Frontier Funds 10-Q 2011 Q2 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 June 30, 2011

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; BERKELEY/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;

Berkeley/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  x    No  ¨

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

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

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

TABLE OF CONTENTS

PART I – FINANCIAL INFORMATION
Item 1.	Financial Statements
	Statements of Financial Condition as of June 30, 2011 (Unaudited) and December 31, 2010	4
	Condensed Schedule of Investments as of June 30, 2011 (Unaudited) and December 31, 2010	8
	Statements of Operations for the three and six months ended June 30, 2011 and 2010 (Unaudited)	14
	Statements of Changes in Capital for the six months ended June 30, 2011 (Unaudited)	22
	Statements of Cash Flows for the six months ended June 30, 2011 and 2010 (Unaudited)	28
	Notes to Financial Statements (Unaudited)	32
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	67
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	95
Item 4.	Controls and Procedures	103
PART II – OTHER INFORMATION
Item 1.	Legal Proceedings	103
Item 1A.	Risk Factors	103
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	103
Item 3.	Defaults Upon Senior Securities	103
Item 4.	Removed and Reserved	103
Item 5.	Other Information	104
Item 6.	Exhibits	104
SIGNATURES		105

2

Special Note About Forward-Looking Statements

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

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

UNLESS EXPRESSLY STATED OTHERWISE, ALL INFORMATION IN THIS REPORT IS AS OF JUNE 30, 2011, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

3

PART I. FINANCIAL INFORMATION

ITEM 1. Financial Statements

The Frontier Fund

Statements of Financial Condition

June 30, 2011 and December 31, 2010

	Frontier Diversified Series				Frontier Dynamic Series				Frontier Long/Short Commodity Series
	6/30/2011 (Unaudited)		12/31/2010		6/30/2011 (Unaudited)		12/31/2010		6/30/2011 (Unaudited)		12/31/2010
ASSETS
Cash and cash equivalents	$	3,652,477	$	4,647,422	$	394,341	$	498,048	$	1,739,922	$	1,114,912
U.S. Treasury securities, at fair value		14,587,982		13,620,730		2,847,902		2,796,510		9,075,211		6,801,035
Custom time deposits		79,428,321		77,115,708		15,506,194		15,832,842		49,412,505		38,505,033
Swap contracts, at fair value		8,893,127		11,407,905		10,836,782		10,956,772		38,861		—
Investments in unconsolidated trading companies, at fair value		32,825,901		54,940,095		—		—		10,114,563		32,964,448
Prepaid service fees - Class 1		329,015		407,844		2,346		6,542		139,729		47,889
Interest receivable		198,509		185,893		38,753		38,166		123,493		92,819
Receivable from related parties		—		90,000		—		—		15,000		—
Other assets		—		60		7		12		—		212
Total Assets	$	139,915,332	$	162,415,657	$	29,626,325	$	30,128,892	$	70,659,284	$	79,526,348
LIABILITIES & CAPITAL
LIABILITIES
Inter-series payables, at fair value	$	—	$	—	$	28,040,798	$	28,320,283	$	—	$	—
Pending owner additions		644,343		622,918		—		70,000		174,400		125,967
Owner redemptions payable		307,428		219,042		—		28,323		149,003		161,182
Incentive fees payable to Managing Owner		1,294,936		1,453,102		—		—		697,704		1,600,703
Management fees payable to Managing Owner		156,227		139,758		—		—		17,021		300,038
Interest payable to Managing Owner		48,296		52,961		9,693		10,064		11,797		21,144
Trading fees payable to Managing Owner		264,287		310,302		55,391		59,936		8,791		44,699
Trailing service fees payable to Managing Owner		66,578		48,903		1,322		726		36,542		69,686
Payables to related parties		16,088		57,770		—		6,585		1,751		8,528
Other liabilities		74,067		14,929		6,444		53		1,101		10,961
Total Liabilities		2,872,250		2,919,685		28,113,648		28,495,970		1,098,110		2,342,908
CAPITAL
Managing Owner Units - Class 1		27,948		28,484		24,817		25,282		—		—
Managing Owner Units - Class 1a		—		—		—		—		14,629		32,439
Managing Owner Units - Class 2		1,506,844		1,627,227		25,704		25,960		507,718		1,309,512
Managing Owner Units - Class 2a		—		—		—		—		226,107		33,324
Limited Owner Units - Class 1		75,585,228		89,993,647		1,164,822		1,193,940		13,522,393		31,185,756
Limited Owner Units - Class 1a		—		—		—		—		13,853,523		5,619,870
Limited Owner Units - Class 2		59,923,062		67,846,614		297,334		387,740		10,553,339		14,275,466
Limited Owner Units - Class 2a		—		—				—		7,447,795		3,728,502
Limited Owner Units - Class 3		—		—				—		23,435,670		20,998,571
Total Owners’ Capital		137,043,082		159,495,972		1,512,677		1,632,922		69,561,174		77,183,440
Non-Controlling Interests		—		—		—		—		—		—
Total Capital		137,043,082		159,495,972		1,512,677		1,632,922		69,561,174		77,183,440
Total Liabilities and Capital	$	139,915,332	$	162,415,657	$	29,626,325	$	30,128,892	$	70,659,284	$	79,526,348
Units Outstanding
Class 1		744,015		869,125		13,183		13,262		96,233		234,956
Class 1a		N/A		N/A		N/A		N/A		111,155		47,917
Class 2		583,010		652,590		3,456		4,382		67,163		101,687
Class 2a		N/A		N/A		N/A		N/A		59,357		31,044
Class 3		N/A		N/A		N/A		N/A		142,310		137,017
Net Asset Value per Unit
Class 1	$	101.63	$	103.58	$	90.24	$	91.94	$	140.52	$	132.73
Class 1a		N/A		N/A		N/A		N/A	$	124.76	$	117.96
Class 2	$	105.37	$	106.46	$	93.47	$	94.40	$	164.69	$	153.26
Class 2a		N/A		N/A		N/A		N/A	$	129.28	$	121.18
Class 3		N/A		N/A		N/A		N/A	$	164.68	$	153.26

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

4

The Frontier Fund

Statements of Financial Condition

June 30, 2011 and December 31, 2010

	Frontier Masters Series				Balanced Series				Berkeley/Graham/Tiverton Series (1)
	6/30/2011 (Unaudited)		12/31/2010		6/30/2011 (Unaudited)		12/31/2010		6/30/2011 (Unaudited)		12/31/2010
ASSETS
Cash and cash equivalents	$	1,123,512	$	1,207,290	$	3,405,154	$	5,375,950	$	1,128,425	$	1,341,151
U.S. Treasury securities, at fair value		7,046,041		3,543,554		26,120,481		27,253,497		5,539,497		7,024,829
Custom time deposits		38,364,127		20,062,341		142,220,211		154,299,574		30,161,331		39,772,074
Receivable from futures commission merchants		2,419,045		—		81,562,405		85,398,794		—		—
Open trade equity, at fair value		—		—		—		26,090,210		—		—
Swap contracts, at fair value		30,172		26,242,246		27,901,937		49,811,462		23,721		—
Investments in unconsolidated trading companies, at fair value		5,680,680		15,921,658		11,822,760		42,072,378		4,589,612		12,665,871
Investment in Berkeley Quantitative Colorado Fund, LLC, at fair value		—		—		—		—		6,843,648		10,157,099
Inter-series receivables, at fair value		—		—		40,334,333		41,137,058		—		—
Prepaid service fees - Class 1		123,735		204,960		—		3		—		16
Interest receivable		95,880		48,362		355,440		371,950		75,380		95,873
Other assets		—		15		18,335		18,859		—		136
Total Assets	$	54,883,192	$	67,230,426	$	333,741,056	$	431,829,735	$	48,361,614	$	71,057,049
LIABILITIES & CAPITAL
LIABILITIES
Open trade deficit, at fair value	$	172,909	$	—	$	899,181	$	—	$	—	$	—
Pending owner additions		28,500		146,000		—		—		—		—
Owner redemptions payable		84,574		183,222		834,655		112,581		190,598		96,181
Incentive fees payable to Managing Owner		—		229,686		3,844,890		2,688,776		—		270,557
Management fees payable to Managing Owner		116,179		108,531		44,890		114,145		93,631		152,455
Interest payable to Managing Owner		23,488		13,334		97,013		149,043		82,124		119,500
Trading fees payable to Managing Owner		106,369		131,841		23,158		71,087		19,679		29,714
Trailing service fees payable to Managing Owner		29,760		21,894		132,461		196,325		104,427		148,307
Payables to related parties		1,059		113,911		920,272		67,515		602		10,054
Other liabilities		23,619		6,277		4,845		3,129		6,290		953
Total Liabilities		586,457		954,696		6,801,365		3,402,601		497,351		827,721
CAPITAL
Managing Owner Units - Class 1		27,227		28,315		—		—		—		—
Managing Owner Units - Class 2		577,501		696,838		2,167,563		2,679,852		8,596		136,528
Managing Owner Units - Class 2a		—		—		165,004		165,380		—		—
Limited Owner Units - Class 1		34,689,080		41,185,360		212,676,740		287,807,510		42,650,208		61,842,996
Limited Owner Units - Class 1a		—		—		3,608,725		5,120,558		—		—
Limited Owner Units - Class 2		18,980,317		24,365,217		65,403,703		74,035,876		5,205,459		8,249,804
Limited Owner Units - Class 2a		—		—		3,104,784		3,396,994		—		—
Limited Owner Units - Class 3a		—		—		3,272,386		3,691,280		—		—
Total Owners’ Capital		54,274,125		66,275,730		290,398,905		376,897,450		47,864,263		70,229,328
Non-Controlling Interests		22,610		—		36,540,786		51,529,684		—		—
Total Capital		54,296,735		66,275,730		326,939,691		428,427,134		47,864,263		70,229,328
Total Liabilities and Capital	$	54,883,192	$	67,230,426	$	333,741,056	$	431,829,735	$	48,361,614	$	71,057,049
Units Outstanding
Class 1		350,638		400,269		1,630,213		2,181,233		423,069		559,848
Class 1a		N/A		N/A		31,548		44,006		N/A		N/A
Class 2		190,563		236,869		422,274		481,110		42,730		63,664
Class 2a		N/A		N/A		24,520		26,653		N/A		N/A
Class 3a		N/A		N/A		24,538		27,616		N/A		N/A
Net Asset Value per Unit
Class 1	$	99.01	$	102.96	$	130.46	$	131.95	$	100.81	$	110.46
Class 1a		N/A		N/A	$	114.39	$	116.36		N/A		N/A
Class 2	$	102.63	$	105.81	$	160.02	$	159.46	$	122.02	$	131.73
Class 2a		N/A		N/A	$	133.35	$	133.66		N/A		N/A
Class 3a		N/A		N/A	$	133.36	$	133.66		N/A		N/A

(1) Formerly the Campbell/Graham/Tiverton Series

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

5

The Frontier Fund

Statements of Financial Condition

June 30, 2011 and December 31, 2010

					Long Only				Managed Futures
	Currency Series				Commodity Series				Index Series
	6/30/2011 (Unaudited)		12/31/2010		6/30/2011 (Unaudited)		12/31/2010		6/30/2011 (Unaudited)		12/31/2010
ASSETS
Cash and cash equivalents	$	242,489	$	275,485	$	92,077	$	175,096	$	230,042	$	196,091
U.S. Treasury securities, at fair value		1,675,323		2,009,673		387,330		485,541		447,280		597,700
Custom time deposits		9,121,763		11,378,050		2,108,928		2,748,960		2,435,340		3,383,966
Receivable from futures commission merchants		1,228,750		678,208		—		—		—		—
Open trade equity, at fair value		2,759		27,098		—		—		—		—
Swap Contracts, at fair value		5,175,354		5,668,768		193,337		790,796		1,915		—
Investments in unconsolidated trading companies, at fair value		—		—		—		—		471,550		992,837
Interest receivable		22,797		27,428		5,271		6,627		6,086		8,157
Receivable from related parties		—		—		3		—		2		1,440
Other assets		195		28		—		61		3		3
Total Assets	$	17,469,430	$	20,064,738	$	2,786,946	$	4,207,081	$	3,592,218	$	5,180,194
LIABILITIES & CAPITAL
LIABILITIES
Inter-series payables, at fair value	$	12,293,535	$	12,816,775	$	—	$	—	$	—	$	—
Pending owner additions		—		—		—		—		—		1,440
Owner redemptions payable		11,976		45,220		—		—		47,346		794
Management fees payable to Managing Owner		12,553		13,860		3,283		4,634		7,755		10,789
Interest payable to Managing Owner		20,077		24,379		1,326		1,760		1,583		2,212
Trading fees payable to Managing Owner		6,852		8,409		1,163		1,750		1,522		2,154
Trailing service fees payable to Managing Owner		7,593		11,273		3,303		5,599		848		2,338
Payables to related parties		55		5,298		—		90		—		—
Other liabilities		5,086		124		105		17		18		4
Total Liabilities		12,357,727		12,925,338		9,180		13,850		59,072		19,731
CAPITAL
Managing Owner Units - Class 2		2,677		2,791		41,524		51,212		1,928,131		2,375,149
Limited Owner Units - Class 1		4,989,176		6,381,882		1,904,026		3,348,953		375,589		1,388,452
Limited Owner Units - Class 2		119,850		754,727		250,486		793,066		892,645		1,396,862
Limited Owner Units - Class 3		—		—		581,730		—		336,781		—
Total Owners’ Capital		5,111,703		7,139,400		2,777,766		4,193,231		3,533,146		5,160,463
Non-Controlling Interests		—		—		—		—		—		—
Total Capital		5,111,703		7,139,400		2,777,766		4,193,231		3,533,146		5,160,463
Total Liabilities and Capital	$	17,469,430	$	20,064,738	$	2,786,946	$	4,207,081	$	3,592,218	$	5,180,194
Units Outstanding
Class 1		66,749		80,694		20,282		35,587		3,613		11,770
Class 2		1,339		7,938		2,795		8,141		24,438		29,084
Class 3 (1)		N/A		N/A		5,568		N/A		2,918		N/A
Net Asset Value per Unit
Class 1	$	74.74	$	79.09	$	93.88	$	94.11	$	103.95	$	117.96
Class 2	$	91.54	$	95.43	$	104.48	$	103.71	$	115.43	$	129.69
Class 3 (1)		N/A		N/A	$	104.48		N/A	$	115.42		N/A

(1) Both the Long Only Commodity Series, Class 3 Units and the Managed Futures Index Series, Class 3 Units began trading operations on January 14, 2011

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

6

The Frontier Fund

Statements of Financial Condition

June 30, 2011 and December 31, 2010

	Winton Series					Winton/Graham Series
	6/30/2011 (Unaudited)			12/31/2010		6/30/2011 (Unaudited)		12/31/2010
ASSETS
Cash and cash equivalents	$	848,539		$	1,808,624	$	1,043,270	$	1,352,481
U.S. Treasury securities, at fair value		6,700,071			8,020,509		4,566,351		7,045,351
Custom time deposits		36,480,397			45,409,259		24,862,769		39,888,265
Receivable from futures commission merchants		—			—		—		11,090,076
Open trade equity, at fair value		—			—		—		1,427,138
Swap Contracts, at fair value		28,690			—		19,554		—
Investments in unconsolidated trading companies, at fair value		5,136,237			6,222,907		6,335,910		3,383,251
Interest receivable		91,173			109,462		62,138		96,154
Other assets		115			117		—		111
Total Assets	$	49,285,222		$	61,570,878	$	36,889,992	$	64,282,827
LIABILITIES & CAPITAL
LIABILITIES
Owner redemptions payable	$	46,548		$	8,782	$	10,831	$	61,838
Incentive fees payable to Managing Owner		—			467,341		—		623,629
Management fees payable to Managing Owner		62,011			122,675		101,430		168,136
Interest payable to Managing Owner		82,772			102,270		62,895		97,293
Trading fees payable to Managing Owner		19,770			25,245		15,121		24,127
Trailing service fees payable		77,506			99,085		68,702		103,698
Payables to related parties		755			25,385		251		12,309
Other liabilities		19,974			658		9,100		1,001
Total Liabilities		309,336			851,441		268,330		1,092,031
CAPITAL
Managing Owner Units - Class 2		31,611			230,781		59,489		61,691
Limited Owner Units - Class 1		38,120,707			49,350,981		29,686,664		45,898,246
Limited Owner Units - Class 2		10,823,568			11,137,675		6,875,509		11,550,501
Total Owners’ Capital		48,975,886			60,719,437		36,621,662		57,510,438
Non-Controlling Interests		—			—				5,680,358
Total Capital		48,975,886	��		60,719,437		36,621,662		63,190,796
Total Liabilities and Capital	$	49,285,222		$	61,570,878	$	36,889,992	$	64,282,827
Units Outstanding
Class 1		288,503			365,451		260,756		383,032
Class 2		70,984			73,827		49,930		80,620
Net Asset Value per Unit
Class 1	$	132.13		$	135.04	$	113.85	$	119.83
Class 2	$	152.92		$	153.99	$	138.90	$	144.04

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

7

The Frontier Fund

Condensed Schedules of Investments

June 30, 2011

(Unaudited)

		Frontier Diversified Series					Frontier Dynamic Series					Frontier Long/Short Commodity Series					Frontier Masters Series
				% of Total Capital					% of Total Capital					% of Total Capital						% of Total Capital
	Description	Value		(Net Asset Value)			Value		(Net Asset Value)			Value		(Net Asset Value)			Value			(Net Asset Value)
LONG FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	(15,632	)		-0.03	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		(180,447	)		-0.33	%
	Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		27,926			0.05	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		991			0.00	%
	Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		(8,656	)		-0.02	%
	Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		(62,245	)		-0.11	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		2,968			0.01	%
	Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		(23,178	)		-0.04	%
	Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		1,695			0.00	%
	Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		(16,960	)		-0.03	%
	Various precious metals futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		(1,044	)		0.00	%
	Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		4,050			0.01	%
	Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		12,372			0.02	%
	Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		5,261			0.01	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		1,134			0.00	%
	Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	(251,765	)		-0.46	%
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	%	$	(48,249	)		-0.09	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		70,890			0.13	%
	Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		3,373			0.01	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		11,538			0.02	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		9,174			0.02	%
	Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		(50,470	)		-0.09	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		(5,100	)		-0.01	%
	Various energy futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		(491	)		0.00	%
	Various interest rates futures contracts (US)		—		0.00	%		—		0.00	%		—		0.00	%		8,449			0.02	%
	Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		18,662			0.03	%
	Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		(918	)		0.00	%
	Various soft futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		95,915			0.18	%
	Various soft futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		196			0.00	%
	Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%		6,740			0.01	%
	Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		(10,213	)		-0.02	%
	Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		(16,321	)		-0.03	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%		(14,319	)		-0.03	%
	Total Short Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	78,856			0.15	%
SHORT OPTIONS *		$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
CURRENCY FORWARDS *		$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
	Total Open Trade Equity (Deficit)	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%	$	(172,909	)		-0.31	%
SWAPS (1)		$	8,893,127		6.49	%	$	10,836,782		716.40	%	$	38,861		0.06	%	$	30,172			0.06	%
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)	$	7,119,694		5.20	%	$	1,389,924		91.89	%	$	4,429,175		6.37	%	$	3,438,834			6.33	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		7,468,288		5.45	%		1,457,978		96.38	%		4,646,036		6.68	%		3,607,207			6.64	%
		$	14,587,982		10.65	%	$	2,847,902		188.27	%	$	9,075,211		13.05	%	$	7,046,041			12.97	%
Additional Disclosure on U.S. Treasury Securities		Face Value					Face Value					Face Value					Face Value
	US Treasury Note 3.875% due 02/15/2013	$	6,740,574				$	1,315,912				$	4,193,324				$	3,255,718
	US Treasury Note 4.000% due 02/15/2015		6,777,509					1,323,122					4,216,301					3,273,558
		$	13,518,083				$	2,639,034				$	8,409,625				$	6,529,276
		Cost					Cost					Cost					Cost
	US Treasury Note 3.875% due 02/15/2013	$	7,040,741				$	1,374,511				$	4,380,058				$	3,400,700
	US Treasury Note 4.000% due 02/15/2015		7,020,546					1,370,568					4,367,495					3,390,946
		$	14,061,287				$	2,745,079				$	8,747,553				$	6,791,646

* 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.

8

The Frontier Fund

Condensed Schedules of Investments

June 30, 2011

(Unaudited)

		Balanced Series						Berkeley/Graham/ Tiverton Series (3)					Currency Series						Long Only Commodity Series
	Description	Value			% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)			Value			% of Total Capital (Net Asset Value)			Value		% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	2,635,158			0.81	%	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%
	Various base metals futures contracts (Europe)		788,710			0.24	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (U.S.)		687,258			0.21	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		185,980			0.06	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (Far East)		(9,263	)		0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various energy futures contracts (U.S.)		(2,036,859	)		-0.62	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		(1,301,800	)		-0.40	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (U.S.)		(490,268	)		-0.15	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Canada)		(2,395	)		0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		320,593			0.10	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Far East)		105,804			0.03	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various precious metals futures contracts (U.S.)		(157,520	)		-0.05	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (U.S.)		(28,848	)		-0.01	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		(27,606	)		-0.01	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (U.S.)		843,768			0.26	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Canada)		58,038			0.02	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		655,339			0.20	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Far East)		94,586			0.03	%		—		0.00	%		—			0.00	%		—		0.00	%
	Total Long Futures Contracts	$	2,320,675			0.72	%	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%
LONG OPTIONS *		$	8,429,583			2.58	%	$	—		0.00	%	$	10,587			0.21	%	$	—		0.00	%
SHORT FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	(3,594,040	)		-1.10	%	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%
	Various base metals futures contracts (Europe)		(4,346,016	)		-1.33	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (US)		727,859			0.22	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		40,108			0.01	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various energy futures contracts (U.S.)		2,220,767			0.68	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		930,795			0.28	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (U.S.)		391,654			0.12	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Canada)		5,448			0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		94,835			0.03	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Far East)		1,115			0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various precious metals futures contracts (U.S.)		105,453			0.03	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (U.S.)		229,488			0.07	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		(126,664	)		-0.04	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (U.S.)		(897,897	)		-0.27	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Canada)		(5,023	)		0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		(26,873	)		-0.01	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Far East)		(301,867	)		-0.09	%		—		0.00	%		—			0.00	%		—		0.00	%
	Total Short Futures Contracts	$	(4,550,858	)		-1.40	%	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%
SHORT OPTIONS *		$	(6,441,793	)		-1.97	%	$	—		0.00	%	$	10,587			0.21	%	$	—		0.00	%
CURRENCY FORWARDS *		$	(656,788	)		-0.20	%	$	—		0.00	%	$	(18,415	)		-0.36	%	$	—		0.00	%
	Total Open Trade Equity (Deficit)	$	(899,181	)		-0.27	%	$	—		0.00	%	$	2,759			0.06	%	$	—		0.00	%
SWAPS (1)		$	27,901,937			8.53	%	$	23,721		0.05	%	$	5,175,354			101.25	%	$	193,337		6.96	%
Investment in Berkeley Quantitative Colorado Fund, LLC (Cost of $10,000,000)		$	—			0.00	%	$	6,843,648		14.30	%	$	—			0.00	%	$	—		0.00	%
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)	$	12,748,152			3.90	%	$	2,703,562		5.65	%	$	817,645			16.00	%	$	189,037		6.81	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		13,372,329			4.09	%		2,835,935		5.92	%		857,678			16.78	%		198,293		7.14	%
		$	26,120,481			7.99	%	$	5,539,497		11.57	%	$	1,675,323			32.78	%	$	387,330		13.95	%
Additional Disclosure on U.S. Treasury Securities		Face Value						Face Value					Face Value						Face Value
	US Treasury Note 3.875% due 02/15/2013	$	12,069,321					$	2,559,599				$	774,106					$	178,971
	US Treasury Note 4.000% due 02/15/2015		12,135,455						2,573,625					778,347						179,952
		$	24,204,776					$	5,133,224				$	1,552,453					$	358,923
		Cost						Cost					Cost						Cost
	US Treasury Note 3.875% due 02/15/2013	$	12,606,783					$	2,673,582				$	808,578					$	186,941
	US Treasury Note 4.000% due 02/15/2015		12,570,624						2,665,913					806,258						186,405
		$	25,177,407					$	5,339,495				$	1,614,836					$	373,346

* 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.

(3) Formerly the Cambell/Graham/Tiverton Series

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

9

The Frontier Fund

Condensed Schedules of Investments

June 30, 2011

(Unaudited)

		Managed Futures Index Series					Winton Series					Winton/Graham Series
	Description	Value		% of Total  Capital (Net Asset Value)			Value		% of Total  Capital (Net Asset Value)			Value		% of Total  Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%
	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	%		—		0.00	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%
	Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (U.S.)		—		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	%		—		0.00	%
	Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		—		0.00	%
	Various precious metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (U.S.)		—		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	%		—		0.00	%
	Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%
	Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
LONG OPTIONS *		$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
SHORT FUTURES CONTRACTS *
	Various base metals futures contracts (US)	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%
	Various currency futures contracts (US)		—		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	%		—		0.00	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%
	Various energy futures contracts (US)		—		0.00	%		—		0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%
	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	%		—		0.00	%
	Various precious metals futures contracts (US)		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (US)		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (US)		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		—		0.00	%
	Total Short Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
CURRENCY FORWARDS *		$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
	Total Open Trade Equity	$	—		0.00	%	$	—		0.00	%	$	—		0.00	%
SWAPS (1)		$	1,915		0.05	%	$	28,690		0.06	%	$	19,554		0.05	%
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)	$	218,296		6.18	%	$	3,269,983		6.68	%	$	2,228,617		6.09	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		228,984		6.48	%		3,430,088		7.00	%		2,337,734		6.38	%
		$	447,280		12.66	%	$	6,700,071		13.68	%	$	4,566,351		12.47	%
Additional Disclosure on U.S. Treasury Securities		Face Value					Face Value					Face Value
	US Treasury Note 3.875% due 02/15/2013	$	206,672				$	3,095,858				$	2,109,944
	US Treasury Note 4.000% due 02/15/2015		207,804					3,112,822					2,121,506
		$	414,476				$	6,208,680				$	4,231,450
		Cost					Cost					Cost
	US Treasury Note 3.875% due 02/15/2013	$	215,875				$	3,233,721				$	2,203,903
	US Treasury Note 4.000% due 02/15/2015		215,256					3,224,446					2,197,582
		$	431,131				$	6,458,167				$	4,401,485

* 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.

10

The Frontier Fund

Condensed Schedules of Investments

December 31, 2010

		Frontier Diversified Series					Frontier Dynamic Series					Frontier Long/Short Commodity Series					Frontier Masters Series
				% of Owners’ Capital					% of Owners’ Capital					% of Owners’ Capital					% of Owners’ Capital
	Description	Value		(Net Asset Value)			Value		(Net Asset Value)			Value		(Net Asset Value)			Value		(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 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 (US)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—		0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		—		0.00	%		—		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)		$	11,407,905		7.15	%	$	10,956,772		670.99	%	$	—		0.00	%	$	26,242,246		39.60	%
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)	$	6,706,231		4.20	%	$	1,376,875		84.32	%	$	3,348,522		4.34	%	$	1,744,686		2.63	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		6,914,499		4.34	%		1,419,635		86.94	%		3,452,513		4.47	%		1,798,868		2.71	%
		$	13,620,730		8.54	%	$	2,796,510		171.26	%	$	6,801,035		8.81	%	$	3,543,554		5.34	%
Additional Disclosure on U.S. Treasury Securities		Face Value					Face Value					Face Value					Face Value
	US Treasury Note 3.875% due 02/15/2013	$	6,277,315				$	1,288,813				$	3,134,358				$	1,633,099
	US Treasury Note 4.000% due 02/15/2015		6,311,712					1,295,875					3,151,532					1,642,048
		$	12,589,027				$	2,584,688				$	6,285,890				$	3,275,147
		Cost					Cost					Cost					Cost
	US Treasury Note 3.875% due 02/15/2013	$	6,556,852				$	1,346,206				$	3,273,935				$	1,705,823
	US Treasury Note 4.000% due 02/15/2015		6,538,046					1,342,344					3,264,544					1,700,931
		$	13,094,898				$	2,688,550				$	6,538,479				$	3,406,754

* 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.

