307
Frontier Dynamic Series
Swap Contracts		—			—		10,440,150		10,440,150
U.S. Treasury Securities		2,854,162			—		—		2,854,162
Inter-Series Payables		(27,955,294	)		—		—		(27,955,294	)
Frontier Long Short Commodity Series
Investment in Unconsolidated Trading Companies		13,887,483			—		—		13,887,483
U.S. Treasury Securities		8,363,346			—		—		8,363,346
Frontier Masters Series
Swap Contracts		—			—		32,157,236		32,157,236
Investment in Unconsolidated Trading Companies		14,379,104			—		—		14,379,104
U.S. Treasury Securities		2,305,948			—		—		2,305,948
Balanced Series
Open Trade Equity		21,120,511			6,833,546		—		27,954,057
Swap Contracts		—			—		46,093,947		46,093,947
Investment in Unconsolidated Trading Companies		29,341,369			—		—		29,341,369
U.S. Treasury Securities		28,103,686			—		—		28,103,686
Inter-Series Receivables		40,967,667			—		—		40,967,667
Campbell/Graham/Tiverton Series
Open Trade Equity		2,373,979			—		—		2,373,979
Investment in Unconsolidated Trading Companies		11,853,166			—		—		11,853,166
U.S. Treasury Securities		7,643,732			—		—		7,643,732
Currency Series
Open Trade Defecit		(48,439	)		—		—		(48,439	)
Swap Contracts		—			—		5,955,127		5,955,127
U.S. Treasury Securities		2,085,730			—		—		2,085,730
Inter-Series Payables		(13,012,373	)		—		—		(13,012,373	)
Long Only Commodity Series
Swap Contracts		—			680,949		—		680,949
U.S. Treasury Securities		487,833			—		—		487,833
Managed Futures Index Series
Investment in Unconsolidated Trading Companies		879,534			—		—		879,534
U.S. Treasury Securities		677,897			—		—		677,897
Winton Series
Investment in Unconsolidated Trading Companies		8,150,696			—		—		8,150,696
U.S. Treasury Securities		7,653,215			—		—		7,653,215
Winton/Graham Series
Open Trade Equity		2,231,310			—		—		2,231,310
Investment in Unconsolidated Trading Companies		4,646,468			—		—		4,646,468
U.S. Treasury Securities		6,617,914			—		—		6,617,914

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December 31, 2009	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Frontier Diversified Series
Swap Contracts	$	—		$	—		$	8,550,639	$	8,550,639
Investment in Unconsolidated Trading Companies		3,966,809			—			—		3,966,809
U.S. Treasury Securities		7,765,643			—			—		7,765,643
Frontier Dynamic Series
Swap Contracts		—			—			10,027,253		10,027,253
U.S. Treasury Securities		2,739,153			—			—		2,739,153
Frontier Long Short Commodity Series
Open Trade Equity		(480,880	)		(37,610	)		—		(518,490	)
Investment in Unconsolidated Trading Companies		1,357,682			—			—		1,357,682
U.S. Treasury Securities		6,554,990			—			—		6,554,990
Frontier Masters Series
Swap Contracts		—			—			15,972,156		15,972,156
Investment in Unconsolidated Trading Companies		1,282,798			—			—		1,282,798
U.S. Treasury Securities		3,383,444			—			—		3,383,444
Balanced Series
Open Trade Equity		12,632,550			(1,698,904	)		—		10,933,646
Swap Contracts		—			—			41,020,535		41,020,535
Investment in Unconsolidated Trading Companies		303,102			—			—		303,102
U.S. Treasury Securities		31,833,998			—			—		31,833,998
Campbell/Graham/Tiverton Series
Investment in Unconsolidated Trading Companies		30,057,520			—			—		30,057,520
U.S. Treasury Securities		7,367,693			—			—		7,367,693
Currency Series
Open Trade Equity		19,263			201			—		19,464
Swap Contracts		—			—			4,992,959		4,992,959
U.S. Treasury Securities		2,514,501			—			—		2,514,501
Long Only Commodity Series
Swap Contracts		—			584,391			—		584,391
U.S. Treasury Securities		571,339			—			—		571,339
Managed Futures Index Series
Investment in Unconsolidated Trading Companies		975,271			—			—		975,271
U.S. Treasury Securities		417,851			—			—		417,851
Winton Series
Investment in Unconsolidated Trading Companies		11,033,691			—			—		11,033,691
U.S. Treasury Securities		7,125,185			—			—		7,125,185
Winton/Graham Series
Open Trade Equity		810,189			—			—		810,189
Investment in Unconsolidated Trading Companies		2,889,071			—			—		2,889,071
U.S. Treasury Securities		7,598,224			—			—		7,598,224

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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 consolidated statement of operations. During the nine months ended September 30, 2010, all identified Level 3 assets are components of the Frontier Diversified Series, Frontier Dynamic Series, Frontier Masters Series, Balanced Series and the Currency Series.

Swap Contracts	Frontier Diversified Series		Frontier Dynamic Series		Frontier Masters Series
	For The Nine Months Ended September 30, 2010		For The Nine Months Ended September 30, 2010		For The Nine Months Ended September 30, 2010
Balance of recurring Level 3 assets as of December 31, 2009	$	8,550,639	$	10,027,253	$	15,972,157
Total gains or losses (realized/unrealized):
Included in earnings-realized		—		—		—
Included in earnings-unrealized		73,268		412,897		1,858,000
Purchases, sales, issuances, and settlements, net		2,441,108		—		14,327,079
Transfers in and/or out of Level 3		—		—		—
Balance of recurring Level 3 assets as of September 30, 2010	$	11,065,015	$	10,440,150	$	32,157,236

Swap Contracts	Balanced Series		Currency Series
	For The Nine Months Ended September 30, 2010		For The Nine Months Ended September 30, 2010
Balance of recurring Level 3 assets as of December 31, 2009	$	41,020,535	$	4,992,959
Total gains or losses (realized/unrealized):
Included in earnings-realized		—		—
Included in earnings-unrealized		5,073,412		962,168
Included in other comprehensive income		—		—
Purchases, sales, issuances, and settlements, net		—		—
Transfers in and/or out of Level 3		—		—
Balance of recurring Level 3 assets as of September 30, 2010	$	46,093,947	$	5,955,127

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Swap Contracts	Frontier Diversified Series			Frontier Dynamic Series			Frontier Masters Series
	For The Twelve Months Ended December 31, 2009			For The Twelve Months Ended December 31, 2009			For The Twelve Months Ended December 31, 2009
Balance of recurring Level 3 assets as of January 1, 2009	$	—		$	—		$	—
Total gains or losses (realized/unrealized):
Included in earnings-realized		—			—			—
Included in earnings-unrealized		(1,707,778	)		(2,247,497	)		(1,864,032	)
Purchases, sales, issuances, and settlements, net		10,258,417			12,274,765			17,836,189
Transfers in and/or out of Level 3		—			—			—
Balance of recurring Level 3 assets as of December 31, 2009	$	8,550,639		$	10,027,253		$	15,972,157

Swap Contracts	Balanced Series			Currency Series
	For The Twelve Months Ended December 31, 2009			For The Twelve Months Ended December 31, 2009
Balance of recurring Level 3 assets as of January 1, 2009	$	53,072,355		$	9,122,123
Total gains or losses (realized/unrealized):
Included in earnings-realized		—			—
Included in earnings-unrealized		(12,051,820	)		(4,129,164	)
Purchases, sales, issuances, and settlements, net		—			—
Transfers in and/or out of Level 3		—			—
Balance of recurring Level 3 assets as of December 31, 2009	$	41,020,535		$	4,992,959

44

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

Each Series’ investment in Swaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements. For the Balanced Series, Currency Series, Frontier Diversified Series and Frontier Masters Series, the Swaps serve to diversify the investment holdings of each 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, 2010, approximately 11.7% of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain Swaps.

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

The Long Only Commodity Series, through the Trading Company in which the assets of the Long Only Commodity Series have been allocated, have entered into various Swaps with one or more swap counterparties. The Swaps enable the Long Only Commodity Series to earn returns similar to returns (less the fees and expenses of the Long Only Commodities Series, including the expenses associated with the Swaps) of the Reuters/Jefferies CRB Index (the “RJ/CRB Index”), and the Jefferies Commodity Performance Index (the “JCPI”). Specifically, the Trading Company, which will hold the assets allocable to the Long Only Commodity Series, will enter into Swaps linked to the RJ/CRB Index and the JCPI at the direction of the Managing Owner.

The Trust has invested in the following Swaps as of September 30, 2010:

	Option Basket Frontier Diversified Series		Option Basket Frontier Dynamic Series		Option Basket Frontier Masters Series		Option Basket Balanced Series
Series:		Diversified		Dynamic		Masters		Balanced
Counterparty		Company D		Company E		Company F		Company A
Notional Amount	$	26,952,518	$	29,234,615	$	32,157,236	$	81,807,170
Termination Date		6/6/2014		6/6/2014		6/6/2014		11/6/2012
Investee Returns		Total Returns		Total Returns		Total Returns		Total Returns
Realized Gain/(Loss)	$	0	$	0	$	0	$	0
Unrealized Gain/(Loss)	$	73,268	$	412,897	$	1,858,000	$	5,073,412
Fair Value as of 9/30/2010	$	11,065,015	$	10,440,150	$	32,157,236	$	46,093,947

45

	Option Basket Currency Series		Reuters/Jefferies CRB Index			Jefferies  Commodity Performance Index
Series:		Currency		Long/Only			Long/Only
Counterparty		Company B		Company C			Company C
Notional Amount	$	11,434,203	$	1,880,000		$	1,880,000
Termination Date		1/26/2013		2/28/2011			2/28/2011
Investee Returns		Total Returns		Total Returns			Total Returns
Realized Gain/(Loss)	$	0	$	(54,793	)	$	7,789
Unrealized Gain/(Loss)	$	962,169	$	0		$	0
Fair Value as of 9/30/2010	$	5,955,127	$	348,588		$	332,361

The Trust has invested in the following Swaps as of December 31, 2009:

	Option Basket Frontier Diversified Series			Option Basket Frontier Dynamic Series			Option Basket Frontier Masters Series			Option Basket Balanced Series
Series:		Diversified			Dynamic			Masters			Balanced
Counterparty		Company D			Company E			Company F			Company A
Notional Amount	$	22,760,455		$	25,875,001		$	15,927,157		$	129,084,678
Termination Date		6/6/2014			6/6/2014			6/6/2014			11/6/2012
Investee Returns		Total Returns			Total Returns			Total Returns			Total Returns
Realized Gain/(Loss)	$	0		$	0		$	0		$	0
Unrealized Gain/(Loss)	$	(1,707,778	)	$	(2,247,497	)	$	(1,864,032	)	$	(12,051,820	)
Fair Value as of 12/31/2009	$	8,550,639		$	10,027,253		$	15,972,156		$	41,020,535

	Option Basket Currency Series			Reuters/Jefferies CRB  Index		Jefferies Commodity Performance Index
Series:		Currency			Long/Only		Long/Only
Counterparty		Company B			Company C		Company C
Notional Amount	$	15,426,942		$	2,300,000	$	2,300,000
Termination Date		1/26/2013			2/26/2010		2/26/2010
Investee Returns		Total Returns			Total Returns		Total Returns
Realized Gain/(Loss)	$	0		$	420,073	$	463,827
Unrealized Gain/(Loss)	$	(4,129,164	)	$	0	$	0
Fair Value as of 12/31/2009	$	4,992,959		$	278,645	$	305,746

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 following table summarizes the Balanced Series, Winton Series, Campbell/Graham/Tiverton Series, Winton/Graham Series, Frontier Long/Short Commodity Series, Managed Futures Index Series, Frontier Diversified Series, and Frontier Masters Series investments in unconsolidated Trading Companies as of September 30, 2010 and December 31, 2009.

46

	As of September 30, 2010					As of December 31, 2009
	Percentage of Series Net Assets Invested in Trading Co.			Fair Value		Percentage of Series Net Assets Invested in Trading Co.			Fair Value
Trading Company
Balanced Series —
Frontier Trading Companies II and XII							0.07	%	$	303,102
Frontier Trading Companies II, VI, VII, XIV, XVI, XVII, XVIII and XIX		7.10	%	$	29,341,369
Winton Series —
Frontier Trading Company II		13.68	%	$	8,150,696		18.89	%	$	11,033,691
Campbell/Graham/Tiverton Series —
Frontier Trading Companies V, VI and XV							37.87	%	$	30,057,520
Frontier Trading Companies V and XV		15.75	%	$	11,853,166
Winton/Graham Series —
Frontier Trading Company II		7.22	%	$	4,646,468		4.25	%	$	2,889,071
Frontier Long/Short Commodity Series —
Frontier Trading Company XIII							1.98	%	$	1,357,682
Frontier Trading Companies I and VII		20.01	%	$	13,887,483
Managed Futures Index Series —
Frontier Trading Company IX		15.95	%	$	879,534		25.85	%	$	975,271
Frontier Diversified Series —
Frontier Trading Companies I, II, V, VI, VII, XIII, XIV and XV							5.90	%	$	3,966,809
Frontier Trading Companies I, II, V, VI, VII, IX, XIII, XIV and XV		27.90	%	$	41,579,883
Frontier Masters Series —
Frontier Trading Companies II, XIV and XV		23.15	%	$	14,379,104		3.09	%	$	1,282,798

47

The following tables summarize the Balanced Series, Winton Series, Campbell/Graham/Tiverton Series, Winton/Graham Series, Frontier Long/Short Commodity Series, Managed Futures Index Series, Frontier Diversified Series and Frontier Masters Series equity in earnings from Trading Companies for the three and nine months ended September 30, 2010 and 2009.

	Three Months Ended September 30, 2010												Three Months Ended September 30, 2009
	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	$	(13,906	)	$	365,389		$	1,424,510		$	1,775,993		$	(10,224	)	$	(655,732	)	$	1,276,175		$	610,219
Frontier Trading Company VI LLC		(6,644	)		312,813			497,249			803,418			—			—			—			—
Frontier Trading Company VII, LLC		(518,177	)		(3,750,539	)		12,228,821			7,960,105			(545,362	)		39,899,274			(39,744,068	)		(390,156	)
Frontier Trading Company XIV, LLC		(48,361	)		869,732			1,274,540			2,095,911			—			—			—			—
Frontier Trading Company XVI, LLC		(3,932	)		(12,257	)		114,538			98,349			—			—			—			—
Frontier Trading Company XIX, LLC		(1,078	)		10,689			(66,406	)		(56,795	)		—			—			—			—
Total	$	(592,098	)	$	(2,204,173	)	$	15,473,252		$	12,676,981		$	(555,586	)	$	39,243,542		$	(38,467,893	)	$	220,063
Winton Series —
Frontier Trading Company II LLC	$	(18,978	)	$	325,482		$	2,039,074		$	2,345,578		$	(16,030	)	$	(898,583	)	$	2,016,056		$	1,101,443
Campbell/Graham/Tiverton Series —
Frontier Trading Company I LLC	$	—		$	—		$	—		$	—		$	(12,413	)	$	(582,464	)	$	549,157		$	(45,720	)
Frontier Trading Company V LLC		(56,766	)		(78,266	)		1,120,568			985,536			(71,763	)		1,844,101			958,366			2,730,704
Frontier Trading Company VI LLC		—			—			—			—			(9,764	)		37,136			1,221,285			1,248,657
Frontier Trading Company XV, LLC		(25,956	)		365,772			416,030			755,846			—			—			—			—
Total	$	(82,722	)	$	287,506		$	1,536,598		$	1,741,382		$	(93,940	)	$	1,298,773		$	2,728,808		$	3,933,641
Winton/Graham Series —
Frontier Trading Company II LLC	$	(10,241	)	$	269,429		$	1,039,856		$	1,299,044		$	(8,935	)	$	(610,875	)	$	1,111,997		$	492,187
Frontier Trading Company V LLC		—			—			—			—			—			—			—			—
Total	$	(10,241	)	$	269,429		$	1,039,856		$	1,299,044		$	(8,935	)	$	(610,875	)	$	1,111,997		$	492,187
Frontier Long/Short Commodity Series —
Frontier Trading Company I LLC	$	(5,216	)	$	(311,680	)	$	434,736		$	117,840		$	—		$	—		$	—		$	—
Frontier Trading Companies VII, LLC		(412,540	)		(2,393,858	)		10,498,723			7,692,325			—			—			—			—
Frontier Trading Companies XIII, LLC		—			—			—			—			(2,617	)		(5,415	)		274,056			266,024
Total	$	(417,756	)	$	(2,705,538	)	$	10,933,459		$	7,810,165		$	(2,617	)	$	(5,415	)	$	274,056		$	266,024
Managed Futures Index Series —
Frontier Trading Company IX, LLC	$	(5,197	)	$	(66,179	)	$	98,454		$	27,078		$	(3,313	)	$	(65,852	)	$	(17,148	)	$	(86,313	)
Frontier Diversified Series —
Frontier Trading Company I LLC	$	(208,524	)	$	(206,982	)	$	2,244,769		$	1,829,263		$	(25,344	)	$	(7,402	)	$	455,543		$	422,797
Frontier Trading Company II LLC		(3,554	)		136,977			340,437			473,860			(973	)		(54,619	)		126,120			70,528
Frontier Trading Company V LLC		(5,555	)		(7,654	)		111,170			97,961			(1,273	)		33,738			19,003			51,468
Frontier Trading Company VI LLC		(1,998	)		94,325			149,410			241,737			(1,102	)		12,372			140,845			152,115
Frontier Trading Company VII, LLC		(120,593	)		(222,884	)		2,113,748			1,770,271			(50,306	)		3,315,379			(3,299,554	)		(34,481	)
Frontier Trading Company IX, LLC		(4,580	)		(58,188	)		88,195			25,427			—			—			—			—
Frontier Trading Company XIII, LLC		(5,529	)		(205,958	)		375,284			163,797			(313	)		15,519			16,222			31,428
Frontier Trading Company XIV, LLC		(26,551	)		695,481			640,747			1,309,677			—			—			—			—
Frontier Trading Company XV, LLC		(20,573	)		288,460			335,081			602,968			—			—			—			—
Total	$	(397,457	)	$	513,577		$	6,398,841		$	6,514,961		$	(79,311	)	$	3,314,987		$	(2,541,821	)	$	693,855
Frontier Masters Series —
Frontier Trading Company I LLC	$	—		$	—		$	—		$	—		$	(14,224	)	$	(63,434	)	$	567,498		$	489,840
Frontier Trading Company II LLC		(5,631	)		517,595			331,655			843,619			(1,938	)		(86,439	)		250,483			162,106
Frontier Trading Company XIV, LLC		(50,837	)		1,303,353			1,096,332			2,348,848			—			—			—			—
Frontier Trading Company XV, LLC		(17,333	)		236,777			258,609			478,053			—			—			—			—
Total	$	(73,801	)	$	2,057,725		$	1,686,596		$	3,670,520		$	(16,162	)	$	(149,873	)	$	817,981		$	651,946

