##### Table of Contents

 

 

**UNITED STATES**

**SECURITIES AND EXCHANGE COMMISSION**

**WASHINGTON, DC 20549**

 

**
 
**

**FORM 10-Q**

 

**
 
**

 

**For the Period Ended March 31, 2011**

**OR**

 

**Commission File Number 000-51274**

 

**
 
**

**THE FRONTIERFUND**

**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)**

 

**
 
**

 

**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 tobe registered pursuant to Section 12(b) of the Act: None**

**Securities registered pursuant to Section 12(g) ofthe 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;**

**BalancedSeries Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a Units;**

**Berkeley/Graham/Tiverton Series Class 1, Class2 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 whetherthe 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 90days.    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 Rule405 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 suchfiles)    Yes   ̈    No   ̈

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

 

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
**TABLE OF CONTENTS**

 

**PART I – FINANCIAL INFORMATION**
  
Item 1.
  Financial Statements    Statements of Financial Condition as of March 31, 2011 (Unaudited) and December 31, 2010   2    Condensed Schedule of Investments as of March 31, 2011 (Unaudited) and December 31, 2010   6    Statements of Operations for the Three months ended March 31, 2011 and 2010 (Unaudited)   12    Statements of Changes in Capital for the Three months ended March 31, 2011 (Unaudited)   16    Statements of Cash Flows for the Three months ended March 31, 2011 and 2010 (Unaudited)   22    Notes to Financial Statements (Unaudited)   26  
Item 2.
  Management’s Discussion and Analysis of Financial Condition and Results of Operations   54  
Item 3.
  Quantitative and Qualitative Disclosures About Market Risk   78  
Item 4.
  Controls and Procedures   86  
**PART II – OTHER INFORMATION**
  
Item 1.
  Legal Proceedings   86  
Item 1A.
  Risk Factors   86  
Item 2.
  Unregistered Sales of Equity Securities and Use of Proceeds   86  
Item 3.
  Defaults Upon Senior Securities   86  
Item 4.
  Removed and Reserved   86  
Item 5.
  Other Information   87  
Item 6.
  Exhibits   87  
**SIGNATURES**
   88  
Table of Contents
**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 1995AND 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 IDENTIFYTHESE FORWARD-LOOKING STATEMENTS BY USING WORDS SUCH AS “MAY,” “WILL,” “EXPECT,” “ANTICIPATE,” “BELIEVE,” “INTEND,” “SHOULD,” “ESTIMATE” OR THE NEGATIVE OF THOSE TERMSOR 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 “RISKFACTORS” 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, THESEFORWARD-LOOKING STATEMENTS. 

YOU SHOULD NOT PLACE UNDUE RELIANCE ON ANY FORWARD-LOOKING STATEMENTS. EXCEPT AS EXPRESSLY REQUIRED BY THEFEDERAL 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 CHANGEDCIRCUMSTANCES OR FOR ANY OTHER REASON AFTER THE DATE OF THIS REPORT. 

UNLESS EXPRESSLY STATED OTHERWISE, ALL INFORMATION IN THIS REPORT IS ASOF MARCH 31, 2011, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION. 

 
1 

Table of Contents
**PART I. FINANCIAL INFORMATION**

 
**ITEM 1.****Financial Statements**
**The Frontier Fund**

**Statements of Financial Condition**

**March 31, 2011 and December 31, 2010**

 
   **Frontier Diversified**