11

The Frontier Fund

Condensed Schedules of Investments

December 31, 2010

		Balanced Series						Berkeley/Graham/ Tiverton Series (3)					Currency Series						Long Only Commodity Series
					% of Owners’ Capital					% of Owners’ Capital						% of Owners’ Capital					% of Owners’ Capital
	Description	Value			(Net Asset Value)			Value		(Net Asset Value)			Value			(Net Asset Value)			Value		(Net Asset Value)
LONG FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	1,088,633			0.25	%	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%
	Various base metals futures contracts (Europe)		8,015,226			1.87	%		—		0.00	%		—			0.00	%		—		0.00	%
	Copper @ LME Settling 3/16/2011 (Number of Contracts: 215)		6,234,313			1.46	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (U.S.)		1,192,754			0.28	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		54,979			0.01	%		—		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.)		1,008,666			0.24	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		119,345			0.03	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (U.S.)		394,589			0.09	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Canada)		19,156			0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Europe)		397,103			0.09	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Far East)		171,547			0.04	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various precious metals futures contracts (U.S.)		1,284,530			0.30	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (U.S.)		4,124,449			0.96	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		178,197			0.04	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (Far East)		12,801			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.)		185,280			0.04	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Canada)		20,301			0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Europe)		(347,494	)		-0.08	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Far East)		93,974			0.02	%		—		0.00	%		—			0.00	%		—		0.00	%
	Total Long Futures Contracts	$	24,248,349			5.66	%	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%
LONG OPTIONS *		$	24,855,339			5.80	%	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%
Copper @ LME Settling 3/1/2011, Call @ 8,400 (Number of Contracts: 131)			4,299,158			1.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Total Long Options	$	29,154,497			6.80	%	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%
SHORT FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	(2,251,017	)		-0.53	%	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%
	Copper @ Comex Settling 3/1/2011 (Number of Contracts: 265)		(4,448,411	)		-1.04	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various base metals futures contracts (Europe)		(7,195,082	)		-1.68	%		—		0.00	%		—			0.00	%		—		0.00	%
	Copper @ LME Settling 3/16/2011 (Number of Contracts: 204)		(5,109,138	)		-1.19	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (US)		(152,716	)		-0.04	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (Canada)		—			0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various currency futures contracts (Europe)		165,269			0.04	%		—		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.)		(351,689	)		-0.08	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various energy futures contracts (Europe)		67,860			0.02	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (U.S.)		(44,519	)		-0.01	%		—		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)		(424,601	)		-0.10	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various interest rates futures contracts (Far East)		(149,997	)		-0.04	%		—		0.00	%		���			0.00	%		—		0.00	%
	Various precious metals futures contracts (U.S.)		(3,226,990	)		-0.75	%		—		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.)		(807,600	)		-0.19	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (Canada)		—			0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various soft futures contracts (Europe)		(54,735	)		-0.01	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (U.S.)		93,081			0.02	%		—		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)		76,258			0.02	%		—		0.00	%		—			0.00	%		—		0.00	%
	Various stock index futures contracts (Far East)		2,893			0.00	%		—		0.00	%		—			0.00	%		—		0.00	%
	Total Short Futures Contracts	$	(23,811,134	)		-5.56	%	$	—		0.00	%	$	—			0.00	%	$	—		0.00	%
SHORT OPTIONS *		$	(4,788,295	)		-1.12	%	$	—		0.00	%	$	(1,292	)		-0.02	%	$	—		0.00	%
CURRENCY FORWARDS *		$	1,286,793			0.30	%	$	—		0.00	%	$	28,390			0.40	%	$	—		0.00	%
	Total Open Trade Equity	$	26,090,210			6.08	%	$	—		0.00	%	$	27,098			0.38	%	$	—		0.00	%
SWAPS (1)		$	49,811,462			11.63	%	$	—		0.00	%	$	5,668,768			79.40	%	$	790,796		18.86	%
Investment in Berkeley Quantitative Colorado Fund, LLC (Cost of $10,000,000)		$	—			0.00	%	$	10,157,099		14.46	%	$	—			0.00	%	$	—		0.00	%
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)	$	13,418,389			3.13	%	$	3,458,708		4.92	%	$	989,472			13.86	%	$	239,058		5.70	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		13,835,108			3.23	%		3,566,121		5.08	%		1,020,201			14.29	%		246,483		5.88	%
		$	27,253,497			6.36	%	$	7,024,829		10.00	%	$	2,009,673			28.15	%	$	485,541		11.58	%
Additional Disclosure on U.S. Treasury Securities		Face Value						Face Value					Face Value						Face Value
	US Treasury Note 3.875% due 02/15/2013	$	12,560,178					$	3,237,497				$	926,188					$	223,769
	US Treasury Note 4.000% due 02/15/2015		12,629,001						3,255,236					931,263						224,995
		$	25,189,179					$	6,492,733				$	1,857,450					$	448,764
		Cost						Cost					Cost						Cost
	US Treasury Note 3.875% due 02/15/2013	$	13,119,498					$	3,381,666				$	967,432					$	233,733
	US Treasury Note 4.000% due 02/15/2015		13,081,869						3,371,967					964,657						233,063
		$	26,201,367					$	6,753,633				$	1,932,089					$	466,796

* 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.

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

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

12

The Frontier Fund

Condensed Schedules of Investments

December 31, 2010

		Managed Futures Index Series					Winton Series					Winton/Graham Series
				% of Owners’ Capital					% of Owners’ Capital						% of Owners’ Capital
	Description	Value		(Net Asset Value)			Value		(Net Asset Value)			Value			(Net Asset Value)
LONG FUTURES CONTRACTS *
	Various base metals futures contracts (U.S.)	$	—		0.00	%	$	—		0.00	%	$	172,560			0.28	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		181,596			0.29	%
	Various currency futures contracts (U.S.)		—		0.00	%		—		0.00	%		98,545			0.16	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		23,874			0.04	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
	Various energy futures contracts (U.S.)		—		0.00	%		—		0.00	%		89,785			0.14	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		14,200			0.02	%
	Various interest rates futures contracts (U.S.)		—		0.00	%		—		0.00	%		22,017			0.04	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		10,474			0.02	%
	Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		17,866			0.03	%
	Various precious metals futures contracts (U.S.)		—		0.00	%		—		0.00	%		200,060			0.32	%
	Various precious metals futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
	Various soft futures contracts (Far East)		—		0.00	%		—		0.00	%		349,196			0.56	%
	Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		4,650			0.01	%
	Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various stock index futures contracts (U.S.)		—		0.00	%		—		0.00	%		(29,609	)		-0.05	%
	Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		11,090			0.02	%
	Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		(173,696	)		-0.28	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		(24,225	)		-0.04	%
	Total Long Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	968,383			1.56	%
LONG OPTIONS *		$	—		0.00	%	$	—		0.00	%	$	—			0.00	%
SHORT FUTURES CONTRACTS *
	Various base metals futures contracts (US)	$	—		0.00	%	$	—		0.00	%	$	(18,909	)		-0.03	%
	Various base metals futures contracts (Europe)		—		0.00	%		—		0.00	%		(34,144	)		-0.05	%
	Various currency futures contracts (US)		—		0.00	%		—		0.00	%		(2,458	)		0.00	%
	Various currency futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various currency futures contracts (Europe)		—		0.00	%		—		0.00	%		(33,762	)		-0.05	%
	Various currency futures contracts (Far East)		—		0.00	%		—		0.00	%		—			0.00	%
	Various energy futures contracts (US)		—		0.00	%		—		0.00	%		2,730			0.00	%
	Various energy futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
	Various interest rates futures contracts (US)		—		0.00	%		—		0.00	%		(11,891	)		-0.02	%
	Various interest rates futures contracts (Canada)		—		0.00	%		—		0.00	%		(4,408	)		-0.01	%
	Various interest rates futures contracts (Europe)		—		0.00	%		—		0.00	%		(114,032	)		-0.18	%
	Various interest rates futures contracts (Far East)		—		0.00	%		—		0.00	%		(28,536	)		-0.05	%
	Various precious metals futures contracts (US)		—		0.00	%		—		0.00	%		—			0.00	%
	Various soft futures contracts (US)		—		0.00	%		—		0.00	%		(21,733	)		-0.03	%
	Various soft futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various soft futures contracts (Europe)		—		0.00	%		—		0.00	%		—			0.00	%
	Various stock index futures contracts (US)		—		0.00	%		—		0.00	%		9,471			0.02	%
	Various stock index futures contracts (Canada)		—		0.00	%		—		0.00	%		—			0.00	%
	Various stock index futures contracts (Europe)		—		0.00	%		—		0.00	%		3,649			0.01	%
	Various stock index futures contracts (Far East)		—		0.00	%		—		0.00	%		3,237			0.01	%
	Total Short Futures Contracts	$	—		0.00	%	$	—		0.00	%	$	(250,786	)		-0.38	%
CURRENCY FORWARDS *		$	—		0.00	%	$	—		0.00	%	$	709,541			1.13	%
	Total Open Trade Equity	$	—		0.00	%	$	—		0.00	%	$	1,427,138			2.31	%
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)	$	294,280		5.70	%	$	3,948,936		6.50	%	$	3,468,812			5.53	%
$36,700,000.00	US Treasury Note 4.000% due 02/15/2015 (Cost $38,016,039) (2)		303,420		5.88	%		4,071,573		6.14	%		3,576,539			5.70	%
		$	597,700		11.58	%	$	8,020,509		12.64	%	$	7,045,351			11.23	%
Additional Disclosure on U.S. Treasury Securities		Face Value					Face Value					Face Value
	US Treasury Note 3.875% due 02/15/2013	$	275,459				$	3,696,370				$	3,246,954
	US Treasury Note 4.000% due 02/15/2015		276,968					3,716,625					3,264,746
		$	552,427				$	7,412,995				$	6,511,700
		Cost					Cost					Cost
	US Treasury Note 3.875% due 02/15/2013	$	287,725				$	3,860,974				$	3,391,545
	US Treasury Note 4.000% due 02/15/2015		286,900					3,849,900					3,381,818
		$	574,625				$	7,710,874				$	6,773,363

* 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

Statements of Operations

For the Six Months Ended June 30, 2011 and 2010

	Frontier Diversified Series						Frontier Dynamic Series						Frontier Long/Short Commodity Series
	(Unaudited)						(Unaudited)						(Unaudited)
	6/30/2011			6/30/2010			6/30/2011			6/30/2010			6/30/2011			6/30/2010
Investment Income:
Interest - net	$	1,192,025		$	927,541		$	230,851		$	223,162		$	691,895		$	501,908
Total Income		1,192,025			927,541			230,851			223,162			691,895			501,908
Expenses:
Incentive Fees		2,919,713			1,040,130			—			—			2,304,168			666,437
Management Fees		949,997			404,570			—			—			1,870,475			1,612,557
Service Fees - Class 1		976,227			568,306			47,917			42,558			496,020			621,685
Trading Fees		1,867,170			1,041,644			348,206			336,622			329,173			192,927
Total Expenses		6,713,107			3,054,650			396,123			379,180			4,999,836			3,093,606
Investment income/(loss) - net		(5,521,082	)		(2,127,109	)		(165,272	)		(156,018	)		(4,307,941	)		(2,591,698	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		—			59,525			—			—			—			(24,029,653	)
Net change in open trade equity		—			(705,094	)		—			—			—			18,487,270
Net realized gain/(loss) on swap contracts		(308,941	)		—			—			—			—			—
Net unrealized gain/(loss) on swap contracts		(388,618	)		(397,909	)		(141,844	)		(203,012	)		(31,394	)		—
Net unrealized gain/(loss) on U.S. Treasury securities		19,090			337,411			1,526			80,601			5,776			230,462
Trading commissions		—			(13,917	)		—			—			—			(444,193	)
Net change in inter-series payables		—			(177,180	)		279,485			259,656			—			—
Change in fair value of investments in unconsolidated trading companies		4,362,634			4,624,049			—			—			10,288,431			1,919,077
Net gain/(loss) on investments		3,684,165			3,726,885			139,167			137,245			10,262,813			(3,837,037	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	(1,836,917	)	$	1,599,776		$	(26,105	)	$	(18,773	)	$	5,954,872		$	(6,428,735	)
Less: Operations attributable to non-controlling interests		—			(157,005	)		—			—			—			(2,913,121	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(1,836,917	)	$	1,756,781		$	(26,105	)	$	(18,773	)	$	5,954,872		$	(3,515,614	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(1.95	)	$	0.71		$	(1.70	)	$	(1.64	)	$	7.79		$	(6.52	)
Class 1a		N/A			N/A			N/A			N/A		$	6.80		$	(5.41	)
Class 2	$	(1.09	)	$	1.57		$	(0.93	)	$	(0.86	)	$	11.43		$	(5.51	)
Class 2a		N/A			N/A			N/A			N/A		$	8.10		$	(4.64	)
Class 3		N/A			N/A			N/A			N/A		$	11.42		$	(5.52	)

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

14

The Frontier Fund

Statements of Operations

For the Six Months Ended June 30, 2011 and 2010

	Frontier Masters Series						Balanced Series						Berkeley/Graham/ Tiverton  Series (1)
	(Unaudited)						(Unaudited)						(Unaudited)
	6/30/2011			6/30/2010			6/30/2011			6/30/2010			6/30/2011			6/30/2010
Investment Income:
Interest - net	$	465,136		$	478,578		$	201,656		$	287,119		$	17,176		$	594
Total Income/(loss)		465,136			478,578			201,656			287,119			17,176			594
Expenses:
Incentive Fees		270,812			22,281			8,671,760			5,932,686			—			—
Management Fees		739,179			443,985			1,258,352			898,610			690,705			1,175,602
Service Fees - Class 1		431,508			261,372			4,113,084			4,272,276			831,210			975,667
Trading Fees		762,843			681,482			911,628			872,504			154,756			183,087
Total Expenses		2,204,342			1,409,120			14,954,824			11,976,076			1,676,671			2,334,356
Investment income/(loss) - net		(1,739,206	)		(930,542	)		(14,753,168	)		(11,688,957	)		(1,659,495	)		(2,333,762	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		(1,745,362	)		—			(1,587,828	)		885,856			—			1,078,401
Net change in open trade equity		(172,909	)		—			(24,656,268	)		471,419			—			(196,623	)
Net realized gain/(loss) on swap contracts		2,070,356			—			6,689,123			—			—			—
Net unrealized gain/(loss) on swap contracts		(1,636,815	)		179,736			(8,846,752	)		1,295,848			(21,451	)		—
Net unrealized gain/(loss) on U.S. Treasury securities		12,484			171,146			10,621			823,096			(2,524	)		197,389
Trading commissions		(34,338	)		—			(2,535,293	)		(1,699,067	)		—			(31,416	)
Net change in inter-series receivables		—			—			(802,725	)		426,617			—			—
Net change in inter-series payables		—			(2,350	)		—			—			—			—
Change in fair value of investments in unconsolidated trading companies		1,385,031			542,039			36,094,205			17,884,894			(1,435,104	)		(1,244,466	)
Net realized gain/(loss) on investment in Berkeley Quantitative Colorado Fund, LLC		—			—			—			—			(135,775	)		—
Net unrealized gain/(loss) on investment in Berkeley Quantitative Colorado Fund, LLC		—			—			—			—			(1,665,279	)		—
Net gain/(loss) on investments		(121,553	)		890,571			4,365,083			20,088,663			(3,260,133	)		(196,715	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	(1,860,759	)	$	(39,971	)	$	(10,388,085	)	$	8,399,706		$	(4,919,628	)	$	(2,530,477	)
Less: Operations attributable to non-controlling interests		(19,390	)		—			(10,170,829	)		209,682			—			236,599
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(1,841,369	)	$	(39,971	)	$	(217,256	)	$	8,190,024		$	(4,919,628	)	$	(2,767,076	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(3.95	)	$	(0.80	)	$	(1.49	)	$	2.35		$	(9.65	)	$	(3.87	)
Class 1a		N/A			N/A		$	(1.97	)	$	1.67			N/A			N/A
Class 2	$	(3.18	)	$	0.02		$	0.56		$	4.89		$	(9.71	)	$	(2.73	)
Class 2a		N/A			N/A		$	(0.31	)	$	3.66			N/A			N/A
Class 3a		N/A			N/A		$	(0.30	)	$	3.67			N/A			N/A

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

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

15

The Frontier Fund

Statements of Operations

For the Six Months Ended June 30, 2011 and 2010

	Currency Series						Long Only Commodity Series						Managed Futures Index Series
	(Unaudited)						(Unaudited)						(Unaudited)
	6/30/2011			6/30/2010			6/30/2011			6/30/2010			6/30/2011			6/30/2010
Investment Income:
Interest - net	$	54,459		$	67,766		$	39,619		$	43,582		$	44,982		$	15,414
Total Income		54,459			67,766			39,619			43,582			44,982			15,414
Expenses:
Management Fees		79,028			80,855			24,640			26,990			50,636			56,950
Service Fees - Class 1		85,691			113,495			30,063			33,057			8,460			17,339
Trading Fees		45,650			51,740			9,177			10,261			11,327			12,953
Total Expenses		210,369			246,090			63,880			70,308			70,423			87,242
Investment income/(loss) - net		(155,910	)		(178,324	)		(24,261	)		(26,726	)		(25,441	)		(71,828	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		(170,045	)		292,764			—			—			—			—
Net realized gain/(loss) on swap contracts		—			—			68,672			(431,581	)		—			—
Net change in open trade equity		(24,407	)		14,092			—			—			—			—
Net unrealized gain/(loss) on swap contracts		(506,945	)		553,120			(1,699	)		—			(2,124	)		—
Net unrealized gain/(loss) on U.S. Treasury securities		326			65,208			(129	)		15,678			601			4,545
Net change in inter-series payables		523,240			(506,743	)		—			—			—			—
Change in fair value of investments in unconsolidated trading companies					—			—			—			(475,600	)		192,458
Net gain/(loss) on investments		(177,831	)		418,441			66,844			(415,903	)		(477,123	)		197,003
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	(333,741	)	$	240,117		$	42,583		$	(442,629	)	$	(502,564	)	$	125,175
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS PER UNIT
Class 1	$	(4.35	)	$	2.02		$	(0.23	)	$	(8.38	)	$	(14.01	)	$	2.47
Class 2	$	(3.89	)	$	3.77		$	0.77		$	(8.25	)	$	(14.26	)	$	3.90
Class 3		N/A			N/A		$	0.60			N/A		$	(11.31	)		N/A

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

16

The Frontier Fund

Statements of Operations

For the Six Months Ended June 30, 2011 and 2010

	Winton Series						Winton/Graham Series
	(Unaudited)						(Unaudited)
	6/30/2011			6/30/2010			6/30/2011			6/30/2010
Investment Income:
Interest - net	$	209,265		$	92,449		$	94,852		$	138,472
Total Income		209,265			92,449			94,852			138,472
Expenses:
Incentive Fees		248,590			—			70,874			—
Management Fees		650,733			774,060			812,303			955,133
Service Fees - Class 1		684,756			721,012			605,244			685,101
Trading Fees		139,960			143,976			123,465			143,080
Total Expenses		1,724,039			1,639,048			1,611,886			1,783,314
Investment (loss) - net		(1,514,774	)		(1,546,599	)		(1,517,034	)		(1,644,842	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		—			—			798,159			(338,502	)
Net change in open trade equity		—			—			(1,521,787	)		(1,232,147	)
Net unrealized gain/(loss) on swap contracts		(27,842	)		—			(20,249	)		—
Net unrealized gain/(loss) on U.S. Treasury securities		5,818			220,953			(3,236	)		207,935
Trading commissions		—			—			(274,394	)		(300,708	)
Change in fair value of investments in unconsolidated trading companies		764,521			5,958,613			223,977			3,040,076
Net gain/(loss) on investments		742,497			6,179,566			(797,530	)		1,376,654
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	(772,277	)	$	4,632,967		$	(2,314,564	)	$	(268,188	)
Less: Operations attributable to non-controlling interests		—			—			(470,719	)		(754,687	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(772,277	)	$	4,632,967		$	(1,843,845	)	$	486,499
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(2.91	)	$	9.31		$	(5.98	)	$	0.64
Class 2	$	(1.07	)	$	12.40		$	(5.14	)	$	2.68

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

17

The Frontier Fund

Statements of Operations

For the Three Months Ended June 30, 2011 and 2010

	Frontier Diversified Series						Frontier Dynamic Series						Frontier Long/Short Commodity Series
	(Unaudited)						(Unaudited)						(Unaudited)
	6/30/2011			6/30/2010			6/30/2011			6/30/2010			6/30/2011			6/30/2010
Investment Income:
Interest - net	$	601,997		$	516,293		$	116,948		$	109,808		$	375,605		$	292,623
Total Income		601,997			516,293			116,948			109,808			375,605			292,623
Expenses:
Incentive Fees		1,200,040			853,906			—			—			674,307			588,335
Management Fees		468,277			241,917			—			—			924,616			824,235
Service Fees - Class 1		460,178			330,137			23,927			21,908			222,469			299,535
Trading Fees		888,504			600,952			172,846			170,249			175,280			100,037
Total Expenses		3,016,999			2,026,912			196,773			192,157			1,996,672			1,812,142
Investment income/(loss) - net		(2,415,002	)		(1,510,619	)		(79,825	)		(82,349	)		(1,621,067	)		(1,519,519	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		—			(168,854	)		—			—			—			—
Net change in open trade equity		—			(408,195	)		—			—			—			—
Net realized gain/(loss) on swap contracts		(308,941	)		—			—			—			—			—
Net unrealized gain/(loss) on swap contracts		(256,351	)		(145,531	)		351,794			(122,356	)		(43,631	)		—
Net unrealized gain/(loss) on U.S. Treasury securities		128,535			296,900			23,423			63,070			78,235			175,142
Trading commissions		—			(6,538	)		—			—			—			—
Net change in inter-series payables		—			(279,623	)		(284,461	)		130,448			—			—
Change in fair value of investments in unconsolidated trading companies		(3,877,773	)		4,087,296			—			—			(1,852,135	)		(766,001	)
Net gain/(loss) on investments		(4,314,530	)		3,375,455			90,756			71,162			(1,817,531	)		(590,859	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	(6,729,532	)	$	1,864,836		$	10,931		$	(11,187	)	$	(3,438,598	)	$	(2,110,378	)
Less: Operations attributable to non-controlling interests		—			(160,346	)		—			—			—			—
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(6,729,532	)	$	2,025,182		$	10,931		$	(11,187	)	$	(3,438,598	)	$	(2,110,378	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(4.93	)	$	2.02		$	0.52		$	(0.82	)	$	(7.80	)	$	(3.91	)
Class 1a		N/A			N/A			N/A			N/A		$	(6.76	)	$	(3.23	)
Class 2	$	(4.63	)	$	2.48		$	0.95		$	(0.43	)	$	(7.85	)	$	(3.51	)
Class 2a		N/A			N/A			N/A			N/A		$	(6.41	)	$	(2.84	)
Class 3		N/A			N/A			N/A			N/A		$	(7.85	)	$	(3.51	)

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

18

The Frontier Fund

Statements of Operations

For the Three Months Ended June 30, 2011 and 2010

	Frontier Masters Series						Balanced Series						Berkeley/Graham/ Tiverton  Series (1)
	(Unaudited)						(Unaudited)						(Unaudited)
	6/30/2011			6/30/2010			6/30/2011			6/30/2010			6/30/2011			6/30/2010
Investment Income:
Interest - net	$	294,170		$	267,906		$	165,683		$	81,959		$	11,867		$	1,710
Total Income/(loss)		294,170			267,906			165,683			81,959			11,867			1,710
Expenses:
Incentive Fees		4,277			22,281			4,401,571			4,979,205			—			—
Management Fees		(168,742	)		241,703			615,487			540,618			312,735			593,711
Service Fees - Class 1		205,981			151,944			1,893,117			2,168,354			376,172			483,698
Trading Fees		362,733			382,310			425,465			452,223			69,503			90,567
Total Expenses		404,249			798,238			7,335,640			8,140,400			758,410			1,167,976
Investment income/(loss) - net		(110,079	)		(530,332	)		(7,169,957	)		(8,058,441	)		(746,543	)		(1,166,266	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		(353,802	)		—			(18,362,468	)		3,392,174			—			917,032
Net change in open trade equity		(803,220	)		—			(9,889,429	)		3,786,125			—			(680,432	)
Net realized gain/(loss) on swap contracts		(558,906	)		—			6,689,123			—			—			—
Net unrealized gain/(loss) on swap contracts		(36,604	)		(259,762	)		(7,834,296	)		57,268			(31,135	)		—
Net unrealized gain/(loss) on U.S. Treasury securities		63,174			157,215			218,626			619,119			49,609			144,212
Trading commissions		(19,600	)		—			(1,245,507	)		(1,008,169	)		—			(24,888	)
Net change in inter-series receivables		—			—			237,912			204,205			—			—
Net change in inter-series payables		—			122,674			—			—			—			—
Change in fair value of investments in unconsolidated trading companies		(212,308	)		22,775			13,663,952			13,303,385			(945,189	)		624,829
Net realized gain/(loss) on investment in Berkeley Quantitative Colorado Fund, LLC		—			—			—			—			(135,775	)		—
Net unrealized gain/(loss) on investment in Berkeley Quantitative Colorado Fund, LLC		—			—			—			—			(2,062,950	)		—
Net gain/(loss) on investments		(1,921,266	)		42,902			(16,522,087	)		20,354,107			(3,125,440	)		980,753
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	(2,031,345	)	$	(487,430	)	$	(23,692,044	)	$	12,295,666		$	(3,871,983	)	$	(185,513	)
Less: Operations attributable to non-controlling interests		(11,742	)		—			(10,178,577	)		2,096,308			—			58,702
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(2,019,603	)	$	(487,430	)	$	(13,513,467	)	$	10,199,358		$	(3,871,983	)	$	(244,215	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(4.10	)	$	(1.04	)	$	(5.91	)	$	3.08		$	(7.82	)	$	(0.47	)
Class 1a		N/A			N/A		$	(5.60	)	$	2.51			N/A			N/A
Class 2	$	(3.79	)	$	(0.64	)	$	(6.00	)	$	4.72		$	(8.48	)	$	0.34
Class 2a		N/A			N/A		$	(5.49	)	$	3.73			N/A			N/A
Class 3a		N/A			N/A		$	(5.49	)	$	3.73			N/A			N/A

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

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

19

The Frontier Fund

Statements of Operations

For the Three Months Ended June 30, 2011 and 2010

	Currency Series						Long Only Commodity Series						Managed Futures Index Series
	(Unaudited)						(Unaudited)						(Unaudited)
	6/30/2011			6/30/2010			6/30/2011			6/30/2010			6/30/2011			6/30/2010
Investment Income:
Interest - net	$	24,807		$	30,308		$	18,017		$	20,558		$	21,448		$	4,538
Total Income		24,807			30,308			18,017			20,558			21,448			4,538
Expenses:
Management Fees		39,173			40,779			11,384			12,768			24,587			30,696
Service Fees - Class 1		40,521			55,456			13,563			15,873			3,495			8,558
Trading Fees		22,085			25,847			4,105			4,930			5,181			6,919
Total Expenses		101,779			122,082			29,052			33,571			33,263			46,173
Investment income/(loss) - net		(76,972	)		(91,774	)		(11,035	)		(13,013	)		(11,815	)		(41,635	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		(16,507	)		239,657			—			—			—			—
Net realized gain/(loss) on swap contracts		—			—			(189,203	)		(257,852	)		—			—
Net change in open trade equity		(18,629	)		(31,382	)		—			—			—			—
Net unrealized gain/(loss) on swap contracts		19,623			82,761			(2,520	)		—			(2,973	)		—
Net unrealized gain/(loss) on U.S. Treasury securities		15,037			47,883			4,181			11,782			5,077			1,741
Net change in inter-series payables		46,549			(177,705	)		—			—			—			—
Change in fair value of investments in unconsolidated trading companies		—			—			—			—			(279,327	)		234,570
Net gain/(loss) on investments		46,073			161,214			(187,542	)		(246,070	)		(277,223	)		236,311
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	(30,899	)	$	69,440		$	(198,577	)	$	(259,083	)	$	(289,038	)	$	194,676
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS PER UNIT
Class 1	$	(0.85	)	$	0.52		$	(5.71	)	$	(4.99	)	$	(8.55	)	$	3.47
Class 2	$	(0.34	)	$	1.32		$	(5.81	)	$	(5.01	)	$	(8.86	)	$	4.38
Class 3		N/A			N/A		$	(5.81	)		N/A		$	(8.87	)		N/A

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

20

The Frontier Fund

Statements of Operations

For the Three Months Ended June 30, 2011 and 2010

	Winton Series						Winton/Graham Series
	(Unaudited)						(Unaudited)
	6/30/2011			6/30/2010			6/30/2011			6/30/2010
Investment Income:
Interest - net	$	105,532		$	63,942		$	36,923		$	56,239
Total Income		105,532			63,942			36,923			56,239
Expenses:
Management Fees		318,095			397,180			366,434			488,551
Service Fees - Class 1		320,735			368,646			269,572			346,500
Trading Fees		66,122			73,762			54,152			72,463
Total Expenses		704,952			839,588			690,158			907,514
Investment (loss) - net		(599,420	)		(775,646	)		(653,235	)		(851,275	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures and forwards		—			—			587,333			3,083,242
Net change in open trade equity		—			—			(680,580	)		(2,442,358	)
Net unrealized gain/(loss) on swap contracts		(39,560	)		—			(29,681	)		—
Net unrealized gain/(loss) on U.S. Treasury securities		67,912			169,147			47,224			157,252
Trading commissions		—			—			(96,964	)		(170,447	)
Change in fair value of investments in unconsolidated trading companies		(893,647	)		2,379,169			(672,824	)		1,206,487
Net gain/(loss) on investments		(865,295	)		2,548,316			(845,492	)		1,834,176
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS	$	(1,464,715	)	$	1,772,670		$	(1,498,727	)	$	982,901
Less: Operations attributable to non-controlling interests		—			—			(102,286	)		218,729
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(1,464,715	)	$	1,772,670		$	(1,396,441	)	$	764,172
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(4.27	)	$	3.53		$	(4.82	)	$	1.23
Class 2	$	(3.78	)	$	4.99		$	(4.80	)	$	2.42

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

21

The Frontier Fund

Statements of Changes in Capital

For the Six Months Ended June 30, 2011

	Frontier Diversified Series															Frontier Dynamic Series
	(Unaudited)															(Unaudited)
	Class 1			Class 1			Class 2			Class 2			Total			Class 1			Class 1			Class 2			Class 2			Total
	Managing Owner			Limited Owners			Managing Owner			Limited Owners						Managing Owner			Limited Owners			Managing Owner			Limited Owners
Capital (Net Asset Value), December 31, 2010	$	28,484		$	89,993,647		$	1,627,227		$	67,846,614		$	159,495,972		$	25,282		$	1,193,940		$	25,960		$	387,740		$	1,632,922
Sale of Units		—			18,698,351			200,000			12,005,850			30,904,201			—			156,200			—			41,500			197,700
Redemption of Units		—			(31,826,924	)		(300,000	)		(19,393,250	)		(51,520,174	)		—			(162,057	)		—			(129,783	)		(291,840	)
Net increase/(decrease) in Owners’ Capital resulting from operations		(536	)		(1,279,846	)		(20,383	)		(536,152	)		(1,836,917	)		(465	)		(23,261	)		(256	)		(2,123	)		(26,105	)
Capital (Net Asset Value), June 30, 2011	$	27,948		$	75,585,228		$	1,506,844		$	59,923,062		$	137,043,082		$	24,817		$	1,164,822		$	25,704		$	297,334		$	1,512,677
Capital - Units, December 31, 2010		275			868,850			15,285			637,305			1,521,715			275			12,987			275			4,107			17,644
Sale of Units		—			176,816			1,818			110,015			288,649			—			1,689			—			436			2,125
Redemption of Units		—			(301,926	)		(2,802	)		(178,611	)		(483,339	)		—			(1,768	)		—			(1,362	)		(3,130	)
Capital - Units, June 30, 2011		275			743,740			14,301			568,709			1,327,025			275			12,908			275			3,181			16,639
					(1	)					(1	)								(1	)					(1	)
Net asset value per unit at December 31, 2010				$	103.58					$	106.46								$	91.94					$	94.40
Change in net asset value per unit for three months ended March 31, 2011					2.98						3.54									(2.22	)					(1.88	)
Net asset value per unit at March 31, 2011				$	106.56					$	110.00								$	89.72					$	92.52
Change in net asset value per unit for three months ended June 30, 2011					(4.93	)					(4.63	)								0.52						0.95
Net asset value per unit at June 30, 2011				$	101.63					$	105.37								$	90.24					$	93.47