48

	Nine Months Ended September 30, 2010												Nine Months Ended September 30, 2009
	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	$	(47,551	)	$	3,936,801		$	1,864,733		$	5,753,983		$	(23,472	)	$	(2,656,602	)	$	872,349		$	(1,807,725	)
Frontier Trading Company VI LLC		(13,352	)		542,949			454,812			984,409			—			—			—			—
Frontier Trading Company VII, LLC		(2,107,332	)		4,780,762			19,800,480			22,473,910			(1,219,711	)		25,863,431			(15,919,099	)		8,724,621
Frontier Trading Company XIV, LLC		(98,788	)		(1,702,864	)		3,144,777			1,343,125			—			—			—			—
Frontier Trading Company XVI, LLC		(3,985	)		(13,787	)		114,194			96,422			—			—			—			—
Frontier Trading Company XIX, LLC		(1,753	)		(2,055	)		(86,166	)		(89,974	)		—			—			—			—
Total	$	(2,272,761	)	$	7,541,806		$	25,292,830		$	30,561,875		$	(1,243,183	)	$	23,206,829		$	(15,046,750	)	$	6,916,896
Winton Series —
Frontier Trading Company II LLC	$	(66,752	)	$	5,538,109		$	2,832,834			8,304,191		$	(23,033	)	$	(2,361,228	)	$	2,700,361		$	316,100
Campbell/Graham/Tiverton Series —
Frontier Trading Company I LLC	$	—		$	—		$	—		$	—		$	(46,889	)	$	2,417,043		$	(3,636,680	)	$	(1,266,526	)
Frontier Trading Company V LLC		(184,699	)		(279,376	)		566,761			102,686			(106,342	)		2,059,182			1,095,206			3,048,046
Frontier Trading Company VI LLC		(21,105	)		(1,829,237	)		523,687			(1,326,655	)		(21,615	)		(1,336,451	)		903,580			(454,486	)
Frontier Trading Company XV, LLC		(80,962	)		1,729,581			72,266			1,720,885			—			—			—			—
Total	$	(286,766	)	$	(379,032	)	$	1,162,714		$	496,916		$	(174,846	)	$	3,139,774		$	(1,637,894	)	$	1,327,034
Winton/Graham Series —
Frontier Trading Company II LLC	$	(34,497	)	$	2,912,138		$	1,461,479		$	4,339,120		$	(20,399	)	$	(2,705,362	)	$	802,930		$	(1,922,831	)
Frontier Trading Company V LLC		—			—			—			—			(46,668	)		(892,742	)		(397,116	)		(1,336,526	)
Total	$	(34,497	)	$	2,912,138		$	1,461,479		$	4,339,120		$	(67,067	)	$	(3,598,104	)	$	405,814		$	(3,259,357	)
Frontier Long/Short Commodity Series —
Frontier Trading Company I LLC	$	(17,601	)	$	(452,812	)	$	351,359		$	(119,054	)	$	—		$	—		$	—		$	—
Frontier Trading Companies VII, LLC		(1,120,922	)		(11,940,206	)		22,909,424			9,848,296			—			—			—			—
Frontier Trading Companies XIII, LLC		—			—			—			—			(5,776	)		(58,816	)		297,863			233,271
Total	$	(1,138,523	)	$	(12,393,018	)	$	23,260,783		$	9,729,242		$	(5,776	)	$	(58,816	)	$	297,863		$	233,271
Managed Futures Index Series —
Frontier Trading Company IX, LLC	$	(16,296	)	$	(101,236	)	$	337,068		$	219,536		$	(7,510	)	$	(260,261	)	$	(56,326	)	$	(324,097	)
Frontier Diversified Series —
Frontier Trading Company I LLC	$	(370,967	)	$	276,019		$	2,109,283		$	2,014,335		$	(30,082	)	$	(73,518	)	$	246,565		$	142,965
Frontier Trading Company II LLC		(10,889	)		957,393			500,707			1,447,211			(1,208	)		(110,535	)		211,913			100,170
Frontier Trading Company V LLC		(15,657	)		111,753			130,028			226,124			(1,531	)		25,408			9,685			33,562
Frontier Trading Company VI LLC		(6,297	)		(34,375	)		212,833			172,161			(1,366	)		(88,709	)		205,196			115,121
Frontier Trading Company VII, LLC		(426,730	)		1,428,705			3,879,164			4,881,139			(62,761	)		990,987			(895,119	)		33,107
Frontier Trading Company IX, LLC		(12,979	)		(43,452	)		121,947			65,516			—			—			—			—
Frontier Trading Company XIII, LLC		(6,553	)		(170,793	)		532,671			355,325			(313	)		15,519			16,222			31,428
Frontier Trading Company XIV, LLC		(48,092	)		(492,660	)		1,257,354			716,602			—			—			—			—
Frontier Trading Company XV, LLC		(52,694	)		854,713			458,578			1,260,597			—			—			—			—
Total	$	(950,858	)	$	2,887,303		$	9,202,565		$	11,139,010		$	(97,261	)	$	759,152		$	(205,538	)	$	456,353
Frontier Masters Series —
Frontier Trading Company I LLC	$	—		$	—		$	—		$	—		$	(18,100	)	$	(81,406	)	$	178,140		$	78,634
Frontier Trading Company II LLC		(13,849	)		1,431,686			457,711			1,875,548			(2,426	)		(202,376	)		430,792			225,990
Frontier Trading Company XIV, LLC		(87,862	)		(718,109	)		2,067,893			1,261,922			—			—			—			—
Frontier Trading Company XV, LLC		(44,638	)		824,714			295,013			1,075,089			—			—			—			—
Total	$	(146,349	)	$	1,538,291		$	2,820,617		$	4,212,559		$	(20,526	)	$	(283,782	)	$	608,932		$	304,624

49

The statements of financial condition as of September 30, 2010 and December 31, 2009 and the Condensed Statement of Income for the three and nine months ended September 30, 2010 and 2009 for the unconsolidated Trading Companies are as follows:

Statements of Financial Condition - September 30, 2010	Frontier Trading Company II LLC			Frontier Trading Company VII LLC			Frontier Trading Company XIV LLC			QIM Trading Co.- Global Program, LLC			Winton Trading Co.- Diversified Program, LLC			Cantab Trading Co.- Aristarchus Program, LLC			Tiverton Trading Co.- Discretionary Program, LLC
Cash held at futures commission merchants	$	15,674,216		$	(8,061,218	)	$	20,082,709		$	5,245,879		$	2,632,660		$	6,505,548		$	1,145,070
Open trade equity		7,542,672			35,982,440			3,245,207			138,689			652,773			1,269,010			1,238,692
Total assets	$	23,216,888		$	27,921,222		$	23,327,916		$	5,384,568		$	3,285,433		$	7,774,558		$	2,383,762
Members’ equity	$	23,216,888		$	27,921,222		$	23,327,916		$	5,384,568		$	3,285,433		$	7,774,558		$	2,383,762
Condensed Statement of Income - For the Three Months Ended September 30, 2010
Interest income	$	2,994		$	1,480		$	(1,042	)	$	(732	)	$	(291	)	$	(2,291	)	$	(83	)
Net realized gain on investments, less commissions		1,562,559			(7,418,589	)		2,744,028			71,664			168,838			2,373,677			61,755
Change in open trade equity		5,175,532			24,841,293			3,013,501			246,521			428,171			1,197,812			373,057
Net income	$	6,741,085		$	17,424,184		$	5,756,487		$	317,453		$	596,718		$	3,569,198		$	434,729
Condensed Statement of Income - For the Nine Months Ended September 30, 2010
Interest income	$	5,130		$	3,543		$	(10,231	)	$	(1,310	)	$	(262	)	$	(3,164	)	$	(128	)
Net realized gain on investments, less commissions		14,602,588			(16,253,599	)		(4,234,133	)		(147,673	)		1,013,799			1,670,309			22,458
Change in open trade equity		7,117,464			50,383,490			5,744,032			138,689			654,218			1,269,008			569,040
Net income	$	21,725,182		$	34,133,434		$	1,499,668		$	(10,294	)	$	1,667,755		$	2,936,153		$	591,370
Statements of Financial Condition - December 31, 2009	Frontier Trading Company II LLC			Frontier Trading Company V LLC			Frontier Trading Company VI LLC			Frontier Trading Company IX, LLC			Frontier Trading Company XIII, LLC
Cash held at futures commission merchants				$	13,010,250		$	12,801,718		$	1,135,385
Open trade equity					810,189			(767,235	)		38,234
Total assets				$	13,820,439		$	12,034,483		$	1,173,619
Members’ equity				$	13,820,439		$	12,034,483		$	1,173,619
Condensed Statement of Income - For the Three Months Ended September 30, 2009
Interest income	$	(17	)				$	392		$	1,151		$	—
Net realized gain on investments, less commissions		(2,344,349	)					76,341			(138,585	)		(8,999	)
Change in open trade equity		4,780,831						2,973,249			(44,297	)		838,460
Net income	$	2,436,465					$	3,049,982		$	(181,731	)	$	829,461
Condensed Statement of Income - For the Nine Months Ended September 30, 2009
Interest income	$	11,216					$	8,808		$	4,089		$	—
Net realized gain on investments, less commissions		(10,338,765	)					(3,586,528	)		(743,101	)		(178,729	)
Change in open trade equity		2,986,998						2,698,878			(199,302	)		910,012
Net income	$	(7,340,551	)				$	(878,842	)	$	(938,314	)	$	731,283

50

The Frontier Fund

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

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

The following table summarizes the Balanced Series advances to and reductions from the Currency Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series of the Trust for the nine months ending September 30, 2010.

Balanced Series

Summary by Quarter

2010

			Frontier			Frontier			Frontier
	Currency Series		Diversified Series			Dynamic Series			Masters Series			Total
Inter-series receivables January 1, 2010	$	12,266,758	$	10,962,073		$	27,676,116		$	18,184,135		$	69,089,082
Additions during period		—		—			—			—			—
Reduction during period		—		—			—			—			—
Earnings on inter-series receivables		329,038		(102,443	)		(129,208	)		125,024			222,411
Inter-series receivables March 31, 2010	$	12,595,796	$	10,859,630		$	27,546,908		$	18,309,159		$	69,311,493
Additions during period		—		—			—			—			—
Reduction during period		—		(11,139,253	)		—			—			(11,139,253	)
Earnings on inter-series receivables		177,705		279,623			(130,449	)		(122,674	)		204,205
Inter-series receivables June 30, 2010	$	12,773,501	$	—		$	27,416,459		$	18,186,485		$	58,376,445
Additions during period		—		—			—			—			—
Reduction during period		—		—			—			(19,013,476	)		(19,013,476	)
Earnings on inter-series receivables		238,872					538,835			826,991			1,604,698
Inter-series receivables September 30, 2010	$	13,012,373	$	—		$	27,955,294		$	—		$	40,967,667

Each Series of Units pays to the Managing Owner a monthly management fee equal to a certain percentage of such Series’ assets, calculated on a daily basis. The annual rate of the management fee is 0.5% for the Balanced Series, 2.0% for the Winton Series, Currency Series, Long Only Commodity Series, Frontier Long/Short Commodity Series Class 1 a and Class 2a, Managed Futures Index Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series, 2.5% for the Winton/Graham Series and Campbell/Graham/Tiverton 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.

51

In connection with each Series’ trading activities, each Series of Units pays to the Managing Owner a monthly trading fee of up to 0.75% of such Series’ NAV annually.

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

In addition, with respect to Class 1 and Class 1a Units of each Series, as applicable, the Series pays monthly or quarterly to the Managing Owner a service fee at an annualized rate, as described in more detail above, which the Managing Owner pays to selling agents of the Trust. The following table summarizes fees earned by the Managing Owner for the three and nine months ended September 30, 2010 and 2009.

Series: Three Months Ended September 30, 2010	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified	$	346,547	$	767,690	$	1,267,393	$	413,129
Frontier Dynamic		—		173,065		—		24,121
Frontier Long/Short Commodity		848,660		105,479		671,536		278,215
Frontier Masters		323,238		436,490		251,849		194,727
Balanced		708,595		452,155		4,587,441		2,108,525
Campbell/Graham/Tiverton		595,454		87,185		—		466,266
Currency		41,317		25,650		—		52,636
Long Only Commodity		12,434		4,735		—		15,600
Managed Futures Index		31,077		6,860		—		8,259
Winton		381,662		72,608		66,904		361,796
Winton/Graham		488,971		70,396		97,195		336,344
Series: Three Months Ended September 30, 2009	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified	$	61,573	$	238,385	$	103,872	$	37,029
Frontier Dynamic		—		175,705		—		19,136
Frontier Long/Short Commodity		756,119		84,684		394,978		355,681
Frontier Masters		114,063		173,101		—		22,973
Balanced		258,424		426,936		1,617,711		2,346,679
Campbell/Graham/Tiverton		577,342		101,597		218,702		537,325
Currency		38,751		31,210		—		72,949
Long Only Commodity		13,603		5,423		—		17,712
Managed Futures Index		21,711		5,491		—		10,670
Winton		328,132		76,757		—		387,216
Winton/Graham		438,658		76,851		256,842		367,929

52

Series: Nine Months Ended September 30, 2010	Management Fee		Trading Fee		Incentive Fee			Service Fee
Frontier Diversified	$	751,117	$	1,809,334	$	2,307,523		$	981,435
Frontier Dynamic		—		509,687		—			66,679
Frontier Long/Short Commodity		2,461,217		298,406		1,337,973			899,900
Frontier Masters		767,223		1,117,972		274,130			456,099
Balanced		1,607,205		1,324,659		10,520,127			6,380,801
Campbell/Graham/Tiverton		1,771,056		270,272		—			1,441,933
Currency		122,172		77,390		—			166,131
Long Only Commodity		39,424		14,996		—			48,657
Managed Futures Index		88,027		19,813		—			25,598
Winton		1,155,722		216,584		66,904			1,082,808
Winton/Graham		1,444,104		213,476		97,195			1,021,445
Series: Nine Months Ended September 30, 2009	Management Fee		Trading Fee		Incentive Fee			Service Fee
Frontier Diversified	$	74,811	$	287,854	$	145,898		$	42,281
Frontier Dynamic		—		218,030		—			23,633
Frontier Long/Short Commodity		2,056,185		259,232		1,660,433			1,083,458
Frontier Masters		139,150		212,853		9,073			27,199
Balanced		1,115,570		1,489,970		5,567,945			6,776,656
Campbell/Graham/Tiverton		1,677,638		319,092		216,562			1,606,061
Currency		120,235		110,991		—			236,328
Long Only Commodity		38,594		15,413		—			50,304
Managed Futures Index		56,805		14,694		—			31,533
Winton		1,049,242		255,442		(21,347	)		1,249,973
Winton/Graham		1,093,344		207,959		251,038			1,031,526

53

The following table summarizes fees payable to the Managing Owner as of September 30, 2010.

Series:	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified	$	95,875	$	174,591	$	1,292,303	$	13,225
Frontier Dynamic		—		33,704		—		308
Frontier Long/Short Commodity		164,749		21,243		623,830		51,849
Frontier Masters		94,571		88,609		253,990		6,329
Balanced		128,353		3,698		3,952,649		208,916
Campbell/Graham/Tiverton		113,986		14,941		—		92,730
Currency		7,933		4,829		—		11,759
Long Only Commodity		4,010		1,577		—		5,100
Managed Futures Index		10,191		2,219		—		2,657
Winton		63,517		13,375		38,045		79,421
Winton/Graham		92,373		12,603		26,439		68,508

The following table summarizes fees payable to the Managing Owner as of December 31, 2009.

Series:	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified	$	28,225	$	73,768	$	132,434	$	607
Frontier Dynamic		—		28,591		—		—
Frontier Long/Short Commodity		144,346		15,480		278,267		63,507
Frontier Masters		29,929		40,976		—		1,313
Balanced		208,736		103,317		1,306,596		85,599
Campbell/Graham/Tiverton		94,011		17,084		—		86,041
Currency		8,537		5,570		—		13,629
Long Only Commodity		4,891		1,904		—		5,301
Managed Futures Index		7,105		1,636		—		2,083
Winton		63,259		13,271		—		74,866
Winton/Graham		79,384		12,080		—		52,712

With respect to the service fees, the initial service fee (for the first 12 months) relating to a sale of the Units is prepaid by the Managing Owner for each Series, and paid to the selling agents by the Managing Owner in the month following the sale. Since the Managing Owner is prepaying the initial service fee for the first year and is being reimbursed for such payment by the Series monthly in arrears based upon a corresponding percentage of NAV, it 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. For the nine months ended September 30, 2010, due to variations in NAVs, amounts paid or payable to the Managing Owner for the difference in monthly service fees from the prepaid initial service fees were $790 for the Currency Series, $246 for the Managed Futures Index Series, $7,090 for the Winton Series and $792 for the Frontier Masters Series. For the nine months ended September 30, 2010, amounts received or receivable from the Managing Owner for the difference in monthly service fees from prepaid initial service fees were $16,578 for the Balanced Series, $1,782 for the Winton/Graham Series, $698 for the Campbell/Graham/Tiverton Series, $5,139 for the Long/Only Commodity Series, $5,266 for the Frontier Long Short Commodity Series, $5,773 for the Frontier Dynamic Series and $1,594 for the Frontier Diversified 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), Campbell/Graham/Tiverton Series, Currency Series, Winton Series, and Winton/Graham Series. In addition, if interest rates fall below 0.75% (calculated daily based on each Series’ NAV), the Managing Owner will be paid the difference between the Trust’s annualized interest income allocated to the foregoing Series and 0.75%. For the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series (Class 1 a and Class 2a only), Long Only Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner. During the nine months ended September 30, 2010 and September 30, 2009, the Trust paid $7,573,585 and $7,959,941, respectively of such interest income to the Managing Owner.

54

The Managing Owner pays to The Bornhoft Group Corporation, an affiliate of the Trust, a monthly fee of 0.25% (annualized) of the NAV of the Trust, for services in connection with the daily valuation of each Series and Class. The amount paid under this agreement was $514,050 and $440,878, respectively for the three months ended September 30, 2010 and 2009 and $1,472,121 and $1,275,479, respectively for the nine months ended September 30, 2010 and 2009. Additionally, The Bornhoft Group Corporation provides office space to the Managing Owner, prorates office expenses, and advances certain direct expenses on behalf of the Managing Owner. Under this agreement, the Managing Owner reimbursed The Bornhoft Group Corporation $97,284 and $80,018, respectively, for the three months ended September 30, 2010 and 2009 and $296,466 and $340,784, respectively, for the nine months ended September 30, 2010 and 2009.

Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $925,290 and $793,581, respectively, for the three months ended September 30, 2010 and 2009 and $2,649,818 and $2,295,863, respectively, for the nine months ended September 30, 2010 and 2009.

Equinox Distributors, Inc. (“EDI”), a wholly-owned subsidiary of the Managing Owner, served as wholesaler of the Trust until the termination of the agreement to provide such wholesaling services on April 21, 2009. Its results are consolidated with the results of the Managing Owner. On April 21, 2009, Bornhoft Group Securities Corporation, an affiliate of the Managing Owner, entered into an agreement to provide wholesaling services to the Trust.

55

7. Financial Highlights

The following information presents the financial highlights of the Trust for the three and nine months ended September 30, 2010 and 2009. This data has been derived from information presented in the financial statements.

	Frontier Diversified						Frontier Dynamic						Frontier Long/Short
	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, 2010	$	97.51		$	99.34		$	89.79		$	91.39		$	107.25		$	121.98		$	121.97		$	96.08		$	97.84
Net operating results:
Interest income		0.48			0.49			6.18			6.30			0.54			0.62			0.62			0.49			0.50
Expenses		(2.29	)		(1.79	)		(10.84	)		(9.38	)		(3.54	)		(3.12	)		(3.12	)		(3.18	)		(2.50	)
Net gain/(loss) on investments, net of non-controlling interests		4.99			4.99			6.02			4.87			13.30			15.23			15.24			11.83			11.77
Net income/(loss)		3.18			3.69			1.36			1.79			10.30			12.73			12.74			9.14			9.77
Net asset value, September 30, 2010	$	100.69		$	103.03		$	91.15		$	93.18		$	117.55		$	134.71		$	134.71		$	105.22		$	107.61
Ratios to average net assets (3)
Net investment gain/(loss)		-7.40	%		-5.22	%		-20.67	%		-13.38	%		-10.85	%		-7.92	%		-7.92	%		-10.85	%		-7.92	%
Expenses before incentive fees		5.54	%		3.35	%		48.03	%		40.74	%		8.73	%		5.80	%		5.80	%		8.73	%		5.80	%
Expenses after incentive fees		9.35	%		7.16	%		48.03	%		40.74	%		12.81	%		9.88	%		9.88	%		12.81	%		9.88	%
Total return before incentive fees (2)		4.52	%		5.07	%		1.48	%		1.97	%		10.10	%		11.16	%		11.76	%		10.62	%		11.65	%
Total return after incentive fees (2)		3.56	%		4.11	%		1.48	%		1.97	%		9.07	%		10.14	%		10.73	%		9.59	%		10.62	%

	Frontier Masters						Balanced															Campbell/Graham/Tiverton
	Class 1			Class 2			Class 1			Class 1a			Class 2			Class 2a			Class 3a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, June 30, 2010	$	93.66		$	95.39		$	120.89		$	107.17		$	143.90		$	121.26		$	121.27		$	100.78		$	118.37
Net operating results:
Interest income		0.51			0.52			0.02			0.02			0.03			0.02			0.02			0.00			0.00
Expenses		(2.28	)		(1.76	)		(2.84	)		(2.51	)		(2.30	)		(1.94	)		(1.94	)		(1.74	)		(1.16	)
Net gain/(loss) on investments, net of non-controlling interests		7.50			7.53			9.04			7.74			10.83			8.82			8.79			6.58			7.79
Net income/(loss)		5.73			6.29			6.22			5.25			8.56			6.90			6.87			4.84			6.63
Net asset value, September 30, 2010	$	99.39		$	101.68		$	127.11		$	112.42		$	152.46		$	128.16		$	128.14		$	105.62		$	125.00
Ratios to average net assets (3)
Net investment gain/(loss)		-7.46	%		-5.17	%		-9.27	%		-9.27	%		-6.27	%		-6.27	%		-6.27	%		-6.87	%		-3.87	%
Expenses before incentive fees		7.79	%		5.50	%		4.28	%		4.28	%		1.28	%		1.28	%		1.28	%		6.89	%		3.88	%
Expenses after incentive fees		9.61	%		7.32	%		9.35	%		9.35	%		6.35	%		6.35	%		6.35	%		6.89	%		3.88	%
Total return before incentive fees (2)		7.01	%		7.49	%		6.37	%		5.49	%		7.07	%		6.93	%		7.23	%		4.74	%		5.38	%
Total return after incentive fees (2)		6.55	%		7.03	%		5.09	%		4.22	%		5.79	%		5.65	%		5.95	%		4.74	%		5.38	%

	Currency						Long Only						Managed Futures Index						Winton						Winton/Graham
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, June 30, 2010	$	80.02		$	95.11		$	75.21		$	82.05		$	115.01		$	125.18		$	126.88		$	142.50		$	110.70		$	131.07
Net operating results:
Interest income		0.31			0.37			0.40			0.44			0.23			0.25			0.21			0.24			0.14			0.16
Expenses		(1.31	)		(0.83	)		(0.75	)		(0.38	)		(1.34	)		(0.85	)		(2.06	)		(1.26	)		(2.11	)		(1.52	)
Net gain/(loss) on investments, net of non-controlling interests		1.89			2.24			7.98			8.73			0.66			0.74			5.28			6.00			5.17			6.18
Net income/(loss)		0.89			1.78			7.63			8.79			(0.45	)		0.14			3.43			4.98			3.20			4.82
Net asset value, September 30, 2010	$	80.91		$	96.89		$	82.84		$	90.84		$	114.56		$	125.32		$	130.31		$	147.48		$	113.90		$	135.89
Ratios to average net assets (3)
Net investment gain/(loss)		-4.92	%		-1.92	%		-1.73	%		0.27	%		-3.95	%		-1.95	%		-5.87	%		-2.87	%		-7.14	%		-4.14	%
Expenses before incentive fees		6.43	%		3.43	%		3.78	%		1.78	%		4.75	%		2.75	%		6.09	%		3.09	%		6.95	%		3.95	%
Expenses after incentive fees		6.43	%		3.43	%		3.78	%		1.78	%		4.75	%		2.75	%		6.55	%		3.54	%		7.64	%		4.63	%
Total return before incentive fees (2)		1.10	%		1.86	%		9.74	%		10.21	%		-0.54	%		0.08	%		2.79	%		3.58	%		3.03	%		3.85	%
Total return after incentive fees (2)		1.10	%		1.86	%		9.74	%		10.21	%		-0.54	%		0.08	%		2.67	%		3.46	%		2.85	%		3.67	%

(1) Interest income and expenses per unit are calculated by dividing these amounts by the weighted average number of units outstanding during the period.