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

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

22

The Frontier Fund

Statements of Changes in Capital

For the Six Months Ended June 30, 2011

	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			Total
Capital (Net Asset Value), December 31, 2010	$	31,185,756		$	1,309,512		$	14,275,466		$	20,998,571		$	32,439		$	5,619,870		$	33,324		$	3,728,502		$	77,183,440
Sale of Units		51,146			—			—			10,809,007			—			8,494,187			200,000			3,938,649			23,492,989
Redemption of Units		(20,430,317	)		(920,000	)		(5,026,835	)		(10,021,196	)		(20,000	)		(305,640	)		—			(346,139	)		(37,070,127	)
Net increase/(decrease) in Owners’ Capital resulting from operations		2,715,808			118,206			1,304,708			1,649,288			2,190			45,106			(7,217	)		126,783			5,954,872
Capital (Net Asset Value), June 30, 2011	$	13,522,393		$	507,718		$	10,553,339		$	23,435,670		$	14,629		$	13,853,523		$	226,107		$	7,447,795		$	69,561,174
Capital - Units, December 31, 2010		234,956			8,544			93,143			137,017			275			47,642			275			30,769			552,621
Sale of Units		355			—			—			63,367			—			65,759			1,474			29,490			160,445
Redemption of Units		(139,078	)		(5,461	)		(29,063	)		(58,074	)		(158	)		(2,363	)		—			(2,651	)		(236,848	)
Capital - Units, June 30, 2011		96,233			3,083			64,080			142,310			117			111,038			1,749			57,608			476,218
								(1	)								(1	)					(1	)
Net asset value per unit at December 31, 2010	$	132.73					$	153.26		$	153.26					$	117.96					$	121.18
Change in net asset value per unit for three months ended March 31, 2011		15.59						19.28			19.27						13.56						14.51
Net asset value per unit at March 31, 2011	$	148.32					$	172.54		$	172.53					$	131.52					$	135.69
Change in net asset value per unit for three months ended June 30, 2011		(7.80	)					(7.85	)		(7.85	)					(6.76	)					(6.41	)
Net asset value per unit at June 30, 2011	$	140.52					$	164.69		$	164.68					$	124.76					$	129.28

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

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

23

The Frontier Fund

Statements of Changes in Capital

For the Six Months Ended June 30, 2011

	Frontier Masters Series
	(Unaudited)
	Class 1			Class 1			Class 2			Class 2			Non-Controlling Interests
	Managing Owner			Limited Owners			Managing Owner			Limited Owners						Total
Capital (Net Asset Value), December 31, 2010	$	28,315		$	41,185,360		$	696,838		$	24,365,217		$	—		$	66,275,730
Sale of Units		—			6,265,915			—			2,247,586			—			8,513,501
Redemption of Units		—			(11,512,647	)		(100,000	)		(7,061,090	)		—			(18,673,737	)
Change in control of ownership - Trading Companies		—			—			—			—			—			—
Contributions		—			—			—			—			70,000			70,000
Distributions		—			—			—			—			(28,000	)		(28,000	)
Operations attributable to Non-controlling interests		—			—			—			—			(19,390	)		(19,390	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(1,088	)		(1,249,548	)		(19,337	)		(571,396	)		—			(1,841,369	)
Capital (Net Asset Value), June 30, 2011	$	27,227		$	34,689,080		$	577,501		$	18,980,317		$	22,610		$	54,296,735
Capital - Units, December 31, 2010		275			399,994			6,586			230,283			—			637,138
Sale of Units		—			60,692			—			20,995			—			81,687
Redemption of Units		—			(110,323	)		(959	)		(66,342	)		—			(177,624	)
Capital - Units, June 30, 2011		275			350,363			5,627			184,936			—			541,201
					(1	)					(1	)
Net asset value per unit at December 31, 2010				$	102.96					$	105.81
Change in net asset value per unit for three months ended March 31, 2011					0.15						0.61
Net asset value per unit at March 31, 2011				$	103.11					$	106.42
Change in net asset value per unit for three months ended June 30, 2011					(4.10	)					(3.79	)
Net asset value per unit at June 30, 2011				$	99.01					$	102.63

	Balanced Series
	(Unaudited)
	Class 1			Class 1a			Class 2						Class 2a						Class 3a			Non-Controlling Interests
	Limited Owners			Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Limited Owners						Total
Capital (Net Asset Value), December 31, 2010	$	287,807,510		$	5,120,558		$	2,679,852		$	74,035,876		$	165,380		$	3,396,994		$	3,691,280		$	51,529,684		$	428,427,134
Sale of Units		394,527			3,753			—			8,303			—			—			277,000			—			683,583
Redemption of Units		(74,774,088	)		(1,490,027	)		(530,000	)		(9,179,379	)		—			(290,026	)		(701,352	)		—			(86,964,872	)
Change in control of ownership - Trading Companies		—			—			—			—			—			—			—			16,546,859			16,546,859
Contributions		—			—			—			—			—			—			—			45,904,000			45,904,000
Distributions		—			—			—			—			—			—			—			(67,268,928	)		(67,268,928	)
Operations attributable to Non-controlling interests		—			—			—			—			—			—			—			(10,170,829	)		(10,170,829	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(751,209	)		(25,559	)		17,711			538,903			(376	)		(2,184	)		5,458			—			(217,256	)
Capital (Net Asset Value), June 30, 2011	$	212,676,740		$	3,608,725		$	2,167,563		$	65,403,703		$	165,004		$	3,104,784		$	3,272,386		$	36,540,786		$	326,939,691
Capital - Units, December 31, 2010		2,181,233			44,006			16,806			464,304			1,237			25,416			27,616			—			2,760,618
Sale of Units		2,911			31			—			51			—			—			2,026			—			5,019
Redemption of Units		(553,931	)		(12,489	)		(3,260	)		(55,627	)		—			(2,133	)		(5,104	)		—			(632,544	)
Capital - Units, June 30, 2011		1,630,213			31,548			13,546			408,728			1,237			23,283			24,538			—			2,133,093
											(1	)					(1	)
Net asset value per unit at December 31, 2010	$	131.95		$	116.36					$	159.46					$	133.66		$	133.66
Change in net asset value per unit for three months ended March 31, 2011		4.42			3.63						6.56						5.18			5.19
Net asset value per unit at March 31, 2011	$	136.37		$	119.99					$	166.02					$	138.84		$	138.85
Change in net asset value per unit for three months ended June 30, 2011		(5.91	)		(5.60	)					(6.00	)					(5.49	)		(5.49	)
Net asset value per unit at June 30, 2011	$	130.46		$	114.39					$	160.02					$	133.35		$	133.36

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

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

24

The Frontier Fund

Statements of Changes in Capital

For the Six Months Ended June 30, 2011

	Berkeley/Graham/Tiverton Series (2)												Currency 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, 2010	$	61,842,996		$	136,528		$	8,249,804		$	70,229,328		$	6,381,882		$	2,791		$	754,727		$	7,139,400
Sale of Units		47,627			—			—			47,627			30,393			—			—			30,393
Redemption of Units		(14,779,500	)		(120,000	)		(2,593,564	)		(17,493,064	)		(1,102,932	)		—			(621,417	)		(1,724,349	)
Net increase/(decrease) in Owners’ Capital resulting from operations		(4,460,915	)		(7,932	)		(450,781	)		(4,919,628	)		(320,167	)		(114	)		(13,460	)		(333,741	)
Capital (Net Asset Value), June 30, 2011	$	42,650,208		$	8,596		$	5,205,459		$	47,864,263		$	4,989,176		$	2,677		$	119,850		$	5,111,703
Capital - Units, December 31, 2010		559,848			1,036			62,628			623,512			80,694			29			7,909			88,632
Sale of Units		439			—			—			439			395			—			—			395
Redemption of Units		(137,218	)		(966	)		(19,968	)		(158,152	)		(14,340	)		—			(6,599	)		(20,939	)
Capital - Units, June 30, 2011		423,069			70			42,660			465,799			66,749			29			1,310			68,088
								(1	)											(1	)
Net asset value per unit at December 31, 2010	$	110.46					$	131.73					$	79.09					$	95.43
Change in net asset value per unit for three months ended March 31, 2011		(1.83	)					(1.23	)					(3.50	)					(3.55	)
Net asset value per unit at March 31, 2011	$	108.63					$	130.50					$	75.59					$	91.88
Change in net asset value per unit for three months ended June 30, 2011		(7.82	)					(8.48	)					(0.85	)					(0.34	)
Net asset value per unit at June 30, 2011	$	100.81					$	122.02					$	74.74					$	91.54

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

(2) Formerly the Campbell/Graham/Tiverton Series

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

25

The Frontier Fund

Statements of Changes in Capital

For the Six Months Ended June 30, 2011

	Long Only Commodity Series															Managed Futures Index Series
	(Unaudited)															(Unaudited)
	Class 1			Class 2						Class 3 (2)						Class 1			Class 2						Class 3 (3)
	Limited Owners			Managing Owner			Limited Owners			Limited Owners			Total			Limited Owners			Managing Owner			Limited Owners			Limited Owners			Total
Capital (Net Asset Value), December 31, 2010	$	3,348,953		$	51,212		$	793,066		$	—		$	4,193,231		$	1,388,452		$	2,375,149		$	1,396,862		$	—		$	5,160,463
Sale of Units		557			—			—			787,551			788,108			—			—			—			371,833			371,833
Redemption of Units		(1,484,628	)		(10,000	)		(574,000	)		(177,528	)		(2,246,156	)		(919,127	)		(200,000	)		(375,357	)		(2,102	)		(1,496,586	)
Net increase/(decrease) in Owners’ Capital resulting from operations		39,144			312			31,420			(28,293	)		42,583			(93,736	)		(247,018	)		(128,860	)		(32,950	)		(502,564	)
Capital (Net Asset Value), June 30, 2011	$	1,904,026		$	41,524		$	250,486		$	581,730		$	2,777,766		$	375,589		$	1,928,131		$	892,645		$	336,781		$	3,533,146
Capital - Units, December 31, 2010		35,587			494			7,647			—			43,728			11,770			18,314			10,770			—			40,854
Sale of Units		6			—			—			7,297			7,303			—			—			—			2,935			2,935
Redemption of Units		(15,311	)		(97	)		(5,249	)		(1,729	)		(22,386	)		(8,157	)		(1,610	)		(3,036	)		(17	)		(12,820	)
Capital - Units, June 30, 2011		20,282			397			2,398			5,568			28,645			3,613			16,704			7,734			2,918			30,969
								(1	)														(1	)
Net asset value per unit at December 31, 2010 or start of operations	$	94.11					$	103.71		$	103.88					$	117.96					$	129.69		$	126.73
Change in net asset value per unit for three months ended March 31, 2011		5.48						6.58			6.41						(5.46	)					(5.40	)		(2.44	)
Net asset value per unit at March 31, 2011	$	99.59					$	110.29		$	110.29					$	112.50					$	124.29		$	124.29
Change in net asset value per unit for three months ended June 30, 2011		(5.71	)					(5.81	)		(5.81	)					(8.55	)					(8.86	)		(8.87	)
Net asset value per unit at June 30, 2011	$	93.88					$	104.48		$	104.48					$	103.95					$	115.43		$	115.42

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

(2) The Long Only Commodity Series, Class 3 Units began trading operations on January 14, 2011

(3) The Managed Futures Index Series, Class 3 Units began trading operations on January 14, 2011

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

26

The Frontier Fund

Statements of Changes in Capital

For the Six Months Ended June 30, 2011

	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, 2010	$	49,350,981		$	230,781		$	11,137,675		$	60,719,437		$	45,898,246		$	61,691		$	11,550,501		$	5,680,358		$	63,190,796
Sale of Units		140,694			—			—			140,694			67,701			—			—			—			67,701
Redemption of Units		(10,672,302	)		(200,000	)		(239,666	)		(11,111,968	)		(14,634,590	)		—			(4,478,042	)		—			(19,112,632	)
Change in control of ownership - Trading Companies		—			—			—			—			—			—			—			(5,222,639	)		(5,222,639	)
Contributions		—			—			—			—			—			—			—			3,981,000			3,981,000
Distributions		—			—			—			—			—			—			—			(3,968,000	)		(3,968,000	)
Operations attributable to Non-controlling interests		—			—			—			—			—			—			—			(470,719	)		(470,719	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(698,666	)		830			(74,441	)		(772,277	)		(1,644,693	)		(2,202	)		(196,950	)		—			(1,843,845	)
Capital (Net Asset Value), June 30, 2011	$	38,120,707		$	31,611		$	10,823,568		$	48,975,886		$	29,686,664		$	59,489		$	6,875,509		$	—		$	36,621,662
Capital - Units, December 31, 2010		365,451			1,499			72,328			439,278			383,032			428			80,192			—			463,652
Sale of Units		1,044			—			—			1,044			576			—			—			—			576
Redemption of Units		(77,992	)		(1,292	)		(1,551	)		(80,835	)		(122,852	)		—			(30,690	)		—			(153,542	)
Capital - Units, June 30, 2011		288,503			207			70,777			359,487			260,756			428			49,502			—			310,686
							(1)												(1)
Net asset value per unit at December 31, 2010	$	135.04					$	153.99					$	119.83					$	144.04
Change in net asset value per unit for three months ended March 31, 2011		1.36						2.71						(1.16	)					(0.34	)
Net asset value per unit at March 31, 2011	$	136.40					$	156.70					$	118.67					$	143.70
Change in net asset value per unit for three months ended June 30, 2011		(4.27	)					(3.78	)					(4.82	)					(4.80	)
Net asset value per unit at June 30, 2011	$	132.13					$	152.92					$	113.85					$	138.90

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

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

27

The Frontier Fund

Statements of Cash Flows

For the Six Months Ended June 30, 2011 and 2010

	Frontier Diversified Series						Frontier Dynamic Series						Frontier Long/Short Commodity Series
	(Unaudited)						(Unaudited)						(Unaudited)
	6/30/2011			6/30/2010			6/30/2011			6/30/2010			6/30/2011			6/30/2010
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(1,836,917	)	$	1,599,776		$	(26,105	)	$	(18,773	)	$	5,954,872		$	(6,428,735	)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in open trade equity, at fair value		—			—			—			—			—			(518,490	)
Net change in ownership allocation of U.S. Treasury Securities		(948,162	)		(5,321,671	)		(49,866	)		133,885			(2,268,400	)		1,066,124
Net change in ownership allocation of custom time deposits		(4,357,748	)		(35,096,084	)		(814,895	)		(1,278,611	)		(13,610,951	)		(116,714	)
Net change in ownership allocation of credit default swaps		(69,853	)		—			(8,778	)		—			7,993			—
Net realized (gain) on swap contracts		308,941			—			—			—			—			—
Net unrealized (gain)/loss on swap contracts		388,618			397,909			141,844			203,012			31,394			—
Net unrealized (gain)/loss on U.S. Treasury securities		(19,090	)		(337,411	)		(1,526	)		(80,601	)		(5,776	)		(230,462	)
(Purchases) sales of:
Sales of swap contracts		1,933,000			—			—			—			—			—
(Purchases) of swap contracts		(45,928	)		—			(13,076	)		—			(78,248	)		—
Sales of custom time deposits		2,045,135			—			1,141,543			—			2,703,479			—
Increase and/or decrease in:
Receivable from futures commission merchants		—			—			—			—			—			23,781,708
Change in control of ownership - trading companies		—			172,237			—			—			—			(8,620,657	)
Distributions from trading companies		—			(15,232	)		—			—			—			—
Investments in unconsolidated trading companies, at fair value		22,114,194			(11,853,013	)		—			—			22,849,885			(10,067,859	)
Prepaid service fees - Class 1		78,829			(110,586	)		4,196			(3,445	)		(91,840	)		23,159
Interest receivable		(12,616	)		(73,105	)		(587	)		1,918			(30,674	)		14,846
Receivable from related parties		90,000			(123,039	)		—			(29	)		(15,000	)		—
Other assets		60			(223	)		5			(151	)		212			(933	)
Inter-series payables/receivables, at fair value		—			(10,962,073	)		(279,485	)		(259,657	)		—			—
Incentive fees payable to Managing Owner		(158,166	)		645,380			—			—			(902,999	)		293,549
Management fees payable to Managing Owner		16,469			20,424			—			—			(283,017	)		43,697
Interest payable to Managing Owner		(4,665	)		20,871			(371	)		2,856			(9,347	)		9,840
Trading fees payable to Managing Owner		(46,015	)		79,346			(4,545	)		11,983			(35,908	)		13,590
Trailing service fees payable to Managing Owner		17,675			848			596			30			(33,144	)		14,731
Payables to related parties		(41,682	)		2,830			(6,585	)		—			(6,777	)		(34,589	)
Other liabilities		59,138			(3,630	)		6,391			(1,284	)		(9,860	)		(2,961	)
Net cash provided by (used in) operating activities		19,511,217			(60,956,446	)		88,756			(1,288,867	)		14,165,894			(760,156	)
Cash Flows from Financing Activities:
Proceeds from sale of units		30,904,201			63,320,189			197,700			875,367			23,492,989			8,504,452
Payment for redemption of units		(51,520,174	)		(1,424,492	)		(291,840	)		(62,974	)		(37,070,127	)		(9,755,119	)
Pending owner additions		21,425			56,269			(70,000	)		—			48,433			18,500
Owner redemptions payable		88,386			129,200			(28,323	)		—			(12,179	)		76,745
Net cash provided by (used in) financing activities		(20,506,162	)		62,081,166			(192,463	)		812,393			(13,540,884	)		(1,155,422	)
Net Increase (Decrease) in cash and cash equivalents		(994,945	)		1,124,720			(103,707	)		(476,474	)		625,010			(1,915,578	)
Cash and cash equivalents, beginning of year or period		4,647,422			8,738,002			498,048			2,262,363			1,114,912			6,658,536
Cash and cash equivalents, end of year or period	$	3,652,477		$	9,862,722		$	394,341		$	1,785,889		$	1,739,922		$	4,742,958

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

28

The Frontier Fund

Statements of Cash Flows

For the Six Months Ended June 30, 2011 and 2010

	Frontier Master Series						Balanced Series						Berkeley/Graham/Tiverton Series (1)
	(Unaudited)						(Unaudited)						(Unaudited)
	6/30/2011			6/30/2010			6/30/2011			6/30/2010			6/30/2011			6/30/2010
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(1,860,759	)	$	(39,971	)	$	(10,388,085	)	$	8,399,706		$	(4,919,628	)	$	(2,530,477	)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in open trade equity, at fair value		172,909			—			26,989,391			(600,981	)		—			(61,527	)
Net change in ownership allocation of U.S. Treasury Securities		(3,490,003	)		(3,426,190	)		1,143,637			3,335,517			1,482,808			2,073,095
Net change in ownership allocation of custom time deposits		(19,632,715	)		(21,480,531	)		5,131,352			(2,839,334	)		6,303,604			4,886,654
Net change in ownership allocation of credit default swaps		(37,882	)		—			14,203			—			26,540			—
Net unrealized (gain)/loss on swap contracts		1,636,815			(179,736	)		8,846,752			(1,295,848	)		21,451			—
Net realized (gain)/loss on swap contracts		(2,070,356	)		—			(6,689,123	)		—			—			—
Net unrealized (gain)/loss on U.S. Treasury securities		(12,484	)		(171,146	)		(10,621	)		(823,096	)		2,524			(197,389	)
Net realized (gain) on U.S. Treasury securities		—			—			—			—			—			—
Net realized (gain)/loss on investment in Berkeley Quantitative Colorado Fund, LLC		—			—			—			—			135,775			—
Net unrealized (gain)/loss on investment in Berkeley Quantitative Colorado Fund, LLC		—			—			—			—			1,665,279			—
(Purchases) sales of:
Sales of swap contracts		26,826,316			—			19,954,983			—			—			—
(Purchases) of swap contracts		(142,819	)		(151,286	)		(217,290	)		—			(71,712	)		—
Sales of custom time deposits		1,330,929			—			6,948,011			—			3,307,139			—
(Purchases) of custom time deposits		—			—			—			—			—			—
Sale of Berkeley Quantitative Colorado Fund, LLC		—			—			—			—			1,512,397			—
Increase and/or decrease in:
Receivable from futures commission merchants		(2,419,045	)		—			3,836,389			2,410,054			—			(9,856,890	)
Change in control of ownership - trading companies		—			—			16,546,859			4,310,817			—			1,821,713
Contributions to trading companies		70,000			—			45,904,000			75,944			—			700,000
Distributions from trading companies		(28,000	)		—			(67,268,928	)		(1,782	)		—			—
Investments in unconsolidated trading companies, at fair value		10,240,978			(2,979,044	)		30,249,618			(11,003,570	)		8,076,259			5,702,989
Inter-series payables/receivables, at fair value		(47,518	)		2,350			802,725			10,712,637			—			—
Prepaid service fees - Class 1		81,225			(68,338	)		3			487,875			16			65,009
Interest receivable		15			(47,105	)		16,510			46,539			20,493			29,388
Receivable from related parties		—			147,369			—			296,789			—			(86	)
Other assets		—			(114	)		524			(20,330	)		136			(494	)
Incentive fees payable to Managing Owner		(229,686	)		54,614			1,156,114			2,189,088			(270,557	)		—
Management fees payable to Managing Owner		7,648			(5,051	)		(69,255	)		(167,653	)		(58,824	)		40,927
Interest payable to Managing Owner		10,154			11,046			(52,030	)		47,496			(37,376	)		12,313
Trading fees payable to Managing Owner		(25,472	)		86,933			(47,929	)		(82,081	)		(10,035	)		2,385
Trailing service fees payable to Managing Owner		7,866			866			(63,864	)		186,841			(43,880	)		25,905
Payables to related parties		(112,852	)		—			852,757			(209,668	)		(9,452	)		(77,304	)
Other liabilities		17,342			(1,863	)		1,716			(4,933	)		5,337			(334	)
Net cash provided by (used in) operating activities		10,292,606			(28,247,197	)		83,588,419			15,450,027			17,138,294			2,635,877
Cash Flows from Financing Activities:
Proceeds from sale of units		8,513,501			29,784,111			683,583			2,831,506			47,627			67,704
Payment for redemption of units		(18,673,737	)		(671,663	)		(86,964,872	)		(21,974,282	)		(17,493,064	)		(5,528,671	)
Pending owner additions		(117,500	)		(1,062,169	)		—			—			—			—
Owner redemptions payable		(98,648	)		—			722,074			(405,418	)		94,417			5,791
Net cash provided by (used in) financing activities		(10,376,384	)		28,050,279			(85,559,215	)		(19,548,194	)		(17,351,020	)		(5,455,176	)
Net Increase (Decrease) in cash and cash equivalents		(83,778	)		(196,918	)		(1,970,796	)		(4,098,167	)		(212,726	)		(2,819,299	)
Cash and cash equivalents, beginning of year or period		1,207,290			5,568,831			5,375,950			22,402,584			1,341,151			7,476,636
Cash and cash equivalents, end of year or period	$	1,123,512		$	5,371,913		$	3,405,154		$	18,304,417		$	1,128,425		$	4,657,337

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

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

29

The Frontier Fund

Statements of Cash Flows

For the Six Months Ended June 30, 2011 and 2010

	Currency Series						Long Only Commodity Series						Managed Futures Index Series
	(Unaudited)						(Unaudited)						(Unaudited)
	6/30/2011			6/30/2010			6/30/2011			6/30/2010			6/30/2011			6/30/2010
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(333,741	)	$	240,117		$	42,583		$	(442,629	)	$	(502,564	)	$	125,175
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in open trade equity, at fair value		24,339			(14,091	)		—			—			—			—
Net change in ownership allocation of U.S. Treasury Securities		334,676			634,025			98,082			116,304			151,021			(121,935	)
Net change in ownership allocation of custom time deposits		1,325,038			1,694,679			485,872			227,162			770,357			(972,933	)
Net change in ownership allocation of credit default swaps		9,958			—			5,282			—			(228	)		—
Net unrealized (gain)/loss on swap contracts		506,945			(553,120	)		1,699			—			2,124			—
Net realized (gain)/loss on swap contracts		—			—			(68,672	)		431,581			—			—
Net unrealized (gain)/loss on U.S. Treasury securities		(326	)		(65,208	)		129			(15,678	)		(601	)		(4,545	)
(Purchases) sales of:
Sales of swap contracts		—			—			1,153,945			41,605			—			—
(Purchases) of swap contracts		(23,489	)		—			(494,795	)		(306,023	)		(3,811	)		—
Sales of custom time deposits		931,249			—			154,160			—			178,269			—
Increase and/or decrease in:
Receivable from futures commission merchants		(550,542	)		(543,300	)		—			—			—			—
Investments in unconsolidated trading companies, at fair value		—			—			—			—			521,287			(717,245	)
Prepaid service fees - Class 1		—			2,852			—			1,065			—			3,350
Interest receivable		4,631			8,749			1,356			1,603			2,071			(1,497	)
Receivable from related parties		—			—			(3	)		—			1,438			98
Other assets		(167	)		(1,414	)		61			(61	)		—			(76	)
Inter-series payables/receivables, at fair value		(523,240	)		506,743			—			—			—			—
Management fees payable to Managing Owner		(1,307	)		1,135			(1,351	)		(903	)		(3,034	)		3,151
Interest payable to Managing Owner		(4,302	)		2,610			(434	)		(225	)		(629	)		(1,318	)
Trading fees payable to Managing Owner		(1,557	)		371			(587	)		(364	)		(632	)		661
Trailing service fees payable to Managing Owner		(3,680	)		(1,399	)		(2,296	)		(397	)		(1,490	)		726
Payables to related parties		(5,243	)		60,420			(90	)		79,851			—			(14,235	)
Other liabilities		4,962			963			88			(133	)		14			(181	)
					—
Net cash provided by (used in) operating activities		1,694,204			1,974,132			1,375,029			132,758			1,113,592			(1,700,804	)
Cash Flows from Financing Activities:
Proceeds from sale of units		30,393			34,112			788,108			465			371,833			2,000,000
Payment for redemption of units		(1,724,349	)		(2,700,272	)		(2,246,156	)		(500,708	)		(1,496,586	)		(200,290	)
Pending owner additions		—			—			—			—			(1,440	)		—
Redemptions payable		(33,244	)		3,857			—			—			46,552			—
Net cash provided by (used in) financing activities		(1,727,200	)		(2,662,303	)		(1,458,048	)		(500,243	)		(1,079,641	)		1,799,710
Net Increase (Decrease) in cash and cash equivalents		(32,996	)		(688,171	)		(83,019	)		(367,485	)		33,951			98,906
Cash and cash equivalents, beginning of year or period		275,485			2,043,698			175,096			691,771			196,091			378,445
Cash and cash equivalents, end of year or period	$	242,489		$	1,355,527		$	92,077		$	324,286		$	230,042		$	477,351

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

30

The Frontier Fund

Statements of Cash Flows

For the Six Months Ended June 30, 2011 and 2010

	Winton Series						Winton/Graham Series
	(Unaudited)						(Unaudited)
	6/30/2011			6/30/2010			6/30/2011			6/30/2010
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(772,277	)	$	4,632,967		$	(2,314,564	)	$	(268,188	)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in open trade equity, at fair value		—			—			1,427,138			1,232,146
Net change in ownership allocation of U.S. Treasury Securities		1,326,256			817,344			2,475,764			989,193
Net change in ownership allocation of custom time deposits		5,938,578			(1,195,642	)		11,755,693			82,294
Net change in ownership allocation of credit default swaps		26,825			—			24,208			—
Net unrealized (gain)/loss on swap contracts		27,842			—			20,249			—
Net unrealized (gain) loss on U.S. Treasury Securities, at fair value		(5,818	)		(220,953	)		3,236			(207,935	)
(Purchases) sale of:
Sales of swap contracts		—			—			—			—
(Purchases) of swap contracts		(83,357	)		—			(64,011	)		—
Sales of custom time deposits		2,990,284						3,269,803
Increase and/or decrease in:
Receivable from futures commission merchants		—			—			11,090,076			433,654
Change in control of ownership of trading companies		—			—			(5,222,639	)		(358,030	)
Contributions to trading companies		—			—			3,981,000			600,000
Distributions from trading companies		—			—			(3,968,000	)		—
Investments in unconsolidated trading companies, at fair value		1,086,670			(2,213,404	)		(2,952,659	)		(1,115,530	)
Prepaid service fees - Class 1		—			—			—			105,448
Interest receivable		18,289			11,447			34,016			13,734
Receivable from related parties		—			—			—			470
Other assets		2			(466	)		111			(501	)
Incentive fees payable to Managing Owner		(467,341	)		—			(623,629	)		—
Management fees payable to Managing Owner		(60,664	)		28,440			(66,706	)		31,962
Interest payable to Managing Owner		(19,498	)		17,709			(34,398	)		11,550
Trading fees payable to Managing Owner		(5,475	)		3,416			(9,006	)		4,083
Trailing service fees payable to Managing Owner		(21,579	)		17,430			(34,996	)		31,390
Payables to related parties		(24,630	)		(116,199	)		(12,058	)		(3,381	)
Other liabilities		19,316			(555	)		8,099			(903	)
Net cash provided by (used in) operating activities		9,973,423			1,781,534			18,786,727			1,581,456
Cash Flows from Financing Activities:
Proceeds from sale of units		140,694			133,403			67,701			72,532
Payment for redemption of units		(11,111,968	)		(3,076,640	)		(19,112,632	)		(3,589,940	)
Pending owner additions		—			—			—			—
Owner redemptions payable		37,766			33,420			(51,007	)		—
Net cash provided by (used in) financing activities		(10,933,508	)		(2,909,817	)		(19,095,938	)		(3,517,408	)
Net Increase (Decrease) in cash and cash equivalents		(960,085	)		(1,128,283	)		(309,211	)		(1,935,952	)
Cash and cash equivalents, beginning of year or period		1,808,624			5,821,196			1,352,481			5,982,543
Cash and cash equivalents, end of year or period	$	848,539		$	4,692,913		$	1,043,270		$	4,046,591

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

31

The Frontier Fund

Notes to Financial Statements (Unaudited)

1. Organization

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

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

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

The Trust has eleven (11) separate and distinct Series of Units issued and outstanding: Frontier Diversified Series, Frontier Dynamic Series (closed to outside investors effective July 15, 2011 and existing outside investors liquidated as of July 15, 2011), Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series, Berkeley/Graham/Tiverton Series (formerly 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 Trust, with respect to each Series:

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

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

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

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

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

32

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

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

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

As of June 30, 2011, 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. 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 the Long Only Commodity Series which allocates 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. Each of the Frontier Diversified Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series, Berkeley/Graham/Tiverton Series, and Winton/Graham Series have invested a portion of its assets in several different Trading Companies and have multiple Trading Advisors that manage the assets invested in such Trading Companies.

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

2. Significant Accounting Policies

The following are the significant accounting policies of the Trust.

Basis of Presentation—The Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) is now FASB’s officially recognized source of authoritative U.S. generally accepted accounting principles (“GAAP”) applicable to all public and non-public non-governmental entities, superseding FASB, American Institute of Certified Public Accountants, Emerging Issues Task Force and related literature. Rules and interpretive releases of the SEC under the authority of federal securities laws are also sources of authoritative GAAP for Securities and Exchange Commission (“SEC”) registrants. All other accounting literature is considered non-authoritative. Existing GAAP prior to the effective date of the ASC was not altered in compilation of the ASC. Citing particular content in the ASC involves specifying the unique numeric path to the content through the Topic, Subtopic, Section and Paragraph structure.

These financial statements should be read in conjunction with the audited financial statements and notes thereto included in our 2010 Annual Report on Form 10-K as filed with the SEC.

33

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

Investments in Trading Companies in which a Series does not have a controlling or majority interest are carried in the statements of financial condition of such Series using the equity method of accounting, which approximates fair value. Fair value represents the proportionate share of the Series interest in the NAV in a Trading Company.

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

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

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

The 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, and Frontier Trading Company XV, LLC. Also included in the financial statements of the Balanced Series are the assets and liabilities of its majority owned Trading Company; Frontier Trading Company XIV, LLC, as well as the earnings of Trading Company VI through April 28, 2011 and the earnings of Trading Company XIV, LLC from June 20, 2011 through June 30, 2011.

The Berkeley/Graham/Tiverton Series has an investment in the Berkeley Quantitative Colorado Fund, LLC. The Berkeley Quantitative Colorado Fund, LLC is not consolidated into the financial statements of the Berkeley/Graham/Tiverton Series because the Trust has no control or transparency over the operations of the Trading Company. This investment is on the statements of financial condition as investment in Berkeley Quantitative Colorado Fund, LLC and any changes in fair value are shown on the statements of operations as net unrealized gain/(loss) on investment in Berkeley Quantitative Colorado Fund, LLC.

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

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

The financial statements of the Winton/Graham Series include the earnings of Frontier Trading Company V, LLC through June 17, 2011.

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

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

Interest Income—Aggregate interest income from all sources, including assets held at Futures Commission Merchants (“FCM”), up to two percentage points of the aggregate percentage yield (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Berkeley/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.

34

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

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

Custom Time Deposits—Custom time deposits are structured deposit agreements with U.S. Bank National Association that earn a guaranteed fixed interest rate between 2.17% and 3.75% , mature nine months from the deposit date and are subject to automatic six-month rollovers through October 2013. Custom time deposits were purchased on September 15, 2009, October 21, 2008 and October 30, 2008. Interest is paid monthly or at least every nine months. Unscheduled withdrawals will be subject to certain penalties and other costs of up to 1.0% of the amount deposited if withdrawn within the first nine months from the deposit date. The withdrawal fee is set at 0.225% for the period from nine months to one year subsequent to the deposit date and decreases by .05% increments for each year thereafter through the maturity date. Custom time deposits are allocated to each Series based on their percentage ownership in the pooled cash management assets as of the reporting date. The Trust values the custom time deposits at face value plus accrued interest as it is considered a deposit account under paragraph 7.50 of theInvestment Company Audit Guide, and accordingly, this deposit is not subject to ASC 820.

Credit Default Swaps—The Trust invests in credit default swaps for the purpose of transferring part of the risk of concentration of deposits with U.S. Bank National Association to other major financial institutions. See Note 4. Credit Default Swaps are allocated to each Series based on their percentage ownership in the pooled cash management assets as of the reporting date. Credit Default Swaps are reported at fair value based upon daily valuations provided by a third party pricing service. The Series record the daily change in fair value in the statements of operations as net unrealized gain/(loss) on swap contracts.

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

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

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

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

Each Series allocates funds to an affiliated Trading Company, or Companies, of the Trust. Each Trading Company allocates all of its daily trading gains or losses to the Series in proportion to each Series’ ownership interest in the Trading Company, adjusted on a daily basis. As of June 30, 2011, the value of all open contracts and cash held at clearing brokers is similarly allocated to the Series in proportion to each Series’ funds allocated to the Trading Company, or Companies.

Inter-Series Receivables/Payables—The Balanced Series, for the purposes of diversification of investments and trading advisors through the other Series’ access to trading companies in which the Balanced Series does not have a direct interest, has advanced funds to the Currency Series and the Frontier Dynamic Series. The amount of the funds advanced by the Balanced Series to each of the Currency Series and the Frontier Dynamic Series participates on apari passu basis with 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

35

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. 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. 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 statements of financial condition. Income and expense items denominated in currencies other than the U.S. Dollar are translated into U.S. Dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. Dollars are reported in net realized gain/loss on investments.

Investments and Swaps— The Trust records investment transactions on a trade date basis and all investments are recorded at fair value in its financial statements, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the statements of operations. Certain Series of the Trust strategically invest a portion or all of their assets in total return Swaps, selected at the discretion of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more underlying investment products or indices. In a typical Swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. The valuation of swap contracts requires significant estimates. Swap contracts utilizing Level 2 inputs 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. Swap Contracts are reported at fair value based upon a daily range of valuations provided by a third party pricing service and corroborated by weekly counterparty settlement values. The third party pricing service utilizes a Black Scholes pricing model with input adjustments factoring in volatility and liquidity of the instruments. All valuation processes are monitored by the valuation committee of the Managing Owner.

Income Taxes—The Trust applies the provisions of ASC 740Income Taxes(“ASC 740”), which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This interpretation also provides guidance on derecognition, classification, interest and penalties, accounting in interim periods and disclosure. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trust’s financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Trust’s level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The Managing Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust for the years ended December 31, 2010, December 31, 2009 and December 31, 2008. The 2008 through 2010 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

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

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

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

36

the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series for administrative purposes. The Managing Owner may also pay Selling Agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such Selling Agents.

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

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

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

Recently Issued Accounting Pronouncements—In May 2011, the FASB issued ASU No. 2011-04 which provides guidance pertaining to fair value measurement that included a common definition of fair value and information to assist reporting entities to measure and disclose fair value with regards to U.S. GAAP and International Financial Reporting Standards (“IFRS”) convergence issues. This guidance becomes effective for interim and annual periods beginning on or after December 15, 2011, with early adoption prohibited. We are currently evaluating the impact that this accounting guidance may have on the Trust’s statement of financial condition, results of operations or cash flows.

Reclassification—Certain amounts in the 2010 financial statements have been reclassified to conform to the 2011 presentation. None of the reclassifications had an impact of the NAV of any of the Series.

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

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.

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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 positions (trading options) that are quoted prices for identical or similar assets that are not traded on active markets. Trading options are reported at fair value using Level 2 inputs.

Swap Contracts. Certain Series of the Trust strategically invest a portion or all of their assets in total return Swaps, selected at the direction of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical Swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. The valuation of swap contracts requires significant estimates. 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. Swap contacts utilizing Level 2 inputs 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 daily valuations provided by a third party pricing service and corroborated by weekly counterparty settlement values. The third party pricing service utilizing a Black Scholes pricing model with input adjustments factoring in volatility and liquidity of the instruments. Prior to December 23, 2010, these Swap Contracts were reported at fair value based upon returns/values that were provided on less than a daily frequency from the swap counterparty, requiring additional internal financial modeling to develop pricing.

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 the underlying positions of the Trading Companies. As such, the Series report investments in unconsolidated Trading Companies at fair value using the corresponding inputs of the underlying securities of the Trading Companies which results in the Series reporting the corresponding Level determination from the inputs of the Trading Company.

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

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. Inter-Series receivables and payables are reported at fair value 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 June 30, 2011 and December 31, 2010, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

									Total
June 30, 2011	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Fair Value
Frontier Diversified Series
Swap Contracts		—			—			8,893,127		8,893,127
Investment in Unconsolidated Trading Companies		24,323,597			1,491,913			7,010,390		32,825,901
U.S. Treasury Securities		14,587,982			—			—		14,587,982
Frontier Dynamic Series
Swap Contracts		—			—			10,836,782		10,836,782
U.S. Treasury Securities		2,847,902			—			—		2,847,902
Inter-Series Payables		28,040,798			—			—		28,040,798
Frontier Long/Short Commodity Series
Swap Contracts		—			—			38,861		38,861
Investment in Unconsolidated Trading Companies		8,136,152			633,031			1,345,380		10,114,563
U.S. Treasury Securities		9,075,211			—			—		9,075,211
Frontier Masters Series
Open Trade Equity (Deficit)		(172,909	)		—			—		(172,909	)
Swap Contracts		—			—			30,172		30,172
Investment in Unconsolidated Trading Companies		5,309,586			371,094			—		5,680,680
U.S. Treasury Securities		7,046,041			—			—		7,046,041
Balanced Series
Open Trade Equity (Deficit)		(2,886,971	)		1,987,790			—		(899,181	)
Swap Contracts		—			—			27,901,937		27,901,937
Investment in Unconsolidated Trading Companies		11,132,105			690,655			—		11,822,760
U.S. Treasury Securities		26,120,481			—			—		26,120,481
Inter-Series Receivables		40,334,333			—			—		40,334,333
Berkeley/Graham/Tiverton Series
Swap Contracts		—			—			23,721		23,721
Investment in Unconsolidated Trading Companies		4,053,303			536,309			—		4,589,612
Investment in Berkeley Quantitative Colorado Fund, LLC		—			6,843,648			—		6,843,648
U.S. Treasury Securities		5,539,497			—			—		5,539,497
Currency Series
Open Trade Equity (Deficit)		(18,415	)		21,174			—		2,759
Swap Contracts		—			—			5,175,354		5,175,354
U.S. Treasury Securities		1,675,323			—			—		1,675,323
Inter-Series Payables		12,293,535			—			—		12,293,535
Long Only Commodity Series
Swap Contracts		—			191,658			1,679		193,337
U.S. Treasury Securities		387,330			—			—		387,330
Managed Futures Index Series
Swap Contracts		—			—			1,915		1,915
Investment in Unconsolidated Trading Companies		471,550			—			—		471,550
U.S. Treasury Securities		447,280			—			—		447,280
Winton Series
Swap Contracts		—			—			28,690		28,690
Investment in Unconsolidated Trading Companies		5,137,145			(908	)		—		5,136,237
U.S. Treasury Securities		6,700,071			—			—		6,700,071
Winton/Graham Series
Open Trade Equity		—			—			—		—
Swap Contracts		—			—			19,554		19,554
Investment in Unconsolidated Trading Companies		6,336,312			(402	)		—		6,335,910
U.S. Treasury Securities		4,566,351			—			—		4,566,351

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								Total
December 31, 2010	Level 1 Inputs		Level 2 Inputs			Level 3 Inputs		Fair Value
Frontier Diversified Series
Swap Contracts		—		—			11,407,905		11,407,905
Investment in Unconsolidated Trading Companies		36,804,536		5,737,148			12,398,412		54,940,095
U.S. Treasury Securities		13,620,730		—			—		13,620,730
Frontier Dynamic Series
Swap Contracts		—		—			10,956,772		10,956,772
U.S. Treasury Securities		2,796,510		—			—		2,796,510
Inter-Series Payables		28,320,283		—			—		28,320,283
Frontier Long/Short Commodity Series
Investment in Unconsolidated Trading Companies		31,804,854		596,889			562,705		32,964,448
U.S. Treasury Securities		6,801,035		—			—		6,801,035
Frontier Masters Series
Swap Contracts		—		—			26,242,246		26,242,246
Investment in Unconsolidated Trading Companies		13,705,024		2,216,634			—		15,921,658
U.S. Treasury Securities		3,543,554		—			—		3,543,554
Balanced Series
Open Trade Equity		1,724,008		24,366,202			—		26,090,210
Swap Contracts		—		—			49,811,462		49,811,462
Investment in Unconsolidated Trading Companies		41,577,810		494,568			—		42,072,378
U.S. Treasury Securities		27,253,497		—			—		27,253,497
Inter-Series Receivables		41,137,058		—			—		41,137,058
Campbell/Graham/Tiverton Series
Investment in Unconsolidated Trading Companies		9,244,073		3,421,798			—		12,665,871
Investment in Berkeley Quantitative Colorado Fund, LLC		—		10,157,099			—		10,157,099
U.S. Treasury Securities		7,024,829		—			—		7,024,829
Currency Series
Open Trade Equity		28,390		(1,292	)		—		27,098
Swap Contracts		—		—			5,668,768		5,668,768
U.S. Treasury Securities		2,009,673		—			—		2,009,673
Inter-Series Payables		12,816,775		—			—		12,816,775
Long Only Commodity Series
Swap Contracts		—		790,796			—		790,796
U.S. Treasury Securities		485,541		—			—		485,541
Managed Futures Index Series
Investment in Unconsolidated Trading Companies		992,837		—			—		992,837
U.S. Treasury Securities		597,700		—			—		597,700
Winton Series
Investment in Unconsolidated Trading Companies		6,224,743		(1,836	)		—		6,222,907
U.S. Treasury Securities		8,020,509		—			—		8,020,509
Winton/Graham Series
Open Trade Equity		1,427,138		—			—		1,427,138
Investment in Unconsolidated Trading Companies		3,384,249		(998	)		—		3,383,251
U.S. Treasury Securities		7,045,351		—			—		7,045,351

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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 six months ended June 30, 2011, all identified Level 3 assets are components of the Frontier Diversified Series, Frontier Dynamic Series, Frontier Masters Series, Balanced Series and the Currency Series.

	Frontier Diversified Series			Frontier Dynamic Series			Frontier Long/Short Commodity Series			Frontier Masters Series
	For The Six Months Ended June 30, 2011			For The Six Months Ended June 30, 2011			For The Six Months Ended June 30, 2011			For The Six Months Ended June 30, 2011
Balance of recurring Level 3 assets as of January 1, 2011	$	23,806,317		$	10,956,772		$	562,870		$	26,242,246
Total gains or losses (realized/unrealized):
Included in earnings-realized		(308,941	)		—			—			2,070,356
Included in earnings-unrealized		(388,618	)		(141,844	)		(31,394	)		(1,636,815	)
Purchases of investments		45,928			13,076			78,248			142,819
Proceeds from sales of investments		(1,933,000	)		—			—			(26,826,316	)
Change in ownership allocation of credit default swaps		69,853			8,778			(7,993	)		37,882
Change in unrealized in investment of unconsolidated trading companies		1,972,226			—			944,779			—
Proceeds from sales of investments of unconsolidated trading companies		(5,521,512	)		—			(1,059,646	)		—
Change in other activity in investment of unconsolidated trading companies		(1,838,736	)		—			897,377			—
Transfers in and/or out of Level 3		—			—			—			—
Balance of recurring Level 3 assets as of June 30, 2011	$	15,903,517		$	10,836,782		$	1,384,241		$	30,172
	Balanced Series			Berkeley/ Graham/ Tiverton Series			Currency Series			Long Only Commodity Series
	For The Six Months Ended June 30, 2011			For The Six Months Ended June 30, 2011			For The Six Months Ended June 30, 2011			For The Six Months Ended June 30, 2011
Balance of recurring Level 3 assets as of January 1, 2011	$	49,811,462		$	—		$	5,668,768		$	—
Total gains or losses (realized/unrealized):
Included in earnings-realized		6,689,123			—			—			—
Included in earnings-unrealized		(8,846,752	)		(21,451	)		(506,945	)		2,322
Purchases of investments		217,290			71,712			23,489			4,639
Proceeds from sales of investments		(19,954,983	)		—			—			—
Change in ownership allocation of credit default swaps		(14,203	)		(26,540	)		(9,958	)		(5,282	)
Transfers in and/or out of Level 3		—			—			—			—
Balance of recurring Level 3 assets as of June 30, 2011	$	27,901,937		$	23,721		$	5,175,354		$	1,679

	Managed Futures Index Series			Winton Series			Winton/ Graham Series
	For The Six Months Ended June 30, 2011			For The Six Months Ended June 30, 2011			For The Six Months Ended June 30, 2011
Balance of recurring Level 3 assets as of January 1, 2011	$	—		$	—		$	—
Total gains or losses (realized/unrealized):
Included in earnings-realized		—			—			—
Included in earnings-unrealized		(2,124	)		(27,842	)		(20,249	)
Purchases of investments		3,811			83,357			64,011
Proceeds from sales of investments		—			—			—
Change in ownership allocation of credit default swaps		228			(26,825	)		(24,208	)
Transfers in and/or out of Level 3		—			—			—
Balance of recurring Level 3 assets as of June 30, 2011	$	1,915		$	28,690		$	19,554

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	Frontier Diversified Series		Frontier Dynamic Series		Frontier Long/Short Commodity Series
	For The Year Ended December 31, 2010		For The Year Ended December 31, 2010		For The Year Ended December 31, 2010
Balance of recurring Level 3 assets as of January 1, 2010	$	11,091,045	$	10,027,253	$	—
Total gains or losses (realized/unrealized):
Included in earnings-realized		—		—		—
Included in earnings-unrealized		416,156		929,519		—
Purchases, sales, issuances, and settlements, net		2,441,110		—		—
Net change in investment of unconsolidated trading companies		9,858,006		—		562,870
Transfers in and/or out of Level 3		—		—		—
Balance of recurring Level 3 assets as of December 31, 2010	$	23,806,317	$	10,956,772	$	562,870
	Frontier Masters Series		Balanced Series		Currency Series
	For The Year Ended December 31, 2010		For The Year Ended December 31, 2010		For The Year Ended December 31, 2010
Balance of recurring Level 3 assets as of January 1, 2010	$	15,972,156	$	41,020,535	$	4,992,959
Total gains or losses (realized/unrealized):
Included in earnings-realized		—		—		—
Included in earnings-unrealized		3,474,611		8,790,927		675,809
Purchases, sales, issuances, and settlements, net		6,795,479		—		—
Transfers in and/or out of Level 3		—		—		—
Balance of recurring Level 3 assets as of December 31, 2010	$	26,242,246	$	49,811,462	$	5,668,768

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4. Swaps

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

Each Series invests in Credit Default Swaps (“CDS”) with highly-rated counterparties as part of its portfolio. CDSs are over-the-counter investment instruments designed to hedge counterparty risk and generally pay upon the happening of a credit default of a counterparty. The CDS are allocated to each Series based on their percentage ownership in the pooled cash management assets at U.S. Bank National Association as of the reporting date. Approximately 23% of the Trust’s U.S. Bank National Association exposure is risk-hedged in this manner with BNP Paribas through March 20, 2012, and 15% with Societe Generale expiring from December 20, 2011 through March 20, 2012.

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

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of June 30, 2011, approximately 7.2% 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 and the Frontier Dynamic 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 Thompson 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.

43

The Trust has invested in the following Swaps as of June 30, 2011:

	Frontier Diversified Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap			Option Basket
Counterparty		BNP Paribas			Societe Generale			Societe Generale			Company D
Notional Amount	$	42,411		$	12,238		$	7,818		$	7,437,929
Termination Date		3/20/2012			3/20/2012			12/20/2011			6/6/2014
Investee Returns		Total Returns			Total Returns			Total Returns			Total Returns
Realized Gain/(Loss)	$	—		$	—		$	—		$	(308,941	)
Unrealized Gain/(Loss)	$	(33,433	)	$	(9,670	)	$	(10,212	)	$	(335,303	)
Fair Value as of 6/30/2011	$	42,411		$	12,238		$	7,818		$	8,830,660
	Frontier Dynamic Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap			Option Basket
Counterparty		BNP Paribas			Societe Generale			Societe Generale			Company E
Notional Amount	$	8,280		$	2,389		$	1,526		$	27,161,769
Termination Date		3/20/2012			3/20/2012			12/20/2011			6/6/2014
Investee Returns		Total Returns			Total Returns			Total Returns			Total Returns
Realized Gain/(Loss)	$	—		$	—		$	—		$	—
Unrealized Gain/(Loss)	$	(5,827	)	$	(1,822	)	$	(2,009	)	$	(132,186	)
Fair Value as of 3/31/2011	$	8,280		$	2,389		$	1,526		$	10,824,587

	Frontier Long/Short Commodity Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale			Societe Generale
Notional Amount	$	26,385		$	7,613		$	4,863
Termination Date		3/20/2012			3/20/2012			12/20/2011
Investee Returns		Total Returns			Total Returns			Total Returns
Realized Gain/(Loss)	$	—		$	—		$	—
Unrealized Gain/(Loss)	$	(18,345	)	$	(6,402	)	$	(6,647	)
Fair Value as of 6/30/2011	$	26,385		$	7,613		$	4,863
	Frontier Masters Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale			Societe Generale
Notional Amount	$	20,485		$	5,911		$	3,776
Termination Date		3/20/2012			3/20/2012			12/20/2011
Investee Returns		Total Returns			Total Returns			Total Returns
Realized Gain/(Loss)	$	—		$	—		$	—
Unrealized Gain/(Loss)	$	(16,304	)	$	(4,692	)	$	(5,241	)
Fair Value as of 6/30/2011	$	20,485		$	5,911		$	3,776

	Balanced Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap			Option Basket
Counterparty		BNP Paribas			Societe Generale			Societe Generale			Company A
Notional Amount	$	75,939		$	21,913		$	13,998		$	15,792,082
Termination Date		3/20/2012			3/20/2012			12/20/2011			11/6/2012
Investee Returns		Total Returns			Total Returns			Total Returns			Total Returns
Realized Gain/(Loss)	$	—		$	—		$	—		$	6,689,123
Unrealized Gain/(Loss)	$	(55,807	)	$	(17,764	)	$	(17,666	)	$	(8,755,515	)
Fair Value as of 6/30/2011	$	75,939		$	21,913		$	13,998		$	27,790,087

	Berkeley/Graham/Tiverton Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale			Societe Generale
Notional Amount	$	16,105		$	4,647		$	2,969
Termination Date		3/20/2012			3/20/2012			12/20/2011
Investee Returns		Total Returns			Total Returns			Total Returns
Realized Gain/(Loss)	$	—		$	—		$	—
Unrealized Gain/(Loss)	$	(13,633	)	$	(3,683	)	$	(4,135	)
Fair Value as of 6/30/2011	$	16,105		$	4,647		$	2,969

44

	Currency Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap			Option Basket
Counterparty		BNP Paribas			Societe Generale			Societe Generale			Company B
Notional Amount	$	4,871		$	1,405		$	898		$	10,812,109
Termination Date		3/20/2012			3/20/2012			12/20/2011			1/26/2013
Investee Returns		Total Returns			Total Returns			Total Returns			Total Returns
Realized Gain/(Loss)	$	—		$	—		$	—		$	—
Unrealized Gain/(Loss)	$	(3,983	)	$	(1,145	)	$	(1,228	)	$	(500,589	)
Fair Value as of 6/30/2011	$	4,871		$	1,405		$	898		$	5,168,180

	Long Only Commodity Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap			Reuters/Jefferies CRB Index		Jefferies Commodity Performance Index
Counterparty		BNP Paribas			Societe Generale			Societe Generale			Company C		Company C
Notional Amount	$	1,146		$	325		$	208		$	1,500,000	$	1,500,000
Termination Date		3/20/2012			3/20/2012			12/20/2011			2/29/2012		2/29/2012
Investee Returns		Total Returns			Total Returns			Total Returns			Total Returns		Total Returns
Realized Gain/(Loss)	$	—		$	—		$	—		$	66,592	$	2,080
Unrealized Gain/(Loss)	$	(1,090	)	$	(296	)	$	(313	)	$	—	$	—
Fair Value as of 6/30/2011	$	1,146		$	325		$	208		$	96,779	$	94,879

	Managed Futures Index Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale			Societe Generale
Notional Amount	$	1,300		$	375		$	240
Termination Date		3/20/2012			3/20/2012			12/20/2011
Investee Returns		Total Returns			Total Returns			Total Returns
Realized Gain/(Loss)	$	—		$	—		$	—
Unrealized Gain/(Loss)	$	(1,333	)	$	(379	)	$	(412	)
Fair Value as of 6/30/2011	$	1,300		$	375		$	240
	Winton Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale			Societe Generale
Notional Amount	$	19,478		$	5,621		$	3,591
Termination Date		3/20/2012			3/20/2012			12/20/2011
Investee Returns		Total Returns			Total Returns			Total Returns
Realized Gain/(Loss)	$	—		$	—		$	—
Unrealized Gain/(Loss)	$	(17,486	)	$	(4,903	)	$	(5,453	)
Fair Value as of 6/30/2011	$	19,478		$	5,621		$	3,591
	Winton/Graham Series
	Credit Default Swap			Credit Default Swap			Credit Default Swap
Counterparty		BNP Paribas			Societe Generale			Societe Generale
Notional Amount	$	13,276		$	3,831		$	2,447
Termination Date		3/20/2012			3/20/2012			12/20/2011
Investee Returns		Total Returns			Total Returns			Total Returns
Realized Gain/(Loss)	$	—		$	—		$	—
Unrealized Gain/(Loss)	$	(13,104	)	$	(3,432	)	$	(3,713	)
Fair Value as of 6/30/2011	$	13,276		$	3,831		$	2,447

45

The Trust has invested in the following Swaps as of December 31, 2010:

	Option Basket Frontier Diversified Series		Option Basket Frontier Dynamic Series		Option Basket Frontier Masters Series		Option Basket Balanced Series
Series:		Frontier Diversified Series		Frontier Dynamic Series		Frontier Masters Series		Balanced Series
Counterparty		Company D		Company E		Company F		Company A
Notional Amount	$	15,569,595	$	27,048,602	$	26,242,246	$	68,460,196
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)	$	416,156	$	929,519	$	3,474,611	$	8,790,927
Fair Value as of 12/31/2010	$	11,407,905	$	10,956,772	$	26,242,246	$	49,811,462

	Option Basket Currency Series		Reuters/Jefferies CRB Index		Jefferies Commodity Performance Index
Series:		Currency Series		Long/Only Commodity Series		Long/Only Commodity Series
Counterparty		Company B		Company C		Company C
Notional Amount	$	11,567,063	$	2,040,000	$	2,040,000
Termination Date		1/26/2013		2/28/2011		2/28/2011
Investee Returns		Total Returns		Total Returns		Total Returns
Realized Gain/(Loss)	$	0	$	190,556	$	319,106
Unrealized Gain/(Loss)	$	675,809	$	0	$	0
Fair Value as of 12/31/2010	$	5,668,768	$	415,648	$	375,148

5. Investments in Unconsolidated Trading Companies

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

The following table summarizes the Balanced Series, Winton Series, Berkeley/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 June 30, 2011 and December 31, 2010.

46

	As of June 30, 2011					As of December 31, 2010
	Percentage of Series Net Assets Invested in Trading Companies			Fair Value		Percentage of Series Net Assets Invested in Trading Companies			Fair Value
Series
Balanced Series —
Frontier Trading Companies II and VII		3.62	%	$	11,822,760		9.82	%	$	42,072,378
Winton Series —
Frontier Trading Company II		10.49	%	$	5,136,237		10.25	%	$	6,222,907
Berkeley/Graham/Tiverton Series —
Frontier Trading Companies V and XV		9.59	%	$	4,589,612		18.04	%	$	12,665,871
Winton/Graham Series —
Frontier Trading Companies II and V		17.30	%	$	6,335,910		5.35	%	$	3,383,251
Frontier Long/Short Commodity Series —
Frontier Trading Companies I and VII		14.54	%	$	10,114,563		42.71	%	$	32,964,448
Managed Futures Index Series —
Frontier Trading Company IX		13.35	%	$	471,550		19.24	%	$	992,837
Frontier Diversified Series —
Frontier Trading Companies I, II, V, VII, IX, XIV, XV and XXI		23.95	%	$	32,825,901		34.45	%	$	54,940,095
Frontier Masters Series —
Frontier Trading Companies II, XIV and XV		10.46	%	$	5,680,680		24.02	%	$	15,921,658

47

The following tables summarize the Balanced Series, Winton Series, Berkeley/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 six months ended June 30, 2011 and 2010.