The net gain/(loss) on investments, net of minority interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

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

(3) Annualized

56

	Frontier Diversified						Frontier Dynamic						Frontier Long/Short
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 3			Class 1a			Class 2a
Per unit operating performance (1)
Net asset value, December 31, 2009	$	96.80		$	97.77		$	91.43		$	92.25		$	113.77		$	127.49		$	127.49		$	101.49		$	102.48
Net operating results:
Interest income		1.49			1.52			2.89			2.93			1.37			1.56			1.56			1.23			1.25
Expenses		(6.19	)		(4.70	)		(10.51	)		(4.41	)		(9.27	)		(7.73	)		(7.74	)		(8.28	)		(6.20	)
Net gain/(loss) on investments, net of non-controlling interests		8.59			8.44			7.34			2.41			11.68			13.39			13.40			10.78			10.08
Net income/(loss)		3.89			5.26			(0.28	)		0.93			3.78			7.22			7.22			3.73			5.13
Net asset value, September 30, 2010	$	100.69		$	103.03		$	91.15		$	93.18		$	117.55		$	134.71		$	134.71		$	105.22		$	107.61
Ratios to average net assets (3)
Net investment gain/(loss)		-6.50	%		-4.31	%		-11.30	%		-2.15	%		-9.54	%		-6.58	%		-6.58	%		-9.54	%		-6.58	%
Expenses before incentive fees		5.54	%		3.35	%		15.59	%		6.45	%		8.51	%		5.55	%		5.55	%		8.51	%		5.55	%
Expenses after incentive fees		8.56	%		6.37	%		15.59	%		6.45	%		11.20	%		8.24	%		8.24	%		11.20	%		8.24	%
Total return before incentive fees (2)		8.35	%		9.65	%		0.34	%		0.05	%		3.77	%		7.40	%		12.11	%		10.71	%		11.33	%
Total return after incentive fees (2)		6.09	%		7.39	%		0.34	%		0.05	%		1.75	%		5.39	%		10.10	%		8.70	%		9.31	%

	Frontier Masters						Balanced															Campbell/Graham/Tiverton
	Class 1			Class 2			Class 1			Class 1a			Class 2			Class 2a			Class 3a			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2009	$	94.46		$	95.37		$	118.54		$	105.50		$	139.01		$	117.60		$	117.60		$	104.65		$	121.10
Net operating results:
Interest income		1.42			1.44			0.12			0.10			0.14			0.12			0.12			0.00			0.00
Expenses		(5.61	)		(4.02	)		(7.06	)		(6.24	)		(5.21	)		(4.39	)		(4.43	)		(5.10	)		(3.31	)
Net gain/(loss) on investments, net of non-controlling interests		9.12			8.89			15.51			13.06			18.52			14.83			14.85			6.07			7.21
Net income/(loss)		4.93			6.31			8.57			6.92			13.45			10.56			10.54			0.97			3.90
Net asset value, September 30, 2010	$	99.39		$	101.68		$	127.11		$	112.42		$	152.46		$	128.16		$	128.14		$	105.62		$	125.00
Ratios to average net assets (3)
Net investment gain/(loss)		-5.96	%		-3.61	%		-7.80	%		-7.80	%		-4.80	%		-4.80	%		-4.80	%		-6.74	%		-3.74	%
Expenses before incentive fees		7.27	%		4.92	%		4.08	%		4.08	%		1.07	%		1.07	%		1.07	%		6.74	%		3.74	%
Expenses after incentive fees		7.99	%		5.63	%		7.93	%		7.93	%		4.93	%		4.93	%		4.93	%		6.74	%		3.74	%
Total return before incentive fees (2)		8.41	%		6.89	%		9.85	%		7.00	%		11.97	%		11.54	%		15.24	%		0.59	%		2.37	%
Total return after incentive fees (2)		7.87	%		6.36	%		6.97	%		4.12	%		9.09	%		8.66	%		12.36	%		0.59	%		2.37	%

	Currency						Long Only						Managed Futures Index						Winton						Winton/Graham
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2009	$	78.00		$	91.34		$	83.59		$	90.30		$	112.54		$	121.28		$	117.57		$	130.10		$	110.06		$	128.39
Net operating results:
Interest income		0.61			0.73			1.23			1.33			0.56			0.60			0.40			0.45			0.39			0.47
Expenses		(3.04	)		(1.51	)		(2.24	)		(1.15	)		(3.94	)		(2.46	)		(5.77	)		(3.37	)		(5.77	)		(3.92	)
Net gain/(loss) on investments, net of non-controlling interests		5.34			6.33			0.26			0.36			5.40			5.90			18.11			20.30			9.22			10.95
Net income/(loss)		2.91			5.55			(0.75	)		0.54			2.02			4.04			12.74			17.38			3.84			7.50
Net asset value, September 30, 2010	$	80.91		$	96.89		$	82.84		$	90.84		$	114.56		$	125.32		$	130.31		$	147.48		$	113.90		$	135.89
Ratios to average net assets (3)
Net investment gain/(loss)		-4.08	%		-1.08	%		-1.71	%		0.29	%		-4.04	%		-2.04	%		-5.85	%		-2.84	%		-6.60	%		-3.59	%
Expenses before incentive fees		5.10	%		2.10	%		3.78	%		1.78	%		4.70	%		2.70	%		6.13	%		3.13	%		6.85	%		3.85	%
Expenses after incentive fees		5.10	%		2.10	%		3.78	%		1.78	%		4.70	%		2.70	%		6.28	%		3.28	%		7.08	%		4.08	%
Total return before incentive fees (2)		3.82	%		0.93	%		-1.73	%		-1.17	%		1.74	%		2.47	%		10.43	%		12.57	%		3.46	%		5.89	%
Total return after incentive fees (2)		3.82	%		0.93	%		-1.73	%		-1.17	%		1.74	%		2.47	%		10.32	%		12.45	%		3.29	%		5.72	%

(1) Interest income and expenses per unit are calculated by dividing these amounts by the weighted average number of units outstanding during the period.

The net gain/(loss) on investments, net of minority interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

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

(3) Annualized

57

	Balanced															Winton						Campbell/Graham/Tiverton
	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, June 30, 2009	$	121.06		$	108.14		$	139.84		$	118.73		$	118.74		$	117.44		$	128.00		$	102.03		$	116.29
Net operating results:
Interest income		0.09			0.08			0.11			0.09			0.09			0.10			0.11			0.09			0.10
Expenses		(1.60	)		(1.43	)		(0.80	)		(0.68	)		(0.68	)		(1.64	)		(0.83	)		(1.90	)		(1.31	)
Net gain/(loss) on investments, net of non-controlling interests		2.90			2.42			3.38			2.68			2.67			2.22			2.44			5.08			5.83
Net income		1.39			1.07			2.68			2.09			2.08			0.68			1.72			3.26			4.63
Net asset value, September 30, 2009	$	122.45		$	109.21		$	142.52		$	120.82		$	120.82		$	118.12		$	129.72		$	105.29		$	120.92
Ratios to average net assets (3)
Net investment gain/(loss)		-5.03	%		-5.03	%		-2.01	%		-2.01	%		-1.00	%		-5.32	%		-2.29	%		-8.65	%		-4.96	%
Expenses before incentive fees		3.72	%		3.72	%		0.69	%		0.69	%		0.34	%		5.67	%		2.63	%		7.76	%		4.07	%
Expenses after incentive fees		5.34	%		5.34	%		2.31	%		2.31	%		1.16	%		5.67	%		2.63	%		9.07	%		5.38	%
Total return before incentive fees (2)		1.53	%		1.35	%		2.28	%		2.14	%		2.93	%		0.55	%		1.31	%		4.17	%		5.05	%
Total return after incentive fees (2)		1.13	%		0.95	%		1.87	%		1.73	%		2.52	%		0.55	%		1.31	%		3.84	%		4.72	%

	Currency						Winton/Graham						Frontier Long/Short
	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, 2009	$	87.78		$	101.24		$	106.45		$	122.30		$	109.18		$	120.52		$	120.51		$	97.53		$	97.64
Net operating results:
Interest income		0.15			0.17			0.10			0.11			0.49			0.56			0.36			0.39			0.52
Expenses		(1.12	)		(0.56	)		(2.15	)		(1.55	)		(2.88	)		(2.35	)		(1.52	)		(2.31	)		(2.20	)
Net gain/(loss) on investments, net of non-controlling interests		(2.94	)		(3.38	)		6.55			7.58			3.43			3.85			3.23			2.96			3.13
Net income		(3.91	)		(3.77	)		4.49			6.14			1.04			2.06			2.07			1.04			1.45
Net asset value, September 30, 2009	$	83.87		$	97.47		$	110.94		$	128.44		$	110.22		$	122.58		$	122.58		$	98.57		$	99.09
Ratios to average net assets (3)
Net investment gain/(loss)		-4.63	%		-1.59	%		-7.72	%		-4.68	%		-9.37	%		-6.13	%		-3.07	%		-4.68	%		-3.07	%
Expenses before incentive fees		5.33	%		2.30	%		6.40	%		3.37	%		8.70	%		5.47	%		2.73	%		4.35	%		2.73	%
Expenses after incentive fees		5.33	%		2.30	%		8.08	%		5.05	%		11.27	%		8.03	%		4.02	%		5.63	%		4.02	%
Total return before incentive fees (2)		-4.73	%		-3.89	%		4.60	%		5.31	%		1.66	%		2.41	%		3.08	%		2.74	%		1.77	%
Total return after incentive fees (2)		-4.73	%		-3.89	%		4.18	%		4.89	%		1.02	%		1.77	%		2.44	%		2.10	%		1.13	%

	Long Only						Managed Futures Index						Frontier Diversified						Frontier Dynamic						Frontier Masters
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, June 30, 2009	$	75.13		$	80.35		$	120.81		$	128.89		$	98.11		$	98.21		$	97.07		$	97.18		$	97.97		$	98.08
Net operating results:
Interest income		0.33			0.38			0.52			0.56			2.94			2.94			59.35			59.60			6.56			6.58
Expenses		(0.71	)		(0.37	)		(1.34	)		(0.79	)		(8.14	)		(6.85	)		(94.51	)		(80.66	)		(16.86	)		(14.88	)
Net gain/(loss) on investments, net of non-controlling interests		2.73			2.75			(2.26	)		(2.41	)		6.04			5.20			34.65			20.97			10.65			9.09
Net income		2.35			2.75			(3.08	)		(2.65	)		0.84			1.29			(0.51	)		(0.09	)		0.35			0.79
Net asset value, September 30, 2009	$	77.48		$	83.10		$	117.73		$	126.24		$	98.95		$	99.50		$	96.56		$	97.09		$	98.32		$	98.87
Ratios to average net assets (3)
Net investment gain/(loss)		-1.43	%		0.00	%		-2.77	%		-0.74	%		-10.58	%		-7.92	%		-72.54	%		-43.26	%		-21.12	%		-16.95	%
Expenses before incentive fees		2.65	%		1.22	%		4.51	%		2.49	%		12.98	%		10.32	%		194.96	%		165.68	%		34.57	%		30.40	%
Expenses after incentive fees		2.65	%		1.22	%		4.51	%		2.49	%		16.55	%		13.89	%		194.96	%		165.68	%		34.57	%		30.40	%
Total return before incentive fees (2)		2.22	%		2.23	%		-2.55	%		-2.08	%		4.12	%		4.53	%		-0.72	%		-1.13	%		3.93	%		5.00	%
Total return after incentive fees (2)		2.22	%		2.23	%		-2.55	%		-2.08	%		2.34	%		2.75	%		-0.72	%		-1.13	%		3.93	%		5.00	%

(1) Interest income and expenses per unit are calculated by dividing these amounts by the weighted average number of units outstanding during the period.

The net gain/(loss) on investments, net of non-controlling interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

(2) Computed using weighted average net assets outstanding during the period. 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

58

	Balanced															Winton						Campbell/Graham/Tiverton
	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, 2008 or beginning of operations	$	125.17		$	112.09		$	142.44		$	121.30		$	121.97		$	130.41		$	140.04		$	110.54		$	124.14
Net operating results:
Interest income		0.23			0.20			0.26			0.22			0.22			0.54			0.59			0.35			0.39
Expenses		(5.36	)		(4.79	)		(2.99	)		(2.54	)		(2.51	)		(5.09	)		(2.55	)		(5.24	)		(3.26	)
Net gain/(loss) on investments, net of non-controlling interests		2.41			1.71			2.82			1.84			1.14			(7.74	)		(8.36	)		(0.36	)		(0.36	)
Net income		(2.72	)		(2.88	)		0.08			(0.48	)		(1.15	)		(12.29	)		(10.32	)		(5.25	)		(3.22	)
Net asset value, September 30, 2009	$	122.45		$	109.21		$	142.52		$	120.82		$	120.82		$	118.12		$	129.72		$	105.29		$	120.92
Ratios to average net assets (3)
Net investment gain/(loss)		-5.58	%		-5.58	%		-2.58	%		-2.58	%		-5.88	%		-4.98	%		-1.98	%		-6.96	%		-3.59	%
Expenses before incentive fees		3.90	%		3.90	%		0.90	%		0.90	%		2.05	%		5.61	%		2.61	%		7.05	%		3.68	%
Expenses after incentive fees		5.83	%		5.83	%		2.83	%		2.83	%		6.43	%		5.57	%		2.57	%		7.45	%		4.08	%
Total return before incentive fees (2)		-0.94	%		-1.41	%		1.28	%		0.80	%		2.21	%		-10.23	%		-7.90	%		-5.23	%		-2.56	%
Total return after incentive fees (2)		-2.38	%		-2.85	%		-0.16	%		-0.65	%		0.77	%		-10.19	%		-7.86	%		-5.53	%		-2.86	%

	Currency						Winton/Graham						Frontier Long/Short
	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, 2008 or beginning of operations	$	96.19		$	109.30		$	116.18		$	131.49		$	100.39		$	109.28		$	122.70		$	100.00		$	100.00
Net operating results:
Interest income		0.38			0.44			0.37			0.42			1.52			1.71			1.12			1.21			1.62
Expenses		(3.55	)		(1.78	)		(5.33	)		(3.30	)		(8.85	)		(7.27	)		(4.75	)		(7.05	)		(6.86	)
Net gain/(loss) on investments, net of non-controlling interests		(9.15	)		(10.48	)		(0.28	)		(0.18	)		17.15			18.85			3.51			4.41			4.33
Net income		(12.32	)		(11.83	)		(5.24	)		(3.05	)		9.83			13.30			(0.12	)		(1.43	)		(0.91	)
Net asset value, September 30, 2009	$	83.87		$	97.47		$	110.94		$	128.44		$	110.22		$	122.58		$	122.58		$	98.57		$	99.09
Ratios to average net assets (3)
Net investment gain/(loss)		-4.77	%		-1.77	%		-6.03	%		-3.04	%		-9.48	%		-6.39	%		-14.53	%		-9.48	%		-6.39	%
Expenses before incentive fees		5.34	%		2.34	%		5.92	%		2.92	%		7.96	%		4.87	%		11.07	%		7.96	%		4.87	%
Expenses after incentive fees		5.34	%		2.34	%		6.48	%		3.48	%		11.45	%		8.36	%		19.01	%		11.45	%		8.36	%
Total return before incentive fees (2)		-14.01	%		-11.62	%		-4.01	%		-2.36	%		12.67	%		13.95	%		1.70	%		4.38	%		3.29	%
Total return after incentive fees (2)		-14.01	%		-11.62	%		-4.43	%		-2.78	%		10.06	%		11.34	%		-0.91	%		1.77	%		0.68	%

	Long Only						Managed Futures Index						Frontier Diversified						Frontier Dynamic						Frontier Masters
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2008 or beginning of operations	$	70.31		$	74.46		$	132.18		$	139.70		$	100.00		$	100.00		$	100.00		$	100.00		$	100.00		$	100.00
Net operating results:
Interest income		0.93			1.05			1.55			1.64			4.41			4.42			153.15			134.74			22.70			22.42
Expenses		(1.97	)		(1.02	)		(4.01	)		(2.30	)		(12.59	)		(10.76	)		(245.77	)		(183.58	)		(59.55	)		(52.09	)
Net gain/(loss) on investments, net of non-controlling interests		8.21			8.61			(11.99	)		(12.81	)		7.14			5.84			89.19			45.93			35.17			28.54
Net income		7.17			8.64			(14.45	)		(13.46	)		(1.05	)		(0.50	)		(3.44	)		(2.91	)		(1.68	)		(1.13	)
Net asset value, September 30, 2009	$	77.48		$	83.10		$	117.73		$	126.24		$	98.95		$	99.50		$	96.56		$	97.09		$	98.32		$	98.87
Ratios to average net assets (3)
Net investment gain/(loss)		-1.48	%		0.04	%		-2.67	%		-0.67	%		-26.57	%		-20.53	%		-171.22	%		-102.60	%		-52.92	%		-43.14	%
Expenses before incentive fees		2.80	%		1.29	%		4.37	%		2.36	%		30.88	%		24.84	%		454.30	%		385.68	%		83.62	%		73.84	%
Expenses after incentive fees		2.80	%		1.29	%		4.37	%		2.36	%		40.87	%		34.83	%		454.30	%		385.68	%		85.52	%		75.74	%
Total return before incentive fees (2)		7.80	%		8.36	%		-11.11	%		-8.29	%		6.02	%		6.53	%		-1.58	%		-2.40	%		5.42	%		6.70	%
Total return after incentive fees (2)		7.80	%		8.36	%		-11.11	%		-8.29	%		2.90	%		3.41	%		-1.58	%		-2.40	%		4.82	%		6.11	%

(1) Interest income and expenses per unit are calculated by dividing these amounts by the weighted average number of units outstanding during the period.

The net gain/(loss) on investments, net of non-controlling interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

(2) Computed using weighted average net assets outstanding during the period. 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

8. 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). It 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

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of September 30, 2010 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trust’s positions in swap contracts. For the three and nine months ended September 30, 2010, the approximate monthly averages of futures contracts bought and sold for the Trust is outlined as follows:

For The Three Months Ended September 30, 2010

	Bought		Sold
Balanced Series		88,000		61,400
Campbell/Graham/Tiverton Series		7,500		300
Currency Series		900		7,600
Winton/Graham Series		12,900		3,300

For The Nine Months Ended September 30, 2010

	Bought		Sold
Frontier Diversified Series		7,000		1,300
Frontier Long/Short Series		168,700		115,000
Balanced Series		41,100		43,700
Campbell/Graham/Tiverton Series		9,200		3,700
Currency Series		2,000		22,500
Winton/Graham Series		27,000		4,800

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The following tables summarize the trading revenues for the three and nine month periods ending September 30, 2010 and 2009 approximately by sector:

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended September 30, 2010⁽¹⁾

	Frontier Diversified			Frontier Long/Short
Type of contract	Series			Series			Balanced Series
Metals	$	—		$	—		$	1,826,578
Currencies		—			—			(879,563	)
Energies		—			—			(57,684	)
Agriculturals		—			—			(2,799,191	)
Interest rates		—			—			3,352,486
Stock indices		—			—			(114,403	)
Realized trading income/(loss)(2)	$	—		$	—		$	1,328,223
	Campbell/Graham/						Winton/Graham
Type of contract	Tiverton Series			Currency Series			Series
Metals	$	(20,516	)	$	—		$	(2,144,350	)
Currencies		(222,962	)		(40,159	)		799,427
Energies		175,842			—			(2,896,534	)
Agriculturals		805,625			—			458,966
Interest rates		1,596,763			—			4,417,972
Stock indices		(876,524	)		—			(820,379	)
Realized trading income/(loss)(2)	$	1,458,228		$	(40,159	)	$	(184,898	)

Realized Trading Revenue from Futures, Forwards and Options

for the Nine Months Ended September 30, 2010⁽¹⁾

	Frontier Diversified			Frontier Long/Short
Type of contract	Series			Series			Balanced Series
Metals	$	906,825		$	334,220		$	6,029,404
Currencies		224,610			619,216			(2,538,024	)
Energies		(725,644	)		(32,272,413	)		(1,713,891	)
Agriculturals		(1,060,508	)		6,407,717			(5,896,681	)
Interest rates		1,444,587			(497,654	)		8,164,682
Stock indices		(730,345	)		1,379,261			(1,831,411	)
Realized trading income/(loss)(2)	$	59,525		$	(24,029,653	)	$	2,214,079
	Campbell/Graham/						Winton/Graham
Type of contract	Tiverton Series			Currency Series			Series
Metals	$	(925,921	)	$	—		$	(2,420,250	)
Currencies		(655,992	)		252,605			1,267,073
Energies		(237,740	)		—			(4,164,199	)
Agriculturals		1,023,799			—			(340,462	)
Interest rates		5,138,272			—			8,619,172
Stock indices		(1,805,789	)		—			(3,484,734	)
Realized trading income/(loss)(2)	$	2,536,629		$	252,605		$	(523,400	)

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

for the Three Months Ended September 30, 2010⁽¹⁾

Type of contract	Frontier Diversified Series			Frontier Long/Short Series			Balanced Series
Metals	$	—		$	—		$	3,968,524
Currencies		—			—			(1,051,243	)
Energies		—			—			1,545,326
Agriculturals		—			—			3,905,423
Interest rates		—			—			2,179,192
Stock indices		—			—			2,589,632
Unrealized trading income/(loss)(3)	$	—		$	—		$	13,136,854
Type of contract	Campbell/Graham/ Tiverton Series			Currency Series			Winton/Graham Series
Metals	$	(566,954	)	$	—		$	18,081
Currencies		243,759			29,630			227,696
Energies		530,812			—			685,325
Agriculturals		563,214			—			556,392
Interest rates		876,598			—			816,553
Stock indices		665,022			—			349,222
Unrealized trading income/(loss)(3)	$	2,312,451		$	29,630		$	2,653,269
Net Change in Open Trade Equity from Futures, Forwards and Options for the Nine Months Ended September 30, 2010(1)
Type of contract	Frontier Diversified Series			Frontier Long/Short Series			Balanced Series
Metals	$	(1,808,138	)	$	282,667		$	1,915,145
Currencies		842,676			(69,820	)		(1,361,164	)
Energies		(4,250	)		24,029,704			2,220,363
Agriculturals		(390,911	)		(5,585,339	)		3,707,526
Interest rates		883,518			(201,571	)		7,511,701
Stock indices		(227,989	)		31,629			(385,298	)
Unrealized trading income/(loss)(3)	$	(705,094	)	$	18,487,270		$	13,608,273
Type of contract	Campbell/Graham/ Tiverton Series			Currency Series			Winton/Graham Series
Metals	$	(1,051,250	)	$	—		$	(656,657	)
Currencies		373,048			43,722			1,327,174
Energies		540,959			—			297,169
Agriculturals		4,876			—			23,651
Interest rates		1,237,112			—			484,966
Stock indices		1,011,083			—			(55,181	)
Unrealized trading income/(loss)(3)	$	2,115,828		$	43,722		$	1,421,122

(1) The Frontier Diversified Series, Frontier Masters Series, Campbell/Graham/Tiverton Series, Managed Futures Index Series and Winton Series participate in trading activities through equity in earnings/(loss) from trading companies. The Dynamic Series and Long Only Commodity Series participates in trading activities through realized gain/(loss) on swap contracts. Long/Short Series deconsolidated Frontier Trading Company VII, LLC as of January 31, 2010. The Frontier Diversified Series deconsolidated Beach Horizon Trading Company - Horizon Program, LLC as of June 21, 2010. The Balanced Series deconsolidated Cantab Trading Company - Aristarchus Program, LLC as of September 1, 2010, QIM Trading Company - Global Program, LLC as of September 29, 2010, Tiverton Trading Company - Discretionary Program, LLC as of June 2, 2010, Winton Trading Company - Diversified Program, LLC as of July 22, 2010, Frontier Trading Company XIV, LLC as of January 25, 2010 and Frontier Trading Company VI, LLC as of March 19, 2010. The Campbell/Graham/Tiverton Series consolidated Frontier Trading Company VI, LLC on March 19, 2010 and thereafter. The Long/Short Series participate in trading activities through equity in earnings(loss) from the aforementioned deconsolidated trading companies.

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

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

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Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended September 30, 2009 ⁽¹⁾

Type of contract	Frontier Long/Short Series			Balanced Series			Currency Series			Winton/Graham Series
Metals	$	3,712,916		$	412,579		$	—		$	557,289
Currencies		271,636			(171,014	)		(103,475	)		(367,998	)
Energies		46,822,429			(680,213	)					(968,939	)
Agriculturals		2,183,737			(174,313	)					425,314
Interest rates		(141,718	)		(1,271,066	)					(1,479,451	)
Stock indices		457,171			1,710,455						5,976,507
Realized trading income/(loss)(2)	$	53,306,171		$	(173,572	)	$	(103,475	)	$	4,142,722
Realized Trading Revenue from Futures, Forwards and Options for the Nine Months Ended September 30, 2009(1)
Type of contract	Frontier Dynamic Series			Frontier Long/Short Series			Balanced Series			Campbell/Graham/ Tiverton Series
Metals	$	—		$	14,703,688		$	(15,145,761	)	$	(523,662	)
Currencies		15			1,327,231			5,263,619			1,073,618
Energies		—			17,716,577			(15,384,679	)		(185,872	)
Agriculturals		—			5,083,309			10,551,983			(1,331,375	)
Interest rates		—			269,751			(27,683,526	)		(249,380	)
Stock indices		—			2,522,627			50,231,587			(400,807	)
Realized trading income/(loss)(2)	$	15		$	41,623,183		$	7,833,223		$	(1,617,478	)

Type of contract	Currency Series			Winton Series			Winton/Graham Series
Metals	$	—		$	(349,440	)	$	336,567
Currencies		(190,562	)		(2,603,191	)		446,430
Energies		—			(447,390	)		(1,592,428	)
Agriculturals		—			(12,665	)		(599,144	)
Interest rates		—			(558,286	)		(2,399,818	)
Stock indices		—			(714,027	)		8,400,708
Realized trading income/(loss)(2)	$	(190,562	)	$	(4,684,999	)	$	4,592,315

(1) The Frontier Diversified Series, Frontier Masters Series and Managed Futures Index Series participate in trading activities through equity in earnings/(loss) from trading companies. The Long Only Commodity Series participates in trading activities through realized gain/(loss) on swap contracts. Campbell/Graham/Tiverton Series deconsolidated Frontier Trading Company V LLC as of April 23, 2009, and thereafter participates in trading activities through equity in earnings/(loss) from trading companies. Winton Series deconsolidated Frontier Trading Company II LLC as of May 28, 2009, and thereafter participates in trading activities through equity in earnings/(loss) from Frontier Trading Company II LLC.

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

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

for the Three Months Ended September 30, 2009 ⁽¹⁾

Type of contract	Frontier Long/Short Series			Balanced Series			Currency Series		Winton/Graham Series
Metals	$	(2,321,541	)	$	5,088,525		$	—	$	39,998
Currencies		124,871			1,396,165			32,902		1,337,836
Energies		(46,210,400	)		(438,636	)		—		(51,500	)
Agriculturals		(3,205,966	)		2,452,611			—		423,249
Interest rates		(51,203	)		3,137,589			—		490,810
Stock indices		504,104			(141,171	)		—		(253,042	)
Unrealized trading income/(loss)(2)	$	(51,160,135	)	$	11,495,083		$	32,902	$	1,987,351

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

for the Nine Months Ended September 30, 2009⁽¹⁾

Type of contract	Frontier Long/Short Series			Balanced Series			Campbell/Graham/ Tiverton Series
Metals	$	(15,266,759	)	$	(1,313,660	)	$	86,477
Currencies		(141,274	)		(2,502,114	)		(970,417	)
Energies		(4,420,641	)		(364,540	)		121,454
Agriculturals		(1,321,448	)		1,497,641			(150,188	)
Interest rates		117,652			344,151			246,961
Stock indices		385,273			757,903			(94,518	)
Unrealized trading income/(loss)(2)	$	(20,647,197	)	$	(1,580,619	)	$	(760,231	)
Type of contract	Currency Series			Winton Series			Winton/Graham Series
Metals	$	—		$	(2,294,483	)	$	(16,595	)
Currencies		7,757			1,977,629			1,780,673
Energies		—			(60,860	)		(119,397	)
Agriculturals		—			1,048,578			468,525
Interest rates		—			(4,484,327	)		288,675
Stock indices		—			204,656			(168,665	)
Unrealized trading income/(loss)(2)	$	7,757		$	(3,608,807	)	$	2,233,216

(1) The Frontier Diversified Series, Frontier Masters Series and Managed Futures Index Series participate in trading activities through equity in earnings/(loss) from trading companies. The Long Only Commodity Series participates in trading activities through realized gain/(loss) on swap contracts. Campbell/Graham/Tiverton Series deconsolidated Frontier Trading Company V LLC as of April 23, 2009, and thereafter participates in trading activities through equity in earnings/(loss) from trading companies. Winton Series deconsolidated Frontier Trading Company II LLC as of May 28, 2009, and thereafter participates in trading activities through equity in earnings/(loss) from Frontier Trading Company II LLC.

(2) In the Statements of Operations under Net change in open trade equity.

9. Trading Activities and Related Risks

The purchase and sale of futures and options on futures contracts require margin deposits with Futures Commission Merchants (each, an “FCM”). Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other property (for

64

example, U.S. Treasury bills) deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than the total of cash and other property deposited.

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

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

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

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

10. Indemnifications

The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, currency trading companies, and commodity trading advisors, 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.

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 2009 Annual Report on Form 10-K for the year ended December 31, 2009.

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Overview

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

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

As of September 30, 2010 the Trust had eleven separate Series of Units issued and outstanding: the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series, Campbell/Graham/Tiverton Series, Currency Series, Long Only Commodity Series, Managed Futures Index Series, Winton Series and Winton/Graham Series. Each Series of Units has between three and six separate classes issued and/or outstanding—Class 1, Class 2, Class 3, Class 1a, Class 2a, and Class 3a.

Critical Accounting Policies and Estimates

The financial statements of the Trust in this Quarterly Report on Form 10-Q have not been audited by an independent registered public accounting firm, but in the opinion of management, reflect all adjustments necessary for a fair presentation of the Trust’s financial position and results of operations. The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“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 2009 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 critical accounting policies and related estimates and judgments underlying the financial statements are as identified below.

Investment and Swap Transactions and Valuation—The Trust records investment transactions on a trade date basis and all investments are recorded at fair value in its financial statements, with changes in fair value reported as a component of Trading Profits (Losses) and unrealized equity in earnings on investments in each Series in the Statements of Operations. Generally, fair values are based on quoted market prices; however, in certain circumstances, significant judgments and estimates may be required in determining fair value in the absence of an active market closing price.

Allocation of Trading Profits or Losses—Each Series of the Trust has 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 Class 1 and 1 a Units of each Series bear certain expenses related to the servicing of such Units. Revenues, expenses (other than expenses attributable to a specific class), and realized and unrealized trading profits and losses of each Series are allocated daily to Class 1, Class 1a, Class 2, Class 2a, Class 3 and Class 3a Units based on each Class’ respective owners’ capital balances.

Each Series allocates funds to a Trading Company, or Trading Companies, which allocate all of their daily trading profits or losses to the Series in proportion to each Series’ funds allocated to the Trading Company, adjusted on a daily basis. As of September 30, 2010, 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 Trading Companies.

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Interest Income—Aggregate interest income from all sources, including assets held at clearing brokers, up to two percentage points of the aggregate percentage yield based on each Series NAV (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Campbell/Graham/Tiverton Series, Currency Series, Winton Series and Winton/Graham Series. For the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series (Class 1a, Class 2a and Class 3a only), Long Only Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner. All interest not paid to the Managing Owner is interest income to the Series.

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

In applying these policies, the Managing Owner may make judgments that can frequently require estimates about matters that are inherently uncertain.

Investment Transactions and Valuation

The Managing Owner has evaluated the nature and type of transactions processed and estimates that it makes in preparing the Trust’s financial statements and related disclosures and has adopted ASC 820, 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, currencies, forward (non-exchange traded) 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 Statement of Financial Condition, with changes in fair value reported as a component of realized and unrealized 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.

Custom Time Deposits

Custom time deposits are allocated to each Series based on the Series’ 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 7.44 of theInvestment Company Audit Guide, and accordingly, this deposit is not subject to fair value measurements under ASC 820.

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 (“receivable from futures commission merchants”) 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, 2010, cash deposited at the clearing brokers was $81,637,792 for the Balanced Series, $9,488,128 for the Campbell/Graham/Tiverton Series, $704,694 for the Currency Series and $12,460,152 for the Winton/Graham Series. At December 31, 2009, cash deposited at the clearing brokers was $23,781,708 for the Frontier Long/Short Commodity Series, $71,161,299 for the Balanced Series, $489,483 for the Currency Series and $13,010,250 for the Winton/Graham 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 week. Currently, this amount is estimated to be 0.20%. 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 United States, or by a person controlled by or supervised by and acting as an instrumentality of the government of the United States 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), Campbell/Graham/Tiverton Series, Currency Series, Winton Series, and Winton/Graham Series. For the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series (Class 1 a and Class 2a only), Long Only Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner.

Approximately 10% to 20% of the Trust’s assets are expected to be committed as required margin for futures contracts and forward 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 5% to 12% of the Trust’s assets are expected to be deposited with over-the- counter counterparties in order to initiate and maintain swap style options 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 68% to 85% of the Trust’s assets will normally be invested in cash equivalents and short-term investments, such as money market funds, and custom time deposits. As of September 30, 2010, total cash and cash equivalents and custom time deposits held at banking institutions were $83,389,107 for the Frontier Diversified Series, $16,499,364 for the Frontier Dynamic Series, $48,048,975 for the Frontier Long/Short Commodity Series, $13,657,725 for the Frontier Masters Series $161,911,824 for the Balanced Series, $44,174,904 for the Campbell/Graham/Tiverton Series, $12,060,178 for the Currency Series, $2,856,145 for the Long Only Commodity Series, $3,975,590 for the Managed Futures Index Series, $44,010,237 for the Winton Series and $38,629,047 for the Winton/Graham Series. As of December 31, 2009, total cash and cash equivalents and custom time deposits held at banking institutions were $47,895,580 for the Frontier Diversified Series, $15,802,320 for the Frontier Dynamic Series, $37,789,611 for the Frontier Long/Short Commodity Series, $22,701,439 for the Frontier Masters Series, $182,088,771 for the Balanced Series, $42,271,337 for the Campbell/Graham/Tiverton Series, $14,473,172 for the Currency Series, $3,515,966 for the Long Only Commodity Series, $2,397,492 for the Managed Futures Index Series, $40,520,486 for the Winton Series and $43,718,386 for the Winton/Graham Series.

Off-Balance Sheet Risk

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

In addition to market risk, trading futures, forward and swap contracts entails credit risk which is the risk that a counterparty will not be able to meet its obligations to a Trading Company. The counterparty for futures contracts traded in the United States and on most

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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 advisors, 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.

Results of Operations

Three Months Ended September 30, 2010 Compared to Three Months Ended September 30, 2009.

Frontier Diversified Series

The Frontier Diversified Series – Class 1 NAV gained 3.3% and 0.9%, respectively, for the three months ended September 30, 2010 and 2009, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV gained 3.7% and 1.3%, respectively for the three months ended September 30, 2010 and 2009, net of fees and expenses.

For the three months ended September 30, 2010, the Frontier Diversified Series recorded net gain on investments of $7,158,422, net interest of $646,659, and total expenses of $2,794,759, resulting in a net increase in Owners’ capital from operations of $5,010,322. The Frontier Diversified Series began trading operations on September 9, 2009. For the three months ended September 30, 2009, the Frontier Diversified Series recorded a net gain on investments of $416,034, net interest of $173,574, and total expenses of $440,859, resulting in a net decrease in Owners’ capital from operations of $148,749.

Please see additional discussion under “Nine Months Ended September 30, 2010 Compared to Nine Months Ended September 30, 2009 – Frontier Diversified Series.”

Frontier Dynamic Series

The Frontier Dynamic Series – Class 1 NAV gained 1.5% and lost 0.5%, respectively, for the three months ended September 30, 2010 and 2009, net of fees and expenses; the Frontier Dynamic Series – Class 2 NAV gained 2.0% and lost 0.1%, respectively for the three months ended September 30, 2010 and 2009, net of fees and expenses.

For the three months ended September 30, 2010, the Frontier Dynamic Series recorded net gain on investments of $107,701, net interest of $116,249, and total expenses of $197,186, resulting in a net increase in Owners’ capital from operations of $26,764. The Frontier Diversified Series began trading operations on September 9, 2009. For the period ended September 30, 2009 the Frontier Dynamic Series recorded a net gain on investments of $63,150, net interest of $129,833, and total expenses of $194,841, resulting in a net decrease in Owners’ capital from operations of $1,858.

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Please see additional discussion under “Nine Months Ended September 30, 2010 Compared to Nine Months Ended September 30, 2009 – Frontier Dynamic Series.”

Frontier Long/Short Commodity Series

The Frontier Long/Short Commodity Series – Class 1 NAV gained 9.6% and 1.0%, respectively, for the three months ended September 30, 2010 and 2009, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 NAV gained 10.4% and 1.7%, respectively, for the three months ended September 30, 2010 and 2009, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV gained 10.4% and 1.7%, respectively for the three month period ended September 30, 2010 and 2009, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1a NAV gained 9.5% and 1.1%, respectively, for the three month period ended September 30, 2010 and 2009, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV gained 10.0% and 1.5%, respectively, for the three month period ended September 30, 2010 and 2009, net of fees and expenses.

For the three months ended September 30, 2010, the Frontier Long/Short Commodity Series recorded net gain on investments of $7,893,906, net interest of $322,967, and total expenses of $1,903,890, resulting in a net increase in Owners’ capital from operations of $6,312,983. For the three months ended September 30, 2009, the Frontier Long/Short Commodity Series recorded net gain on investments of $1,658,892, net interest of $292,640, and total expenses of $1,591,462, resulting in a net increase in Owners’ capital from operations of $784,707 after non-controlling interests of $424,637.

Please see additional discussion under “Nine Months Ended September 30, 2010 Compared to Nine Months Ended September 30, 2009 – Frontier Long/Short Commodity Series.”

Frontier Masters Series

The Frontier Masters Series – Class 1 NAV gained 6.1% and 0.4%, respectively, for the three months ended September 30, 2010 and 2009, net of fees and expenses; the Frontier Masters Series – Class 2 NAV gained 6.6% and 0.8%, respectively for the three months ended September 30, 2010 and 2009, net of fees and expenses.

For the three months ended September 30, 2010, the Frontier Masters Series recorded net gain on investments of $4,601,601, net interest of $296,656, and total expenses of $1,206,304, resulting in a net increase in Owners’ capital from operations of $3,691,953. The Frontier Masters Series began trading operations on September 9, 2009. For the period ended September 30, 2009 the Frontier Masters Series recorded a net gain on investments of $265,945, net interest of $127,057, and total expenses of $310,137, resulting in a net increase in Owners’ capital from operations of $82,865.

Please see additional discussion under “Nine Months Ended September 30, 2010 Compared to Nine Months Ended September 30, 2009 – Frontier Masters Series.”

Balanced Series

The Balanced Series – Class 1 NAV gained 5.1% and 1.1%, respectively, for the three months ended September 30, 2010 and 2009, net of fees and expenses; the Balanced Series – Class 1a NAV gained 4.9% and 1.0%, respectively, for the three months ended September 30, 2010 and 2009, net of fees and expenses; the Balanced Series – Class 2 NAV gained 5.9% and 1.9%, respectively, for the three months ended September 30, 2010 and 2009, net of fees and expenses; the Balanced Series – Class 2a NAV gained 5.7% and 1.8%, respectively, for the three months ended September 30, 2010 and 2009, net of fees and expenses; the Balanced Series – Class 3a NAV gained 5.7% and 1.8% for the three months ended September 30, 2010 and 2009, respectively, net of fees and expenses.

For the three months ended September 30, 2010, the Balanced Series recorded net gain on investments of $31,652,538, net interest of $68,974, and total expenses of $7,856,716, resulting in a net increase in Owners’ capital from operations of $18,815,391 after non-controlling interests of ($5,049,405). For the three months ended September 30, 2009, the Balanced Series recorded net gain on investments of $11,975,473, net interest of $304,459, and total expenses of $4,649,750, resulting in a net increase in Owners’ capital from operations of $5,151,354 after non-controlling interests of ($2,478,828).