	Three Months Ended June 30, 2011												Three Months Ended June 30, 2010
							Change in												Change in
	Trading			Realized			Unrealized			Net Income			Trading			Realized			Unrealized			Net Income
	Commissions			Gain/(Loss)			Gain/(Loss)			(Loss)			Commissions			Gain/(Loss)			Gain/(Loss)			(Loss)
Trading Company
Balanced Series —
Frontier Trading Company II LLC	$	(9,903	)	$	443,234		$	(1,381,577	)	$	(948,246	)	$	(17,405	)	$	3,022,597		$	(1,352,409	)		1,652,783
Frontier Trading Company VI LLC		—			—			—			—			(5,317	)		195,734			(145,543	)		44,874
Frontier Trading Company VII, LLC		(237,925	)		36,294,400			(22,026,566	)		14,029,909			(649,582	)		4,531,432			8,786,295			12,668,145
Frontier Trading Company XIV, LLC		(53,324	)		1,110,588			(474,975	)		582,289			(30,506	)		(917,624	)		(79,181	)		(1,027,311	)
Frontier Trading Company XVI, LLC		—			—			—			—			(53	)		(1,530	)		(344	)		(1,927	)
Frontier Trading Company XIX, LLC		—			—			—			—			(675	)		(12,744	)		(19,760	)		(33,179	)
Total	$	(301,152	)	$	37,848,222		$	(23,883,118	)	$	13,663,952		$	(703,538	)	$	6,817,865		$	7,189,058		$	13,303,385
Winton Series —
Frontier Trading Company II LLC	$	(10,215	)	$	501,783		$	(1,385,215	)	$	(893,647	)	$	(25,281	)	$	4,390,100		$	(1,985,650	)	$	2,379,169
Berkeley/Graham/Tiverton Series —
Frontier Trading Company V LLC	$	(45,632	)	$	(31,321	)	$	(385,262	)	$	(462,215	)	$	(71,962	)	$	1,303,604		$	(1,033,664	)	$	197,978
Frontier Trading Company VI LLC		(120	)		(121	)		—			(241	)		—			—			—			—
Frontier Trading Company XV, LLC		(22,887	)		(215,703	)		(244,143	)		(482,733	)		(25,645	)		(256,441	)		708,937			426,851
Total	$	(68,639	)	$	(247,145	)	$	(629,405	)	$	(945,189	)	$	(97,607	)	$	1,047,163		$	(324,727	)	$	624,829
Winton/Graham Series —
Frontier Trading Company II LLC	$	(4,641	)	$	302,332		$	(531,396	)	$	(233,705	)	$	(12,826	)	$	2,226,838		$	(1,007,525	)	$	1,206,487
Frontier Trading Company V LLC		(6,926	)		(308,886	)		(123,307	)		(439,119	)		—			—			—			—
	$	(11,567	)	$	(6,554	)	$	(654,703	)	$	(672,824	)	$	(12,826	)	$	2,226,838		$	(1,007,525	)	$	1,206,487
Frontier Long/Short Commodity Series —
Frontier Trading Company I LLC	$	(13,156	)	$	(27,076	)	$	(672,218	)	$	(712,450	)	$	(5,104	)	$	(42,792	)	$	(234,193	)	$	(282,089	)
Frontier Trading Companies VII, LLC		(97,121	)		66,893,905			(67,936,469	)		(1,139,685	)		(502,244	)		(2,243,935	)		2,262,267			(483,912	)
Total	$	(110,277	)	$	66,866,829		$	(68,608,687	)	$	(1,852,135	)	$	(507,348	)	$	(2,286,727	)	$	2,028,074		$	(766,001	)
Managed Futures Index Series —
Frontier Trading Company IX, LLC	$	(2,905	)	$	(294,003	)	$	17,581		$	(279,327	)	$	(6,656	)	$	161,989		$	79,237		$	234,570
Frontier Diversified Series —
Frontier Trading Company I LLC	$	(299,663	)	$	(4,243,862	)	$	(1,485,929	)	$	(6,029,454	)	$	(115,049	)	$	891,217		$	(106,277	)	$	669,891
Frontier Trading Company II LLC		(4,218	)		186,154			(592,127	)		(410,191	)		(4,061	)		708,022			(312,311	)		391,650
Frontier Trading Company V LLC		(6,069	)		(14,690	)		(59,503	)		(80,262	)		(6,993	)		122,858			(95,114	)		20,751
Frontier Trading Company VI LLC		(88	)		(89	)		—			(177	)		(1,601	)		58,606			(43,176	)		13,829
Frontier Trading Company VII, LLC		(79,070	)		11,049,136			(6,577,765	)		4,392,301			(146,033	)		846,161			1,881,439			2,581,567
Frontier Trading Company IX, LLC		(4,717	)		(443,495	)		(93,384	)		(541,596	)		(5,819	)		142,360			77,614			214,155
Frontier Trading Company XIII, LLC		—			—			—			—			(1,024	)		35,165			157,387			191,528
Frontier Trading Company XIV, LLC		(25,543	)		366,496			(472,284	)		(131,331	)		(11,704	)		(351,040	)		(31,332	)		(394,076	)
Frontier Trading Company XV, LLC		(40,188	)		(346,537	)		(678,596	)		(1,065,321	)		(18,812	)		(169,216	)		586,029			398,001
Frontier Trading Company XXI, LLC		(194	)		(3,541	)		(8,007	)		(11,742	)		—			—			—			—
Total	$	(459,750	)	$	6,549,572		$	(9,967,595	)	$	(3,877,773	)	$	(311,096	)	$	2,284,133		$	2,114,259		$	4,087,296
Frontier Masters Series —
Frontier Trading Company II LLC	$	(2,892	)	$	166,793		$	(364,309	)	$	(200,408	)	$	(4,536	)	$	783,295		$	(366,021	)	$	412,738
Frontier Trading Company XIV, LLC		(48,313	)		839,234			(552,737	)	$	238,184			(21,055	)		(646,798	)		(68,155	)		(736,008	)
Frontier Trading Company XV, LLC		(13,909	)		(136,713	)		(99,462	)	$	(250,084	)		(14,433	)		(125,798	)		486,276			346,045
Total	$	(65,114	)	$	869,314		$	(1,016,508	)	$	(212,308	)	$	(40,024	)	$	10,699		$	52,100		$	22,775

48

	Six Months Ended June 30, 2011												Six Months Ended June 30, 2010
							Change in												Change in
	Trading			Realized			Unrealized			Net Income			Trading			Realized			Unrealized			Net Income
	Commissions			Gain/(Loss)			Gain/(Loss)			(Loss)			Commissions			Gain/(Loss)			Gain/(Loss)			(Loss)
Trading Company
Balanced Series —
Frontier Trading Company II LLC	$	(21,280	)	$	2,815,143		$	(2,213,992	)	$	579,871		$	(33,645	)	$	3,571,412		$	440,223			3,977,990
Frontier Trading Company VI LLC		—			—			—			—			(6,708	)		230,136			(42,437	)		180,991
Frontier Trading Company VII, LLC		(648,238	)		4,623,865			29,765,609			33,741,236			(1,589,155	)		8,531,301			7,571,659			14,513,805
Frontier Trading Company XIV, LLC		(83,595	)		2,045,925			(189,232	)		1,773,098			(50,427	)		(2,572,596	)		1,870,237			(752,786	)
Frontier Trading Company XVI, LLC		—			—			—			—			(53	)		(1,530	)		(344	)		(1,927	)
Frontier Trading Company XIX, LLC		—			—			—			—			(675	)		(12,744	)		(19,760	)		(33,179	)
Total	$	(753,113	)	$	9,484,933		$	27,362,385		$	36,094,205		$	(1,680,663	)	$	9,745,979		$	9,819,578		$	17,884,894
Winton Series —
Frontier Trading Company II LLC	$	(22,584	)	$	3,080,340		$	(2,293,235	)	$	764,521		$	(47,774	)	$	5,212,627		$	793,760		$	5,958,613
Berkeley/Graham/Tiverton Series —
Frontier Trading Company V LLC	$	(117,842	)	$	55,095		$	(729,318	)	$	(792,065	)	$	(127,933	)	$	(201,110	)	$	(553,807	)	$	(882,850	)
Frontier Trading Company VI LLC		(1,451	)		259,429			(127,648	)		130,330			(21,105	)		(1,829,237	)		523,687			(1,326,655	)
Frontier Trading Company XV, LLC		(38,759	)		1,114,480			(1,849,090	)		(773,369	)		(55,006	)		1,363,809			(343,764	)		965,039
Total	$	(158,052	)	$	1,429,004		$	(2,706,056	)	$	(1,435,104	)	$	(204,044	)	$	(666,538	)	$	(373,884	)	$	(1,244,466	)
Winton/Graham Series —
Frontier Trading Company II LLC	$	(11,344	)	$	1,699,510		$	(1,025,070	)	$	663,096		$	(24,256	)	$	2,642,709		$	421,623		$	3,040,076
Frontier Trading Company V LLC		(6,926	)		(308,886	)		(123,307	)		(439,119	)		—			—			—			—
	$	(18,270	)	$	1,390,624		$	(1,148,377	)	$	223,977		$	(24,256	)	$	2,642,709		$	421,623		$	3,040,076
Frontier Long/Short Commodity Series —
Frontier Trading Company I LLC	$	(20,139	)	$	478,450		$	(913,590	)	$	(455,279	)	$	(12,385	)	$	(141,132	)	$	(83,377	)	$	(236,894	)
Frontier Trading Companies VII, LLC		(257,607	)		62,185,244			(51,183,927	)		10,743,710			(708,382	)		(9,546,348	)		12,410,701			2,155,971
Total	$	(277,746	)	$	62,663,694		$	(52,097,517	)	$	10,288,431		$	(720,767	)	$	(9,687,480	)	$	12,327,324		$	1,919,077
Managed Futures Index Series —
Frontier Trading Company IX, LLC	$	(6,745	)	$	(220,942	)	$	(247,913	)	$	(475,600	)	$	(11,099	)	$	(35,057	)	$	238,614		$	192,458
Frontier Diversified Series —
Frontier Trading Company I LLC	$	(636,820	)	$	(2,735,277	)	$	(1,809,707	)	$	(5,181,804	)	$	(162,443	)	$	483,001		$	(135,486	)	$	185,072
Frontier Trading Company II LLC		(9,046	)		1,191,831			(949,501	)		233,284			(7,335	)		820,416			160,270			973,351
Frontier Trading Company V LLC		(14,409	)		(5,115	)		(99,321	)		(118,845	)		(10,102	)		119,407			18,858			128,163
Frontier Trading Company VI LLC		(1,073	)		192,170			(95,556	)		95,541			(4,299	)		(128,700	)		63,423			(69,576	)
Frontier Trading Company VII, LLC		(224,773	)		77,417			11,394,793			11,247,437			(306,137	)		1,651,589			1,765,416			3,110,868
Frontier Trading Company IX, LLC		(8,863	)		(364,271	)		(357,494	)		(730,628	)		(8,399	)		14,736			33,752			40,089
Frontier Trading Company XIII, LLC		—			—			—			—			(1,024	)		35,165			157,387			191,528
Frontier Trading Company XIV, LLC		(38,069	)		753,453			(350,574	)		364,810			(21,541	)		(1,188,141	)		616,607			(593,075	)
Frontier Trading Company XV, LLC		(65,266	)		1,762,461			(3,224,966	)		(1,527,771	)		(32,121	)		566,253			123,497			657,629
Frontier Trading Company XXI, LLC		(340	)		(17,320	)		(1,730	)		(19,390	)		—			—			—			—
Total	$	(998,659	)	$	855,349		$	4,505,944		$	4,362,634		$	(553,401	)	$	2,373,726		$	2,803,724		$	4,624,049
Frontier Masters Series —
Frontier Trading Company II LLC	$	(6,666	)	$	952,987		$	(643,854	)	$	302,467		$	(8,218	)	$	914,091		$	126,056		$	1,031,929
Frontier Trading Company XIV, LLC		(80,751	)		1,839,866			(238,375	)	$	1,520,740			(37,025	)		(2,021,462	)		971,561			(1,086,926	)
Frontier Trading Company XV, LLC		(24,107	)		721,063			(1,135,132	)	$	(438,176	)		(27,305	)		587,937			36,404			597,036
Total	$	(111,524	)	$	3,513,916		$	(2,017,361	)	$	1,385,031		$	(72,548	)	$	(519,434	)	$	1,134,021		$	542,039

49

The statements of financial condition as of June 30, 2011 and December 31, 2010 and the Condensed Statement of Income for the three months ended June 30, 2011 and 2010 for the unconsolidated Trading Companies are as follows:

	Frontier Trading			Frontier Trading			Frontier Trading
Statements of Financial Condition - June 30, 2011	Company II LLC			Company V LLC			Company VII LLC
Cash held at futures commission merchants	$	16,659,192		$	9,184,237		$	43,386,644
Receivable from related party		—			—			916,661
Open trade equity		(835,806	)		(341,226	)		(28,552,468	)
Total assets	$	15,823,386		$	8,843,011		$	15,750,837
Members’ equity	$	15,823,386		$	8,843,011		$	15,750,837
Condensed Statement of Income - For the Three Months Ended June 30, 2011
Interest income	$	(272	)	$	1,241		$	(86	)
Net realized gain on investments, less commissions		1,568,426			(142,388	)		113,823,325
Change in open trade equity		(4,254,622	)		(927,132	)		(96,540,799	)
Net income	$	(2,686,468	)	$	(1,068,279	)	$	17,282,440
Condensed Statement of Income - For the Six Months Ended June 30, 2011
Interest income	$	809		$	4,129		$	2,326
Net realized gain on investments, less commissions		9,668,890			(108,992	)		65,755,908
Change in open trade equity		(7,125,651	)		(1,768,339	)		(10,023,525	)
Net income	$	2,544,048		$	(1,873,202	)	$	55,734,709
	Frontier Trading			Frontier Trading			Frontier Trading
Statements of Financial Condition - December 31, 2010	Company II LLC			Company VII LLC			Company XIV LLC
Cash held at futures commission merchants	$	13,321,102		$	83,823,713		$	4,340,260
Open trade equity/(deficit)		6,357,985			(15,607,877	)		1,531,050
Total assets	$	19,679,087		$	68,215,836		$	5,871,310
Members’ equity	$	19,679,087		$	68,215,836		$	5,871,310
Condensed Statement of Income - For the Three Months Ended June 30, 2010
Interest income	$	2,180		$	2,142		$	(2,321	)
Net realized gain on investments, less commissions		11,066,746			1,835,799			(1,980,135	)
Change in open trade equity		(5,023,915	)		12,930,002			(178,789	)
Net income	$	6,045,011		$	14,767,943		$	(2,161,245	)
Condensed Statement of Income - For the Six Months Ended June 30, 2010
Interest income	$	2,135		$	2,062		$	(9,189	)
Net realized gain on investments, less commissions		13,040,029			(8,835,009	)		(6,978,161	)
Change in open trade equity		1,941,933			25,542,197			2,730,531
Net income	$	14,984,097		$	16,709,250		$	(4,256,819	)

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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 has advanced 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 six months ending June 30, 2011 and the twelve months ending December 31, 2010.

Balanced Series

Summary by Quarter

For the Six Months Ended June 30, 2011

	Currency Series			Frontier			Total
				Dynamic Series
Inter-series receivables January 1, 2011	$	12,816,775		$	28,320,283		$	41,137,058
Additions during period		—			—			—
Reduction during period		—			—			—
Earnings on inter-series receivables		(476,691	)		(563,946	)		(1,040,637	)
Inter-series receivables March 31, 2011	$	12,340,084	(1)	$	27,756,337	(1)	$	40,096,421
Additions during period		—			—			—
Reduction during period		—			—			—
Earnings/(loss) on inter-series receivables		(46,549	)		284,461			237,912
Inter-series receivables June 30, 2011	$	12,293,535	(1)	$	28,040,798	(1)	$	40,334,333

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Balanced Series

Summary by Quarter

For the Year Ended December 31, 2010

	Currency Series			Frontier			Frontier			Frontier			Total
				Diversified Series			Dynamic Series			Masters Series
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
Additions during period		—			—			—			—			—
Reduction during period		—			—			—			—			—
Earnings on inter-series receivables		(195,598	)		—			364,989			—			169,391
Inter-series receivables December 31, 2010	$	12,816,775		$	—		$	28,320,283		$	—		$	41,137,058

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

Expenses

Management Fees-Each Series of Units pays to the Managing Owner a monthly management fee equal to a certain percentage of such Series’ assets attributable to such Series (including notional assets), calculated on a daily basis. The annual rate of the management fee is 0.5% for the Balanced Series, 2.0% for the Winton Series, Currency Series, 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 Berkeley/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.

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

Incentive Fees-Some Series pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated by such Series, monthly or quarterly. Because the Balanced Series, Winton/Graham Series, Berkeley/Graham/Tiverton Series, Currency Series and Frontier Long/Short Commodity Series may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in

52

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, Berkeley/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.

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

The following table summarizes fees earned by the Managing Owner for the three months ended June 30, 2011 and 2010.

Series: Three Months Ended June 30, 2011	Management Fee			Trading Fee		Incentive Fee		Service Fee
Frontier Diversified Series	$	468,277		$	888,504	$	1,200,040	$	460,178
Frontier Dynamic Series		—			172,846		—		23,927
Frontier Long/Short Commodity Series		924,616			175,280		674,307		222,469
Frontier Masters Series		(168,742	)		362,733		4,277		205,981
Balanced Series		615,487			425,465		4,401,571		1,893,117
Berkeley/Graham/Tiverton Series		312,735			69,503		—		376,172
Currency Series		39,173			22,085		—		40,521
Long Only Commodity Series		11,384			4,105		—		13,563
Managed Futures Index Series		24,587			5,181		—		3,495
Winton Series		318,095			66,122		—		320,735
Winton/Graham Series		366,434			54,152		—		269,572
Series: Three Months Ended June 30, 2010	Management Fee			Trading Fee		Incentive Fee		Service Fee
Frontier Diversified Series	$	241,917		$	600,952	$	853,906	$	330,137
Frontier Dynamic Series		—			170,249		—		21,908
Frontier Long/Short Commodity Series		824,235			100,037		588,335		299,535
Frontier Masters Series		241,703			382,310		22,281		151,944
Balanced Series		540,618			452,223		4,979,205		2,168,354
Berkeley/Graham/Tiverton Series		593,711			90,567		—		483,698
Currency Series		40,779			25,847		—		55,456
Long Only Commodity Series		12,768			4,930		—		15,873
Managed Futures Index Series		30,696			6,919		—		8,558
Winton Series		397,180			73,762		—		368,646
Winton/Graham Series		488,551			72,463		—		346,500

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The following table summarizes fees earned by the Managing Owner for the six months ended June 30, 2011 and 2010.

Series: Six Months Ended June 30, 2011	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified Series	$	949,997	$	1,867,170	$	2,919,713	$	976,227
Frontier Dynamic Series		—		348,206		—		47,917
Frontier Long/Short Commodity Series		1,870,475		329,173		2,304,168		496,020
Frontier Masters Series		739,179		762,843		270,812		431,508
Balanced Series		1,258,352		911,628		8,671,760		4,113,084
Berkeley/Graham/Tiverton Series		690,705		154,756		—		831,210
Currency Series		79,028		45,650		—		85,691
Long Only Commodity Series		24,640		9,177		—		30,063
Managed Futures Index Series		50,636		11,327		—		8,460
Winton Series		650,733		139,960		248,590		684,756
Winton/Graham Series		812,303		123,465		70,874		605,244
Series: Six Months Ended June 30, 2010	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified Series	$	404,570	$	1,041,644	$	1,040,130	$	568,306
Frontier Dynamic Series		—		336,622		—		42,558
Frontier Long/Short Commodity Series		1,612,557		192,927		666,437		621,685
Frontier Masters Series		443,985		681,482		22,281		261,372
Balanced Series		898,610		872,504		5,932,686		4,272,276
Berkeley/Graham/Tiverton Series		1,175,602		183,087		—		975,667
Currency Series		80,855		51,740		—		113,495
Long Only Commodity Series		26,990		10,261		—		33,057
Managed Futures Index Series		56,950		12,953		—		17,339
Winton Series		774,060		143,976		—		721,012
Winton/Graham Series		955,133		143,080		—		685,101

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The following table summarizes fees payable to the Managing Owner as of June 30, 2011.

Series:	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified Series	$	156,227	$	264,287	$	1,294,936	$	66,578
Frontier Dynamic		—		55,391		—		1,322
Frontier Long/Short Commodity Series		17,021		8,791		697,704		36,542
Frontier Masters Series		116,179		106,369		—		29,760
Balanced Series		44,890		132,461		3,844,890		132,461
Berkeley/Graham/Tiverton Series		93,631		19,679		—		104,427
Currency Series		12,553		6,852		—		7,593
Long Only Commodity Series		3,283		1,163		—		3,303
Managed Futures Index Series		7,755		1,522		—		848
Winton Series		62,011		19,770		—		77,506
Winton/Graham Series		101,430		15,121		—		68,702

The following table summarizes fees payable to the Managing Owner as of December 31, 2010.

Series:	Management Fee		Trading Fee		Incentive Fee		Service Fee
Frontier Diversified Series	$	139,758	$	310,302	$	1,453,102	$	48,903
Frontier Dynamic Series		—		59,936		—		726
Frontier Long/Short Commodity Series		300,038		44,699		1,600,703		69,686
Frontier Masters Series		108,531		131,841		229,686		21,894
Balanced Series		114,145		71,087		2,688,776		196,325
Berkeley/Graham/Tiverton Series		152,455		29,714		270,557		148,307
Currency Series		13,860		8,409		—		11,273
Long Only Commodity Series		4,634		1,750		—		5,599
Managed Futures Index Series		10,789		2,154		—		2,338
Winton Series		122,675		25,245		467,341		99,085
Winton/Graham Series		168,136		24,127		623,629		103,698

With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed therefore by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. For the six months ended June 30, 2011, amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees were $15 for the Long/Only Commodity Series and $11 for the Managed Futures Index Series. For the six months ended June 30, 2011, amounts paid or owing the Managing Owner for the difference in monthly service fees from prepaid initial service fees were $20,812 for the Balanced Series, $13,362 for the Frontier Long/Short Commodity Series, $27,383 for the Frontier Diversified Series, $343 for the Currency Series, $4,688 for the Berkeley/Graham/Tiverton Series, $2,538 for the Winton/Graham Series, $6,833 for the Winton Series, $80 for the Frontier Dynamic Series and $11,662 for the Frontier Masters Series.

Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Berkeley/Graham/Tiverton Series, Currency Series and Winton/Graham Series. For the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters Series, Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series and Managed Futures Index Series 20% of the total interest allocated to each Series is paid to the Managing Owner. During the six months ended June 30, 2011, and 2010 the Trust paid $5,039,981 and $5,047,333, respectively, of such interest income to the Managing Owner. Such expenses are not included in the statements of operations of the Series.

The Managing Owner pays to The Bornhoft Group Corporation, an affiliate of the Trust, a monthly fee of 0.25% (annualized) of the NAV of the Trust, for services in connection with the daily valuation of each Series and Class. For these services the Managing Owner paid The Bornhoft Group Corporation $1,054,241 and $958,071, respectively, for the six months ended June 30, 2011 and 2010. Additionally, Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $1,897,634 and $1,724,528, respectively, for the six months ended June 30, 2011 and 2010. Such expenses are not included in the statements of operations of the Series.

55

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

56

7. Financial Highlights

The following information presents the financial highlights of the Trust for the three and six months ended June 30, 2011 and 2010. This data has been derived from information presented in the financial statements.

	Frontier Diversified Series						Frontier Dynamic Series						Frontier Long/Short Commodity Series
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 3			Class 1a			Class 2a
Per unit operating performance (1)
Net asset value, March 31, 2011	$	106.56		$	110.00		$	89.72		$	92.52		$	148.32		$	172.54		$	172.53		$	131.52		$	135.69
Net operating results:
Interest income		0.41			0.43			6.68			0.08			0.72			0.84			0.84			0.64			0.66
Expenses		(2.33	)		(1.82	)		(11.62	)		(0.12	)		(4.42	)		(3.98	)		(3.98	)		(3.89	)		(3.11	)
Net gain/(loss) on investments, net of non-controlling interests		(3.01	)		(3.24	)		5.46			0.99			(4.10	)		(4.71	)		(4.71	)		(3.51	)		(3.96	)
Net income/(loss)		(4.93	)		(4.63	)		0.52			0.95			(7.80	)		(7.85	)		(7.85	)		(6.76	)		(6.41	)
Net asset value, June 30, 2011	$	101.63		$	105.37		$	90.24		$	93.47		$	140.52		$	164.69		$	164.68		$	124.76		$	129.28
Ratios to average net assets (3)
Net investment gain/(loss)		-7.33	%		-5.13	%		-21.86	%		-14.13	%		-9.99	%		-7.29	%		-7.29	%		-9.99	%		-7.29	%
Expenses before incentive fees		5.76	%		3.56	%		51.43	%		43.70	%		8.44	%		5.73	%		5.73	%		8.44	%		5.73	%
Expenses after incentive fees		8.91	%		6.71	%		51.43	%		43.70	%		11.95	%		9.25	%		9.25	%		11.95	%		9.25	%
Total return before incentive fees (2)		-3.81	%		-3.39	%		0.60	%		1.03	%		-2.88	%		-2.95	%		-3.51	%		-5.23	%		-4.80	%
Total return after incentive fees (2)		-4.59	%		-4.18	%		0.60	%		1.03	%		-3.76	%		-3.82	%		-4.39	%		-6.10	%		-5.67	%

	Frontier Masters Series						Balanced Series															Berkeley/Graham/Tiverton Series (5)
	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, March 31, 2011	$	103.11		$	106.42		$	136.37		$	119.99		$	166.02		$	138.84		$	138.85		$	108.63		$	130.50
Net operating results:
Interest income		0.49			0.50			0.07			0.06			0.08			0.07			0.07			0.02			0.03
Expenses		(0.88	)		(0.34	)		(3.21	)		(2.82	)		(2.69	)		(2.25	)		(2.25	)		(1.51	)		(0.86	)
Net gain/(loss) on investments, net of non-controlling interests		(3.70	)		(3.94	)		(2.77	)		(2.84	)		(3.39	)		(3.31	)		(3.31	)		(6.33	)		(7.65	)
Net income/(loss)		(4.10	)		(3.79	)		(5.91	)		(5.60	)		(6.00	)		(5.49	)		(5.49	)		(7.82	)		(8.48	)
Net asset value, June 30, 2011	$	99.01		$	102.63		$	130.46		$	114.39		$	160.02		$	133.35		$	133.36		$	100.81		$	122.02
Ratios to average net assets (3)
Net investment gain/(loss)		-1.54	%		0.62	%		-9.36	%		-9.36	%		-6.37	%		-6.37	%		-6.37	%		-5.60	%		-2.61	%
Expenses before incentive fees		3.40	%		1.25	%		4.25	%		4.25	%		1.26	%		1.26	%		1.26	%		5.69	%		2.69	%
Expenses after incentive fees		3.43	%		1.28	%		9.56	%		9.56	%		6.57	%		6.57	%		6.57	%		5.69	%		2.69	%
Total return before incentive fees (2)		-3.36	%		-3.02	%		-2.87	%		-3.10	%		-2.28	%		-2.64	%		-2.66	%		-6.91	%		-5.90	%
Total return after incentive fees (2)		-3.37	%		-3.03	%		-4.19	%		-4.42	%		-3.61	%		-3.96	%		-3.99	%		-6.91	%		-5.90	%

	Currency Series						Long Only Series (4)									Managed Futures Index Series (4)
	Class 1			Class 2			Class 1			Class 2			Class 3			Class 1			Class 2			Class 3
Per unit operating performance (1)
Net asset value, March 31, 2011	$	75.59		$	91.88		$	99.59		$	110.29		$	110.29		$	112.50		$	124.29		$	124.29
Net operating results:
Interest income		0.33			0.40			0.52			0.58			0.56			0.57			0.63			0.63
Expenses		(1.38	)		(0.99	)		(0.93	)		(0.50	)		(0.48	)		(1.34	)		(0.87	)		(0.87	)
Net gain/(loss) on investments, net of non-controlling interests		0.21			0.26			(5.30	)		(5.89	)		(5.89	)		(7.78	)		(8.62	)		(8.63	)
Net income/(loss)		(0.85	)		(0.34	)		(5.71	)		(5.81	)		(5.81	)		(8.55	)		(8.86	)		(8.87	)
Net asset value, June 30, 2011	$	74.74		$	91.54		$	93.88		$	104.48		$	104.48		$	103.95		$	115.43		$	115.42
Ratios to average net assets (3)
Net investment gain/(loss)		-5.55	%		-2.55	%		-1.69	%		0.30	%		0.30	%		-2.78	%		-0.79	%		-0.79	%
Expenses before incentive fees		7.28	%		4.28	%		3.83	%		1.84	%		1.84	%		4.82	%		2.83	%		2.83	%
Expenses after incentive fees		7.28	%		4.28	%		3.83	%		1.84	%		1.84	%		4.82	%		2.83	%		2.83	%
Total return before incentive fees (2)		-0.83	%		4.55	%		-5.51	%		-4.93	%		-11.40	%		-6.03	%		-6.99	%		-7.27	%
Total return after incentive fees (2)		-0.83	%		4.55	%		-5.51	%		-4.93	%		-11.40	%		-6.03	%		-6.99	%		-7.27	%

	Winton Series						Winton/Graham Series
	Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, March 31, 2011	$	136.40		$	156.70		$	118.67		$	143.70
Net operating results:
Interest income		0.26			0.31			0.10			0.12
Expenses		(1.98	)		(1.11	)		(2.01	)		(1.37	)
Net gain/(loss) on investments, net of non-controlling interests		(2.55	)		(2.98	)		(2.91	)		(3.55	)
Net income/(loss)		(4.27	)		(3.78	)		(4.82	)		(4.80	)
Net asset value, June 30, 2011	$	132.13		$	152.92		$	113.85		$	138.90
Ratios to average net assets (3)
Net investment gain/(loss)		-5.06	%		-2.06	%		-6.47	%		-3.48	%
Expenses before incentive fees		5.83	%		2.84	%		6.80	%		3.81	%
Expenses after incentive fees		5.83	%		2.84	%		6.80	%		3.81	%
Total return before incentive fees (2)		-2.78	%		-2.39	%		-3.35	%		-2.30	%
Total return after incentive fees (2)		-2.78	%		-2.39	%		-3.35	%		-2.30	%

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

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

(3) Annualized

(4) Long Only Series Class 3 and Managed Futures Index Series Class 3 began trading operations on January 13, 2011.