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The Balanced Series, through Frontier Trading Company I, LLC, has engaged in a fund option transaction, whereby the Balanced Series obtains exposure to the performance of additional commodity funds held by a counterparty to the option, for the purpose of further diversification among trading advisors and styles. The Trust does not have transparency to the underlying investments of these commodity funds, so the returns from this program cannot be characterized.

Please see additional discussion under “Nine Months Ended September 30, 2010 Compared to Nine Months Ended September 30, 2009 – Balanced Series.”

Campbell/Graham/Tiverton Series

The Campbell/Graham/Tiverton Series – Class 1 NAV gained 4.8% and 3.2%, respectively, for the three months ended September 30, 2010 and 2009, net of fees and expenses; the Campbell/Graham/Tiverton Series – Class 2 NAV gained 5.6% and lost 4.0%, respectively for the three months ended September 30, 2010 and 2009, net of fees and expenses.

For the three months ended September 30, 2010, the Campbell/Graham/Tiverton Series recorded net gain on investments of $5,546,389, net interest of $2,477, and total expenses of $1,148,905, resulting in a net increase in Owners’ capital from operations of $3,354,806 after non-controlling interests of ($1,045,155). For the three months ended September 30, 2009, the Campbell/Graham/Tiverton Series recorded net gain on investments of $4,010,009, net interest of $70,057, and total expenses of $1,434,966, resulting in a net increase in Owners’ capital from operations of $2,645,100.

Please see additional discussion under ���Nine Months Ended September 30, 2010 Compared to Nine Months Ended September 30, 2009 – Campbell/Graham/Tiverton Series.”

Currency Series

The Currency Series – Class 1 NAV gained 1.1% and lost 4.5%, respectively, for the three months ended September 30, 2010 and 2009, net of fees and expenses; the Currency Series – Class 2 NAV gained 1.9% and lost 3.7%, respectively for the three months ended September 30, 2010 and 2009, net of fees and expenses.

For the three months ended September 30, 2010, the Currency Series recorded net gain on investments of $181,704, net interest of $29,500, and total expenses of $119,603, resulting in a net increase in Owners’ capital from operations of $91,601. For the three months ended September 30, 2009, the Currency Series recorded net loss on investments of $434,040, net interest of $21,513, and total expenses of $142,910, resulting in a net decrease in Owners’ capital from operations of $555,437.

All commodity interest positions of the Currency Series during 2010 were within the Currencies sector.

Please see additional discussion under “Nine Months Ended September 30, 2010 Compared to Nine Months Ended September 30, 2009 – Currency Series.”

Long Only Commodity Series

The Long Only Commodity Series – Class 1 NAV gained 10.1% and 3.1%, respectively, for the three months ended September 30, 2010 and 2009, net of fees and expenses; the Long Only Commodity Series – Class 2 NAV gained 10.7% and 3.4% respectively, for the three months ended September 30, 2010 and 2009, net of fees and expenses.

For the three months ended September 30, 2010, the Long Only Commodity Series recorded net gain on investments of $389,776, net interest of $19,768, and total expenses of $32,769, resulting in a net increase in Owners’ capital from operations of $376,775. For the three months ended September 30, 2009, the Long Only Commodity Series recorded net gain on investments of $156,775, net interest of $19,060, and total expenses of $36,738, resulting in a net increase in Owners’ capital from operations of $139,097.

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Please see additional discussion under “Nine Months Ended September 30, 2010 Compared to Nine Months Ended September 30, 2009 – Long Only Commodity Series.”

Managed Futures Index Series

The Managed Futures Index Series – Class 1 NAV lost 0.4% and 2.5%, respectively, for the three months ended September 30, 2010 and 2009, respectively, net of fees and expenses; the Managed Futures Index Series – Class 2 NAV gained 0.1% and lost 2.1%, respectively, for the three months ended September 30, 2010 and 2009, net of fees and expenses.

For the three months ended September 30, 2010, the Managed Futures Index Series recorded a net gain on investments of $29,166, net interest of $11,074, and total expenses of $46,196, resulting in a net decrease in Owners’ capital from operations of $5,956. For the three months ended September 30, 2009, the Managed Futures Index Series recorded a net loss on investments of $82,380, net interest of $19,088, and total expenses of $37,872, resulting in a net decrease in Owners’ capital from operations of $101,164.

Please see additional discussion under “Nine Months Ended September 30, 2010 Compared to Nine Months Ended September 30, 2009 – Managed Futures Index Series.”

Winton Series

The Winton Series – Class 1 NAV gained 2.7% and 0.6%, respectively, for the three months ended September 30, 2010 and 2009, net of fees and expenses; the Winton Series – Class 2 NAV gained 3.5% and 1.3%, respectively, for the three months ended September 30, 2010 and 2009, net of fees and expenses.

For the three months ended September 30, 2010, the Winton Series recorded net gain on investments of $2,426,391, net interest of $98,828, and total expenses of $882,970, resulting in a net increase in Owners’ capital from operations of $1,642,249. For the three months ended September 30, 2009, the Winton Series recorded net gain on investments of $1,155,872, net interest of $53,124, and total expenses of $792,105, resulting in a net increase in Owners’ capital from operations of $416,891.

Please see additional discussion under “Nine Months Ended September 30, 2010 Compared to Nine Months Ended September 30, 2009 – Winton Series.”

Winton/Graham Series

The Winton/Graham Series – Class 1 NAV gained 2.9% and 4.2%, respectively, for the three months ended September 30, 2010 and 2009 net of fees and expenses; the Winton/Graham Series – Class 2 NAV gained 3.7% and 5.0%, respectively for the three months ended September 30, 2010 and 2009, net of fees and expenses.

For the three months ended September 30, 2010, the Winton/Graham Series recorded net gain on investments of $3,706,234, net interest of $69,885, and total expenses of $992,906, resulting in a net increase in Owners’ capital from operations of $1,699,715 after non-controlling interests of ($1,083,498). For the three months ended September 30, 2009, the Winton/Graham Series recorded net gain on investments of $6,524,420, net interest of $55,724, and total expenses of $1,140,280, resulting in a net increase in Owners’ capital from operations of $2,657,692 after non-controlling interests of ($2,782,172).

Please see additional discussion under “Nine Months Ended September 30, 2010 Compared to Nine Months Ended September 30, 2009 – Winton/Graham Series.”

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Nine Months Ended September 30, 2010 Compared to Nine Months Ended September 30, 2009.

Market Conditions for Nine Months Ended September 30, 2010

January 2010

Interest Rates

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

Currencies

The U.S. Dollar index continued to strengthen during January, finishing up 2.0% for the month. The Euro and the British Pound weakened against the U.S. Dollar, down 3.2% and 1.2%, respectively. The Japanese Yen strengthened against the U.S. Dollar, up 3.1%. The Canadian Dollar and the Australian Dollar weakened against their U.S. counterpart finishing lower by 1.6% and 1.5%, respectively.

Stock Indices

Most of the major U.S. and European stock indices reversed their upward trend to finish lower for January. The Dow Jones Industrial Average (DJIA), the S&P 500 Index and the NASDAQ Composite Index weakened by 3.5%, 3.7% and 5.4%, respectively, for the month. In Europe, FTSE index futures dropped 4.9%, CAC-40 futures finished lower by 6.3% and DAX index futures were down 6.9% for the month.

Energy

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

Metals

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

Agriculturals

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

February 2010

Interest Rates

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

Currencies

The U.S. dollar index continued to strengthen during February, finishing up 1.1% for the month. The difficulties facing Greece and other European borrowers with large budget deficits put downward pressure on the Euro. The Euro continued to weaken against the

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U.S. Dollar, down 1.7% for the month. The Japanese Yen strengthened against the U.S. Dollar, up 1.5%. The Canadian Dollar and the Australian Dollar also strengthened against their U.S. counterpart, finishing higher by 1.8% and 1.3%, respectively, in February. The British Pound weakened against the U.S. Dollar, down 4.6% for the month.

Stock Indices

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

Energy

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

Metals

The recent crises in the Euro zone and increasing inflation expectations have been contributing to the rise in precious metal prices in February. Gold futures finished up 3.2% at $1,119/oz in February. Silver futures strengthened by 1.9%. Platinum, palladium and copper futures also strengthened during the month, finishing up 2.3%, 5.0% and 7.1%, respectively.

Agriculturals

The soybean complex finished higher in February. Corn and wheat futures also strengthened, up 5.8% and 6.3% for the month. Sugar futures reversed its upward trend, finishing lower by 17.5%. Cocoa futures also weakened during the month, down 9.7%. Cotton rallied during the February, finishing up 16.7%.

March 2010

Interest Rates

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

Currencies

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

Stock Indices

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

Energy

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

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Metals

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

Agriculturals

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

April 2010

Interest Rates

Recent U.S. data suggests that economic activity has continued to strengthen and that the labor market is improving. Growth in household spending has picked up recently but remains constrained by high unemployment, modest income growth, lower housing wealth, and tight credit. In Europe, the ongoing fiscal crisis in Greece continued to put pressure on the Euro zone. The concern increased that Greece’s debt troubles would spread throughout Europe, possibly putting a dent in the global economic recovery. U.S. and German interest rate futures, across the curve, finished the month higher because of a flight to quality.

Currencies

The U.S. Dollar index continued to climb during April, finishing up 1.0% for the month. The Euro continued to weaken against the U.S. Dollar, down 1.9% for the month. The Japanese Yen also weakened against the U.S. Dollar, down 0.4%. The British Pound and the Australian Dollar strengthened against the U.S. Dollar, finishing higher by 0.6% and 0.8%, respectively, in April.

Stock Indices

Most of the major U.S. stock indices finished higher in April. The DJIA, the S&P 500 Index and the NASDAQ Composite Index strengthened by 1.4%, 1.5% and 2.6%, respectively, for the month. In Europe, the uncertainty around Greece and other debt-troubled countries contributed to European stock indices finishing lower in April. FTSE index futures fell 3.1%, CAC-40 futures finished lower by 5.1% and DAX index futures finished down 1.0%.

Energy

Crude oil futures for September delivery finished higher by 2.3% settling at $86.15/bbl. Gasoline and heating oil futures also strengthened, up 4.3% and 5.7%, respectively, for the month. Natural gas continued to drop in April, finishing down 1.1%.

Metals

Uncertainty over the Euro contributed to the increase in gold prices in April, as investors turned to precious metals as an alternative vehicle to currencies. Gold futures for September delivery finished up 5.9% at $1,180/oz. Silver, platinum and palladium futures strengthened as well, finishing up 6.2%, 6.0% and 15.8%, respectively, for the month.

Agriculturals

Corn and wheat futures strengthened in April, finishing up 5.3% and 8.4%, respectively, for the month. Sugar futures continued to drop, finishing down by 8.2%. Cocoa and cotton strengthened in April, up 7.9% and 2.8%, respectively.

May 2010

Interest Rates

U.S. and German interest rate futures, across the curve, finished higher in May. In Europe, there is a concern that the ongoing debt crisis in Greece may spread to Hungary. Government officials in Hungary raised concerns about the nation suffering the type of debt problems that led to a massive bailout for Greece. The potential losses on the Hungarian debt will likely be shouldered by European banks that are already strained due to the Greek debt crisis. The Federal Reserve reestablished U.S. Dollar liquidity swap facilities with Bank of England, the European Central Bank, the Swiss National Bank, Bank of Canada, and the Bank of Japan in May, as a response to the re-emerging strains in short term funding markets in Europe.

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Currencies

The U.S. Dollar index continued to climb during May, finishing up 5.8% for the month. The Euro remained under severe pressure during the month, battered by continued concerns over the state of sovereign debt. The Euro and the British Pound weakened against the U.S. Dollar, down 7.4% and 4.8% for the month. The Australian and Canadian Dollars also weakened against their U.S. counterpart, down 8.5% and 2.6%, respectively. The Japanese Yen strengthened against the U.S. Dollar, up 2.8% for the month.

Stock Indices

Renewed worries about the euro zone sent investors scurrying toward safer assets. Most of the major U.S. and European stock indices finished lower in May. The DJIA, the S&P 500 Index and the NASDAQ Composite Index dropped by 7.9%, 8.2% and 8.3%, respectively, for the month. In Europe, FTSE index futures fell 5.2%, CAC-40 futures finished lower by 4.7% and DAX index futures finished down 2.2%.

Energy

Fresh doubts about the prospects for economic recovery in the U.S., the world's biggest oil consumer, contributed to the drop in crude oil futures prices in May. Crude oil futures for July delivery finished lower by 16.3% settling at $74.44/bbl for the month. Gasoline and heating oil futures also weakened, down 15.6% and 14.3%, respectively. Natural gas strengthened in May, up 7.2%.

Metals

Uncertainty over the Euro contributed to the increase in gold prices in May, as investors turned to gold as an alternative vehicle to currencies. Gold futures for August delivery finished up 2.8% at $1,218/oz for the month. Silver, platinum and palladium futures weakened, finishing down 1.2%, 11.2%, and 16.8%, respectively, in May.

Agriculturals

Rough rice, corn and wheat futures weakened in May, finishing down 7.7%, 4.3% and 9.0%, respectively, for the month. Lumber dropped considerably in May, finishing down 26.2%. Lumber’s downturn began in late April shortly before the expiration of a federal tax break for U.S. home buyers. That tax break ended April 30 and lumber investors believed that its expiration would slow demand for newly built homes.

June 2010

Interest Rates

U.S. and German interest rate futures, across the curve, finished higher in September. Even if the worst of the recent financial-market turmoil tied to Europe’s sovereign-debt crisis appears to have passed, there are still reasons to be concerned. The International Monetary Fund (“IMF”) said in an update of its World Economic Outlook that downside risks to the global economy had risen sharply and that “the new forecasts hinge on implementation of policies to rebuild confidence and stability, particularly in the euro area.” Since May 2010, the European Central Bank has purchased nearly $76 billion in government debt of Greece and other vulnerable countries. The government-debt purchase program has been controversial in Europe, particularly in Germany, where the practice fuels fears of a loss of central-bank independence and increases in the money supply, which could lead to inflation.

Currencies

The U.S. Dollar index dropped slightly in September, down 0.7% for the month. The Euro weakened against the U.S. Dollar, down 0.6% for the month. The Australian and Canadian Dollars also weakened against their U.S. counterpart, down 0.6% and 1.8%, respectively. The British Pound, the Swiss Franc and the Japanese Yen strengthened against the U.S. Dollar, up 2.8%, 7.2% and 3.2% for the month.

Stock Indices

Most of the major U.S. and European stock indices finished lower in September. The DJIA, the S&P 500 Index and the NASDAQ Composite Index dropped by 3.6%, 5.4% and -6.5%, respectively, for the month. In Europe, FTSE index futures fell 6.2%, CAC-40 futures finished lower by 3.1% and DAX index futures finished down 1.1%.

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Energy

Crude oil futures for August delivery finished up 0.6%, settling at $75.63/bbl for the month. Gasoline and natural gas futures also strengthened, up 1.5% and 4.7%, respectively. Heating oil futures dropped in September, down 0.5%.

Metals

Gold futures for August delivery strengthened, up 2.5%, finishing at $1246/oz for the month. Silver futures also strengthened, finishing up 1.3%. Platinum and palladium futures weakened, finishing down 1.2% and 4.1%, respectively, in September.

Agriculturals

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

July 2010

Interest Rates

U.S. interest rate futures, across the curve, continued climbing to finish higher in July. Demand in all areas of the bond market is strong and it seems to be signaling economic fear despite the stock market’s summer rally. Economic data is showing that the one-year-old recovery from the worst recession in decades is losing momentum. The unemployment rate remains painfully high. Since February 2009 the jobless rate has climbed from 8.1% to 9.5% and the private industry has shed two million jobs. Employers still don’t seem confident enough to add new workers. A record 6.7 million Americans have now been out of work for at least six months and, 18 months after the $862 billion stimulus bill passed in 2009, there are still five job seekers for every job opening. In less than two years, federal spending has increased dramatically and the national debt has skyrocketed from $9.3 trillion to $13.3 trillion.

Currencies

The U.S. Dollar index continued to drop in July, down 5.2% for the month. The Euro strengthened against the U.S. Dollar, up 6.7% for the month. The British Pound, the Swiss Franc and the Japanese Yen also strengthened against the U.S Dollar, up 5.0%, 3.5% and 2.3%, respectively, for the month. The Australian and Canadian Dollars also gained against their U.S. counterpart, up 7.6% and 3.3%, respectively.

Stock Indices

Most of the major U.S. and European stock indices finished higher in July. DJIA, the S&P 500 Index and the NASDAQ Composite Index gained 7.1%, 6.9% and 6.9%, respectively, for the month. In Europe, FTSE index futures finished up 9.2%, CAC-40 futures finished up 7.6% and DAX index futures gained 4.4%.

Energy

Crude oil futures for September delivery finished up 3.7%, settling at $78.95/bbl for the month. Gasoline, heating oil and natural gas futures also strengthened, up 3.4%, 2.2% and 5.8%, respectively.

Metals

Gold and silver futures dropped in July, finishing lower by 5.3% and 3.8%, respectively. Platinum, palladium and copper futures strengthened, up 2.6%, 12.5%, 12.2%, respectively, for the month.

Agriculturals

Wheat futures surged to sharply higher levels in July, up 37.7% for the month, which would suggests a world in panic over supplies of the grain. Although there has been no significant surge in export demand for U.S. wheat, the worst Russian drought in 130 years could cut into supplies from the world’s third largest exporter. Rough rice futures reversed its downward path, finishing up 9.0% in July. Corn and the soybean complex finished higher in July.

August 2010

Interest Rates

U.S. and European interest rate futures, across the curve, continued climbing to finish higher in August. Recent U.S. data suggests that economic activity has slowed down and that the one-year-old recovery from the worst recession in decades is losing momentum. The unemployment rate remains painfully high and employers still do not seem confident enough to add new workers.

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Currencies

The U.S. Dollar index finished higher by 2.0% in August. The Euro and The British Pound weakened against the U.S. Dollar, down 2.9% and 2.2%, respectively, for the month. The Japanese Yen and the Swiss Franc strengthened against the U.S. Dollar, up 2.7% and 2.6%, respectively, for the month. The Australian and Canadian Dollars weakened against their U.S. counterpart, down 1.5% and 3.4%, respectively in August.

Stock Indices

Most of the major U.S. and European stock indices finished lower in August. The DJIA, the S&P 500 Index and the NASDAQ Composite Index weakened by 4.3%, 4.7% and 6.2%, respectively, for the month. In Europe, FTSE index futures finished down 0.8%, CAC-40 futures weakened by 4.5% and DAX index futures finished lower by 4.2%.

Energy

Crude oil futures for October delivery finished down 9.4%, settling at $71.92/bbl for the month. Gasoline, heating oil and natural gas futures also weakened, down 8.2%, 5.8% and 22.6%, respectively in August.

Metals

Gold and silver futures strengthened in August, finishing up 5.6% and 7.6%, respectively. Platinum futures weakened, down 3.4% for August. Palladium futures finished the month nearly unchanged.

Agriculturals

Corn continued to climb in August, up 8.0% for the month. Cotton futures also strengthened, finishing the month up 9.4%. Cocoa futures weakened, finishing down 12.3%.

September 2010

Interest Rates

Short and mid-term U.S. interest rate futures continued climbing to finish higher in September, while long-term U.S. interest rates finished lower. Recent U.S. data indicates that the pace of the economic recovery has slowed in recent months. Household spending remains constrained by high unemployment, modest income growth, lower housing wealth, and tight credit. In Europe, German interest rate futures, across the curve, finished the month down.

Currencies

The U.S. Dollar index dropped by 5.4% in September. The Euro and The British Pound strengthened against the U.S. Dollar, finishing up 7.5% and 2.4%, respectively, for the month. The Australian and Canadian Dollars also strengthened against their U.S. counterpart, up 8.6% and 3.5%, respectively in September.

Stock Indices

Most of the major U.S. and European stock indices finished higher in September. The DJIA, the S&P 500 Index and the NASDAQ Composite Index strengthened by 7.7%, 8.8% and 12.0%, respectively, for the month. In Europe, FTSE index futures finished up 6.5%, CAC-40 futures strengthened by 7.0& and DAX index futures finished up 5.5%.

Energy

Crude oil futures for November delivery finished up 8.7%, settling at $79.97/bbl for the month. Gasoline and heating oil futures also strengthened, finishing at 9.4% and 12.5%, respectively, in September. Natural gas futures continued to weaken, down 6.7% in September.

Metals

Most precious metals futures strengthened in September. Gold and silver futures finished up 4.7% and 12.3%, respectively. Platinum, palladium and copper futures also finished up, 8.5%, 13.8% and 8.4%, respectively.

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Agriculturals

Rough rice and corn futures continued their climb since July this year, up 10.8% and 12.9%, respectively, in September. Cotton futures climbed as well fueled by increased demand from China and expected poor harvests that will keep the global supply tight, up 18.2% for the month. Sugar futures have also seen dramatic increase in prices during the last few months, up 21.5% for September.

Market Conditions for Nine Months Ended September 30, 2009

January 2009

Interest Rates

The Federal Open Market Committee decided to keep its target range for the federal funds rate at 0% to 0.25% in January, as economic data suggested that the economy has weakened further. The FOMC continued to purchase large quantities of agency debt and mortgage-backed securities to provide support to the mortgage and housing markets, and announced that it will employ all available tools to promote sustainable economic growth, including possibly purchasing long-term U.S. Treasury notes. U.S. interest rate futures, as well as European interest rate futures, finished mixed for the month.

Currencies

The U.S. Dollar strengthened against most other major currencies in January. The U.S. Dollar Index recouped the December loss and finished the month up 5.8%. The Euro and the British Pound weakened against the U.S. Dollar, finishing lower by -8.3% and -0.6% respectively for the month. The Australian Dollar and the Canadian Dollar also weakened again their U.S. counterpart, finishing down 9.6% and 0.7% respectively. The Swiss Franc weakened against the U.S. Dollar, down 7.7% and the Japanese Yen gained against the U.S. dollar, up 0.9%.

Stock Indices

All major U.S. and European stock indices weakened in January. The DJIA finished the month down 8.8%, and the S&P 500 Index and NASDAQ Composite Index dropped 8.6% and 6.4% respectively in January. The DJIA, S&P 500 Index and NASDAQ Composite Index have dropped 30.7%, 35.6% and 37.6% respectively since August 2008. In Europe, FTSE index futures finished down 6.8%, CAC-40 futures dropped 8.4% and DAX index futures finished lower by 10.3% for the month.

Energy

Crude oil futures for March delivery finished the month down 14.2%. Crude oil futures have dropped more than 60.7% since August last year. Natural gas futures and heating oil futures for March delivery dropped as well, finishing lower by 21.9% and 2.3%. Gasoline futures prices finished the month up 14.3%.

Metals

Gold futures for April delivery finished up 4.9% settling at $928/oz. Silver, platinum and palladium futures also finished higher, up 11.2%, 5.3% and 2.4% respectively. Copper futures finished higher by 4.1%.

Agriculturals

Corn and wheat futures for March delivery weakened in January, finishing down 6.9% and 7.0% respectively. Rough rice futures dropped sharply during the month, finishing lower by 22.8%. Soybean oil futures dropped 2.6% and soybean futures for March delivery finished the month unchanged. Cocoa futures and coffee futures for March 2009 delivery finished the month higher by 4.0% and 6.1% respectively. Lumber futures continued its downward path finishing lower by 21.1% for the month.

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February 2009

Interest Rates

European rate futures continued to climb on bad news regarding toxic assets in European banks, U.S. rate futures were flat to slightly down. There is general consensus that much of the bad news about U.S. banks has already been addressed, while Europe is still to deal with its toxic asset problems.

Currencies

The U.S. Dollar strengthened against most other major currencies in February. The U.S. Dollar Index continued its January gains and finished February up 2.3%. The Euro and the British Pound continued their declines against the U.S. Dollar, finishing lower by 1.2% and 1.6% respectively for the month.

Stock Indices

All major U.S. and European stock indices continued their dramatic declines in February, as the new U.S. administration struggled with resolving the complex economic issues before the nation, and passed a huge spending bill in an attempt to stimulate the economy. The DJIA plummeted 11.7%, with global markets responding to the economic downturn.

Energy

Crude oil and natural gas futures continued their declines in February on continuing weak demand.

Metals

Gold futures for April delivery finished up 1.5% for the month. Silver, platinum and palladium futures also finished higher, up 4.2%, 9.5% and .66% respectively. Copper futures finished higher by 3.7%.

Agriculturals

Corn and wheat futures for May continued their declines in February, finishing down 8.0% and 10.2% respectively. The soybean complex was down for the month, with meats mixed. With the softs, sugar showed a 5.6% gain, and cotton, coffee, and cocoa showing substantial declines.

March 2009

Interest Rates

The FOMC decided on March 18th to maintain the target range for the federal funds rate at 0% to 0.25%, and anticipates that the weak economic conditions are likely to warrant exceptionally low levels of the federal funds rate for an extended period of time. To support the mortgage lending and housing markets, the FOMC decided to increase the size of the Federal Reserve’s balance sheet further by purchasing an additional $750 billion of agency mortgage-backed securities, bringing its total purchases of these securities to up to $1.25 trillion this year. In addition, the Committee decided to increase its purchases of agency debt this year to a total of $200 billion and to purchase up to $300 billion of longer-term Treasury securities over the next nine months. U.S. interest rate futures, as well as European interest rate futures, finished higher for the month.

Currencies

The U.S. Dollar weakened against most other major currencies in March. The U.S. Dollar Index finished the month down 2.7%. The Euro and the Swiss Franc strengthened against the U.S. Dollar, finishing up 4.6% and 2.7% respectively. The Australian Dollar and the Canadian Dollar also strengthened against their U.S. counterpart, finishing up 8.2% and 1.2% respectively. The Japanese Yen weakened against the U.S. Dollar, down 1.4% and British Pound finished the month nearly unchanged against the U.S. Dollar.

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Stock Indices

All major U.S. and European stock indices strengthened in March. The DJIA finished the month up 7.7%, and the S&P 500 Index and NASDAQ Composite Index gained 8.5% and 10.9% respectively. In Europe, FTSE index futures finished up 3.6%, CAC-40 futures gained 4.6% and DAX index futures finished higher by 6.5% for the month.

Energy

Crude oil futures, heating oil futures and gasoline futures for May delivery finished the month up 5.9%, 7.1% and 3.6% respectively. Natural gas futures finished the month down 11.7%.

Metals

Gold futures for September delivery finished the month down 2.1% settling at $925/oz. Silver futures also finished lower for the month, down 1.0%. Platinum, palladium and copper futures finished higher in March, up 3.6%, 11.8% and 19.9% respectively.

Agriculturals

Corn and soybean futures for May delivery strengthened in March, finishing up 12.7% and 9.2% respectively. Cotton, cocoa and coffee futures for May delivery finished the month higher by 7.4%, 8.4% and 3.4% respectively. Live cattle and lean hogs finished the month slightly down.

April 2009

Interest Rates

The FOMC decided in April to maintain the target range for the Fed Funds rate at 0% to 0.25%, as recent economic data suggests that the economy continues to contract. To support the mortgage lending and housing markets, the FOMC has decided to purchase $1.25 trillion of agency mortgage-backed securities this year. In addition, the Committee has decided to increase its purchases of agency debt this year to a total of $200 billion and to purchase up to $300 billion of longer-term Treasury securities over the next nine months. U.S. interest rate futures finished lower for the month and European interest rate futures finished mixed for the month.

Currencies

The U.S. Dollar weakened against most other major currencies in April. The U.S. Dollar index finished the month down 0.9%. The British Pound strengthened against the U.S. dollar, finishing up 3.2%. The Australian Dollar and the Canadian Dollar also strengthened against their U.S. counterpart, finishing up 5.0% and 5.7%, respectively. The Euro weakened slightly against the U.S. Dollar, down 0.2% and the Japanese Yen finished the month up 0.3% against the U.S. dollar.

Stock Indices

All major U.S. and European stock indices continued to strengthen in April. The DJIA finished the month up 7.3%, and the S&P 500 Index and NASDAQ Composite Index gained 9.4% and 12.4% respectively. In Europe, FTSE index futures finished up 7.6%, CAC-40 futures gained 12.3% and DAX index futures finished higher by 16.2% for the month.

Energy

Natural gas futures continued their downward path, finishing down 13.8% in April. Natural gas futures have dropped more than 40% since December 2008. Gasoline futures for September delivery finished the month up 2.5%. Crude oil futures and heating oil futures finished lower by 0.5% and 3.9%, respectively.

Metals

Gold futures for September delivery finished the month down 3.7% settling at $891/oz. Copper futures continued to climb, up 10.4% for the month. Silver, platinum and palladium finished lower in April, down 5.3%, 2.0% and 0.3%, respectively.

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Agriculturals

The soybean complex was up for the month; soybean oil futures for July delivery finished up 7.6%, soybeans and soybean meal futures finished higher by 11.0% and 13.3% respectively. Corn and wheat futures for July delivery finished slightly down 2.7% and 1.6% respectively. Cotton continued its upward path, finishing up 14.8% for the month.

May 2009

Interest Rates

U.S. interest rate futures at the longer end of the curve moved significantly lower in May, as investors digested the inflationary potential of the massive borrowing planned by the Federal Reserve. Standard & Poor’s moved its outlook on UK sovereign debt from “stable” to “negative” in response to skyrocketing public debt. Fear of a similar downgrade occurring to the U.S. and rumors of large investors, especially China, diversifying away from the U.S. Dollar caused a widespread pullback in bond prices in the U.S., Great Britain, and across Europe.

Currencies

The U.S. Dollar continued to weaken against most other major currencies in May. The U.S. Dollar index which measures the performance of the U.S. Dollar against a basket of currencies, finished down 6.4%. The Euro and the British Pound strengthened against the U.S. Dollar, finishing up 7.0% and 9.5% respectively. The Australian Dollar and the Canadian Dollar also continued their climb against their U.S. counterpart, finishing up 10.4% and 9.3% respectively. The Japanese Yen finished the month up 3.5% against the U.S. Dollar.

Stock Indices

All major U.S. and European stock indices continued to strengthen in May. The DJIA finished the month up 4.1%, and the S&P 500 Index and NASDAQ Composite Index gained 5.3% and 3.3% respectively. In Europe, FTSE index futures finished up 6.6%, CAC-40 futures gained 8.4% and DAX index futures finished higher by 4.8% for the month.

Energy

Energy futures saw an upswing in prices in May. Crude oil futures, heating oil futures and gasoline futures for July delivery gained 26.8%, 22.5% and 28.8% for the month. Natural gas futures regained some of the April loss, finishing higher by 9.1%.

Metals

The combination of a declining U.S. Dollar, low interest rates and inflation expectations has been contributing to the rise in precious metals futures prices recently. Silver futures for July delivery strengthened during the month, finishing higher by 26.7%. Gold futures for September delivery finished the month up 9.8% settling at $979/oz. Platinum and palladium finished higher by 8.1% and 8.3% respectively. Copper futures continued to climb, up 7.3% for the month.

Agriculturals

The soybean complex was up for the month; soybean oil futures for July delivery finished up 7.0%, soybeans and soybean meal futures finished higher by 12.2% and 15.7% respectively. Corn and wheat futures for July delivery also finished higher, up 8.1% and 18.8% for the month. Coffee and cocoa futures prices for July delivery also strengthened, finishing higher by 18.6% and 9.0% for the month.

June 2009

Interest Rates

After a dramatic early-month sell-off, short-term interest rate futures on both sides of the Atlantic recovered to finish the month nearly unchanged. Longer term U.S. rate futures finished the month unchanged to slightly down, but the European BOBL (5-year note) and Bund (10-year note) were up strongly in anticipation of continued recession and banking problems in the Euro zone.

Currencies

The U.S. Dollar strengthened slightly in September. The U.S. Dollar index, which measures the performance of the U.S. Dollar against a basket of currencies, finished up 1.0%. The Euro weakened against the U.S. Dollar, finishing lower by 0.9%. The British Pound continued to strengthen again the U.S. Dollar, up 1.6% for the month. The Australian Dollar also continued climbing against its U.S. counterpart, finishing up 0.6%. The Canadian Dollar lost against the U.S. Dollar, finishing lower by 6.1%. The Japanese Yen finished the month down 1.1 % against the U.S. Dollar.

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Stock Indices

The DJIA finished the month slightly lower, 0.6% for the month. The NASDAQ Composite Index gained 3.4% while the S&P 500 Index finished the month nearly unchanged. All major European stock indices weakened in September. FTSE index futures finished down 3.8%, CAC-40 futures lost 4.4% and DAX index futures finished lower by 3.1% for the month.

Energy

Crude oil futures, heating oil futures and gasoline futures for August delivery gained 4.2%, 4.4% and 1.2%, respectively, for the month. Natural gas futures for August delivery finished lower by 3.1% in September.

Metals

Gold futures for August delivery weakened during the month, finishing lower by 5.4% settling at $927/oz. Silver futures for September delivery finished the month lower as well, down 13.0%. Palladium finished higher by 5.7% and platinum dropped 1.4%. Copper futures continued to climb, up 3.1% for the month.

Agriculturals

Corn and wheat futures dropped during the month, down 20.0% and 18.5% respectively. The soybean complex also dropped; soybean oil futures finished down 10.0%, soybeans and soybean meal futures finished lower by 7.7% and 5.2% respectively. Coffee and orange juice futures weakened as well, finishing down 14.0% and 19.0% respectively.

July 2009

Interest Rates

Interest rate futures on both sides of the Atlantic finished mixed to slightly up after a range-bound performance in July. Health care dominated the debate in the U.S., and there was little financial news to push the market one way or the other.

Currencies

The U.S. Dollar weakened in July. The U.S. Dollar Index, which measures the performance of the U.S. Dollar against a basket of currencies, finished down 2.2%. The Euro strengthened against the U.S. Dollar, finishing higher by 1.6%. The British Pound continued to strengthen against the U.S. Dollar, up 1.6% for the month. In spite of volatile energy prices, both the Australian and Canadian Dollars also continued climbing against their U.S. counterpart, finishing up 3.7% and 7.9%, respectively. The Japanese Yen finished the month up 1.8% against the U.S. Dollar.

Stock Indices

Stock markets around the world were generally strong in July. The DJIA finished the month higher by 8.6% for the month. The NASDAQ Composite Index gained 8.5% while the S&P 500 Index finished the month up by 7.4%. All major European stock indices strengthened in July. FTSE index futures finished up 7.9%, CAC-40 futures gained 8.7% and DAX index futures finished higher by 10.7% for the month.

Energy

After a volatile month, the energy complex finished little changed in July. Crude oil and heating oil futures for September delivery lost 2.0% and 0.3%, respectively, while gasoline futures gained 6.1% for the month. Natural gas futures for September delivery finished lower by 8.3% in July.

Metals

Gold futures for December delivery strengthened during the month, finishing higher by 2.8%, settling at $956/oz. Silver futures for September delivery finished the month higher as well, up 2.5%. Palladium finished higher by 5.4% and platinum gained 2.4%. Copper futures continued to climb, finishing up + 15.5% for the month.

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Agriculturals

Corn and wheat futures dropped during the month, down 4.8% and 2.3%, respectively. After a volatile month, the soybean complex finished little changed. After a dramatic drop in June, coffee strengthened, gaining 6.6%.

August 2009

Interest Rates

After falling earlier in the month, interest rate futures on both sides of the Atlantic recovered. While European rate futures finished little changed, American futures continued climbing to close out August significantly higher, especially those at the shorter end of the curve.

Currencies

Both the U.S. Dollar and the Euro traded in tight ranges throughout August. The British Pound weakened slightly against the U.S. Dollar, down 2.6% for the month. The Japanese Yen also weakened, finishing down 1.6% against the U.S. Dollar.

Stock Indices

Stock markets around the world took a breather to consolidate the gains from July, and generally finished August somewhat higher than the month before. The DJIA finished the month higher by 3.5%. The NASDAQ Composite Index gained 1.5% while the S&P 500 Index finished the month up by 3.4%. Some of the major European stock indices were more volatile in August, with FTSE index futures finishing up 7.6% and CAC-40 futures gaining 7.3%. DAX index futures finished higher by 2.5% for the month.

Energy

Energy prices fell slightly in August, with October crude prices down 1.7%. Heating oil and gasoline futures were also down, 2.9% and 4.7%, respectively. The big mover of the month was natural gas prices due to healthy supplies and a relatively cool summer, were down 24%.

Metals

Gold futures for December delivery remained in a tight trading range during the month, finishing almost unchanged at $953/oz. Silver futures for December delivery finished the month higher, up 6.8%. Palladium finished higher by 10.4% and platinum gained 2.5%. Copper futures continued to climb, finishing up 7.5% for the month.

Agriculturals

After starting the month with a rally, corn and wheat futures continued to fall, down 5.7% and 10.3%, respectively. The soybean complex had another volatile month but finished little changed.

September 2009

Interest Rates

Recent data suggests that economic activity has picked up to some extent. Financial markets have improved and activity in the housing sector has increased. However, businesses are still cutting back on fixed investment and staffing, though at a slower pace. Interest rate futures, across the curve and on both sides of the Atlantic, finished higher for the month.

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Currencies

The U.S. Dollar index dropped during the month, finishing down 1.9%. The Euro strengthened against the U.S. Dollar, up 2.1% for the month. The Canadian Dollar and the Australian Dollar strengthened against their U.S. counterpart as well, finishing up 2.3% and 4.6%, respectively. The British Pound continued to weaken against the U.S. Dollar, down 1.9% for the month. The Japanese Yen strengthened, finishing up 3.8% against the U.S. dollar.

Stock Indices

The DJIA finished September higher by 2.8%. The S&P 500 Index and the NASDAQ Composite Index gained as well, up 3.6% and 1.5%, respectively. Most of the major European stock indices also finished higher. FTSE index futures gained 4.5%, CAC-40 futures finished up 3.7% and DAX index futures finished higher by 4.0% for the month.

Energy

Crude oil futures finished the month nearly unchanged. Heating oil and gasoline futures finished down 0.4% and 2.8%, respectively. Natural gas futures recouped most of the August loss, up 21.1 % for the month.

Metals

Most precious metals futures finished higher in September. Gold futures for December delivery finished higher by 5.9% at $1,009/oz. Silver futures for December delivery also finished higher, up 11.6% for the month. Palladium and platinum also gained, up 1.9% and 4.3% in September. Copper futures remained in a tight trading range during the month, finishing nearly unchanged.

Agriculturals

Wheat futures continued to fall in September, down 8.3%. The soybean complex had another volatile month but finished lower. Corn recouped some of the August loss, finishing higher by 4.3%. Coffee futures rallied mid-month, but dropped later in the month to finish higher by 4.5%.

Frontier Diversified Series

2010

The Frontier Diversified Series – Class 1 NAV gained 4.0% for the nine months ended September 30, 2010, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV gained 5.4% for the nine months ended September 30, 2010, net of fees and expenses. For the nine months ended September 30, 2010 the Frontier Diversified Series recorded a net gain on investments of $10,885,307, net interest of $1,574,200, and total expenses of $5,849,409, resulting in a net increase in Owners’ capital from operations of $6,767,103 after non-controlling interests of $157,005. The NAV per Unit, Class 1, increased from $96.80 at December 31, 2009, to $100.69 as of September 30, 2010. The NAV per Unit, Class 2, increased from $97.77 at December 31, 2009, to $103.03 as of September 30, 2010. Total Class 1 subscriptions and redemptions for the period were $48,657,844 and $1,309,369, respectively. Total Class 2 subscriptions and redemptions for the period were $39,608,141 and $1,005,213, respectively. Ending capital at September 30, 2010, was $83,963,365 for Class 1 and $65,071,260 for Class 2. Ending capital at December 31, 2009, was $32,960,540 for Class 1 and $23,355,579 for Class 2. The Frontier Diversified Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Nine Months Ended September 30, 2010,for additional information regarding these sectors.

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Sector Attribution for the Frontier Diversified Series

2009

The Frontier Diversified Series began trading operations on June 9, 2009. The Frontier Diversified Series – Class 1 Net Asset Value lost 1.1% for the period ended September 30, 2009, net of fees and expenses; the Frontier Diversified Series – Class 2 Net Asset Value lost 0.5% for the period ended September 30, 2009, net of fees and expenses.

For the period ended September 30, 2009 the Frontier Diversified Series recorded a net gain on investments of $489,733, net interest of $208,849, and total expenses of $550,844, resulting in a net increase in Owners’ capital from operations of $147,738. The Net Asset Value per Unit, Class 1, decreased from $100.00 at June 8, 2009, to $98.95 as of September 30, 2009. The Net Asset Value per Unit, Class 2, decreased from $100.00 at June 8, 2009, to $99.50 as of September 30, 2009. Total Class 1 subscriptions for the period were $10,410,312. There were no redemptions. Total Class 2 subscriptions for the period were $8,896,064. There were no redemptions. Ending capital at September 30, 2009, was $10,475,231 for Class 1 and $8,978,883 for Class 2.

86

The Frontier Diversified Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Nine Months Ended September 30, 2009,for additional information regarding these sectors.

Sector Attribution for the Frontier Diversified Series

FF0000BROKER/DEALER USE ONLY NOT FOR DISTRIBUTION01+000   FF0000BROKER/DEALER USE ONLY NOT FOR DISTRIBUTION01+000  

Frontier Dynamic Series

2010

The Frontier Dynamic Series – Class 1 NAV lost 0.3% for the nine months ended September 30, 2010, net of fees and expenses; the Frontier Dynamic Series – Class 2 NAV gained 1.0% for the nine months ended September 30, 2010, net of fees and expenses.