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

57

	Frontier Diversified Series						Frontier Dynamic Series						Frontier Long/Short Commodity Series
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 3			Class 1a			Class 2a
Per unit operating performance (1)
Net asset value, December 31, 2010	$	103.58		$	106.46		$	91.94		$	94.40		$	132.73		$	153.26		$	153.26		$	117.96		$	121.18
Net operating results:
Interest income		0.79			0.81			13.15			0.33			1.26			1.46			1.47			1.12			1.15
Expenses		(4.94	)		(3.91	)		(23.34	)		(0.50	)		(10.17	)		(9.52	)		(9.54	)		(9.07	)		(7.52	)
Net gain/(loss) on investments, net of non-controlling interests		2.20			2.01			8.49			(0.76	)		16.70			19.49			19.49			14.75			14.47
Net income/(loss)		(1.95	)		(1.09	)		(1.70	)		(0.93	)		7.79			11.43			11.42			6.80			8.10
Net asset value, June 30, 2011	$	101.63		$	105.37		$	90.24		$	93.47		$	140.52		$	164.69		$	164.68		$	124.76		$	129.28
Ratios to average net assets (3)
Net investment gain/(loss)		-7.91	%		-5.71	%		-22.47	%		-14.74	%		-12.40	%		-9.62	%		-9.62	%		-12.40	%		-9.62	%
Expenses before incentive fees		5.74	%		3.54	%		51.46	%		43.73	%		8.33	%		5.55	%		5.55	%		8.33	%		5.55	%
Expenses after incentive fees		9.41	%		7.21	%		51.46	%		43.73	%		14.15	%		11.37	%		11.37	%		14.15	%		11.37	%
Total return before incentive fees (2)		0.39	%		1.03	%		-1.90	%		-0.67	%		13.03	%		12.22	%		10.00	%		3.40	%		5.08	%
Total return after incentive fees (2)		-1.43	%		-0.79	%		-1.90	%		-0.67	%		10.15	%		9.34	%		7.12	%		0.51	%		2.19	%

	Frontier Masters Series						Balanced Series															Berkeley/Graham/Tiverton Series (5)
	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, 2010	$	102.96		$	105.81		$	131.95		$	116.36		$	159.46		$	133.66		$	133.66		$	110.46		$	131.73
Net operating results:
Interest income		0.74			0.76			0.08			0.07			0.09			0.08			0.08			0.03			0.04
Expenses		(3.91	)		(2.89	)		(6.11	)		(5.38	)		(4.98	)		(4.17	)		(4.17	)		(3.08	)		(1.75	)
Net gain/(loss) on investments, net of non-controlling interests		(0.78	)		(1.05	)		4.54			3.34			5.45			3.78			3.79			(6.60	)		(8.00	)
Net income/(loss)		(3.95	)		(3.18	)		(1.49	)		(1.97	)		0.56			(0.31	)		(0.30	)		(9.65	)		(9.71	)
Net asset value, June 30, 2011	$	99.01		$	102.63		$	130.46		$	114.39		$	160.02		$	133.35		$	133.36		$	100.81		$	122.02
Ratios to average net assets (3)
Net investment gain/(loss)		-6.18	%		-4.02	%		-8.97	%		-8.97	%		-5.98	%		-5.98	%		-5.98	%		-5.63	%		-2.64	%
Expenses before incentive fees		6.78	%		4.62	%		4.22	%		4.22	%		1.22	%		1.22	%		1.22	%		5.69	%		2.69	%
Expenses after incentive fees		7.61	%		5.45	%		9.09	%		9.09	%		6.09	%		6.09	%		6.09	%		5.69	%		2.69	%
Total return before incentive fees (2)		-2.68	%		-1.93	%		2.14	%		1.87	%		3.16	%		2.34	%		2.57	%		-7.98	%		-6.17	%
Total return after incentive fees (2)		-3.10	%		-2.35	%		-0.28	%		-0.54	%		0.74	%		-0.07	%		0.15	%		-7.98	%		-6.17	%

	Currency Series						Long Only Series (4)									Managed Futures Index Series (4)
	Class 1			Class 2			Class 1			Class 2			Class 3			Class 1			Class 2			Class 3
Per unit operating performance (1)
Net asset value, December 31, 2010	$	79.09		$	95.43		$	94.11		$	103.71		$	103.88		$	117.96		$	129.69		$	126.73
Net operating results:
Interest income		0.67			0.81			1.01			1.11			1.10			1.11			1.22			1.22
Expenses		(2.67	)		(1.86	)		(1.81	)		(0.95	)		(0.94	)		(2.66	)		(1.68	)		(1.68	)
Net gain/(loss) on investments, net of non-controlling interests		(2.35	)		(2.84	)		0.58			0.61			0.44			(12.46	)		(13.80	)		(10.85	)
Net income/(loss)		(4.35	)		(3.89	)		(0.23	)		0.77			0.60			(14.01	)		(14.26	)		(11.31	)
Net asset value, June 30, 2011	$	74.74		$	91.54		$	93.88		$	104.48		$	104.48		$	103.95		$	115.43		$	115.42
Ratios to average net assets (3)
Net investment gain/(loss)		-5.25	%		-2.25	%		-1.69	%		0.31	%		0.33	%		-2.73	%		-0.74	%		-0.80	%
Expenses before incentive fees		7.00	%		4.00	%		3.80	%		1.80	%		1.94	%		4.69	%		2.69	%		2.90	%
Expenses after incentive fees		7.00	%		4.00	%		3.80	%		1.80	%		1.94	%		4.69	%		2.69	%		2.90	%
Total return before incentive fees (2)		-5.55	%		-2.58	%		1.29	%		5.19	%		-20.41	%		-10.97	%		-10.99	%		-9.09	%
Total return after incentive fees (2)		-5.55	%		-2.58	%		1.29	%		5.19	%		-20.41	%		-10.97	%		-10.99	%		-9.09	%

	Winton Series						Winton/Graham Series
	Class 1			Class 2			Class 1			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2010	$	135.04		$	153.99		$	119.83		$	144.04
Net operating results:
Interest income		0.49			0.57			0.22			0.27
Expenses		(4.48	)		(2.82	)		(4.15	)		(2.88	)
Net gain/(loss) on investments, net of non-controlling interests		1.08			1.18			(2.05	)		(2.53	)
Net income/(loss)		(2.91	)		(1.07	)		(5.98	)		(5.14	)
Net asset value, June 30, 2011	$	132.13		$	152.92		$	113.85		$	138.90
Ratios to average net assets (3)
Net investment gain/(loss)		-5.91	%		-2.91	%		-6.64	%		-3.64	%
Expenses before incentive fees		5.77	%		2.78	%		6.74	%		3.74	%
Expenses after incentive fees		6.65	%		3.65	%		7.02	%		4.02	%
Total return before incentive fees (2)		-1.08	%		-0.21	%		-3.90	%		-1.91	%
Total return after incentive fees (2)		-1.52	%		-0.65	%		-4.04	%		-2.05	%

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

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

(3) Annualized

(4) Long Only Series Class 3 and Managed Futures Index Series Class 3 began trading operations on January 13, 2011.

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

58

	Frontier Diversified Series						Frontier Dynamic Series						Frontier Long/Short Series
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 3			Class 1a			Class 2a
Per unit operating performance (1)
Net asset value, March 31, 2010	$	95.49		$	96.86		$	90.61		$	91.82		$	111.16		$	125.49		$	125.48		$	99.31		$	100.68
Net operating results:
Interest income		0.48			0.49			7.73			7.88			0.49			0.55			0.55			0.43			0.44
Expenses		(2.11	)		(1.61	)		(14.19	)		(12.22	)		(3.35	)		(2.86	)		(2.86	)		(2.98	)		(2.29	)
Net gain/(loss) on investments, net of non-controlling interests		3.65			3.60			5.64			3.91			(1.05	)		(1.20	)		(1.20	)		(0.68	)		(0.99	)
Net income/(loss)		2.02			2.48			(0.82	)		(0.43	)		(3.91	)		(3.51	)		(3.51	)		(3.23	)		(2.84	)
Net asset value, June 30, 2010	$	97.51		$	99.34		$	89.79		$	91.39		$	107.25		$	121.98		$	121.97		$	96.08		$	97.84
Ratios to average net assets (3)
Net investment gain/(loss)		-6.70	%		-4.52	%		-28.68	%		-18.89	%		-10.24	%		-7.29	%		-7.29	%		-10.24	%		-7.29	%
Expenses before incentive fees		5.41	%		3.23	%		63.00	%		53.21	%		8.48	%		5.52	%		5.52	%		8.48	%		5.52	%
Expenses after incentive fees		8.68	%		6.50	%		63.00	%		53.21	%		11.99	%		9.03	%		9.03	%		11.99	%		9.03	%
Total return before incentive fees (2)		2.62	%		2.93	%		-1.04	%		-0.47	%		-2.53	%		-1.74	%		-1.73	%		-3.44	%		-2.68	%
Total return after incentive fees (2)		1.81	%		2.11	%		-1.04	%		-0.47	%		-3.40	%		-2.62	%		-2.60	%		-4.32	%		-3.56	%

	Frontier Masters Series						Balanced Series															Campbell/Graham/Tiverton Series
	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, March 31, 2010	$	94.70		$	96.03		$	117.81		$	104.66		$	139.18		$	117.53		$	117.54		$	101.25		$	118.03
Net operating results:
Interest income		0.54			0.55			0.03			0.02			0.03			0.03			0.03			0.00			0.00
Expenses		(1.87	)		(1.33	)		(2.86	)		(2.54	)		(2.31	)		(1.95	)		(1.95	)		(1.71	)		(1.11	)
Net gain/(loss) on investments, net of non-controlling interests		0.29			0.14			5.91			5.03			7.00			5.65			5.65			1.24			1.45
Net income/(loss)		(1.04	)		(0.64	)		3.08			2.51			4.72			3.73			3.73			(0.47	)		0.34
Net asset value, June 30, 2010	$	93.66		$	95.39		$	120.89		$	107.17		$	143.90		$	121.26		$	121.27		$	100.78		$	118.37
Ratios to average net assets (3)
Net investment gain/(loss)		-5.63	%		-3.25	%		-9.34	%		-9.34	%		-6.34	%		-6.34	%		-6.34	%		-6.73	%		-3.73	%
Expenses before incentive fees		7.74	%		5.36	%		4.07	%		4.07	%		1.07	%		1.07	%		1.07	%		6.74	%		3.74	%
Expenses after incentive fees		7.93	%		5.55	%		9.43	%		9.43	%		6.43	%		6.43	%		6.43	%		6.74	%		3.74	%
Total return before incentive fees (2)		-1.25	%		-0.69	%		3.92	%		3.81	%		4.65	%		4.44	%		4.43	%		-0.42	%		0.34	%
Total return after incentive fees (2)		-1.29	%		-0.74	%		2.58	%		2.47	%		3.31	%		3.10	%		3.10	%		-0.42	%		0.34	%

	Currency Series						Long Only Series						Managed Futures Index Series						Winton Series						Winton/Graham Series
	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, March 31, 2010	$	79.50		$	93.79		$	80.20		$	87.06		$	111.54		$	120.80		$	123.35		$	137.51		$	109.47		$	128.65
Net operating results:
Interest income		0.29			0.35			0.40			0.43			0.09			0.10			0.13			0.15			0.11			0.13
Expenses		(1.25	)		(0.77	)		(0.73	)		(0.37	)		(1.31	)		(0.82	)		(1.92	)		(1.10	)		(1.90	)		(1.26	)
Net gain/(loss) on investments, net of non-controlling interests		1.48			1.74			(4.66	)		(5.07	)		4.69			5.10			5.32			5.94			3.02			3.55
Net income/(loss)		0.52			1.32			(4.99	)		(5.01	)		3.47			4.38			3.53			4.99			1.23			2.42
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
Ratios to average net assets (3)
Net investment gain/(loss)		-4.77	%		-1.76	%		-1.72	%		0.29	%		-4.37	%		-2.37	%		-5.72	%		-2.72	%		-6.46	%		-3.45	%
Expenses before incentive fees		6.23	%		3.23	%		3.77	%		1.76	%		4.70	%		2.70	%		6.15	%		3.15	%		6.84	%		3.84	%
Expenses after incentive fees		6.23	%		3.23	%		3.77	%		1.76	%		4.70	%		2.70	%		6.15	%		3.15	%		6.84	%		3.84	%
Total return before incentive fees (2)		0.77	%		1.41	%		-6.52	%		-6.13	%		3.17	%		3.62	%		2.83	%		3.55	%		1.14	%		1.91	%
Total return after incentive fees (2)		0.77	%		1.41	%		-6.52	%		-6.13	%		3.17	%		3.62	%		2.83	%		3.55	%		1.14	%		1.91	%

(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

59

	Frontier Diversified Series						Frontier Dynamic Series						Frontier Long/Short Series
	Class 1			Class 2			Class 1			Class 2			Class 1			Class 2			Class 3			Class 1a			Class 2a
Per unit operating performance (1)
Net asset value, December 31, 2009	$	96.80		$	97.77		$	91.43		$	92.25		$	113.77		$	127.49		$	127.49		$	101.49		$	102.48
Net operating results:
Interest income		1.03			1.04			17.49			17.75			0.83			0.94			0.94			0.74			0.75
Expenses		(3.79	)		(2.80	)		(31.18	)		(26.77	)		(5.74	)		(4.63	)		(4.63	)		(5.12	)		(3.71	)
Net gain/(loss) on investments, net of non-controlling interests		3.47			3.33			12.05			8.16			(1.61	)		(1.82	)		(1.83	)		(1.03	)		(1.68	)
Net income/(loss)		0.71			1.57			(1.64	)		(0.86	)		(6.52	)		(5.51	)		(5.52	)		(5.41	)		(4.64	)
Net asset value, June 30, 2010	$	97.51		$	99.34		$	89.79		$	91.39		$	107.25		$	121.98		$	121.97		$	96.08		$	97.84
Ratios to average net assets (3)
Net investment gain/(loss)		-5.80	%		-3.61	%		-30.47	%		-19.79	%		-8.89	%		-5.92	%		-5.92	%		-8.89	%		-5.92	%
Expenses before incentive fees		5.54	%		3.35	%		69.40	%		58.71	%		8.40	%		5.43	%		5.43	%		8.40	%		5.43	%
Expenses after incentive fees		7.95	%		5.76	%		69.40	%		58.71	%		10.40	%		7.43	%		7.43	%		10.40	%		7.43	%
Total return before incentive fees (2)		3.07	%		3.43	%		-2.00	%		-0.76	%		-5.07	%		-3.27	%		-2.08	%		-5.23	%		-3.37	%
Total return after incentive fees (2)		1.88	%		2.24	%		-2.00	%		-0.76	%		-6.07	%		-4.26	%		-3.07	%		-6.23	%		-4.36	%

	Frontier Masters Series						Balanced Series															Campbell/Graham/Tiverton Series
	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		1.12			1.14			0.09			0.08			0.11			0.09			0.09			0.00			0.00
Expenses		(3.81	)		(2.72	)		(4.24	)		(3.76	)		(2.93	)		(2.48	)		(2.50	)		(3.36	)		(2.16	)
Net gain/(loss) on investments, net of non-controlling interests		1.89			1.60			6.50			5.35			7.71			6.05			6.08			(0.51	)		(0.57	)
Net income/(loss)		(0.80	)		0.02			2.35			1.67			4.89			3.66			3.67			(3.87	)		(2.73	)
Net asset value, June 30, 2010	$	93.66		$	95.39		$	120.89		$	107.17		$	143.90		$	121.26		$	121.27		$	100.78		$	118.37
Ratios to average net assets (3)
Net investment gain/(loss)		-5.77	%		-3.36	%		-7.07	%		-7.07	%		-4.07	%		-4.07	%		-4.07	%		-6.67	%		-3.67	%
Expenses before incentive fees		8.05	%		5.65	%		3.97	%		3.97	%		0.97	%		0.97	%		0.97	%		6.67	%		3.67	%
Expenses after incentive fees		8.17	%		5.76	%		7.23	%		7.23	%		4.23	%		4.23	%		4.23	%		6.67	%		3.67	%
Total return before incentive fees (2)		-0.73	%		0.78	%		3.54	%		2.42	%		4.97	%		4.59	%		6.80	%		-3.87	%		-2.53	%
Total return after incentive fees (2)		-0.79	%		0.72	%		1.93	%		0.81	%		3.35	%		2.98	%		5.18	%		-3.87	%		-2.53	%

	Currency Series						Long Only Series						Managed Futures Index Series						Winton Series						Winton/Graham Series
	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		0.62			0.73			0.82			0.89			0.33			0.36			0.19			0.21			0.26			0.30
Expenses		(2.39	)		(1.43	)		(1.49	)		(0.76	)		(2.60	)		(1.61	)		(3.71	)		(2.12	)		(3.67	)		(2.41	)
Net gain/(loss) on investments, net of non-controlling interests		3.79			4.47			(7.71	)		(8.38	)		4.74			5.15			12.83			14.31			4.05			4.79
Net income/(loss)		2.02			3.77			(8.38	)		(8.25	)		2.47			3.90			9.31			12.40			0.64			2.68
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
Ratios to average net assets (3)
Net investment gain/(loss)		-4.52	%		-1.51	%		-1.70	%		0.30	%		-4.09	%		-2.08	%		-5.83	%		-2.83	%		-6.33	%		-3.33	%
Expenses before incentive fees		6.10	%		3.09	%		3.79	%		1.79	%		4.67	%		2.67	%		6.15	%		3.15	%		6.81	%		3.81	%
Expenses after incentive fees		6.10	%		3.09	%		3.79	%		1.79	%		4.67	%		2.67	%		6.15	%		3.15	%		6.81	%		3.81	%
Total return before incentive fees (2)		2.70	%		3.37	%		-10.73	%		-9.71	%		2.21	%		2.46	%		7.63	%		9.00	%		0.50	%		2.10	%
Total return after incentive fees (2)		2.70	%		3.37	%		-10.73	%		-9.71	%		2.21	%		2.46	%		7.63	%		9.00	%		0.50	%		2.10	%

(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 Series’ primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Series do not enter into or hold positions for hedging purposes as defined under ASC 815. The detail of the fair value of the Series’ derivatives by instrument types as of June 30, 2011 and 2010 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trust’s positions in swap contracts. This activity was performed by affiliated Trading Companies and does not include activity of unaffiliated trading Company investments.

60

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

For The Three Months Ended June 30, 2011

Monthly average contracts	Bought		Sold
Frontier Masters Series		6,500		2,500
Balanced Series		11,900		4,500
Currency Series		3,300		1,300
Winton/Graham Series		7,700		3,000

For The Six Months Ended June 30, 2011

Monthly average contracts	Bought		Sold
Frontier Masters Series		15,000		5,700
Balanced Series		27,500		10,500
Currency Series		7,700		3,000
Winton/Graham Series		17,900		6,800

For The Three Months Ended June 30, 2010

Monthly average contacts	Bought		Sold
Frontier Diversified Series		1,900		1,100
Frontier Long/Short Commodity Series		—		—
Balanced Series		14,000		13,100
Campbell/Graham/Tiverton Series		2,300		1,200
Currency Series		5,300		4,200
Winton/Graham Series		11,100		9,200

For The Six Months Ended June 30, 2010

Monthly average contacts	Bought		Sold
Frontier Diversified Series		4,500		2,900
Frontier Long/Short Commodity Series		46,500		28,200
Balanced Series		34,300		32,000
Campbell/Graham/Tiverton Series		5,500		2,800
Currency Series		12,800		10,100
Winton/Graham Series		25,400		21,000

61

The following tables summarize the trading revenues for the three and six month periods ending June 30, 2011 and June 30, 2010 approximately by sector:

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2011⁽¹⁾

Type of contract	Frontier Masters Series			Balanced Series			Currency Series
Metals	$	350,918		$	(1,699,270	)	$	—
Currencies		13,392			(6,850,222	)		(16,507	)
Energies		(745,836	)		(2,017,489	)		—
Agriculturals		(277,398	)		(5,221,457	)		—
Interest rates		475,834			6,968,902			—
Stock indices		(170,712	)		(9,542,932	)		—
Realized trading income/(loss)(2)	$	(353,802	)	$	(18,362,468	)	$	(16,507	)

Type of contract	Winton/Graham Series
Metals	$	447,484
Currencies		547,701
Energies		(429,570	)
Agriculturals		(691,409	)
Interest rates		1,203,890
Stock indices		(490,763	)
Realized trading income/(loss)(2)	$	587,333

Realized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2011⁽¹⁾

Type of contract	Frontier Masters Series			Balanced Series			Currency Series
Metals	$	345,288		$	(91,235	)	$	—
Currencies		(303,597	)		6,314,090			(170,045	)
Energies		(1,063,709	)		(1,380,797	)		—
Agriculturals		(709,489	)		(2,583,465	)		—
Interest rates		491,465			4,466,413			—
Stock indices		(505,320	)		(8,312,834	)		—
Realized trading income/(loss)(2)	$	(1,745,362	)	$	(1,587,828	)	$	(170,045	)

Type of contract	Winton/Graham Series
Metals	$	1,144,332
Currencies		110,745
Energies		91,930
Agriculturals		1,912
Interest rates		391,518
Stock indices		(942,278	)
Realized trading income/(loss)(2)	$	798,159

62

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

for the Three Months Ended June 30, 2011⁽¹⁾

Type of contract	Frontier Masters Series			Balanced Series			Currency Series
Metals	$	(286,933	)	$	4,488,537		$	—
Currencies		639,482			(6,793,311	)		(18,629	)
Energies		(92,808	)		1,452,090			—
Agriculturals		58,489			(6,319,667	)		—
Interest rates		(1,132,726	)		(795,966	)		—
Stock indices		11,276			(1,921,112	)		—
Change in unrealized trading income/(loss)(3)	$	(803,220	)	$	(9,889,429	)	$	(18,629	)

Type of contract	Winton/Graham Series
Metals	$	(324,698	)
Currencies		374,271
Energies		(91,724	)
Agriculturals		(133,863	)
Interest rates		(602,823	)
Stock indices		98,257
Change in unrealized trading income/(loss)(3)	$	(680,580	)

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

for the Six Months Ended June 30, 2011⁽¹⁾

Type of contract	Frontier Masters Series			Balanced Series			Currency Series
Metals	$	(215,698	)	$	2,215,263		$	—
Currencies		639,866			(16,059,642	)		(24,407	)
Energies		(69,448	)		2,043,624			—
Agriculturals		101,764			(8,423,073	)		—
Interest rates		(1,345,576	)		(1,358,696	)		—
Stock indices		716,183			(3,073,744	)		—
Change in unrealized trading income/(loss)(3)	$	(172,909	)	$	(24,656,268	)	$	(24,407	)

Type of contract	Winton/Graham Series
Metals	$	(619,217	)
Currencies		(571,607	)
Energies		12,279
Agriculturals		(371,424	)
Interest rates		(285,680	)
Stock indices		313,862
Change in unrealized trading income/(loss)(3)	$	(1,521,787	)

(1) The Frontier Diversified Series, Berkeley/Graham/Tiverton Series (formerly known as Campbell/Graham/Tiverton Series), Managed Futures Index Series, Frontier Long/Short Commodity Series and Winton Series participate in trading activities through equity in earnings/(loss) from trading companies. The Frontier Dynamic Series and Long Only Commodity Series participates in trading activities through realized gain/(loss) on swap contracts. The Balanced Series consolidated Frontier Trading Company XIV, LLC through June 20, 2011 and Frontier Trading Company VI, LLC as of April 18, 2011.

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

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

63

Realized Trading Revenue from Futures, Forwards and Options

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

Type of contract	Frontier Diversified Series			Frontier Long/Short Commodity Series		Balanced Series
Metals	$	648,825		$	—	$	3,828,368
Currencies		57,938			—		(359,541	)
Energies		(676,616	)		—		(57,684	)
Agriculturals		(731,339	)		—		(3,860,189	)
Interest rates		1,255,457			—		3,955,623
Stock indices		(723,119	)		—		(114,403	)
Realized trading income/(loss)(2)	$	(168,854	)	$	—	$	3,392,174
Type of contract	Campbell/Graham/ Tiverton Series			Currency Series		Winton/Graham Series
Metals	$	(70,001	)	$	—	$	(162,587	)
Currencies		(312,449	)		239,657		799,427
Energies		(178,064	)		—		(839,335	)
Agriculturals		58,445			—		5,582
Interest rates		1,894,395			—		3,915,636
Stock indices		(475,294	)		—		(635,481	)
Realized trading income/(loss)(2)	$	917,032		$	239,657	$	3,083,242

Realized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2010⁽¹⁾

Type of contract	Frontier Diversified Series			Frontier Long/Short Commodity Series			Balanced Series
Metals	$	906,825		$	334,220		$	4,202,826
Currencies		224,610			619,216			(1,658,461	)
Energies		(725,644	)		(32,272,413	)		(1,656,207	)
Agriculturals		(1,060,508	)		6,407,717			(3,097,490	)
Interest rates		1,444,587			(497,654	)		4,812,196
Stock indices		(730,345	)		1,379,261			(1,717,008	)
Realized trading income/(loss)(2)	$	59,525		$	(24,029,653	)	$	885,856
Type of contract	Campbell/Graham/ Tiverton Series			Currency Series			Winton/Graham Series
Metals	$	(905,405	)	$	—		$	(275,900	)
Currencies		(433,030	)		292,764			467,646
Energies		(413,582	)		—			(1,267,665	)
Agriculturals		218,174			—			(799,428	)
Interest rates		3,541,509			—			4,201,200
Stock indices		(929,265	)		—			(2,664,355	)
Realized trading income/(loss)(2)	$	1,078,401		$	292,764		$	(338,502	)

64

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

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

Type of contract	Frontier Diversified Series			Frontier Long/Short Commodity Series			Balanced Series
Metals	$	(1,860,015	)	$	—		$	2,777,246
Currencies		1,544,739			—			(1,303,061	)
Energies		(283,807	)		—			(434,136	)
Agriculturals		(407,974	)		—			1,902,241
Interest rates		914,709			—			2,179,192
Stock indices		(315,847	)		—			(1,335,357	)
Unrealized trading income/(loss)(3)	$	(408,195	)	$	—		$	3,786,125
Type of contract	Campbell/Graham/ Tiverton Series			Currency Series			Winton/Graham Series
Metals	$	(566,954	)	$	—		$	(198,589	)
Currencies		243,759			(31,382	)		227,696
Energies		(34,704	)		—			(679,317	)
Agriculturals		(549,601	)		—			(550,816	)
Interest rates		(437,954	)		—			(700,607	)
Stock indices		665,022			—			(540,725	)
Unrealized trading income/(loss)(3)	$	(680,432	)	$	(31,382	)	$	(2,442,358	)

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

for the Six Months Ended June 30, 2010⁽¹⁾

Type of contract	Frontier Diversified Series			Frontier Long/Short Commodity Series			Balanced Series
Metals	$	(1,808,138	)	$	282,667		$	(2,053,379	)
Currencies		842,676			(69,820	)		(309,921	)
Energies		(4,250	)		24,029,704			675,037
Agriculturals		(390,911	)		(5,585,339	)		(197,897	)
Interest rates		883,518			(201,571	)		5,332,509
Stock indices		(227,989	)		31,629			(2,974,930	)
Unrealized trading income/(loss)(3)	$	(705,094	)	$	18,487,270		$	471,419
Type of contract	Campbell/Graham/ Tiverton Series			Currency Series			Winton/Graham Series
Metals	$	(484,296	)	$	—		$	(674,738	)
Currencies		129,289			14,092			1,099,478
Energies		10,147			—			(388,156	)
Agriculturals		(558,338	)		—			(532,741	)
Interest rates		360,514			—			(331,587	)
Stock indices		346,061			—			(404,403	)
Unrealized trading income/(loss)(3)	$	(196,623	)	$	14,092		$	(1,232,147	)

(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 QIM Trading Company - Global Program, LLC as of June 29, 2010, Tiverton Trading Company - Discretionary Program, LLC as of June 2, 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 Frontier Diversified Series, Balanced Series and Long/Short Series participate in trading activities through equity in earnings(loss) from the aforementioned deconsolidated trading companies.

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

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

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9. Trading Activities and Related Risks

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

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

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

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

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

10. Indemnifications

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

11. Subsequent Events

On July 15, 2011, Equinox Fund Management, LLC, the Managing Owner of the Frontier Dynamic Series of The Frontier Fund, announced that the Frontier Dynamic Series was closed to outside investors. In addition, all existing outside investors as of July 15, 2011 were redeemed at that date’s net asset value per unit. Payment for redeemed units were made within seven business days thereafter. This change did not affect any other series of The Frontier Fund.

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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 2010 Annual Report on Form 10-K for the year ended December 31, 2010.

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 June 30, 2011 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, Berkeley/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 generally accepted accounting principles (“GAAP”). These interim financial statements have been prepared in accordance with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X and serve to update the Trust’s 2010 Annual Report on Form 10-K (“Form 10-K”). These financial statements do not include all of the information and notes necessary to constitute a complete set of financial statements under GAAP applicable to annual periods. Accordingly, they should be read in conjunction with the financial information contained in the Form 10-K. In the opinion of management, all adjustments necessary for a fair presentation have been included. The results of operations for the interim periods disclosed herein are not necessarily indicative of results that may be expected for the full year or any future period.

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

Investment Transactions and Valuation

The Managing Owner has evaluated the nature and type of transactions processed and estimates that it makes in preparing the Trust’s financial statements and related disclosures and has adoptedAccounting Standard Codification (“ASC”) 820,Fair Value Measurements and Disclosure, and implemented the framework for measuring fair value for assets and liabilities.

The Trust utilizes valuation techniques that are consistent with the market approach per the requirement of ASC 820 for the valuation of futures (exchange traded) contracts, forward (non-exchange traded) contracts, option contracts, swap contracts and other non-cash assets. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. The Trust applies the valuation techniques in a consistent manner for each asset or liability. The Trust records all investments at fair value in its Statements of Financial Condition, with changes in fair value reported as a component of net gain/(loss) on investments in the Statements of Operations.

Inputs to valuation techniques refer to the assumptions that market participants would use in pricing the assets or liabilities. Inputs may be observable, meaning those that reflect the assumptions market participants would use in pricing the financial asset or liability based on market data obtained from independent sources, or unobservable, meaning those that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the financial asset or liability based on the best information available in the circumstances.

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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.

Liquidity and Capital Resources

The Trust will raise additional capital only through the sale of Units offered pursuant to the continuing offering, and does not intend to raise any capital through borrowing. Due to the nature of the Trust’s business, it makes no capital expenditures and has no capital assets that are not operating capital or assets.