For the nine months ended September 30, 2010 the Frontier Dynamic Series recorded a net gain on investments of $244,946, net interest of $339,411, and total expenses of $576,366, resulting in a net increase in Owners’ capital from operations of $7,991. The NAV per Unit, Class 1, decreased from $91.43 at December 31, 2009, to $91.15 as of September 30, 2010. The NAV per Unit, Class 2, increased from $92.25 at December 31, 2009, to $93.18 as of September 30, 2010. Total Class 1 subscriptions and redemptions for the period were $830,542 and $164,115, respectively. Total Class 2 subscriptions and redemptions for the period were $108,167 and $19,404, respectively. Ending capital at September 30, 2010, was $1,276,016 for Class 1 and $384,082 for Class 2. Ending capital at December 31, 2009, was $606,255 for Class 1 and $290,662 for Class 2.

The Frontier Dynamic Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Nine Months Ended September 30, 2010,for additional information regarding these sectors.

The Dynamic Series invests in an option market basket of which the underlying investments are not transparent to the Trust. Therefore there are no Sector Attribution charts for the Dynamic Series.

87

2009

The Frontier Dynamic Series began trading operations on June 9, 2009. The Frontier Dynamic Series – Class 1 Net Asset Value lost 3.4% for the period ended September 30, 2009, net of fees and expenses; the Frontier Dynamic Series – Class 2 Net Asset Value lost 2.9% for the period ended September 30, 2009, net of fees and expenses.

For the period ended September 30, 2009 the Frontier Dynamic Series recorded a net gain on investments of $78,195, net interest of $160,028, and total expenses of $241,663, resulting in a net decrease in Owners’ capital from operations of $3,440. The Net Asset Value per Unit, Class 1, decreased from $100.00 at June 8, 2009, to $96.56 as of September 30, 2009. The Net Asset Value per Unit, Class 2, decreased from $100.00 at June 8, 2009, to $97.09 as of September 30, 2009. Total Class 1 subscriptions for the period were $254,118. There were no redemptions. Total Class 2 subscriptions for the period were $144,200. There were no redemptions. Ending capital at September 30, 2009, was $252,375 for Class 1 and $142,503 for Class 2.

The Frontier Dynamic Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Nine Months Ended September 30, 2009,for additional information regarding these sectors.

The Dynamic Series invests in an option market basket of which the underlying investments are not transparent to the Trust, therefore there are no Sector Attribution charts for the Dynamic Series.

Frontier Long/Short Commodity Series

2010

The Frontier Long/Short Commodity Series – Class 1 NAV gained 3.3% for the nine months ended September 30, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 NAV gained 5.7% for the nine months ended September 30, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV gained 5.7% for the nine months ended September 30, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1 a NAV gained 3.7% for the nine months ended September 30, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV gained 5.0% for the nine months ended September 30, 2010, net of fees and expenses.

For the nine months ended September 30, 2010, the Frontier Long/Short Commodity Series recorded net gain on investments of $4,056,869, net interest of $824,875, and total expenses of $4,997,496, resulting in a net decrease in Owners’ capital from operations of $2,797,369 after non-controlling interests of $2,913,121. The NAV per Unit, Class 1, increased from $113.77 at December 31, 2009, to $117.55 as of September 30, 2010. The NAV per Unit, Class 2, increased from $127.49 at December 31, 2009, to $134.71 as of September 30, 2010. The NAV per Unit, Class 3, increased from $127.49 at December 31, 2009, to $134.71 as of September 30, 2010. The NAV per Unit, Class 1a, increased from $101.49 at December 31, 2009, to $105.22 as of September 30, 2010. The NAV per Unit, Class 2a, increased from $102.48 at December 31, 2009, to $107.61 as of September 30, 2010. Total Class 1 subscriptions and redemptions for the nine months were $90,657 and $11,418,605, respectively. Total Class 2 redemptions for the nine months were $1,300,178. There were no subscriptions. Total Class 3 subscriptions and redemptions for the nine months were $8,134,168 and $1,231,045, respectively. Total Class 1a subscriptions and redemptions for the nine months were $2,368,157 and $138,666, respectively. Total Class 2a subscriptions and redemptions for the nine months were $1,402,955 and $146,649, respectively. Ending capital at September 30, 2010, was $35,105,589 for Class 1, $14,443,274 for Class 2, $14,069,003 for Class 3, $3,516,239 for Class 1a and $2,277,990 for Class 2a. Ending capital at December 31, 2009, was $45,759,225 for Class 1, $14,986,103 for Class 2, $6,140,056 for Class 3, $1,092,016 for Class 1a and $876,532 for Class 2a.

88

The Frontier Long/Short Commodity Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors, although the majority of the exposure will typically be in the Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Nine Months Ended September 30, 2010, for additional information regarding these sectors.

Sector Attribution for the Frontier Long/Short Commodity Series

89

2009

The Frontier Long/Short Commodity Series – Class 1 Net Asset Value gained 9.8% for the nine months ended September 30, 2009, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 Net Asset Value gained 12.2% for the nine months ended September 30, 2009, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 Net Asset Value lost 0.1% for the nine months ended September 30, 2009, net of feesand expenses; the Frontier Long/Short Commodity Series – Class 1 a Net Asset Value lost 1.4% for the nine months ended September 30, 2009, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a Net Asset Value lost 0.9% for the nine months ended September 30, 2009, net of fees and expenses.

For the nine months ended September 30, 2009, the Frontier Long/Short Commodity Series recorded net gain on investments of $19,081,775, net interest of $936,679, and total expenses of $5,059,308, resulting in a net increase in Owners’ capital from operations of $6,201,418 after non-controlling interests of ($8,757,728). The Net Asset Value per Unit, Class 1, increased from $100.39 at December 31, 2008, to $110.22 as of September 30, 2009. The Net Asset Value per Unit, Class 2, increased from $109.28 at December 31, 2008, to $122.58 as of September 30, 2009. The Net Asset Value per Unit, Class 3, decreased from $122.70 at May 29, 2009, to $122.58 as of September 30, 2009. The Net Asset Value per Unit, Class 1a, decreased from $100.00 at June 8, 2009, to $98.57 as of September 30, 2009. The Net Asset Value per Unit, Class 2a, decreased from $100.00 at June 8, 2009, to $99.09 as of September 30, 2009. Total Class 1 subscriptions and redemptions for the nine months were $7,034,013 and $12,427,347, respectively. Total Class 2 subscriptions and redemptions for the nine months were $3,221,195 and $1,365,434, respectively. Total Class 3 subscriptions and redemptions for the nine months were $6,696,779 and $462,935, respectively. Total Class 1 a subscriptions for the nine months were $330,539. There were no redemptions. Total Class 2a subscriptions for the nine months were $287,000. There were no redemptions. Ending capital at September 30, 2009, was $45,829,180 for Class 1, $14,593,785 for Class 2, $6,204,677 for Class 3, $332,195 for Class 1a and $287,686 for Class 2a. Ending capital at December 31, 2008, was $46,525,406 for Class 1 and $11,206,889 for Class 2.

The Frontier Long/Short Commodity Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors, although the majority of the exposure will typically be in the Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

90

Sector Attribution for the Frontier Long/Short Commodity Series

FF0000BROKER/DEALER USE ONLY NOT FOR DISTRIBUTION01+000   FF0000BROKER/DEALER USE ONLY NOT FOR DISTRIBUTION01+000  

Frontier Masters Series

2010

The Frontier Masters Series – Class 1 NAV gained 5.2% for the nine months ended September 30, 2010, net of fees and expenses; the Frontier Masters Series – Class 2 NAV gained 6.6% for the nine months ended September 30, 2010, net of fees and expenses.

For the period ended September 30, 2010 the Frontier Masters Series recorded a net gain on investments of $5,492,172, net interest of $775,234, and total expenses of $2,615,424, resulting in a net increase in Owners’ capital from operations of $3,651,982. The NAV per Unit, Class 1, increased from $94.46 at December 31, 2009, to $99.39 as of September 30, 2010. The NAV per Unit, Class 2, increased from $95.37 at December 31, 2009, to $101.68 as of September 30, 2010. Total Class 1 subscriptions and redemptions for the period were $22,545,994 and $1,334,087, respectively. Total Class 2 subscriptions and redemptions for the period were $15,232,494 and $1,280,374, respectively. Ending capital at September 30, 2010, was $37,972,946 for Class 1 and $24,130,250 for Class 2. Ending capital at December 31, 2009, was $14,723,330 for Class 1 and $8,563,857 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. See comments above underMarket Conditions for Nine Months Ended September 30, 2010, for additional information regarding these sectors.

91

Sector Attribution for the Frontier Masters Series

2009

The Frontier Masters Series began trading operations on June 9, 2009. The Frontier Masters Series – Class 1 Net Asset Value lost 1.7% for the period ended September 30, 2009, net of fees and expenses; the Frontier Masters Series – Class 2 Net Asset Value lost 1.3% for the period ended September 30, 2009, net of fees and expenses.

For the period ended September 30, 2009 the Frontier Masters Series recorded a net gain on investments of $314,648, net interest of $155,405, and total expenses of $388,275, resulting in a net increase in Owners’ capital from operations of $81,778. The Net Asset Value per Unit, Class 1, decreased from $100.00 at June 8, 2009, to $98.32 as of September 30, 2009. The Net Asset Value per Unit, Class 2, decreased from $100.00 at June 8, 2009, to $98.87 as of September 30, 2009. Total Class 1 subscriptions for the period were $4,230,662. There were no redemptions. Total Class 2 subscriptions for the period were $2,540,707. There were no redemptions. Ending capital at September 30, 2009, was $4,273,621 for Class 1 and $2,579,526 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. See comments above underMarket Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

92

Sector Attribution for the Frontier Masters Series

FF0000BROKER/DEALER USE ONLY NOT FOR DISTRIBUTION01+000   FF0000BROKER/DEALER USE ONLY NOT FOR DISTRIBUTION01+000  

Balanced Series

2010

The Balanced Series – Class 1 NAV gained 7.2% for the nine months ended September 30, 2010, net of fees and expenses; the Balanced Series – Class 1a NAV gained 6.6% for the nine months ended September 30, 2010, net of fees and expenses; the Balanced Series – Class 2 NAV gained 9.7% for the nine months ended September 30, 2010, net of fees and expenses; the Balanced Series – Class 2a NAV gained 9.0% for the nine months ended September 30, 2010, net of fees and expenses; the Balanced Series – Class 3a NAV gained 9.0% for the nine months ended September 30, 2010, net of fees and expenses.

For the nine months ended September 30, 2010, the Balanced Series recorded net gain on investments of $51,741,201, net interest of $356,093, and total expenses of $19,832,792, resulting in a net increase in Owners’ capital from operations of $27,005,415 after non- controlling interests of ($5,259,087). The NAV per Unit, Class 1, increased from $118.54 at December 31, 2009, to $127.11 at September 30, 2010. For Class 1a, the NAV per Unit increased from $105.50 at December 31, 2009, to $112.42 at September 30, 2010. The NAV per Unit, Class 2, increased from $139.01 at December 31, 2009, to $152.46 at September 30, 2010. For Class 2a, the NAV per Unit increased from $117.60 at December 31, 2009, to $128.16 at September 30, 2010. For Class 3a, the NAV per Unit increased from $117.60 at December 31, 2009, to $128.14 at September 30, 2010. Total Class 1 subscriptions and redemptions for the nine months were $535,394 and $21,007,752, respectively. Total Class 1a subscriptions and redemptions for the nine month period were $23,736 and $4,291,430, respectively. Total Class 2 subscriptions and redemptions for the nine months were $14,425 and $8,446,555, respectively. Total Class 2a redemptions for the nine month period were $163,315. There were no subscriptions. Total Class 3a subscriptions and redemptions for the period were $3,223,780 and $927,751, respectively. Ending capital at September 30, 2010, was $284,880,380 for Class 1, $5,161,977 for Class 1a, $75,721,624 for Class 2, $3,415,786 for Class 2a and $3,802,079 for Class 3a. At December 31, 2009, ending capital was $286,024,307 for Class 1, $9,150,114 for Class 1a, $77,372,166 for Class 2, $3,298,566 for Class 2a, and $1,170,746 for Class 3a.

The Balanced Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Nine Months Ended September 30, 2010, for additional information regarding these sectors.

Sector Attribution for the Frontier Balanced Series

93

2009

The Balanced Series – Class 1 Net Asset Value lost 2.2% for the nine months ended September 30, 2009, net of fees and expenses; the Balanced Series – Class 1a Net Asset Value lost 2.6% for the nine months ended September 30, 2009, net of fees and expenses; the Balanced Series – Class 2 Net Asset Value lost 0.1% for the nine months ended September 30, 2009, net of fees and expenses; the Balanced Series – Class 2a Net Asset Value lost 0.4% for the nine months ended September 30, 2009, net of fees and expenses; the Balanced Series – Class 3a Net Asset Value lost 0.9% for the period ended September 30, 2009, net of fees and expenses.

For the nine months ended September 30, 2009, the Balanced Series recorded net gain on investments of $5,408,915, net interest of $707,619, and total expenses of $14,950,141, resulting in a net decrease in Owners’ capital from operations of $7,389,917 after non- controlling interests of $ 1,443,690. The Net Asset Value per Unit, Class 1, decreased from $125.17 at December 31, 2008, to $122.45 at September 30, 2009. For Class 1 a, the Net Asset Value per Unit decreased from $112.09 at December 31, 2008, to $109.21 at September 30, 2009. The Net Asset Value per Unit, Class 2, increased from $142.44 at December 31, 2008, to $142.52 at September 30, 2009. For Class 2a, the Net Asset Value per Unit decreased from $121.30 at December 31, 2008, to $120.82 at September 30, 2009. For Class 3a, the Net Asset Value per Unit decreased from $121.97 at June 3, 2009, to $120.82 at September 30, 2009. Total Class 1 subscriptions and redemptions for the nine months were $75,390,578 and $22,615,409, respectively. Total Class 1a subscriptions and redemptions for the nine month period were $3,818,107 and $1,536,131, respectively. Total Class 2 subscriptions and redemptions for the nine months were $25,917,174 and $7,317,608, respectively. Total Class 2a subscriptions and redemptions for the nine month period were $1,802,212 and $184,699, respectively. Total Class 3a subscriptions and redemptions for the period were $687,282 and $24,851, respectively. Ending capital at September 30, 2009, was $302,366,242 for Class 1, $10,129,451 for Class 1a, $85,578,099 for Class 2, $3,485,156 for Class 2a and $665,797 for Class 3a. At December 31, 2008, ending capital was $256,550,829 for Class 1, $8,136,165 for Class 1a, $67,109,662 for Class 2 and $1,886,351 for Class 2a.

The Balanced Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

94

Sector Attribution for the Frontier Balanced Series

FF0000BROKER/DEALER USE ONLY NOT FOR DISTRIBUTION01+000   FF0000BROKER/DEALER USE ONLY NOT FOR DISTRIBUTION01+000  

Campbell/Graham/Tiverton Series

2010

The Campbell/Graham/Tiverton Series – Class 1 NAV gained 0.9% for the nine months ended September 30, 2010, net of fees and expenses; the Campbell/Graham/Tiverton Series – Class 2 NAV gained 3.2% for the nine months ended September 30, 2010, net of fees and expenses.

For the nine months ended September 30, 2010, the Campbell/Graham/Tiverton Series recorded net gain on investments of $5,349,674, net interest of $3,071, and total expenses of $3,483,261, resulting in a net increase in Owners’ capital from operations of $587,730 after non-controlling interests of ($1,281,754). The NAV per Unit, Class 1, increased from $104.65 at December 31, 2009, to $105.62 as of September 30, 2010. The NAV per Unit, Class 2, increased from $121.10 at December 31, 2009, to $125.00 as of September 30, 2010. Total Class 1 subscriptions and redemptions for the nine months ended September 30, 2010, were $94,551 and $6,200,049, respectively. Total Class 2 redemptions for the nine months ended September 30, 2010, were $1,888,418. There were no subscriptions. Ending capital at September 30, 2010, was $63,723,401 for Class 1 and $8,232,773 for Class 2. Ending capital at December 31, 2009, was $69,447,366 for Class 1 and $9,914,994 for Class 2.

The Campbell/Graham/Tiverton Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Nine Months Ended September 30, 2010, for additional information regarding these sectors.

Sector Attribution for the Campbell/Graham/Tiverton Series

2009

The Campbell/Graham/Tiverton Series – Class 1 Net Asset Value lost 4.7% for the nine months ended September 30, 2009, net of fees and expenses; the Campbell/Graham/Tiverton Series – Class 2 Net Asset Value lost 2.6% for the nine months ended September 30, 2009, net of fees and expenses.

95

For the nine months ended September 30, 2009, the Campbell/Graham/Tiverton Series recorded net loss on investments of $1,556,324, net interest of $267,239, and total expenses of $3,819,353, resulting in a net decrease in Owners’ capital from operations of $3,771,912 after non-controlling interests of $1,336,526. The Net Asset Value per Unit, Class 1, decreased from $110.54 at December 31, 2008, to $105.29 as of September 30, 2009. The Net Asset Value per Unit, Class 2, decreased from $124.14 at December 31, 2008, to $120.92 as of September 30, 2009. Total Class 1 subscriptions for the nine months ended September 30, 2009, were $10,892,203 and redemptions were $5,522,023. Total Class 2 subscriptions and redemptions for the nine months ended September 30, 2009, were $4,025,676, and $1,093,173, respectively. Ending capital at September 30, 2009, was $71,804,566 for Class 1 and $10,491,134 for Class 2. Ending capital at December 31, 2008, was $69,957,155 for Class 1 and $7,807,774 for Class 2.

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

Market Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

Sector Attribution for the Campbell/Graham/Tiverton Series

FF0000BROKER/DEALER USE ONLY NOT FOR DISTRIBUTION01+000   FF0000BROKER/DEALER USE ONLY NOT FOR DISTRIBUTION01+000  

Currency Series

2010

The Currency Series – Class 1 NAV gained 3.7% for the nine months ended September 30, 2010, net of fees and expenses; the Currency Series – Class 2 NAV gained 6.1% for the nine months ended September 30, 2010, net of fees and expenses.

For the nine months ended September 30, 2010, the Currency Series recorded net gain on investments of $600,145, net interest of $97,266, and total expenses of $365,693, resulting in a net increase in Owners’ capital from operations of $331,718. The NAV per Unit, Class 1, increased from $78.00 at December 31, 2009, to $80.91as of September 30, 2010. The NAV per Unit, Class 2, increased from $91.34 at December 31, 2009, to $96.89 as of September 30, 2010. Total Class 1 subscriptions and redemptions for the nine months ending September 30, 2010 were $50,013, and $1,348,840, respectively. Total Class 2 redemptions for the nine months ending September 30, 2010, was $1,525,199. There were no subscriptions. Ending capital at September 30, 2010, was $6,918,209 for Class 1 and $797,611 for Class 2. Ending capital at December 31, 2009, was $7,934,382 for Class 1 and $2,273,746 for Class 2.

The Currency Series may have both long and short exposure to the Currencies sector only. See comments above underMarket Conditions for Nine Months Ended September 30, 2010, for additional information regarding these sectors.

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

2009

The Currency Series – Class 1 Net Asset Value lost 12.8% for the nine months ended September 30, 2009, net of fees and expenses; the Currency Series – Class 2 Net Asset Value lost 10.8% for the nine months ended September 30, 2009, net of fees and expenses.

96

For the nine months ended September 30, 2009, the Currency Series recorded net loss on investments of $1,376,752, net interest of $56,439, and total expenses of $467,554, resulting in a net decrease in Owners’ capital from operations of $1,787,867. The Net Asset Value per Unit, Class 1, decreased from $96.19 at December 31, 2008, to $83.87 as of September 30, 2009. The Net Asset Value per Unit, Class 2, decreased from $109.30 at December 31, 2008, to $97.47 as of September 30, 2009. Total Class 1 subscriptions and redemptions for the nine months ending September 30, 2009 were $551,301, and $1,698,922, respectively. Total Class 2 subscriptions and redemptions for the nine months ending September 30, 2009, was $82,125 and $169,080, respectively. Ending capital at September 30, 2009, was $9,277,783 for Class 1 and $2,546,559 for Class 2. Ending capital at December 31, 2008, was $11,900,185 for Class 1 and $2,946,600 for Class 2.

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

See comments above underMarket Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

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

Long Only Commodity Series

2010

The Long Only Commodity Series – Class 1 NAV lost 0.9% for the nine months ended September 30, 2010, net of fees and expenses; the Long Only Commodity Series – Class 2 NAV gained 0.6% for the nine months ended September 30, 2010, net of fees and expenses.

For the nine months ended September 30, 2010, the Long Only Commodity Series recorded net loss on investments of $26,127, net interest of $63,350, and total expenses of $103,077, resulting in a net decrease in Owners’ capital from operations of $65,854. The NAV per Unit, Class 1, decreased from $83.59 at December 31, 2009 to $82.84 as of September 30, 2010. The NAV per Unit, Class 2, increased from $90.30 at December 31, 2009, to $90.84 as of September 30, 2010. Total Class 1 subscriptions and redemptions for the nine months were $690 and $423,936, respectively. Total Class 2 redemptions for the nine months were $162,389. There were no subscriptions. Ending capital at September 30, 2010, was $3,232,224 for Class 1 and $782,612 for Class 2. Ending capital at December 31, 2009, was $3,711,581 for Class 1 and $954,744 for Class 2.

The Long Only Commodity Series may have long-only exposure in the Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Nine Months Ended September 30, 2010, for additional information regarding these sectors.

The Long Only Commodity Series invests approximately equally in the Jefferies Commodity Performance Index and the Reuters/Jefferies CRB Index. There are no Sector Attribution charts for the Long Only Commodity Series.

2009

The Long Only Commodity Series – Class 1 Net Asset Value gained 10.2% for the nine months ended September 30, 2009, net of fees and expenses; the Long Only Commodity Series – Class 2 Net Asset Value gained 11.6% for the nine months ended September 30, 2009, net of fees and expenses.

For the nine months ended September 30, 2009, the Long Only Commodity Series recorded net gain on investments of $492,054, net interest of $55,508, and total expenses of $104,311, resulting in a net increase in Owners’ capital from operations of $443,251. The Net Asset Value per Unit, Class 1, increased from $70.31 at December 31, 2008 to $77.48 as of September 30, 2009. The Net Asset Value per Unit, Class 2, increased from $74.46 at December 31, 2008, to $83.10 as of September 30, 2009. Total Class 1 subscriptions and redemptions for the nine months were $409,118 and $481,572, respectively. Total Class 2 subscriptions and redemptions for the nine months were $86,800 and $87,025, respectively. Ending capital at September 30, 2009, was $3,528,604 for Class 1 and $884,441 for Class 2. Ending capital at December 31, 2008, was $3,254,226 for Class 1 and $788,247 for Class 2.

The Long Only Commodity Series may have long-only exposure in the Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

The Long Only Commodity Series invests approximately equally in the Jefferies Commodity Performance Index and the Reuters/Jefferies CRB Index. There are no Sector Attribution charts for the Long Only Commodity Series.

97

Managed Futures Index Series

2010

The Managed Futures Index Series – Class 1 NAV gained 1.8% for the nine months ended September 30, 2010, net of fees and expenses; the Managed Futures Index Series – Class 2 NAV gained 3.3% for the nine months ended September 30, 2010, net of fees and expenses.

For the nine months ended September 30, 2010 the Managed Futures Index Series recorded a net gain on investments of $226,169, net interest of $26,488, and total expenses of $133,438, resulting in a net increase in Owners’ capital from operations of $119,219. The NAV per Unit, Class 1, increased from $112.54 at December 31, 2009, to $114.56 as of September 30, 2010. The NAV per Unit, Class 2, increased from $121.28 at December 31, 2009, to $125.32 as of September 30, 2010. Total Class 1 redemptions for the nine months were $241,883. There were no subscriptions. Total Class 2 subscriptions and redemptions for the nine months were $2,000,000 and $135,816, respectively. Ending capital at September 30, 2010, was $1,619,298 for Class 1 and $3,895,431 for Class 2. Ending capital at December 31, 2009, was $1,831,435 for Class 1 and $1,941,774 for Class 2.

The Managed Futures Index Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Nine Months Ended September 30, 2010,for additional information regarding these sectors.

Sector Attribution for the Managed Futures Index Series

2009

The Managed Futures Index Series – Class 1 Net Asset Value lost 10.9% for the nine months ended September 30, 2009, net of fees and expenses; the Managed Futures Index Series – Class 2 Net Asset Value lost 9.6% for the nine months ended September 30, 2009, net of fees and expenses.

For the nine months ended September 30, 2009 the Managed Futures Index Series recorded a net loss on investments of $342,665, net interest of $51,136, and total expenses of $103,032, resulting in a net decrease in Owners’ capital from operations of $394,561. The Net Asset Value per Unit, Class 1, decreased from $132.18 at December 31, 2008, to $117.73 as of September 30, 2009. The Net Asset Value per Unit, Class 2, decreased from $139.70 at December 31, 2008, to $126.24 as of September 30, 2009. Total Class 1 subscriptions and redemptions for the nine months were $708,699 and $720,251, respectively. Total Class 2 subscriptions and redemptions for the nine months were $1,271,138 and $7,431, respectively. Ending capital at September 30, 2009, was $2,021,313 for Class 1 and $2,239,332 for Class 2. Ending capital at December 31, 2008, was $2,266,977 for Class 1 and $1,136,074 for Class 2.

The Managed Futures Index Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Nine Months Ended September 30, 2009,for additional information regarding these sectors.

98

Sector Attribution for the Managed Futures Index Series

FF0000BROKER/DEALER USE ONLY NOT FOR DISTRIBUTION01+000   FF0000BROKER/DEALER USE ONLY NOT FOR DISTRIBUTION01+000  

Winton Series

2010

The Winton Series – Class 1 NAV gained 10.8% for the nine months ended September 30, 2010, net of fees and expenses; the Winton Series – Class 2 NAV gained 13.4% for the nine months ended September 30, 2010, net of fees and expenses.

For the nine months ended September 30, 2010, the Winton Series recorded net gain on investments of $8,605,957, net interest of $191,277, and total expenses of $2,522,018, resulting in a net increase in Owners’ capital from operations of $6,275,216. The NAV per Unit, Class 1, increased from $117.57 at December 31, 2009, to $130.31 as of September 30, 2010. The NAV per Unit, Class 2, increased from $130.10 at December 31, 2009, to $147.48 as of September 30, 2010. Total Class 1 subscriptions for the nine months were $203,365 and redemptions were $4,678,415. Total Class 2 redemptions for the nine month period were $609,026. There were no subscriptions. Ending capital at September 30, 2010, was $48,700,323 for Class 1 and $10,892,996 for Class 2. Ending capital at December 31, 2009, was $48,198,317 for Class 1 and $10,203,862 for Class 2.

The Winton Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Nine Months Ended September 30, 2010, for additional information regarding these sectors.

Sector Attribution for the Winton Series

2009

The Winton Series – Class 1 Net Asset Value lost 9.4% for the nine months ended September 30, 2009, net of fees and expenses; the Winton Series – Class 2 Net Asset Value lost 7.4% for the nine months ended September 30, 2009, net of fees and expenses.

For the nine months ended September 30, 2009, the Winton Series recorded net loss on investments of $8,377,862, net interest of $296,808, and total expenses of $2,533,310, resulting in a net decrease in Owners’ capital from operations of $6,547,371 after non- controlling interests of $4,066,993. The Net Asset Value per Unit, Class 1, decreased from $130.41 at December 31, 2008, to $118.12 as of September 30, 2009. The Net Asset Value per Unit, Class 2, decreased from $140.04 at December 31, 2008, to $129.62 as of September 30, 2009. Total Class 1 subscriptions for the nine months were $220,835 and redemptions were $5,360,163.

99

Total Class 2 subscriptions and redemptions for the nine month period were $200,000, and $742,864, respectively. Ending capital at September 30, 2009, was $51,465,175 for Class 1 and $10,334,288 for Class 2. Ending capital at December 31, 2008, was $62,283,659 for Class 1 and $11,743,367 for Class 2.

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

See comments above underMarket Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

Sector Attribution for the Winton Series

FF0000BROKER/DEALER USE ONLY NOT FOR DISTRIBUTION01+000   FF0000BROKER/DEALER USE ONLY NOT FOR DISTRIBUTION01+000  

Winton/Graham Series

2010

The Winton/Graham Series – Class 1 NAV gained 3.5% for the nine months ended September 30, 2010, net of fees and expenses; the Winton/Graham Series – Class 2 NAV gained 5.8% for the nine months ended September 30, 2010, net of fees and expenses. For the nine months ended September 30, 2010, the Winton/Graham Series recorded net gain on investments of $5,082,888, net interest of $208,357, and total expenses of $2,776,220, resulting in a net increase in Owners’ capital from operations of $2,186,214, after non-controlling interest of ($328,811). The NAV per Unit, Class 1, increased from $110.06 at December 31, 2009, to $113.90 as of September 30, 2010. The NAV per Unit, Class 2, increased from $128.39 at December 31, 2009, to $135.89 as of September 30, 2010. Total Class 1 subscriptions and redemptions for the nine months were $107,736 and $4,320,572, respectively. Total Class 2 redemptions for the nine months were $1,137,012. There were no subscriptions. Ending capital at September 30, 2010, was $45,454,911 for Class 1 and $12,072,328 for Class 2. Ending capital at December 31, 2009, was $48,168,395 for Class 1 and $12,522,478 for Class 2.

The Winton/Graham Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Nine Months Ended September 30, 2010, for additional information regarding these sectors.

100

Sector Attribution for the Winton/Graham Series

2009

The Winton/Graham Series – Class 1 Net Asset Value lost 4.5% for the nine months ended September 30, 2009, net of fees and expenses; the Winton/Graham Series – Class 2 Net Asset Value lost 2.3% for the nine months ended September 30, 2009, net of fees and expenses.

For the nine months ended September 30, 2009, the Winton/Graham Series recorded net gain on investments of $3,050,072, net interest of $199,524, and total expenses of $2,583,867, resulting in a net decrease in Owners’ capital from operations of $2,451,879, after non-controlling interest of ($3,081,608). The Net Asset Value per Unit, Class 1, decreased from $ 116.18 at December 31, 2008, to $110.94 as of September 30, 2009. The Net Asset Value per Unit, Class 2, decreased from $131.49 at December 31, 2008, to $128.44 as of September 30, 2009. Total Class 1 subscriptions and redemptions for the nine months were $20,167,922 and $4,094,963, respectively. Total Class 2 subscriptions and redemptions for the nine months were $360,401 and $1,565,441, respectively. Ending capital at September 30, 2009, was $49,794,837 for Class 1 and $12,852,432 for Class 2. Ending capital at December 31, 2008, was $35,760,835 for Class 1 and $14,434,394 for Class 2.

The Winton/Graham Series may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors. See comments above underMarket Conditions for Nine Months Ended September 30, 2009, for additional information regarding these sectors.

Sector Attribution for the Winton/Graham Series

FF0000BROKER/DEALER USE ONLY NOT FOR DISTRIBUTION01+000   FF0000BROKER/DEALER USE ONLY NOT FOR DISTRIBUTION01+000  

101

Contractual Obligations

None.

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.

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.

102

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, 2010 and December 31, 2009. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

Frontier Diversified Series: (1)

MARKET SECTOR	September 30, 2010					December 31, 2009
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	3,377,531		2.3	%	$	810,969		1.2	%
Currencies	$	2,138,698		1.4	%	$	635,006		0.9	%
Stock Indices	$	6,702,390		4.5	%	$	1,117,679		1.7	%
Metals	$	1,371,058		0.9	%	$	219,940		0.3	%
Agriculturals/Softs	$	2,297,837		1.5	%	$	757,524		1.1	%
Energy	$	666,738		0.4	%	$	385,978		0.6	%
Total:	$	16,554,252		11.0	%	$	3,927,096		5.8	%

103

Frontier Dynamic Series: (2)

MARKET SECTOR	September 30, 2010					December 31, 2009
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—		0	%	$	—		0	%
Currencies	$	—		0	%	$	—		0	%
Stock Indices	$	—		0	%	$	—		0	%
Metals	$	—		0	%	$	—		0	%
Agriculturals/Softs	$	—		0	%	$	—		0	%
Energy	$	—		0	%	$	—		0	%
Total:	$	—		0	%	$	—		0	%

Frontier Long/Short Commodity Series:

MARKET SECTOR	September 30, 2010					December 31, 2009
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	207,193		0.3	%	$	458,373		0.7	%
Currencies	$	197,496		0.3	%	$	123,312		0.2	%
Stock Indices	$	366,638		0.5	%	$	214,885		0.3	%
Metals	$	337,697		0.5	%	$	739,536		1.1	%
Agriculturals/Softs	$	3,027,024		4.4	%	$	3,885,971		5.6	%
Energy	$	710,911		1.0	%	$	2,532,008		3.7	%
Total:	$	4,846,959		7.0	%	$	7,954,085		11.6	%

Frontier Masters Series: (3)

MARKET SECTOR	September 30, 2010					December 31, 2009
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	2,421,491		3.9	%	$	362,224		1.3	%
Currencies	$	814,211		1.3	%	$	273,070		1.0	%
Stock Indices	$	912,502		1.5	%	$	317,394		1.1	%
Metals	$	698,442		1.1	%	$	91,585		0.3	%
Agriculturals/Softs	$	225,204		0.4	%	$	186,311		0.7	%
Energy	$	400,612		0.6	%	$	65,552		0.2	%
Total:	$	5,472,462		8.8	%	$	1,296,136		4.6	%

104

Balanced Series: (4), (5)

	September 30, 2010					December 31, 2009
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	9,868,319		2.6	%	$	8,664,284		2.3	%
Currencies	$	7,095,993		1.9	%	$	6,765,682		1.8	%
Stock Indices	$	23,938,436		6.4	%	$	14,042,370		3.7	%
Metals	$	4,723,108		1.3	%	$	1,954,885		0.5	%
Agriculturals/Softs	$	8,644,856		2.3	%	$	6,682,314		1.8	%
Energy	$	1,889,276		0.5	%	$	3,315,748		0.9	%
Total:	$	56,159,988		15.0	%	$	41,461,283		11.0	%

Campbell/Graham/Tiverton Series:

	September 30, 2010					December 31, 2009
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	2,055,847		2.9	%	$	1,896,966		2.4	%
Currencies	$	5,033,304		7.0	%	$	2,228,877		2.8	%
Stock Indices	$	2,138,935		3.0	%	$	1,163,045		1.5	%
Metals	$	724,717		1.0	%	$	195,419		0.2	%
Agriculturals/Softs	$	597,374		0.8	%	$	755,928		1.0	%
Energy	$	258,268		0.4	%	$	133,992		0.2	%
Total:	$	10,808,445		15.1	%	$	6,374,227		8.1	%

Currency Series: (6)

	September 30, 2010					December 31, 2009
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—		0	%	$	—		0	%
Currencies	$	444,998		2.1	%	$	166,661		0.7	%
Stock Indices	$	—		0	%	$	—		0	%
Metals	$	—		0	%	$	—		0	%
Agriculturals/Softs	$	—		0	%	$	—		0	%
Energy	$	—		0	%	$	—		0	%
Total:	$	444,998		2.1	%	$	166,661		0.7	%

105

Long Only Commodity Series:

	September 30, 2010					December 31, 2009
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—		0.0	%	$	—		0.0	%
Currencies	$	—		0.0	%	$	—		0.0	%
Stock Indices	$	—		0.0	%	$	—		0.0	%
Metals	$	90,240		2.2	%	$	110,400		2.4	%
Agriculturals/Softs	$	127,840		3.2	%	$	156,400		3.4	%
Energy	$	157,920		3.9	%	$	193,200		4.1	%
Total:	$	376,000		9.3	%	$	460,000		9.9	%

Managed Futures Index Series:

	September 30, 2010					December 31, 2009
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	206,195		3.7	%	$	85,348		2.3	%
Currencies	$	388,309		7.0	%	$	87,620		2.3	%
Stock Indices	$	58,747		1.1	%	$	95,314		2.5	%
Metals	$	22,826		0.4	%	$	5,542		0.1	%
Agriculturals/Softs	$	56,449		1.0	%	$	33,252		0.9	%
Energy	$	19,125		0.3	%	$	14,409		0.4	%
Total:	$	751,651		13.5	%	$	321,485		8.5	%

Winton Series:

MARKET SECTOR	September 30, 2010					December 31, 2009
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,711,064		2.9	%	$	1,363,844		2.3	%
Currencies	$	2,827,502		4.7	%	$	1,337,445		2.3	%
Stock Indices	$	935,723		1.6	%	$	1,365,395		2.3	%
Metals	$	261,546		0.4	%	$	353,132		0.6	%
Agriculturals/Softs	$	755,861		1.3	%	$	577,065		1.0	%
Energy	$	126,117		0.2	%	$	60,996		0.1	%
Total:	$	6,617,813		11.1	%	$	5,057,877		8.6	%

106

Winton/Graham Series:

	September 30, 2010					December 31, 2009
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,939,929		3.4	%	$	1,816,487		3.0	%
Currencies	$	5,364,692		9.3	%	$	2,252,403		3.7	%
Stock Indices	$	2,255,378		3.9	%	$	1,411,504		2.3	%
Metals	$	304,398		0.5	%	$	335,103		0.6	%
Agriculturals/Softs	$	771,303		1.3	%	$	975,542		1.6	%
Energy	$	308,988		0.5	%	$	148,812		0.2	%
Total:	$	10,944,688		18.9	%	$	6,939,851		11.4	%

(1) As of September 30, 2010 and December 31, 2009, a portion of the assets of the Frontier Diversified Series was invested in an Option basket of futures contracts with a notional value of $26,952,518 and $22,760,455, respectively. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

(2) As of September 30, 2010 and December 31, 2009, a portion of the assets of the Frontier Dynamic Series was invested in an Option basket of futures contracts with a notional value of $29,234,615 and $25,875,001, respectively. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

(3) As of September 30, 2010 and December 31, 2009, a portion of the assets of the Frontier Masters Series was invested in an Option basket of futures contracts with a notional value of $32,157,236 and $15,972,157, respectively. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

(4) As of September 30, 2010 and December 31, 2009, a portion of the assets of the Balanced Series was invested in the Currency Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series. The Balanced Series effective ownership in these Series as of September 30, 2010 was 62.8%, 0.0%, 94.4% and 0.0%, respectively. As of December 31, 2009 the Balanced Series effective ownership was 54.6%, 16.3%, 66.7% and 63.6%, respectively. Including its investment in this Series, total value at risk for the Balanced Series would be $56,439,341, or 15.1% of capitalization as of September 30, 2010 and $43,016,998, or 11.4% of capitalization as of December 31, 2009.

(5) As of September 30, 2010 and December 31, 2009, a portion of the assets of the Balanced Series was invested in an Option basket of futures contracts with a notional value of $81,807,170 and $129,084,678, respectively. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

(6) As of September 30, 2010 and December 31, 2009, a portion of the assets of the Currency Series was invested in an Option basket of futures contracts with a notional value of $11,434,203 and $15,426,942, respectively. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

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 the contract’s face value, as well as many times the capitalization of the Series. The magnitude of each Series’ open positions creates a risk of loss 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 tables above, as well as the past performance of the Series, gives no indication of this risk of loss.

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 United States, or by a person controlled by or supervised by and acting as an instrumentality of the government of the United States pursuant to authority granted by Congress of the United States 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.

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Qualitative Market Risk

The following are the primary trading risk exposures of the Series of the Trust as of September 30, 2010, 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 United States 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, Campbell/Graham/Tiverton Series, Currency Series and Winton/Graham Series. For the Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series, Frontier Long/Short Commodity Series, Managed Futures Index Series, Frontier Diversified Series, Frontier Dynamic Series and Frontier Masters Series, 20% of the total interest allocated to each Series is paid to the Managing Owner. In addition, if interest rates fall below 0.75%, the Managing Owner is paid the difference between the Trust’s annualized interest income that is allocated to each of such Series and 0.75%. Interest income above what is paid to the Managing Owner is retained by the Series.

Currencies

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

Stock Indices

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

Metals

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

Agriculturals/Softs

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

Energy

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

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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 Advisors’ 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 Series. For example, the Trading Advisors often use discretion in selecting contracts and markets to be followed. In exercising such discretion, such Trading Advisor may take positions opposite to those recommended by the Trading Advisor’s trading system or signals. Discretionary decision making may also result in 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.

Counterparty Risk

The purchase and sale of futures and options on futures contracts require margin deposits with FCM’s. 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.

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 13(a)-1 5(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), for the Trust and each Series as of September 30, 2010 (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 made in internal controls during this reporting period that have materially affected or are reasonably likely to materially affect the internal controls over financial reporting for the Trust or any Series.

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 21 of Amendment No. 1 to the Registration Statement on Form S-1 (File No. 333-164629) is incorporated by reference into this section.

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

The following table provides information regarding the sale of unregistered Units by the Registrant for the three months ended September 30, 2010. 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
FRONTIER DIVERSIFIED SERIES - 2	SEPTEMBER 29, 2010		3,397.7722	$	350,000
FRONTIER MASTERS SERIES - 2	SEPTEMBER 29, 2010		1,478.8189	$	150,000

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. REMOVED AND RESERVED.

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)
32.9	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.10	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.11	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.12	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)

**** Previously filed and incorporated by reference from exhibit 4.1 from Post-Effective Amendment One to the Registration Statement on Form S-1 filed March 22, 2010.

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 11, 2010	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 11, 2010	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.

	Winton/Graham Series,
	a Series of The Frontier Fund
	(Registrant)
Date: November 11, 2010	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 11, 2010	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.

	Campbell/Graham/Tiverton Series,
	a Series of The Frontier Fund
	(Registrant)
Date: November 11, 2010	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.

	Currency Series,
	a Series of The Frontier Fund
	(Registrant)
Date: November 11, 2010	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.

	Long Only Commodity Series,
	a Series of The Frontier Fund
	(Registrant)
Date: November 11, 2010	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 Long/Short Commodity Series, a Series of The Frontier Fund
	(Registrant)
Date: November 11, 2010	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

SIGNATURES

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

	Managed Futures Index Series, a Series of The Frontier Fund
	(Registrant)
Date: November 11, 2010	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

120

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 11, 2010	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

121

SIGNATURES

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

	Frontier Dynamic Series,
	a Series of The Frontier Fund
	(Registrant)
Date: November 11, 2010	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

122

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 11, 2010	By:	/S/ ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

123