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

A portion of each Trading Company’s assets is used as margin to maintain that Trading Company’s forward currency contract positions, and another portion is deposited in cash in segregated accounts in the name of each Trading Company maintained for each Trading Company at the clearing brokers in accordance with CFTC segregation requirements. At June 30, 2011, cash deposited at the clearing brokers was $81,562,405 for the Balanced Series, $1,228,750 for the Currency Series and $2,419,045 for the Frontier Masters Series. At December 31, 2010, cash deposited at the clearing brokers was $85,398,794 for the Balanced Series, $678,208 for the Currency Series, and $11,090,076 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 month. Currently, with the Federal Funds target rate at 0.00% to 0.25%, this amount is estimated to be 0.00%. In an attempt to increase interest income earned, the Managing Owner also may invest the non-margin assets in U.S. government securities which include any security issued or guaranteed as to principal or interest by the U.S., or by a person controlled by or supervised by and acting as an instrumentality of the government of the U.S. pursuant to authority granted by Congress or any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the U.S. government, and certain cash items such as money market funds, certificates of deposit (under nine months) and time deposits. Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Berkeley/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 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 forwards and options trading and held by the respective broker, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. treasury bills in segregated accounts with the futures broker pursuant to the Commodity Exchange Act and regulations there under. Approximately 2% to 6% of the Trust’s assets are expected to be deposited with over-the-counter counterparties in order to initiate and maintain forward and swap contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held in either U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparties. The remaining approximately 74% to 88% of the Trust’s assets will normally be invested in cash equivalents and short-term investments, such as money market funds and time deposits and held by the clearing broker, the over-the-counter counterparties and by U.S. federally chartered banks. As of June 30, 2011, total cash and cash equivalents and custom time deposits held at banking institutions were $83,080,798 for the Frontier Diversified Series, $15,900,535 for the Frontier Dynamic Series, $51,152,427 for the Frontier Long/Short Commodity Series, $39,487,639 for the Frontier Masters Series, $145,625,365 for the Balanced Series, $31,289,756 for the Berkeley/Graham/Tiverton Series, $9,364,252 for the Currency Series, $2,201,005 for the Long Only Commodity Series, $2,665,382 for the Managed Futures Index Series, $37,328,936, for the Winton Series, and $25,906,039 for the Winton/Graham Series. As of December 31, 2010, total cash and cash equivalents and custom time deposits held at banking institutions were $81,763,130 for the Frontier Diversified Series, $16,330,890 for the Frontier Dynamic Series, $39,619,945 for the Frontier Long/Short Commodity Series, $21,269,631 for the Frontier Masters Series, $159,675,524 for the Balanced Series, $41,113,225 for the Campbell/Graham/Tiverton Series, $11,653,535 for the Currency Series, $2,924,056 for the Long Only Commodity Series, $3,580,057 for the Managed Futures Index Series, $47,217,883, for the Winton Series, and $41,240,746 for the Winton/Graham Series.

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

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Off-Balance Sheet Risk

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

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

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

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

Tabular Disclosure of Contractual Obligations

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

Results of Operations

Three Months Ended June 30, 2011 Compared to Three Months Ended June 30, 2010.

Market conditions for 2011 are discussed after the Sector and Major CTA attribution charts included in the Series performance discussion, below.

Frontier Diversified Series

The Frontier Diversified Series – Class 1 NAV lost 4.6% and gained 2.1%, respectively, for the three months ended June 30, 2011 and 2010, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV lost 4.2% and gained 2.6%, respectively for the three months ended June 30, 2011 and 2010, net of fees and expenses.

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For the three months ended June 30, 2011, the Frontier Diversified Series recorded net loss on investments of $4,314,530, net income of $601,997, and total expenses of $3,016,999, resulting in a net decrease in Owners’ capital from operations of $6,729,532. For the three months ended June 30, 2010, the Frontier Diversified Series recorded net gain on investments of $3,375,455, net interest of $516,293, and total expenses of $2,026,912, resulting in a net increase in Owners’ capital from operations of $2,025,182 after non-controlling interests of $160,346.

Please see additional discussion under “Six Months Ended June 30, 2011 Compared to Six Months Ended June 30, 2010 – Frontier Diversified Series.”

Frontier Dynamic Series

The Frontier Dynamic Series – Class 1 NAV gained 0.6% and lost 0.9%, respectively, for the three months ended June 30, 2011 and 2010, net of fees and expenses; the Frontier Dynamic Series – Class 2 NAV gained 1.0% and lost 0.5%, respectively for the three months ended June 30, 2011 and 2010, net of fees and expenses.

For the three months ended June 30, 2011, the Frontier Dynamic Series recorded net gain on investments of $90,756, net income of $116,948, and total expenses of $196,773, resulting in a net increase in Owners’ capital from operations of $10,931. For the three months ended June 30, 2010, the Frontier Dynamic Series recorded net gain on investments of $71,162, net interest of $109,808, and total expenses of $192,157, resulting in a net decrease in Owners’ capital from operations of $11,187.

Please see additional discussion under “Six Months Ended June 30, 2011 Compared to Six Months Ended June 30, 2010 – Frontier Dynamic Series.”

Frontier Long/Short Commodity Series

The Frontier Long/Short Commodity Series – Class 1 NAV lost 5.3% and lost 3.5%, respectively, for the three months ended June 30, 2011 and 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 NAV lost 4.5% and lost 2.8%, respectively, for the three months ended June 30, 2011 and 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV lost 4.5% and lost 2.8%, respectively for the three month period ended June 30, 2011 and 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1a NAV lost 5.1% and lost 3.3%, respectively, for the three month period ended June 30, 2011 and 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV lost 4.7% and lost 2.8%, respectively, for the three month period ended June 30, 2011 and 2010, net of fees and expenses.

For the three months ended June 30, 2011, the Frontier Long/Short Commodity Series recorded net loss on investments of $1,817,531, net income of $375,605, and total expenses of $1,996,672, resulting in a net decrease in Owners’ capital from operations of $3,438,598. For the three months ended June 30, 2010, the Frontier Long/Short Commodity Series recorded net loss on investments of $590,859, net interest of $292,623, and total expenses of $1,812,142, resulting in a net decrease in Owners’ capital from operations of $2,110,378.

Please see additional discussion under “Six Months Ended June 30, 2011 Compared to Six Months Ended June 30, 2010 – Frontier Long/Short Commodity Series.”

Frontier Masters Series

The Frontier Masters Series – Class 1 NAV lost 4.0% and lost 1.1%, respectively, for the three months ended June 30, 2011 and 2010, net of fees and expenses; the Frontier Masters Series – Class 2 NAV lost 3.6% and lost 0.7%, respectively for the three months ended June 30, 2011 and 2010, net of fees and expenses.

For the three months ended June 30, 2011, the Frontier Masters Series recorded net loss on investments of $1,921,266, net income of $294,170, and total expenses of $404,249, resulting in a net decrease in Owners’ capital from operations of $2,019,603, after non-controlling interests of $11,742. For the three months ended June 30, 2010, the Frontier Masters Series recorded net gain on investments of $42,902, net interest of $267,906, and total expenses of $798,238, resulting in a net decrease in Owners’ capital from operations of $487,430.

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Please see additional discussion under “Six Months Ended June 30, 2011 Compared to Six Months Ended June 30, 2010 – Frontier Masters Series.”

Balanced Series

The Balanced Series – Class 1 NAV lost 4.3% and gained 2.6%, respectively, for the three months ended June 30, 2011 and 2010, net of fees and expenses; the Balanced Series – Class 1a NAV lost 4.7% and gained 2.4%, respectively, for the three months ended June 30, 2011 and 2010, net of fees and expenses; the Balanced Series – Class 2 NAV lost 3.6% and gained 3.4%, respectively, for the three months ended June 30, 2011 and 2010, net of fees and expenses; the Balanced Series – Class 2a NAV lost 4.0% and gained 3.2%, respectively, for the three months ended June 30, 2011 and 2010, net of fees and expenses; the Balanced Series – Class 3a NAV lost 4.0% and gained 3.2% for the three months ended June 30, 2011 and 2010, respectively, net of fees and expenses.

For the three months ended June 30, 2010, the Balanced Series recorded net loss on investments of $16,522,087, net income of $165,683, and total expenses of $7,335,640, resulting in a net decrease in Owners’ capital from operations of $13,513,467 after non-controlling interests of $10,178,577. For the three months ended June 30, 2010, the Balanced Series recorded net gain on investments of $20,354,107, net interest of $81,959, and total expenses of $8,140,400, resulting in a net increase in Owners’ capital from operations of $10,199,358 after non-controlling interests of ($2,096,308).

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 “Six Months Ended June 30, 2011 Compared to Six Months Ended June 30, 2010 – Balanced Series.”

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

The Berkeley/Graham/Tiverton Series – Class 1 NAV lost 7.2% and lost 0.5%, respectively, for the three months ended June 30, 2011 and 2010, net of fees and expenses; the Campbell/Graham/Tiverton Series – Class 2 NAV lost 6.5% and gained 0.3%, respectively for the three months ended June 30, 2011 and 2010, net of fees and expenses.

For the three months ended June 30, 2010, the Berkeley/Graham/Tiverton Series recorded net loss on investments of $3,125,440, net income of $11,867, and total expenses of $758,410, resulting in a net decrease in Owners’ capital from operations of $3,871,983. For the three months ended June 30, 2010, the Berkeley/Graham/Tiverton Series recorded net gain on investments of $980,753, net interest of $1,710, and total expenses of $1,167,976, resulting in a net decrease in Owners’ capital from operations of $244,215 after non-controlling interests of ($58,702).

Please see additional discussion under “Six Months Ended June 30, 2011 Compared to Six Months Ended June 30, 2010 – Berkeley/Graham/Tiverton Series.”

Currency Series

The Currency Series – Class 1 NAV lost 1.1% and gained 0.7% , respectively, for the three months ended June 30, 2011 and 2010, net of fees and expenses; the Currency Series – Class 2 NAV lost 0.4% and gained 1.4%, respectively for the three months ended June 30, 2011 and 2010, net of fees and expenses.

For the three months ended June 30, 2010, the Currency Series recorded net gain on investments of $46,073, net income of $24,807, and total expenses of $101,779, resulting in a net decrease in Owners’ capital from operations of $30,899. For the three months ended June 30, 2010, the Currency Series recorded net gain on investments of $161,214, net interest of $30,308, and total expenses of $122,082, resulting in a net increase in Owners’ capital from operations of $69,440.

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

Please see additional discussion under “Six Months Ended June 30, 2011 Compared to Six Months Ended June 30, 2010 – Currency Series.”

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Long Only Commodity Series

The Long Only Commodity Series – Class 1 NAV lost 5.7% and lost 6.2%, respectively, for the three months ended June 30, 2011 and 2010, net of fees and expenses; the Long Only Commodity Series – Class 2 NAV lost 5.3% and lost 5.8% respectively, for the three months ended June 30, 2011 and 2010, net of fees and expenses; the Long Only Commodity Series – Class 3 NAV lost 5.3% for the three months ended June 30, 2011, net of fees and expenses.

For the three months ended June 30, 2010, the Long Only Commodity Series recorded net loss on investments of $187,542, net income of $18,017, and total expenses of $29,052, resulting in a net decrease in Owners’ capital from operations of $198,577. For the three months ended June 30, 2010, the Long Only Commodity Series recorded net loss on investments of $246,070, net interest of $20,558, and total expenses of $33,571, resulting in a net decrease in Owners’ capital from operations of $259,083.

Please see additional discussion under “Six Months Ended June 30, 2011 Compared to Six Months Ended June 30, 2010 – Long Only Commodity Series.”

Managed Futures Index Series

The Managed Futures Index Series – Class 1 NAV lost 7.6% and gained 3.1%, respectively, for the three months ended June 30, 2011 and 2010, respectively, net of fees and expenses; the Managed Futures Index Series – Class 2 NAV lost 7.1% and gained 3.6%, respectively, for the three months ended June 30, 2011 and 2010, net of fees and expenses; the Managed Futures Index Series – Class 3 NAV lost 7.1% for the three months ended June 30, 2011, net of fees and expenses.

For the three months ended June 30, 2010, the Managed Futures Index Series recorded a net loss on investments of $277,223, net income of $21,448, and total expenses of $33,263, resulting in a net decrease in Owners’ capital from operations of $289,038. For the three months ended June 30, 2010, the Managed Futures Index Series recorded a net gain on investments of $236,311, net interest of $4,538, and total expenses of $46,173, resulting in a net increase in Owners’ capital from operations of $194,676.

Please see additional discussion under “Six Months Ended June 30, 2011 Compared to Six Months Ended June 30, 2010 – Managed Futures Index Series.”

Winton Series

The Winton Series – Class 1 NAV lost 3.1% and gained 2.9%, respectively, for the three months ended June 30, 2011 and 2010, net of fees and expenses; the Winton Series – Class 2 NAV lost 2.4% and gained 3.6%, respectively, for the three months ended June 30, 2011 and 2010, net of fees and expenses.

For the three months ended June 30, 2010, the Winton Series recorded net loss on investments of $865,295, net income of $105,532, and total expenses of $704,952, resulting in a net decrease in Owners’ capital from operations of $1,464,715. For the three months ended June 30, 2010, the Winton Series recorded net gain on investments of $2,548,316, net interest of $63,942, and total expenses of $839,588, resulting in a net increase in Owners’ capital from operations of $1,772,670.

Please see additional discussion under “Six Months Ended June 30, 2011 Compared to Six Months Ended June 30, 2010 – Winton Series.”

Winton/Graham Series

The Winton/Graham Series – Class 1 NAV lost 4.1% and gained 1.1%, respectively, for the three months ended June 30, 2011 and 2010 net of fees and expenses; the Winton/Graham Series – Class 2 NAV lost 3.3% and gained 1.9%, respectively for the three months ended June 30, 2011 and 2010, net of fees and expenses.

For the three months ended June 30, 2010, the Winton/Graham Series recorded net loss on investments of $845,492, net income of $36,923, and total expenses of $690,158, resulting in a net decrease in Owners’ capital from operations of $1,396,441 after non-controlling interests of $102,286. For the three months ended June 30, 2010, the Winton/Graham Series recorded net gain on investments of $1,834,176, net interest of $56,239, and total expenses of $907,514, resulting in a net increase in Owners’ capital from operations of $764,172 after non-controlling interests of ($218,729).

Please see additional discussion under “Six Months Ended June 30, 2011 Compared to Six Months Ended June 30, 2010 – Winton/Graham Series.”

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Market Conditions for Six Months Ended June 30, 2011

Market conditions for 2011 are discussed after the Sector and Major CTA attribution charts included in the Series performance discussion, below.

Market Conditions for Six Months Ended June 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.

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Currencies

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

Stock Indices

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

Energy

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

Metals

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

Agriculturals

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

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 June 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 June delivery finished up 5.9% at $1,180/oz. Silver, platinum and palladium futures strengthened as well, finishing up 6.2%, 6.0% and 15.8%, respectively, for the month.

Agriculturals

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

May 2010

Interest Rates

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

Currencies

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

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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 June. 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 June, 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 June. The DJIA, the S&P 500 Index and the NASDAQ Composite Index dropped by 3.6%, 5.4% and-6.5%, respectively, for the month. In Europe, FTSE index futures fell 6.2%, CAC-40 futures finished lower by 3.1% and DAX index futures finished down 1.1%.

Energy

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

Agriculturals

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

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Six Months Ended June 30, 2011 Compared to Six Months Ended June 30, 2010.

Frontier Diversified Series

2011

The Frontier Diversified Series – Class 1 NAV lost 1.9% for the six months ended June 30, 2011, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV lost 1.0% for the six months ended June 30, 2011, net of fees and expenses.

For the six months ended June 30, 2011 the Frontier Diversified Series recorded a net gain on investments of $3,684,165, net income of $1,192,025, and total expenses of $6,713,107, resulting in a net decrease in Owners’ capital from operations of $1,836,917. The NAV per Unit, Class 1, decreased from $103.58 at December 31, 2010, to $101.63 as of June 30, 2011. The NAV per Unit, Class 2, decreased from $106.46 at December 31, 2010, to $105.37 as of June 30, 2011. Total Class 1 subscriptions and redemptions for the period were $18,698,351 and $31,826,924, respectively. Total Class 2 subscriptions and redemptions for the period were $12,205,850 and $19,693,250, respectively. Ending capital at June 30, 2011, was $75,613,176 for Class 1 and $61,429,906 for Class 2. Ending capital at December 31, 2010, was $90,022,131 for Class 1 and $69,473,841 for Class 2.

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

Frontier Diversified Series

Two of the six sectors traded in the Frontier Diversified Series were profitable in the second quarter. The energies and interest rates sectors were profitable while the metals, currencies, agricultural and stock indices sectors were negative for the quarter.

In terms of major CTA performance, none of the seven major CTAs in the Frontier Diversified Series were profitable during the second quarter with QIM, Quant Metrics and Transtrend being the worst performers.

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2010

The Frontier Diversified Series – Class 1 NAV gained 0.7% for the six months ended June 30, 2010, net of fees and expenses; the Frontier Diversified Series – Class 2 NAV gained 1.6% for the six months ended June 30, 2010, net of fees and expenses. For the six months ended June 30, 2010 the Frontier Diversified Series recorded a net gain on investments of $3,726,885, net interest of $927,541, and total expenses of $3,054,650, resulting in a net increase in Owners’ capital from operations of $1,756,781 after non-controlling interests of $157,005. The NAV per Unit, Class 1, increased from $96.80 at December 31, 2009, to $97.51 as of June 30, 2010. The NAV per Unit, Class 2, increased from $97.77 at December 31, 2009, to $99.34 as of June 30, 2010. Total Class 1 subscriptions and redemptions for the period were $35,934,585 and $824,542, respectively. Total Class 2 subscriptions and redemptions for the period were $27,385,604 and $599,950, respectively. Ending capital at June 30, 2010, was $69,054,366 for Class 1 and $50,914,231 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 Six Months Ended June 30, 2010,for additional information regarding these sectors.

Sector Attribution for the Frontier Diversified Series

Frontier Dynamic Series

2011

The Frontier Dynamic Series – Class 1 NAV lost 1.8% for the six months ended June 30, 2011, net of fees and expenses; the Frontier Dynamic Series – Class 2 NAV lost 1.0% for the six months ended June 30, 2011, net of fees and expenses.

For the six months ended June 30, 2011 the Frontier Dynamic Series recorded a net gain on investments of $139,167, net income of $230,851, and total expenses of $396,123, resulting in a net decrease in Owners’ capital from operations of $26,105. The NAV per Unit, Class 1, decreased from $91.94 at December 31, 2010, to $90.24 as of June 30, 2011. The NAV per Unit, Class 2, decreased from $94.40 at December 31, 2010, to $93.47 as of June 30, 2011. Total Class 1 subscriptions and redemptions for the period were $156,200 and $162,057, respectively. Total Class 2 subscriptions and redemptions for the period were $41,500 and $129,783, respectively. Ending capital at June 30, 2011, was $1,189,639 for Class 1 and $323,038 for Class 2. Ending capital at December 31, 2010, was $1,219,222 for Class 1 and $413,700 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.

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 or major CTA Attribution charts for the Dynamic Series. The investments underlying the option basket are managed dynamically by an independent third party with monthly allocations and withdrawals from numerous reference funds managed by independent commodity trading advisors. A number of advisors may be removed entirely and a number of others added on a monthly basis. Therefore there is no index or benchmark against which the performance may be compared.

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Frontier Dynamic Series

2010

The Frontier Dynamic Series – Class 1 NAV lost 1.8% for the six months ended June 30, 2010, net of fees and expenses; the Frontier Dynamic Series – Class 2 NAV lost 0.9% for the six months ended June 30, 2010, net of fees and expenses.

For the six months ended June 30, 2010 the Frontier Dynamic Series recorded a net gain on investments of $137,245, net interest of $223,162, and total expenses of $379,180, resulting in a net decrease in Owners’ capital from operations of $18,773. The NAV per Unit, Class 1, decreased from $91.43 at December 31, 2009, to $89.79 as of June 30, 2010. The NAV per Unit, Class 2, decreased from $92.25 at December 31, 2009, to $91.39 as of June 30, 2010. Total Class 1 subscriptions and redemptions for the period were $774,700 and $56,228, respectively. Total Class 2 subscriptions and redemptions for the period were $100,667 and $6,746, respectively. Ending capital at June 30, 2010, was $1,308,624 for Class 1 and $381,913 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 Six Months Ended June 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.

Frontier Long/Short Commodity Series

2011

The Frontier Long/Short Commodity Series – Class 1 NAV gained 5.9% for the six months ended June 30, 2011, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 NAV gained 7.5% for the six months ended June 30, 2011, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV gained 7.5% for the six months ended June 30, 2011, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1a NAV gained 5.8% for the six months ended June 30, 2011, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV gained 6.7% for the six months ended June 30, 2011, net of fees and expenses.

For the six months ended June 30, 2011, the Frontier Long/Short Commodity Series recorded net gain on investments of $10,262,813, net income of $691,895, and total expenses of $4,999,836, resulting in a net increase in Owners’ capital from operations of $5,954,872. The NAV per Unit, Class 1, increased from $132.73 at December 31, 2010, to $140.52 as of June 30, 2011. The NAV per Unit, Class 2, increased from $153.26 at December 31, 2010, to $164.69 as of June 30, 2011. The NAV per Unit, Class 3, increased from $153.26 at December 31, 2010, to $164.68 as of June 30, 2011. The NAV per Unit, Class 1a, increased from $117.96 at December 31, 2010, to $124.76 as of June 30, 2011. The NAV per Unit, Class 2a, increased from $121.18 at December 31, 2010, to $129.28 as of June 30, 2011. Total Class 1 subscriptions and redemptions for the period were $51,146 and $20,4730,317, respectively. Total Class 2 redemptions for the period were $5,946,835. There were no subscriptions. Total Class 3 subscriptions and redemptions for the period were $10,809,007 and $10,021,196, respectively. Total Class 1a subscriptions and redemptions for the period were $8,494,187 and $325,640, respectively. Total Class 2a subscriptions and redemptions for the period were $4,138,649 and $346,139, respectively. Ending capital at June 30, 2011, was $13,522,393for Class 1, $11,061,057 for Class 2, $23,435,670 for Class 3, $13,868,152 for Class 1a and $7,673,902 for Class 2a. Ending capital at December 31, 2010, was $31,185,756 for Class 1, $15,584,978 for Class 2, $20,998,571 for Class 3, $5,652,309 for Class 1a and $3,761,826 for Class 2a.

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

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Frontier Long/Short Commodity Series

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Two of the seven sectors traded in the Frontier Long/Short Commodity Series were profitable in the second quarter. Meats and softs were positive while grains, base metals, energies, precious metals and financials were negative during the quarter.

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

Frontier Long/Short Commodity Series

2010

The Frontier Long/Short Commodity Series – Class 1 NAV lost 5.7% for the six months ended June 30, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2 NAV lost 4.3% for the six months ended June 30, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 3 NAV lost 4.3% for the six months ended June 30, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 1 a NAV lost 5.3% for the six months ended June 30, 2010, net of fees and expenses; the Frontier Long/Short Commodity Series – Class 2a NAV lost 4.5% for the six months ended June 30, 2010, net of fees and expenses.

For the six months ended June 30, 2010, the Frontier Long/Short Commodity Series recorded net loss on investments of $3,837,037, net interest of $501,908, and total expenses of $3,093,606, resulting in a net decrease in Owners’ capital from operations of $3,515,614 after non-controlling interests of $2,913,121. The NAV per Unit, Class 1, decreased from $113.77 at December 31, 2009, to $107.25 as of June 30, 2010. The NAV per Unit, Class 2, decreased from $127.49 at December 31, 2009, to $121.98 as of June 30, 2010. The NAV per Unit, Class 3, decreased from $127.49 at December 31, 2009, to $121.97 as of June 30, 2010. The NAV per Unit, Class 1a, decreased from $101.49 at December 31, 2009, to $96.08 as of June 30, 2010. The NAV per Unit, Class 2a, decreased from $102.48 at December 31, 2009, to $97.84 as of June 30, 2010. Total Class 1 subscriptions and redemptions for the six months were $63,775 and $7,846,655, respectively. Total Class 2 redemptions for the six months were $1,125,584. There were no subscriptions. Total Class 3 subscriptions and redemptions for the six months were $5,661,686 and $660,920, respectively. Total Class 1a subscriptions and redemptions for the six months were $1,908,157 and $20,794, respectively. Total Class 2a subscriptions and redemptions for the six months were $870,834 and $101,166, respectively. Ending capital at June 30, 2010, was $35,521,864 for Class 1, $13,249,373 for Class 2, $10,860,346 for Class 3, $2,869,604 for Class 1a and $1,586,464 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.

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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 Six Months Ended June 30, 2010, for additional information regarding these sectors.

Sector Attribution for the Frontier Long/Short Commodity Series

Frontier Masters Series

2011

The Frontier Masters Series – Class 1 NAV lost 3.8% for the six months ended June 30, 2011, net of fees and expenses; the Frontier Masters Series – Class 2 NAV lost 3.0% for the six months ended June 30, 2011, net of fees and expenses.

For the six months ended June 30, 2011 the Frontier Masters Series recorded a net loss on investments of $121,553, net income of $465,136, and total expenses of $2,204,342, resulting in a net decrease in Owners’ capital from operations of $1,841,369 after non-controlling

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interests of $19,390. The NAV per Unit, Class 1, decreased from $102.96 at December 31, 2010, to $99.01 as of June 30, 2011. The NAV per Unit, Class 2, decreased from $105.81 at December 31, 2010, to $102.63 as of June 30, 2011. Total Class 1 subscriptions and redemptions for the period were $6,265,915 and $11,512,647, respectively. Total Class 2 subscriptions and redemptions for the period were $2,247,586 and $7,161,090, respectively. Ending capital at June 30, 2011, was $34,716,307 for Class 1 and $19,557,818 for Class 2. Ending capital at December 31, 2010, was $41,213,675 for Class 1 and $25,062,055 for Class 2.

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

Frontier Masters Series

One of the six sectors traded in the Frontier Masters Series was profitable in the second quarter. Interest rates were positive while currencies, energies, agriculturals, metals and stock indices were negative for the quarter.

In terms of major CTA performance, none of the four major CTAs in the Frontier Masters Series were profitable during the second quarter, with Tiverton and Transtrend being the worst performers.

2010

The Frontier Masters Series – Class 1 NAV lost 0.8% for the six months ended June 30, 2010, net of fees and expenses; the Frontier Masters Series – Class 2 NAV was unchanged for the six months ended June 30, 2010, net of fees and expenses.

For the period ended June 30, 2010 the Frontier Masters Series recorded a net gain on investments of $890,571, net interest of $478,578, and total expenses of $1,409,120, resulting in a net decrease in Owners’ capital from operations of $39,971. The NAV per Unit, Class 1, decreased from $94.46 at December 31, 2009, to $93.66 as of June 30, 2010. The NAV per Unit, Class 2, increased from $95.37 at December 31, 2009, to $95.39 as of June 30, 2010. Total Class 1 subscriptions and redemptions for the period were $15,992,592 and $210,148, respectively. Total Class 2 subscriptions and redemptions for the period were $13,791,519 and $461,515, respectively. Ending capital at June 30, 2010, was $30,333,160 for Class 1 and $22,026,504 for Class 2. Ending capital at December 31, 2009, was $14,723,330 for Class 1 and $8,563,857 for Class 2.

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

Sector Attribution for the Frontier Masters Series

Balanced Series

Balanced Series

2011

The Balanced Series – Class 1 NAV lost 1.1% for the six months ended June 30, 2011, net of fees and expenses; the Balanced Series – Class 1a NAV lost 1.7% for the six months ended June 30, 2011, net of fees and expenses; the Balanced Series – Class 2 NAV lost 0.4% for the six months ended June 30, 2011, net of fees and expenses; the Balanced Series – Class 2a NAV lost 0.2% for the six months ended June 30, 2011, net of fees and expenses; the Balanced Series – Class 3a NAV lost 0.2% for the six months ended June 30, 2011, net of fees and expenses.

For the six months ended June 30, 2011, the Balanced Series recorded net gain on investments of $4,365,083, net income of $201,656, and total expenses of $14,954,824, resulting in a net decrease in Owners’ capital from operations of $217,256 after non- controlling interests of $10,170,829. The NAV per Unit, Class 1, decreased from $131.95 at December 31, 2010, to $130.46 at June 30, 2011. For Class 1a, the NAV per Unit decreased from $116.36 at December 31, 2010, to $114.39 at June 30, 2011. The NAV per Unit, Class 2, increased from $159.46 at December 31, 2010, to $160.02 at June 30, 2011. For Class 2a, the NAV per Unit decreased from $133.66 at December 31, 2010, to $133.35 at June 30, 2011. For Class 3a, the NAV per Unit decreased from $133.66 at December 31, 2010, to $138.36 at June 30, 2011. Total Class 1 subscriptions and redemptions for the period were $394,527 and $74,774,088, respectively. Total Class 1a subscriptions and redemptions for the period were $3,753 and $1,490,027, respectively. Total Class 2 subscriptions and redemptions for the period were $8,303 and $9,709,379, respectively. Total Class 2a redemptions for the period were $290,026. There were no subscriptions. Total Class 3a subscriptions and redemptions for the period were $277,000 and $701,352, respectively. Ending capital at June 30, 2011, was $212,676,740 for Class 1, $3,608,725 for Class 1a, $67,571,266 for Class 2, $3,269,788 for Class 2a and $3,272,386 for Class 3a. At December 31, 2010, ending capital was $287,807,510 for Class 1, $5,120,558 for Class 1a, $76,715,728 for Class 2, $3,562,374 for Class 2a, and $3,691,280 for Class 3a.

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

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Balanced Series

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Two of the six sectors traded in the Balanced Series were profitable in the second quarter. The energies and interest rates sectors were profitable while the metals, currencies, agriculturals and stock indices sectors were negative for the quarter.

In terms of major CTA performance, none of the five major CTAs in the Balanced Series were profitable during the second quarter, with QIM, Quant Metrics and Transtrend being the worst performers.

2010

The Balanced Series – Class 1 NAV gained 2.0% for the six months ended June 30, 2010, net of fees and expenses; the Balanced Series – Class 1a NAV gained 1.6% for the six months ended June 30, 2010, net of fees and expenses; the Balanced Series – Class 2 NAV gained 3.5% for the six months ended June 30, 2010, net of fees and expenses; the Balanced Series – Class 2a NAV gained 3.1% for the six months ended June 30, 2010, net of fees and expenses; the Balanced Series – Class 3a NAV gained 3.1% for the six months ended June 30, 2010, net of fees and expenses.

For the six months ended June 30, 2010, the Balanced Series recorded net gain on investments of $20,088,663, net interest of $287,119, and total expenses of $11,976,076, resulting in a net increase in Owners’ capital from operations of $8,190,024 after non- controlling interests of ($209,682). The NAV per Unit, Class 1, increased from $118.54 at December 31, 2009, to $120.89 at June 30, 2010. For Class 1a, the NAV per Unit increased from $105.50 at December 31, 2009, to $107.17 at June 30, 2010. The NAV per Unit, Class 2, increased from $139.01 at December 31, 2009, to $143.90 at June 30, 2010. For Class 2a, the NAV per Unit increased from $117.60 at December 31, 2009, to $121.26 at June 30, 2010. For Class 3a, the NAV per Unit increased from $117.60 at December 31, 2009, to $121.27 at June 30, 2010. Total Class 1 subscriptions and redemptions for the three months were $357,897 and $13,620,753, respectively. Total Class 1a subscriptions and redemptions for the six month period were $22,122 and $3,217,147, respectively. Total Class 2 subscriptions and redemptions for the six months were $10,739 and $4,531,635, respectively. Total Class 2a redemptions for the six month period were $115,490. There were no subscriptions. Total Class 3a subscriptions and redemptions for the period were $2,440,748 and $489,257, respectively. Ending capital at June 30, 2010, was $278,159,303 for Class 1, $6,016,489 for Class 1a, $75,371,435 for Class 2, $3,279,409 for Class 2a and $3,236,511 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 Six Months Ended June 30, 2010, for additional information regarding these sectors.

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

2011

The Berkeley/Graham/Tiverton Series – Class 1 NAV lost 8.7% for the six months ended June 30, 2011, net of fees and expenses; the Berkeley/Graham/Tiverton Series – Class 2 NAV lost 7.4% for the six months ended June 30, 2011, net of fees and expenses.

For the six months ended June 30, 2011, the Berkeley/Graham/Tiverton Series recorded net loss on investments of $3,260,133, net income of $17,176, and total expenses of $1,676,671, resulting in a net decrease in Owners’ capital from operations of $4,919,628. The NAV per Unit, Class 1, decreased from $110.46 at December 31, 2010, to $100.81 as of June 30, 2011. The NAV per Unit, Class 2, decreased from $131.73 at December 31, 2010, to $122.02 as of June 30, 2011. Total Class 1 subscriptions and redemptions for the period were $47,627 and $14,779,500, respectively. Total Class 2 redemptions for the period were $2,713,564. There were no subscriptions. Ending capital at June 30, 2011, was $42,650,208 for Class 1 and $5,214,055 for Class 2. Ending capital at December 31, 2010, was $61,842,996 for Class 1 and $8,386,332 for Class 2.

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

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Berkeley/Graham/Tiverton Series

None of the six sectors traded in the Berkeley/Graham/Tiverton Series were profitable in the second quarter. Energies, agriculturals and stock indices were the least profitable sectors during the quarter.

In terms of major CTA performance, none of the advisors were profitable in the second quarter with Berkeley being the worst performer.

2010

The Berkeley/Graham/Tiverton Series – Class 1 NAV lost 3.7% for the six months ended June 30, 2010, net of fees and expenses; the Berkeley/Graham/Tiverton Series – Class 2 NAV lost 2.3% for the six months ended June 30, 2010, net of fees and expenses.

For the six months ended June 30, 2010, the Berkeley/Graham/Tiverton Series recorded net loss on investments of $196,715, net interest of $594, and total expenses of $2,334,356, resulting in a net decrease in Owners’ capital from operations of $2,767,076 after non-controlling interests of ($236,599). The NAV per Unit, Class 1, decreased from $104.65 at December 31, 2009, to $100.78 as of June 30, 2010. The NAV per Unit, Class 2, decreased from $121.10 at December 31, 2009, to $118.37 as of June 30, 2010. Total Class 1 subscriptions and redemptions for the six months ended June 30, 2010, were $67,704 and $4,240,798, respectively. Total Class 2 redemptions for the six months ended June 30, 2010, were $1,287,873. There were no subscriptions. Ending capital at June 30, 2010, was $62,735,686 for Class 1 and $8,398,631 for Class 2. Ending capital at December 31, 2009, was $69,447,366 for Class 1 and $9,914,994 for Class 2.

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

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Sector Attribution for the Berkeley/Graham/Tiverton Series

Currency Series

2011

The Currency Series – Class 1 NAV lost 5.5% for the six months ended June 30, 2011, net of fees and expenses; the Currency Series – Class 2 NAV lost 4.1% for the six months ended June 30, 2011, net of fees and expenses.

For the six months ended June 30, 2011, the Currency Series recorded net loss on investments of $177,831, net income of $54,459, and total expenses of $210,369, resulting in a net decrease in Owners’ capital from operations of $333,741. The NAV per Unit, Class 1, decreased from $79.09 at December 31, 2010, to $74.74 as of June 30, 2011. The NAV per Unit, Class 2, decreased from $95.43 at December 31, 2010, to $91.54 as of June 30, 2011. Total Class 1 subscriptions and redemptions for the period were $30,393 and $1,102,932, respectively. Total Class 2 redemptions for the period were $621,417. There were no subscriptions. Ending capital at June 30, 2011, was $4,989,176 for Class 1 and $122,527 for Class 2. Ending capital at December 31, 2010, was $6,381,882 for Class 1 and $757,518 for Class 2.

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

Currency Series

In terms of major CTA performance, FX Concepts was positive while C-view and Harmonic were negative for the quarter.

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

2010

The Currency Series – Class 1 NAV gained 2.6% for the six months ended June 30, 2010, net of fees and expenses; the Currency Series – Class 2 NAV gained 4.1% for the six months ended June 30, 2010, net of fees and expenses.

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For the six months ended June 30, 2010, the Currency Series recorded net gain on investments of $418,441, net interest of $67,766, and total expenses of $246,090, resulting in a net increase in Owners’ capital from operations of $240,117. The NAV per Unit, Class 1, increased from $78.00 at December 31, 2009, to $80.02 as of June 30, 2010. The NAV per Unit, Class 2, increased from $91.34 at December 31, 2009, to $95.11 as of June 30, 2010. Total Class 1 subscriptions and redemptions for the six months ending June 30, 2010 were $34,112, and $1,183,459, respectively. Total Class 2 redemptions for the six months ending June 30, 2010, was $1,516,813. There were no subscriptions. Ending capital at June 30, 2010, was $6,990,880 for Class 1 and $791,205 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 Six Months Ended June 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.

Long Only Commodity Series

2011

The Long Only Commodity Series – Class 1 NAV lost 0.2% for the six months ended June 30, 2011, net of fees and expenses; the Long Only Commodity Series – Class 2 NAV gained 0.7% for the six months ended June 30, 2011, net of fees and expenses; the Long Only Commodity Series – Class 3 NAV gained 0.6% from the start of trading operations on January 13, 2011 through June 30, 2011, net of fees and expenses.

For the six months ended June 30, 2011, the Long Only Commodity Series recorded net gain on investments of $66,844, net income of $39,619, and total expenses of $63,880, resulting in a net increase in Owners’ capital from operations of $42,583. The NAV per Unit, Class 1, decreased from $94.11 at December 31, 2010 to $93.88 as of June 30, 2011. The NAV per Unit, Class 2, increased from $103.71 at December 31, 2010, to $104.48 as of June 30, 2011. The NAV per Unit, Class 3, increased from $103.88 at the beginning of trading operations on January 14, 2011, to $104.48 as of June 30, 2011. Total Class 1 subscriptions and redemptions for the period were $557 and $1,484,628, respectively. Total Class 2 redemptions for the period were $584,000. There were no subscriptions. Total Class 3 subscriptions and redemptions for the period were $787,551 and $177,528, respectively. Ending capital at June 30, 2011, was $1,904,026 for Class 1, $292,010 for Class 2 and $581,730 for Class 3. Ending capital at December 31, 2010, was $3,348,953 for Class 1 and $844,278 for Class 2.

The Long Only Commodity Series may have long-only exposure in the Energies, Metals, and Commodities sectors. The Long Only Commodity Series invests approximately equally in the Jefferies Commodity Performance Index and the Thompson Reuters/Jefferies CRB Index. There are no Sector or major CTA Attribution charts for the Long Only Commodity Series.

The Jefferies Commodity Performance Index is a broadly-diversified, long-only, passive, rules-based index that uses proprietary composition, rebalancing and rollover methodology for calculating the Index. For the period from January 1, through June 30, 2011 the index decreased 1.24%. The Thompson Reuters/Jefferies CRB Index is designed to provide timely and accurate representation of a long-only, broadly diversified investment in commodities through a transparent and disciplined calculation methodology. For the period from January 1, through June 30, 2011 the index increased 1.62%. The average of the two indexes for the six months ended June 30, 2011 was 0.19%. Both indexes are proprietary to Jefferies & Company, Inc.

2010

The Long Only Commodity Series – Class 1 NAV lost 10.0% for the six months ended June 30, 2010, net of fees and expenses; the Long Only Commodity Series – Class 2 NAV lost 9.1% for the six months ended June 30, 2010, net of fees and expenses.

For the six months ended June 30, 2010, the Long Only Commodity Series recorded net loss on investments of $415,903, net interest of $43,582, and total expenses of $70,308, resulting in a net decrease in Owners’ capital from operations of $442,629. The NAV per Unit, Class 1, decreased from $83.59 at December 31, 2009 to $75.21 as of June 30, 2010. The NAV per Unit, Class 2, decreased from $90.30 at December 31, 2009, to $82.05 as of June 30, 2010. Total Class 1 subscriptions and redemptions for the six months were $465 and $351,775, respectively. Total Class 2 redemptions for the six months were $148,933. There were no subscriptions. Ending capital at June 30, 2010, was $3,002,832 for Class 1 and $720,621 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 Six Months Ended June 30, 2010, for additional information regarding these sectors.

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

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Managed Futures Index Series

2011

The Managed Futures Index Series – Class 1 NAV lost 11.9% for the six months ended June 30, 2011, net of fees and expenses; the Managed Futures Index Series – Class 2 NAV lost 11.0% for the six months ended June 30, 2011, net of fees and expenses; the Managed Futures Index Series – Class 3 NAV lost 8.9% from the start of trading operations on January 13, 2011 through June 30, 2011, net of fees and expenses.

For the six months ended June 30, 2011 the Managed Futures Index Series recorded a net loss on investments of $477,123, net income of $44,982, and total expenses of $70,423, resulting in a net decrease in Owners’ capital from operations of $502,564. The NAV per Unit, Class 1, decreased from $117.96 at December 31, 2010, to $103.95 as of June 30, 2011. The NAV per Unit, Class 2, decreased from $129.69 at December 31, 2010, to $115.43 as of June 30, 2011. The NAV per Unit, Class 3, decreased from $126.73 at the start of trading operations on January 14, 2011, to $115.42 as of June 30, 2011. Total Class 1 redemptions for the period were $919,127. There were no subscriptions. Total Class 2 redemptions for the period were $575,357. There were no subscriptions. Total Class 3 subscriptions and redemptions for the period were $ 371,833 and $2,102, respectively. Ending capital at June 30, 2011, was $375,589 for Class 1, $2,820,776 for Class 2 and $336,781 for Class 3. Ending capital at December 31, 2010, was $1,388,452 for Class 1 and $3,772,011 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.

Managed Futures Index Series

One of the six sectors traded in the Managed Futures Index Series was profitable in the second quarter. Interest rates were positive while metals, currencies, energies, agriculturals and stock indices were negative during the second quarter.

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2010

The Managed Futures Index Series – Class 1 NAV gained 2.2% for the six months ended June 30, 2010, net of fees and expenses; the Managed Futures Index Series – Class 2 NAV gained 3.2% for the six months ended June 30, 2010, net of fees and expenses.

For the six months ended June 30, 2010 the Managed Futures Index Series recorded a net gain on investments of $197,003, net interest of $15,414, and total expenses of $87,242, resulting in a net increase in Owners’ capital from operations of $125,175. The NAV per Unit, Class 1, increased from $112.54 at December 31, 2009, to $115.01 as of June 30, 2010. The NAV per Unit, Class 2, increased from $121.28 at December 31, 2009, to $125.18 as of June 30, 2010. Total Class 1 redemptions for the six months were $141,595. There were no subscriptions. Total Class 2 subscriptions and redemptions for the six months were $2,000,000 and $58,695, respectively. Ending capital at June 30, 2010, was $1,728,493 for Class 1 and $3,969,601 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 Six Months Ended June 30, 2010,for additional information regarding these sectors.

Sector Attribution for the Managed Futures Index Series

Winton Series

2011

The Winton Series – Class 1 NAV lost 2.2% for the six months ended June 30, 2011, net of fees and expenses; the Winton Series – Class 2 NAV lost 0.7% for the six months ended June 30, 2011, net of fees and expenses.

For the six months ended June 30, 2011, the Winton Series recorded net gain on investments of $742,497, net income of $209,265, and total expenses of $1,724,039, resulting in a net decrease in Owners’ capital from operations of $772,277. The NAV per Unit, Class 1, decreased from $135.04 at December 31, 2010, to $132.13 as of June 30, 2011. The NAV per Unit, Class 2, decreased from $153.99 at December 31, 2010, to $152.92 as of June 30, 2011. Total Class 1 subscriptions for the period were $140,694 and redemptions were $10,672,302. Total Class 2 redemptions for the period were $439,666. There were no subscriptions. Ending capital at June 30, 2011, was $38,120,707 for Class 1 and $10,855,179 for Class 2. Ending capital at December 31, 2010, was $49,350,981 for Class 1 and $11,368,456 for Class 2.

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

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Winton Series

One of the six sectors traded in the Winton Series was profitable in the second quarter. Currencies were positive while metals, energies, agriculturals, interest rates and stock indices were negative for the quarter.

2010

The Winton Series – Class 1 NAV gained 7.9% for the six months ended June 30, 2010, net of fees and expenses; the Winton Series – Class 2 NAV gained 9.5% for the six months ended June 30, 2010, net of fees and expenses.

For the six months ended June 30, 2010, the Winton Series recorded net gain on investments of $6,179,566, net interest of $92,449, and total expenses of $1,639,048, resulting in a net increase in Owners’ capital from operations of $4,632,967. The NAV per Unit, Class 1, increased from $117.57 at December 31, 2009, to $126.88 as of June 30, 2010. The NAV per Unit, Class 2, increased from $130.10 at December 31, 2009, to $142.50 as of June 30, 2010. Total Class 1 subscriptions for the six months were $133,403 and redemptions were $2,706,914. Total Class 2 redemptions for the six month period were $369,726. There were no subscriptions. Ending capital at June 30, 2010, was $49,323,862 for Class 1 and $10,768,047 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 Six Months Ended June 30, 2010, for additional information regarding these sectors.

Sector Attribution for the Winton Series

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Winton/Graham Series

2011

The Winton/Graham Series – Class 1 NAV lost 5.0% for the six months ended June 30, 2011, net of fees and expenses; the Winton/Graham Series – Class 2 NAV lost 3.6% for the six months ended June 30, 2011, net of fees and expenses.

For the six months ended June 30, 2011, the Winton/Graham Series recorded net loss on investments of $797,530, net income of $94,852, and total expenses of $1,611,886, resulting in a net decrease in Owners’ capital from operations of $1,843,845, after non-controlling interest of $470,719. The NAV per Unit, Class 1, decreased from $119.83 at December 31, 2010, to $113.85 as of June 30, 2011. The NAV per Unit, Class 2, decreased from $144.04 at December 31, 2010, to $138.90 as of June 30, 2011. Total Class 1 subscriptions and redemptions for the period were $67,701 and $14,634,590, respectively. Total Class 2 redemptions for the period were $4,478,042. There were no subscriptions. Ending capital at June 30, 2011, was $29,686,664 for Class 1 and $6,934,998 for Class 2. Ending capital at December 31, 2010, was $45,898,246 for Class 1 and $11,612,192 for Class 2.

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

Winton/Graham Series

Two of the six sectors traded in the Winton/Graham Series were profitable in the second quarter. Currencies and interest rates were positive while energies, agriculturals, metals and stock indices were negative for the quarter.

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

2010

The Winton/Graham Series – Class 1 NAV gained 0.6% for the six months ended June 30, 2010, net of fees and expenses; the Winton/Graham Series – Class 2 NAV gained 2.1% for the six months ended June 30, 2010, net of fees and expenses.

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For the six months ended June 30, 2010, the Winton/Graham Series recorded net gain on investments of $1,376,654, net interest of $138,472, and total expenses of $1,783,314, resulting in a net increase in Owners’ capital from operations of $486,499, after non-controlling interest of $754,687. The NAV per Unit, Class 1, increased from $110.06 at December 31, 2009, to $110.70 as of June 30, 2010. The NAV per Unit, Class 2, increased from $128.39 at December 31, 2009, to $131.07 as of June 30, 2010. Total Class 1 subscriptions and redemptions for the six months were $72,532 and $2,846,215, respectively. Total Class 2 redemptions for the six months were $743,725. There were no subscriptions. Ending capital at June 30, 2010, was $45,625,722 for Class 1 and $12,034,242 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 Six Months Ended June 30, 2010, for additional information regarding these sectors.

Sector Attribution for the Winton/Graham Series

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.

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Quantitative Market Risk

Trading Risk

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

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

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

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

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

Value at Risk by Market Sectors

The following table presents the trading value at risk associated with each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of June 30, 2011 and December 31, 2010. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

Frontier Diversified Series: (1)

	June 30, 2011					December 31, 2010
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	4,495,017		3.3	%	$	2,922,054		1.8	%
Currencies	$	3,267,010		2.4	%	$	2,240,613		1.4	%
Stock Indices	$	6,425,387		4.7	%	$	6,404,181		4.0	%
Metals	$	1,332,018		1.0	%	$	1,371,891		0.9	%
Agriculturals/Softs	$	2,094,840		1.5	%	$	5,305,078		3.3	%
Energy	$	1,847,689		1.3	%	$	7,868,442		4.9	%
Total:	$	19,461,961		14.2	%	$	26,112,259		16.3	%

96

Frontier Dynamic Series: (2)

	June 30, 2011					December 31, 2010
MARKET SECTOR	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:

	June 30, 2011					December 31, 2010
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	531,899		0.8	%	$	322,364		0.4	%
Currencies	$	493,567		0.7	%	$	242,199		0.3	%
Stock Indices	$	964,869		1.4	%	$	411,536		0.5	%
Metals	$	1,260,588		1.8	%	$	329,861		0.4	%
Agriculturals/Softs	$	2,565,249		3.7	%	$	3,206,941		4.2	%
Energy	$	2,327,051		3.3	%	$	4,762,766		6.2	%
Total:	$	8,143,223		11.7	%	$	9,275,667		12.0	%

Frontier Masters Series: (3)

	June 30, 2011					December 31, 2010
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,889,636		6.4	%	$	835,668		1.3	%
Currencies	$	892,045		3.0	%	$	424,749		0.6	%
Stock Indices	$	928,225		3.1	%	$	756,786		1.1	%
Metals	$	234,028		0.8	%	$	277,901		0.4	%
Agriculturals/Softs	$	469,082		1.6	%	$	251,661		0.4	%
Energy	$	563,090		1.9	%	$	203,123		0.3	%
Total:	$	4,976,106		16.8	%	$	2,749,888		4.1	%

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Balanced Series: (4), (5)

	June 30, 2011					December 31, 2010
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	11,075,470		3.8	%	$	8,353,253		2.2	%
Currencies	$	7,385,754		2.5	%	$	6,381,910		1.7	%
Stock Indices	$	16,561,680		5.7	%	$	18,517,071		4.9	%
Metals	$	3,479,293		1.2	%	$	3,908,168		1.0	%
Agriculturals/Softs	$	5,536,659		1.9	%	$	15,220,938		4.0	%
Energy	$	4,935,494		1.7	%	$	22,499,117		6.0	%
Total:	$	48,974,350		16.8	%	$	74,880,457		19.8	%

Berkeley/Graham/Tiverton Series:

	June 30, 2011					December 31, 2010
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	473,748		1.0	%	$	718,098		1.0	%
Currencies	$	1,620,099		3.4	%	$	1,434,603		2.0	%
Stock Indices	$	259,810		0.5	%	$	1,023,873		1.5	%
Metals	$	162,009		0.3	%	$	206,109		0.3	%
Agriculturals/Softs	$	248,388		0.5	%	$	327,581		0.5	%
Energy	$	43,771		0.1	%	$	233,916		0.3	%
Total:	$	2,807,825		5.8	%	$	3,944,180		5.6	%

Currency Series: (6)

	June 30, 2011					December 31, 2010
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	—		0	%	$	—		0	%
Currencies	$	1,227,852		7.1	%	$	381,279		1.9	%
Stock Indices	$	—		0	%	$	—		0	%
Metals	$	—		0	%	$	—		0	%
Agriculturals/Softs	$	—		0	%	$	—		0	%
Energy	$	—		0	%	$	—		0	%
Total:	$	1,227,852		7.1	%	$	381,279		1.9	%

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Long Only Commodity Series:

	June 30, 2011					December 31, 2010
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	$	72,000		2.6	%	$	97,920		2.3	%
Agriculturals/Softs	$	102,000		3.7	%	$	138,720		3.3	%
Energy	$	126,000		4.5	%	$	171,360		4.1	%
Total:	$	300,000		10.8	%	$	408,000		9.7	%

Managed Futures Index Series:

	June 30, 2011					December 31, 2010
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	102,139		2.9	%	$	144,635		2.8	%
Currencies	$	278,863		7.9	%	$	338,036		6.6	%
Stock Indices	$	56,474		1.6	%	$	105,228		2.0	%
Metals	$	5,514		0.2	%	$	37,502		0.7	%
Agriculturals/Softs	$	17,178		0.5	%	$	94,797		1.8	%
Energy	$	6,574		0.2	%	$	44,273		0.9	%
Total:	$	466,742		13.3	%	$	764,471		14.8	%

Winton Series:

MARKET SECTOR	June 30, 2011					December 31, 2010
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,677,701		3.4	%	$	732,649		1.2	%
Currencies	$	2,271,995		4.6	%	$	1,247,838		2.1	%
Stock Indices	$	392,214		0.8	%	$	950,979		1.6	%
Metals	$	167,303		0.3	%	$	274,568		0.5	%
Agriculturals/Softs	$	298,532		0.6	%	$	675,764		1.1	%
Energy	$	80,117		0.2	%	$	259,374		0.4	%
Total:	$	4,887,862		9.9	%	$	4,141,172		6.9	%

99

Winton/Graham Series:

	June 30, 2011					December 31, 2010
MARKET SECTOR	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
Interest Rates	$	1,161,921		3.2	%	$	1,277,380		2.2	%
Currencies	$	2,706,552		7.4	%	$	2,303,772		4.0	%
Stock Indices	$	432,350		1.2	%	$	1,627,973		2.8	%
Metals	$	141,470		0.4	%	$	322,999		0.6	%
Agriculturals/Softs	$	377,381		1.0	%	$	721,077		1.3	%
Energy	$	80,148		0.2	%	$	418,361		0.7	%
Total:	$	4,899,822		13.4	%	$	6,671,562		11.6	%

(1) As of June 30, 2011 and December 31, 2010, a portion of the assets of the Frontier Diversified Series was invested in an Option basket of futures contracts with a notional value of $7,437,929 and $15,569,595, 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 June 30, 2011 and December 31, 2010, a portion of the assets of the Frontier Dynamic Series was invested in an Option basket of futures contracts with a notional value of $27,161,769 and $27,048,602, 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 December 31, 2010, a portion of the assets of the Frontier Masters Series was invested in an Option basket of futures contracts with a notional value of $26,242,246. 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 June 30, 2011 and December 31, 2010, a portion of the assets of the Balanced Series was invested in the Currency Series and Frontier Dynamic Series. The Balanced Series effective ownership in these Series as of June 30, 2011 was 70.6% and 94.9%, respectively. As of December 31, 2010 the Balanced Series effective ownership was 64.2% and 94.5%, respectively. Including its investment in this Series, total value at risk for the Balanced Series would be $49,841,597, or 17.2% of capitalization as of June 30, 2011 and $78,125,333, or 20.7% of capitalization as of December 31, 2010.

(5) As of June 30, 2011 and December 31, 2010, a portion of the assets of the Balanced Series was invested in an Option basket of futures contracts with a notional value of $15,792,082 and $68,460,196, 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 June 30, 2011 and December 31, 2010, a portion of the assets of the Currency Series was invested in an Option basket of futures contracts with a notional value of $10,812,109 and $11,567,063, respectively. Margin information is not available for this contract therefore no value at risk calculations were included in the table for this investment.

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

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

Non-Trading Risk

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

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Qualitative Market Risk

The following are the primary trading risk exposures of the Series of the Trust as of June 30, 2011, by market sector.

Interest rates

Interest rate risk is one of the principal market exposures of each Series. Interest rate movements directly affect the price of interest rate futures positions held and indirectly the value of a Trading Company’s stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact profitability. The primary interest rate exposure is to interest rate fluctuations in the U.S. and the other G-7 countries. However, the Trading Companies also may take futures positions on the government debt of smaller nations. The Managing Owner anticipates that G-7 interest rates will remain the primary market exposure of each Trading Company and accordingly of each Series for the foreseeable future. The changes in interest rates which are expected to have the most effect on the Series are changes in long-term, as opposed to short-term rates. Most of the speculative positions to be held by the Trading Companies will be in medium- to long-term instruments. Consequently, even a material change in short-term rates is expected to have little effect on the Series if the medium- to long-term rates remain steady. Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Balanced Series (Class 1 and Class 2 only), Winton Series, Berkeley/Graham/Tiverton Series, Currency Series and Winton/Graham Series. For the Frontier Diversified Series, Frontier Dynamic Series, Frontier Long/Short Commodity Series, Frontier Masters, Series, Balanced Series (Class 1a and Class 2a only), Long Only Commodity Series and Managed Futures Index Series, 20% of the total interest allocated to each Series is paid to the Managing Owner. In addition, if interest rates fall below 0.75%, the Managing Owner is paid the difference between the Trust’s annualized interest income that is allocated to each of such Series and 0.75%. Interest income above what is paid to the Managing Owner is retained by the Series.

Currencies

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

Stock Indices

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

Metals

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

Agriculturals/Softs

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

Energy

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

Other Trading Risks

As a result of leverage, small changes in the price of a Trading Company’s positions may result in substantial losses for a Series. Futures, forwards and options are typically traded on margin. This means that a small amount of capital can be used to invest in

101

contracts of much greater total value. The resulting leverage means that a relatively small change in the market price of a contract can produce a substantial loss. Like other leveraged investments, any purchase or sale of a contract may result in losses in excess of the amount invested in that contract. The Trading Companies may lose more than their initial margin deposits on a trade.

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

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

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

102

ITEM 4. CONTROLS AND PROCEDURES

Evaluation of disclosure controls and procedures

Under the supervision and with the participation of the management of the Managing Owner, including its Chief Executive Officer and Chief Accounting Officer, the Trust evaluated the effectiveness of the design and operation of the disclosure controls and procedures (as defined in Rule 13(a)-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), for the Trust and each Series as of March 31, 2011 (the “Evaluation Date”). Any control system, no matter how well designed and operated, can provide only reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected. Based upon our evaluation, the Chief Executive Officer and Chief Accounting Officer of the Managing Owner concluded that, as of the Evaluation Date, the disclosure controls and procedures for the Trust and each Series were effective to provide reasonable assurance that they are timely alerted to the material information relating to the Trust and each Series required to be included in the Trust’s periodic SEC filings.

Changes in Internal Control Over Financial Reporting

There were no changes in the Trust’s internal control over financial reporting during the year ended June 30, 2011, that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.

Scope of Exhibit 31 Certifications

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

PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS.

None

ITEM 1A. RISK FACTORS.

The section entitled “Risk Factors” beginning on page 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 June 30, 2011. The number of Units listed below for each transaction is the aggregate number of Units in the particular Series of the Trust purchased in such transaction. The consideration listed below for each transaction is, except as otherwise noted, the aggregate amount of cash paid for the Units purchased. For each transaction reported below, the price per Unit was NAV per Unit at the time of the transaction and the Managing Owner of the Trust was the purchaser of the Units. No underwriting discount or sales commission was paid or received with respect to any of the transactions reported below. The Registrant claims an exemption from registration of each of the transactions listed below under Section 4(2) of the Securities Act, as a sale by an issuer not involving a public offering.

SERIES	DATE	UNITS	CONSIDERATION
NONE

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

ITEM 3. DEFAULTS UPON SENIOR SECURITIES.

None

ITEM 4. REMOVED AND RESERVED.

103

ITEM 5. OTHER INFORMATION.

None

ITEM 6. EXHIBITS.

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

4.1	Declaration of Trust and Amended and Restated Trust Agreement of the Registrant (annexed to the prospectus as Exhibit A) ****
31.1	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 1 3a-14(a) and 15(d)-14(a) of the Securities Exchange Act of 1934 (furnished herewith)
31.2	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 1 3a-14(a) and 1 5(d)-14(a) of the Securities Exchange Act of 1934 (furnished herewith)
32.1	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.2	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.3	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.4	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.5	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.6	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.7	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.8	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.9	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.10	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.11	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.12	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
101	The following financial statements from Frontier Funds’ Quarterly Report on Form 10-Q for the quarter ended June 30, 2011, filed on August 12, 2011, formatted in XBRL: (i) Statements of Operations, (ii) Statements of Financial Condition, (iii) Statements of Cash Flows, (iv) Statements of Changes in Capital, (v) the Notes to Financial Statements, tagged as blocks of text.

**** 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.

104

SIGNATURES

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

	The Frontier Fund
	(Registrant)
Date: August 12, 2011
	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

105

SIGNATURES

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

	Balanced Series,
	a Series of The Frontier Fund
	(Registrant)
Date: August 12, 2011
	By:	/S/ ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

106

SIGNATURES

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

	Winton/Graham Series,
	a Series of The Frontier Fund
	(Registrant)
Date: August 12, 2011	By:	/S/ ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

107

SIGNATURES

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

	Winton Series,
	a Series of The Frontier Fund
	(Registrant)
Date: August 12, 2011
	By:	/S/ ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

108

SIGNATURES

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

	Berkeley/Graham/Tiverton Series, a Series of The Frontier Fund
	(Registrant)
Date: August 12, 2011	By:	/S/ ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

109

SIGNATURES

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

	Currency Series, a Series of The Frontier Fund (Registrant)
Date: August 12, 2011
	By:	/S/ ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

110

SIGNATURES

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

	Long Only Commodity Series, a Series of The Frontier Fund (Registrant)
Date: August 12, 2011	By:	/S/ ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

111

SIGNATURES

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

	Frontier Long/Short Commodity Series, a Series of The Frontier Fund (Registrant)
Date: August 12, 2011	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.

	Managed Futures Index Series, a Series of The Frontier Fund (Registrant)
Date: August 12, 2011	By:	/S/ ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

113

SIGNATURES

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

	Frontier Diversified Series, a Series of The Frontier Fund (Registrant)
Date: August 12, 2011
	By:	/S/ ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

114

SIGNATURES

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

	Frontier Dynamic Series, a Series of The Frontier Fund
Date: August 12, 2011	(Registrant)
	By:	/S/ ROBERT J. ENCK
		Robert J. Enck
		President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of The Frontier Fund

115

SIGNATURES

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

	Frontier Masters Series, a Series of The Frontier Fund (Registrant)
Date: August 12, 2011
	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